1

1.1

(Hurdle Rate)

( )
( )

( )

1.1.1

(
)

(
)

(
)

1.1.2

( ) (
)

(
) () 3
4

5
(
)
6

1.1.3

7
( ) ()

( )
( )

)9

(
)

1.1.4

( )

1011

1.2

( )
( )

1 2

1.3

1. (Disney Corporation)

(
) ( A B C
ESPN)(Touchstone Pictures)(
6 1 0 )

2. (Bookscape Books)

Barnes and NobleBorders Books

3. Aracruz Cellulose

4. (Deutsche Bank)

(Morgan Grenfell)

1.4

1.5

1.

2.

3.

4.

5.

10

1.6

11

2.1

(
)

13

( )

2.1.1

14

2.1

2.1.2

15

2.1.3

()

16

2.1.4

1.

2.

3.

17

4.

2-1

-
-

2-1

2.2

18

/ / / /

2.2.1

19

( )

(Proxy Fight)

1.

K o r n - F e r r y 1 9 9 2

1992
9 2 1 9 8 8
1 0 8

1 9 8 819 544

32 352
2.

( )

3.
K o r n F e r r y
K o r n - F e r r y
WSJ

Hewitt Associates
100 67%

20

4 2 6 7 4%
1 6%

4.

5.

Institutional Shareholder Services

2 7 5 2 7
5% 5

1996

21

Michael D.Eisner54
Roy E.Disney66
Sanford M.Litvack6 0

Richard A.Nunis64Walt Disney Attraction

Raymond L.Wa t s o n7 01 9 8 3 ~ 1 9 8 4

E.Cardon Wa l k e r8 01 9 8 0 ~ 1 9 8 3
1 9 9 6
609 826 1 9 6 3 ~
1 9 7 9

Gary L.Wilson561985~1989
()
Reveta F. B o w e r s4 8
Eisner
Ignacio E.Lozano Jr.6 9 L o z a n o
La Opinion
G e o rge J.Mitchell 6 3
1 9 9 6 50 000

122 764

Stanley P.Gold 54Shamrock Holdings

1 0

Thomas S.Murphy7 1 Capital Cities/ABC

22

Leo J.ODonovan6 2 E i s n e r
E i s n e r
100
Irwin E.Russell70 Beverly Hills
Eisner
Sidney Poitier69
Robert A.M.Stern5 7
1 9 9 6 S t e r n
168 278

Eisner
E i s n e r

1997CalPERS(California Public EmployeesRetirement

System )

5 0 0

1 9 9 7 5 0 0

23

80

( g r e e n m a i l )

(a golden parachute)

(poison pill)

(
)

24

2.2

( )
( )

5 1%

R o l l ( 1 9 8 6 )

25

2.2.2

1.

J a r r e l lB r i c k l e yN e t t e r ( 1 9 8 8 )

6 0 4 . 9 5%7 0 2%8 0 - 1%Yo u

C a v e sS m i t hH e n r y ( 1 9 8 6 ) 1 9 7 6 ~ 1 9 8 4 1 3 3
5 3%

26

2.

( )
(
)

3.

( ) ( )

27

2.2.3

28

2.3

1.

Penman(1987)

1982~1986

29

B r e - X B r e - X
90

1997

B r e - X

2.4

2.5

30

2.

Michael Porter

31

1.

2.

( )

3.

2.2.4

32

( )

Johns Manville

30

2.6

2.2.5
(

33

)
2 - 2

Unocal
Revlon
NCR
Kodak/Sterling

Colt
Industries Nabisco

Weekend Regina

Manville

- -
-
-

2-2

34

2.3

2.3.1

1.

2.7

35

2.

( Warren Buf f e t t )
(Solomon Brothers) Larry Tisch
C B S

( C a l P E R S )

36

1 9 9 7 Michael Ovitz
3 880
Michael Eisner 2 0 0 6
1 9 9 722 5
13%
8 . 2%
A r c h e r- D a n i e l s - M i d l a n d
1 9 9 51 0
(Investor Responsibility
Research Center) A r c h e r- D a n i e l s - M i d l a n d 1 9 9 5
1 0 2 0%

2.8

( )

3.
8 0

B h i d e 1 9 8 5 ~ 1 9 8 6

37

1989
K a r p o ff M a l a t e s t a ( 1 9 9 0 )

()19891013
1.58%

-6.90%

2.9

4.

38

39

-
-

2.3.2

1.

(1)

(2)

(3)

40

( )

2.

2.3.3

1.
( S E C )

41

2.

( )

(1)

(2)

(3)

2.3.4

42

2-3

(1)
(2) (NCR)
(3) (CBS)
(4) (ARCO)
(5) /()

(1)

(1)
(2)
(3)
- -

(2)

2-3

2.4

43

8 0

2.5
1 0

44

(
)

45

2.10

2.6

1.
a.

46

b.
c.
d.
e. /
2.

a.
b.
c.
d.

e.
3.

4.

a.
b.
c.

5.

6.

7.

8.

47

1.

(
)

( )

2.

(
)

48

(
)

3.

( )

4.


5.

www.reportgallery.com

people.edgar-online.com/people
www.freeedgar.com
www.sec.gov/edgarhp.htm
(

49

edgar.xls)

w w w. c a l p e r s . c a . g o v /
i n v e s t / c o r p g o v / c o r p g o v. h t m (
)
10
10
(Business week)
www.businessweek.com

(F o r b e s)

w w w. f o r b e s . c o m / c e o

Zacks Investment Research w w w.

z a c k s . c o m Free Research

M o r n i n g s t a r
(www.morningstar.netqucicktake reports)

Socialinvest.org/sriguide/mfpc.htm
C a l v e r t w w w. c a l v e r t g r o u p . c o m
A F L - C I O
www.aflcio.org

50

( We b s t e rs dictionary)

3.1

52

1)

2)

3)

4)

5)

3.2

3.2.1

(
) 5%

53

5% 3-1

=1

3-1

3 0%
3 0%
30% 3-2

3 - 2

54

3-2

( 1 )
( 2 ) 3 - 3

3-3

55

(
)
( )
( )( )

( C A P M )

3.1 -

( 1 5%) ( 2 5%) A

56

4 B
60%

A
B
3.1
1 9 9 211 9 9 61 2

1992~1996

=6.14%
=37.66%

=6.14% 12=21.26%
=37.66%12=452%

57

(optvar.xls)
3.2
5
35%
- 1 0%
+ 4 0%

3.2.2

( )
( )
(
)
1.

58

( )

(Warner Bros. StoresTo y s U s )

59

( A B C )

I n t e r n e t

E u r o D i s n e y ( ) 3 3%

60

( ) ( )

( ) (
)

()

3.3

2.

61

3 - 1

3.

62

63

3.4

3.2.3

( C A P M ) ( A P M )

1.

(Capital Asset
Pricing ModelCAPM)
(1)

1 0 ~ 2 0

64

2 1
5

(
)

(
)

( )

(2)

65

C A P M

3.5

(3)

C A P M

5 5%

66

i =

( )
1 ( )
1 1 0
(4)

i E(Ri)= +i (
)
=Rf+ i[E(Rm )- Rf]
E(Ri) i
Rf
E(Rm)

CAPM

(5)
3

1 5 1 0

67

(
)

(
)

3.6

2.

7 0 R o s s
( 1 9 7 6 )
(Arbitrage Pricing Model, APM)
(1)

68

R=E(R)+m+
m

(2)

C A P M

R=E(R)+m+
R=E(R)+( 1F1+ 2F2+ nFn)+

Fj j
(3)

69

R p=(w1R1+w 2R2++wnRn)+(w 1R1,1+w 2R1,2++wnR1,n)+F 1
+(w1

2,1

+w2

2,2

++wn

2,n

)+F2

wj j
Rj j

ji

i,j

(4)

A 2 . 0
2 0% B 1 . 0 1 2% C
1 . 5 1 4%
A B
1 . 5 1 6%
C C 1 6%

E(R)=R f+ 1[E(R1) -Rf]+ 2[E(R2)- Rf]+ n[E(Rn)-R f]

R f
E(Rj) j 1

70

E(R)=Rf+ m[E(Rm)- Rf]

(5)

(
)
1)
2)

3.

(Multifactor Models for Risk and Return)

71

Chen, Roll R o s s ( 1 9 8 6 )

E(R)=Rf+

GNP

GNP

[E(RGNP)- Rf]+ I[E(RI)- Rf]++ [E(R )- Rf]

E(RGNP) 1 0

E(RI) 1 0

2070

72

4.

(Regression Models)

F a m aF r e n c h9 0

F a m aF r e n c h
1 9 6 3 ~ 1 9 9 0

Rt=1.77%-0.11ln(MV)+0.35ln(BV/MV)
MV ( )
BV/MV /

73

3.3

C A P M

A P M
C A P M

A P M ( )

2 0 C A P M
(
)
1 9 7 7R o l l
1989WestonCopeland
C A P M 1 4 . 4%
19.1%

74

C A P M
C A P M
C A P M

C A P M

Roll CAPM

F a m aF r e n c h ( 1 9 9 2 )
1 9 6 3 ~ 1 9 9 0

A m i h u dC h r i s t e n s e nM e n d e l s o n

ChanLakonishok
1 9 2 6 ~ 1 9 9 1 1 9 8 2

5 0 0

1 9 2 6 ~ 1 9 9 1
10 ( 10%)
(3-4)
A P M

C A P M C A P M

75

C A P M

( )

19883 198710 19405 19325 19324 19379 19332 193210 19803 197311

3-4 1926~199110

CAPM

3.4

Barra
( )

76

3.4.1

77

( )

3.4.2

1.

3-5

78

( )

( S & P )
3-5
2.

( S & P )
3 - 2
B B B ( S & P )

3-2
AAA

AA

BBB

BB BB
B CC
CCC,
CC
D

Aaa

Aa

Aaa

Baa

Ba
B

Caa
Ca
C

3.

79

3-3

3-3

=( +)/

= /
=( +)/

=( - -
)/
=( +)/
(
)
= ( - ( ) -
--)/

=/(+)
=/(+)

/
/

/ (%)

/
/

3-4 1993~1995S&P

3-4

AAA
13.50

AA
9.67

A
5.76

80

1993~1995
BBB
3.94

BB
2.14

B
CCC
1.51 0.96

()

AAA

AA

17.08

12.80

98.2

69.1

45.5

33.3

17.7

11.2

6.7

60.0

26.8

20.9

7.2

1.4

1.2

0.96

29.3

21.4

19.1

13.9

12.0

7.6

5.2

22.6

17.8

15.7

13.5

13.5

12.5

12.2

13.3

21.1

31.6

42.7

55.6

62.2

69.5

25.9

33.6

39.7

47.8

59.4

67.4

61.1

8.18

BBB
6.00

BB

3.49

2.45

CCC
1.51

/
(%)

/(%)

(%)
/
(%)

(%)
/
(%)

4.

81

(ratings.xls)

(1)

( 3 - 4 )

6 . 1 5 3 - 4
A

(2)

82

3.5

1. ABC

(%)
(%)

A
12
30

B
10
40

C
8
35

2. X 10

1995
1994
1993
1992
1991

(%)
42.1
- 10.9
20.4
12.5
10.3

1990
1989
1988
1987
1986

83

(%)
45.8
-30.5
11.4
10.2
- 2.2

a. X
b. 1 0 1 9 8 5
25.6 1995X
c. 1 0 X a

3.

(%)
(%)
AB

A
12
25

B
18
40
0.8

a. ( A B
)
b. (
AB)
4.

(%)
(%)
AB

A
12
25

B
15
45
- 1.0

a.
b.
c. 8%

5.

(%)
(%)

A
15
40

a. A B

84

B
5
0

b. 2 0% AB

c.
6.

(%)

15

20

35

(%)

20

40

70

AB

0.5

AC

0.7

BC

0.9

30% A40%B30%C

7. 1 0% 1 . 5

8. 1 2 . 5%
5 % 0 . 9

9.
2 . 5
3.8
10. 1 5%
1 2% 5%

11. CAPM
1 0 1 4% 1 . 4
S & P 5 0 0 1 2% 5%
2%
C A P M

85

12. 1 2% 5%

A
1.2
0.4

B
0.9
0.3

C
1.8
0.3

13. 1S & P 5 0 0

S & P 5 0 0 1 2%
5%
a. 10%S&P500

b.

14.
5%

a.

b. S & P 5 0 0 1 2%

c. 1%~3%
80% S&P500

15.

Rf
1
2
3
4

5%
1.2
0.5
0.8
1.6

E(R1)
E(R2)
E(R 3)
E(R 4)

86

6.5%
4.3%
8.0%
7.5%

a.
b.
E(R 1)=7.2%
E(R 2)=5.2%
E(R 3)=6.3%
E(R 4)=10%

16. F a m aF r e n c h

Rt=1.77%-0.11ln(MV)+0.35ln(BV/MV)
BV/MV BV/MV
0 . 3 B V/M V 1 . 2

17. C A P M

A. A

B.

C.

D.
E.

F.
G.

18.

(%)

87

20

()
(%)

25

22
- 0.4

a.
b.

c.

d. G P E C ( )
(

)
19. 5 0
1 0 5 1 0 2 0 5 0 1 0 0

10%
20. CAPM C A P M

21.
a.
b.

88

)

1.


(
)
2.
(
5%
)


(
)

Value Line
S E C ( w w w. s e c . g o v /
e d g a r h p . h t m )
w w w. d a i l y s t o c k s . c o m
institutional ownership c d a . c o m /
i n v e s t n e t / p e r i s c o p e / p e r i s c o p e . h t m l
i n s i d e r. x l s

89

M o r n i n g s t a r
( w w w. m o - r n i n g s t a r. n e t quicktake reports)
(
) I n v e s t ment style

90

xam

(C A P M)

(A P M )

4.1

(C A P M) (A P M
)

92

4.1.1

( )

( )

93

( )

(2 03 0 )

( )

C
(T-bond)

94

1997

3%

4.1

4.1.2

1.

1)

( )

95

()
2)

Warren Buffett

4.2

1. ()6.7%
2.

6.7%
6.7%~8.7%
8.7%~10.7%
10.7%~12.7%
12.7%~14.7%
14.7%

8.7% 2%

96

2.

(1)

1)

2)

3)

4.3

2 0%

97

(2)

C A P M

1926

1) (
)
2) ( )

/
0
1
2

50
100
60

(%)
100
- 40

3 0%
9.54%( 1.2 - 1=1.0954)
C A P M

98

4 - 1 4 - 1

4-1

1926~1996
1962~1996
1984~1996

(%)
(%)
8.76
6.95
5.74
4.63
10.34
9.72

(%)
(%)
7.57
5.91
5.16
4.46
9.22
8.02

1 9 2 6 1 9 8 1

1) (1926)

2)

3)

1 5 0

70

1926
()

99

1926~1996
5.91%
5.50%
1 9 2 6
(histret.xls)

Ibbotson and Brinson(1991)

4 - 2 ( )

4-2 1969~1995
/

SAR

100
100
100
100
100
100
100
100
100
100
100
100
100
100

898.36
1020.7
1894.26
1800.74
14993.06
423.64
5169.43
2073.65
4870.32
4875.91
844.8
3046.09
2361.53
1633.36

(%)
8.47
8.98
11.51
11.30
20.39
5.49
15.73
11.88
15.48
15.48
8.22
13.49
12.42
10.90

(%)
(%)
6.99
1.48
8.30
0.68
9.17
2.34
12.10
-0.80
12.66
7.73
7.84
-2.35
12.69
3.04
10.71
1.17
10.83
4.65
6.45
9.03
7.91
0.31
10.11
3.38
7.81
4.61
7.90
3.00

Ibbotson Associates

100

( )

(
1 9 9 4

) 1 9 8 7 ~ 1 9 9 6

C A P M

BBB
BB
AA
BBB+
A+
A
BB+
BBB
AABB+

(%)
5.5+1.75=7.25
5.5+2=7.50
5.5+0.75=6.25
5.5+1.5=7.00
5.5+1.25=6.75
5.5+1=6.50
5.5+2.00=7.50
5.5+1.75=7.25
5.5+1.00=6.50
5.5+2=7.50

101

()

A+
BBB+
B+
BBBB
BB+
AA
BBBBBBBA
AA+
A
B+
BBB

(%)
5.5+1.25=6.75
5.5+1.5=7.00
5.5+2.75=8.25
5.5+1.75=7.25
5.5+2.5=8.00
5.5+2.00=7.50
5.5+0.75=6.25
5.5+2.5=8.00
5.5+2.5=8.00
5.5+1.75=7.25
5.5+1=6.50
5.5+0.50=6.00
5.5+1=6.50
5.5+2.75=8.25
5.5+1.75=7.25

(
)
ctryprem.xls

102

0 ( )1 0 0 (
)
(
)

5.5%
2% 7.5%
(3)

(
) 4 3

S & P 5 0 0 9 0 0
2%
7%
900=(0.02900)/(r-0.07)
r
r=(18+63)/900=9%
6% 3%

103

4-1 1960S&P500

4-1

104

4.4
3%
7 . 5%

(implpr.xls)
i m p l p r e m . x l s

4.1.3

C A P M

1.

( )

105

(1) CAPM
(R j)
(Rm)

Rj=a+bR m

a
b =Cov(Rj, Rm)/

2
m

R j=Rf+ (Rm- Rf)

=Rf(1 - )+ Rm
R j=a+bRm

aRf( 1- )

a>Rf(1 - )

a=Rf(1 - )

a<Rf(1- )

aRf ( 1 - )

R2 R2

C A P M

106

R2
()
(1- R2)

R 2R 2

4.1 CAPM

A. 1 9 9 21 1 9 9 61 2

j=( j- j-1+j)/ j-1

jj;
j j
j j

5 0%

23
5 0%
(1 - 100/150)=33.33%

107

j=(jj-j-1+
j)/ j-1
2
1.5
B. SP500

S&Pj=(S&pj-S&Pj-1)/ S&Pj-1+ j
j j jj
S & P 5 0 0
C A P M

4-2 19921199612
S&P500

a. = 1 . 4 0 1 9 9 21 9 9 6

( )
b. = 0 . 0 1%Rf( 1 - )
1992~1996 (
)0 . 4%

Rf(1- )=0.4%(1- 1.40)=- 0.16%

- R f(1 - )=- 0.01%- (-0.16%)=0.15%

108

S & P 5001992.1~1996

4-2 S & P 5001992.1~1996

0 . 1 5%
C A P M 1 9 9 211 9 9 61 2
1.81%
=(1+ )12- 1
=1.001512-1=1.0181 -1=0.01811.81%

1 9 9 2 1 9 9 6 3 . 5%
- 1.7%(

109

=1.8%- 3.5%)
c. R 2= 3 2 . 4 1%
( )3 2 . 4 1 % ( )
6 7 . 5 9%
CAPM
R2 R2
199725%
4.5 R 2
A m g e n
1 . 4 0 R 2
3 2%A m g e nR2 1 5%

R2
A m g e n R 2

d. =0.27 67%
1 . 1 31 . 6 7 (
1.40 )95%
0 . 7 61 . 9 4 ( 1 . 4 0
)

110

(
)
( )

Rf(1- )
(2)

B a r r aValue Line
B l o o m b e rg

()

B l o o m b e rg B l o o m b e rg

(19921199612)

SPX

(----)

T= B= A=

()
R2()

DG28

S&P 500

Y =1.40 X -0.06

1.27
1.40
-0.06
0.32
5.09
0.27
59

=(0.67)
+(0.33)1.0
X =
Bloomberg : 69-920410 : 2-521-3000 : 171-330-7500 : 212-318-2000
: 609-279-3000 : 226-3000 : 2-9777-8600 : 3-3201-8900 Sao Pouol: 11-3048-4500
6261-4-0 08-Aug-97 14:34:21

111

(4 - 2 )
B l o o m b e rg

B l o o m b e rg

0.67+10.33

1
1

1

4.6 1

(8 0 )
1

112

(3)

5 B l o o m b e rg

Capital Cities/ABC

0.98
1.40

D A X F T S E
S&P500

0 (
)

D i m s o nScholes Wi l l i a m s

113

1992~1996

1.19

1.
Value LineS & P 5 B l o o m b e rg

2.

B l o o m b e rgValue Line S & P

3.

B l o o m b e rg
1 B a r r a

( Aracruz Cellulose )

A.

114

B. Aracruz Cellulose

(S & P 5 0 0
)
Aracruz Cellulose
( ) B l o o m b e rg
B o v e s p a

3 6
B o v e s p a
Te l e b r a s
A r a c r u zB o v e s p a
A r a c r u zTe l e b r a s
AT & T

ARC6

IBOV

(----)

T= B= A=

()
R2()

DG28

BOVESPA

Y =0.68 X -0.26

0.78
0.68
-0.26
0.39
9.98
0.14
36

=(0.67)
X =IBOV
+(0.33)1.0
Bloomberg : 69-920410 : 2-521-3000 : 171-330-7500 : 212-318-2000
: 609-279-3000 : 226-3000 : 2-9777-8600 : 3-3201-8900 Sao Pouol: 11-3048-4500
6261-4-0 08-Aug-97 14:34:21

115

C A P M

a.
Bovespa
b.

c. Aracruz Cellulose
( A D R )

S & P 5 0 0

I-Senn
S&P500()
( )

0.69
0.46
0.35

Aracruz Cellulose

S & P 5 0 0

ADR

116

Aracruz Cellulose

Aracruz

C e l l u l o s e

C.
B l o o m b e rg
D A X D A X

DAX

(----)

T= F=

()
R2()

DG28

DAX

Y =0.80 X -0.67

0.87
0.80
-0.67
0.60
2.90
0.09
59

=(0.67)
+(0.33)1.0
X =DAX
Bloomberg : 69-920410 : 2-521-3000 : 171-330-7500 : 212-318-2000
: 609-279-3000 : 226-3000 : 2-9777-8600 : 3-3201-8900 Sao Pouol: 11-3048-4500
6261-4-0 08-Aug-97 14:34:21

D A X

117

(4)

C A P M A P M
CAPMAPM
C A P M

j= k

= R f +

[E( Rj ) R f ]

j =1

R f

E(Rj)- Rf j
k

2.

118

(1)
i )
i i ) i i i )
C A P M
APM
1)

G e n e r a l
Foods Kelloggs

4.7

Polo Ralph Lauren 1997

1
1
1

119

(
E - m a i l
)

2)

( )
(EBIT)

120

= /

4.2
1 9 8 7 ~ 1 9 9 6

(%)

(%)

1987

2877

1988

3438

756
19.50

848

12.17
38.80

1989

4594

33.62

1177

1990

5844

27.21

1368

16.23

1991

6182

5.78

1124

- 17.84

1992

7504

21.38

1429

27.14

1993

8529

13.66

1232

- 13.79

1994

10055

17.89

1933

56.90

1995

12112

20.46

2295

18.73

1996

18739

54.71

2540

10.68

23.80

16.56

= /

=16.56% /23.80%=0.70

1 . 1 5
1996
Capital Cities

121

1 9 8 7 ~ 1 9 9 5

1987~1996=17.29%/19.94%=0.87
4.8

(
)

3)

122

( )

= u[1+(1- t)(D/E)]

( )

t
D/E /

4.3
1 9 9 2 ~ 1 9 9 6
1 . 4 0
1 9 9 2 ~ 1 9 9 6
/
1992~1996 / =1.40%
3 6%

= /[1+(1-)(/)]
=1.40/[1+(1- 0.36)(0.14)]=1.2849

= [(1+(1- )(
/ )]
1 0%

( )
L = u (1+(1- t)
(D/E))- D (D/E)

123

D/E10%)=1.2849[1+(1-0.36)0.10]=1.37
25%
(D/E25%)=1.2849[1+(1- 0.36))0.25]=1.49
4 - 3 0 ~ 9 0%

4-3

(%)
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
90.00

(%)
0.00
11.11
25.00
42.86
66.67
100.00
150.00
233.33
400.00
900.00

1.28
1.38
1.49
1.64
1.83
2.11
2.52
3.20
4.57
8.69

0.00
0.09
0.21
0.35
0.55
0.82
1.23
1.92
3.29
7.40

(unlev.xls)
(2)

124

1.

( 2 ~ 5)

/
/

2.

= u[1+(1- t)(D/E)]-

(I-E)(D/E)

3.

