2

1. 2.

1

The Video Product Company
1 9 9 7
1 9 9 9 2 , 0 0 0 S e e d
L t d . , )2 0 0

20

(1)
(2) ?
(3) ?
,



[1]
1 . 2

1.3
1 . 4



200,000 1.5

1.1

1.1.1
1 - 1

[1] F i r m C o m p a n y B u s i n e s s
1.3
 4

1.
2.

1-1

(1)
(capital budgeting)

(2)
(Capital structure)
(3)


(net working capital)

 1 5

1.1.2
[2 ]








1-2
V
V=B+S
B
S
5 0 2 5 7 5

V

25

50 50 75

1 2

1-2

1.1.3

1 - 3




(1)
(2)

[2] Creditors Debtholders Bondholders

B
 6

1-3

1-41-4

A B

(A)

(B)
(E)


(C) (F)

(D)

1-4
 1 7

C F

ED
F A

1-4
A
B
C
D
E
F

1-1
The Midland Company
2,500OZ(1OZ=28.349 52g) 1 0 0 9 0

1231

$1,000,000

900,000

$ 100,000

1231

$ 0

900,000

$900,000

100



 8

1-2

1

A B

1 $ 0 $ 4,000

2 0 4,000

3 0 4,000

4 20,000 4,000

$ 20,000 $ 16,000

, A B A

B A
AB

1-3

$75,000 $100,000 $125,000

0 150,000 200,000

1.2
[3]

[3] Contingent Claims

 1 9

1-4
The Officer Company B r i g h a m
Insurance Company 1 0 0
100 100
F X
F F
X
XF 1-5
1 0 0 1 0 0
100
2 0 0 1 0 0
1 0 0 1 0 0

7 5 1 0 0
75

F F



F F F
X X X

1-5

1-5
200
100 100
X>F XF X = F 0
1-5

(contingent claims)

1.3

 10

1.3.1
(sole proprietorship)





(1)

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

1.3.2
( p a r t n e r s h i p )1
2




1 2

(1)

(2)

(3)


(4)
Apple Computer

(5)
(6)


1 2 3
4
 1 11

1.3.3
( C o r p o r a t i o n )





(1)
(2)
(3)
(4)
(5)
(6)








(1)

(2)

(3) 1 , 0 0 0
1,000 1,000
1,000

[4]

1 9 7 2 Professional Lease
Management Inc.

(Financial Services Inc.)
1 9 8 11 9 8 6 2 7

1 9 8 6

[4] S-4PLM 19878

 12

()



[5] 1986




1987 (Drexel Burnham Lambert)



1 9 8 8 22
American Stock Exchange 8
1997101 5


(1)
(2)
(3)

[5] Investment Tax CreditsITC

 1 13

()
(1)
(2)
(3)

1.4



[6]
(set-of-contracts viewpoint)

1.4.1
[7]




1 2

1.4.2


Williamson [8]


D o n a l d s o n [9]

(1)
(2)

[6] John Marshall from, The Trustees of Dartmouth College v. Woodward, 4, Wheaton 636 (1819).
[7] M.C. Jensen and W. Meckling, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership
Structure, Journal of Financial Economics 3 (1976).
[8] O. Williamson, Managerial Discretion and Business Behavior, American Economic Review,53 (1963).
[9] G. Donaldson, Managing Corporate Wealth: The Operations of a Comprehensive Financial Goals System
(New York: Praeger Publisher, 1984).
 14

1.4.3

[10]
1-1493,000 General Electric
1-1 1996

/10 /100

(General Electric) $ 198.1 1 644.5 493,000

(Coca-Cola) 169.9 2 504.6 311,983
(Shell Group) / 169.0 893.4 24,867
(Microsoft) 148.6 1 176.0 37,883
(Exxon) 147.2 1 242.0 610,416
(Intel) 124.1 875.5 124,000
(Toyota Motors) 108.7 1 875.8 80,000
(Merck & Co.) 108.5 618.7 247,300
(Philip Morris) 106.6 831.1 139,700

: Value Line, July 7, 1997,issue of Business Week and S t a n d a rd & Poor's Security
Owners Stock Guide.

1.4.4





(1)

(2)


(3)

[10] Gerald T. Garvey and Peter L. Swan, The Economics of Corporate Governance: Beyond the
Mashallian Firm, Journal of Corporate Finance 1 (1994)
 1 15

(4)

1.5
1 . 1


(money markets) (capital markers)






( )30
( )

1.5.1




Securities and Exchange Commission


[11 ]

1.5.2


N Y S E
AMEX Midwest Stock Exchange
8 5



[12]

[11] Private Placement

[12] Over-the-Counter (OTC) Market
 16

19712 National Association of Securities Dealers

N A S D A Q 1 9 9 8
25

1.5.3

1.5.4


(1) 250 200
650 450
(2) 4,000
(3) 900
(4) 110
(5) 2,000 100
1 - 2

1-2

/100

1996 2,907 $7,300,351
1995 2,675 6,01l,971
1994 2,570 4,448,284
1993 2,361 4,540,850

1996 563 2,862,382
1995 564 2,747,775
1994 583 2,367,406
1993 574 2,528,437

New York Stock Exchange Fact Book 1997, NYSE.

1.6

3 2


 1 17

N P V

CAPM[13]
A P T

1.
Mackie-Mason, J. K., and R. H. Gordon.How Much Do Taxes Discourage Incorporation?
Journal of Finance (June 1997).
2.
M. Miller. Is American Corporate Governance Fatally Flawed? Journal of Applied
Corporate Finance (Winter 1994).

[14]

1.
2.
3.
4.
5.

[13] Capital Asset Pricing Model

[14]
 18

6.
7.
8.
9.
10.
11.
12.
13.
14. ?


2

2

2.1
(balance sheet)

,

2 - 1U.S. Composite Corporation1 911 92







2-1

(192191)

192 191 192 191

$ 140 $ 107 $ 213 $ 197
294 270 50 53
269 280 223 205
58 50 $ 486 $ 455
$ 761 $ 707

$ 117 $ 104
$ 1,423 $ 1,274 471 458
 20

()
(550) (460) $ 588 $ 562
873 814
245 221
$ 1,118 $ 1,035 $ 39 $ 39
$1 55 32
347 327
390 347
(26) (20)
$ 805 $ 725
$ 1,879 $ 1,742 $ 1,879 $ 1,742

2.1.1

2.1.2



[1]

2.1.3
[ 2 ]
generally accepted accounting principlesG A A P
[3]

[1]
[2]

[3] GAAP
 2 21

2.2
(income statement)

2-2 192
2-2

(192)

$2,262
(1,655)
(327)
(90)
$190
29
$219
(49)
$170
(84)
$71
$13
$86
$ 43
$ 43

2.2.1



GAAP

 22

2.2.2

( n o n - c a s h i t e m s )

1 , 0 0 0
1 , 0 0 0
2 0 0
1,000 200

[4] 8 , 4 0 0
IRS

2.2.3






[5]

2.3

12 192
27,500 19125,200

=
/ / /
192 $761 $486 = $275
191 707 455 = 252

(change in net working capital)192 192191
$27,500C$25,200 = $2,300

[4] IRSGAAP

[5]
 2 23

2.4
(cash flow)
2 - 1
1 911 0 , 7 0 0 1 921 4 , 0 0 0 3 , 3 0 0
2B
7




C F
A C FB
CFS

CFA CFB+ CF S

2-3

(192)

$238

(173)

(23)
$42

$36

6

$42

2 - 3


( )

$219
90
(71)
$238

(Pentair)1997
 24

11 , 2 0 0

$198
(25)
$173=$149+$24=
+

192

$ 23

$238
(173)
(23)
$42

2 - 3

$ 49
73
122
(86)
$ 36

$ 43
6
49
(43)
$6

(1)
(operating cash flow)

(total cash
flow of the firm)

 2 25

(2) 1 92 8 , 6 0 0
4 , 2 0 0

2.5

1.
a.
b.
c.
2.

GAAP

K i e s oD. E., and J. J. Weygandt. Intermediate Accounting , 7th ed. New York: John
Wiley.1992.

1.
2.
3.
4.
5.
6.
7.
8.
9.
10. 1231

$ 4,000
82,000
6,000
8,000
2,000
34,000
7,000
6,000
19,000
 26

$100
11. Information Control Corp.

$ 50,000,000
30,000,000
100,000,000
20,000,000

1 , 0 0 0 5 0 0 3 0 0

12. Stancil Corporation

$ 6,000
20,000
1,000
1,000
4,000
22,000

13. Ritter Corporation192


(192)

$400
250
50
$100
$ 50

(1231)

192 191

$150 $100
200 100
350 $200

$ 75 $ 50
75 0
200 150
$350 $200

a192
b192
 2 27

2A


(1)
(2)
(3)
(4)
(5)

2 - 12 - 2
2-3

2A.1





192

761
= = =1.57
486

492
= = =1.01
486

2A.2

R ' U s



192
[6]

[6]

 28

2,262
= = =1.25
1,810.5
1,879+1,742
= =1,810.5
2






[7]


2,262
= = = 8.02
282

294+270
= = 282
2
365
= = = 45.5()
8.02



10





1,655
= = = 6.03
274.5

269+280
= = 274.5
2
365
= = = 60.5()
6.03

[7]
 2 29

2A.3







1 92

1,074
= = = 0.57
1,879
1,074
= = = 1.33
805
1,879
= = = 2.33
805

219
= = =4.5
49

2A.4









 30

86
= = = 0.038(3.8)
2,262
219
= = = 0.097(9.7)
2,262

86
= = = 0.047 5(4.75)
1,810,5
219
= = = 0.121(12.1)
1,810.5

ROA
R O A

ROA =

ROA() =

0.0475 = 0.038 1.25

ROA() =

0.121 = 0.097 1.25

R O A
L. L. Bean
Ti ff a n y



R O A

ROE

86
RPE = = = 0.112(11.2)
765
805+725
= = 765
2
 2 31

ROAROE ROE
ROE =

=

0.112 = 0.038 1.25 2.36

R O E R O A


43
= = = 0.5
86

43
= = = 0.5
86
=

2A.5

= ROE

R O E11 . 2 1 / 2

=11.2 1/2=5.6

5 . 6
526

2A.6








I B M I B M

P / E
P/E
 32

1997

20 72
30 49
38 37

Nippon Telegraph & Telephone

=

1997

2.5 0
1.5 0.6
1.0 0.5

M / B Q

1994

3.8 3.4
7.1 2.3
21.4 3.1

M / B Q [8] Q
M / B
Q
Q[9]

Q 4.2
IBM 4.2
Q 0.53
0.61

[8] Kee H. Chung and Stephen W. PruittA Simple Approximation of Tobin's Q, Financial Management Vol 23,No.3
(Autumn 1994).
[9] E. B. Lindberg and S. Ross,Tobin's Q and Industrial Organization, Journal of Business 54 (January 1981).
 2 33

QM/B

Q 1 Q 1 Q

1.

2.

2B
192
3,300 2-1
19110,700 19214,000

2B.1
192
8 , 6 0 0

192

86
90
13

(24)
11
16
18
(3)
(8)
199
 34

2B.2

192

(198)
25
(173)

2B.3

192

$ ( 73)
86
(43)
(6)
43
$7

2 - 4

2-3
2-4


192


$ 86
90
13

( 24 )
11
16
18
(3)
(8)
$ 199
 2 35

()

$(198)
25
$(173)

$(73
86
(43)
(6)
43
$ 7
$ 33

2C

(1) 392-5 39.62-6
2-5 1997

()
$0 $ 50,000 15
50,000 75,000 25
75,000 100,000 34
100,000 335,000 39
335,000 10,000,000 34
10,000,000 15,000,000 35
15,000,000 18,333,333 38
18,333,333 35

2-6 (1997)

+
()

$0 $ 41,200 $0 $0 15
41,200 99,600 6,180.00 41,200 28
99,600 151,750 22,532.00 99,600 31
151,750 271,050 38,698.50 151,750 36
271,050 81,646.50 271,050 39.6

(2)
(3)
1 8 2 0 1 8
2 8 1 5 [10]
18 15 18 10
(4) 100 20~80

[10] 0~41,2002-6
 36

80 70

2C.1
A M T
2628 20

1 9 9 51 9 9 7 5 0 0 7 5 0

2C.2
20


 38

3



NPV
4
5

3 4 N P V 6
I R R

NPV
7
8
N P V




3.1

To m L e s l i e
1 0 0 , 0 0 0
5 0 , 0 0 0
150,000


50,000 50,000
50,000 55,000
3 - 1

10

$55,000

$50,000

$50,000

$55,000

3-1
 40

1 0 1 . 1 0

0.10

I O U 5 5 , 0 0 0


IOU

3.1.1
I O U
5 0 , 0 0 0
5 0 , 0 0 0 1 0




(financial intermediaries)

3.1.2

1 5
1 5
2 000 8 0 0
8/20 0.40

1 5
1 0 5 0 , 0 0 0
8 0 , 0 0 0
80,000 4032,000
15

15 20,000 20,000
15 0.1520,000=3,000 14
2 0 , 0 0 0 1 2 , 8 0 0
2 0 0


1 5

1 0
1 0
(equilibrium rate of interest)
 3 41

I O U

3.2
3-2 50,000
6 0 , 0 0 0 5 0 , 0 0 0
60,000
3-2 AB

r
3-2 AA

A=$60,000+[$50,000(1+r)]

A
$115,000
=(1+r)

$71,000 C

$60,000 Y
D
$49,000

B

$40,000 $60,000
$104,545
$50,000

3-2

10 A

A =$60,000+[$50,000(1+0.1)]
=$60,000+$55,000
=$115,000

A A
50,000 60,000
55,000 115,000
BB

B =$50,000+[$60,000/(1+r)]

10B 1

B =$50,000+[$60,000/(1+0.1)]
=$50,000+$54,545
=$104,545
 42

6 0 , 0 0 0 1 +r1 . 1 B
6 0 , 0 0 0
6 0 , 0 0 0
r $ 6 0 , 0 0 0 /1 +r
r

[$60,000/1+r]1+r=$60,000

54,545

$54,5451.1=$60,0001

A B C
10,000 10 C
C =$50,000$10,000=$40,000

C =$60,000+[$10,0001+r]= $71,000
D 1 0 , 0 0 0 D 1 0

D =$50,000+$10,000= $60,000

D =$60,000[$10,0001+r]= $49,000
A B ( 1 +r) X
1 Y 1 +r A 4 5 , 0 0 0
60,000 AB
B A



D
C

$135,000

$115,000 =1.5

$75,000
$71,000
$60,000
$49,000
=1.1
$45,000

$40,000 $60,000 $90,000 $104,545
$50,000

3-3
 3 43

1 0 , 0 0 0 D 2 0 5 0

3 - 3 C
[1]

3.3
A B

1 , 0 0 0 5 0 0



1 , 0 0 0 1
1 0




(perfectly competitive financial markets)

(1)
(2)
(3)

9


1 , 1 0 0
1 0 9


9 1 0
9 1 10 1100
1 0 1 . 1 1 . 0 9
100

[1]



 44

3.4











[ 2 ]

3.5

3.5.1
1 0 0 , 0 0 0
1 0 7 0 , 0 0 0
7 5 , 0 0 0 5 , 0 0 0 3-4

$75,000

$70,000

3-4

7 0 , 0 0 0
75,000 70,000 10
70,000

1+0.1$70,000=$77,000

[2]

 3 45

7 0 , 0 0 0 2 , 0 0 0
77,000 75,000

$210,000
$177,000
$175,000

$100,000

=1.10

$30,000 $100,000 $190,909.09

3-5

3-5 70,000 2,000

2,000

3.5.2
7 5 , 0 0 0
8 0 , 0 0 0
1 0 0 , 0 0 0 7 0 , 0 0 0
30,000
7 0 , 0 0 0
1 0 0 , 0 0 0 7 0 , 0 0 0 3 0 , 0 0 0




7 0 , 0 0 0
1 0 7 7 , 0 0 0 3 - 6 8 0 , 0 0 0
77,000 3,000
3,000 3-7

3,000
7 2 , 7 2 7 . 2 7 7 0 , 0 0 0 7 0 , 0 0 0
2,727.27
2 , 7 2 7 . 2 7 3 , 0 0 01 / 1 . 1
7 2 , 7 2 7 . 2 7
 46

10

$72,727.271+0.1=$80,000

3-7

$70,000

$77,000

$80,000

$70,000

$3,000

3-6

$213,000
$210,000

$180,000
$177,000

$100,000
Y

$30,000 $100,000 $190,909.09
$102,727.27 $193,636.36

3-7

75,000 80,000


(separation theorems)

 3 47

3.6
3 - 2 5 0 , 0 0 0 6 0 , 0 0 0
10
30,000 40,000
3 - 2

3 - 83 - 8 5 0 , 0 0 0 6 0 , 0 0 0
A B 2 0 , 0 0 0 1 0 0 , 0 0 0
AB A B
B

$50,000$30,000=$20,000

$60,000+$40,000=$100,000

$100,000

$60,000

$20,000 $50,000

3-8

B
3 - 9 3 - 93 - 8 3 - 9 A
A 3 - 2
B
10 B
A
X 1 01 1 . 1
Y 1.1
3-9 B A


A X
104,545 3-2
 48

3 - 9 A B X
30,000 20,000

$50,000$30,000+$60,000+$40,000/1+0.1
=$20,000+$100,000/1.1
=$110,909

$122,000
$115,000
$100,000

$67,000
$60,000

$20,000 $50,000 $104,545

$56,364 $110,909

3-9

$110,909$104,545=$6,364

B A 6,364
A B
56,36460,000
3-9 A B C


B A 3 - 9 A
Y B Y
A Y

3-2 115,000
B
2 0 , 0 0 0 1 0 0 , 0 0 0 2 0 , 0 0 0 1 0 0 , 0 0 0
 3 49

B Y

$20,0001.1+$100,000=$122,000

$115,000

$122,000$115,000=$7,000

6 , 3 6 4 1 . 1 7 , 0 0 0
6 , 3 6 4
1 0 1 1 . 1 6 , 3 6 4
6,3641.1
6 , 3 6 4 6 , 3 6 4 1 . 1
7,000

$6,3641.1=$7,000

3 - 9 AB 1 . 1
X 7,000 11.1

30,000 40,000 3-10
N P V

$30,000$40,0001/1.1
$30,000$36,364
$6,364

$40,000FV
$40,000

$30,000

3-10

N P V




1 0 3 0 , 0 0 0
40,000 40,000

$40,000/1.1=$36,364

36,364

=$36,364$30,000=$6,364
 50

(net present value rule)

NPV NPV

3.7

N P V


NPV

1
NPV NPVNPV1
NPV NPV1
N P V
N P V

NPV

3-11 B B 33,000 25,000
10 NPV BNPV 3-11
C 3-12

()

=1.1
$33,000

$25,000
NPV=$5,000

3-11 NPV
 3 51

$33,000

$25,000

3-12

=$25,000+[$33,000(1/1.1)]=$5,000

N P V



N P V N P V


NPV
NPV 100
1 0 0 1
100 110,000 10,000

10,000

N P V
1 0 0
1 0 0

1 1 0 , 0 0 0


N P V

N P V
N P V
N P V
NPV NPV

N P V
N P V

1

N P V N P V
 52

3.8


1.
2.




