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    金融学习题课(新)

    时间：2020-08-05    下载该word文档
    注意：下周上课时间临时调整至（周二晚7：00，地点不变。）
    课程的剩余部分不调整。

    1. 判断下述现金流中哪些是应纳入NPV计算中的增量现金流（incremental cash flow） a． 公司为了推出新产品而置换原有资产、厂房和设备时，出售旧机器 Y b．
    过去为了某一新产品概念（现在准备投入生产）的研发活动而花费的成本 N 学号：10_ _ _ _ _ _ 姓名： 第 1 页 共 13 页
    金融学概论 第二次作业

    c． 原来废置的仓库现在用于新产品的推出而放弃的潜在租金收入 Y d．
    为一个项目购买的新设备 Y e． 为某项目购买的新设备的年折旧费用 N/Y f． 在第一年需要净营运资本10,000,000元，第2年需要12,000,000元，第3年需要5,000,000元 N/Y g．

    A Yes. The sale of the machine is part of the project initiative. Therefore, the proceeds from the sale of the equipment should be counted. B No. The R&D expenditure is a sunk cost that should not be included in the project evaluation. C Yes. This is an opportunity cost that is borne by the company. D
    Yes. Capital expenditures must be incorporated in an NPV analysis. E It is the depreciation tax shields that is the incremental cash flow and not the actual depreciation expense. F It is the change in net working capital that is the incremental cash flow. Therefore, incremental cash flows are -$10 million at year 0, -$2 million at year 1, +$7 million at year 2 and +$5 million at year 3. 从某项目所增加的净收益中提取一部分用于支付股利
    N
    学号：10_ _ _ _ _ _ 姓名： 第 2 页 共 13 页
    G No, dividend payments are not incremental cash flows.
    Remarks 项目的增量现金流（incremental cash flow）是因为实施该项目所带来的机会成本或未来收益，这意味着，
    （1） 如果实施该项目会带来额外的成本或额外的收益，那么这些成本和收益属于增量现金流，如必要的设备更新或置换，新设备投资，仓库投资，人员招募等（A，C，D） （2） 与项目相关的资本运作产生的现金流的改变（额外的现金流）属于现金流，如避税收益（债券发行产生的利息对因的税收豁免部分， 折旧费用的税收豁免，其他政策规定的税收豁免），风险管理成本（如项目要求必须对冲某类风险而购买期权）等。注意，利息收支本身属于项目的增量现金流，但折旧不是。折旧从来不会真实发生，它仅仅是一种会计观点下生造的概念。但折旧和利息等有关的政策会带来额外的现金流，即增量现金流。
    （3） 凡不是因为该项目的实施而导致的现金流皆不计入该项目的增量现金流，如过去已经支付了的研发费用，过去已经付出的设备投资费用，……，过去已经支付的几乎任何费用。
    （4） 项目的收益分配不属于增量现金流考虑的范围。增量现金流是项目评估的第一步；项目的收益分配是第二步。由两基金分离定理，生产可以独立于投资者的风险和商品偏好，因此生产过程可以与分配和消费分开考虑。项目评估者只需最大化该项目的NPV即可，不必考虑利润如何分配。故红利分配过程不影响项目增量现金流。 //但是，如果评估者是投资者而非项目经理，那么投资者个人的边际税率可能对红利分配是敏感的，这样不同的红利分配的方案导致的不同的边际税额。此时，应当把红利分配作为资本运作来对待了。总而言之，根据上面的第（2）点，与红利分配相关的政策带来了额外的现金流。

    学号：10_ _ _ _ _ _ 姓名： 第 3 页 共 13 页
    2. Kitchen Supplies公司需要重置其制造厂的一部机器，残值为0。公司可以在两种型号的设备之间选择。第一种使用年限为5年，成本为300,000元。使用这种机器将使公司每年节省成本50,000元，但每年的维护成本为20,000元。机器按直线法完全折旧，残值为0。第二种机器可以使用5年，成本为600,000元。使用这种机器可以使公司每年节省成本70,000元，每年的维护成本为15,000元。它也按直线法完全折旧，但残值为60,000元。使用两种机器的收入相同。假设税率为35%，资本成本为10%，则公司应选择哪一种机器？
    //假定免税的额度每年都能充分利用，而不被浪费。


    Alternative One: Increases in annual profits: //成本的节省等价于利润的增加
    $50,000 (Cost Saving $20,000 (Maintenance Cost = $30,000 Annual net operating cash flows: //因为税，利润增加的部分只有（1-t）的那部分是真实所得；成本增加的部分则只有部分需要承担（如折旧存在税收豁免）
    $30,000 (1-0.35 + $60,000 0.35 (dep. tax shields = $40,500 At 10% discount rate, the project NPV:

    300,00040,50040,50040,500$146,473 251.101.101.10The annualized capital cost (ACC is given by
    学号：10_ _ _ _ _ _ 姓名： 第 4 页 共 13 页


    146,473ACCACCACC 251.101.101.10 ACC$38,639
    Alternative Two Increases in annual profits:
    $70,000 (Cost Saving $15,000 (Maintenance Cost = $55,000 Annual net operating cash flows (years 1 to 5:
    $55,000 (1－0.35 + (($600,000 /5 0.35 (dep. tax shields = $77,750 The net cash flow for year 5: //资产出售收入超过面值（完全折旧法下面值视为0）的部分视为资本利得，需要征税。
    $77,750 + $60,000 (1 0.35 = $116,750 At 10% discount rate, the project NPV:
    600,000$77,750$77,750$77,7500$116,750$281,050 2671.101.101.101.10The annualized capital cost (ACC is given by

    281,050ACCACCACC 271.101.101.10 ACC$74,140
    Decision: Alternative one should be chosen, as its annualized cost of capital is less. Remark：
    对于期限相同的项目，比较NPV即可；对于期限不同的项目，可以比较NPV的年化现金流（ACC）。 关于折旧
    如果投资期限为n年，初始投资为I，残值的市值（出售时）为K，那么
    直线折旧法： 直线折旧法下，一般每年的折旧计为（I-K）/n，而将产值的面值计为K，这样，最后一年的资产清理出售时，售价为K，资本利得为（K-K）=0，所以该收入不征税，但可以得到K的增量现金流。

    学号：10_ _ _ _ _ _ 姓名： 第 5 页 共 13 页
    完全直线折旧法：完全直线折旧法下，每年的折旧直接计为I/n，并将产值的面值计为0，这样，最后一年的资产清理出售时，售价为K，资本利得为（K-K）=0，所以该收入不征税，但可以得到K的增量现金流。
    Alternative Two Increases in annual profits:
    $70,000 (Cost Saving $15,000 (Maintenance Cost = $55,000 Annual net operating cash flows (years 1 to 7:
    $55,000 (1-0.35 + ($600,000/7 0.35 (dep. tax shields = $65,750 The net cash flow for year 7: $65,750 + $60,000 (1 0.35 = $104,750 At 10% discount rate, the project NPV:

    600,00065,75065,75065,750104,750$259,888 1.101.1021.1061.107ACCACCACC 271.101.101.10
    The annualised capital cost (ACC is given by

    259,888ACC$53,382
    Decision: Alternative one should be chosen, as its annualised cost of capital is less. 3.Saunders’s Sportswear公司计划扩张其T恤衫生产线。这一计划需要初始投资6,000,000元。投资按直线法在4年内折旧，残值为0。公司的税率为35％，公司生产的T恤衫在第1年的价格将达到每件30元，并且以后每年价格的名义增长率为4％。产品的单位成本（不包括劳动力成本）第1年为5元，此后每年的名义增长率为3％。劳动力成本第1年为每小时10元，以后每年的名义增长率为3.5％。收入和费用都在年末支付。名义的折现率为12％。在下面信息的基础上计算项目的NPV。 销售量
    第1年
    50,000 第2年 100,000 20,800 第3年 125,000 20,800 第4年 100,000 20,800 劳动时间（小时） 10,800 营运资本需求

    Cost and Price series     Time     Price 150,000元 300,000元 300,000元 300,000元
    第一年年初 第1年 第2年 第3年 第4年 30.00 31.20 32.45 33.75
    学号：10_ _ _ _ _ _ 姓名： 第 6 页 共 13 页
    Cost(labor excluded Wage
    销售量
    劳动时间（小时） 营运资本需求

    Sales Variable Costs Labour Costs Change in WC

    5.00 5.15 5.41 5.68 10.00 10.35 10.71 11.09

    50000 100000 125000 100000 10800 20800 20800 20800 150,000元 300,000元 300,000元 300,000元 1500000 3120000 4056000 3374592 250000 515000 675937.5 567787.5 108000 215280 222814.8 230613.3 (150,000 (150,000 0 0 300,000



    The cash flows of the project can be summarized as follows:
    Capital Investment Change in WC Revenues Cash Expenses Variable Costs Labour Costs Depreciation Pre-tax Profits Taxes Net Op. Cash Flows Net Cash Flows Year 0 -6000000 -150000