(3)

125

1)
2) ( )
3)

4)

5)
( )

4-419973

4-4
19973

(OEM)
()

()

0.85
0.93
1.20
0.99
0.89
0.96
1.02
0.80
0.72
0.77

126

(%)
19.74
18.68
93.17
38.16
25.33
133.99
37.22
37.88
31.59
27.62

0.76
0.83
0.75
0.80
0.76
0.52
0.82
0.65
0.60
0.66

()

(%)

()
()

0.78
0.73

48.02
29.26

0.59
0.62

( )
()

0.71
0.88
0.89

24.46
12.13
26.07

0.62
0.82
0.77

1.03
0.75

125.37
43.80

0.57
0.58

()
()

0.83
0.89
0.85

18.54
23.85
25.76

0.74
0.78
0.73

()
/

0.89
0.87

16.83
59.10

0.80
0.63

1.33
1.30
0.90

14.20
3.96
48.18

1.22
1.27
0.69

0.82
1.28

23.77
8.48

0.71
1.21

()
()

0.84
0.70
0.73

18.46
91.49
80.07

0.75
0.44
0.48

()

0.73
0.98

90.90
9.39

0.46
0.92

1.07
0.88
0.89

14.67
43.35
37.92

0.98
0.69
0.72

1.00
0.74

76.02
23.05

0.68
0.65

0.77
0.78
0.94

46.13
48.56
26.35

0.60
0.59
0.80

0.88
0.62

25.83
10.33

0.75
0.59

0.78

37.97

0.63

127

()

(%)

1.22
0.90

1.38
61.05

1.21
0.65

0.87
1.07
0.97

104.04
33.14
13.90

0.52
0.89
0.89

()

0.86
0.82

26.79
17.16

0.73
0.74

()
(/)
()

0.86
0.80
0.55

15.86
8.62
39.67

0.78
0.76
0.44

()

0.64
0.85

8.70
30.25

0.61
0.71

1.04
0.86
1.06

11.75
103.19
23.61

0.96
0.52
0.92

1.11
0.81

8.92
16.08

1.05
0.73

()
()
()

0.80
0.58
0.82

28.59
57.47
47.99

0.68
0.42
0.62

0.86
1.04

26.38
34.10

0.73
0.85

0.86
0.77
0.84

11.43
42.57
61.73

0.80
0.61
0.60

()
()

0.72
0.71

19.73
35.91

0.64
0.58

0.97
0.89
0.69

11.07
25.08
109.42

0.91
0.77
0.40

1.01
0.89

35.06
22.59

0.83
0.78

1.06

18.85

0.95

128

()

(%)

1.07

19.13

0.95

0.98

12.33

0.90

1.00

47.93

0.77

1.19
1.45

502.16
4.41

0.28
1.41

1.43

3.95

1.39

1.01

10.93

0.94

()

0.83

27.09

0.70

()

0.98
1.28

54.91
6.27

0.73
1.23

1.08

34.12

0.89

0.79

70.29

0.54

0.86

194.62

0.38

1.03
0.99

18.61
27.75

0.92
0.84

1.00

7.50

0.95

0.84

10.52

0.79

0.77

71.16

0.53

()

1.00
0.56

37.16
109.80

0.81
0.33

(Betas.xls)
A r a c r u z

A.

Capital Cities/ABC

129

1 0 0

a.

b. 6 1 0

c. A B C (1 9 9 5
) A & EE S P N ( A B C
)
d. Disney Wo r l d (
)Disney Land( A n a h e i m )
Tokyo Disney LandEuro Disney

e.
Vero175 Hilton Head102

4-5

1996

()()
/

130

1 . 0 9 2 94 - 5

4-5

/$
22 167
2 217

18 842

16 625

2 217

1.25

1.5

0.9

1.1

0.7

62 068

(%)
35.71

0.446 4

3.57

0.053 6

30.36

0.273 2

26.79

0.294 6

3.57

0.025 0

100.00

1.092 9

5 0 8 . 9
111.8
=1.09[1+(1- 0.36)(11.18/50)]=1.25
1.25 1.40

B.

4-6
/
/ /

131

36%
=1.10/[1+(1- 0.36)0.1821]=0.99
4-6

(%)

Barnes & Noble

1.10

23.31

1 416

Books-A-Million

1.30

44.35

85

Borders Group

1.20

2.15

1 706

Crown Books

0.80

3.03

55

1.10

18.21

816

/
/ /
/
1 . 1 0

C. Aracruz Cellulose
Aracruz Cellulose
Aracruz Cellulose

Aracruz Cellulose ( )

BovespaTelebras

132

(%)

(5)

0.70

65.00

0.49

(45)

0.85

35.00

0.69

(187)

0.80

50.00

0.61

3 5%
3 6% 4 0%
0 . 6 1 (
) A r a c r u z

A r a c r u z
A r a c r u z
A r a c r u z1 9 9 58
2 0%
A r a c r u z

Aracruz =0.80.61+0.20=0.488
1 9 9 7A r a c r u z 1 6
2 4 /
6 6 . 6 7% 3 2% A r a c r u z

133

Aracruz =0.49[1+(1-0.32)0.6667]=0.71

A r a c r u z
b

/ =( - )/
=(1.6 -0.8)/2.4=33.33%

Aracruz =0.61[1+(1- 0.32)0.3333]=0.75

(
)
()

D.

M o rgan Grenfell( )

134

0.90
1.30

( )


9 0% 1 0% (
)

=0.9(0.9)+(0.1)(1.30)=0.94

(4)

Capital Cities

Capital Cities/ABC
4.4

/Capital Cities
1 9 9 5 1 2 0
Capital Cities, ABC
1 0 0

135

3 11
31.86 1.15 120Capital
C i t i e s 1 8 5 6 . 1 5
0.95

=1.15/(1+0.640.10) =1.08
Capital Cities =0.95/(1+0.640.03)=0.93


( =+)
=1.08(34 286/53 401)+0.93
(19 115/53 401)
=1.026
/

100
=Capital Cities + +
=615+3 186+10 000=13 801( )
=+
=31 100+8 500=39 600( )
= -
=18 500 - 10 000=8 500( )
/
/=13 801/39 600=34.85%
/

136

=1.026[1+0.64(0.348 5)]=1.25

3.

C A P M

4.5
1 9 8 0
4 - 7 1 9 8 0
S & P 5 0 0
S&P500
=- 0.085+1.11(S&P500 )
4-7 S&P500

S&P500(%)

(%)

1980

- 2.10

3.55

1981

- 6.70

4.05

1982

- 45.50

-14.33

1983

37.00

47.55

137

()

S&P500(%)

(%)

1984

41.80

65.00

1985

-11.80

5.05

1986

7.00

8.50

1987

41.50

37.00

1988

41.80

45.17

1989

2.60

3.50

1990

- 18.00

- 10.50

1991

- 47.40

- 32.00

1992

64.50

55.00

1993

20.00

31.00
21.06

1994

25.30

1995

15.50

11.55

1996

24.00

19.88

1 . 11
S&P500

(1)
Aracruz Cellul o s e

1) 1 0

2)
1

138

1 9 6 0 S & P 5 0 0

(2)

(Aracruz )

( )

1)

2)

139

3)

1.25 1.10
Aracruz0.71 0.94

4.1.4

CAPM

= +

j =n

= +
j =1

( )

140

4.6

Aracruz

C A P M
A r a c r u z

(%)

(%)

(%)

(%)

1.25

20.92

1.42

7.00

5.50

14.80

1.50

20.92

1.70

7.00

5.50

16.35

0.90

20.92

1.02

7.00

5.50

12.61

1.10

20.92

1.26

7.00

5.50

13.91

0.70

59.27

0.97

7.00

5.50

12.31

1.09

21.97

1.25

7.00

5.50

13.85

0.99

18

1.10

7.00

5.50

13.05

Aracruz

0.488

67

0.71

5.00

7.50

10.33
12.45

0.90

7.50

5.50

1.30

7.50

5.50

14.65

0.94

7.50

5.50

12.67

( )

141

/ /

( )

( )Aracruz
(
)

1 . 1 0 (1 3 . 0 5%
)

1.

2.
(
)
3.
R 2
= /R2
1 . 1 0

142

R233% 3.30
25.05%

4.2

4.9

4.2.1

1)
2)

143

3)

= (1- )
(
)
4.10

4.7

Aracruz

A r a c r u z

A A
5 0 A A A
20
1%

A r a c r u z1 9 9 6 A A

144

50

(%)

(%) (%)

7.50

36

4.80

7.50

36

4.80

7.50

36

4.80

7.50

36

4.80

7.50

36

4.80

7.50

36

4.80

8.00

42

4.64

Aracruz

5.50

32

3.74

7.70

45

4.24

7.70

45

4.24

7.70

45

4.24

4.2.2
(
)
( )

145

Kps= /

( )

4.11

4.8
1 9 9 53 2 . 2 8
2 6 . 3 8

= /
=$2.28/$26.38=8.64%
C A P M 1 3%
8 . 2 5% 5 . 2 8%

4.2.3

146

( ) ( )

4.9 Unisys
1992Unisys8.25% 2000
1 4 0 0 U n i s y s
1 9 9 21 2 8 . 4%

=2000 8.25%
8.40% (8 )
=991.50()
=1400()-991.50()=408.50()
991.50408.50

4.12
(
)

147

4.2.4

( )

15% 5%
1 0%
30%
15%0.9+5%0.1=14%
15%0.7+5%0.3=12%

148

10 6 000 6
7.5%
1 1
6
1000
= 60 1.075 +
= 930 ( )
6
0.075
1.075

4.10
A r a c r u z

149

123.42 4.79
3 7 . 5 0%

1 1
3
12 342
479 1.075 +
= 11180 ()
0.075

1.0753

A r a c r u z

500 000 8%
500 000
1

1
10
1.08
= 3.36()
=500 000
0.08

/(

/(

(%)

$12342

(%)

$16 086

43.41

$11 180

$50 297

18.19

$6

0.00

3.36

1 581

2 284

40.90

1 520

2 001

43.17

110 111

30 295

78.42

110 111

62 695

63.72

Aracruz

150

A r a c r u z

1 5 . 4 0%

4.2.5
(
)
(K e)
(K d)
(Kps)

EDP S

=Ke[E/(D+E+PS)]+Kd[D/D+E+PS)]+ Kps[PS/(D+E+PS)]

4.2.6

151

4.11 Aracruz

Aracruz Cellulose ( )

/(

/(

(%)

(%)

(%)

(%)

(%)

82.70

14.80

17.30

4.80

13.07

82.70

16.35

17.30

4.80

14.36

82.70

12.61

17.30

4.80

11.26

82.70

13.91

17.30

4.80

12.32

62.79

12.31

37.21

4.80

9.52

81.99

13.85

18.01

4.80

12.22

84.60

13.05

15.40

4.64

11.75

Aracruz

56.83

10.33

43.17

3.74

7.48

36.28

12.45

63.72

4.24

7.22

36.28

14.65

63.72

4.24

8.01

36.28

12.67

63.72

4.24

7.30

(
) 1 3 . 0 7%
1 4 . 8 0%

152

4.3

( C A P M ) ( )
( A P M ) (
) (
)
C A P MA P M
(CAPM APM )

()

1.

a.
b.

153

c.
d.
e.

2.
A.

a.
b.
c.
B.

a.

b. (
)
c.
d.
C.

a.
b.

( )
c.
d.

154

e.
D.

a.
b.
c.

E.

( )
a.
b.
c.

F.

a.
b.
c.

G.

a.
b.
c.

155

d.

3. 5 Nike S&P500

Nike=0.22%+1.20 s&p500
R 2=15%

(0.38)

a. 67%
b. 6% N i k e

c. N i k e
4 5 7 5

d. Nike ( )

14.5%Nike
e. 5 4 . 8% 5
Nike
f. N i k e

4.

1 . 1 0 1 5%

1.18
1.14

156

/ (%)
30
70

( 40%)

7 0% 3 0% /
150% 30%
a.
b. 12%
B B B (
2% )

c. 6%

5. D e v o n e x( )
S&P500 5

Devonex=- 0.20%+1.50 s&p500

+ 0 . 1 0%()
5
6. G e n C o r p (
) 1 5 0
1 0 0 1 . 0 0

0.92
1.17

/ (%)
25
50

4 0%
6%GenCorp
7. G e n C o r p 1 0 0

a. GenCorp

157

b.
GenCorp
c. GenCorp

8. M u l t i - B r a n d
0 . 9 5
/ 11 . 11% 1
1
2 . 2 5 2 5 0 0
40%
9. SunCoast
MF Capital

S u n C o a s t 1
501000 1.2
MF Capital l 5 0 0
10 0.9
S u n C o a s t 1 0 0
MF Capital S u n C o a s t
40%
10. Timbuktu Stock Exchange(TSE)
1 0 5 0 3%
6 . 5% 6%

11. 199512Boise Cascade 0.95

5.8% 6.4%
a.
b.

158

c.
12. Boise Cascade 17
15 36%
a. 0 . 9 5

b.

13. B i o g e n 1 9 9 5 1 . 7 0

a. 6.4%Biogen
b. 7 . 5% B i o t i n

c. Biogen
14. Genting Berhad

1.15 11.5%
a.
b.
(
)

15. 5 H e a v y Te c(
)
RHeavyTech=0.5%+1.2RM
5 0% 2 0%
3%( 5%) 5 0
4 2
2 . 5 0
8% 3%H e a v y Te c

159

40%
a. HeavyTec
b. HeavyTec
c. H e a v y Tec

d. HeavyTec
e. Heavy Te c 1 5 000
5 000
16. Safecorp
5 000 1 1 . 2
/ 8
40%
17. Novell 20 1.50
Wo r d P e r f e c t 1 0
1 . 3 0
40%
a.
Novell
b. N o v e l l 1 0 Wo r d P e r f e c t

18. 4

36%)

20

1.10

20

1.50

10

2.00

30

1.00

a.

160

b. 7 . 5%

c.
H P (
10)
19.

Pharma
Syner
BioMed
Safemed

()
27
25
23
21

()
25
32
36
40

1.00
1.15
1.30
1.40

a.
b.
20. C o m c a s t (
) 1 . 4 5

1.60

21. Battle Mountain

0 . 3 0

22. AnaDone(AD)(
) 5 5

161

1981
1982
1983
1984
1985

AD(%)
10
5
-5
20
-5

(%)
5
15
8
12
-5

a. ( )( )
b. A D A D
(6 6%)
c. 5 A D
( 5%)
d.
A D

e. A D
AD 20%
AD ( )
AD
23. S & P 5 0 0 M a p c o (
) 19911995
=0.06%
X=0.46
X =0.20
R 2=5%
2000 2
2000 ( 36%)
a. 6% M a p c o

162

b.
c. M a p c o ( )
2 0 0 0
5 0 0 0 (
3 0 0 0 )
0 . 2 0
0 . 8 0
Mapco
24. 5 A m e r i c a n
Airlines (AMR)S&P500

a. R 20 . 3 6 6 7%
12%AMR
b. AMR5
( )0.39%
() 4.84%

c. A M R R 2 0 . 3 6

25. A m g e n ( )
S&P500
R=3.28%+1.65R
R2=0.20
4 . 8%3 0
6.4% 2.65 30
a.
b. 3 0

c.

163

5 1 . 1 0%

d. / 3% 4 0%
2 0

26. M A D( )
S&P500
R MAD=0.05%+1.20RS&P
R 2 2% 5 . 5%
2

6 . 5% 6%

a.
0.05%
0.05%
1.25%
1.25%

( )
b. M A D (
)
2 0 0 0
0.6
2000 4000

M A D 4 0 0 0
1.2
40%
27. Time Wa r n e r( )

164

1 . 6 1 Wa r n e r 1 9 8 9
Ti m e 1 9 9 5 1 0 0
1995Time Warner 100
40%
a. Time Warner
b. 10%

28. ( ) 1 9 9 5 1 . 0 5
1 3 0 3 . 5 5
5 0 1 9 9 5 8 0
36%
a.
b. 5 0

c.
29.

Black & Decker

Fedders Corp
Maytag Corp
National Presto
Whirlpool

1.40
1.20
1.20
0.70
1.50

/
2500
5
540
8
2900

/
3000
200
2250
300
4000

25%40%
40%
a.
b.
( )
30. RJR Nabisco

165

0 . 9 5 / 3 5%
/ 25% 36%
a.
b. RJR Nabisco

31. Southwestern Bell( )

1 9 9 5 0 . 9 0 /
11 9 9 9 3 0%
1 . 2 0 / 5 0%
35%
a. /Southwestern Bell1999
b. 5 0% /
Southwestern Bell1999
32. Adobe Systems

Adobe Systems
1 9 9 1 1 9 9 12 . 3 5
19951.40
a.
b.
c.
33. Ti ff a n y s
b 0 . 7 5 0 . 5 0
1.15
a. Tiffanys / 20%

166

40%)
b.
c.

34.

( 9%
6%)
( 8.5% 5.5%)
a.

b.

35.

36.

37.

a.
b. 7% 3%

c.

38.

167

1.40/15%R225%
40%
a.
b. /

c.
/

d.

e.

39. Allstate Insurance

1 . 2 0 A l l s t a t e
S&P500
9 3 4 . 3
25( )
A A A A A A
0.20%
6%
a. Allstate
b. Allstate
c. Allstate

40. Food World( )

5 0 0

168

10%
350

(%)

>12.5

AAA

0.20

9.50~12.50

AA

0.50

7.5~9.5

A+

0.80

6.0~7.5

1.00

4.5~6.0

A-

1.25

3.5~4.5

BBB

1.50

3.0~3.5

BB

2.00

2.5~3.0

B+

2.50
3.25

2.0~2.5

1.5~2.0

B-

4.25

1.25~1.5

CCC

5.00
6.00

0.8~1.25

CC

0.5~0.8

7.50

<0.5

10.00

42%
6%( 8%)
a.
b.
c.

41. Sybase S&P500

1 . 1 0 0 . 5 2 5
1 . 5 0 /
10%Sybase
a. Sybase
b. 6%

169

c. CAPM Sybase

S y b a s e

42. Archer Daniels Midland

0 . 8 5 3 4
2 . 2 5 4
5 . 3 2 2 2
6 0 . 5 A AA A
0.70% 6%

(
)

170

1. ( )

5 Bloomberg

( 5)

(
)

2. ( )






3.
( )

171

4.

5.


(

172

riskview.com(www.riskview.com)
(www.dailystocks.com valuation, growth
ratios)3
( i n d b e t a s . x l s )

( w w w. r e p o r t g a l l e r y. c o m )1 0 - K( w w w.
sec.gov/edgarhp.htm)
(
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E - m a i l r a t i n g s . s t a n d a r d p o o r. c o m / r a t i n g s

r a t i n g s . x l s
( )

ratings.xls
5
( r i s k . x l s ) e x c e l
R 2

173

( )

Aracruz Cellulose

5.1

( 1 )
( 2 ) ( 3 )

175

1) (
) (
)
2) ( Capital Cities
Morgan Grenfell)
3)

4)

5)

176

( )

5 - 1

5-1

5.1

Aracruz

A.

A m a z o n

177

B.

C. Aracruz Cellulose

5.2

5.2.1

178

)
( )

( G A A P )

(
)

1.

( )
( )

( )
(
)

179

5.1

2.

( )

180

( )

3.

(
)
( )

( )

181

( )

1.

2.

3.

4.

4.

( )
(
) 5 - 1

182

( F C F E ) = + -
- - +
5-1

-
-

-
-
=

-
-
+

+
+

-
=

-
-
=

-
+
-
-
+

-
-
+
=

(
)
5 - 2

( F C F F ) = ( 1 - ) +
- -
5-2

- -

+
+

183

-
=

()

-
=

=
+

+
-

5.2

1 9 9 71
57
5 1 4 2 4 1

184

5.
(
)

( )

Terry SmithUBS Phillips & Drew

12

S m i t hMaxwell Communication
Polly Peck

5.2

1996 ()

185

18 739

-127

17 189

-8 060

-12 046

-1 550

-1 134

+4 113

=5 559

9 129

+1 134

-
=

=5 559

-0

9 129

-2 001

-2 001

=3 558

7 128

(1-)

(1-)

=3 558

- -( -2 436)

7 128

-1 745

+1 134

-1 745

5 383

= (1-)+

- -
=5 599 (1- 0.36)+1 134 -(- 2 436) -1 745=5 383( )

()2 436
1 9 9 6

Capital Cities 1 8 5

186

= (1-)+

- -
=3 024+3 944 - (- 2 436)-20 245= -12 084( )

Capital Cities

(indoi.xls)

5.2.2

( )

1.

187

M e r c k I n t e l

McLean Deluxe(1990
) 3 000
2 000

2.

188

5.3
1

( G & A ) 600 000

5
G & A 5
120 000
6
100 000
100 000

G & A 600 000

600 000 660 000

1/6110 000
110 000

60 000($660 000 -$600 000)

( )

189

3.

(1)

Kelloggs

Post General Foods

190

I B MD e l l

(2)
( )

G l a x o Z a n t a c

5.3

15%

191

85% 15%

4.

(
)
5.4
5 . 1

A.
100
4 4

B. 150 20%
10%
C. 150 000
20%
D. 6 0%

192

E.
( ) 1 0%

F. 42%
4

$1 500 000

$150 000

$900 000

$250 000

$150 000

$50 000

$21 000

$29 000

2
$1 800 000

3
$1 980 000

4
$2 079 000

$165 000
$1 080 000
$250 000
$180 000
$125 000
$52 500
$72 500

$181 500
$1 188 000
$25 000
$198 000
$162 500
$68 250
$94 250

$199 650
$1 247 400
$250 000
$207 900
$174 050
$73 101
$100 949

( )

-
(WC)

(ATCF)

1
$29 000

2
$72 500

3
$94 250

4
$100 949

$250 000

$250 000

$250 000

$250 000

$30 000

$18 000

$9 900

$249 000

$304 500

$334 350

$350 94

(WC )

1 0%
1 0%

193

0()
-$1 000 000

-
$150 000

-$1 150 000

$29 000

$72 500

$94 250

$100 949

$250 000

$250 000

$250 000

$250 000

$30 000

$18 000

$9 900

-$207 900

$249 000

$304 500

$334 350

$558 849

5.4

(
)

194

5.5

Epcot Center

A.
15% 3%
B. 1 090.78 7 0 0
390.78

1 7 5

195

C. E p c o t 6 7 9 . 8 7 4 3 6 . 3
243.57
D.
15%

( Bt)

43 630

8 726

52 356

68 199

12 178

80 377

92 461

16 317

108 778

121 451

30 363

22 772

174 586

149 161

37 290

46 613

233 064

183 193

45 798

57 248

286 238

224 989

56 247

70 309

351 545

276 321

69 080

86 350

431 752

317 769

79 442

99 303

496 515

E. 6 0%
75%
F.
( Bt)

16 361

6 545

18 389

10 047

20 088

13 597

19 356

31 823

20 467

23 306

23 090

22 899

196

()

8
9

25 764
28 816
33 138

26 366
32 381
33 138

1 0

G.