3. N P V

N P V


4. NPV
NPV
NPV

1.
Fama, E.F. , and M. H. Miller. The Theory of Finance. New York: Holt, Rinehart & Winston,
1971: Chapter 1.
Hirshleifer, J. Investment, Interest and Capital. Englewood Cliffs, N.J.: Prentice Hall, 1970:
Chapter 1.
2.
Fisher, I. G. The Theory of Interest. New York: Augusts M.Kelly,1965.This is a reprint of the
1930 edition.
3. Irving Fisher
Hirshleifer, J. On the Theory of Optimal Investment Decision.Journal of Political Economy
66 (August 1958).

1.
2.
3.
 3 53

4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
14. Jim Morris100,000 120,000Jim
1 5 0 , 0 0 0 1 0 J i m 1 5 0 , 0 0 0

15. Rich Pettit 50,000 40,000
20,000 12Rich
16. 1 0 1 2 , 0 0 0 , 0 0 0
7 , 0 0 0 , 0 0 0 5 , 0 0 0 , 0 0 0
NPV3,000,000
(1)
(2) 10,000,000
(a)
(b)


4

1 1
1 0 0 9
2 0
100 20

1 1

4.1

4-1
Don Simkowitz
1 11 , 4 2 4
4 - 1

$10,000 $11,424

4-1

Mike Tu t t l e 1
12

$10,000+0.12$10,000=$10,0001.12=$11,200

11 , 4 2 4
(future value) (compound value)
1 11,200
(present value)
11,424
 4 55

PV1.12=$11,424 4-1

12 11,424 PV

$11,424
PV = = $10,200
1.12

C1
PV =
1+r

C1
r
r
11 , 4 2 4 1 0 , 2 0 0
12 10,200 11,424
10,200 11,424

10,200 10,000

4-2
Kaufman & Broad
Louisa Dice 8 5 , 0 0 0
9 1 , 0 0 0 6 , 0 0 0 1 0
? 4-2
$91.000

$85.000

4-2

8 5 , 0 0 0
9 1 , 0 0 0 1 0 8 5 , 0 0 0

1+0.10$85,000=$93,500

8 5 , 0 0 0 2 , 5 0 0 (
9 3 , 5 0 0 9 1 , 0 0 0)
 56

()


$91.000
= = $82,727.27
1.10

8 5 , 0 0 0




$91,000
$2,273 = $85,000 + 4-2
1,10

NPV=+PV

4 - 2
2 , 2 7 3 2 , 2 7 3 (net present value
N P V ) N P V
NPV

11,4 2 4
9 1,0 0 0

4-3
Professional Art PA
4 0 0,0 0 0
480,000 4-3

$480,000

$400,000

4-3

4 8 00 0 0
10 ?

$480,000
PV = = $436,364
1.10
 4 57

()

436,364 400,000 10

2 5 2 5


$480,000
PV = = $384,000
1.25

[1]
112552

4.2

4.2.1
1 1 r
r9

$1(1+r)=$11.09=$1.09

1 . 0 9 ( 1 +r)

(compounding)
1 . 0 9

$1(1+r)(1+r)=$1(1+r)2=1+2r+r2
$11.091.09=$1+$0.18+$0.0081=$1.1881

1
1.1881 1(1.09)3= 1.295
1 1
2r= 20 . 0 9= 0 . 1 8 r2
2r(simple interest)
r2
r2=$(0.09)2=$0.0081

[1] 9
 58

(compound interest)

4-4
$1,295
$1,270

$1,188
$1,180

$1,09

$1

1 2 3

4-4

1 1 , 0 0 0 , 0 0 0
1 , 1 8 8 , 1 0 0 8 , 1 0 0

FVC0(1+r)T

C0
r
T

4-4
S P KSuh-Pyng Ku 5 0 0
7 SPK ?

$5001.071.071.07=$500(1.07) 3=$612.52

4-5SPK

$612.52

$500 $612.52

$500
4-5 SPKSuh-Pyng Ku
 4 59

4-5
Jay Ritter 1,000 SDH 2
20 SDH ?
$2(1.20)2=$2.88
4-6SDH

$2.88
$2.88
$2.40
$2.40
$2.00
$2.00

4-6 SDH
AA-

31t
SPK 7 1 1.2250
500
$500 1.2250=$612.50
1

4-6
Michael Duffy 10,000 5
1 6 , 1 0 5 4 - 7


$16,105
= 1.610 5
$10,000
15 1.610 5
AA-3 10
$10,000(1+r)5=$16,105
r $16,105/$10,0001.610 5
(1+r)5=1.610 5
[2]r

$10,000
5

0

$16,105
4-7

[2]

r = 1.6105 1
5
 60

4.2.2

( I b b o t s o n ) ( S i n q u e f i e l d ) 1 9 2 6 ~ 1 9 9 6 [3]

1926 1 1996 1,370.95 10.71
71 (1.1071)711,370.95
1 0 . 7 1 1
0 . 1 0 7 7 1 $ 7 . 6 0 ( 7 1$0.107 1)
1,370.95
1
1 4 1 7 1 2 1 1 4 1 7 1
1 1 4 1
$1,879,503.90[$11,370.951,370.95]
1
1 2 0
6
2 0 0 0 1

4.2.3
9 1 1.188 1
1

PV(1.09)2$1 4-3

4-3PV 1 4-3
PV

$1
PV = = $0.84
1,1881

(discounting)
4-8
0 . 8 4 1 0 . 8 4
1
1 0.84

$0.841 681.091.09$1

9 0 . 8 4
1 0 . 8 4
1 0 . 8 4[ 1 /1 . 0 92] ) (present value factor)

[3] StocksBondsBills and Inflation[SBBI]1996 YearbookIbbotson AssociatesChicago1997.

 4 61

PV

CT
PV =
(1+ r)T

CT T
r

$2,367.36

9
$1,900

$1,000 $1,000

$422.41
9

4-8
1 , 0 0 0 9 % 1 0 1 0 0 0
(1.09)10=2,367.36101,000+[10(1,0000.09)] =1,900
9%1,000

4-7
Bernard Dumas 10,000 8
8 (appropriate discount rate) ?
3

PV = $10,000
1
1.08
= $10,000 0.7938
= $7,938

4-9
8 7,938

$10,000

$10,000
$7,938

4-9
 62

()
10,000 7,9388
10,000

AA-1T1
80.7938

4-8
C h a ff k i n
50,000 38,610
4-10

$38,610
= 0.772 2
$50,000
0.772 2 1 A A - 1
9 [4]

$50,000

$38,610
4-10

4-9
Dennis Draper

1 $2,000

2 $5,000

6 6

[4] r $50,000 3 = $38,610

(1+ r )
$1 3 = $ 0 . 7 7 2 2
(1+ r)
 4 63

()

1
1 $2,000 = $1,887
1.06
2

$5,000
1
= $4,450
2 1.06
$6,337

6 , 3 3 7 2 , 0 0 0 5 , 0 0 0

4.2.4

PV = C1 /(1+ r)

PV = C2 /(1+ r)
2

T
T
C1 C2 CT
T = C0 +
Ci
NPV = C0 + + 2 + ... + i
1+ r (1+ r) (1+ r) i=1 (1+ r)

C0

4.3

1 0
1 , 0 0 0 $ 1 , 0 0 0 1 . 0 5 = 1 , 0 5 0
1,0501.05=1,102.50
[5]
2

$1,000 1+
0.10
= $1,000 (1.05) = $1,102.50
2

1 , 0 0 0 1 , 1 0 0( 1 , 0 0 0
1 . 1 0 )
1,000 1,000 6
1,050
1,0001.102 51,102.50 10 10.25
1 0 1 0 . 2 5

[5] AA-35%
 64

10
4

$1,000 1+
0.10
= $1,103.81
4

m
m
4-4
C 0 1+
r
m
C0
r (stated annual interest rate)

(annual percentage rate)

4-10
24 Jane Christine1

4-4 1
12

$1 1 +
0.24
= $1 (1.02) = $1.2682
12

12

2 6 . 8 2( e ffective annual
interest rate)( e ffective annual yield)


m 4-5
1+ r 1
m

4 - 5 1
4-5 1

4-11
8 ?
4-5
m 4
1+ r 1 = 1+ 0.08 1 = 0.082 4 = 8.24%
m 4

C0=1,000r=10
=
m
1+ r 1
C0 m C1 m
$1,000 m =1 $1,100.00 0.10

1,000 m =2 1,102.50 0.102 5

1,000 m =4 1,103.81 0.103 81

1,000 m =365 1,105.16 0.105 16

 4 65

4.3.1
SAIR EAIR

S A I R1 0 1 [ 1 +
0.10/2]21.102 5 1+0.10/4 4=1.103 8
1 0


1 0 . 2 5 1 1.102 5
1 0 1 0 . 2 5

4.3.2
4 - 4 1


mT

FV = C 0 1+
r
m 4-6

4-12
Harry DeAngelo 1 2 5 , 0 0 0
?
4-6
4 5
$5,000 (1+ 0 . 1 2 / 4 ) = $5,000 1.8061 = $9,030.50

4.3.3 ()


(continuous compounding)


T

C0erT 4-7

C0
r
T
e 2.718

4-13
Linda Bennet 1,000 1
?
4-7

$1,000e0.10=$1,0001.105 2=$1,105.20
 66

()
AA-5 r=10
T

T r

9% 10% 11%

1 1.094 2 1.105 2 1.116 3

2 1.197 2 1.221 4 1.246 1

3 1.310 0 1.349 9 1.391 0

1 0 1 0 . 5 2
10 10.52

4-14
B r u c e 1 , 0 0 0 1 0

$1,000e0.102=$1,000e0.20=$1,221.40

1.221 4
4 - 11

4-11

4-15
Michigan State Lottery 1,000 8
?
4-7
1 1
$1,000 = $1,000 = $726.16
e 0.084 1.3771
 4 67

4.4

2 0
2 4 0( 2 01 2 )

4.4.1
( p e r p e t u i t y )


? C
PV
C C C
PV = + + +
1 + r 1+ r 2 1+ r 3

C C ,
? C
C

C
C 4-8
PV =
r
C/r
C
r= C =
r
[6]

[6] C C C
PV = + 2 + 3 +
1 + r (1+ r ) (1+ r )
C 1
1 + r = a, (1+ r) = x PV=a(1+x+x2) (1)

x: xPV=ax+ax2+ (2)
21 PV(1-x)=a
ax PV=C/r
 68

C C C C
PV = + + +=
1+ r (1+ r )2 (1+ r )3 r

4-16
1 0 0 8
?
4-8
$100
PV = = $1,250
0.08
64.8
$100
PV = = $1,666.67
0.06

4.4.2
1 0 0 , 0 0 0
5
(growing perpetuity) 11 11

$100,000 $100,000(1.05) $100,000(1.05) 2 $100,000(1.05) N 1

PV = + 2 + 3 ++ +
1.11 (1.11) (1.11) (1.11)N

C C (1+ g) C (1+ g) 2 C (1+ g) N 1

PV = + + ++ + (4-9
1+ r (1+ r) 2
(1+ r) 3
(1+ r) N

C
g
r
4-9 [7]

C 4-10
PV =
r -g

2
[7] PV PV = a(1+ x + x + )
C (1+ g)
a = 1 + r , x = (1+ r)
a
ax
1 x
C
PV =
(r g)

x1g r
 4 69

4-10

$100,000
= $1,666,667
0.11 0.05

(1) 4-10

4-17
R o t h s t e i n 3
6 11
4 - 1 0 6
3.183.001.06

$3.18
$66.60 = $3.00 +
0.11 0.06

6 6 . 6 0
4 - 1 0

(2) r g

g r,
(3)
4 - 1 0
1 0 0,0 0 0
4 - 1 0




0
1 0
( )
0 1 (0
)[8]

0 1 2 3
=()


=()

[8] x x
 70

4.4.3
( a n n u i t y )



C C C C
+ + + ...
1+ r (1+ r)2 (1+ r)3 (1+ r)T

T ?

()
1
2

1 1 2 T+ 1

T C 1 2
1
C
PV = 4-11
r
2T+1T C/r[9]
0 T T
C/r 2

C 1
PV =
r (1+ r) T 4-12

T C 1 T+ 1
4-11 4-12

C C
PV =
r r(1+ r)T

[9] C/rT+1T+1

 4 71

[10] [1 1]
4-13
1 1
PV = C
r T
r(1+ r)

4-18
Mark Yo u n g 2 0 5 0 , 0 0 0
1 , 0 0 0 , 0 0 0
=50,00020 8 ?
4-13
1 1
=$50,000 20
0.08 0.08(1.08)

= $50,000 9.818 1
= $490,905

100 490,905 [12]
T C (annuity factor)
9.818 1
AA-2 r T
4 - 1 3

T
Ar 4-14

4-14 r T 1

4-19
Danielle Caravello 5 0 0
10 ?

C 1
[10] 1
r (1+ r) T

(1+ r ) 1
T

[11] FV = C
r r

[12] HP198a. FINTVMb. 50 000PMTc.

8I% YRd. 20Ne. PV$490,907.370 372
114
 72

()

(1) 4-13
5

1 1
$500 = $500 A 0.10
4

0.10 0.10(1.10)
4

= $500 3.169 9
= $1,584.95

1,584.95 5
1,584.95 6 6

0
(2) 5 0

0
$1,584.95
= $984.13
(1.10)5

5
4-12

5
5 1,584.95

4-12

4-13 1

?

4-20
2 0 5 0 , 0 0 0
20
1 9

 4 73

()
19
$50,000 + $50,000 A0.08
0 19
=$50,000+$50,0009.603 6
=$530,180

530,180 490,905
4-13 AA-
2
1

4-21
Ann Chen 4 5 0 2 0
2 6

(1.061.06)112.36

100 112.36
1 0 4 5 0 1 2 . 3 6

1 1
= S450 A0 . 1 2 3 6= $2,505.57
10
$450
0 . 1 2 3 6 0 . 1 2 3 6 (1.1236)
10

4-22
H a r o l d Helen Nash S u s a n
30,000
14 ?
18 1
1 7 1 1

1 2 17 1 2 3 4

1 7 4
3 0 , 0 0 0 1 7 4
4
4

(1) 4
 74

()

1 1
$30,000 = $30,000 A40.14
0.14 0.14 (1.14)
4

= $30,000 2.9137 = $87,411

1 8
87,411 17
(2) 4 0

$87,411
= $9,422.91
(1.14)17

(3) 1 7 9 , 4 2 2 . 9 1

C A0.14 = $9,422.91
17

A0.14 = 6 . 3 7 2 9 ,
17

$9,422.91
C= = $1,478.59
6.3729
17 14 1,478.59
30,000
( 1 ) 1 8 4 ( 2 ) 1 8

4.4.4


(growing annuity)
[13]

1 1+ g
T

1
PV = C 4-15
r g r g 1+ r

C r g

[13] AC
B C(1+g)T T+1 g
T
0 1 2 3 T T+1 T+2 T+3
A C C(1+g) C(1+g)2 C(1+g) T-1 C(1+g) T C(1+g) T+1 C(1+g) T+2
B C(1+g)T C(1+g) T+1 C(1+g) T+2
C C(1+g) C(1+g)2 C(1+g)T-1
A C
rg

B C (1 + g) T 1

rg
T
(1+ r)
4-15
 4 75

4-23
Stuart Gabriel M B A 8 0,0 0 0
9 4 0 2 0
?
1 8 0,0 0 0
204-15

1 1 1.09 = $711,731
40

PV = $80,000

0.20 0.09 0.20 0.09 1.20


4-15

4-24
1 7
4
?
9,422.91
4
9,422.91?
9,422.91 C

1 1 1+ g
T
1 1 1.04 = $9,422.91
17

C =C
r g r g 1+ r 0.14 0.04 0.14 0.04 1.14
C= 1 , 1 9 2 . 7 8 1 , 1 9 2 . 7 8
1,240.49(1.041,192.78)

1987 Rosalind Setchfield 130

2 0 6 5 , 2 7 6 . 7 9 1 9 9 5
(Singer Asset Finance
C o m p a n y ) 1 4 0 , 0 0 0 9
( 1 4 0 , 0 0 0 9 3 2 , 6 3 8 . 3 9
9 = 2 9 3 , 7 4 5 . 5 1 )

7
(Woodbridge Sterling Capital) 80

S u n A m e r i c a John Hancock Mutual
Life Insurance Co. (Enhance Financial Service
 76

()
Group),EFSG
1 9 6 , 0 0 0 E F S G
56,000
5 6 , 0 0 0 ?

9 E F S G 1 9 6 , 0 0 0
9 9 3 2 , 6 3 8 . 3 9
E F S G 8 . 9 6( 1 9 6 , 0 0 0
9 3 2 , 6 3 8 . 3 9 )
18.1
Vanessa Wi l l i a m sHow Major Players Turn Lottery Jackpots into Guaranteed
BetThe Wall Street JournalSeptember 231997.

4.5

?
5 , 0 0 0 ( )
2,000 10,000
10




$5,000 $(2,000 A0.10
5
) $10,000
+ + = $16,569.35
1.1 1.1 (1.1) 7

1 2 , 0 0 0 ? N P V

NPV=PV
$4,569.35=$16,569.35$12,000

(NPV)4,569.35

r=10%

1 $ 5,000 0.909 09 $ 4,545.45

2 2,000 0.826 45 1,652.90
3 2,000 0.751 31 1,502.62
4 2,000 0.683 01 1,366.02
5 2,000 0.620 92 1,241.84
6 2,000 0.564 47 1,128.94
7 10,000 0.513 15 5,131.58
$16,569.35
 4 77

4-25
(Trojan Pizza) 100
200,000 (
) 1 5
?