    -6150000 Year 1
    -150000 1500000
    250000 108000 1500000 -358000 (125,300* 1267300 1117300 Year 2
    0 3120000
    515000 215280 1500000 889720 311402 2078318 2078318 Year 3
    0 4056000
    663063 222815 1500000 1670122 584543 2585579 2585579 Year 4
    300000 3374592
    546364 230613 1500000 1097615 384165 2213450 2513450
    * Note: we assume that the company as a whole (inc. the cash flow from the project will be profitable in year 1.
    Using the nominal discount rate of 12%, the project NPV is $57,881.
    学号：10_ _ _ _ _ _ 姓名： 第 7 页 共 13 页
    Remark （1）现金流量表的计算
    税前利润=销售收入－劳动成本－其他可变成本－折旧 应交税额＝税前利润*税率 税后利润＝税前利润－应交税额 净经营现金流＝税后利润＋折旧
    净现金流＝净经营现金流＋营运资本变动（Change In WC）
    （2）如果税前利润是负值，只要这个量不是特别大，所有计算与正值时无异，只需假设公司的其他业务的利润大于此项业务的亏损，或者亏损的部分总是可以用来抵税（当期或者下期）。
    学号：10_ _ _ _ _ _ 姓名： 第 8 页 共 13 页
    4.下面所列的现象中，哪些与股票市场（信息的）有效性不一致？并解释是与弱有效、半强有效还是强有效不一致。你认为哪些现象在实际中是会发生的，为什么？ a. 经理人在本公司股票交易中获得的收益高于外部投资人； （与强有效不一致） b. 一个跟踪每日股价变动的图表分析师宣称，“ABC公司的股票去年市场持平的时候走出了一段短期的上行行情。价格回归的结果是来年ABC公司的股票价格肯定会相对于市场有所下降。” （与弱有效不一致）
    c. 下面的这个等式给出了公司股票价格的统计模型
    PtPt1t
    其中t表示随机变量，在已知Pt1,Pt2,的基础上不可预测的；（与弱有效一致） d．
    某公司宣布了当年利润会有大幅下降，但在宣布当天其股票价格涨幅大大却高于市场整体涨幅；（半强有效）
    e. 平均而言，国际股票市场的股票回报率在周末为负而在周一至周五为正。（与弱有效不一致）
    f. 某只股票过去三个月中的交易价格一直在250和300之间，在管理层宣布盈利数字超过市场预期后，交易价格突然升到400。（与半强有效形式都一致） //注：第4题答题区域不够用的话请另加A4纸。

    a. Because we are considering company managers here, we are talking about strong form efficiency. Because the observation states that managers are successful in exploiting their (presumably private information, it must be that their company's share price did not reflect the information when managers traded on it. Therefore, the observation is inconsistent with SFE. It may imply consistency with SSFE. Presumably the statement implies that managers use private information when trading in their own company and that share prices reflect this
    学号：10_ _ _ _ _ _ 姓名： 第 9 页 共 13 页
    private information when it eventually becomes public. However, we can't say for sure whether it implies SSFE because we don't know anything about how quickly or correctly the market responded to the information when it became public. In general, inconsistency with SFE has no implications for either SSFE or WFE.

    Consistency with SFE in general, would imply both SSFE and WFE because these are weaker requirements.

    Existing evidence is inconclusive about whether corporate insiders earn abnormal returns from trading on their private information. Some recent evidence in the UK (Gregory, Matatako, Tonks, and Purkis, Economic Journal, January 1994, finds that neither directors themselves nor outside investors who attempt to mimic the trades of directors, earn high profits. (Outside investors mimic insiders by copying the trades of directors when these become public information. Companies have to notify details of these trades to the Stock Exchange who make the details publicly available-see, for example, Saturday's edition of the FT.

    Previous evidence (Pope, Morris and Peel, Journal of Business Finance and Accounting, Summer 1990 found the market does react to information about dealing by `insiders'. That is, directors' buy/sell decisions are on average taken to be signals of good/bad news about the company and the market responds by bidding up/down the share price, ensuring corporate insiders earn profits. Pope et al. also found evidence that an uninformed investor could have earned abnormal returns by simply trading based on publicly available information about the dealings of corporate insiders. This suggests share prices do not react
    学号：10_ _ _ _ _ _ 姓名： 第 10 页 共 13 页
    instantaneously to this publicly available information and the stock market is not fully SSFE with respect to this type of information signal.

    b. Inconsistent with WFE: it suggests changes in share price (or returns are not independent.

    There has been renewed interest in recent years in share price patterns. Early research tended to support the hypothesis of WFE. One line of recent research (initiated by Fama and French, Journal of Political Economy, 1988, Journal of Financial Economics, 1989, and Poterba and Summers, Journal of Financial Economics, 1989 has exploited advances in statistics to look at returns for holding periods exceeding a year. A popular interpretation of this research is that it shows returns over long holding periods (more than a year exhibit `negative autocorrelation'. If returns are negatively autocorrelated, low returns tend to follow high returns and vice versa. We call this pattern of predictability in share prices, `mean reversion'. Returns average out at some constant level so that a run of higher than average returns follows a run of lower than average returns and vice versa-average returns move back (revert to the mean.