1 / 3
( )2 / 3

( Bt)

1
2
3
4
5
6
7
8
9

8 726
10 717
13 162
16 165
19 853
24 383
29 946
36 778
42 295

2 618
1 096
952
2 657
1 907
1 301
1 598
1 963
723

H. (

) 5%

I. 3 6%

(
) 5-3 5-4

197

198

5-3
2 / 3 (
)

26
5%

1 090.78
0700 1390.78 175

5.5

199

5-4

70 000

(70 000)

39 078

(39 078)

2
(3 490)

3
779

4
5 001

16 361

18 389

20 088

50 175

34 404

13 597

2 618

196

952

3 723

4 573

5 616

(36 199)

(11 759)

16 155

( C a p b u d g . x l s )

200

( Bt)
5
19 774

6
29 384

7
37 399

8
47 592

9
60 259

10
69 297

19 356

20 467

23 090

25 764

28 816

33 138

21 823

23 306

22 899

26 366

32 381

33 138

2 657

1 907

1 301

1 598

1 963

723

6 897

8 471

10 403

12 277

15 692

18 046

21 548

33 109

46 692

58 169

70 423

86 620

5.6 Aracruz
Aracruz Cellulose
750 000

A. 2 . 5 5

201

5-5
1

()

/
()

(BR)
(BR)
(BR)
(BR)
-(BR)
(BR)
-(BR)
(BR)

650
0.90
585
400
234 000

700
0.90
630
400
252 000

178 700
50 000
1 696
3 604
5 500
(1 896)
(607)
(1 289)

188 600
40 000
7 488
15 912
5 073
10 839
3 469
7 371

750
750
0.90
0.95
675
713
400
400
270 00
285 000
198 500
32 000
12 640
26 860
4 622
22 238
7 116
15 122

206 750
25 600
16 848
35 802
4 147
31 655
10 130
21 526

500
B. A r a c r u z 1
5 . 5% 1 0(
)
C. 10 (5
) 1 0

D.
750 000
650 000
700 000
E. 90%
95%
F. 4 0 0

202

Aracruz Cellulose
5

10

750
0.95
713
400
285 000

750
0.95
713
400
285 000

750
0.95
713
400
285 000

750
0.95
713
400
285 000

750
0.95
713
400
285 000

750
0.95
713
400
285 000

206 750
20 480
18 486
39 284
3 645
35 638
11 404
24 234

206 750
26 384
16 597
35 269
3 116
32 153
10 289
21 864

206 750
21 107
18 286
38 857
2 558
36 299
11 616
24 684

206 750
16 886
19 637
41 728
1 969
39 759
12 723
27 036

206 750
13 509
20 717
44 024
1 347
42 677
13 657
29 020

206 750
10 807
21 582
45 861
692
45 170
14 454
30 715

G.
5 5% 5 000

H. 1 5%

I. 5-5
5-5Aracruz Cellulose 10

( BR)

13 267

5 500

7 767

13 267

5 073

8 194

203

()

13 267

4 622

8 645

13 267

4 147

9 120

13 267

3 645

9 622

13 267

3 116

10 151

13 267

2 558

10 709

13 267

1 969

11 298

13 267

1 347

11 920

10

13 267

692

12 575

5 - 6 Aracruz Cellulose

5-6

+
-

-
+

0
-250 000
+100 000
-150 000

35 100

(185 100)

(1 289)
50 000
0
2 700
7 767

7 371
40 000
0
2 700
8 194

15 122
32 000
0
2 250
8 645

21 526
25 600
0
0
9 120

38 244

36 477

36 227

38 006

204

3 510
0 1 1 5%
1 5%

1 0

Aracruz Cellulose

5.6
5
5 000
5 (5 - 6
Aracruz Cellulose
( BR)
5

24 234
20 480
50 000
0
9 622

21 864
26 384
0
0
10 151

24 684
21 107
0
0
10 709

27 036
16 886
0
0
11 298

29 020
13 509
0
0
11 920

(14 907)

38 097

35 082

32 624

30 609

10 ( )

205

10

30 715
10 807
0
(42 750)
12 575
43 228
114 925

)-1490.7 5 000
5

5 000
5 000

(Capbug.xls)

5.2.3

(1 0 ~ 2 0)

1.

1)

2)

206

3) ()

r
t (CFt)
CFt
1
= CFt
=
(1+ r)t
(1+ r) t

(1+ r) t

(
)
1

2.

( )

1)

2)

207

5.7

( )

5.2.4
1.

( )

(1)

()=

()=

(1- )

1 0 0
300 000
800 000 4 0%

=$300 000
=$1 000 000

=$800 000

208

=$(1 000 000+800 000)/2=$900 000

()=

$300 000
$900 000

=33.33%

$300 000(1- 0.40)

=20%
()=
$900 000

( B V )

4 1 500

(1 - )

21.43%

33.33%

50.00%

75.00%

7 0 0
( R O C )

5-7
5-7 4

1
$300
$1 400
21.43%
12.86%

2
$400
$1 200
33.33%
20.00%

209

3
$500
$1 000
50.00%
30.00%

4
$600
$800
75.00%
45.00%

4 ( ) 4 4 . 9 9%
2 6 . 9 6%
4 3 . 5 8% 2 6 . 4 0%

=$450
=$270
=($1 500+$700)/2=$1 100
=$450/$1 100=40.91%
=$270/1 100=24.54%

>
<

5.7
Aracruz
Aracruz Cellulose

210

A.

2 . 0

=7%+25.5%=18%
15.40% 8%42%

=18%0.846+8%(1- 0.42) 0.154=15.94%

B.
1 2 . 3 2%

( )=

1+
1+

1.15
= 25.41%
1.03
C. A r a c r u z 1 0 . 3 3%
12.32%

211

( )

1 9 9 77 A
1%
12.32%
1 3 . 3 2%

5.8

5 . 45 . 5

212

5 - 8

5-8
0

(5-4)

$1 000 000

$1 000 000

1
$29 000

2
$72 500

3
$94 250

4
$100 949

$1 000 000

$750 000

$500 000

$250 000

$250 000

$250 000

$250 000

$250 000

$750 000

$500 000

$250 000

$0

$875 000

$625 000

$375 000

$125 000

3.31%

11.60%

25.13%

80.76%

3 0 . 2 0%
5 - 7 1 5 . 9 4%

5 - 9

5-3
5-9

0
1
0
2
(3 490)
3
779

/
)
87 500
126 578
160 391

0
0
16 361
18 389

87 500
39 078
50 175
34 404

213

87 500
126 578
160 391
176 406

(%)

107 039
143 484
168 399

-2.43
0.46

()

(%)

5 001

176 406

20 088

13 597

169 915

173 161

2.89

19 774

169 915

19 356

21 823

172 382

171 149

11.55

29 384

172 382

20 467

23 306

175 221

173 801

16.91

37 399

175 221

23 090

22 899

175 030

175 126

21.36

47 592

175 030

25 764

26 366

175 632

175 331

27.14

60 259

175 632

28 816

32 381

179 198

177 415

33.96

10

69 297

179 198

33 138

33 138

179 198

179 198

38.67

16.72

1 6 . 7 2%
2 5 . 4 1%
10 10
25.41%

(
)

214

11 0 0
4100

5 - 8
1 7 5
8 7 5
(
)
10 10

(2)

4 8 0 0
4

215

>
<

5.9 Aracruz Cellulose

Aracruz Cellulose
5 . 6

( 5-5)

250 000

(1 289)

250 000

50 000

7 371

200 000

40 000

15 122

160 000

32 000

21 526

128 000

25 600

24 234

102 400

20 480

50 000

21 864

131 920

26 384

24 684

105 536

21 107

27 036

84 429

16 886

29 020

67 543

13 509

10

30 715

54 034

10 807

216

4 0 . 1 2%
1 0 . 3 3%

(3)

( )

(%)

250 000

100 000

150 000

200 000

92 233

107 767

128 883

160 000

84 039

75 961

91 864

8.02

128 000

75 395

52 605

64 283

23.52

102 400

66 275

36 125

44 365

48.52

131 920

56 653

75 267

55 696

43.51

1.00

105 536

46 502

59 034

67 151

32.56

84 429

35 793

48 636

53 835

45.85

67 543

24 495

43 048

45 842

58.98

54 034

12 575

41 459

42 254

68.68

43 228

43 228

42 343

72.54

217

1) ( )

( )
2)

3)

5.10

A r a c r u z

Aracruz

Aracruz

5 559
2 500 000
15
13 369

(1- )
3 558
1 450 000
10
7 353

7 663
3 180 000
1 369
103 824

1 9 9 6

218

1 9 9 5 1 9 9 6
1 9 9 6

A.

1 9 9 5 ~ 1 9 9 6 1 0 0
Capital Cities

B.

C. Aracruz

Aracruz1996
1995(2.71 )

11 368
5 500 000
2 115
29 444

(%)
18.69
16.71
0.29
5.52

(%)
12.22
11.75
7.48
7.30

219

-
(%)
6.47
4.96
- 7.19
- 1.78

A r a c r u z

Aracruz

2 836.4
1 160 000
47
2 134

11 368
5 500 000
2 114.65
29 444

(%)
24.95
21.09
2.22
7.25

-
(%)
(%)
13.85
11.10
13.05
8.04
10.33
- 8.11
12.67
- 5.42

(eva.xls)

(EVA)

EVA

(EVA)=( - )

EVA

Aracruz

(%)
24.95
21.09
2.22
7.25

(%)
13.85
13.05
10.33
12.67

11 368
5 500 000
2 115
29 444

Stern StewartEVA 168

220

E VA E VA

EVA
EVA=(- )
EVA
EVA
5 . 1 0
EVA ()
EVA

5.8 EVA

EVA
EVA
EVA

EVA
1 262
442 250
- 171
-1 597

(%)
18.69
16.71
0.29
5.52

(%)
12.22
11.75
7.48
7.30

19 031
8 680 000
3 483
133 268

EVA
1 232
430 100
- 250
-2 376

(eva.xls)

221

2.
(1)

2 3
2.6

5.11

5-3

0
1
2
3
4

/
(1 150 000)
249 000
304 500
334 350
558 849

/
(1 150 000)
(901 000)
(596 500)
(262 150)
296 699

115 4
3.5
(2)

222

( 1 5%
1 0)

(
)

5-2

=3
B

=2

5-2

223

B A
A

3.

( N P V )

t=N

CFt

(1+ r)
t =1

CF t t
r
N
12% 5-3

224

5-3

1)

2)

NPV>0
NPV<0

(capbudg.xls)

225

5.9
1
1 5% 1 0 0

NPV1%
N P V

5.12 NPV
5 - 1 0
1 5 . 9 4%
( 5 . 4
5.7 )
-184 939
1 5 . 9 4%

5-10

0
1
2
3
4

/
(1 150 000)
249 000
304 500
334 350
558 849

(15.94% )/
(1 150 000)
214 762
226 517
214 522
309 259
(184 939)

5.13 NPV

226

5 - 4 1 0
9

(1)
9 = 10/
(

- )
=86 620/(0.2541 -0.15)
=832 421()
10 86 620
2 5 . 4 1% 1 5%
9
5 - 4
( )
25.41%

(70 000)

(70 000)

(70 000)

(39 078)

(39 078)

(31 161)

2
3

(36 199)
(11 759)

(36 199)
(11 759)

(23 017)
(5 962)

16 155

16 155

6 532

21 548

21 548

6 947

33 109

33 109

8 512

7
8

46 692
58 169

46 692
58 169

9 572
9 509

70 423

902 843

117 694

832 421

28 626

227

NPV

28 626

1 5%
3%135
1 =35(1.15/1.03)=39.08
10
2

3
1 2 . 3 2%

8 . 1 8
28 626 ( 1 3 5 )

228

0
1
2
3
4
5
6
7
8
9

/
- 700 000
-39 078
-36 199
- 11 759
16 155
21 548
33 109
46 692
51 869
902 843

35.00
39.08
43.63
48.71
54.39
60.73
67.80
75.70
84.52
94.37

/
(2 000)
(1 000)
(830)
(241)
297
355
488
617
688
9 568

/
(2 000)
(1 000)
(830)
(241)
297
355
488
617
688
9 568

(
12.32%
/
(2 000)
(890)
(658)
(170)
187
198
243
273
272
3 363
818

5.10 NPV

N P V

NPV

5.14

NPVAracruz

5 - 11 A r a c r u z
5 - 6
(10.33%)
5-11

/BR
(185 100)

229

/BR
(185 100)

()

1
2
3
4
5
6
7
8
9
10

/BR
38 244
36 477
36 227
38 006
(14 907)
38 097
35 082
32 624
30 609
114 925

/BR
34 663
29 966
26 974
25 649
(9 119)
21 122
17 629
14 859
12 636
43 001
32 280

3 228 A r a c r u z

5.11
A r a c r u z

NPV
N P V

NPV
NPV NPV
NPV

A r a c r u z

230

25.41%
15%
=1.2541/1.15- 1=1.0905(9.05%)
1 5%
2 2

2 =36199/1.152=27371

0
1
2
3
4
5
6
7
8
9

/Bt
(70 000)
(39 078)
(36 199)
(11 759)
16 155
21 548
33 109
46 692
58 169
902 843

/Bt
(70 000)
(33 981)
(27 371)
(7 731)
9 237
10 713
14 314
17 553
19 015
256 644

/Bt
(70 000)
(31 161)
(23 017)
(5 962)
6 532
6 947
8 512
9 572
9 509
117 694
28 626

5-13

5.2.5 NPV

1.

231

= +

N P V
N P V

N P V N P V

(
)

232

5.12
Megatech( 1
) 1 500 FastMail(
)Megatech
3%Megatech
FastMail
1 500
300
1 200

2.

( )

3. NPV

NPV

233

t =N

NPV =
t =1

j =t

CFt

(1+ r )

j =1

CF t t
rt t
N

5.15
4

($1 000)

1 =300()/1.10=272.72()
2 =400()/(1.101.11)=327.60()
3 =500()/(1.101.111.12)
=365.63()
4 =600()/(1.101.111.121.13)
=388.27()
=272.72+327.60+365.63+388.27- 1 000.00
=354.22()

234

5.13

A 2 0 0
B 1 0 0 A
B 1 01 0 0

5 1 0 0
1 0 2 0 0
10%

235

5 =100()(APV10%5)
= 26.38()
10 =200()(APV10%10)
= 32.55()
1 0

5.2.6
( I R R )

($ 1 000)
=24.89%

5-4

236

5-4

5.14

237

1)

2)

A.
>
<
B.
>
<

5.16

5 - 5

( )2 8 . 8 5%2 5 . 4 1%

( 15.40%
12.32%)
5.17

Aracruz Cellulose

238

5-5

5 - 6 A r a c r u z

5-6 Aracruz

()1 3 . 8 7% 1 0 . 3 3%

239

5.18

1 2% 4 4 (
4
)

($1 000)

( 5 - 7 )

6.60%
3 6 . 5 5%

240

5-7

5-74

(10 000)

241

5.2.7

1.

5.19

4
1 0 0 5 - 8
1 000
5 - 8
15%
B
A

242

(
)
B A
B

=467 937()
=33.66%
B

=1 358 664()
=20.88%

5-8

( P I )

5.19
A=467 937()/1 000 000()=46.79%
B=1 358 664()/10 000 000()=13.59%

243

2.

5 - 9

=1 191 172()
=21.41%
B

=1 358 664()
=20.88%

5-9

244

A
1 5%

A A

21.41% A =
$10 000 0001.21414=$21 730 887
20.88% B =
$10 000 0001.20884=$21 353 673

(MIRR)5-10
=(2 160()/1 000())1/4-1=21.23%

245

<$ 1000>

=
=24.89%
=21.23%

5-10

1 5% 2 4 . 8 9%

5.3

246

a.

b.

8 0

247

c.

d.

(
) ( ) (N o r d s t r o m )

e.

f.

5.3.1

248

S A B R E (
)

9 0

Snapple90

80Levi Strauss

The Gap

8 0

Av o n

249

Intel

Pentium

5.3.2

= +

Intel Pentium 30~40

250

25%
1 2%

(
)
2 5%
30%

5.3.3

251

5.4

( )

252

1. 500 000
10
120 000 3 4%

2. 1 2 0
5 400 000 3
5
200 000 34%
a. 5
b.
c. 25%
3.
1 0 0 5 0%

253

50 000 5
0
4. 1 2% /
1 0 0% 5%

5.

0
1
2
3
4
5~20

-3 000 000

250 000
500 000
750 000
750 000
750 000

a.
b. 10%
6.

0
1
2~10

- 2 000 000
100 000
300 000

(1) 10%(2) 15%

7. 1 0
50 000 1 4%

8. 2 0 0

254

1 0 0

9.

- 500 000

300 000

10%

200 000

20%

10.
11.

- 500

- 2 000

1~19
20

50

190

100

340

a. A
b. B
c.
d. 5 % A B

e. 7 . 5% A B

f.

12. 1 500
3001012%
40%

255

a.

b.

c.
13. 2 5 0 5 0
A C R S
5 ACRS
a. 4 0%

b. 10%
c. A C R S

14.
2 0%

15. 1 000 5

1
2
3
4
5

(%)
20
25
30
35
40

a.
b. 1 2%

16. 5

256

1 000 5
5 500
( ) 3 0% 4 0%
11%
a.
b.
c.
d.

17.

50 000 ( 1 0
) 15 000 2
0 . 8 0 4 0%
2 5%
8 0%
2 000
( )

Nuk-Nuk
Gerber

0.50
1.00

0.40
0.50

1.3
1.5

11.5%
a.
b.
c.
18.

257

40% 10
1 0%
100 000 40 000
60 000
( ) 1 0
4 0% 2 5%

19.

48 000 50 000
( 0
) 5 0 0
5 0 0 5 24 000
4 0%
1 5%
10
a.
b.

20. Brooks Brothers

Punk rocker

Brooks Brothers
500 000 100 000
4 0%
1 5% 1 0

21. 6

258

=$500 000
=$500 000
1 0%

10% 1 11 000 000

/=50
/=200 000
5 0%
5
( )

( 75 000 )
22. PC
100 000
( 5 )
50 000
5 50 000
100 000
1 0 0 6 0 0 0
1 0% 3%
2 0
1 0% (
) 40% 12%
a.
b.
23.

259

50 000
1 0% 25 000
1 0 20 000
( 4 0%) (
) 1 0 0 4 0
4 0% 1 0%

24.
500 000 5
400 000 4 0%
4 0% 5
( 0 )

40 000

3 (
)

4
250 000 ( 8
)

5
3 000 10 000
5 10%
a. (
)
b. (

260

)
c. ( )
d.
e.
25.
1 0% (
1 ) 2 0 0
40% 40%
1 000
2 0%(
1 0 0)
1 0 0
10% 8%
a.

b.
c.
26.
5 0%
5 5 0 0 2 5
( )
1 0 4 0% ( )
10%
a.
b. (
)

c.

261

50%
30%

5%
10%

1
0.8

/
0.25
0.20

/
0.50
0.44

27.

(
)
1 000 50
150
10
1 0 5 0 0
800
50%
40%

5 0% 2 5%

8%
a. 0
b.
c.
28. 5

A
B
C
D
E

/
2 000
1 500
1 000
500
300

262

()
60
50
40
40
35

a.
b.
29.

()

1 000

2 000

25
30

5 000

30

5 000

30

10 000

40

1 . 2 1 2%

( )

1.

263

2.

( w w w. r e p o r t g a l l e r y. c o m )
10-k (www.sec/edgarhp.htm)
Morning star
(www.dailystocks.net)

(indroe.xls)
( i n d e v a . x l s )

264

(
) (
)

6.1

( )

266

(
)
6.1

6.1
(Bookscape On-line)

4 0

100 000 120 000 ()

267

5%

1 000

5 (42%)

/
15.94%

1
20 000

2
21 000

3
22 050

4
23 153

11 600

12 180

12 789

13 428

10 005

9 061

8 206

7.431

4 34 703

=1 000
=1 000 (1- 0.42)=580
4 =580PV(A,15.94%,4)1
624
34 702
1 624
1 000 000
150 000 5 . 4
6 - 1

6 - 2

268

6-1

0
1
2
3
4

/
(1 186 327)
249 000
304 500
334 350
558 849

(15.94%)/
(1 186 327)
214 762
226 517
214 522
309 259
(221 266)

6-2

0
1
2
3
4

/
(1 150 000)
236 820
291 740
320 981
544 841

(15.94% )/
(1 150 000)
204 256
217 025
205 945
301 507
(221 266)

1.

2.
1 4 0%
4 000

269

1.
( )
2.

3.

( )

6.2
(
)

270

6.2

150 000
5
60 000 4 1 0%

30 000 4
5%
( ) 40%
5%
42%
6-3
5 4 392

11 . 7 5%

271

150 000
-84 282
6-3
( )
0
150 000

-
3 000

(153 000)

(153 000)

11.75%)

3 000

60 000

66 000

72 600

79 860

87 846

30 000

31 500

33 075

34 729

36 465

24 000
30 000
(24 000)

26 4000
30 000
(21 900)

29 040
30 000
(19 515)

31 944
30 000
(16 813)

35 138
30 000
(13 758)

(10 080)
(13 920)

(9 198)
(12 702)

(8 196)
(11 319)

(7 061)
(9 751)

(5 778)
(7 979)

30 000

30 000

30 000

30 000

30 000

300

330

363

399

15 780

16 968

18 318

19 849

26 413

14 121

13 587

13 126

12 178

15 156

3 300

3 630

3 993

(4 392)

4 392

272

500 000 410%

10% 6-4
125 730

=- 84 282 +125 753=41 471

6-4
( )
1

500 000

550 000

605 000

665 500

732 050

10

10

10

10

10

50 000

55 000

60 500

66 550

73 205

29 000

31 900

35 090

38 599

42 459

25 951

25 544

25 144

24 751

24 363

(%)

6.2

11.75% 15%
11 . 7 5%

15%
11.75%

11.75% 15%

273

1.

2.

3. (Capital Cities)
( 1 0 1 )

4.

5.

6.

1 9 3 7 1 9 8 5

274

(1)
( )
( )

275

(2)

6.3
5

6.3.1

276

(
)

X( )
V
NPV=V- X

V>X
V<X
6 - 1

1.

2.

277

6-1

3.

278

(optvar.xls)
4.

( )

5.

6.

(
)

279

1
n
2 0
=

5%
6.3

7.

2 0

5 3 . 5

0.05

(S)=
=3.5
(K)= =5
=0.05

280

= =20
=1/=1/20=0.05
20 7%
=350exp(-0.05)(20)(0.7065)-500exp(-0.07)(20)(0.3240)
=5 102

6.4

5 102
5 102
5 102

8.

6 - 5
1996

281

20

6.5

9.

282

6-5 (SD)
SIC
1
2
7
8
10
11
12
13
14
15
16
17
20
21
22
23
24
25
26
27
28
29
30
31
32

283

(%)
33.24
35.32
26.93
46.58
20.75
26.93
62.39
30.83
25.06
37.73
14.88
25.01
24.91
45.70
37.68
21.10
24.54
20.02
34.26
20.01
14.40
42.23
23.86
19.81
34.94

(%)
29.75
49.52
31.78
21.12
43.12
43.24
36.39
46.29
31.21
64.09
46.09
39.64
29.22
34.31
48.26
51.85
61.23
36.68
33.14
36.47
37.37
28.54
37.36
38.41
39.70

(%)
20.94
33.09
24.04
13.24
34.75
32.38
16.40
32.92
24.14
41.02
39.63
30.45
22.69
20.26
31.23
41.48
46.88
29.90
22.89
29.73
32.38
18.02
29.13
31.36
33.38

()
SIC

(%)

(%)

(%)

33
34

36.97
31.25

38.74
39.90

25.60
28.37

35
36
37

19.73
12.45
31.56

49.62
48.62
41.15

40.37
42.89
29.11

38
39

12.88
16.72

49.17
44.77

43.17
37.74

40
41
42

40.93
42.89
32.91

26.19
22.19
56.42

16.96
14.36
38.81

44
45

48.34
48.81

36.11
41.72

20.40
23.07

47
48
49

34.31
26.36
48.24

47.83
40.19
22.55

32.45
30.36
13.70

50
51

23.03
26.22

52.81
43.52

41.28
32.86

52
53
54

37.73
40.93
35.02

45.31
35.76
31.64

29.39
22.50
21.70

55
56

26.07
23.69

47.64
45.70

35.96
35.54

57
58
59

27.18
22.18
18.91

43.66
48.20
47.99

32.58
38.12
39.43

60
61

26.93
12.44

57.73
34.35

42.94
30.41

62
63
64

8.90
10.58
11.65

42.86
34.56
27.12

39.28
31.18
24.28

65
67

43.42
31.10

50.88
33.06

30.17
23.75

284

()

SIC
70
72
73
75
76
78
79
80
82
87
89

(%)
44.27
21.57
9.54
37.89
36.22
24.61
32.52
20.51
15.10
18.52
32.77

(%)
50.96
35.12
50.03
32.69
35.14
60.26
43.16
58.89
50.79
45.68
36.54

(%)
29.81
28.16
45.50
21.57
12.64
46.10
30.10
47.37
43.53
37.72
25.58

AAA
AA
A
BBB
BB
B
CCC
CC
C

(%)
5.50
6.00
6.50
7.00
8.50
9.50
12.00
13.50
15.00

(%)
10
10
10
15
15
20
25
30
40

6.3.2

285

V
X

6-2

6-2

6.3

1
8 000
2 000

286

1 0 1 . 5

(S) =
=1
(K)= =1.5

10%
=0.10
= =10( )
10 =6.5%
=100(0.7717)-150exp(-0.065)(10)(0.3992)=4 590
( -2 000
)
=8 000 -10 000
= -2 000
=5 250
=-2 000 +4 590
=2 590

287

1.