$200,000 $200,000 $200,000
NPV = $1,000,000 + + + ... +
1.15 (1.15)2 (1.15)9
= $1,000,000 + 200,000 A0.15
9

= $45,683.22

N P V4 5 , 6 8 3 . 2 2 1 5

4.6
1. 1 0
1 1.10 1.21[1(1.10)2]
1 0 1
0 . 9 0 9 ( 1 / 1 . 1 0 ) 1 0 . 8 2 6 [ 1
/(1.10)2]
2. 12 1
3 1 2( 3 4 ) 1 2 . 5 5
[ ( 1 . 0 3 )41 ) ]

3.

N
C1 C2 CN
N = C0 +
Ci
NPV = C0 + + 2 + + i
(1+ r) (1+ r) (1+ r) i=1 (1+ r)

C ii i= 1 , n 0 (
)
4.

PV = C
r
C
PV = r g

1 1
PV = C
r r (1 + r)
T

1 1 +g
T

1
PV = C
r -g r - g 1+ r
5.
 78

(1)
(2)

(3) ( )
( )
(4) 11

(5)

1 9 B I I
Hewlett-Packard HP19BII WhiteM. Financial Analysis with a
Calculator.3rd ed. Burr Ridge.Irwin/McGraw-Hill1998

[14]

1. ?
2. ?
3. ?
4. ?
5. ?
6. ?
7. ?
8. ?
9. ?
10. ?
11. ?
12. 1,000
(1) 5 10
(2) 7 10
(3) 5 20
(4) (3) (2) 2?

[14]
12

 4 79

13. 25 1,000 10
?
14. 27 150 8
27 ?
15.
10,000
20,000

(1) 0
(2) 10
(3) 20
(4)
16. 1 , 0 0 0 1 2

17. 1 0 5 0 0
12
18. 8 1,000
(1)
(2)
(3)
(4)
(5)
19. 15 120
20. 10
(1) 1,000
(2) 500
(3) 2,420
21. 1 0 2 0 0 8 1 , 2 0 0

22. 2 , 0 0 0 2 2
8
23. 12,800 10
2,000
24. 2 5 , 0 0 0 7

(1)
(2) 2 0 , 0 0 0

25.
(1) 31 160,000 28
(2) 1 , 7 5 0 , 0 0 0 1 , 7 5 0 , 0 0 0 2 8
446,000 814,000 30
101,055
10
26. 1 2 2 0 , 0 0 0 1 0 , 0 0 0
 80

27. 15
1 7 2 1 , 0 0 0 1 5

28. 2
8 5 0 , 0 0 0 4 4 0

29. 5 , 0 0 0
10

1 $700
2 900
3 1,000
4 1,000
5 1,000
6 1,000
7 1,250
8 1,375


5.1

K r e u g e r 1,0 0 0 1 0 0 , 0 0 0
5
(1) 100,000,000100,0001,000
(2) 5,000,000
(3) 5,000,000 100,000,000

5.2
5.2.1
(pure discount bond)
1

(maturity date)
1(face value)

bullet
5 - 1 F4 8

0 1 2 3 4

5-1
C 6 F 4
 82

T F T r

F
PV =
(1+ r )T
1 0 2 0
1,000,000
$1,000,000
PV = = $148,644
(1.1)20

15

5.2.2


6
(coupons)5-1 4 C6

F 4F
1,000

C
1,000

C C C $1,000
PV = + + ...+ +
1+ r (1+ r )2 (1+ r )T (1+ r )T

C
F 1,000

$1,000
PV = C Ar +
T

(1 + r )T
T
Ar T r 1

5-1
1 9 9 811 2 0 0 211
13s 13 [1]1,000 130

[1] NPV
NPV
 5 83

()
511 6 6 5
4 200211

5/1999 11/1999 5/2000 11/2000 5/2001 11/2001 5/2002 11/2002

$65 $65 $65 $65 $65 $65 $65 $65+$1,000

10
6
51 0/ 2 6 5 1 9 9 82 0 0 28

$65 $65 $65 $1,000
PV = + 2
++ +
(1.05) (1.05) (1.05) (1.05)8
8

= $65 A0.05
8
+ $1,000/(1.05)8
= ($65 6.463) + ($1,000 0.677)
= $420.095 + $677
= $1,097.095

1,097.095, 1,000109.709 5 [2]

1+r/mm1

r
m
r=10m=2

[1+0.10/2]21=1.0521 = 10.25

1 0 . 2 5
[3]

D u P o n t 8 1 2 2 0 0 6
2 0 0 6 4 2 . 5 0 8 1 2 1 , 0 0 0
1,000

5.2.3

1 8

[2] 132nds
[3] J.T.LindleyB.P.Helms M. Haddad,A Measurement of the
Errors in Intra-Period Compounding and Bond Valuation,The Financial Review 22(February 1987)

 84

1 0
50
$50
= $500
0.10

5.3

5.3.1

5-2
1 0 1 0 1 0 0 1 , 0 0 01 0
1,000
$100 $1,000 + $100
$1,000 = +
1.10 (1.10) 2

12

$100 $1,000 + $100

$966.20 = +
1.12 (1.12) 2

9 6 6 . 2 0 1 , 0 0 0( d i s c o u n t )
1 2 1 2 0 1 0 0
1,000
8
$100 $1,000 + $100
$1,035.67 = +
1.08 (1.08) 2

, 1,035.67 1,000(premium)


(1) 1,000
(2)
(3)

5.3.2
1,035.67

 5 85

$100 $1,000 + $100

$1,035.67 = +
1+ y (1+ y)2

y y= 8
8 (yield to maturity)8
1 0 8
1,035.67

5-1
F
PV =
(1+ r)T

1 1 F F
PV = C + (1+ r)T = C A r + (1+ r) T
T

r r (1+ r)
T

F1,000
C
PV =
r

5.3.3
O T C


5 - 1
3
AnnTayorAnn Taylr 83 4 0 0 Ann Taylor 2 0 0 0 8 4
1 , 0 0 0 83 4 Ann Ta y l o r
87.50
5-1

Ann Taylor
Ann Taylor 1,00099 3 8 993.75
Ann Ta y l o r
1 / 4 Ann Ta y l o r 8 . 8
87.5 993.75

2 6 6

 86

5.4
5.4.1




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

P0
Div1 P
P0 = + 1 5-1
1+ r 1 + r

Div
P1
P0
r

P 1 P 1
P1
Div 2 P
P1 = + 2 (5-2)
1 + r 1 +r

5-2 P1 5-1
1 Div 2 + P2
P0 = Div1 +
1+ r 1+ r

Div1 Div 2 P2
= + + (5-3)
1+ r (1+ r)2 (1+ r)2

5 - 3 P2 2 3
P2 [4]


Div1 Div 2 Div3
3 + ... =
Div t
P0 = + 2 + (5-4)
1+ r (1+ r) (1+ r) t =1 (1+ r)t

[4]


 5 87

5.4.2

5 - 4
1 2 3
5-2
1
Div1 Div 2 Div
P0 = + +=
1+ r (1+ r) 2 r

D1=D2==D
2 g

1 2 3 4

Div Div(1+g) Div(1+g)2 Div(1+g) 3

Div

g2 g1>g2

g1

g=0

5-2

Div
P0 =
r

Div
P0 =
r g

Div T +1
T t
r g2
P0 =
Div(1+ g )
t
1
+
t =1 (1+ r) (1+ r) T

5-3
Hampshire Products 4
6
 88

()

1 2 3 4 5
$4.00 $4(1.06) $4(1.06)2 $4(1.06)3 $4(1.06)4
=$4.24 =$4.494 4 =$4.764 1 =$5.049 9

Div Div(1 + g) Div(1 + g)2 Div(1 + g) 3
P0 = + + + + ...
1+ r (1+ r)2 (1+ r)3 (1+ r)4
Div
=
rg

g
Div

5-4
Uath Mining 3
/ 1 0 g= 1 0
1 5 r

2 60
$3
$60 =
0.15 0.10

P0 gg12 1 2
$3
$120 =
0.15 0.125

g 2 51 0 1 0 . 2 5 6 01 2 0
P0g
r=g P 0 gr

5-5
E l i x i r
1 . 1 5 4 1 5 (g1= 1 5)
1 0 (g2= 1 0) 1 5

5 - 3 1 5
5 6

5 15
 5 89

()
g1

1 0.15 $1.150 0 $1
2 0.15 1.322 5 1
3 0.15 1.520 9 1
4 0.15 1.749 0 1
5 0.15 2.011 4 1
1~5 0.15 = $5

10

$2.944 9
$2.677 2
15 $2.433 8
$2.212 5
$2.011 4

$1.749 0
$1.520 9
$1.322 5
$1.15

5-3 Elixir

1 5
g = r
6
6

6 7 8 9

Div5 (1+g2 ) Div 5(1+g 2) 2 Div5 (1+g 2) 3 Div 5(1+g 2) 4

$2.011 41.10 2.011 4(1.10) 2 2.011 4(1.10) 3 $2.011 4(1.10) 4
=$2.212 5 =$2.433 8 =$2.677 2 =$2.944 9

6
5
5
Div 6 $2.2125
P5 = = = $44.25
r g2 0.15 0.10

5 0
P5 $44.25
= = $22
(1+ r)5 (1.15) 5
 90

()
0 2722+5

5.5
g r

5.5.1 g
g



[5]

= + 5-5

5-5

= +
5-6

5-6 1+ 1+g [6]

(retention ratio)

1+g=1+ 5-7

return on equityR O E
ROE [7]
5-7

g= 5-8

5-6
Pagemaster 2,000,000 40
ROE0.16
5-8 5-8
5-8 800,0002,000,00040

[5]
[6] g
[7] ROE
ROA
ROEROE

 5 91

()
ROE

$800,0000.16=$128,000

$128,000
= = 0.064
2,000,000

2,128,0002,000,0001.064
5-8 g= ROE

g=0.40.16=0.064

5.5.2 r
r



Div
P0 =
r g

r
Div (5-9)
r= +g
P0

Div
Div/P0
g
5 - 9
5-8

5-7
P a g e m a s t e r 1 , 0 0 0 , 0 0 0 1 0

4 0 (payout ratio)6 01
2 , 1 2 8 , 0 0 0 2 , 0 0 0 , 0 0 0 0
1 . 0 6 4 1 , 2 7 6 , 8 0 0 0 . 6 02 , 1 2 8 , 0 0 0 1 . 2 8
1,276,800/1,000,000 g=0.064 5-9r
$1.28
0.192 = + 0.064
$10.00

5.5.3
g g g

g

 92

r g g 0r1 2 . 81 . 2 8
/ 1 0 . 0 0 g1 2r2 4 . 81 . 2 8/ 1 0 . 0 0+ 1 2 r

r
r r

r
0


g=r
g r g

g

5.6

EPS = Div

EPS
Div

EPS Div
=
r r

r





0 NPVGO
1 0

EPS
+ NPVGO (5-10)
r
5 - 1 0 E P S /r


 5 93

5-8
Sarro Shipping 1 0 0
100,000 101,000,000/100,000
1,000,000
210,0002.1 2110

Sarro

EPS $10
+ = $100
r 0.1

1
$210,000
$1,000,000 + = $1,100,000 (5-11)
0.1
1 2 5 - 11 1
0

0
$1,100,000
= $1,000,000
1.1

NPVGO101,000,000/100,000

EPS/r+NPVGO =$100+$10=$110

1
1 , 2 1 0 , 0 0 0 1 , 0 0 0 , 0 0 0 + 2 1 0 , 0 0 0
1 , 0 0 0 , 0 0 0 S a r r o 2 1 0 , 0 0 0
1 2 . 1 0 1 , 2 1 0 , 0 0 0/ 1 0 0 , 0 0 0 2 1
1210 110121/1.1
r1 0 2 1
1 0 1 0 NPVGO
NPVGO

(1) [8]
(2)
Jsnsen70
[9]
N P V G O

[8]
[9] M.C.Jensen,Agency Costs of Free Cash Flows,Corporate Finance and Takeovers,American Econmoic Review(May
1986)
 94

M c C o n n e l lM u s c a r e l l a [10] 7 0

N P V N P V

5.6.1
N P V G O
N P V G O N P V

5-9
Lane Supermarkets
100,000 20 10 18

g= =0.20.10=2

8 0 , 0 0 0 [(10 . 2) 1 0 0 , 0 0 0 ] ,
8 1 , 6 0 08 0 , 0 0 0 1 . 0 2 83,232 [ 8 0 , 0 0 0( 1 . 0 2)2]
2
1 0 1 8
0
N P V

5.6.2

5.6.3
0


[11]

[10] J.J.McConnellC.J.MuscarellaCorporate Capital Expenditure Decisions and the Market Value of the Firm
Journal of Financial Economics 14(1985).
[11]
 5 95

1 9 5 0 1 9 7 5
1 0



Commonwealth Edison D e t r o i t
Edison Philadelphia Electric 90

5.7 NPVGO

Sarro Shipping


NPVGO

5-10
C u m b e r l a n d 1 0 4 0
1 6 2 0
Sarro Shipping
NPVGO

5.7.1
0 . 4 01 0= 4 0 . 6 010 . 4 0
0.120.600.20

Div $4
= = $100
r g 0.16 0.12

5.7.2 NPVGO
NPVGO C u m b e r l a n d
Sarro NPVGO1
2 3
23
(1) 1 0 6
0 . 61 0 6 1 . 2 6 0 . 2 0

1
$1.20
$6 + = $1.50 (5-12)
0.16
 96

1 . 2 6 0 . 1 6
1 . 5 1 21 . 5 1
1 0
(2) 12
1 2 2
6.7261.1237.526 461.122
2 2 0 2
6.72 1.3446.720.20
NPV

2 NPV
$1.344
$6.72 + = $1.68 (5-13)
0.16
1.68 22NPV2 NPV 0
3 37.526 4 3 1.505 3
$7.526 40.20
NPV

3 NPV:
$1.5053
$ 7 . 5 2 6 4+ = $1.882 (5-14)
0.16

5-125-135-14 NPV0
$1.50 $1.68 $1.882
+ + + (5-15)
1.16 (1.16)2 (1.16) 3

1 2 5 - 1 2 5 - 1 3
5-14 12 5-15

$1.50 $1.50 1.12 $150 (1.12)2

+ + + ...
1.16 (1.16)2 (1.16)3

1.50
NPVGO = $ = $37.50
0.16 0.12

1 . 5 0 1 0NPVGO 3 7 . 5 0
37.50NPV
(3)
10
Div $10
= = $62.50
r 0.16

5.7.3
5 - 1 0

$100=$62.50+$37.50
 5 97

5.8



EPS
= + NPVGO
r

EPS
1 NPVGO
= +
EPS r EPS

P/E
1
1
1 6 8 1
P / E 1 6
8
P / E

P / E
P/E

60
20070
10IBM
P/E
40100
2 5
[12]
5 - 2 P / E P / E

P / E r P / E
P / E
AB
1 A
B A
A E P S A P / E B
P/E

F I F O L I F O

[12] P/E

 98

FIFO LIFO
F I F O LIFO FIFO
)
5-2 P/E

() 1994 1995 1996 1997

24 24 28 21
101 116 86 44
35 34 24 31
18 16 15 18
29 27 20 25
45 20 26 25
18 15 17 22
52 14 11 17
29 36 25 22

Abstracted fromThe Global 1000,Business Week, July 11,1994, July 10,1995, July 8, 1996,
and July 7, 1997.

CDC LIFO 2D
FIFO 3
18C 918/2D 618/3
P/E



P/E

1 2 3

5.9

5-3 5-3
( G e n E l e c ) 5 2
52 74 5 8 GE1.04
1 / 4
1/4264
General Cigar General Cigar
1 . 0 4
6 9 7 8 1 . 0 4 / 6 9 7 8 = 1 . 5 P E
1 / 4 4
P / E 3 0
3 0
3 , 4 6 4 , 2 0 0
7
6 9 8 1 3 / 1 6
1
69 16 69 7 8
 5 99

5-3

52


() (PE) /

1 3 7
8 8 16
3 1 3 3
8 16 16 16
5 15
16 16
5 7 7 13
8 16 8 16
13 15 3
16 16 16
5 3 5 5 1
8 8 16 16 8
7 1
8 8

5.10

1.

F
PV =
(1+ r)T

C
PV =
r
2.

3.
4.
(1)
(2)
(3)
5. 4(2)4(3)

g=

6.

EPS
= NPVGO
r

7.


8.
(1)
(2)
(3)
 100

Bodie, Z; A. Kane; and A. Marcus. Investments.3rd ed. Burr Ridge, III.:Irwin/McGraw-Hill,
1993. Sharpe, W. F.; G. J. Alexanderl and Jeffrey Bailey. Investments. 5th ed. Englewood Cliffs,
N.J.: Prentive Hall, 1995.