    Some academics argue that mean reversion provides proof that share prices deviate from fundamental values for reasonably long periods. However, two of the original authors (Fama and French are careful to point out that the evidence is also consistent with market efficiency and changes over time in the returns expected on shares as the economy moves between recession and boom. Recent research (Kim, Nelson and Startz, Review of Economic Studies, 1991 finds evidence that the pre-War period drives the mean reversion results with persistence in returns (mean aversion characterising the post-War period.


    学号：10_ _ _ _ _ _ 姓名： 第 11 页 共 13 页

    There are two further strands of empirical literature looking at share price patterns. One of these suggests there is evidence of longer-term overreaction in share prices. Specifically, some evidence for the UK and the US suggests the following as a successful investment strategy:
    i. track share prices for a 3 to 5 year period;
    ii. rank all stocks in order of their performance over this period;
    iii. identify the top 30, or 50, or 10% of best performing stocks (past winners and the corresponding worst performing stocks (past losers;
    iv. buy the past losers and sell the past winners and maintain this strategy for a corresponding 3 to 5 year period.

    The second strand suggests there is evidence of short-term momentum (underreaction in the UK and the US. The strategy suggested here is to identify past winners and losers over a 3 to 12 month period, to buy the winners and sell the losers and maintain this strategy for a corresponding 3 to 12 month period. For a recently published research study on the momentum effect in the UK, see，

    Liu, W., N. Strong, and X. Xu. 1999. The profitability of momentum investing, Journal of Business Finance and Accounting, 26, (November/December, 1043-1091.

    c. This is a loose statement of a statistical model known as a random walk. It implies that you can't predict next period's price change based on previous prices. The statement is consistent with weak-form efficiency, but says nothing about either SSFE or SFE.
    Note that inconsistency with WFE must imply inconsistency with both SSFE and SFE.

    学号：10_ _ _ _ _ _ 姓名： 第 12 页 共 13 页

    d. This statement may be entirely consistent with SSFE.

    First, in an efficient market, share prices respond only to surprises (news; new information. This means, for example, that share prices react only to unexpected earnings announcements (the difference between actual earnings and what the market expected earnings to be. Here, the market may have already `discounted' bad news about this company into the share price. Despite the announcement of a large fall in profits compared with last year, the actual profit figure may still have been above what the market was expecting.

    An example of this was the case of Amstrad in 1988 when there were dire warnings about the company's position (the failure of its latest generation of computers, EC measures to discourage manufacture outside the EEC, etc. before the actual announcement of its earnings figure. (In addition there had been an announcement of unaudited half-year earnings figures in its interim report. Because of this, Amstrad's share price fell well before the announcement of its final results and when it actually announced its results they turned out to be above market expectations although dramatically down on the previous year's figures.

    Second, there could be an abnormal increase in a company's share price in response to an unexpected fall in profits even when the market is reacting efficiently. For example, shortly before Ford acquired Jaguar, Jaguar's share price rose in response to a profit figure below market expectations. This occurred because it made a takeover bid for the company more likely (and so the anticipated bid premium reflected in Jaguar's share price increased. So, although we normally interpret an unexpected fall in earnings as `bad' news for a company
    学号：10_ _ _ _ _ _ 姓名： 第 13 页 共 13 页
    and expect the result to be a fall in share price, the stock market can be more sophisticated in using information.

    e. This is a form of non-randomness (or regularity or pattern in share prices that runs counter to the strict version of WFE. It has been found valid in several countries including the UK. However, empirical evidence shows it would not be possible to profit from a trading rule based on this effect because any gains in share price would be more than outweighed by transaction costs. Nevertheless, it is difficult to provide a rational explanation for the weekend effect. To the extent that it is inconsistent with WFE, it is also inconsistent with SSFE and SFE.

    f. This is exactly how you would expect a semi-strong efficient market to react to unexpected good news. However, with a single example, it is impossible to say whether a rise to 400 is appropriate. How the market reacts to unexpected earnings changes will depend whether it regards the change as permanent or temporary.

    Some earnings changes occur because of one-off events affecting earnings only for a single year. If earnings increases are temporary, or `transitory', earnings are expected to return to the previous level in the following year. Other earnings changes are permanent, in the sense that if earnings increase this year, then they are expected to stay at the increased level next year. Of course, some earnings changes may fall somewhere between transitory and permanent. An increase in earnings is more valuable if it signals a permanent change than if it signals a temporary change. In practice, earnings changes are likely to be partly permanent and partly transitory.

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