(
)

2.

2 000

1.

2.

288

(
) (
)
( R & D )

3.

3 M

80

90

289

6.6
( )

6.3.3

V
L n
( )

=0
=L

V>L
VL

6 - 3

1.
2 5
2 . 5
2 . 5 4 4 0 0
5
1 . 5
0.09

290

6-3

(S)= =2.54
(K)= =1.5
=0.09
= =5
= 1 / = 1 / 2 5 = 0 . 0 4 (
1/n )
5 7%

=254exp(0.04)(5)(0.9105) -150exp(-0.07)(5)(0.7496)
=1.1012

=$11012- 25400(0.04)(5)+15000exp(-0.07)(5)=786
4 0 0
1186

291

6.7

20%

2.

3.

6.4

292

1.
1 0%(
1) 200/
4 0% 4 0%
1 000 (1 0
0 ) 1 0 0
2 0% 1 0%
8%

2. 500 000
5 2 000 000
1 0 300 000 1 0%
10
(40%)
3.

50 000 5 10 000

293

15 00055%
50%
40%
20 000
4 0 % 4
10%
12%
a.
b.
c.
4.
50 000
( 1 0) 10 000

3 000 /
4 0% 1 4%

5.
150 000
60 000 5 000 000
20% 10%
1 2% 1 0

6.
2 500 3 ( 2 0
1 6%)
2 0% 1 0
( 8%1 0
12%20 14%)

294

7. 5 0/
100 000 1 0
500 000/10 500
a. 15%

b. 5
100 000 5 6%
6

-6
-5
-4
-3
-2
-1

(/ 2)
20
30
55
70
55
50

8.
1 000
3 0 0 ( ) 4 0 /
4% 2 5
40/ 85/(
3%) 2 5%
25 7%
a.
b.
c.
9. 2 . 5
2 0 . 0 4
5 1 250
8%

295

a.
b.
c.

10. Cyclops
10

(
2 . 5
5 )
6 0%
1000 10 6%
a.
b.

11.
a.

b.

c.

d. ( 0 )

e.

296

7.1

298

( )

(
)
( )

7-1

7-1

299

(
)

1.


2.


3.

4.


5.


7.1

300

( )

7.2

( )

7.2.1

7.2.2

301

7.2

7.3

7.2.3

( )

302

( )

7.2.4

80

7.4

303

( )
-

S = S +

nw 2
W
ns

S
nw
W
ns

(
)

304

= ns /(nw+ns)

7.2.5
( C V R )

7.3

7.3.1

305

7.5

7.3.2

306

1.
2.
( )
3.

4.
5.
6.
7.6

2 0
70
( )
7 - 1

7-1

307

()

(
)

7.4

7.4.1

308

1 000 50
5 0 ( )
20 25
1 250( 5 02 5 ) 1 300
50
( )

=-

1 0 5%
1 050 B B B (
8%)
=50(PVA,10,8%)+1000/1.08 10=798.69

309

=1 050-799=251
7.7

7.4.2

310

( )

7.8

7.4.3

()

()

()

311

7.5

7.5.1

( )

1.
B r%
t

312

=rB
=trB

=trB/r=tB=

(1 0)
8% 1 1 0
40%
= ()
=(0.80.410 000)(8%,10)=2 147

(t div ) (t re) g
ke
=(tre- tdiv)(1+g)/(ke- g)

B = +tB

313

2.

r t
(kd)
(kd)=r(1-t)

40%8% 4.8%
70% 8%
2.4%
1

7.9

2 0
2 0 8%
40%
8%
4.8%

3.

314

1)

( R E I Ts ) ( M L P s )

2) ( )

3)

4)

( R E I Ts )

95%

7.5.2
8 0
(Michael Jensen)

315

7.10

( )
( )

1.

316

(indcapst.xls)
2.

B h i d e ( 1 9 9 3 )
2.2% 4%

P a l e p u ( 1 9 8 6 )

Pale p u ( 1 9 9 0 )
K a p l a n ( 1 9 8 9 )S m i t h ( 1 9 9 0 )
Denis (1993)
2 9

317

21.5%

35.5%

7.6

7.6.1

1.
(
)

(1)

318

(2) 2.

(indcapst.xls)
2.

(1)

Wa r n e r ( 1 9 9 7 )11
5 . 3%
1 3

5
1 . 4 %
( )

(2)

319

1980

80

Shapiro(1986)

320

7.11

3.

1)

( M a t t e l )

2)

321

( )

3)

( )

4)

(Weyerhauser)

5)

7.6.2

(
)

322

1.

1 ) ( )2 )
3)
(1)

( )

(
)

()

323

(2)

1 9 8 8RJR Nabisco

7-2

RJR Nabisco 30
(8 5/8%201624

7-2 RJR Nabisco (1988.10.22)

324

()

(3)

1989
C o l t
5 0%

7 - 3

325

CAR()
CAR()

(0)

7-3 (CAR )

7.12

2.

1)

2)

326

1)

2)

7.6.3

327

( ) ( )

(
) ( )
1.

1)

2)

328

S= ( 1 +
)
K=
t=1
2

y=

1 8%
1 3% 1 0%
0 . 0 4
1 2%

S=10%1.05=10.50%

[ =18%-13%=5%]

K=10%
t=1
2

=0.04

y=13%- 12%=1%
5%
1.31%
7.13

329

2.

( )

7.7

330

7-2

(%)
3
4

0.6

61.4

0.6

4.55

0.0

4.5

33.0

4.0

1.7

6.8

10.8

76.7

0.0

4.55

1.7

2.8

20.5

39.2

35.8

0.0

4.05

3.4

4.5

19.3

33.5

37.5

1.7

3.99

3.4

4.5

22.2

27.3

40.9

1.7

3.99

2.3

9.1

32.4

43.2

13.1

0.0

3.56

15.9

36.9

33.0

10.8

2.8

0.6

2.47

Pinegar Wi l b r i c h t ( 1 9 8 9 ) 1 7 6
7 - 2

( )

331

7.8 -

-
( M M )

1.

(1)
(2)
(3) ( )
(4)

1 0 0%

(7-4)
=+tc B
tc B
2.

332

(B)

7-4 MM

(V U=E)

( VU )

( X)

(v L=E L+D L)

E L+ D L

(X - rDL)+ rD L = X

BA

333

7.8.1
-
1 9 7 6

t d te

r tc

=r(1-t d)
(
)=Ke(1-tc)(1-te)

VL=VU+[1- (1-t c)(1- te)/(1-t d)]B

VL V U
B

1)

2)

7 0%
2 8% 3 5%

t c t e

334

=70%
=1- (1- 0.35)(1- 0.28)=0.53253.2%
8 0

3)

(1 -t d)=(1- tc)(1- te)

7.8.2

7-5
M M

335

7-5 MM

7.8.3

P i n e g a rWi l b r i c h t ( 1 9 8 9 )

336

7-3
( t r a d e - o ff )

7-3
(%)

/
1

1.7

1.1

9.7

29.5

58.0

0.0

4.41

2.8

6.3

18.2

39.8

33.0

0.0

3.94

2.8

6.3

20.5

36.9

33.0

0.6

3.91

9.1

9.7

18.7

35.2

27.3

0.0

3.62

3.4

10.8

27.3

39.8

18.7

0.0

3.60

4.0

9.7

29.5

42.6

13.1

1.1

3.52

17.6

10.8

21.0

31.2

19.3

0.0

3.24

337

()
(%)

/
8

8.5

17.6

40.9

24.4

7.4

1.1

3.05

14.8

27.8

36.4

14.2

5.1

1.7

2.66

31.2

34.1

25.6

8.0

1.1

0.0

2.14

69.3

13.1

6.8

4.0

4.5

2.3

1.58

10

11

7-3( )

( )

1.

(
)

338

2.

( )

7.9
-

7.9.1
( )
( )

( )
(
) (
)

339

7.9.2

7 - 4

7-4

B r a d l e yJ a r r e l lK i m ( 1 9 8 4 )

340

7 - 5 1 9 9 4

S m i t h ( 1 9 8 8 )

( )

7.10

(
)

341

7-5 1995

( )

35.05
26.33
27.08
28.21
22.90
25.07
31.42
21.89
16.66
30.41
16.29
17.30
8.52
18.62
26.91
24.00
19.06
8.44
9.48
15.89
33.57
19.83
19.60
43.22
19.16
21.65
20.21
17.23
14.35
30.85
20.17
3.48
17.30
21.52

342

47.05
36.64
39.88
36.16
39.89
40.19
49.82
27.23
22.83
46.81
32.38
31.57
24.63
39.23
38.00
37.75
29.57
17.29
15.79
25.18
44.97
38.54
39.83
52.90
28.18
30.01
32.28
28.40
31.71
40.97
34.86
10.10
27.97
33.90

()

30.86
34.50
28.91
42.19
39.27
38.07
37.59
46.01
47.80
42.48
42.39
42.88
39.12
44.38
47.17
47.97
49.32
51.26
59.81
41.72
41.62
25.24
38.78
32.25
46.94
45.21
42.94
67.01
39.84
39.49
39.92
43.58
44.72
42.46

30.16
14.28
26.00
33.34
28.38
33.20
4.28
33.97
42.89
20.64
30.75
21.66
27.62
29.05
28.23
26.05
25.60
25.84
23.96
39.32
29.22
19.34
41.59
19.49
33.12
35.39
29.45
30.13
34.15
29.15
36.07
34.16
30.13
28.69

/
7.18
6.55
13.05
6.51
7.77
7.13
3.48
5.98
7.59
8.74
6.92
7.17
10.35
6.94
6.67
8.71
6.52
7.34
7.30
6.71
8.64
12.28
7.24
6.51
4.79
9.24
16.12
2.07
5.15
3.08
7.18
9.28
5.83
7.46

343

24.35
13.86
16.11
15.16
24.12
17.52
33.16
14.84
19.69
20.96
26.82
37.80
26.25
26.45
21.66
21.10
18.45
18.89
14.22
18.71
18.09
16.21
26.68
12.31
15.22
20.40
18.19
18.99
19.11
19.15
24.67
19.07
12.30
20.32

/
11.72
6.70
7.45
7.72
5.06
5.36
6.98
7.12
7.85
5.96
6.28
6.19
2.76
4.36
7.71
8.45
6.83
5.50
4.82
5.02
7.26
3.37
10.80
5.29
6.95
5.49
7.45
11.39
5.51
7.75
6.99
3.80
6.12
6.61

( ) (
)

1.
P i n e g a r
Wi l b r i c h t (7 - 6 ) 6
(
)
7-6

1
2
3
4
5
6

5.61
4.88
3.02
2.42
2.22
1.72

( )

7-6
1 9 7 5 ~ 1 9 9 0

344

1 9 9 3RJR Nabisco

7-6

(
)

7-6 1975~1990

7.14

345

2.

Myers Majluf(1984)

7.11

346

( )

(
)

1.

347

2.

3.

( 2 0)

4.
50 000 1 0 0
6%
9%
105

5.
1 000 000 50
2 500 8%
2101 000
1 1005%

348

6.

50 000A 2
1 0 0 100 000 B
1/2 90
5 0 0

7. 5 000

a.
b. 2 000
(5 0002 000
)
2 000

c. 10%
b
d. 2 0 3 0

8.

9.

10. NoZone
11% 7%

349

11. 1 0 0
5 0 2 . 5 (
9 % )

a. 2 0
6 5 C o m p l e x
12
b. 10 000 2 0
6% 1 0 ( 1 000 )

12.

13.

14.

15.

16. MPV 1
4 000
9% 35%
a.
b.

c. 10
d. 7%

17. 45%10%

350

a.
b.

c. 3

18. We s t i n g H o m e 2 0
50
a. 3 6%

b. (
)
19.
a.
b.

c.

d.

e.
20.

a.

b.

c.

d.

351

e.

21. Nadir
2 0 0 N a d i r 4 0%
V=E=1 200 1 9%
(E(Rm)-Rf=6%)

1 2%

8 0 0

/
2 500 000
5 000 000
7 500 000
8 000 000
9 000 000
10 000 000
12 500 000

(%)
0.0
8.0
20.5
30.0
45.0
52.5
70.0

a.
b.
c.
22.

23.

352

24.

25. 1 11%
-
a. (
)
b.
( )
c. a b

26. XYZ
10

a.
b.
27.

28.

29. Unitrode /

a.
b.

353

30.
1 5 3 0 2 7%

a.

b.

31.
3 6%1 7%

32.

33. -

34.

35.

36.

37.

38.

354

39.

1.

( )

( /
)

(
( ))
2.
( )
( )

355

10-K (www.sec.gov/edgarhp.htm)

(indcapst.xls)

356

8.1
34 ( )
( )

8.1.1
(WA C C)

358

WACC=Ke[E/(D+E+PS)]+Kd[D/(D+E+PS)]+Kps[PS/(D+E+PS)]
WACC KeKdKps
EDPS

4

(
) (
)
= (1- )

= /

8.1.2

( )

359

(FCFF)= (1- )- (

- )-

t =n

(1+ WACC)
t =1

8.1.3
J e r s h e y( )
2
6%

8 - 1
= (1+g)/(WACC- g)=2001.06/(WACC-0.06)
8-1
/(
+)(%)
0
10

(%)
10.50
11.00

(%)
4.80
5.10

(%)
10.50
10.41

4 711
4 807

360

()
/(
+)(%)
20
30
40
50
60
70
80
90
100

(%)
11.60
12.30
13.10
14.00
15.00
16.10
17.20
18.40
19.70

(%)
5.40
5.52
5.70
6.30
7.20
8.10
9.00
10.20
11.40

(%)
10.36
10.27
10.14
10.15
10.32
10.50
10.64
11.02
11.40

4 862
4 970
5 121
5 108
4 907
4 711
4 569
4 223
3 926

( ) (
)8-1

/(+)

8-1

361

( )
( )

8.1

8.2

8.2.1

( C A P M )
( A P M )

1 /
() ( )
2 (
) 4

=

/[1+(1- t)D/E]

current

362

current

t D/E /

3
levered

= u[1+(1- t)D/E]

levered

/

4
Ke=Rf+

[E(R m)- Rf]

levered

K e E(R m) Rf

= u[1+(1 -t)D/E]-

levered

debt

(1 -t)D/E

8.2 b

( )
( 0
)

363

8.2.2

2
= +
3
=[/(+)]
4 ( )

6
K d= (1-)

8.2.3

364

1.

( ) ( ) (
)

8.1 19976

1 9 9 76 1 9 9 7
1 2 3 . 4 2 Capital Cities

111.819976

6 . 7 5 1 3 7 5 . 3 8 4

1 . 2 5 3 6%

12.22%

7 . 5%
3 4.78

365

=675.13()75.38=50 888( )
=11 180( )
=50 888+11 180=62 068( )
=7%+1.25(5.5%)=13.85%
=7.50%(1- 0.36)=4.80%
=(50 888/62 068)(13.85%)+4.80%(11 180/62 068)
=12.22%
8.3
1 6 5
123.43
(1)
4

1.09
= [1+(1- )(/)]
7% 5 . 5% 8 - 2

8-2

(%)
0
10

/
(%)
0
11

1.09
1.17

(%)
13.00
13.43

1 9 9 2 ~ 1 9 9 6 /
14% (1.40)

= /[1+(1-t)/]=1.40/[1+
(1-0.36)0.14]=1.28

366

()

(%)
20
30
40
50
60
70
80
90

/
(%)
25
43
67
100
150
233
400
900

1.27
1.39
1.56
1.79
2.14
2.72
3.99
8.21

(%)
13.96
14.65
15.56
16.85
18.77
21.97
28.95
52.14

levered

= u[1+(1-t)D/E]-

debt

(1-t)D/E

( u n l e v. x l s )

(2)

= /

367

8 - 3
2 . 2 5
BBB
1 9 9 76
8 - 4 /
( 1 9 9 76
7%)
8-3

AAA
AA
A+
A
ABBB
BB
B+
B
BCCC
CC
C
D

8.50
6.50
5.50
4.25
3.00
2.50
2.00
1.75
1.50
1.25
0.80
0.65
0.20
-

8.50
6.50
5.50
4.25
3.00
2.50
2.00
1.75
1.50
1.25
0.80
0.65
0.20

8-4

AAA
AA
A+
A

(%)
7.20
7.50
7.80
8.00

368

(%)
0.20
0.50
0.80
1.00

()

ABBB
BB
B+
B
BCCC
CC
C
D

(%)
8.25
8.50
9.00
9.50
10.25
11.25
12.00
13.00
14.50
17.00

(%)
1.25
1.50
2.00
2.50
3.25
4.25
5.00
6.00
7.50
10.00

8-51996~1997
66.93
4.79
8-5 1996
( )

=5 559/479=11.61

18 739
12 046
6 693
1 134
5 559
479
5 080
847
4 233

1 9 9 6 Capital Cities
5 5 . 5 9

369

11 . 6 1 A A 8 - 3
A A A 1 9 9 6
1 2 0

8 - 6
1 0%
1 0%
10%
= +
=50 888+11 180=62 068( )
10% =10%62 068=6 207()
8-6
( )
/(+)
/(%)

(%)
(%)
(%)

0.00%
0.00
0
6 693
1 134
5 559
0
5 559

AAA
7.20
36.00
4.61

10.00%
11.11
6 207
6 693
1 134
5 559
447
5 112
12.44
AAA
7.20
36.00
4.61

370

(AAA)
2 0%~ 9 0%
8-7
8-7

(%)
0
10
20
30
40
50
60
70
80
90

0
6 207
12 414
18 621
24 827
31 034
37 241
43 448
49 655
55 862

0
447
968
1 536
2 234
3 181
4 469
5 214
5 959
7 262

12.44
5.74
3.62
2.49
1.75
1.24
1.07
0.93
0.77

AAA
AAA
A+
ABB
B
CCC
CCC
CCC
CC

(%)
7.20
7.20
7.80
8.25
9.00
10.25
12.00
12.00
12.00
13.00

(%)
4.61
4.61
4.99
5.28
5.76
6.56
7.68
7.68
7.97
9.42

= /
=55.59
8.4
8 - 6 2 0%

r a t i n g s . x l s

(3)

371

8-8
/(+)
/

0.00%
0.00%

10.00%
11.11%

20.00%
25.00%

30.00%
42.86%

0
1.09
13.00%

6 207
1.17
13.43%

12 414
1.27
13.96%

18 651
1.39
14.65%

/
/

6 693
1 134

6 693
1 134

6 693
1 134

6 693
1 134

/
/
/

0
5 559
2 001

447
5 112
1 840

968
4 591
1 653

1 536
4 023
1 448

/
+/

3 558
1 134

3 272
1 134

2 938
1 134

2 575
1 134

/ 4 692

4 406
12.44
9.86

4 072
5.74
4.21

3 709
3.62
2.41

0.71
AAA

0.33
A+

0.20
A-

AAA

7.20%
36.00%

7.20%
36.00%

7.80%
36.00%

8.25%
36.00%

0.00%
0.00%

10.00%
11.11%

20.00%
25.00%

30.00%
42.86%

0
13.00%
4.61%

6 207
13.43%
4.61%

12 414
13.96%
4.99%

18 621
14.65%
5.28%

(C)/

13.00%
58 319

12.55%
60 435

12.17%
62 314

11.84%
64 054

(G)/

53 172

58 014

62 705

67 419

/(+)
/

8 - 8 1 3%
40% 11.64%
8-9 8-2

372

40.00%
66.67%

50.00%
100.00%

60.00%
150.00%

70.00%
233.33%

80.00%
400.00%

90.00%
900.00%

24 827
1.56

31 034
1.79

37 241
2.14

43 448
2.72

49 655
3.99

55 862
8.21

15.56%
6 693
1 134

16.85%
6 693
1 134

18.77%
6 693
1 134

21.97%
6 693
1 134

28.95%
6 693
1 134

52.14%
6 693
1 134

2 234
3 325

3 181
2 378

4 469
1 090

5 214
345

5 959
(400)

7 262
(1 703)

1 197
2 128
1 134

856
1 522
1 134

392
698
1 134

124
221
1 134

(144)
(256)
1 134

(613)
(1 090)
1 134

3 262
2.49

2 656
1.75

1 832
1.24

1 355
1.07

1.46
0.13
BB

0.83
0.09
B

878
0.93

44
0.77

0.41
0.05
CCC

0.26
0.03
CCC

0.15
0.02
CCC

0.01
0.00
CC

9.00%
36.00%

10.25%
36.00%

12.00%
36.00%

12.00%
36.00%

12.00%
33.59%

13.00%
27.56%

40.00%
66.67%

50.00%
100.00%

60.00%
150.00%

70.00%
233.33%

80.00%
400.00%

90.00%
900.00%

24 827
15.56%

31 034
16.85%

37 241
18.77%

43 448
21.97%

49 655
28.95%

55 862
52.14%

5.76%
11.64%
65 133

6.56%
11.70%
64 800

7.68%
12.11%
62 597

7.68%
11.97%
63 372

7.97%
12.17%
62 332

9.42%
13.69%
55 393

70 542

69 560

63 445

65 524

62 751

47 140

40%
2.

373

8-2

8-9 DISNEY

(%)

(%)

(%)

(%)

13.00

4.61

13.00

10

13.43

4.61

12.55

20

13.96

4.99

12.17

30

14.65

5.28

11.84

40

15.56

5.76

11.64

50

16.85

6.56

11.70

60

18.77

7.68

12.11

70

21.97

7.68

11.97

80

28.95

7.97

12.17

90

52.14

9.42

13.69

= (1+g)/(WACC-g)

374

g ()
620.6812.22%

= (1 -)+ -
=5 559(1 -0.36)+1 134 -1 745
=2 947()
( )

=( WACC- )/(
+ )
=(62 0680.1222- 29 47)/(62 068+2 947)
=0.07137.13%
4 0% 11 . 6 4%

=62 0680.1222=7 583( )

=62 0680.1164=7224( )
=7 583 - 7 227=356( )
( )
( )
=(3561.6713)/(0.1164- 0.0713)=8 474( )

8 4 . 7 4

=2 947
=11.46%
=7.13%
=2 947 1.0713/(0.1146 -0.0713)=72 888

62 068

375

6 . 7 5 1 3

= /
=8474/675.13=12.55
7 5 . 3 8
8 7 . 9 3 1 6 . 6 5%

8 7 . 9 3
8-10
8-10 DISNEY
(%)

(%)

13.00

53 172

10

12.55

58 014

20

12.17

62 705

30

11.84

67 419

40

11.64

70 542

50

11.70

69 560

60

12.11

63 445

70

11.97

65 524

80

12.17

62 751

90

13.69

47 140

8.5
8 7 . 9 3
7 5 . 3 8

5 5 . 5 9 5 5 . 5 9

376

36%
8 - 8 7 0% 5 2 . 1 4
36%
8 0% 5 9 . 5 9
55.59
=5 5590.36=2 001( )
36%
=2 001/5 959=33.59%

( c a p s t r. x l s )

3.

120
AA
40% BB

A A
A

377

B B B

4.

A -
30%

A A

(RJR Nabisco )

11 A -
1 0% B B B 1 0%
20%

378

= -

A -
3 0% 4 0%
30%
= 4 0% - 3 0%
=70 452 - 67 419=3 123( )
A -
B B

1996

(8-11)
8-11 1981~1996

1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996

/
119.35
141.39
133.87
142.60
205.60
280.58
707.00
789.00
1 109.00
1 287.00
1 004.00
1 287.00
1 560.00
1 804.00
2 262.00
3 024.00

379

(%)
18.46
-5.32
6.5
44.2
36.5
152.0
11.6
40.6
16.1
-22.0
28.2
21.2
15.6
25.4
33.7

1991
2 2% 1 2 . 8 7
1 0 . 0 4

3 8 . 4 3%
Capital Cities

3 0%
4 0% 3 0% 8 - 1 2

8-12

10%
20%
30%
40%
50%
60%
70%
80%
90%

/
6 271.20
5 574.40
4 877.60
4 180.80
3 484.00
2 787.20
2 090.40
1 393.60
696.80

(%)
40
40
30
20
20
10
10
0
0

8.6

380

8.2.4

1.