1.
2.
3.
4.
5. General Data
6. General House
7. General Host
8. Mcicrohard
$1,000
20
8

Microhard
a. 8
b. 10
c. 6
9. (Vanguard) 1,0005 60
3 0 6
1,000
a. 5
b. a 6
c. 5 40 b
10. World Wide 3 8
12
11 . X Y Z 5 0 2
8

12.Whizzkids 18
1 5 6 Whizzkid
1.15 12
13. Calamity
10 5 14

 5 101

5A


A B
1 , 0 0 0 r18 r21 0

0 1 1 2 2

A 8

B 10

AB
$1,000
PV A = $925.93 =
1.08
$1,000
PV B = $826.45 =
(1.10)2

P V

$1,000
PV A = $925.93 = r1 = 8%
(1+ r1 )
$1,000
PV B = $826.45 = r2 = 10%
(1+ r2 )2

5-11
8(r 1)1 0(r 2 ) 5
C1C2

0 1 1 2 2

10

$50 $1,050
PV = + = $914.06 5A-1)
1 + 0.08 (1+ 1.10)2

y
$50 $1,050
$914.06 = + 5A-2
1+ y (1+ y )2
 102

()

5A-2y9.95 y
y[13]
5 A - 15 A - 2 5 A - 1
5 A - 2 5 A - 1
5 A - 2
[14]
12 1,036.73

$120 $1,120
$1,036.73 = + r = 9.89%
1+ r (1+ r)2

5 A - 1
5 A - 1 r3>r2>r 1

5A-16301000
10:01

()

5A-1

5A.1
5 A - 1


8
1 0 1 1
1.102

[13] y
[14] r 1r2r 1r2
 5 103

[15]

$11.102=$11.081.120 4 A-3

5 A - 3
1 0 8
1 2 . 0 4 1 2 . 0 4
8
12.04 5A-2
r1r2 f2
(1+ r2 ) = (1+ r1 ) (1+ f2 )
2
5A-4
f2
(1+ r2 ) 2
f2 = 1 5A-5
1 + r1

0 1 1 2
2

5A-2
10% 1.21
8% 12.04
$18$1.0812.04$11.081.120 4=$1.21

5-12
7 12f2
5A-5

(0.12) 2
f2 = 1 = 17.23%
1.07

12 7
1 7 . 2 3 0
0

(1+ rn )n
fn = 1 5A-6
(1+ rn1)n 1

fn n
rn n
rn-1 n-1

(1.10)2
[15] 12.04% 1
1.08
 104

5-13

()

1 5

2 6

3 7

4 6

(1.06)2
f2 = 1 = 7.01%
1.05
(1.07) 3
f2 = 1 = 9.03%
(1.06)2
(1.06) 4
f2 = 1 = 3.06%
(1.07)3

1 2 1.123 6
5 7 . 0 1 1
1 . 2 2 5 6
9 . 0 3 1
1.262 5 7 3.06

0
0
5 A
5A-55A-6
5A-2

5A 1,000
1 , 0 0 0
[16] 810
1 , 0 8 0 1 , 2 1 0 1 , 0 0 0

$1,080
$1,000 =
1.08
$1,210
$1,000 =
(1.10)2

AB

[16]
 5 105

0 1 2
1 2

A $1,000 8 $1,080

B $1,000 10 $1,210

012

12
2 0 01
2
0 1 A
1 1 , 0 8 0 B

1 12 6 2
1 1 , 0 0 0 2 1 , 0 6 0 B
B B21,210 1
$1,210
$1,141.51 = (5A-7)
1.06
B1 2
6
1 6 7 1 1 , 0 0 0
2 1,0701,0001.07 B1
$1,120 5A-8
$1,130.84 =
1.07
167141
1,00021,1401,0001.14B1
$1,210
$1,061,40 =
1.14

5 A - 1 B 1 2
1
0 1
B 1 1 1 B
[17]

$1,210 $1,210
[17] 5A-9Jensen
1+ 1+2

 106

1B
$1,210
5A-9
1+2

5A-1 2 B1

1B 2 ()

$1,210
$1,141.51 = 6
1.06

$1,120
$1,130.84 = 7
1.07

$1,210
$1,061,40 = 14
1.14

B
5A-9 1
0

5A.2
B 0
I.1 1

$1,080=$1,0001.08 5A-10

II.2 1
$1,000(1.10)2
5A-11
1+2

A.11
$1,0001.081,120 4
5A-12
1+2

12.042 f2=12.04
III 5A-
105A-12

12.04=2 5A-13

(1)
(2)

5A.3
5 A - 1 3
[18]

[18] 5A-13

 5 107

f2 2


5A-13 12.04

f2=2 5A-14

5A-14 2 2
2
2

5A.4
5A-14
5A-14
1
.1
.2 1
r1



f 2 2

f2>2 (5A-15)

2 2
2 5A-15
1
2 2
2

.2
.1 1
2 2 0
2 0
( )

f2<2 5A-16

5 A - 1 5 1
5 A - 1 6 2

5A-15
5A-14
5 A - 1 5
 108

.1
.20 1
202


1 9 2 61 1 9 9 31 2 3 . 7
5.4[19] [20]

[19] Stocks, Bonds, Bills and Inflation 1994 Yearbook(Chicago: Ibbotson Associates, Inc.).Ibbotson Associates
annually updates work by Roger G. Ibbotson and Rex A. Sinquefield.
[20] 2 0 2 0
19 1926199368


6

4
N P V

6.1

3

6-1
( A l p h a ) 1 0 0 1 1 0 7

(1) 100 107
(2) 100
6
$107
$0.94 = $100 +
1.06

(1)


(2)

(3)
 110

6.2
6.2.1
(payback period rule)
5 0 , 0 0 0 3 0 , 0 0 0
20,00010,000 6-1

$50,000$30,000$20,000$10,000

6-1

5 0 , 0 0 0


3 0 , 0 0 02 0 , 0 0 0 5 0 , 0 0 0

6.2.2
6 - 1


1 AB A
2 0 5 0 B 5 0 2 0 B
50 A


2 B C
C B 6 0 , 0 0 0



 6 111

6-1 ABC

A B C

0 100 100 100

1 20 50 50
2 30 30 30
3 50 20 20
4 60 60 60,000
3 3 3

6.2.3


2 0 0 1 2 0



50

6.2.4

6.3

(discounted payback period rule)

10
($100, $50, $50, $20)
 112

10
[$100,$50/1.1,$50/(1.1),$20/(1.1) ] = ($100,$45.45,$41.32,$15.03)
2 3

1 0 1 . 8 0( 4 5 . 4 54 1 . 3 21 5 . 0 3)

6.4
6.4.1
(average accounting return)

6-2
5 0 0 , 0 0 0
6-2
6-2

1 2 3 4 5

$433,333 $450,000 $266,667 $200,000 $133,333

200,000 150,000 100,000 100,000 100,000
233,333 300,000 166,667 100,000 33,333
100,000 100,000 100,000 100,000 100,000
133,333 200,000 66,667 0 66,667
(Tc0.25)
33,333 50,000 16,667 0 16,667
$100,000 $150,000 $ 50,000 $ 0 $ 50,000

($100,000+ 150,000 + 50,000 + 0 50,000)

= $50,000
5
$500,000 + 0
= $250,000
2

$50,000
AAR = 20%
$250,000

T c 5 1 6 , 6 6 7

 6 113

4 3 3 , 3 3 3
233,333 300,000

166,667100,00033,333


[1]
5 0 0 , 0 0 0
1 0 0 , 0 0 0
6 - 2 1 0 0 , 0 0 01 5 0 , 0 0 0 5 0 , 0 0 0 05 0 , 0 0 0

[$100,000 + $ 1 5 0 , 0 0 0+ $50,000+ $0 + ($ 5 0 , 0 0 0 ) ] /=5$50,000

0
500,000 100,000 1 400,000

($500,000 + $400,000 + $300,000 + $200,000 + $100,000 + $ 0 ) / 6= $250,000 (6-1)

6 5 5 0 0 , 0 0 0 1 0 6
6-1

$50,000
AAR = = 20%
$250,000

20
20

6.4.2



1 0 0 , 0 0 0
1
5

[1]
 114

6.5
IRR



6-2 r
$110
NPV = $100 + (6-2)
1+ r

0
0.08
$110
$1.85 = $100 + (6-3)
1.08

(6-3) 0.12
$110
$1.79 = $100 + (6-4)
1.12

6-4 0.10
$110
0 = $100 + (6-5)
1.10

10 0 [2]
10
internal rate of returnIRR 0
1 0
10 10

(basic IRR rule)

6-2

6-3
6 - 3 6 - 5 2 0 3 0

[2] (6-2)0 r r

 6 115

()

20 $10.65
30 18.39

2 3 . 3 7 0 2 3 . 3 7
2 0 3 0

6-3

[3]
$100 $100 $100
0 = $200 + + +
1+ IRR (1+ IRR)2 (1+ IRR)3
6 - 4
23.37 0
NPV

()

6-4 NPV
IRRNPV IRRNPV

[3] IRR
IRR
 116

20 15

6.6
6.6.1
(independent project)



(mutually exclusive investments) A
B A B
A B A
B

6.6.2
A A
$100$130
A 3 0 6 - 3 A 6 - 5
A
6-3

A B C
: 0 1 2 0 1 2 0 1 2
$100 $130 $100 $130 $100 $230 $132
IRR 30 30 10 20
NPV@10 $18.2 $18.2 0

<30 >30 >10 <20

1 B
$100$130
B A B


IRR
$130
$4 = +$100
1.25
$130
$0 = +$100
1.30
$130
$3.70 = +$100
1.35
 6 117

A 3 0 3 0
30

6 - 5 B

A B C

() () ()

rNPV100

6-5 ABC
A0 1NPV
B0 1 NPV
C 01 2

100 (1) B(2)

B B 3 0 B
3 0 2 5
B 3 5 B
B [4]
A 1 0 0 ( 1 ) A( 2 )
A ( 2 ) A 3 0
A 3 0 3 0 A
30 A
A B A
B

2 C

$100$230$132

[4] 100

 118

1020 [5]
1020


6 - 5
C 1 02 0 0
10 20

M
M [6]

1

[5]
$230 $132
$100 + 2
1.1 (1.1)

0 = $100 + $209.09 $109.09

$230 $132
$100 + 2
1.2 (1.2)

0 = $100 + $191.67 $91.67

[6] IRRC0Cr IRR
r

NPV = C 0 + C1 /(1+ r ) + C+T /(1 + r) = 0

T

x
x = 1/(1 + r )
IRR

NPV = C 0 + C 1 x + C x + C+ x = 0
2 T

2 T

IRRx*
x = 1/(1 + r )
IRR
r * = (1/ x*) 1
nn1IRR
nMIRRM
 6 119

6 - 3 A
30 30
NPV = $100 + $130(1.3)
=0
3 0
1 0 0
3 0 0
3 0




[7]

IRR IRR NPV

1 IRR>r NPV>0
IRR<r NPV<0
1 IRR<r NPV>0
IRR>r NPV<0
, 1 IRR NPV>0
NPV<0

6.6.3




1 1 1.50
2 1 0 11

2 [8]

N P V [9] IRR()

1 $ 1 +$ 1.50 $0.50 50
2 10 + 11.00 1.00 10

[7] IRRNPVr
[8] 1

[9] 090
 120

1 0
2
1
[10]

1 50 2 10
1
1
[11]

6-3
Stanley Jaffe Sherry Lansing

()

0 1 NPV

25 IRR( )

$10 $40 $22 300

25 65 27 160

25

0 1
/ /

25(10)15 654025

01,500 12,500

$25,000,000
0 = $15,000,000+
1+ IRR

6 6 . 6 7 (incremental IRR)

[10] 0.50
[11] 9010%2
 6 121

$25,000,000
$15,000,000+ = $5,000,000
1.25

1,500 1,500
2,500
6 6 . 6 7 2 5


(1) 2 , 7 0 0
2,200
(2) 5 0 0

(3) 6 6 . 6 7 2 5




0
[12]

6-4
( K a u f o l d ) A
B

NPV

0 1 2 3 @0 @10 @15 IRR()

A $10,000 $10,000 $1,000 $1,000 $2,000 $669 $109 16.04

B 10,000 1,000 1,000 12,000 4,000 751 484 12.94

B A
A B
A 11 0 , 0 0 0
B
3 B
6 - 6 0
A 2 , 0 0 0 B 4 , 0 0 0
B A B
1 0 . 5 5 0

[12] 0

 122

B B

(1) 6 - 6 1 0 . 5 5
B 10.55 A

/($)

NPVB>NPVA

NPVA>NPVB

(%)

6-6

(2)

: 0 1 2 3
() @0 @10 @15

B~A 0 $9,000 0 $11,000 10.55 $2,000 $83 $593

10.55 10.55
0 10.55 BA A[13]
(3) 01 0
1 5
B A



( K a u f o l d )
B A 1



( K a u f o l d )

[13] 10.55%
10.55% 0
0
 6 123

6.6.4

6.6.5

(1)
(2)
0

6.7
(profitability index)


(PI) =

6-5
(Hiram Finnegan) 12

12
/

/
C0 C1 C2 NPV@12
/

1 20 70 10 70.5 3.53 50.5

2 10 15 40 45.3 4.53 35.3

$70 $10
$70.5 = + (6-6)
1.12 (1.12)2

6-6
$70.5
3.53 =
$20
 124

(1)
PI1PI

PI>1 PI<1

(2)
2 1
2 1
1 2

1
2

12
/

/
C0 C1 C2 NPV@12
/

1~2 10 55 30 25.2 2.52 15.2

1 . 0 1

(3)
( c a p i t a l
rationing)
3

12
/

/
C0 C1 C2 NPV@12
/

3 10 5 60 43.4 4.34 33.4

a (Hiram Finnegan) b
2,000 1 2,000 1
2 3 1 , 0 0 0
1 23
2 3 1
1 23

2 3
1

 6 125

1 3

6.8


I R R N P V [14]6 - 4
8 0
[15]



RockyStar Wars
E TFatal Attraction
Heaven's GateHoward the Duck



Reel Power[16]

Ron Simpson



UNDER FIRE
Clay Frohman



Barbara Boyle

[14] L.SchallG.SundemCapital Budgeting Methods and RiskA Further AnalysisFinancial

Management1980

[15] L.SchallG.SundemW.R.GerjsbeekSurvey and Analysis of Capital Budgeting Methods
Journal of Finance1978386%
16%
[16] Mark LitwakReel PowerThe Struggle for Influence and Success in the New HollywoodNew YorkWilliam
Morrow and CompanyInc.1986pp.7374and77.
 126

6-4

() ()

(AAR) 10.7 14.6

(PP) 5.0 37.6
(IRR) 65.3 14.6
(NPV) 16.5 30.0
2.5 3.2
100 100

121
M. T. Stanley and S. B. Block. A Survey of Multinational Capital Budgeting, The Finance
Review (March 1984). pp.36-51.

6.9
1.

2.

3.

4.

1


2

( 2 ) ( 1 )
(2)
5.





(1)
(2)
(3)
6.

 6 127

1.
S c h a l lL., and G.Sundem. Capital Budgeting Methods and RiskA Further Analysis.
Financial Management1980
2. Marc Ross 12

Ross,Marc. Capital Budgeting Practices of Twelve Large Manufacturers. F i n a n c i a l
Management1986

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

A B

0 $7,500 $5,000
1 4,000 2,500
2 3,500 1,200
3 1,500 3,000

(1)
(2) 15
11.

1 2 3 4

$16,000 $16,000 $16,000 $16,000 $16,000

0 4,000 8,000 12,000 16,000

$16,000 $12,000 $8,000 $4,000 $0

4,500
12.
 128

A B

0 3,000 6,000
1 2,500 5,000
2 1,000 2,000

13.

A B

0 2,000 1,500
1 2,000 500
2 8,000 1,000
3 8,000 1,500

14.

A B

0 $5,000 $100,000
1 3,500 65,000
2 3,500 65,000

(1)
(2)
(3) 15


7

1990 the Boeing Company) 777
7 7 7 3 9 0 7 , 6 0 0
8 0
1995 35 777
1 9 9 0
777

D C F )

7.1
7.1.1






100,000 100,000
2 0 5 , 0 0 0
100,000/20) 5,000 95,000 19
0
1 0 0 , 0 0 0 1 0 0 , 0 0 0

7.1.2
(sunk cost)

 130

7-1
the General Milk Company)
1 0 0 , 0 0 0

100,000 100,000
1 0 0 , 0 0 0

7.1.3



(opportunity costs)

7-2
the Weinstein Trading Company)



)

7.1.4

(erosion)

7-3
Innovative Motors CorporationI M C )
I M C

I M C
I M C
1 I M C
1 . 5
0.5(1 1.5)

7.2

(Baldwin Company)
1 9 6 5
1 9 7 3High Flite)
 7 131

1996W. C. (W.C.Meadows)



1 9 9 7
:
1 01 5
2 5 0 , 0 0 0


150,000
[1]

1 0 0 , 0 0 0 5 3 0 , 0 0 0 5
5,0008,00012,00010,0006,000
2 0 5
2
10 10

34
(net working capital)


0 1 0 , 0 0 0


7 - 17 - 4, ,

7-1 7-27-
3 7 - 1 7 - 1
7-4

7.2.1
7-1
(1) 0 1 0 0 , 0 0 0 5
7 - 11
,
(2)
7 - 14
2 5 0 , 0 0 0

[1]
227,272.73
34%227,272.7310.34=150,000
 132

(3) 7 - 15



7 - 16
7-17
7-1
(

0 1 2 3 4 5

(1) $100.00 $21.76
(2) $20.00 $52.00 $71.20 $82.72 94.24
(3) () 80.00 48.00 28.80 17.28 5.76
(4) () 150.00 150.00
(5) () 10.00 10.00 16.32 24.97 21.22 0
(6) 10.00 6.32 8.65 3.75 21.22
(7) 260.00 6.32 8.65 3.75 192.98
[(1)+(4)+(6)]

(8) $100.00 $163.20 $249.72 $212.20 $129.90
(9) 50.00 88.00 145.20 133.10 87.84
(10) 20.00 32.00 19.20 11. 52 11.52
(11) 30.00 43.20 85.32 67.58 30.54
[(8)(9)(10)]
(12) (34) 10.20 14.69 29.01 22.98 10.38
(13) 19.80 28.51 56.31 44.60 20.16

5 30,000)
2 4 , 2 4 03 0 , 0 0 0
5,760) 34
8 , 2 4 0 0 . 3 4( 3 0 , 0 0 0 5 , 7 6 0) ]
30,000[0.34(30,0005,760)]=21,760

7-2

(1) (2) (3) (4) (5) (6)

1 5,000 $20.00 $100,000 $10.00 $50,000

2 8,000 20.40 163,200 11.00 88,000
3 12,000 20.81 249,720 12.10 145,200
4 10,000 21.22 212,200 13.31 133,100
5 6,000 21.65 129,900 14.64 87,840

1. 2
2. 10
 7 133

7-1
89
7 - 24 6

2 10
1 0 0 , 0 0 0 1 9 8 6 [2]
7 - 3 I R S 5

7 - 1 1 0 7 - 111 1 2
13
7-4 7-18912 7-
4123 7-44
7-3

3 5 7
1 $33,340 $20,000 $14,280
2 44,440 32,000 24,490
3 14,810 19,200 17,490
4 7,410 11,520 12,500
5 11,520 8,920
6 5,760 8,920
7 8,920
8 4,480
$100,000 $100,000 $100,000

I R S
IRS

7-4
( )