2. ( /
)

1 0 . 7 8% 4 0%
5.39% 10%
3.

()
()

()
()

4.

381

()
()
1992

8.7

8.2.5

1.

382

8.2

$20 000 000

$4 000 000
$12 000 000
$500 000
$1 000 000
$500 000
$2 000 000
$0
$2 000 000
$840 000
$1 160 000

= +
=2 000 000+500 000=2 500 000()
(4) 3 3 6

22.41

=
=1 160 00022.41=26 000 000()

1 9 9 76

383

>12.5

AAA

(%)
0.20

9.50~12.50

AA

0.50

7.5~9.5

A+

0.80

6.0~7.5

1.00

4.5~6.0

A-

1.25

3.5~4.5

BBB

1.50

3.0~3.5

BB

2.00

2.5~3.0

B+

2.50

2.0~2.5

3.25

1.5~2.0

B-

4.25
5.00

1.25~1.5

CCC

0.8~1.25

CC

6.00

0.5~0.8

7.50

<0.5

10.00

=/()
=2 500 000/500 000=5.00
A-
8 . 2 5% 4
8%
42% 7%

8-13
3 0%6 0%
40% ( )

384

( )

2.
( )

385

8-13

(%)

(%)

1.03

12.65

A+

10

1.09

13.01

8.79

A+

20

1.18

13.47

4.03

BBB

30

1.28

14.05

2.23

40

1.42

14.83

1.52

B-

50

1.62

15.93

1.05

CC

60

2.00

18.00

0.88

CC

70

2.74

22.09

0.68

80

4.12

29.64

0.59

90

8.23

52.28

0.53

8.3
1 9 9 6

232.09
A A A 1 9 9 4 7 . 7 0%
1101 11
5.26 847 11 9 . 2
0.94( 7.50%)

8 - 1 4

A A
5% BB 20%

BBB

386

(%)

(%)

(%)

7.80

4.52

12.65

26 781

7.80

4.52

12.16

29 025

8.50

4.93

11.76

31 182

10.25

5.95

11.62

32 000

11.25

6.53

11.51

32 679

13.00

7.54

11.73

31 341

13.00

8.20

12.12

29 250
22 267

14.50

10.39

13.00

14.50

10.90

14.65

20 184

14.50

11.30

15.40

18 434

8-14

(%)

<0.05

10.00

(%)
- 50.00

0.05~0.10

7.50

- 40.00

0.10~0.20

CC

6.00

- 40.00
- 40.00

0.20~0.30

CCC

5.00

0.30~0.40

B-

4.25

- 25.00

0.40~0.50

3.25

- 20.00

0.50~0.60

B+

2.50

- 20.00

0.60~0.80

BB

2.00

- 20.00
- 20.00

0.80~1.00

BBB

1.50

1.00~1.50

A-

1.25

- 17.50

1.50~2.00

1.00

- 15.00

2.00~2.50

A+

0.80

- 10.00

2.50~3.00

AA

0.50

- 5.00

>3.00

AAA

0.20

- 0.00

5 0% 6 0% 8 - 1 5
6 0%
34

387

2%
8-15

(%)

(%)

(%)

(%)

/DM

0
10

10.13
10.29

4.24
4.24

10.13
9.69

124 288.85
132 558.74

20
30
40

10.49
10.75
11.10

4.24
4.24
4.24

9.24
8.81
8.35

142 007.59
152 906.88
165 618.31

50
60

11.58
12.30

4.24
4.40

7.91
7.56

165 750.19
162 307.44

70
80
90

13.51
15.92
25.69

4.57
4.68
6.24

7.25
6.92
8.19

157 070.00
151 422.87
30 083.27

1.

2. (
)

3.

388

1 9 9 1 1 9 9 2

(
) ( )
8.4 Aracruz Cellulose
Aracruz Cellulose( ) 1 9 9 6

1 9 9 6 1 500
1.9 2.5
15.2 (
)

5.5% 5%0.5%
32%
9 . 7 6 1 2 . 0 5
0.71
4 7.48%

389

=5%+0.717.5%=10.33%
=2.05976.1=2 001( )
=20.01
=10.33%[2 001/(2 001+1 520)]+5.5%
(1-0.32)[1 520/(2 001+1 520)]=7.48%
1 9 9 6 0%
1996
A r a c r u z 1 9 9 5
2 . 7 1 8 - 1 6

8-16 Aracruz Cellulose

(%)
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
90.00

(%)
0.47
0.50
0.55
0.60
0.68
0.79
0.95
1.21
1.76
3.53

(%)
8.51
8.78
9.11
9.53
10.10
10.90
12.09
14.08
18.23
31.46

AAA
AAA
AA
A
ABB
BCCC
CCC
CCC

(%)
5.20
5.20
5.50
6.00
6.25
7.00
9.25
10.00
10.00
10.00

(%)
3.54
3.54
3.74
4.08
4.25
4.76
6.29
6.80
6.92
7.26

(%)
8.51
8.25
8.03
7.90
7.76
7.83
8.61
8.98
9.18
9.68

/BR
2 720
2 886
3 042
3 148
3.262
3 205
2 660
2 458
2 362
2 149

4 0%
1995 8-171995~1996

8-17
/
15(1996)

(%)
0

390

()
/
100
150
200
271(1995)

(%)
10
20
30
40

4 3 . 5 1%

( 5)

1. (
) ( )
(5~10)
=()
2. ( )

=()
( )
( )

m a rg i n . x l s

391

8.3

= +
-

8.3.1

(
)

=FCFF 0(1+g)/( u- g)
F C F F0

unlevered

current

/[1+(1-t)D/E]

unlevered

current

t D/E /

8.3.2

392

=( )/
=
=tcD

8.3.3

B C

= = aBC

8-18AltmanKishore
10
p r o b i t

Wa r n e r ( 1 9 7 7 )
S h a p i r o ( 1 9 8 9 a )
1 0

393

8-18

AAA
AA
A+
A
ABBB
BB
B+
B
BCCC
CC
C
D

(%)
0.01
0.28
0.40
0.53
1.41
2.30
12.20
19.28
26.36
32.50
50.00
65.00
80.00
100.00

P r o b i t

(
) ( )
Probit

P r o b i t

1.
P r o b i t

2.

394

(5)

3.

4.

(
)

5. P r o b i t ( 1
0 ) P r o b i t

P r o b i t
Probit Probit

8.3.4

=FCFF0(1+g)/( u- g)+tcD- aBC

8.3.5

395

8.5

1997

1997

1997 AA 8 - 1 8
25%
1997
(+)
-
()
+
()
=

$50 888+$11 180=$62 068

$11 180 0.36=$4 025
$62 0680.250.0028=$41
$62 068 - $4 025+$41=$58 084

(8 - 1 9 )

8-19 (TcD)
(%)
0

/
0

(%)
36.00

/
0

Wa r n e r
10%Cornellsharpiro

396

()
(%)
10
20
30
40
50
60
70
80
90

/
6 207
12 414
18 621
24 827
31 034
37 241
43 448
49 655
55 862

(%)
36.00
36.00
36.00
36.00
36.00
36.00
35.43
31.00
24.71

/
2 234
4 469
6 703
8 938
11 172
13 407
15 394
15 394
15 394

55.59
6 0%
2 0%
8-20
8-20

(%)
0
10
20
30
40
50
60
70
80
90

AAA
AAA
A+
ABB
B
CCC
CC
CC
C

(%)
0.01
0.01
0.40
1.41
12.20
26.36
50.00
65.00
65.00
80.00

/
2
2
62
219
1 893
4 090
7 759
10 086
10 086
12 414

8-21
( a p y. x l s )

397

8-21

(%)

58 084

58 083

10

58 084

2 234

60 317

20

58 084

4 469

62

62 491

30

58 084

6 703

219

64 569

40

58 084

8 938

1 893

65 129

50

58 084

11 172

4 090

65 166

60

58 084

13 407

7 759

63 732

70

58 084

15 394

10 086

63 392

80

58 084

15 394

10 086

63 392

90

58 084

15 394

12 414

61 065

8.4

Time Wa r n e rVi a c o m
K i n g Wo r l d

i n d c a p s t . x l s

398

8.6
( Value Line)
1997

1 8 . 1 7% 2 3 . 7 9%

( / )
=-0.106 7+0.69+0.61/

-0.07
(0.90)

(2.58)

(2.2)

(0.60)

R 27.16%
2

=- 0.106 7+0.69(0.435 8)
+0.61(0.083 7) -0.07(0.225 7)=0.231 4

23.14%

8.4.1

= 0+ 1+ 2 + 3

( )

399

400

401

402

Regress.xls

8.7

1 9 9 62 929

DFR=0.1906-0.0552PRVAR-0.1340CLSH-0.3105CPXFR+0.1447FCP
(37.97a)

(2.20 a)

(6.58 a)

(8.52 a)

(12.53 a)

DFR /( + )
PRVAR
CLSH
CPXFR /(+ )
FCP /

R2 9.38%
S I C

100

403

1996

DFR=0.2370-0.1854PRVAR+0.1407CLSH+1.3959CPXFR-0.6483FCP
(6.06a)

(1.96 b)

(1.05)

(5.73 a)

(3.89 a)

R2 42.47%

8.8

8.5

(
)

1 9 9 6
120 40%
8 5

404

1. Rubbermaid ( )

( )

4000
1000

2500
2500

a. 1 6%
A A1 2% (
80%)
b. 5 000 8 0
4 10
c. 1.26 8%
d. 40%
(1) /

405

(2) / (
+)
(3)
(4)
(5)
2. R u b b e r m a i d 1

2 000

400

1 600

640

960

( 500)
/
( )
(1)

(2)
(3)
(4)
(5)

3. Rubbermaid

110
AAA(AAA 11%)
210A-
(A- 13%)
3 3 0

406

CCC(CCC 18%)
(1)
(2)
(3)
(4) (a) (b)
(c)
(5)

(6) ()
(7) (
)
(8) (
)
(9) 1

4. Rubbermaid

Rubbermaid
(%)
50
20
25
40
2

(%)
25
40
15
30
5

a. Rubb e r m a i d

b. /

/ = 0 . 1 0 - 0 . 5 ( ) +

407

2 . 0 ( / ) + 0 . 4 0 () + 2 . 5 (
/)
( 20%0.20)
/
5.
1 000 2 (
) BBB
a. 1.5 8%
b. 46%
c. 1 B B B B
11%B12.5%
(1) 1

(2) 1

(3) 1
(4) 1
5 000 3 000

(5) ( 4 )

6. A D
( )

a. 100 000 2 0
1.15
b. 500 000BBB
BBB10%6%
c. 40%

408

$500 000

BB

10.5

$1 000 000

11.5

$1 500 000

B-

13.5

$2 000 000

15

500 000

(1)
(2)
(3)
(4)

$1 000 000

$400 000(100 000)

$600 000

$100 000( )

$500 000

$200 000

$300 000

300
7. UB
1 . 5 9%

/(+)(%)
0
10
20
30
40
50
60

AAA
AA
A
BBB
BB
B
CCC

409

(%)
10
10.5
11
12
13
14
16

()
/(+)(%)
70
80
90

CC
C
D

(%)
18
20
25

100 20 (=40%)
a.
b.

8. Gencorp( ) 2 500
1 000 1 0 2 5
A 1 0% 1 . 0 66
8%40%
a.
b. 25
400B(13%)

9. Herbert ( )

100
300
400

300
100
400

250

175

25

50

10

40

410

16

24

1 0 0 5
1.12 7%
a.
b.
c.
( 5
7 0) C
15%
d.
e. ( )
f.
10. Terck( )

1000
1000
2000

1700
300
2000

1000

400

100

500

100

400

200

200

2 0 1 0%
9 0% ( 11%)

411

9 1 . 2 5 6%( = 1 0% =
40%)
a.
b.
c.
Te r c k
( 2 0 0 2 0 0 )

d.
e.
f.
11. DASA ( )
4 000
2 0 ( )0 . 2 5 1 . 2 5
AA10%

1.5

0.2

1.3

0.52

0.78

8% 40%
a.
b. 2
A 11%

c. 2 ( )

12. J J(
)

412

7 000 1 0 1 0
500 000 8% 1 000
B B B B B B 1 0% 1 . 2
6% 40%
a. /
b.
2.5
1
1
5 000 2 500
B11%
c.
d.
e.
13. Pfizer( )
1 9 9 53 P f i z e r 2 4 2 . 7
2 8 A A A 1 . 4 7
4 0% 6 . 5 0%A A A
0.30%
a.
b. 3 0% B B B
2% 30%
c. 6%

d.

14. Upjohn( )
6.641.73
30.75 1.1736%6.50%

413

a. 5 50010
AA-( 7.50%)

b.
c.
1 . 2 5

15. Bethlehem Steel(

)
5 . 2 7 1 7 . 6
1 . 3 1 3 0% B B B 8%
2 . 3 0%
30% 6.5%
a.
b. 5 0%
C C C
46.61%
16. Kansas City Southern( ) 9 . 8 5
4 000 4 6 . 1 2 5
2 . 0 3 3 6%
0%~ 9 0%

(%)

(%)

AAA

0.28

10

AAA

0.28

20

A-

1.41

30

BB

12.20

40

B-

32.50

50

CCC

46.61

60

CC

65.00

414

()
(%)

(%)

70

80

80.00
80.00

90

100.00

( )
2 5%
7%
17. 1995R e e b o k

4.42%

60.00%

55.58%

1.95

3.69

1.74

18.61%

28.16%

9.56%

A-

B+

5.92%

6.87

0.95

18.04%

15.38%

- 2.66%

33.43

39.21

5.78

39.50

46.64

7.14

(
)/

1995 4.20 36.90%

a.
b.
18. Ti m b e r l a n d(
)1995
2.371 10019.88
4 400 2.5 37%

415

7.88% 1.26

(%)
0
10
20
30
40
50
60
70
80
90

AAA
AAA
A+
A
ABB
BB
B
BCCC

(%)
8.18
8.18
8.88
9.13
9.38
10.38
10.38
11.88
12.88
13.88

19. 1995
1 220 210
3 0 ( ) B
10.12% 1.5
1.2635% 6.12%
a.
b.
c. 1995 30%
B B B 8 . 1 2%

d. 1 9 9 5

20. Intel 3 4 3 6 . 5 0%
1 5 5 1 0
1 . 3 5 6 . 8 0% 6%
7 0% C(
16%)

416

a.
b. 70%

c. 7 0%
C 0 . 6 0

d. 70%
e. 70%
f.

21. NYNEX( )
121.4 205.5
1 7 3 6%
0 . 8 4 A- ( 7 . 5%)A -
1.41% 30% 6.5%
a.
b. 50%
BBB 2.30%
c.

22.
500 000
150 600
5 1 0 0
80 000 ( A A
8.25%)

417

1 . 0 5

/ 25% 7%
a.
b. 1 0 0 2 0 0
9%

c.
=0.15+1.05(/)- 0.10

d.

23. XCV ( )

1 2 . 7 5%

24. 1 0%
2 0%
7%
(%)
/
/
/

(%)
(%)

(%)
(%)

10
1 500
1 000
120
8.33
AA
8.00
4.80
1.06
12.83
12.03

418

20

>10
7~10
5~7
3~5
2~3
1.25~2
0.75~1.25
0.50~0.75
0.25~0.50
<0.25

AAA
AA
A
BBB
BB
B
CCC
CC
C
D

(%)
0.30
1.00
1.50
2.00
2.50
3.00
5.00
6.50
8.00
10.00

25. CSL 1 000

2 5 5 000
1 11%10%
5%
26.

=0.16-5.00
1
1 . 5

27. Servistar( )

a. 4 5 0
300 000 200
b. 21%
20
c. 40% 250 000

419

1.



( )

2.

3.

420

( )

( )

1 0 - k
( w w w. s e c . g o v / e d g a r h p . h t m )
(r a t i n g s . x l s
)
(regress.xls)

w w w. d a i l y s t o c k s . c o m

C a p s t r. x l se x c e l

421

9.1

423

9.2

40%10%
30%

9.2.1

1.

2.

3.

P a l e p u ( 1 9 8 6 )

424

( )
( )

4.

(Financing Slack)

9.1
Capital Cities
Capital
Cities6.57100
1.54064.07%
0.957.70% 43.50%
11.90%(7%)
=12.23%[15 406/(15 406+657)]
+7.70%(1- 0.435)[657/(15 406+657)]=11.09%
Capital Cities

3 0%
23.69

425

(%)
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
90.00

0.93
0.99
1.06
1.15
1.28
1.45
1.71
2.37
3.65
7.30

12.10
12.42
12.82
13.34
14.02
14.99
16.43
20.01
27.08
47.16

10.73
4.75
2.90
1.78
1.21
1.00
0.77
0.61
0.54

AAA
AAA
A
BBB
B
CCC
CCC
CC
C
C

Capital Cities
1 0 0
1 2 5 Capital Cities

Capital Cities
(
)

9.2.2

9.1
7

426

(%)
7.30
7.30
8.25
9.00
11.00
13.00
13.00
14.50
16.00
16.00

(%)
4.12
4.12
4.66
5.09
6.22
7.35
7.35
9.63
11.74
12.21

(%) /
12.10
15 507
11.59
17 007
11.19
18 399
10.86
19 708
10.90
19 546
11.17
18 496
10.98
19 228
12.74
13 939
14.81
10 449
15.71
9 391

/
96.41
106.15
115.19
123.69
122.63
115.81
120.57
86.23
63.58
56.71

9.3
1 )
2 )

9.3.1

( )

Atlantic Richfield 1 9 8 5

427

4 0
12%34%

9-1

Owens Corning 1 9 8 6
5 2 3 5

9 - 1

9-1

CBS Inc.

1985

Caesers World

1987

Ted Turner

21%

Martin Sosnoff

428

10
26.25

()

Carter Hawley Hale

1986

The Limited

Colt Industries

3.25
15

1986

85
FMC

1986

GenCorp.

1987

AFG

80

16

Gillette Corp.

1986

Revlon

Goodyear Tire

1986

&Rubber Co.
HBO&Co.

James Goldsmith

1986

700

2000
26%

Harcourt Brace

1987

Jovanovich
Holiday Corp.

British Painting

1986

Donald Trump

Interco Ltd.

1988

Interco Ltd.

1988

Rales Brothers

65

10

28
14

Kroger

1988

Haft Brothers

Multimedia

1988

Newmont Mining

1987

Ivanhoe Partners

Optical Coating

33

13

1988

Labovatories
Owens Corning

1986

Wickes

429

+
($52+$35)

()

Phillips Petroleum

1984

Pickens

Quantum Chemical

50

1988

Santa Fe Southern

1987

Pacific
Shoneys

1988

Standard Brand

1987

Paints
Swank Inc.

40

Entregrowth

1987

53%

17

UAL

1987

USG Corp.

1988

Desert Par-

63%

tners

Union Carbide

1985

GAF Inc

Unocal

1985

T. Boone Pickens

49%

9.2
(
)

9.2 Nichols Research

Nichols Research 1 9 9 4
6 8 0 1 . 2

430

1 200 Nicols
30%12.07%(13% )
1 . 4 6 ( 1 . 2 6 8 )
Nichols

(2

530)
1 7 . 6%

60%

199410%
N i c h o l s

(
1.46)30% 3 700

3 700
2 500
3 0 %

( 1 . 2 1

30%)2 950

9.3.2

( )

431

8 0

8 0

9.3

......

9.3.3

432

(
) ( )
(
)

2
5 000
2 1 . 7 5
2 500
( 5 000
2 500 )
5 000

9.3
8
1997718%111.8
( ) 5 0 8 . 9
40%9-20%~90%

9-2
(%)
0.00
10.00

(%)
13.00
12.55

433

/
53 172
58 014

()
(%)
20.00
30.00
40.00
50.00
60.00
70.00
80.00
90.00

(%)
12.17
11.84
11.64
11.70
12.11
11.97
12.17
13.69

/
62 705
67 419
70 542
69 560
63 445
65 524
62 751
47 140

4 0%
( B B B )
30%

( 6 2 0 )

1)
2)

1 9 9 6

1996
= (1)/(
+ )
=5 559(0.36)/(7 663+11 368)=18.69%
J e n s e n4 1 9 9 2 ~ 1 9 9 6
1.81%
Michael Ovitz E i s n e r
9 000

434

1 9 9 7 1 2 . 2 2%

11 . 8 4%

5
1 0%( )
9-3
5% 5

7.5%
22.32%
1.25
7% 5.5%

t-1= t-1(1+ t-1)-t

2 2 . 3 2%

9 - 3 5

435

9-3

$83 393

$94 183

$10 246

$9 844

$9 386

12.19%

10.56%

9.06%

$50 888

$57 651

$65 251

$73 793

$11 180

$10 908

$10 599

/ (

18.01%

15.91%

13.97%

+)

$18 739

$20 613

$22 674

$24 942

$27 436

$30 179

$1 745

$1 920

$2 111

$2 323

$2 555

$2 810

$15

$94

$103

$113

$125

$137

$1 134

$1 247

$1 372

$1 509

$1 660

$1 826

$1 214

$1 335

$1 483

$1 647

$1 830

$2 033

$271

$298

$331

$368

$408

$454

($317)

($272)

($309)

($353)

($402)

($458)

+
=

1.25

1.23

1.21

1.19

1.18

1.17

13.88%

13.76%

13.65%

13.56%

13.48%

13.41%

10.00%

10.00%

10.00%

10.00%

10.00%

22.32%

22.32%

22.32%

22.32%

22.32%

22.32%

t = t- 1(1+g) - (1- t)( t - t- 1)

( +
)

1 8 . 0 1% 5 9 . 0 6%
30%
(1)

9 - 4 5 0%
5 11.42%(9.06%)

436

9-4

$50 888

$57 281

$64 446

$72 479

$81 486

$91 587

$11 180

$11 278

$11 389

$11 513

$11 653

$11 810

/ (

18.01%

16.45%

15.02%

13.71%

12.51%

11.42%

+)

$18 739

$20 613

$22 674

$24 942

$27 436

$30 179

$1 745

$1 920

$2 111

$2 323

$2 555

$2 810

$15

$94

$103

$ 11 3

$125

$137

$1 134

$1 247

$1 372

$1 509

$1 660

$1 826

$1 214

$1 335

$1 464

$1 605

$1 759

$1 927

+
=

$271

$668

$732

$802

$879

$964

($317)

$98

$110

$124

$140

$157

1.25

1.23

1.22

1.21

1.20

1.19

13.88%

13.79%

13.71%

13.64%

13.58%

13.52%

10.00%

10.00%

10.00%

10.00%

10.00%

22.32%

50.00%

50.00%

50.00%

50.00%

50.00%

(2)

9 - 5 5%
5
9-5 5%

$50 888

$54 768

$59 030

$63 717

$68 875

$74 561

$11 180

$13 791

$16 703

$19 958

$23 604

$27 697

/ (

18.01%

20.12%

22.06%

23.85%

25.52%

27.09%

+)

$18 739

$20 613

$22 674

$24 942

$27 436

$30 179

$1 745

$1 920

$2 111

$2 323

$2 555

$2 810

$15

$94

$103

$113

$125

$137

437

()

$1 134

$1 247

$1 372

$1 509

$1 660

$1 826

$1 214

$1 335

$1 335

$1 320

$1 285

$1 227

$271

$298

$298

$295

$287

$274

$2 883

$3 107

$3 354

$3 625

$3 924

($317)

$2 611

$2 912

$3 255

$3 646

$4 092

1.25

1.27

1.29

1.32

1.34

1.36

13.88%

$14.00%

14.12%

14.24%

14.35%

14.46%

10.00%

10.00%

10.00%

10.00%

10.00%

22.32%

22.32%

22.32%

22.32%

22.32%

+
+

22.32%

5 27.09%
(3)

9 - 6
3
9-6

$50 888

$57 637

$65 573

$74 725

$85 238

$97 465

$11 180

$14 445

$18 167

$22 408

$27 243

$32 753

/ (

18.01%

20.04%

21.69%

23.07%

24.21%

25.15%

+)

$18 739

$20 613

$22 674

$24 942

$27 436

$30 179

$1 745

$5 759

$6 334

$6 968

$7 665

$8 431

$15

$94

$103

$113

$125

$137

$1 409

$1 550

$1 705

$1 875

$2 063

$2 269

$1 214

$1 335

$1 302

$1 241

$1 148

$1 016

$271

$298

$291

$277

$256

$227

438

()

($592)

$3 265

$3 721

$4 241

$4 834

$5 510

1.25

1.32

1.34

1.36

1.37

1.38

13.85%

14.27%

14.38%

14.47%

14.55%

14.62%

10.00%

10.00%

10.00%

10.00%

10.00%

22.32%

22.32%

22.32%

22.32%

22.32%

22.32%

3
( ) 5 320

9.4

( )

9.3.4

439

( )

9.4 Time W arner

1994Time Warner 3.793
4 4 9 9 . 3 4 1 9 8 9
Wa r n e r Ti m e 1 9 9 4
11.46 1.30
Time Warner 10% 9-7

9-7 Time Warner

$16 689

$19 051

$21 694

3
$24 651

$27 960

$31 663

$9 934

$9 745

$9 527

$9 276

$8 988

$8 655

/ (

37.31%

33.84%

30.52%

27.34%

24.33%

21.47%

$300

$330

$363

$399

$439

$483

$437

$481

$529

$582

$640

$704

$35

$39

$52

$68

$88

$112

$67

$0

$0

$0

$0

$0

($105)

($189)

($218)

($251)

($289)

($332)

+)

1.30

1.25

1.21

1.17

1.14

1.11

14.15%

13.87%

13.63%

13.42%

13.24%

13.08%

440

()

11%

10.00%

10.00%

10.00%

10.00%

10.00%

0%

0%

0%

0%

0%

1 0%Time Wa r n e r 1
1 . 8 9 5
21.47%
9-1
(chgfin.xls)

9.5

9.3.5

441

442

( C V R )

9.4

(
)

443

9.4.1

1.