0 1 2 3 4 5

(1) [87-1] $100.00 $163.20 $249.72 $212.20 $129.90

(2) [97-1] 50.00 88.0 145.20 133.10 87.84
(3) [127-1] 10.20 14.69 29.01 22.98 10.38
(4) 39.80 60.51 75.51 56.12 31.68
[(1)(2)(3)]
(5) $260.00 6.32 8.65 3.75 192.98
[77-1]
(6) 260.00 39.80 54.19 66.86 59.87 224.66
[(4)+(5)]
NPV@ 4 123.641
10 51.588
15 5.472
20 31.351

[2]
 134

7 - 17 7 - 4 5
7 - 46

7-4
1 0 5 1 , 5 8 8 2 0
3 1 , 3 5 1 1 5 . 6 7
1 5 . 6 7

7.2.2
I R S )
( ) I R S (FASB)
FA S B
FA S B

IRS

IRS

IRS
FASB

7.2.3
7 - 1
56
( 1 ) ( 2 )
(3)
( )

1 7 - 1
1 100,000 50,000
50,000(100,00050,000)
(1) 9 , 0 0 0 1 9 1 , 0 0 0
(100,0009,000)9,000 2
(2) 50,000 3,000 47,000
(50,0003,000) 23,000
(3) 12,500 ( )
(4) 1 1,500
1
$9,000 $3,000 $2,500 $1,500 $10,000

1 0 , 0 0 0

7 - 1
6

 7 135
 136

645
(7 - 1 ) (
)
1

7.2.4

7-4
1990 777 35
7 - 5 7 7 7 1 9 9 1


77710
3 0 1 9 (
IRR)

7.3

7.3.1
1 0 0 1 , 0 0 0
1 , 1 0 0( 1 , 0 0 01 . 1 0 )1 0 ,

6 0
1.00 1.061,0001,000
11,038(1,000/1.06)
3.8 6
3.8 3.8
3 . 8 (real interest rate)
10(nominal interest rate) 7-1

1+=(1+ )(1+ )

1+
= -1
1+ (7-1)

3.8(1.10/1.061)
 7 137

(7-2)

0 1
10 1,100
1,000

(0
3.8 6
11,000
1,000)
1
1.06
1,038(1,100/1.06
)

7-1
1 1 , 0 3 8 0 1,0 0 0
=1,038/1,0001=3.8

4=106

(7-2) (7-1) (7-2)

0.2 (43.8)

7-5
(Gerberovia) 300 280

/
7-2
( )
(7-1)
 138

(7-2)

300280=20 ( )

(7-1)
1+ 300%
1 = 5.26% ( )
1+ 280%

7 - 2

7.3.2
( 7 - 1 )


()
0

7-6
(Burrows Publishing) (Barbara Musk)

1 0 6
2
13.36(1.08)410 100,000
1 , 3 6 0 , 0 0 0 ( 1 3 . 6 0 1 0 0 , 0 0 0 )
(nominal cash flow) 1,360,000

1,360,000
$1,360,000
$1,080,000 =
(1.06)4

1 , 0 8 0 , 0 0 0 (real cash flow) 0

4 1 , 3 6 0 , 0 0 0 1 , 0 8 0 , 0 0 0
1 1.26[1(1.06)4]

7-7
E O B I I 2 , 0 0 0 , 0 0 0
2 , 0 0 0 , 0 0 0 4 0 0 , 0 0 0
(2,000,000/5)400,000
4 0 0 , 0 0 0
3 1 6 , 8 3 7[ 4 0 0 , 0 0 0/ ( 1 . 0 6 )4]

7.3.3



 7 139

7-8
(Shields Electric)

0 1 2

$1,000 $600 $650

14 5
(1)
$600 $650
$26.47 = $1,000 + +
1.14 (1.14)2

(2)

0 1 2

$1,000 $571.43 $589.57

$600 $650
1.05 (1.05)2

8.571 43(1.14/1.051)

$571.43 $589.57
$26.47 = $1,000 + +
1 . 0 8 5 7 1 43 (1.085714 3)2

7-9
(Altshuler, Inc.)

0 1 2

$1,210

( ) $1,900 $2,000

() 950 1,000

() 605 605
 140

()
(David Altshuler) 1 0
15.5 40

0 1 2

$1,210

$2,090 (=1,9001.10) $2,420[=2,000(1.10) 2]

1,045 (=9501.10) 1,210[=1,000(1.10) 2]

605 (=1,210/2) 605

440 605

(40%) 176 242

264 363

+ +605 +605

$869 $968

$869 $968
NPV = $1,210 + + = $268
1.155 (1.155)2
(Stuart We i s s )
5(=1.155/1.101)

0 1 2

$1,210

$1,900 $2,000

950 1,000

550(=605/1.1) 500[=605/(1.1) 2 ]

400 500

(40%) 160 200

240 300

+550 +500

$790 $800

$790 $800
NPV = $1,210 + + = $268
1.05 (1.05)2
:
(1) 0()
 7 141

()
(2) 6 0 5 1 0

(3)

7.4

7.4.1

7-10
(Downtown Athletic Club) A
B

0 1 2 3 4

A $500 $120 $120 $120

B 600 100 100 100 $100

A5 0 0 1 2 0 B6 0 0
1 0 0



$120 $120 $120
A $798.42 = $500 + + +
1.1 (1.1) 2 (1.1) 3
(7-3)
$100 $100 $100 $100
B $916.99 = $600 + + + +
1.1 (1.1) 2 (1.1) 3 (1.1) 4

B A
B

(1) 12 A B
A A 3 5 0 0
3 456 120
 142

6 9 ( 7 - 3 )
0 7 9 8 . 4 2 3
798.42 A12

A12
$798.42 $798.42 $798.42
$2,188 = $798.42 + + + (7-4)
(1.10)3 (1.10)6 (1.10)9

, B B 4 600
5678 100 12
A B12

B12
$916.99 $916.99
$1,971 = $916.99 + +
(1.10)4 (1.10)8
12 12 B12
A B

C 7 D 11 7 7 ( 711 )
CDE E 4
308(7114)
(2) ( 7 - 3 ) ( 5 0 0 1 2 0 1 2 0 1 2 0)
798.42 798.42

$798.42 = C A 0.10
3

3
A0.10 1 0 1 C 7 9 8 . 4 2
3
A0.10 2.486 9C3 2 1 . 0 5( 7 9 8 . 4 2/2.486 9)
(500120120120) 321.05
A A
321.05 321.05 A
B

$916.99 = C A0.10
4

4
A0.10 3.169 9, C916.99/3.169 9289.28
AB

0 1 2 3 4 5

A $321.05 $321.05 $321.05 $321.05 $321.05

B 289.28 289.28 289.28 289.28 289.28

A 3 2 1 . 0 5 B
289.28 ,BA
B
, ,

 7 143

, 12 ,,
, ,
5
, AB
, AB
AB

0 1 2 3 4 5

A $500 $120 $120 $120+$500 $120 $120

B 600 100 100 100 100+600 100

A3 A
A B 4

$120 $120 $620 $120 $120

$1,331 = $500 + + + + +
1.10 (1.10)2 (1.10)3 (1.10)4 (1.10)5

$100 $100 $100 $700 $100

$1,389 = $600 + + + + +
1.10 (1.10)2 (1.10)3 (1.10)4 (1.10)5
B B
5 B B 8 A
6 [3]


B 4 A

7.4.2 ()
AB

(EAC)
E A C

7-11
( B I K E )
9 , 0 0 0
1,000 2,000

[3]
40,000
 144

()

$0 $4,000

1 1,000 2,500

2 2,000 1,500

3 3,000 1,000

4 4,000 0

4,000 2,500
1,000
15

PV = $9.000 + $1,000 A 8 $2,000
0.15
(1.15) 8
= $9,000 + $1,000 (4.4873) $2,000 ( 0 . 3 2 6 9
= $12,833

2,000
EAC
PV $12,833
PV/158= 8 = = $2,860
A0.15 4,4873

4 , 0 0 0
4,000 4,000

(1) (4,000)
(2) (1,000)
(3) (2,500)
PV
$1,000 $2,500
$4,000 + = $2,696
1.15 1.15

$2,6961.15=$3,100

3,100
2 , 8 6 0


 7 145

()

1 2 3 4

$2,860 $2,860 $2,860 $2,860

3 , 1 0 0
2 , 8 6 0

1 2 3 4

$3,100 $2,860 $2,860 $2,860

1
1

2

$2,000 $1,500
1 PV $2,500 + 1.15 1.15 = $2,935

3,375(2,9351.15)
34 E A C

7.5

1.

2. NPV
a.
b. NPV
3.
N P V

4.

 146

Bierman, H., and S.Smidt. The Capital Budgeting Decision. New York: Macmillan, 1984.

1.
2.
3.
4.
5.
6.
7.
8.
9. EAC
10. 198327
(Hal McRae)19831
400,000
250,000
10 125,000 ( )
75,000
6 0 1 9 9 311 (
) 12.36
1 , ?
11. (Samsung International)
8 0 0 , 0 0 0
2 0 0 , 0 0 0 1 2
1 0 0 4 0 0 , 0 0 0

12. (Scott Investors Inc.) 500,000
1 9 8 6 ( 7 - 3
) 100,000
1 2 0 , 0 0 0 1 0 0 , 0 0 0
34 12
13.

A B

0 $40,000 $50,000
1 20,000 10,000
2 15,000 20,000
3 15,000 40,000

A B
15 4
14. (Phillips Industries)
1 2 0 , 0 0 0
 7 147

6( )
11
15. 1 2 , 0 0 0
6 , 0 0 0 2 , 0 0 0 4 C4
4,000

C0 C1 C2 C3 C4

$12,000 $6,000 $6,000 $6,000 $4,000

6
16. BYO 10(Bang)
8,000 2,000
B Y O 11I O U
IOU 5,000 2,500
IOU 500
1 4
1 0 11
IOU
17. (Goodweek Tires,Inc.)

( S u p e r
Tread)

1 , 0 0 0 5 0 0

C F OAdam Smith



120,000,000
5 1 , 4 2 8 , 5 7 1

(1) (OEM) OEM (
)O E M 3 6
18
(2)
59 OEM
1
1 25,000,000
( )
40 3.25 15.9

 148

()

2 0 0 2 . 5
( )
11OEM
1 4 , 0 0 0 , 0 0 0 2
8

M A C R S ( )
(NWC) 11,000,000
15 NPV AARIRRPI

7A

1986
3

5(a) (b) (c)

7

10
15

20
27.5
31.5
357 2 0 0
1520 150


IRS



8


( N P V ) N P V

8.1


NPV
NPV
(NPV)
N P V
N P V N P V

NPV
(1)
(2)
(3)
(4)
(5)
(6)
N P V
N P V
NPV
N P V

8-1

1976


 150

()

N P V

( )

[1]





(McConnell and Muscarella1985)
[2]




(Woolridge1988) [3]

NPV
(AT&T)NCR

[1] Judith H. Dobrznyski19861124 More than Ever, It's Management for the Short
Term, p.92. Champion

[2] John J. McConnell and Chris J. Muscarella, Corporate Capital Expenditure Decisions and the Market Value of the
Firm, Journal of Financial Economics (September 1985),pp.399-422.
[3] J. Randall Woolridge, Competitive Decline: Is a Myopic Stock Market to Blame? Journal of Applied Corporate
Finance (Spring 1988),pp.26-36. Su Han Chan, John Martin Kensinger, Corporate
Research and Share Value, Journal of Financial Economics 26 (1990),pp.255-76.
R&D
 8 151

()
NPV
AT & T 1 9 9 01 26 AT & T
90 61.2 NCR 1990124 19901211
AT & T 3 0 . 3 7 5 2 9 . 5 0 AT & T
1 0 AT & T N C R AT & T

AT & T N C R AT & T
NCR AT&T
AT&T

[4]
AT&T NCR
AT & T N C R 1 9 9 592 0
AT&TNCR(Lucent) 11
1 9 9 2115AT & T 1/3 (McCaw)
AT & T 4 2 . 7 5 4 4 . 3 7 5 AT & T
2 0 AT & T
AT & T 5 5 AT & T AT & T
NPV AT&T

(Robert Allen) 19971017
(Michael Armstrong) (Robert Allen)AT & T AT & T
13.5

AT&T
N P V

8.2
N P V N P V
N P V N P V
(decision trees) NPV
(SEC)
1 5 0

1
0.75

( 1 ) ( 2 )
( 3 ) S E C 1 5 0 ( 4 )

[4] Gregg Jarrell, For a Higher Share Price ,Focus Your Business, The Wall Street Journal (September 13,1991)
19791988

 152

1 5 0 7 2 7
727 5
S E C
1 5 5 8 - 1 S E C
15 NPV( )
5

NPV = $1,500 +
$900
t =1 (1.15)t
= $1,500 + $900 A0.15
5

= $1,517

N P V 1 1 5

8-1 SEC
( )

1 2

$6,000
(3,000 )
(1,791)
(300)
909
(T c =0.34) (309)
$600
$900
$1,500

(1) (2) 34(3)

SEC15 36.11 NPV(

) 1
8 - 1 S E C
0.75 SEC 15
1 5
36.11NPV
8-1SEC
(1)
(2)
1 5
1 5 . 1 7
SEC
S E C 1
7 5 1 5 . 1 7 1 (
)
=( )+( )
=0.75 $1,517+0.25 $0
=$1,138
 8 153

( )
NPV=$100+$1,138/1.15
=$890
SEC

1 2

1,500
100

NPV=1,517

NPV=0

NPV=3,611

8-1 SEC ( )

1 15

2 S E C
3 6 . 11 N P V S E C1 0

5 3 6 . 11

8.3
N P V N P V

8.3.1
( s e n s i t i v i t y
a n a l y s i s ) (w h a t - i fBOP [5]) N P V
SEC SEC
8-1 8-1

[5] Bop
 154

=
3, 000 = 0.30 10,000
=
$6,000 = 3,000 $2 ()

(1)
(2)
(3)
( v a r i a b l e
c o s t s )

10 100
1,000
(fixed costs)


0.1 17.91

=
$3,000 = $1 3,000 ( )
= +
$4,791 = $3,000 +$1,791 ( )

8-2 SEC

8-2
8-2 SEC

()/ 5,000 10,000 20,000

() 20 30 50
/ $1.9 $2 $2.2
()/ $1.2 $1 $ 0.8
()/ $ 1,891 $ 1,791 $1,714
/ $ 1,900 $ 1,500 $ 1,000

N P V 8 - 3 8 - 3 8 1 . 5 4 N P V
2 0 , 0 0 0
3 0 0 . 0 2 0 . 0 1
1 7 . 9 1 1 5 8 - 3 1 5 . 1 7
NPV
 8 155

8-3 1NPV ( )

()/ $1,802

$1,517 $8,154
696 1,517 5,942
853 1,517 2,844
() 189 1,517 2,844
() 1,295 1,517 1,628
1,208 1,517 1,903

$ 1 , 8 0 2N P V
5,000 8-2

8 - 3 N P V

N P V N P V
N P V
N P V
N P V 8 - 3 2 N P V
8 - 3 N P V


1 2 . 0 8
N P V 6 . 9 6 N P V
N P V1 8 . 0 2


N P V


2 0






(scenario analysis)



S E C 8 - 4
NPV
 156

$2,023 = $1,500 $156 A 0.15

5
( )

8-4
( )

1 2~6

$2,800
1,400
1,791
300
691
(Tc=0.34) 235
456
156
$1,500

7 , 0 0 0 ( 7 0) 2 0( 2 / 3 )
8-2

8.3.2

(break-even analysis)


8-5

0 -$1,380
1,000 -720
3,000 600
10,000 5,220

8 - 2
2 , 0 9 1
2,091
8-5
( ) ( )

1 26
NPV
(T =0.34)
c

$1,500 0 $ 0 $ 0 $1,791 $300 $ 711 $1,380 $1,080 $5,120

$1,500 1,000 2,000 1,000 1,791 300 371 720 420 2,908
$1,500 3,000 6,000 3,000 1,791 300 309 600 900 1,517
$1,500 10,000 20,000 10,000 1,791 300 -2,689 5,220 5,520 17,004

12

2 0 0 1 0 0
 8 157

[6] ( ) ( 1 -T c) = ( 2 , 0 0 0 , 0 0 0
1,000,000) (10.34)=660,000 34
(contribution margin)

4,182

2,091()
2,091
()

8-2

17.91 3

(+)(1Tc)=($1,791,000,000 +$300,000,000)(10.34) =$1,380,000,000

1 3 . 8
66

(+)(1Tc) $1,380,000,000
= = 2,091()
()(1Tc) $660,000

, 2,091

15

NPV/

0 5,120
1,000 2,908
3,000 1,517
10,000 17,004

NPV8-5 SEC1,000
N P V 3 , 0 0 0N P V N P V 1 , 0 0 03 , 0 0 0

S E C 1 5
5 (EAC)

EAC = /( 155)
5
= / A0.15
= $1,500,000,000/3.352 2=$447,500,000

[6]

 158

4 . 4 7 5 E A C 3 E A C 1 5
15

$1,528,000,000 = $447,500,000+$1,791,000,000 0.66$300,000,000 0.34

= EAC+ (1TC ) TC

4 . 4 7 5

66

EAC+(1TC)TC $1,528,000,000
= = 2,315()
()(1TC) $660,000

2,315

3 2,091 SEC
S E C 1 5
1 5 1 5
4 . 4 7 5 3
S E C

8.4
, N P V

8.4.1

8 . 2 S E C
S E C

1 9 7 7Saab
9 0 0S a a b S a a b

8.4.2
S E C

1 9 9 11 21 9 ( G M ) 1 9 9 5 2 1
7 4 , 0 0 0 G M
2 1
G M
0 . 1 2 5(2 7 . 8 7 5 2 7 . 7 5) G M
G M G M

 8 159

1 9 9 11 0 (Momenta International) 5
10 (Eo) AT&T 199211
1 9 9 4 1 9 9 41
E n w o y

8.4.3
N P V


(M) NPV

M = NPV + Opt

8-1
F r i s b e e s A B
B A
Frisbees AB , BNPV ANPV
AB Frisbees ANPV
BA

8.4.4
1 0
10 100

2 0 1 0
1,050 500
100 10
NPV

$100/0.10$1,050=$50

500


0 N P V 0
5 0 0 N P V5 0 0
20 200/0.10=2,000
500
1 , 0 5 0 1 0 0
5 0 0( ) 2 , 0 0 0( )
500+2,000/2=1,250 100
1 , 2 5 0 1 0 1 , 2 2 7 . 2 7 N P V = 1 , 2 2 7 . 2 7
1,050=177.27
N P V 5 0 1 7 7 . 2 7
2 2 7 . 2 7
 160

5 0 0
5 0 2 5 0 2 5 0 / 1 . 1 = 2 2 7 . 2 7
227.27
(Robichek and Van Horne1 9 6 7) (Dye and Long1 9 6 9)
[7] (Myers and Majd1985)

Frisbees [8]
(Brennan and Schwartz1985) [9]




2 1 2 2

8.5

1. 7 8 N P V
NPV
2. N P V N P V
N P V

( )
N P V


3.

1.
Reinhart, U.E.Breakeven Analysis for Lockheed's Tristar: An Application of Financial

[7] A.Robichek and J. Van Horne, Abandonment Value and Capital Budgeting , Journal of Finance (December 1967);
and E. Dye and H. Long ,Abandonment Value and Capital Budgeting : Comment , Journal of Finance (March 1969)
[8] S. C. Myers and S. Majd, Calculating Abandonment Value Using Option Pricing Theory , 1985
6.
[9] M. J. Brennan and E. S. Schwartz, A New Approach to Evaluating Natural Resource Investments, Midland
Corporate Finance Journal 3 (Spring 1985).
 8 161

Theory. Journal of Finance (September 1977).

2.
P o r t e r, M. E. Competitive Advantage: Creating and Sustaining Superior Performance. New
York: The Free Press,1985.

1. NPV
2. NPV
3.
4.
5.
6.
7.
8.
9.
=$1,500 =$1,100 =$120,000=$20,000
=35
10.

( ) 300,000 ?
=$2.00 =$0.72 =$300,000 =35
=$40,000


 164

C A P M

APT

1 0 11 9

10

11

CAPM

1 2

9







(1)


(2) 9 1 0







(3)

= +

CAPM
(4) 11
APT
(5) 9 1 0 11 1 2

9.1
9.1.1
( Video Concept Company)


 166

[1]


9 - 1 1 0 0 3 7

C0 = $37 100 = $3,700

1.85 185

Div = $1.85100 = $185

$4,218
$185

$4,033

$3,700

9-1

40.33

= $40.33$37)100 = $333

34.78

= $34.78$37)100 = $222

= +

= $185 +$333 = $518

= +
= $3,700 + $518
= $4,218

[1]
 9 167

= +
= $40.33100+ $185
= $4,218

[2]

9.1.2

1
t P t D i v t+ 1
9-2

$42.18
$185

$40.33

t t+1

$37

9-2

+
1. =

+
2.1+ =

3 7 1 . 8 5
[3]

= Divt+1 Pt = $1.85$37 = 0.05 = 5

(capital gain) Pt+ 1

[2] 518
518 3,700 100

[3] 0.0550.052=0.002 552=25
 168

=Pt+1 Pt Pt
= $3.33$37
= 0.09 = 9

Rt+1
Div t +1 (Pt+1 Pt +1 )
Rt+1 = +
Pt Pt
= 5% + 9% = 14%

9-1
2 5 3 5
2
9-3
Div1 ( P1 P0 )
R1 = +
P0 P0
$2 $35 $25
= +
$25 $25
= 8% + 40% = 48%

8 40 48
5,000 5,000( (1 + 48) = 7,400
5 , 0 0 0
[4]

$37

$2 (Div)

$35
(P1)

$25(P 0)

9-3

[4]
10%







 9 169

9.2

(Rex Sinquefield) [5] 5
(1) S & P )
500
(2)
15
(3) 20
(4) 20
(5) 3

9-4 1926~1997 1 1925 = 1
Stock, Bonds, Bills and Inflation: 1998 Ye a r b o ok T M Chicago: Ibbotson Associates . All
rights reserved.

[5] Stocks, Bonds, Bills and Inflation: 1998 Yearbook T M Chicago: Ibbotson Associates. All rights
reserved.
 170

1 9 2 61 9 9 77 2
9 - 41 9 2 6 1
1 9 2 6
1 1997
1 , 8 2 8 . 3 3 1 9 2 6 1
1 9 9 7 5 , 5 1 9 . 9 7 9 - 4
9-59-8

9 - 4 1 9 2 61 9 9 7 1
R t
t 1T 1+Rt
(1+ R1 ) (1+ R2 ) (1+
R t ) (1+ RT )

11 59 1

(1+ R1 ) (1+ R2 ) (1+ R3 ) = ($1 + 0.11) ($1 0.05) ($1+ 0.09)
= ($1.11) ($0.95) ($1.09)
= $1.15

0 . 1 51 5
1 5 ( h o l d i n g -
period return)9 - 1 1 9 2 61 9 9 7

()

9-5
Stocks, Bonds, Bills and Inflation: 1998 Ye a r b o o k T M Chicago: Ibbotson Associates. All
rights reserved.
()

9-6
Stocks, Bonds, Bills and Inflation: 1998 YearbookTM Chicago: Ibbotson Associaties. All rights reserved.
 9 171

()

a)
()

b)

9-7
a) b)

Stocks, Bonds, Bills and Inflation: 1998 Ye a r b o o k T M Chicago: Ibbotson Associaties . A l l

rights reserved.
 172

9-1 1926~1997

 9 173

()

Stocks, Bonds, Bills and Inflation: 1998 Ye a r b o o k T M Chicago: Ibbotson Associates. All
rights Reserved.

()

9-8
Stocks, Bonds, Bills and Inflation: 1998 Ye a r b o o k T M Chicago: IbbotsonAssociaties. All
rights reserved
 174

9.3




1 9 2 61 9 9 7

9 - 9 9 - 1
(feequency distribution)

9-9 1926~1997
9 - 9


Stocks, Bonds, Bills and Inflation: 1998 Ye a r b o o k T M Chicago: Ibbotson Associates . All
rights reserved.

9 - 9 ( a v e r a g e )( m e a n )
T
72 T = 72R R

( R1 + R2 + ... + RT )
R=
T
1926~199772 13.0
 9 175

9-2
9-11926~1929 0.116 20.374 90.436 10.084 2

0 . 1 1 6 2 + 0 . 3 7 4 9 + 0 . 04.30 68 41 2-
R= = 0.210 8
4

9.4








[6]
9-2 19261997()

13.0 9.2 20.3

17.7 13.9 33.9

6.1 2.3 8.7

5.6 1.8 9.2

5.4 1.6 5.7

3.8 3.2

3.2 4.5

90 0 90

Stocks, Bonds, Bills and Inflation: 1998 YearbookTM Chicago: Ibbotson AssociatesAll rights reserved.

[6] 90
 176

(risk premium)
9-21926~1997
9.213.03.8




1 0
9 - 1


9 - 2

9.5

9 - 9
[7]

9.5.1
(variance) (standard deviation)
Var 2 SD

9-3
9-11926~1929 0.116 20.374 90.436 10.084 2

1
Var = ( R1 R )2 + ( R2 R ) 2 + ( R3 R )2 + (R4 R )2
T-1
[ ( 0 . 1 1 6 2 0 . 2 1 0 82)+ (0.374 9 0 . 2 1 0 82)+ (0.4361 0 . 2 1 0 82)+ ( 0.084 2 0.2108)2
=
4 1
= 0.057 9
SD = 0.057 9 = 0.2406( 24.06%)

R 1R 2R . . .R T )
R T1

9 - 11 9 2 61 9 9 77 2 2 0 . 3

[7] 9-2
 9 177

9.5.2
(normal distribution)
9 - 1 0 9 - 8
[8]
1,0009-9

68.26

95.44
99.74
3 2 1 0 +1 +2 +3
47.9 27.6 7.3 13.0 33.3 53.6 73.9

9-10
6 8 . 2 6
7.3+33.3 68.26
9 5 . 4 4
27.6+53.695.44
9 9 . 7 4
47.9+73.999.74

6 82 / 3
95
1 9 2 61 9 9 7 2 0 . 3
1 3
2 0 . 3 2 / 3 2 / 3
7 . 31 3 . 02 0 . 3+ 3 3 . 31 3 . 0 + 20.3
95 95 27.613.0
220.3+53.613.0 + 220.3
9 - 1 0
9 - 9

[8] Semivariance


 178

7 2
13.0

9.6
1. 20

2.

()

1.
Ibbotson, Roger G., and Rex A. Sinquefield. Stocks, Bonds, Bills and Inflation : 1 9 9 8
YearbookTM, Chicago: Ibbotson Associates.
2.
Blume, M. Unbiased Estimates of Long Run Expected Rates of Returns. Journal of the
American Statistical Association, September 1974.
Merton, R. C. On Estimating the Expected Raturns on the Market: An Exploratory
Investigation. Journal of Financial Economics 8 (December 1980).
3.
Fama E. F. The Behavior of Common Stock Prices.Journal of Business January 1965.

1.
2.
3.
4.
5. 19261997
6.
7.
8. 5 0 0T E D 3 7 1 , 0 0 0
TED 38
a.
b.
c.
 9 179

d.
9. Ly d i a n 5 2
, 5.5
5 4 . 7 5

10. 6 . 2 Ibbotson Sinquefield 1 9 2 61 9 9 7
3 . 8 1 3 . 0

11. 7

7 32.4 11.2
6 4.9 14.7
5 21.4 10.5
4 22.5 8.8
3 6.3 9.9
2 32.2 7.7
1 18.5 6.2

a.
b.
c.
12. 60 20
2 0 5
8
15
a.
b.
13. 40 30
3 0 2
5
10
a.
b.
14. 5 Trebli

0.12 0.23 0.12

0.40 0.18 0.09
0.25 0.15 0.05
0.15 0.09 0.01
0.08 0.03 0.02

a.
 180

b.

9A
9


1 9 8 5M e h r aP r e s c o t t
[9]
Mehra
P r e s c o t t




M e h r aP r e s c o t t
Jeremy Seigel 9A-1
1 9 2 61 9 9 7 9 . 2 1 8 0 21 8 7 0
1.419711925 4.4[10] 200
1 9 2 6

9A-1

18021879 18711925 19261997 18021997

() 6.8 8.5 13.0 9.6

() 5.4 4.1 3.8 4.4
() 1.4 4.4 9.2 5.1

[9] Rajnish Mehra and Edward C. Prescott, The Equity Premium: A Puzzle, Journal of Monetary Economics 15
(1985), pp. 145-61.
[10] Jeremy J. Seigel, Stocks for the Long Run (Burr Ridge, III.: Richard D. Irwin, 1994).


10








12

10.1

(1)



(2)

(3)

10.2
10.2.1

( S u p e r t e c h )
(Slowpoke)
 182

R A t() RB t()

20 5
10 20
30 12
50 9

10-1
(1)

0.2 + 0.10 + 0.30 + 0.50
RA = = 0.175 = 17.5%
4

0.05 + 0.20 0.12 + 0.09
RB = = 0.055 = 5.5%
4

(2) 10-1
(3)


10-1
(4) [1]

0.140 625 + 0 . 0 0 5 6 2 5+ 0.105 625+ 0 . 1 0 5 6 2 5

Var( RA ) = = = 0.066875
2
A
4

0.000 025+ 0 . 0 2 1 0 2 5+ 0.030625+ 0 . 0 0 1 2 2 5
Var( RB ) = = = 0.013225
2
B
4
(5)

A = 0.066875= 0.258 6 = 25.86%

B = 0.013225= 0 . 1 1 5 0= 11.50%

Var( R) = = (R R )
2 2

[1]
N1N
41=349.5N1

N1N
 10 183

R
R
10-1

( RAt R A )
2
RAt ( RAt R A )

0.20 0.375 0.140 625

0.10 0.075 0.005 625
0.30 0.125 0.015 625
0.50 0.325 0.105 625
0 0.267 500

(RBt R B )
2
RBt ( RBt R B )

0.05 0.005 0.000 025

0.20 0.145 0.021 025
0.12 0.175 0.030 625
0.09 0.035 0.001 225
0.052 900
2
: R A =17.5 A
=0.066 875SD(R A )= =0.258 6=25.86
A

2
R B =5.5 B
=0.013 225SD(R B)= B
=0.115 0=1 1.50

99 . 5

SD(R) = = Var( R)

10.2.2


(covariance) (correlation)

10-1

RA = 17.5% = 0.066 875 SD(R A ) = = 0 . 2 5 8 6= 25.86%
2
A A

= 0.013225
2
RB = 5.5% B SD(R B ) = B = 0 . 1 1 5 0= 11.50%
 184

()


(1)

(10-1)
( RAt RA )(R Bt R B )

RAt
RA
RBt
RB
(2) ( 1 0 - 2 )
( )( ) [2]
0 . 0 1 9 5
AB = Cov(R A, RB ) = = 0.004 875
4
10-2

RAt ( RAt RA ) RBt ( RBt RB ) ( RAt RA )(R Bt R B )

0.20 0.375 0.05 0.005 0.001 875

0.10 0.075 0.20 0.145 0.010 875
0.30 0.125 0.12 0.175 0.021875
0.50 0.325 0.09 0.035 0.011 375
0.70 0.22 0.019 500

0.0195
= Cov( RA , R B ) = = 0.004 875
AB
4

Cov( R A , R B ) 0.004875
= Corr( R A , R B ) = = = 0 . 1 6 3 9
AB SD(R A ) SD( RB ) 0.258 6 0.1150

()


(10-1)

[2] 4N=4
N1=3
 10 185

AB
= Cov(R A , R B ) = [(R A R A )(R B R B )]
= [(R A R A )(R B R B )]

AB BA

AB = BA = Cov(R A , R B ) = Cov( RB , R A )

0.004 875



(3)

Cov( R A , R B ) 0 . 0 0 4 8 7 5
= Corr( RA , RB ) = = = 0 . 1 6 3 9 (10-2)
AB
A
B
0 . 2 5 8 6 0 . 1 1 5 0

A
B

AB

10-1
 186

, AB B
A
AB = BA = Corr(R A , RB ) = Corr(R B, RA )

11
(General Motor)
(Ford) IBM

1 0 - 1 AB 1 0 - 1
110

10.3

( p o r t f o l i o )

1.
2.

10.3.1

10-2
(A) (B)

RA 0.175=17.5

RB 0.055 = 5.5

A 0.066 875
2
B 0.013 225
A 0.258 6=25.86
B 0.115 0=1 1.50
Cov( RA , RB ) 0.004 875
AB 0.1639

= R p = X A R A + X B R B (10-3)

XA
XB (XA + XB)=1=100
 10 187

()

RA
RB
1006040

= Rp = 0.6 17.5% + 0.4 5.5% = 12.7%

10
1 0

10.3.2
AB

Var() = X A2 + 2X A X B + XB
2 2 2
A AB B (10-4)
2
A A A
2
B AB B( B )








10060
XA = 0.6 40 XB = 0.4

Var() = X A + 2X A X B + X 2A
2 2 2
A AB A

= 0.36 0.066875+ 2 [0.6 0.4 (0.004875)]

+ 0.16 0 . 0 1 3 2 2 5
= 0.023851

(10-4)

XA2 2
A XA X B
AB
0.36 0 . 0 6 6 8 7 5= 0.024 075 0.6 0.4 (0 . 0 0 4 8 7 5=) 0.00117
XA X B AB X 2B 2
B

0.6 0.4 (0 . 0 0 4 8 7 5 =) 0.00117 0.16 0 . 0 1 3 2 2 5= 0.002116

2
 188

(10-4)

p
=SD()= Var ()
(10-5)
= 0 . 0 2 3 8 5 1= 0 . 1 5 4 4= 15.44%

1 2 . 7 2 . 7 4 1 ( 1 2 . 7
1 5 . 4 4) + 2 8 . 1 4 1 ( 1 2 . 7
+ 15.44) [3] 2 . 7 4~ + 2 8 . 1 4
68

AB

= X A A + X B B
(10-6)
= 0.6 0 . 2 5 8 6+ 0.4 0.115 = 0 . 2 0 1 2
( 1 0 - 5 )( 1 0 - 6 )





( A B=
0.163 9)




(10-4)
[4]
Cov( RA , RB ) = AB = AB A B (10-7)

AB
( 1 ) ( 2 )

A B=0.163 9
A = 0.258 6 B = 0.115 0
Var() = X A2 2
A + 2 X A XB AB A B + X B2 2
B

= 0.36 0 . 0 6 6 8 7 5 +20.6 0.4 (-0.1639) 0 . 2 5 8 6 0 . 1 1 5 0 + 0 . 160 . 0 1 3 2 2 5 (10-8)

=0.023851

[3]

[4] AB= BA
 10 189

( AB) ( AB)
AB = +1(10-8)
Var( ) = X 2 2
+ 2 X A XB + X B2 2
A A AB A B B

= 0.36 0 . 0 6 6 8 7 5 +2(0.6 0.4 1 0 . 2 5 8 6 0 . 1 1 5 ) + 0 . 1 60.013225

= 0 . 0 4 0466

SD( ) = 0.040 466 = 0.2012 = 20.12% (10-9)

( 1 0 - 9 )( 1 0 - 6 ) A B= +1
(10-8)
1

AB
< 1

1 A B < 1


1


1
1 0 - 3 1 0 5 0 0
1 0 - 3 5 0 0


10-3 10 500

()

500 15.02
(Bell Atlantic) 18.73
(Chrysler Corp.) 37.70
(Coca-Cola Co.) 20.02
(Walt Disney Co.) 28.33
(General Electric) 21.21
(IBM) 25.00
(McDonald's Corp.) 21.78
(SearsRoebuck & Co.) 26.88
R(Toys R Us Inc.) 28.48
(Westinghouse Electric Corp.) 28.83

10.4
1 0 - 2
1 0 - 2

 190

()

()

10-2 6040

6 0 4 0


60 40
10-3
1 1 0 9 0

( 1 0 0 ) 2 5 0 5 0
3 90 10

(%)
XC=60
X C=40

MV

(%)

10-3 ( AB
=0.163 9)
 10 191

10-3110 90 AB=0.163 9)250

50 ( AB=0.163 9)390 10
( AB=0.163 9)1 10 90 ( AB= + 1)
MV
10-3
(1) 1
( A B) 0.163 9 1 0 - 3

( A B)1 1 0 - 3
1 1 10
9 0 ( A B)= 1
1 1
1 1 1 0 - 3
2233
10-3 AB=0.163 9
AB= 1 AB=0.163 9

(2) M V

10-3
(3) 1 0 - 3
(opportunity set)feasible set)