9 - 2

9 - 2
9 - 3

444

(t)

9-2

(t)

9-3

9 - 2

9 - 4

445

(t)

9-4

9.6
4

2.

446

3.
()
( ) (N
)

t= Nt t N
+

t =1 (1+ r) t (1+ r)N

=
dP
/
d
r
=

t = N t
+
t

(1+ r) N
t =1 (1+ r)
r

7%
308%
t= 30 t $70 30 $1000
+

(1.08)30
t =1 (1.08)t
=
dP
/
d
r
=
=12.41

t= 30
$1000

$70
+

t =1 (1.08)t (1.08)30

9 - 8

447

4.

t = N t CFt
N
+
t

(1+
r)
(1+ r) N
t=1
= dPV / d r = t= N

CFt
+

t
(1+ r) N
t =1 (1+ r)
CFt t

N
r ( )

( )
( )

9-8

(6LIBOR)

448

t = a + b t
b

t = a + b t
b
9.7

9 - 9

9-9

1
2
3

($39 078Bt)
($36 199 Bt)
($11 759 Bt)

(31 161 Bt)

(23 017 Bt)
(5 962 Bt)

449

t
- 31 160.969
- 46 034.931
- 17 886.497

()

4
5
6
7
8
9

16 155 Bt
21 548 Bt
33 109 Bt
46 692 Bt
58 169 Bt
902 843 Bt

6 532 Bt
6 947 Bt
8 512 Bt
9 572 Bt
9 509 Bt
117 694 Bt
98 626 Bt

t
26 128.0524
34 736.1086
51 073.1332
67 005.9744
76 074.0372
1 059 242.66
1 219 177.57

=1 219 178/98 626=12.36

9

( (1+r)/r)
5.

1)
2)

450

9.8
(
)




(
)
6. /

LIBOR

7.

( )
( )

8.

451

(LIBOR)
9.9

9.

2 0%

Philip Morris 1 9 8 5
1 9 8 7
We s t i n g h o u s e ( P E R L S )
7 0 . 1 3
( I C O N )

452

P E R L S

1 6 0 0

10.
7

11.

1980Sunshine Mining 15

453

U S A A 1 9 9 7
6 4 . 7 7
1 9 9 86
10

1997
10 1.5%
0.5%
9.10

12.

454

9.4.2

IRS

9.4.3

455

( P B V )

9 - 1 0
1 9 9 4 ~ 1 9 9 5 6 0
( )

456

457

9.4.4

M y e r s ( 1 9 7 7 )

F l a n n e r y ( 1 9 8 6 )
K a l eN o e ( 1 9 9 0 )

G o s w a m iN o eR e b e l l o ( 1 9 9 5 )

458

9.4.5

(
)
1 9 8 8

LY O N s ( )

LY O N S

459

460

(
)

9-5
9.5

A.

( )

( )
3

461

()

1 ( )

2
( )
3

3 (
)

B.

(
)
a.

462

(9-11)

G N P

9-11

1981
1982
1983

/
/ (%)
1 707
119.35
13.98
2 108
141.39
10.47
1 817
133.87
11.80

463

GNP
3 854
3 792
4 047

115.65
123.14
128.65

(%)
8.90
3.80
3.80

()

/
/ (%)

GNP

(%)

1984

2 024

142.60

11.51

4 216

138.89

4.00

1985

3 655

205.60

8.99

4 350

125.95

3.80
1.20

1986

5 631

280.58

7.22

4 431

112.89

1987

8 371

707.00

8.86

4 633

95.88

4.40

1988

9 195

789.00

9.14

4 789

95.32

4.40

1989

16 015

1 109.00

7.93

4 875

102.26

4.60

1990

14 963

1 287.00

8.07

4 895

96.25

6.10

1991

17 122

1 004.00

6.70

4 894

98.82

3.10

1992

24 771

1 287.00

6.69

5 061

104.58

2.90

1993

25 212

1 560.00

5.79

5 219

105.22

2.70

1994

26 506

1 804.00

7.82

5 416

98.6

2.70

1995

33 858

2 262.00

5.57

5 503

95.1

2.50

1996

39 561

3 024.00

6.42

5 679

101.5

3.30

b.

/
/
( T
)
=0.22- 7.43
(3.09) (1.69)

7 . 4 3
7.43
9.11 R 2
R 210%
R2

464

c.

GNP ( T
)
=0.31 -1.71GNP
(2.43) (0.45)
( T
)

d.

=0.26 -0.22
(3.36) (0.05)

e.
GNP

465

( T)
=0.26 - 1.01
(3.46) (0.98)
1 5

f.

( T
)

=0.31 - 4.99
(2.90) (0.78)

G N P

466

=0.17 + 4.06GNP
(1.04) (0.80)

=0.26 - 3.03
(3.14) (2.59)

=0.32 + 10.51
(3.61) (2.27)

( )

g.

467

7.43

(macro.xls)

9.6

Aracruz

A r a c r u z

468

Aracruz: Aracruz
1 9 9 51 9 9 6 8 0%

20

( )

(
) (M o rgan Grenfell )

( )

( )

469

(
)

9.5

( )
( )

470

(
)

1. BMD
2 0 2
5 0% 3

a. 50%

b.
c. B M D2 . 5

2. Minisink 1
9 0 0 1 0 0 1 . 1 0
8% 7 . 5
5 1 0%
40% 20% ( 7%)
a. 5

b. 5%
5

471

3. IOU50 ( 9%)1000
50 5
3 0% 1 . 2 0 4 0%
7% 5 10%
5 1
IOU
a. 5 5 0 0 0

b.
4. DGF
D G F3
1 0 2 0 (
) 1.30 8%( 7%)
4 0 % 1%
40%
a.
/
b.
5. STL

6. STL
a.

b.

c.

7. E a t o n ( )

472

1 0

1985

1 824.9

436

1986

2 260.6

632

1987

2 389.6

795

1988

1 960.8

655

1989

2 226

836

1990

1 875.9

755

1991

2 009.7

795

1992

2 589.3

833

1993

3 210

1994

3 962.7

649
1053

G N P

GNP

(%)

(%)

(%)

1985

11.40

6.44

125.95

3.50

1986

9.00

5.40

112.89

1.90

1987

9.40

6.90

95.88

3.70

1988

9.70

7.89

95.32

4.10

1989

9.30

7.23

102.26

4.80

1990

9.30

5.35

96.25

5.40

1991

8.80

2.88

98.82

4.20
3.00

1992

8.10

6.22

104.58

1993

7.20

5.34

105.22

3.00

1994

8.00

5.97

98.6

2.60

a.

b.
c.

473

d.

e.
8. 7
10 10

1985
1986
1987
1988
1989
1990
1991
1992
1993
1994

463.05
411.696
483.252
544.633
550.65
454.875
341.481
413.983
567.729
810.968

9.

10. Pfizer 10.30%

3 0% 1 4 . 5 1%
13.45%Pfizer1995 20 (
+) 80 40%

a. P f i z e r

b.
c. P f i z e r

11. Upjohn

474

11% 40% 1.17 6.50%

1 4 . 5%

a.
b.
12.

13. Bethlehem

=0.20%- 6.33
a. B e t h l e h e m

b. B e t h l e h e m

14.

15. 6

=a + b

LA Gear
Nike
Stride Rite
Timberland
Reebok
Wolverine

(a)
- 0.07
0.05
0.01
0.06
0.04
0.06

475

(b)
- 4.74
-11.03
- 8.08
-22.50
- 4.79
- 2.42

a.
b.

16.

=0.05 -3.87
=0.02+5.76GNP
=0.04 -2.59
=0.05-3.40($/DM)
( )
a.

b.

17.

18.

19. ACM

A C M

20.

476

21.

22. GF

23. Vi s i G e r n

a)
b) ( )

c)
d)
e)

1.

477

(
)

(
)
2.

(
)

(

)
3.

( m a c r o . x l s . ) G N P

( Value Line)
15
( i n d f i n . x l s . )

478

10

(
)

10.1

480

1 0

( S p i n o ff s )

(Splitoffs)

10.2
5 0

10.2.1

10-11960~1996

1956John Lintner

481

Fama
Babiak(1968)
Lintner

10-1 500 1960~1996

10.1

10.2.2

482

1 0

1 0 - 2
1 9 8 1 ~ 1 9 9 0

10-2 1981~1990

5
10.2

10.2.3

483

1 9 6 0 ~ 1 9 9 4
5 . 1 3% 1 4 . 0 9%
18.57% 3.15%

s p e a r n . x l s 1 9 6 0

10.2.4

1 0 - 3

1995

10-4

Value Line199510

484

1 0

1
2

10-3

10-4

485

10.3

10.3

10-5 1982~1984
1989~1991

(1)
(1 0 - 3 ) 1 9 8 2
1984

(2)

(3)

486

1 0

10-5

10.4

( 3 5%)

= /

= +

487

1 0 - 61 9 9 79

0%

0~1%

1%~2%

2%~3% 3%~4% 4%~5%

5%~6%

6%~7%

>7%

10-6 19979

1 . 7 6% 2 . 11%
10-7 1960~1996

= /

( = 1-
) (
) ( )

488

1 0

10-8 1997

10-7 500 1960~1996

0% 0~10% 10%~ 20%~ 30%~ 40%~ 50%~ 60%~ 70%~ 80%~ 90%~ >100%
20% 30% 40% 50% 60% 70% 80% 90% 100%

10-8 19979

1 0 0%
1994 24.93%27.58%

489

d i v e n d . x l s

10.5

10.4

(1961)

10.4.1

490

1 0

(
)

10.6
-

()

10.4.2
LongLast
15% 10%
()5 000
5%1.05
LongLast

= (1- )-
=$100 000 000 -$50 000 000=$50 000 000
= (1+)/
( - )
=$50 000 000(1.05)/(0.10 -0.05)=$1 050 000 000
=$1 050 000 000/105 000 000=$10.00
5 000

=$50 000 000/105 000 000=$0.476

491

=$10.00+$0.476=$10.476

L o n g L a s t 1
5 000 5 000

10.5 10
=$1050 000 000
=$100 000 000/105 000 000=$0.953
=$1000 000 000
=$1000 000 000/105 000 000=$9.523
=$9.523+$0.953=$10.476
5 000
1 0 . 5
10

(+)

5 000

=$1 050 000 000+$50 000 000=$1 100 000 000

=$1 100 000 000$105 000 000=$10.476

10-1

492

1 0

10-1
( )
(
)
1 050
1 050
1 050
1 050
1 050
1 050
1 050
1 050
1 050
1 050
1 050

10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
90.00
100.00

1 100
1 090
1 080
1 070
1 060
1 050
1 040
1 030
1 020
1 010
1 000

10.48
10.38
10.29
10.19
10.10
10.00
9.90
9.81
9.71
9.62
9.52

0.10
0.19
0.29
0.38
0.48
0.57
0.67
0.76
0.86
0.95

10.48
10.48
10.48
10.48
10.48
10.48
10.48
10.48
10.48
10.48
10.48

5 000

( )

10.4.3

493

10.5

10.5.1

(1 0 - 9 )1 9 8 6
4 0%
3 0%
1 2%

1 9 7 9 7 0%
2 8% ( 4 2%)1 9 8 1
50% 30%

494

1 0

1986

American
Council for Capital Formation

10-9

1986
28%

()39.6%28%
1997
20%

20

495

( ) ()
()
10.7
15%

10.5.2
1 9 8 6

496

1 0

( )

PB PA 1 to
=
1 t cg
D
P B PA D
to tcg

( )

1 9 8 6

497

10.8
70%
20%
36%

10.6

10.6.1

10.6.2

498

1 0

( )

10-2
10-2 (%)

100
100-190
200-490
500-990
1 000-1 999
2 000-4 999
5 000

14.00
11.00
4.0
2.4
1.2
1.0
0.9

2.6
1.8
1.7
1.6

<1%

1%~2% 2%~3%

>4.5%

10-10

499

22.0
16.9
12.4
8.1
6.0
4.6
3.5

1 0 - 1 0

(
)

10.7

10.7.1

John Long(1978)Citizens UtilityAB

BA
A B
B
A
BA
BA
10-11

500

1 0

10-11 Citizen Utility

1 9 5 6 ~ 1 9 7 6 P B /P A P A B
A B

B a i l e y ( 1 9 8 8) L o n g

1 0 - 3
7.5%

10-3

Consolidated Bathurst
Donfasco
Dome Petroleum
Imperial Oil

(%)
19.30
13.30
0.30
12.10

501

()

(%)
Newfoundland Light & Power
1.80
Royal Trustco
17.30
Stelco
2.70
TransAlta
1.10

7.54

10.7.2

914

(10-4)

10-4

/100
/1 000

4.22%
- 2 145
3.131
- 3.726
- 2.849

502

1 0

t=a+b t+c t +d t+e t+

10.9

1.

90

503

2.

BlackScholes(1974)
5 ( ) 5
25251931~1960

LitzenbergerRamaswamy(1979)

23%MillerScholes(1981)

4%

MillerScholes

504

1 0

10.10

10.7.3

1.

505

1 0 - 1 2

a)
CAR=
AD=

b)

10-12

2.

506

1 0

1 0 - 5P a l e p uH e a l y ( 1 9 8 6) 1 5 1
1 9 7 0 ~ 1 9 7 9

10-5

131

-4

130

14.9%

1970~1979

-3

129

-7.1

7.6

-2

128

12.9

10.5

-1

131

42.7

28.0

130

55.0

40.2

130

22.0

35.9

130

35.0

28.2

128

3.5

19.5

17.4%

10
10% 0(PalepuHealy)

10
(PalepmHealy)

10.11

507

10.8

1 0 - 1 3

CAR()
CAR()

(0)

10-13

10.9

508

1 0

10.12

B a k e r F a r r e l l y
E d e l m a n ( 1 9 8 5 )
10-6
10-6 (%)

61

33

52

41

43

51

509

()

7.

56

42

30

64

44

49

41

49

10

10.10

(
)

( )

10.11

510

1 0

10.11.1

(1)

(2)

(3)

10.11.2
8 0

511

10-14 1981~1990

10-14 1981~1990

(1)

(2)

(3)

512

1 0

(4)

(5)

(6)
1987

1 0 0 1 0 0
1 500 3 0 0 2 0
2 0
5 0%

513

-
=
-
=

$200
$0
$200
$100
$100
100
$1.00

=$30 =$55
$200
$200
$30
$55
$170
$145
$85
$72.50
$85
$72.50
80
80
$1.125
$0.91

15

10.13

10.11.3

( ) ( )

10.11.4
()

514

1 0

1 0%~ 2 0%

(1)

2 0% 5%~ 6%

1 5 %~

(2)

( )Ve r m a e l e n ( 1 9 8 1)

(3)

D a n nD e A n g e l o ( 1 9 8 3)
( )
( )

(40%)15%
6%

515

10.14

10.11.5

(1)

(2)

(3)

(4)

516

1 0

10.1

1 9 9 7 1 0
2 . 5

(1)

(2)

( )
(3)

10.12

( )

517

()

10.13

5%
5%

12

( )

10.13.1

518

1 0

1.11 000
1 0%
1.111($110 000 000/$10 000 000)
10($110 000 000/$11 000 000)

10.13.2

()

2 0 ~ 4 0
45 12
22.5

( 1 0 0 )

519

10.15

10.14

( D i v e s t i t u r e ) ( S p i n o ff )
( S p l i t u p ) ( S p l i t o ff )

(1)

(2)

520

1 0

(3)

(4)

10.14.1

5 8 0%

10.14.2

521

(1)

Philip MorrisRJR Nabisco

AT & T

(2)
M a r r i o t t8 0

AT & T

522

1 0

(3)

( R E I Ts )

10.16
MegaCorp Megaoil
5
M e g a C o r p

Megacorp

10.14.3
L i n nR o z e ff ( 1 9 8 4)
1 9 7 7 ~ 1 9 8 27 7
1 . 4 5%

1 0 - 7

SchipperSmith(1983)1963~1981

523

93
2.84%HiteOwens(1983)MilesRosenfeld(1983
)
SchipperSmith

10-7

3.92%
0.70%

2.30%
0.37%

10.15

( )

10.15.1

( )

1.

1 0 - 8

524

1 0

10-8

( )

2.

10-9
10-9

/
/

70%

85%

525

3.

()

50%
2 0%

4. /

10.17

526

1 0

10.15.2

(1)

(2)

(3)

(4)
( )

10.18
Immunotech
100% 1
Immunotech
( )Immunotech

527

10.16

1.
a.

528

1 0

b.
c.
2.

3.

4. Miller - M o d i g l i a n i

5.

6.

7.

8.

9. Consolidated Power 5 0
4 6 . 5 0
( 45%)
10. 85%

PB PA 1 0.15t 0
=
1 t cg
D
11.

NE Gas
$50
$48
$4

529

SE Bell
$70
$67
$4

Western Electric
$100
$95
$5

12. Southern Rail 1

5 0% 5 0%
(
5 0%) 1 0 9 . 2 0
(
10%)
13. LMN( ) 0 . 5 0
L M N
4 0% 2 8% 8 5%
10

14. VJ Gas 5%
1 . 0 0
1.02
15. Microsoft

16. JC Automobiles 5
1 . 0 0
1 . 2 5

17. JC Automobiles 35

18. We e M a r t ( )

19. RJR Nabisco1996

530

1 0

20. RJR Nabisco 1 . 0 1

Nabisco
21.

22. 2 3%

23.
(
)
24.

25.

26.

27.

28.

a.
b.

531

c.
29.
JCL Steel 100
420.510%JCL
1 1 000
50% 500
50 100 000
1 500
a. 40%

b. JCL
5 0

c. 100 000

d. bc

30. ABT Trucking 300 000

100 000
27
30 10 000
a. 4 0% 2 8%

b.
31. JR Computers( )1 0 0%
100 000 1 000
1.5 8% 6 000 40 000
50%
a.

532

1 0

b.
32. JK To b a c c o ( )
2 5%

33. GenChem
1
5 0 3 5 3

34.

35. We e k i d s 5
1
1

36. 1995the Limited( )

3 the Limited Stores Vi c t o r i a s
S e c r e tL i n g e r i e
the Limited 4

37. JW Bell( )

38.

533

39. JC Conglo 6 0

40. RJR Nabisco

RJR Nabisco

( )

1.


2.

534

1 0

( )

(inddiv.xls)

535

11

1.

2.

3.
4.

11

11.1

11.1.1

537

11.1.2

1.

=/
= (1 -)/(
+ )

538

11

11.1 ()

2.

( )
( ) (
) (
)

3.

539

11.2
(Shelf Registration)

4.

5.

( )

540

11

( )

6.

i n d d i v. x l s

11.2

1)

2)

11.2.1

541

(
)

( )

(FCFE)= - ( - )

- ( )
+( - )

=- ( -)(1- )
=-()(1- )

542

11

= -( - )(1- )

- ( )(1- )

( )

-
-

543

= -

11.3

11.1 Aracruz

1 9 9 2 ~ 1 9 9 6
(11-1)
11-1 1992~1996
( )

1992
1993
1994
1995
1996
1996

817
889
1 110
1 380
1 214
1 214
1 082

544
794
1 026
897
20 246
1 746
1 001

317
364
410
470
1 134
1 134
539

(106)
211
654
271
(617)
(617)
82

(54)
68
686
82
9 367
(133)
130

642
316
526
764
(7 914)
1 086
667

Capital Cities

1 9 9 6 1 0 0 Capital Cities

544

11

185
7 9 . 1 4
1996 10.86
1 . 3
5 . 4 5 2 3 . 8 1%
Capital Cities
11-2
11-2 1992~1996
( )

1992
1993
1994
1995
1996

817
889
1 110
1 380
1 214
1 082

( )(1 - )
173
328
469
325
466
352

(1- )
(81)
160
498
206
(470)
63

725
402
143
849
1 218
667

6.67
A r a c r u z1 9 9 4 ~ 1 9 9 6
1994Real 1994
1 9 9 4 9 0

11 - 3 1 9 9 6
1.4
1996 11-4

1) 1996 70 50
2) 1996 1995250
25

545

11-3 Aracruz

1994
1995
1996

248
326
47
207

450
455
212
372

193
165
190
183

3) 116
11-4 1996
( )

+
-
-

1 160 000
500 000
700 000
250 000
710 000

1996 71

1 9 9 5 1 9 9 6
1996

1995
128 508
395 215
88 566
65 735
9 062
11 474
698 560
301 386
211 320
97 536
52 702
24 936
687 880

546

1996
212 269
370 598
175 492
78 154
10 375
14 365
861 253
375 629
254 197
110 111
82 114
32 064
854 115

83 761
(24 617)
86 926
12 419
1 313
2 891
162 693
74 243
42 877
12 575
29 412
7 128
166 235

11

1994~1996
( )

70
(23)
35
27

253
425
(228)
150

174
484
(238)
140

= ( + - )1996- (
+ - ) 1995
=( - - -

- )1996-( -
- - - )1995
=( + )1996- (
+ )1995
1 9 9 62 1 . 3 4
1996

-
-
-

2 134
- 15 099
7 353
4 204
5 676

199656.76
d i v i d e n d . x l s 1 0

1.

547

11-5

Aracruz

1992~1996
1994~1996
1996

168
73
1354

450
73
1354

=/
=/

= ( + ) /

1
1

11.2

Aracruz
11 - 5

Aracruz Cellulose
1 9 9 2 ~ 1 9 9 6 2 . 8 2

2 / 3
A r a c r u z
3 5%
5 2 . 1 4% ( 6 3 . 4 5%)

548

11

1082
207
2134

667
140
5676

(%)
15.53
35.27
6.45

/
(%)
67.47
52.14
23.85

(2 3 . 8 5%)

Capital Cities

2.

11.4
1 9 9 6 2 5
2 5

549

3.

1994
61.22%11-1

0%

10%~20%

30%~40%

50%~60%

70%~80%

90%~100% >100%

11-1 /
1996

1 0 0%

( )

550

11

1 0 0%

d i v f c f e . x l s

11.2.2

551

) ( )

t = t/ t-1

t = ( 1 -t) / ( t-1

+ t-1)

t = ( t- t-1)/( t-1

- t-2)
( ) ( )

552

11

5~10
11.5
Super Meats Super
Meats 5
1 0% 1 4%
12%Super Meats5
12%12.5%

5

5

11.3 Aracruz

11-6
1996
Aracruz
Aracruz 1996

= - (1- )

553

554

11

11 - 7 11 - 6
Aracruz

11 - 2
1 9 9 2 ~ 1 9 9 6

11-2

1 9 9 5 1 9 9 6
1992
1 9 9 5 1 9 9 6
5

A r a c r u z

90

555

10 ( dividend.xls)

( )
( ) ( )

1.
A r a c r u z 3
1 9 9 6

2. ( )

Capital cities

3.

556

11

11.2.3

( )

(1)

(2)

(3)

(4)

11-3

557

11-3

11.6

( 12%)
25%
6%
25%
6%

558

11

11.2.4

11.3

11.3.1

(
)

559

11.3.2

11.3.3

7%
3%

560

11

(
)

11.7

( Poorlow.xls)

561

5%
50%
5%

11.4

11.4.1

1)

2)

3)

11.4.2

562

11

11.4.3

The Limited 90

2 2%
1 5%
25%

( goodlow.xls)
5%
5
5%
50%

563

11.5

11.5.1

11.5.2

564

11

11.5.3

( poorhigh.xls)
1. 5%
2. 2%
3. 2%

11.6

565

11.6.1

11.6.2

11.8

11.6.3

566

11

- (- )(1- ) +
-(1-)
-
-

<

>

11-4

( goodhigh.xls)
5%

567

11-8

Aracruz

1 9 9 2 ~ 1 9 9 6

6 7 . 4 7%1 9 9 6C a p i tal Cities

1994~1996

14%1996

1992~1996

23.85%Morgan Grenfell

1. 1992~ 1 9 9 6

2. Capital
Cities

1994~1996

1992~1996

2%
2%
11.4 Aracruz
3
11 - 8 3
(11-4)

Capital

C i t i e s
8

Aracruz
Aracruz

568

11

Aracruz

1996

1996

( )

11.7

569

11.7.1

3.5%

1.0%

11 - 9

11-9 (%)

Advertising
Air T ransport
Alcoholic Beverages
Aluminum
Apparel
Appliances
Auto & Truck
Auto Parts(OEM)
Auto Parts(Replacement)
Bank
Bank (Canadian)
Bank(Midwest)
Beverage (Soft Drink)

0.66
0.34
1.75
1.13
0.52
1.41
1.40
1.56
1.13
1.99
2.28
1.98
0.85

570

36.04
27.21
45.73
49.61
29.76
40.47
39.49
31.85
26.60
38.60
37.33
38.74
44.43

32.62
50.71
56.97
66.58
27.70
46.80
47.88
37.73
38.98
38.60
37.33
38.74
53.38

11

()

Brokerage Houses
Building Materials

0.85
0.92

16.21
21.83

16.66
31.86

Building Supplies
Cable TV
Canadian Energy

0.32
0.37
2.13

11.63
NA
49.99

54.04
NA
120.88

Cement & Aggregates

Chemical (Diversified)

0.98
1.74

21.48
41.28

28.51
64.71

Chemical(Basic)
Chemical(Specialty)
Coal/Alternate Energy

1.73
1.13
0.74

40.58
37.25
3.48

49.21
49.85
6.91

Computer & Peripherals

Computer Software

0.06
0.16

14.94
9.03

18.17
9.18

Copper
Cosmetics
Defense

1.89
0.60
0.50

36.03
47.43
29.36

97.40
64.96
28.08

Diversified Co.
Drug

0.95
0.17

30.78
126.94

33.21
142.58

Drugstore
Electrical Equipment
Electric(Foreign)

0.76
0.77
0.55

35.47
49.64
22.83

75.05
55.56
37.48

Electronics
Entertainment

0.30
0.48

20.24
12.76

29.66
11.97

Environmental
European
Foreign Utilities

0.54
0.45
5.04

43.69
56.16
32.84

49.42
56.16
18.39

Financial Services
Food Processing

1.25
1.26

22.57
48.60

22.76
56.87

Food Wholesalers
Furn./Home Furnishings
Natural Gas Distributors

1.12
1.38
4.40

26.24
22.90
91.86

55.63
24.48
207.93

Natural Gas Diversified

Gold/Silver Mining

1.85
0.68

41.56
232.62

116.89
115.12

Grocery

1.07

22.22

59.33

571

()

Healthcare Information
Homebuilding

0.22
0.74

15.83
25.01

14.21
26.17

Home Services
Hotel/Gaming
Household Products

1.26
0.49
1.25

12.73
17.47
45.89

17.64
70.35
54.15

Industrial Services
Insurance(Diversified)

0.58
1.45

27.32
21.86

32.56
23.92

Insurance(Life)
Insurance(Prop/Casualty)
Precision Instruments

1.02
1.64
0.38

32.69
25.69
29.10

33.94
27.02
39.41

Machinery
Maritime

1.02
1.59

24.64
48.36

26.75
142.86

Medical Services
Medical Supplies
Metal Fabricating

0.17
0.32
1.26

12.42
51.75
19.67

13.69
57.77
23.43

Metals & Mining (Div.)

Newspaper

0.96
1.30

69.21
35.54

NA
33.61

Office Equip & Supplies

Oilfield Services/Equip.
Petroleum(Integrated)

1.42
0.32
2.22

37.98
25.59
64.58

39.68
40.07
101.24

Petroleum(Producers)
Packaging & Container

0.50
0.84

24.90
34.19

NA
52.58

Paper & Forest Products

Publishing
Railroad

1.74
1.05
1.53

121.48
78.84
30.01

90.89
71.84
74.35

Recreation
REIT

0.59
5.92

55.84
3.83

72.50
3.86

Restaurant
Retail Stores
Retail(Special Lines)

0.65
0.48
0.37

15.88
36.02
22.25

88.82
48.91
43.54

Semiconductor Equipment
Semiconductor

0.19
0.05

0.40
9.47

0.80
19.62

Shoe

0.93

15.09

20.96

572

11

()

1.77
1.39
1.59
0.25
1.07
1.06
1.56
1.13
3.12
0.93
5.68
5.81
4.67
4.95

Steel(General)
Steel(Integrated)
Telecom Foreign
Telecom Equipment
Telecom Services
Textile
Thrift
Tire & Rubber
Tobacco
Trucking
Utilities(Central)
Utilities (East)
Utilities(West)
Water Utilities

31.71
54.37
52.31
5.99
88.16
21.92
31.58
23.91
71.46
24.72
75.49
82.22
69.11
71.65

180.39
66.74
46.02
9.97
150.61
24.09
31.58
35.40
71.58
101.67
73.37
76.78
72.54
91.33

11.9

573

11.5

1 9 9 7 11 10

11-10 (%)

Belo(A.H.)
King World
Gaylord A
(Walt)
Chris-Craft
Clear Channel
ViacomA
Westinghouse

/
44.50
40.13
23.50
79.56
50.00
68.25
31.63
26.31

0.99
0.00
1.70
0.67
0.00
0.00
0.00
0.76
0.51

22.11
0.00
45.98
19.78
0.00
0.00
0.00
10.50
12.30

55.00
95.00
40.00
80.00
30.00
55.00
5.00
20.00
47.50

2.50
6.50
9.50
15.00
19.00
24.00
24.00
4.85
13.17

=0.24 -0.89( )

R2=21.37%

(1.28)
=0.010 7 - 0.043( )

R2=33.65%

(1.74)
(t )
Value Line
Value Line

574

11

1 5%

=0.24- 0.890.15
=0.106 610.66%
=0.010 7 -0.0430.15
=0.004 40.44%

1 9 . 7 3% 0 . 6 9%

(
)

(
)

11.7.2

575

( )

()


1 9 9 6

=0.341 0 - 0.210 9 +0.000 003 3MKTCAP

+0.027 4DBTRATIO+0.1825ROE-0.0167NCEX/TA
R2=7.04%
=0.018 9 - 0.012 1 +0.000 000 16MKTCAP
+0.005 6DBTRATIO+0.009 4ROE-0.002 8NCEX/TA
R2=10.02%

MKTCAP +
DBTRATIO /MKTCAP
ROE 1996
NCEX/TA /

7%~ 1 0%
( )
11-6

11-11

576

11

11-11

24.95%
1.25
$62 068
1.17%
19.52%

=0.341 0 -0.210 9(1.25)+0.000 003 3(62 068)

+0.027 4(0.1952)+0.182 5(0.249 5)-0.016 7(0.011 7)
=33.29%

=0.018 9 - 0.012 1(1.25)+0.000 000 16(62 068)

+ 0.005 6(0.1952)+0.009 4(0.249 5)-0.002 8(0.011 7)
=1.71%

1 9 . 7 3% 0 . 6 7%

d i v v e g . x l s

11.8

577

( ) (
)

1. JL Chem( )
5 000
2
( )

1 200
200
1 000
200
800
320
480

1 350
250
1 100
200
900
360
540

5 5

A
B
C
D
E

/
1.9
2
2
2
1

0.6
0.8
1.0
1.2
1.5

578

(
)(%)
12.0
12.0
14.5
15.0
20.0

11

1.0 8.5%
5 000
30%
a.
b.
c. ( 5
)
d. (
)
e.

f. 1 (
) 1 . 2 5

2. SASS C D - R O M
S A S S
CD-ROM

2 1 . 5
1.2( )
2 4 0 0 ( )
SASS
40%
a. ?
b.
3. S A S S
3 5%

( )

579

a.

b.

4. GL( )
1
a. 115 1.25
8%
b. 5 12%
c. 50%
d.

A
B
C
D
E

/
1 500
1 000
2 500
2 000
3 000

(%)
27
20
16
14
12

5. Lime Aide ( )
1000(500
)

A
B
C

/
500
600
500

2.0
1.5
1.0

(
)(%)
21
20
12

1 . 5 9%
( ) 2 0%

580

11

5 000 8%
25%
6. Intech ( )
1 6% 1 0%(
40%) 1 5 000
1 0 9 000 1 000

1
2
3

/
1 000
4 000
5 000

/
100
500
500

/
0.5
100
100

/
5
10
10

/
250
1 000
1 000

20%
a.
b. ()
7. Triple J 3
1 0%
4 800

3
(
1 0%
)

$500 000 000

$350 000 000

$70 000 000

$80 000 000

581

$32 000 000

$48 000 000

$24 000 000

=$170 000 000

8. Triple J

9. NoLone (100% )1
3 1 0%
1 000 3
5 000 5 8% 3
6 000 60%
RY B R 5 0
3
10. Boston Turkey

-
-

$1 000 000
$400 000
$100 000
$500 000
$100 000
$400 000
$160 000
$240 000

$1 500 000
$500 000
$1 000 000
$3 000 000

582

(100 000)

$500 000
$1 000 000
$1 500 000
$3 000 000

11

1 0%
40% 10

( )

A
B
C
D

$100 000
$100 000
$50 000
$50 000

$12 500
$14 000
$8 000
$12 000

1.00
1.50
1.80
2.00

6 . 2 5%
40%
a.
b. 1
150 000

11. Z-Te c( )
1 000 2 500 (500)

a.
b. 40% 10%

12. C o n r a i l ( )
5 4 0%1 9 9 0
1 000
a.
b. 1 . 3 5%
1.25 (

583

7%12.5%)

1991
1992
1993
1994
1995

$240
282
320
375
441

$314
466
566
490
494

$307
295
284
278
293

$35
(110)
215
175
250

$70
80
95
110
124

13. C o n r a i l 5

1995 10%
1995 8%
1995 37.5 5%
1995
30%
a. 5
b.

14. Cracker Barrel()

19956
6001.55 0001995
4 3007.83
5 17%
5 1 0%
15%
1 9 9 5
10%

a. 5
b. 25%

584

11

a.

15. Cracker Barrel

( )
5
20% 1.2(7%)
1 6 . M a n p o w e r
1 9 9 5 1 . 2 8 5 000
2 400 5(50)
10%
a.
10%
b. 1.43
1 200

17. M a n p o w e r 1

18. 5

Alexander & Brown

American President
OMI Corporation
Overseas Shipholding
Sea Containers

$55
$60
-$15
$20
-$5

$35
$12
$5
$12
$8

8%
14.5%
4.0%
1.5%
14%

0.80
1.30
1.25
0.90
1.05

7% 12%
a.
b.

585

c.

19. Black & Decker( )

(%)
11
37
67
15
30
24

Fedders Corporation
Maytag Corporation
National Presto
Toro Corporation
Whirlpool Corp.
Black & Decker

(%)
1.2
2.8
4.9
1.5
2.5
1.3

(%)
22.0
23.0
13.5
16.5
20.5
23.0

a. Black &
Decker
b.
20. 1 9 9 5

=0.047 8 - 0.015 7 - 0.000 000 8MKTCAP

+0.006 797DBTRATIO+0.000 2ROE-0.09NCEX/TA
R2=12.88%

MKTCAP
DBTRATIO /
ROE 1994
NECX/TA /
1995Black & Decker
=1.30
MKTCAP=5.5
DBTRATIO=35%

586

11

ROE=14.5%
NCEX/TA=4.00%
1995 1.3% 24%
a. Black & Decker
b.

21. Handy & Harman()

23%45%
10%(HandyHarman23%)

22. /
( )

(
)

1.

587

2.
(
)

3.

4.

()

( )

( ) ( )
www.morningstar.net
5
d i v i d e n d . x l s
10

588

12

12.1

590

1 2

12.2
3

3
n

CFt
t
t =1 (1+ r)

=
n
CFt t

()

12.2.1

( )

(
)
( )
t =n

=
t =1

CFEt
(1+ ke )t

CFEt t

591

ke

(
)
(
)
t =n

=
t =1

CFEt
(1+ WACC)t

CFFT t
WACC

12.1

592

1 2

12.1
5 1 2 - 1
1 3 . 6 2 5% 1 0%
5 0% 1 073
800
12-1
( )

1
2
3
4
5

(1 -)
40
40
40
40
40

50
60
68
76.2
83.49
1 603.01

90
100
108
116.2
123.49
2 363.01

=13.625%
= (1- )=10%(1- 0.5)=5%
=1 073
=800
= [/(
+ )]+ [/
( + )]
=13.625%(1 073/1 873)+5%(800/1 873)
=9.94%
1
=50/1.136 25+60/1.136 25 2+68/1.136 25 3
+76.2/1.136 254+(83.49+1 603)/1.136 25 5
=1 073
2
=90/1.099 4+100/1.099 4 2+108/1.099 4 3
+116.2/1.099 4 4+(123.49+2 363)/1.099 4 5

593

=1 873
= -
=1 873 -800=1 073
1

=50/1.099 4+60/1.099 4 2+68/1.099 43

+76.2/1.099 4 4+(83.49+1603)/1.099 4 5
=1 248
2

=90/1.362 5+100/1.362 5 2+108/1.362 5 3

+116.2/1.362 5 4+(123.49+2 363)/1.362 5 5
=1 613
=-
=1 612.86- 800=813

(1 073)175
260

12.2.2
3

3
3

11
(

594

1 2

3
1)

2)
3) (
)

595

596

1 2

3 1 2 - 1

model.xls

( ) (
)

12.3

( )

t=

DPSt
(1+
r) t
t =1

12.3.1

597

DPSt
r ( )

gn

= +
n
DPSt+1
Pn
DPS
= (1+ r)t t + ( 1 +r)
Pn =
n
r - gn
t =1
DPS t t
r
Pn n
gn n
4

1.

598

1 2

( )
6% 8%

1 2%
6%
()
()

6%

599

12.2

Aracruz

Aracruz (12-2)

(ddmst.xls)
12-2 Aracruz

Aracruz

5%~6%

5%

5%~6%

2.

4 4

1)

40% 14%
2)

600

1 2

3) ()
( )

1%
1%~10%
>10%

5
10

10

12.2

Earthlink Network( )
B i o g e n (
) 20

Earthlink Network
Biogen

3.

601

( C A P M )
( A P M )
C A P M

= + ( )
APM

12.3

1 ( )

4.

(
)

602

1 2

(1)
3

1)

= (EPS0 / EPS0 t )1/ t 1

EPS0 0
EPS0-t 0t
2)

ZacksIBES

3)

= ROC+D/E[ROC-i(1- t)]

603

ROC = (1 - t)/( +
)
D/E /
i
t

()
( )
()

12.4

(2)

1)

12-2

604

1 2

40%
12%6%

(1+ g) n
DPS0 (1+ g) 1
(1 + r)n
=
r g

12-2

d d m 2 s t . x l s

2)

12-3

12-3

605

3 0%~ 4 0%

t =n1

=
t =1

EPS 0 (1 + ga )t a
(1+ r)t

t= n 2

DPSt
(1+
r)t
t= n1+1

EPS t t
DPS t t
ga ( n1)

r
d d m 3 s t . x l s

3)

12.5

12.3 Aracruz

606

1 2

1996
(12-3)
12-3
ARACRUZ

Aracruz

1996

(%)
(%)
(%)
24.95
77.68
19.38
21.09
38.79
8.18
2.22
65.00
1.44
7.25
39.81
2.89

(%) (%)
(%)
25
77.68
19.42
21.09
38.79
8.18
13.91
65.00
9.04
14.00
45.00
6.30

12-31996Aracruz

1 9 9 61 4%

Aracruz
9.91%

A r a c r u z 5 . 5%
62.90%/ 32%
Aracruz 13.91%
Aracruz= +/
[ - (1- )]
=9.91%+0.629[9.91%-5.50%(1-0.32)]
=13.91%

607

555%
8
1996711996
116
=1 -(710/1 160) = 38.79%
A r a c r u z

(3)

t = t t

12-4

12-4

12.6

608

1 2

(4)

DPSn +1
r -gn

DPS n+1
r
gn

g=b[ROC+D/E(ROC-i(1- t)]

=1- b=1- {g/[ROC+D/E(ROC- i(1- t)]}

20%
20%

609

16%

()
/

1.00
10%

1.00
8%
8%

40%
5 =(1-0.2){[20%+1[20-10(1 -0.4)]}=27.2%
5 =1- {8/[16+1(16- 8(1- 0.4)]}=70.59%
2 0%
70.59%

( /
)

1.
( 2 5%
12% )
2. (

f u n d g r. x l s

12.7

610

1 2

1 2 - 5

1 2 - 5

/ (
)

12.4

1 2 . 3 1 4% 5 5%
6 . 3 0%1 9 9 6
4 . 2 7 6 1 . 0 9%

0 . 9 4

7 . 5 0% 5 . 5%
1 2 . 6 7%

= 4.27(1.063)(0.610 9) = 2.77

611

612

1 2

= 2.73/(0.126 7 -0.063) = 42.89

11 9

1996

(11
)

12.3.2
11

(
)
=+ - -

- +

= -(1- )( - )

- (1- )

613

gn

= +

t =n

P0 =

FCFEt
Pn
FCFEn +1
+
Pn =
t
n
(1+
r)
(1+
r)
(r gn )
t=1
FCFEt t
r ( )
pn n
gn n
4

1.

1 2 - 6

614

1 2

c a p . e x . x l sw c d a t a . x l s

fcfest.xls

f c f e 2 s t . x l s

f c f e 3 s t . x l s

12-6

2.

615

n =

FCFEn +1
r - gn

12.8

3.

( -)

616

1 2

( )
/

(
)

1 )
2 )

()
()

12.9

617

( ) ( / )

1.
2.

3.

618

1 2

(1991
)
=
=

( I T TEastman Kodak
90 )
(
)

=
=

5
(Digital Equipment
1996, )

619

80 )

(
)
12.5

1 2 . 3 2 1 . 0 9 %
3 8 . 7 9 %
8 . 1 8%

1 2 - 4

12-4

5
=
0.3879%21.09%=8.18%
7%+1.1(5.5%)=13.05%
( =1.1 =7%)

1 9 9 6
700 000
500 000
10%
20 000 000

5
6%(
)
7%+15.5%=12.5%(
1)

110%

10%

11 6

1 2 - 5

620

1 2

=773.92+740.59+708.69+678.17+648.97=3 550.34
12-5

1
2
3
4
5

$1 254.91 $1 357.57 $1 468.64 $1 588.80 $1 718.79

-
$216.36
$234.06
$253.21
$273.93
$296.34

- $163.63
$177.02
$191.50
$207.17
$224.12

$874.91
$946.49 $1 023.93 $1 107.70 $1 198.33

13.05%
$773.92
$740.59
$708.69
$678.17
$648.97

$21 636.29 $23 406.46 $25 321.45 $27 393.12 $29 634.27
$2 163.63 $2 340.65 $2 532.15 $2 739.31 $2 963.43

$163.63
$177.02
$191.50
$207.17
$224.12

(5 )

= n+1/(r- gn)
6=1 718.79(1.06) =1 821.92

6 =78.53

=177.81

6 =1 821.92-78.53-177.81=1 565.58
=1 565.58/(0.125 -0.06) = 24 085.83
6 6
6=$500 000(1.0818) 5 (1.06)=$785.31
6 =785.31110%
6 6 (5
6%)5 10%

621

=24 058.83/1.1305 5=13 043.94

= +
=3 550.34+13 043.94=16 594.28
1 659.4

12.10

11 0%

1.
2.

3.

622

1 2

(
Barnes & Noble1 659 )

3.30
25.05% 1 080

12.6
Aracruz
Aracruz Cellulose

1996

12-6
12-6 Aracruz

=0.65

13.91%=9.04%(12-3)
5%+ 0 . 7 1( 7 . 5%) = 1 0 . 3 3%
( =0.71 =5%

5%(
)
5%+17.5%=12.5%
( 1)

=7.5%)

19970.24
0.18

623

120%

()

5
32.15%
0.56

39.01%

5
3 2 . 1 5%

3 9 . 0 1%

0 . 0 4 4 3
1 9 9 4 ~ 1 9 9 6
0 . 2 0 4
1 2 - 7 1

12-7 Araeruz

1
2
3
4
5

- (

BR 0.222
BR 0.243
BR 0.264
BR 0.288
BR 0.314
BR 0.330

-)
(1 -
)
BR 0.042
BR 0.046
BR 0.050
BR 0.055
BR 0.060
BR 0.052

(1 -
)
BR 0.010
BR 0.011
BR 0.012
BR 0.013
BR 0.014
BR 0.008

BR 0.170
BR 0.186
BR 0.202
BR 0.221
BR 0.241
BR 0.269

BR 0.154
BR 0.152
BR 0.150
BR 0.149
BR 0.147

5 6

=0.269/(0.125- 0.05)=3.59

=0.154+0.152+0.150+0.149+0.147+3.59/1.10335
1.10335

624

1 2

=2.95
2 . 4 0

1 0 . 3 3%

12.3.3
( F C F E )

= + (1- )
+ - +

= (1- )+ -

( )

(EBITDA)

( N O I )
(EBIT)

625

1.

( ) ( )

(
)
=

+
(1- )

(
)
(
)
12.11
3

626

1 2

12.7 Aracruz

12-8
12-8 (%)

Aracruz

1996

18.69
20.94
3.91
16.71
31.03
5.18
0.29
333.33
0.98

20.00
16.71
9.91

50
10.00
31.03
5.18
25
2.48

Aracruz1994~1996
9.91%

Capital

C i t i e s
5 0%
20%
=
=20%0.5=10%

2.

627

gn

=
+
t =n
FCFFt
Pn
+
0 =
t
( 1 +r )n
t =1 (1+ r)

Pn =

FCFFn+1
(r -gn )

FCFEt t
r

Pn n
gn n
4

628

1 2

12.2

( )

f c ff s t . x l s

f c ff 2 s t . x l s

f c ff 3 s t . x l s

3.

(1)
(2)

629

(1)

(2)

12.13

+


12.8

10%12-8

10%
2 0%

1 2 - 9

630

1 2

t= t t(1 -)
+ -

1 2 - 1 0 1 0
11
11
= (1- )- (1-)
=13 539(1.05)(1 - 0.36)-13 539(1.05)(1 - 0.36)(0.312 5)
=6 255 =62.55
1 6% 5%

=10.19%
=6 255/(0.101 9 -0.05)=120 521
=1 205.21

=578.17
111.80
4 6 6 . 3 7

=46 637/675.13=69.08
75.38

6
6 =3370/(1.2224) 5 (1.118)=16.92

631

12-9

( (
+)/
)

5
=187.39

199655.59
29.67%
36%
20%(1996)
5%
50%199611.34

=20%0.5=10%
18%
=1.25 =13.88% =
7.5%( =7%)

18 739

, :
1.

2.
3.

1.