3
2
MV
(4) MV

( )



AB0 AB> 0


(5)
1
1

( e fficient set)
(efficient frontier)
 192

10-3 AB=0.163 9 10-4

1 0 - 4
1 1

[5]

0.163 91 0 - 3

1 0 - 4




1 0 - 4

()
=1
=0.163 9
=0

=0.5
=1

()

10-4

1 0 - 5

0.173 0.222


8 0
2 0

1 0 - 5

[5]

 10 193

2 5

()

0.2

0.18 100
10
0.16 2080
30
40
0.14 50
60
0.12 70
8050
0.10
50

0.08 100

0.06
()

10-5 -

10.5


1 0 - 6
1 0 0
1 0 - 61 4 0 2 8 0 3
8 0 8 0





[6]
1 0 - 6

M VX
1 0 - 6 M VX
R
WW R WR
W

[6]

 194

()
X

MV

()

10-6

1 0 - 6 1 0 - 3 1 0 - 3 M V
1 0 - 6 M VX
1 0 - 6 1 0 - 3
10-6

1 0 0
500
100 5,000
50 [7]

10-4 N1N
1N NN = N 2
23
X 2 X 3 Cov( R2 , R3 )

X 2X 3 2 3
1,000 100 2 X2 = 10 Cov(R2 , R3)2
3 C o v (R2 , R3)= Cov(R3 , R2) 23 3

[7] Harry MarkowitzNew YorkJohn Wiley & Sons1959

1990
 10 195

2
X 2 X 3 Cov( R2 , R3 ) = X 3 X 2 Cov( R3 , R 2 )

2 3 1 0 - 4 2

1 X12 12 12 1

10-4
1 2 3 ... N

1 2 2 X1 X 2Cov( R1 , R
2) X1 X 3Cov( R1 , R) X 1 X N Cov(R1 , RN )
X1 1
3

2 2
2 X2 X1Cov( R2 , R
)
1 X2 2 X2 X3 Cov( R2 , R
3)
X2 X N Cov(R2 , R
N)

2 2
3 X3 X1Cov( R3 , R
1) X3 X2 Cov( R3 , R
2) X3 3
X3 XN Cov( R3 , R
N)

... ...
2 2
X N X1 Cov( RN , R X N X 2 Cov(R N , R
2) X N X 3Cov( RN , R
3)
XN
1)
N
N

10-5


100 1009,900

10-5

1 1 1 0
2 4 2 2
3 9 3 6
10 100 10 90
100 10,000 100 9,900
. . . .
. . . .
. . . .
N N2 N N 2 N

10.6
10-4
(1) Var

Var =
2
i
 196

(2) 10-4 Cov

Cov = Cov( Ri , R j )

Cov < Var

(3) N
1 / N Xi = 1 / N
1 0 - 6
1 0 - 4
1 0 - 6 N N(N1 )
10-6

= N (1/ N 2 )Var + N ( N 1) (1/ N 2 )Cov

= (1/ N )Var + [(N N ) /N ]Cov
2 2
(10-10)
= (1/ N )Var + [1 (1/ N )]Cov

( 1 0 - 1 0 )
[8]

( N ) = Cov (11-11)

N ( 1 ) ( 1 /N)
(2) [1(1/N )]1
10-6

1 2 3 ... N

1 2
(1/ N )Var
2
(1/ N )Cov
2
(1/ N )Cov
2
(1/ N )Cov
2 2 2 2
2 (1/ N )Cov (1/ N )Var (1/ N )Cov (1/ N )Cov
3 2
(1/ N )Cov
2
(1/ N )Cov
2
(1/ N )Var
2
(1/ N )Cov
... ...
2 2 2 2
N (1/ N )Cov (1/ N )Cov (1/ N )Cov (1/ N )Var

( 1 0 - 11 )
Cov





1 , 0 0 0
1,000
2,000 1,000

[8] 10-101/N[ 1 1/N] = 1

 10 197

1 , 0 0 0 1 5 0
1,000 1,000
1 0 - 7


Cov


Cov



30 [9]

Var

Car

10-7
(1) (2) (3)

Cov

Var Cov

Var = Cov + Var Cov

( S y s t e m a t i c
r i s k ) (market risk)
( diversifiable risk) (unsystematic risk)
(unique risk)

[9] Meir Statman, How Many Stocks Make a Diversified Portfolio? Journal of Financial and Quantitative Analysis
(September 1987).
 198

(risk averse)




5 , 0 0 0





5 05 0 7 03 0

10.7
10-6

10-3
( M e r v i l l e )

() 14 10

0.20 0

1 , 0 0 0 3 5 0 6 5 0

(10-12)
= (0.350.14)+(0.650.10 )= 11.4

 10 199

()

(10-3)
(10-4)

= X2 2

+2XX
+ X2X 2

= X2 2

= (0.35) 2(0.20)2 = 0.004 9 (10-13)

= X
= (0.35) (0.20) = 0.07 (10-14)

1 0 - 8
3 5 6 5


2 0 0 1 , 0 0 0
1,200

= 1.200.14 +(0.20.10 )= 14.8

2 0 1 , 0 0 0 1 2 0
1 4 . 8 1 4 1 0
10

= X = (0.2)(1.2) = 0.24

0 . 2 4
0.2 10-8
[10]
1 0 - 8

1 0 - 9 1 0 - 9
Q Q3 0
( AT&T), 45 ( G M )2 5 ( I B M )
(Q) (RF) RFQ
I
I 17 0 7 0 3 0
Q 1 0 0 1 7 0

[10]


 200

3 0 Q 7 0
9( 3 03 0) AT & T1 3 . 5( 4 53 0) G M7 . 5 ( 2 5
30)IBMI265 ()Q 35

()

120
20

RF=10

35
75

()

10-8

()
II(CARM)

Y
A

Q
1
RF
X
35RF 40RF

65Q 140Q
70RF

30Q
()

10-9
Q30AT&T45GM25IBM

3 Q 1 0 0
4 0 1 4 0 Q 4 2
( 3 01 4 0) AT & T6 3( 4 51 4 0) G M3 5( 2 51 4 0)
IBM 265 ()Q35
 10 201

Q 1 2

AT&T $30 $9 $42

GM 45 13.50 63
IBM 25 7.50 35
0 70.00 40
$100 $100 $100

I I
I I R FA A
I I A RF
AA
A A
I I I
II I II
II
I I (Capital Market Line)

RFA 4 A
A 5 A
1 0 - 9
A (
X AY)

A
(separation principle)

(1)
1 0 - 9 X AY A
RF X AY A


(2) (A)
RFA
A
I I A

10.8
10.8.1


 202

(homogeneous expectations)


1 0 - 9

X AY A

A A
A 4
(A)
5

(market portfolio)
500

10.8.2



( )

10-4
(Jelco)

() ()

I 15 25

II 15 15

III 5 5

IV 5 15

155


 10 203

()

(%)

15 20% = 25%1/2 + 15%1/2

5 10% =5%1/2 + (15%1/2)

20[15(5)]
3 0 [ 2 0(1 0) ]
1.530/20

()

(20, 15)

1.5

()

(10, 5)

10-10

1 0 - 1 0
4
2
2 ( c h a r a c t e r i s t i c
line)(Characteristic Line of the Security) 1 . 5
1.5 (beta)
1 0 - 1 0
1 . 5

1 . 5
1




 204

10-7

(Bank of America) 1.55
(Borland International) 2.35
(TravelersInc.) 1.65

(Du Pont) 1.00
-(Kimberly-Clark Corp.) 0.90
(Microsoft) 1.05

(Green Mountain Power) 0.55
(Homestake Mining) 0.20
(Oracle, Inc.) 0.49

: 500

1 0 - 7
5 0 0
1 . 6 5 1
1.65 0.55
1 0 . 5 5

10.8.3

Cov( Ri , R M ) (10-15)
i = 2
(R M )

Cov(RiRm) i
2(RM)

1
N

X
i =1
i i
=1 (i=1,2,3,...N) (10-16)

Xi
( 1 0 - 1 6 )
1
1 1

10.8.4

 10 205

(1) ( )
(2)

( )

10.9

10.9.1

RM = RF+


RF


9 - 2
I b b o t s o nS i n q u e f i e l d 1 9 2 61 9 9 7 1 3 . 0
3 . 8 9 . 2( 1 3 . 03 . 8)


4.0 13.2

13.2 = 4.0 + 9.2

10.9.2



10-11

[11]

[11] (John Lintner) F. (William F. Sharpe)

 206

Ri = RF + (RM RF )
(10-17)
= +

()Ri
SML

10-11

(capital-asset-pricing modelC A P M )

( RM RF )

(1) =0 Ri = RF


(2) =1 Ri = RM
1

( 1 0 - 1 7 ) 1 0 - 11 = 1 R F
RM (security market lineSML)
RF
[R M RF ]


7 2 9 . 2

10-5
( A a r d v a r k ) 1 . 5 ( z e b r a ) 0 . 7
7 9 . 2

= 7 + 1.5 9.2 = 20.80 (10-18)

= 7 + 0.7 9.2 = 13.44

(CAPM)
 10 207

(1)

( 1 0 - 1 7 )1 0 - 11

1 0 - 11 S
0 . 8
2 0 8 0 1 S

S S
T 1
1 T
T
S T






(2) (CAPM)
10-11 (10-17)

0.520.8 + 0.5 13.44 = 17.12 (10-19)

0.51.5 + 0.50.7 = 1.1

, 17.12,

7 + 1.1 9.2 = 17.12 (10-20)

( 1 0 - 1 9 ) ( 1 0 - 2 0 )

(3) 10-11 (SML)10-9
(CML)

A
A
1 0 - 9 1 0 - 9

1 0 - 11
1 0 - 11 1 0 - 9
10-11 (SML)
10-9 (CML)
 208

10.10

1.
AB

= Rp = X A RA + X B RB

+ 2X A X B + XB
2 2 2 2
= Var()= X A A AB B

2. X X



3. 22 N
NN



4.
1 0 - 9 A

5.


6. ( C A P M )

Ri = RF + (RM RF )

(CAPM)
(CML) ()

(SML)
( ) ()
( )

1.
L i n t n e rJ. Security PricesRisk and Maximal Gains from Diversification.Journal of
Finance(December 1965).
S h a r p eW. F.Capital Asset PricesA Theory of Market Equilibrium under Conditions of
Risk. Journal of Finance(September 1964).(William F. Sharpe won the Nobel Prize in Economics
in 1990 for his development of CAPM.)
 10 209

2. :
M a r k o w i t z H . Travels along the Efficient Frontier. Dow Jones Asset
Management(May/June 1977).

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11. (SML)
12. (CAPM)
13. (CML) (SML)
14. Q-

() Q- ()

10 4.5
20 4.4
50 12.0
20 20.7

(a) Q- ?
(b) Q- ?
15. 120 (Altlas) (Babcock)
50 20
16. FG F 1 2 9 G
18 25
(a) 30F70G
(b) FG 0.2
17.

1 1 1

1 0.10 0.25 0.25 0.10

2 0.40 0.20 0.15 0.15
3 0.40 0.15 0.20 0.20
4 0.10 0.10 0.10 0.25

(a) ?
(b) ?
(c) 50 1,50 2,

 210

(d) 5 0 1 , 5 0 3 ,
?
(e) 5 0 2 , 5 0 3 ,

(f) (a)(c)(d)(e) ?
18. AB A 15 40
1 0 6 0 B 3 5 5 0 5
50
(a)

(b) 5 0 A5 0 B

19.
0.001

A 0.05 0.10
B 0.10 0.20

(a) (: X A
XB 1)
(b) 0.02
(c) 0.02 ?
20. 7.5 3.7 (TriStar Textile)
14.2
21.

()

(Murck Pharmacy) 1.4 25

(Pizer Drug) 0.7 14

(CAPM) ,CAPM
22. (Durham)
=0.043 26 =0.063 5
=9.4 =4.9
(a) (SML)
(b) ?
23. 3 0 , 0 0 0 4 ( ) 4
15

A $5,000 0.75
B 10,000 1.10
C 8,000 1.36
D 7,000 1.88

(a) CAPM
 10 211

(b)
24. 3

Ri i iM i

A 0.13 0.12 (?) 0.90

B 0.16 (?) 0.40 1.10
C 0.25 0.24 0.75 (?)
0.15 0.10 (?) (?)
0.05 (?) (?) (?)

CAPM
(a)
(b) 3
(c)
25. AB A 50
A 4 0 A 5 5
A 60
0.10.80.1A
CAPM, :
SD(R M ) = 0.1 RB ) = 0.12
SD( RB = 0.09
Corr( RA , RM ) = 0 . 8 C o rRr (B , RM ) = 0 . 2 r (A , RB ) = 0.6
CorR

(a)
(b) 70A30B
(c) (b)

10A
( C A P M ) C A P M

1 2
CAPM
CAPM
C A P M 2 5 C A P M 3 0 ~ 6 0
[12]

C A P M C A P M [13]

CAPM
1 0 C A P M
C A P M 1 9 7 3 ( F a m a ) ( J a m e s

[12] (1) Fischer. Black, Michael C. Jensen, and Myron S. Scholes,The Capital Asset
Pricing Model: Some Empirical Tests, M. Jensen Studies in the Theory of Capital Markets (New York,
Praeger, 1972) (2) Eugene F. Fama and James MacBeth,Risk, Return and Equilibrium: Some Empirical
Tests, Journal of Political Economy 8 (1973), pp.607-36.
[13] CAPM
 212

M a c B e t h ) C A P M ( F a m a ) ( F r e n c h )
[14] C A P M

1 9 4 11 9 9 0
1 9 6 31 9 9 0
( P / E ) ( M / B )
CAPM CAPM
(P/E) (M/B)


C A P M
5 0 C A P M
(P/E) (M/B) [15],
( P / E ) ( M / B ) 2
(P/E)(M/B)
1 9 2 7

[16]

[14] (1) Eugene F. Fama and Kenneth R. French,The Cross-Section of Expected Stock Returns, Journal of
Finance, 47(1992), pp.427-66. (2) Eugen F. Fama and Kenneth R. French,Common Risk Factors in the Returns on
Stocks and Bonds, Journal of Financial Economics, 17(1993), pp.3-56.
[15] (1) William J. Breen and Robert A. Koraczyk, On Selection Biases in Book-to Market Based Tests of Asset
Pricing Models, ()Northwestern University, Nov., 1993. (2) S.P. Kothari, Jay Shanken, and Richard G.
Sloan, Another Look at the Cross-Section of Expected Stock Returns,Journal of Finance (March 1995).
[16] KothariShanken and Sloan


11






C A P M

6 0 [1]
Arbitrage Pricing Theory 70 [2]
[3]

11.1



Flyers

[1] Jack TreynorToward a Theory of the Market Value of Risky Assets William F.
S h a r p eCapital Asset PricesA Theory of Market Equilibrium under Conditions of Risk Journal of
F i n a n c eSeptember 1964 John LintnerThe Valuation of Risky Investments in Stock Portfolios and
Capital BudgetsReview of Economics and StatisticsFebruary 1965.
[2] Stephen A. RossThe Arbitrage Theory of Capital Asset Pricing Journal of Economic Theory
December 1976.
[3] CAPM
APT

 214

1
2 GNP
3
4
5
6
7

R = R +U
R
R
U

G N P
G N P
R

U
G N P0 . 5 G N P
G N P R
G N P 0 . 5


1
1


G N P 1 . 5 1
1



= +
R
U
1 2

2 2
2 2


 11 215

11.2





G N P



1

2

G N P










R = R +U
= R +m+
m, m



F X e r o x X



Corr F X= 0

11.3



 216

(beta coeff i c i e n t )


C A P M















G N P

GNP
R = R +U
=R +m+e
=R+ I FI + GNP + FGNP + r Fr + e

I

GNP

r

FI
FGNP
Fr


5G N P 2

I =2 GNP =1 r = 1.8

 11 217

+ 1 1 1
- 1 1 1
+ 2 1 2
- 2 1 2

7GNP1
2 4
5 = 5



= 5GNP = 2 = 0


FI =
= -
= 75 = 2
FGNP = GNP
= GNP - GNP
= 1-2 =-1
Fr =
= -
= -2-0 =-2

m =
= I F I+ G N P F G N P + rF r
= (22) + [1(1)] + [(-1.8)(2)]
= 6.6


m+ = 6.6 + 5 = 11.6
R = 4
R= R +m+
= 4 + 6.6 + 5
= 15.6
(factor model) F
K
R= R + F +
1 1 2 F2 + 3 F3 + +K FK +

G N P


 218

5 0 0

R= R + (R 500- R 500)+
5 0 0 5 0 0

(market model)

R = R + ( RM R M ) +

RM
R M


R= + R M+
R - RM

11.4



N N
i
Ri = Ri + iF + i
11-1
iiFF
GNPR 500- R 500

i i
i i

ii

Ri = Ri + i

i i F i i
F F F i
i F F F

11 - 1 i> 0 R i- Ri F
11 - 1
= 0

i> 0 F F= 0
Y
 11 219

i
( Ri Ri )(%)
=1.5
i

i
=1.0

i
=0.5

F(%)

11-1

Xii 100
2 0 XG M= 2 0 X i
Xi 1001
X1 + X2 + X3 + + XN = 1

RP = X1 R1 + X2 R2 + X3 R3 + + XN RN 11-2
11 - 1 F i
11-1 11-2
RP = X1 R1 + 1
F+ 1
+ X2 R2 + 2
F+ 2
+ X3 R3 + 3
F + i+
(1) (2) (3)
+ XN RN + N
F+ N
11-3
N

(1) Ri
(2) F i F
(3) i
11-3
RP =
+ F
+
11-3
RP =X1 R1 + X2 R2 + X3 R3 +XN RN
+X1 1 + X2 2 + X3 3 ++ XN NF
+X11 + X2 2 + X3 3 ++ XN N 11-4
 220

F

11 - 4
F F
F
i

11 - 4


11 - 4
1 , 0 0 0 1
2 1 , 0 0 0
5 0
1,000





11 - 4



F
11 - 4


F

11-1

3
(1) 1 0 11 - 4
11-4 10
(2) 1 11 - 4
1 1F=F
(3)
1/N
 11 221

1 2 3

(11-4) (11-4) (11-4)