632

1 2

()

32%
36%
16%
5%

3 1 . 2 5%(
=/)

30%
1.00
7.5%

10

32%
36%
18%
5%
31.25%
5%(=
/ )
5%

30%
1 . 0 0
7.5%

2.

(10%)
1.

2.
12.9

633

12-10

(1 - )
+
-
-

(
10)

$18 739
29.67%
$5 559
$3 558

1
10%
$26 613
29.67%
$6 115
$3 914

2
10%
$22 674
29.67%
$6 726
$4 305

3
10%
$24 942
29.67%
$7 399
$4 735

$1 134
$1 754
$94

$1 247
$3 101
$94

$1 372
$3 411
$103

$1 509
$3 752
$113

$1 779

$1 966

$2 163

$2 379

$1 752
13.88%
4.80%

$1 717
13.88%
4.80%

$1 682
13.88%
4.80%

18.00%
12.24%
20%
50%

18.00%
12.24%
20%
50%

18.00%
12.24%
20%
50%

20%

634

1 2

4
10%
$27 436
29.67%
$8 139
$5 209

5
10%
$30 179
29.67%
$8 953
$5 730

6
9%
$32 895
30.13%
$9 912
$6 344

7
8%
$35 527
30.60%
$10 871
$6 957

8
7%
$38 014
31.07%
$11 809
$7 558

9
6%
$40 295
31.53%
$12 706
$8 132

10
5%
$42 310
32.00%
$13 539
$8 665

$1 660
$4 128
$125

$1 826
$4 540
$137

$2 009
$4 847
$136

$2 210
$5 103
$132

$2 431
$5 313
$124

$2 674
$5 464
$114

$2 941
$5 548
$101

$2 617

$2 879

$3 370

$3 932

$4 552

$5 228

$5 957
$120 521

$1 649
13.88%
4.80%

$1 616
13.88%
4.80%

$1 692
13.60%
4.80%

$1 773
13.33%
4.80%

$1 849
13.05%
4.80%

$1 920
12.78%
4.80%

$42 167
12.50%
4.80%

18.00%
12.24%
20%
50%

18.00%
12.24%
20%
50%

20.40%
11.80%
19.2%
46.875%

22.80%
11.38%
18.4%
43.48%

25.20%
10.97%
17.6%
39.77%

27.60%
10.57%
16.8%
35.71%

30.00%
10.19%
16%
31.25%

1 9 9 6 9 . 9
5%
2 5%

= (1- )-
(1 -)
=9.9(1- 0.36)(1.05)- (5%/25%)9.9(1- 0.36)(1.05)
=5.3222

635

=5.322 2/(0.122 5 -0.05)=73.41

:
1.

2.

3.

( )
( )

12.4

12.4.1

636

1 2

1.

/
( ) (
) ( )

( E B I T )

( E B I T D A )

2.

( )
( )
/

( )

Q
3.

637

/
/

12.4.2

= P0 =

DPS1
Ke gn

D P S1 K e gn

P0
(1+ gn )
= PE =
Ke gn
EPS0

/ (PBV)

638

1 2

ROE (1+ gn )
P0
= PEV =
Ke gn
BV0
R O E
/ (P S)

P0
(1+ gn )
= PS =
Ke gn
0

FCFF1
= V0 = K g
c
n
FCFF Kc
/

1
V0
=
FCFF1 Kc gn

( E B I T D A )
/EBITDA
(t)/EBITDA
/EBITDA
1 t

=
+

EDITDA Kc g
Kc g
Kc g
/EBITDA

Kc g

(P E)8 1 2

(P B V)0 . 7 / 1 . 5

639

1 2 - 11

(
)
12-11

/
/
/
/
/ (1-)
/EBITDA
/
/

e q m u l t . x l s

f i r m m u l t . x l s

p b v. x l s /
/

p s . x l s /
/

640

1 2

vebitda.xls /
/ E B I T D A

12.4.3

( )
22 15

(
) ( )
1.

(1)

641

(2)

12.4

2.

1 2 - 11

642

1 2

P E G /
/

12.10
1 2 - 1 2
5 /
1 . 2 / 1 . 5 5

12-12 PEG

(%)

PEG

King World Productions

10.40

7.00

Aztar

11.9

12.00

1.49
0.99

Viacom

12.1

18.00

0.67

Vaughn Communication

14.2

15.00

0.95

Todd-AO A

14.3

20.00

0.72

Carmike Cinemas

15.1

15.00

1.01

All American Communication

15.8

20.00

0.79

GC Companies

20.2

15.00

1.35

Circus Circus Enterprises

20.8

17.00

1.22

Polygram NV ADR

22.6

13.00

1.74

Regal Cinemas

25.8

23.00

1.12

27.9

18.00

1.55

AMC Entertainment

29.5

20.00

1.48

Premier Parks

32.9

28.00

1.18

Family Golf Centers

33.1

36.00

0.92

CINAR Films

48.4

25.00

1.94

22.19

18.56

1.20

643

Pedata.xls
PEG
12.11 /
1 2 - 1 3 /

12-13 /

/ (%)

(%)

Abbey National

3.25

18.77

Barclays

3.45

22.93

BHW Holding

2.12

8.38

Commerzbank

2.04

9.26

Credit Lyonnais

0.734

0.81

Credit Suisse

3.65

18.96

2.12

7.395

Hamburgische Landesbank

1.18

1.89

Lloyds TSB

8.46

33.93

National Westminister

2.23

5.80

Royal Bank of Scotland

2.22

18.80

Schroeders

4.19

20.02

Societe Generale

1.42

8.50

Standard Chartered

3.66

29.47

/
/
/

644

1 2

/ =0.56+16.05
(2.15) (5.74)

R 2=73.28%

t /
R2/

/
/
=0.56+16.05(0.073 9)=1.75
/ 2.12
16%
3.

/
/
(PE)=a+b +c +d
/ (PBV)=a+b +c
+d+e
/ (PS)=a+b +c +d
+e
( ) ( )
( )

645

( )

1 9 9 73 /
/
( )4 527
12-14
//

M R e g 9 7 . x l s

12.12
1 2 - 1 4

/
=1.10( )
=21.09%()
=8.18%( )
=61.21%( )

/ =- 1.50+6.51(0.081 8)+0.61(0.612 1)

646

1 2

647

+0.329 2(1.10)+16.54(0.210 9)=3.26

(1996550
)
=550(3.26)=1 793
1 2 . 5 1 610

12.13 Aracruz
Aracruz
1997137
/
/ =1.06 + 2.16

R2=15.49%

(11.30) (4.84)
1 3 . 9 1%
/
/ =1.06+2.16(0.139 1)=1.36
1997148 /

/ =0.95 + 2.26

R2=15.17%

(8.91) (2.82)
30%
/ =0.95+2.26(0.30)=1.63
0 . 9 6 / A r a c r u z
4 . 4 8 /
(
R 2 )

12.15

648

1 2

12.5

3
(1)

(2)

(3)

( )

649

4
1.
(
)

2.

(66-5)
3.

)
4.

5 ( )
( )

12.6
3

650

1 2

( )

( )
4
(
)

(
)

1.
a.

b.

651

c.

d.
(5~10)
e.

2. Ameritech 1 9 9 2 3 . 5 6
5 . 5% 0 . 9 0
6.25%
a. Gordon
b. 8 0

3. Gordon

a.
b.
c.
d.
4. Newell( )1993
2 . 1 0 . 6 9
1 9 9 4 ~ 1 9 9 8 1 5%
1 9 9 8 6%
6 5% 1 . 4 01 9 9 8
1.10 6.25%
a. 1998
b.
5. Church & Dwight ( )
1993 1.50 0.42
=3000

652

1 2

=80
=760
=1.6
38.5% 5%
7%
1 9 9 4 ~ 1 9 9 8

8%

1998

=12.5%
/ =25%
=7%
Church & Dwight 1993 0.85

a.

b. 1998
c. 1998
d. 1998
e.
f.

6. Medtronic
1993 3.95 0.68
1 9 9 4 ~ 1 9 9 8 1 6%1 9 9 8
20036% 1994~1998
6 0% 1 9 9 4 ~ 1 9 9 8
1 . 2 5 1 . 0 0 (
6.25%)

653

a. 1 9 9 92 0 0 3 (
) 1 9 9 9 ~ 2 0 0 3

b. 2003
c.
7. Kimberly-Clark ( )1993
3 . 2 0 1 . 7 0 1 9 9 3
3 . 1 5 4 . 7 5 ( 1 . 6
5 1 )

1 6 ( )
7%
1.00( 6.25%)
a.
b.
c.

8. Ecolab
1 9 9 3 2 . 3 5 1 9 9 4 ~ 1 9 9 8
1 5 . 5% 6%1 9 9 3
2 . 2 5 1 . 1 2 5 1 9 9 4 ~ 1 9 9 8

5 %

1 9 9 3 1 0 1 9 9 4 ~ 1 9 9 8 6%
4% (/(+)5%
2 0% (
)

1 . 0 0

6.50% 6300
a. 1 9 9 8

654

1 2

b. 1 9 9 8 2 0 0%

c. (5%)

9. Dionex (
) 1 9 9 3 2 . 0 2
5( 1 9 9 4 ~ 1 9 9 8) 1 4%
7%1993 200
420 700
50% 1993 10.60
1 9 9 4 ~ 1 9 9 8 6% 4 0%
1 0% 1 9 9 3
1.201998 1.10 7%
a.
1994~1998
b. (1998)
15%
25%
c.
10. Biomet
19930.561993
2.9119930.13
0 . 0 8 6 0% 1 9 9 4 ~
1998 17%5
20035%

1994~199860%200330%

655

10%

1 . 4 5 ( 1 9 9 4 ~ 1 9 9 8)
1.10 (2003) 7%
a.
b. 60%

c. 1.45
11. Omnicare
1 9 9 3 0 . 8 5 1 2 . 5 0

4 0% 1 9 9 4 ~ 1 9 9 8
2 0% 3 5%( 2 0 0 1)
1 5% 1 . 1
7%
a.
b.

(
)
c.
12.

a.

b.

c.

656

1 2

d.

e.
(
)
13. Union Pacific Railroad 1993 7 . 7
3.2( 36%) 9.6
12 40
A A ( 8%)
( 1 9 9 2 3 8
) 1 . 0 5 2(
6 0 ) 5 0 4 0%
7%
a. 1993
b. 1993
c. 1 9 9 3

14. Lockheed
199312.9
2.15419934.5
7%(135)30.68
()32
8%6 20064
1.1040%7%
1 9 9 4 ~ 1 9 9 8
9 . 5% 4%(
) / 5 0%(

657

7.5%)
a.
b.
15.
Eastman Kodak 1 9 9 3
1993
5 . 6 5 2 . 8 5 1 9 9 4 ~ 1 9 9 8
6% 4%1 9 9 3
4 . 2 3 . 5
4%

1 . 1 5 E a s t m a n

K o d a k [/ (+) ]5 0%
2 0%
7.5% 40%
7%
a.
b.
c.
16. National City 1 9 9 3
2 . 4 0 1 . 0 6
5 7 . 5% 6% (
1 9 9 4 ) 1 . 0 5 1 0
7%
a.
b.
17. 1 9 9 31 2 /

a.

658

1 2

b. T h i o k o l

c.

Boeing
General Dynamics
General Motors-Hughes
Grumman
Lockheed Corporation
Logicon
Loral Corporation
Martin Marietta
McDonnell Douglas
Northrop
Raytheon
Rockwell
Thiokol
United Industrial

17.3
15.5
16.5
11.4
10.2
12.4
13.3
11.0
22.6
9.5
12.1
13.9
8.7
10.4

(%)
3.4
11.5
13.0
10.5
9.5
14.0
16.5
8.0
13.0
9.0
9.5
11.5
5.5
4.5

1.10
1.25
0.85
0.80
0.85
0.85
0.75
0.85
1.15
1.05
0.75
1.00
0.95
0.70

(%)
28
40
41
37
37
11
23
22
37
47
28
38
15
50

18. NCH 1 9 9 3
2 4
40 6% 0.85
60 7%
a. /
b.
/
19. Longs Drug
1 9 9 3 1 2 2 2 . 4 5
1 . 1 2 6%

659

0.90 7%
a. /
b. 3 4

20.

2 0 3 . 5 0
2 . 5 0
5 25%
/ 2 0%
40%
( )

Air & Water

Allwaste
Browning Ferris
Chemical Waste
Groundwater
Intn1 Tech.
Ionics Inc.
Laidlaw Inc
OHM Corp.
Rollins
Safity-Kleen

9.60
5.40
29.00
9.40
15.00
3.30
48.00
6.30
16.00
5.10
14.00

8.40
3.10
11.50
3.75
14.45
3.35
31.00
5.85
5.65
3.65
9.25

0.40
0.25
1.45
0.45
0.65
0.16
22.20
0.40
0.60
0.05
0.80

0.00
0.00
0.68
0.15
0.00
0.00
0.00
0.12
0.00
0.00
0.36

1.65
1.10
1.25
1.15
1.00
1.10
1.00
1.15
1.15
1.30
1.15

(%)
10.5
18.5
11.0
2.5
3.0
11.0
14.5
8.5
9.50
1.0
6.50

a. /

b. /

21. Wa l g r e e n

660

1 2

1993
/

Arbor Drugs
Big B Inc.
Drug Empor.
Fays Inc.
Genovese
Longs Drug
Parry Drugs
Rite Aid
Walgreen

0.42
0.30
0.10
0.15
0.18
0.30
0.12
0.33
0.60

3.40
1.90
0.60
1.30
1.70
2.00
1.30
3.20
2.70

18
14
0
37
26
46
0
37
31

14.0
23.5
27.5
11.5
10.5
6.0
12.5
10.5
13.5

1.05
0.70
0.90
0.90
0.80
0.90
1.10
0.90
1.15

(
)

(
)

(
)

661

1.


(

)

2.


(
)

3.



4.
( )
(
)
(

662

1 2

( ) (
) 5
www.morningstar.net

/ /

w w w. morningstar. n e t

663

( )

X1, X2, X3, , Xn(n )

( )
j= n

= x =

j =1

(
)1()
j= n

2
x

(X

)2

j =1

(n-1)
n

X, (X1, X 2, , )X 0Y(Y 1, Y 1,Ym )

= XY
j =n

(X

)(Yj

j =1

(n-1)
n

j=n

XY

XY

(X

)(Yj

j =1

j= n

(X
j =1

j =n

)2

(X

)2

j=1

1 - 1

1
- 1
( = 1 )

665

( =- 1)
/
( ) ( )
Y X
Y X

( O L S )
Y

Y=a+bX
(b)

(X) 1 b
/

= b =

YX
=
X

YX
2
X

a X

666

Y
Y (b)X
=a= Y- b( X )

R 2 Y
X

2 =
R2= YX

2
YX

b2

2
X

2
Y

R 2 1

j =n

j= n

X ( (Y bX )
2
j

= SEa =

j =1

j=1
j =n

(n 1) (X j

)2

)2

j=1

j =n

(Y bX )
j

= SEb =

j=1

j =n

(n 1) (X j
j=1

t=a/SE a
t=b/SE b
120t1.66
95%t2.3699%

667

(Y)(X1, X2, X3, X4, )

Y=a+bX1+cX2+dX3+eX4
R 2 R2
R2 R2
k R2

R2 = 1 (1 R2 )

t t

668

(n 1)
(n k)

B.1

B.1.1
(GAAP)

B.1.2

( )

-
-
-
-
= (EBIT)
-
=
-
=
+
( )

670

()

+
+
=
-
=

B.1.3 GAAP
()

(
)

(
)

671

( )

( G A A P )

B.2

= +

()

B.2.1

672

(
)

(a)

(b)

(c)

( )
( )

673

(a) ( F I F O )

(b) ( L I F O )

(c)

(
)

674

(a)
(
)

(b)

(c)
4 0

B.2.2
3

1.

675

2.

( )
( )

( )

105

676

(
)

4
(a) 75%
(b)
(c)

(d)
90%

()
3.

( a )
(b) (c)
2 0% ( d )
(e)

677

a.

(
) (
)

( )

(
)

b.

678

(
) (
)

4.

55 000
75 000
(20 000 )

5.

(a)

(Boeing)1993
21.58

679

1%

(b)

B.3

= +
()
= +

+ = +

= + -

(
) ( ) (
)
(
)

680

B.4

B.4.1

Choi and Levich(1990)

B - 1 8

6 0

5 0

681

B-1

3
4

8
9
10
11
12
13
14 1
15

16

17
18 ()
19

20
21
22

682

683

()

23
24 (

)
25

26
(a) 20%

(b) 20%~50%
(c) 50%
27

28
29

30

40

684

()

B.4.2

( )

685

C.1

4 1 0 0 C - 1

0 0

01

1 1 1
1
1 0%

C-2

C-1

C-2

2
1

PV

FV

CFt

687

C.2

3
1)

2)
1 1

3) ()

1) ( )
2) ( )
3) ( )

C.3

C.3.1

688

C-3CFt=t
CFt
0

C-3

1.

CFt
=
(1+ r )t
CFt t
r

2.

= CF0(1+r)t
CF0
r

689

3.

(
)

= 1 +
1
n
n

n 1 (2= 12= )
10%

=1.052 -1=0.102 5 10.25%

=expr -1
exp
r
C - 1

C-1

10%

0.10

10%

(1+0.1/2)2 -1

10%

12

10%

365

10%

(1+0.1/12) 1 2- 1

10%
10.25%
10.47%

(1+0.1/365)365- 1

10.5156%

exp1 0- 1

10.5171%

690

C.3.2

A
A

1.

1
(
1
+r
)n

= PV (V,r,n) = A
r

A
r
n
PV(A, r, n)
C.1
10 000
5 3 000
12%

1 1
(1.12)5
= $10 814
5 3 000 = $3 000
0.12

691

10 000

C-4

C-4

2.

= A(PV,r,n) = PV
1 1
( 1 +r )n
C.2
200 000
3 0 8%

=APR/12=0.08/12=0.006 7
=200 000()

0.006 7
=1 473.11()
1
1
(1.006 7)360

692

3.

= FV (A,r,n) = A

(1+ r) n 1

FV(A,r,n)
C.3
(IRA) 2 000

25 2 000
6 5 8%

(1.08)40 1
65= FV (A,r,n) = 2 000 ()
0.08
= 518113 ()

8% 40%
4.8%

(1.08)40 1
= 2 000 ()
0.08
= 230127 ()

55%
4.

693

A(F V,r,n)

= A(FV,r,n) = FV
n
(1+ r) -1
C.4

( )

1 000 1 0
( 8%)
0.08
= 690 295 ()
= 1 0 0 0 0000 ()
(1.08)10 1

690 295
1 000

5.

4
100 10%

4 1 0 0

694

3
4 100 =
1

1
(1.10)3

$100 + $100
0.10

n
1

1
(1+ r) n-1

n = A + A
r

(1+ r)n 1
A(1+ r)

C.5
40
2 000 8%
4 0 518 11 3

() = 2 000 () (1.08)

= 559 562 ()

695

(1.08)40 1
0.08

C.3.3

A g

A(1+g)

A(1+g)2

A(1+g) 3

A(1+g)n

C.3.4

(1+ g)n
1
(1+ r) n
= A(1+ g)
rg

n (r = g) = nA
1
C.6
2 0
5 000

3 0 0

1 28.3495g

696

3% 15%

(1.03)20
1
(1.10)20
= 300 () 5 0 0 0 (1.03)
0.10 0.03

= 1 6 1 4 5 9 8 0()
1 6 1 4 . 6
C-5

C-5

C.3.5

C.7

697

6% 9%

=6%$1 000/0.09=$667

(1 000 )

C.3.6

CF1
(r g)

C F 1 g r

C.8
1992Southwestern Bell 2.731988~
1992 6%

12.23%
=2.73
=6%
=12.23%
=2.73()1.06/(0.122 3 -0.06)=46.45()
7 0

698

C-6

C-6 SW Bell -

7 0 8%

C.3.7

FV+C

C
FV
n

699

= ( ) + (
)
C.9
1 5 1 0 . 7 5%
8.5%
=107.50PV(A,8.5%15)
+1 000/1.085 15=1 186.85()
10%
=107.50PV(A,10%15)+1 000/1.10 15
=1 057.55()
=(1 057.55() -1 186.85())
/1 186.85( ) = - 10.94%
7%
=107.50PV(A,7%15)+1 000/1.07 15
=1 341.55()
=(1 341.55()-1 186.85())
/1 186.85() = +13.03%

C.10
1515
30 10.75%C-73

C.11
4 1 5
6%5%1 0 . 7 5%1 2%C - 8

700

7%

1%

C-7

7%
10%

C-8

D 0(1+g)

D 0(1+g) 2

D 0(1+g) 3

D 0(1+g) n

D 0(1+g) n(1+gn )
n+1

D0
g (n)

701

gn

(1+ g) n
D0 (1+ g) 1
Dn+1
(1+ r )n
P0 =
+
(1+ g)n
rg
(r gn )
(1+ r )n

P 0
g n (n= )
gn n
D0
Dn n
r

702

3 0 B l a c kS c h o l e s
B l a c k
S c h o l e s

D.1
(
)

D.1.1

( )

D-1
D-1

(S ) >
(K)
=S -K
=S -K -
<;

=
=

704

( )

D-1

D-1

()
()

()

D.1.2

( )

D - 2

705

D-2

(S) <
(K)
=K -S
=K - S -

>;

=
=

D-2

D-2

D.2

D.2.1
1.

706

2.

(
)

3.

D.2.2
1.

2.

707

D.2.3
1.

() ( )

2.

( I n - t h e - m o n e y )

() () (

708

)
()

D.2.4
D - 3

D-3

D.3
1 9 7 2B l a c kS c h o l e s

Black Scholes (replicating portfolio)

(the Binomial Model)

()

D.3.1

709

D-3
Suu
Su
Sud

S
Sd

Sdd

D-3

S S u
PSd 1-P(Su=SuSd=Sd)
1.
/

S u S d K
B

=(C u- Cd)/(Su- Sd)

Cu Su
C d Sd
(
)

( ) /

710

2.

( )
(ud)

D.3.2 Black-Scholes

Black-Scholes

t t0
t0
t0
(Poisson Distribution)(
)B l a c k - S c h o l e s

1.
B l a c kS c h o l e s

B l a c k - S c h o l e s

711

Black-Scholes

S
K
t
r
2

=SN(d1)-Ke -rtN(d2)
2
S
ln( ) + r( + )t
2 ;
K
d1 =
t

d2 = d1
to
Black-Scholes
1d1d2
2d1d2 N(d1)N(d2)
3
=Ke -rt
4Black-Scholes
2.
Black-Scholes

B l a c k - S c h o l e s D - 4
B l a c k - S c h o l e s () B
B''
3.
Black-Scholes

712

D-4

Black-Shcoles

Ke-rt N(d 2 )

N(d1 )

Ke-rt N(d 2)

N(d1 )

B'

Ke -rt [1- N(d2 )]

'

[1 - N(d 1 )]

B'

Ke-rt [1 -N(d 2)]

'

[1- N(d 1 )]

( 1)

Black-Scholes S

= S = S

Divt
(1+ r) t

= SN(d1) -Ke -rt N(d2 )

d1 =

ln(

2
S
) + (r +
)t
K
2 ;
t

d2 = d1

to

713

Black-Scholes
Black-Scholes

() 12(52)

( y =/
) Black-Scholes
C=Se-yt N(d1) - Ke-rt N(d2)

2
S
)t
ln( ) + r( g +
2
K
d1 =
t

d2 = d1

1Pseudo-American
1
2 (
)
3

714

2
1 B l a c k - S c h o l e s

2
2T / m
u = exp (r )(T / m) +

2
2

d = exp (r )(T / m)

T/m

ud
T m

4 0
4.
Black-Scholes

( )

5.

C- P=S- Ke-rt
C P (

715

)
-(put-call parity)

(a)
K
(b)
t
K S*

S*>K
-(S*- K)

0
S*
K

S*<K
0
K - S*
S*
K

K K
(Ke-rt )
S+P- C=Ke-rt
C- P=S- Ke-rt
Black-Sholes

=Se-yt[N(d1)- 1]- Ke-rt [N(d2) -1]

2
S
ln( ) + r( y + )t
2 ;
K
d1 =
t

d2 = d1

to

716