(11-5)

N 11 - 4 [4]


RP = 10 + F 11-6

11-2 F



F

11 - 2

2
p

N
11-2

11.5
11.5.1


[5]

[4] Va r [1 /N 1 +1 /N 2 +
1 /N 3 ++1 /N ] = Va r [1 /N 2
+1 /N 2
+1 /N 2
++1 /N 2 2
]= 1 /N 2N 2
N
2 2 2

2
N1/N 2

[5] Market Beta
Accounting Beta
BeaverKettler and Scholes1970Bildersee1975
 222

C A P M










11 - 3 S M L PCAL
R F ABC
A 2P 1
5 0 A 5 0 1P
A 35 10
50A50 22.5 [(10
+ 35) / 2] P P 5 0A 5 0
P

P 5 0A
50

C L CL P
P CAL

B
P A
B

()

11-3

11 - 3
 11 223

11 - 3 RFP
0P 1
R FP
RP

R = RF + ( R p RF ) 11-7

11.5.2
C A P M
A P T





500 34

()

11-4

11 - 4
111 - 411 - 3
11 - 3

R = RF + ( RM RF ) 11-8

RM
11-6 R

11.6
A P T

11.6.1
CAPM CAPM

 224

APT
A P T A P T

1
2
CAPM

11.6.2
A P T C A P M


A P T

R =RF+ R1 -RF 1+ R2 -RF 2+ R3 -RF 3++ RK -RF K

11-9

i i i= 123K)
i G N P 1
G N P Ri i 1
0
Ri -RF [6]
11 - 7




A P T I P
E I U I
U R P
U B R [ 7 ] 1 9 5 81 9 8 4
RS

RS = 0.004 1 + 0.013 6 IP
-0.000 1 EI
-0.000 6 UI
+0.007 2 URP
-0.005 2 UBR

IP
= 1 . 1 E I
= 2 . 0 UI
= 3 . 0 URP
= 0 . 1
UBR
=1.6
RS = 0.004 1 + 0.013 61.1-0.000 12.0-0.000 63.0 + 0.007 20.10.005 21.6
= 0.009 5 = 0.95

0 . 9 5
[1+0.9512-1] = 0.12 = 12
11 - 7
C A P MA P T

[6] i Ri RF
[7] :N. Chen, R. Roll, and S. Ross, Economic Forces and the Stock Market, Journal of Business (July 1986).
 11 225

C A P M
5 0 0 Ibbotson S i n q u e f i e l d
500 9.2 CAPM
[8]

11.7
11.7.1
C A P MA P T
C A P MA P T




(empirical methods)



s i z e

P / E M / B
P / E M / B

Ri = RF + kP/E(P/E)i+kM/B(M/B)i+ksize(size)P

Ri i
ki
11-7 11-7
ki 11-7

P / EM / B


4 0
S AT
A r i z o n a

[8] Richard RollA Critique of the Asset Pricing

Theory's Tests Journal of Financial EconomicsMarch 1977

 226

11.7.2


(growth stock portfolio)
(value portfolio)


5 0 0 5 0 0
( b e n c h m a r k )


5 0 0 5 0 0




2 5 2 5 2 5 2 5
25 25
M / B

11.8
C A P M
APT
1. A P T

 11 227

R=R + I
FI + GNP
F GNP + r
Fr+
IG N Pr F IF GNPF r

2.
R = R + F+
3.


4.
CAPM CAPM APT


5. P / E M / V

1. APT
Ross, S. A. ReturnRisk and Arbitrage.In Friend and Bicksler, eds., Risk and Return in
Finance. New York: Heath Lexington, 1974.
Ross. S. A. The Arbitrage Theory of Asset Pricing. Journal of Economic Theory
(December 1976).
2. APT
Bower, D. H.; R. S. Bower; and D. Logue. A Primer on Arbitrage Pricing Theory. Midland
Corporate Finance Journal (Fall 1984).
R o l lR., and S. Ross. The Arbitrage Pricing Theory Approach to Strategic Portfolio
Planning. Financial Analysts Journal (May/June 1984).
3.
Roll, R. Style Return Differentials: Illusions, Risk Premia, or Investment Opportunities. In
Fabozzi (ed.), Handbook of Equity Style Management. New Hope, PA: Frank Fabozzi Associates,
1995.

1.
2.
3.
4. idiosyncratic risk
5. GNP
6. k-
 228

7.
8.
9.
10. CAPM
11.

12.

13.

A 10.5 1.20
B 13.0 0.98
C 15.7 1.37
14.2 1.00

1
230 A45 B25 C
3 15
a
b
14. F F
1 0
1 0

i F
R1i = 0.10 + 1.5F+ 1i

1i i
i F
R2j = 0.10 + 0.5 F + 2j
2j j
ij 1i 2j 20
1 ij 0
ij 0

2 ij 0 . 9
ij 0 . 9

3 ij 0
ij 0 . 5

4

15.
 11 229

Rit = ERit+ i1
F1t+ i2
F2t
Riti t
F1tF2t 0 0
4

ERi t() 1 2

1 20 1.0 1.5
2 20 0.5 2.0
3 10 1.0 0.5
4 10 1.5 0.75

4
1 1 2 F1t
0 2
2 1 3 4
F1t 2
3 5 1 = 0 2 = 0



12

N P V 1 1
1
11 1
1
1 . 11 . 2 , 0 . 8 00 . 9 0

N P V


N P V C t
NPV
T

NPV = C0 +
Ct
t =1 (1+ r) t

NPV
T

NPV = C0 +
Ct
t =1 (1+ r) t

N P V C A P MA P T
SML
rs rs (cost of equity)

12.1






12-1

C A P M

12-1
R = RF + (RM RF )
 12 231

RF
( RM RF )
[1]

12-1

1 RF2( RM RF )3

12-1
QQuatram Company 1.3100 Q

Q 7 9.2

Q rs
rs = 7% + (9.2% 1.3)
= 7% + 11.96%
= 18.96%

1 2
18.96

12-2
Alpha Air Freight 1.21
9 . 2 5 1 2 - 1S M L

5 + 1.219.2=16.13

1 . 2 1

[1] k-APT11
 232

()

( )
16.13
NPV

A 1.21 $140 40 $20.6

B 1.21 120 20 3.3
C 1.21 110 10 5.3

100
1 6 . 1 3 ABN P V C
NPV AB12-2[2]

40 A (NPV=$20.6)

SML

20 B
(NPV=$3.3)
16.3

10 C (NPV=$5.3)
5

( )
1.21

12-2

(
)

[2] SML
Div1 Div2 Div
P P = + + + N N + (a)r

(1+ rs ) (1+ r ) 2 (1+ rs ) s
s

Div1 Div1
ga P = (b)(b) rs = + g c
rs g P
(c)rs Div1/P DiV1/Pg
SML SML

 12 233

12.2
, , ,
i,10 :

i = Cov( Ri , RM ) = i,M
2
Var( RM ) M

12-3
General Tool Company 5 0 0

RG () 500 RM ()

1 10 40
2 3 30
3 20 10
4 15 20

(1)

0.10 + 0.03 + 0.20 + 0.15
= 0.07(7%)
4

12-1
1 2 3 4 5 6 7
GT
GT GT

1 0.10 0.17 0.40 0.30 0.051 0.090

2 0.03 0.04 0.30 0.20 0.008 0.040
3 0.20 0.13 0.10 0.20 0.026 0.040
4 0.15 0.08 0.20 0.30 0.024 0.090
=0.07 =0.10 0.109 0.260

0.40 0.30 + 0.10 + 0.20
= 0.10(10%)
4

(2) 12-135
(3) 1 2 - 16

(4) 1 2 - 17 9

(5) 67
 234

()

0.051 + 0.008 + 0.026 + 0.024 = 0.109

0.090 + 0.040 + 0.040 + 0.090 = 0.260

(6) 6 7

0.109
0.419 =
0.260

Cov( Rit , RMt )

t=12T
Var(RMt )

12
3

12.2.1

1 2 - 3 5 0 0 1 0
12-1
)

12-3



10 1
12-3 11

12.3

12.2.2



1 2 - 4 45 5 0 0

 12 235

[3] 1 2 - 4 2 0

Coca-Cola versusS&P500 0.88 Philip MorrisS&P5001.69

Procter & GambleS&P5001.01 Sears, RoebuckS&P5001.29

12-3 45 5005

1976~1980 1981~1985
GES&P5001.10 GES&P500 1.04

1986~1990 1991~1995
GES&P500 1.14 GES&P5001.22

12-4 50045

[3]
 236

12.2.3

1 2 - 2
1.40 Cerner
1 . 4 4

1 . 4 0

Adobe Systems Inc.
6 9.2

6 + 2.47 9.2 = 28.72

6 + 1.409.2 = 18.88

[4]

12-2

2.47
BMC 0.95
2.35
1.44
1.09
1.58
0.39
1.52
ILT 1.16
1.05
0.49
2.45
1.46
0.55
2.01
1.40

[4]

 12 237

12.3

12.3.1




12-3 Sears

12.3.2
,
()

12-4
AB

A B

:$1,000/ :$2,000/

:$8/ :$6/

:$10/ :$10/

:$2($10$8) :$4($10$6)

A B B B
A B A
B B
B (operating leverage) [5]
12-5 A
A
1 0

[5]
EBIT

EBIT

EBITEBIT

 238

()
B
A 2
B 4 A 2
B 4 1 2 - 6 1 2 - 6
B

A B

12-5
A B BB

A B

12-6 EBIT
B A B B
A

12.3.3



 12 239

1 0 . 8 J e l c o
1 2 . 1
1 2 - 31 2 - 4
(equity beta)
(asset beta)







+ (12-2)

+ +

/ +






+ (12-3)

/+ 1
<

1+

[6]

12.4
12.4.1

12-5
D D RD . D . R o n n e l l e y


D D R

12-7

[6] 1+(1-TC) 17
 240

D D R


I B MD E CControl Data

SML

12-7
D D R

2 08 0

12.4.2
1 2 . 1

r B r S
rS
rB
S B
r + r
S+B S S+B B

S
S+B

B
S+B
 12 241

rS
rB
15

=rB1TC

TC

S B
= r + r (1 TC ) (12-4)
S + B s S +B B

(weighted average cost of capital, WACC)

12-6
4,0 0 0 6,0 0 0 3 0 0
2 0 1 5 1 . 4 1 3 4
SML 9.2 11 rWACC
1 2 - 4rWACC1 r B1TC2
rS3
(1) 15 9.9([1510.34])
(2) SML
rs = R F + (RM R F )
= 11% + 1.41 9.2%
= 23.97%

(3) 1 0 , 0 0 0
6040
rS2 3 . 9 7 rB1TC9 . 9B4 , 0 0 0 S6 , 0 0 0

B S
rWACC = r (1 Tc ) + r
B+S B S+B s
40 60
= 9.9% + 23.97% = 18.34%
100 100

1 2 3 4 5
()

$40,000,000 0.40 15(10.34)=9.9 3.96

60,000,000 0.60 11+1.419.2=23.97 14.38

$100,000,000 1.00 18.34

 242

()

12-7
- 0 . 6 1 5 . 1 5 2 0
34
- - B/S0 . 6 1 0 6
- 6 -
= 0.375
10 6 +10
= 0.625
6 + 10

S S
rWACC = rs + rB (1 Tc )
S+B S+B
= 0.625 20% + 0.375 15.15% 0.66
= 16.25%

5 , 0 0 0 6 1,2 0 0
NPV rWACC6 [7]

$12 $12
NPV = $50 + + ... +
(1+ rMACC ) (1+ rWACC )6
= $50 + $12 A06. 1 6 2 5
= $50 + (12 3.66)
= $6.07

r WACC N P V

12.5

1 2 - 3
(International Paper, IP)

12.5.1
1 2 - 3
0.83 0.82

0.82

[7] WACC J.MilesR.Ezzel1980

9
WACC
 12 243

12-3

0.74
0.41
BC 0.97
GPH 0.57
0.83
KC 0.90
1.14
0.85
0.97
0.82

9 9 . 2 8

RF + (R M RF ) = 8% + 0.82 9.2% = 15.54%

8 8 rB

12.5.2 r WACC
rS r B
-
32 -68 37 [8]

rWACC =
S
r +
B
r (1 Tc )
S + B s S + B B
= 0.68 15.54% + 0.32 8% (1 37%)
= 12.18%
1 2 . 1 8
12.18

12.6



1.


2.

3.
RF + ( RM RF )

RM

[8] Value Line Investment Survey

 244

RF
CAPM
4.

5.



6.


7. rWACC rWACC
S M L

1. WACC
Miles, J., and R. Ezzel.The Weighted Average Cost of Capital, Perfect Capital Markets and
Project Life: A Clarification. Journal of Financial and Quantitative Analysis 15(September 1980).
2.
Blume, M. On the Assessment of Risk. Journal of Finance (March 1971).
Sharpe, W., and G. Cooper. Risk-Return Classes of NYSE Common Stocks 1931-1967.
Financial Analysts Journal (March/April 1972).
3.
Rosenberg, B., and ARudd. The Corporate Uses of Beta. In Issues in Corporate Finance,
New York: Stern Stewart Putnam and Macklis, 1983.
4.
Copeland, T.; T, Koller; and J. Morrin. Valuation: Measuring and Managing the Value of
Companies. 2nd ed. New York: McKinsey & Company, Inc., 1994.

1.
2.
3.
4.
5.
6. MBC(Mercantile Bank Corporation)12
 12 245

MBC

0.009 0.023
0.051 0.058
0.001 0.020
0.045 0.050
0.085 0.071
0.000 0.012
0.080 0.075
0.020 0.050
0.125 0.120
0.110 0.049
0.100 0.030
0.040 0.028

1
2 MBC
7. MJ

RM RJ Prob(R M , R J)

0.16 0.16 0.10

0.16 0.18 0.06
0.16 0.22 0.04
0.18 0.18 0.12
0.18 0.20 0.36
0.18 0.22 0.12
0.20 0.18 0.02
0.20 0.20 0.04
0.20 0.22 0.04
0.20 0.24 0.10

(1) RJ
(2) RJ (a) (b) (c)
(3) RM
(4) RM (a) (b) (c)
(5) RJRM
(6) M J
8.

AlliedProducts, Inc. (FAA)

G P W S
GPWS1,000
U S C
GPWS
 246

()

4 , 2 0 0 G P W S
1,200 GPWS
1. G P W S 7 0 , 0 0 0 5 0 , 0 0 0

2. G P W S 3 5 , 0 0 0
22,000
G P W S
300
40 Value Line Investment Survey
6 . 2 0S & P 5 0 0
8 . 3 3
6.2- 50



12-4

0.15 350 0.15

0.45 250 0.10
0.30 150 0.06
0.10 50 0.03

1 2 - 4
FA A G P W S

12,500 GPWSFAA




G P W S M R C R S 2 0 0
5
GPWS GPWS
45

1. C A P M Excel L o t u s 1 - 2 - 3

2.


 248

1 3



1 4

1 51 6






1 7 1 2

1 8






13










1.
2.
3.

13.1




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








(1)
100 50
50 100


 250

(2)

13-1
(Vermont Electronics Company)
V E C
200 5 5
V E C 1 0 V E C

VEC 200 NPV

$100,000 $100,000 $100,000 $100,000 $2,100,000

NPV = $2,000,000 + + + +
1.1 (1.1)2 (1.1)3 (1.1) 4 (1.1) 5
= 2,000,000 $1,620,921
= $379,079

N P V V E C 3 7 9 , 0 7 9

(3)
(Merton Miller)
2 0
[1]


[2]

[1] Putable Bond

[2] M. Miller,Financial Innovation: The Last Twenty Years and the Next, Journal of Financial and Quantitative
Analysis (December 1986)Peter Tufano1995
1830Peter Tufano,Securities
Innovations: A Historical and Functional Perspective, Journal of Applied Corporate Finance (Winter 1995)
 13 251

[3]

13.2

(F-stop Camera Corporation)
2F C C

F C C F C C
F C C
FCC FCC
F C C
F C C F C C
F C C

FCC
FCC
FCC
FCC
FCC (EMH)
FCC
( e fficient-market hypothesisE M H )

(1)


(2)

[3] Peter Tufano199058

: Peter Tufano, Financial Innovation and First-
Mover Advantages, Journal of Financial Economics 25 (1990)
 252

1 0 0 3 0 0
5 , 0 0 0





[4]

13-2
I B M 3 0
IBM
1 3 - 1

3 0

()

13-1

[4] 10
 13 253

13-1

13.3

13.3.1



(weak-form eff i c i e n c y )

Pt = Pt-1 + + i (13-1)

( 1 3 - 1 )

(t1t)


(13-1) (random walk)





1 3 - 2



(technical analysis)



1 3 - 3( a )
A
B
 254

1 3 - 3( b ) C



(John Magee)
D (Robert Davis Edwards)
[5]

13-2

a) b)

13-3

13.3.2
( s e m i s t r o n g -
form efficiency) (strong-form efficiency)

[5] John Magee and Robert Davis Edwards, Technical Analysis of Stock Tre n d s, 6th ed., Stock Tr e n d s
Service ,1992
 13 255

1 3 - 4

13-4

 256

13.3.3





[6]


1 0
( S M L )

(
)

[6] B. G. Malkiel, A Random Walk Down Wall Street, 5th college ed. (New York: Norton, 1990).
 13 257

13.4

13.4.1
(13-1) 10
1 0



(serial correlation)














1 3 - 1
1 3 - 1 I B M


I B M


+ 11 1 3 - 1
0
13-1
13-1

Boeing Co. 0.037 88

- Bristol-Myers Squibb Co. 0.063 58
Chrysler Corp. 0.020 34
 258

()

Coca-Cola Co. 0.040 77

IBM Corporation 0.004 27
Philip Morris Companies Inc. 0.074 74
Procter & Gamble Co. 0.029 92
SearsRoebuck & Co. 0.046 21
Texaco Inc. 0.005 42
Westinghouse Electric Corp. 0.010 58

1 3 - 5a ) ( 1 3 - 1 ) a )



13-5b)b)
a )

a)

b)

13-5
a) b)

13.4.2

 13 259

(A R)
(A R) (R) (Rm) Rm
500

AR = RRm

(AR)

AR = R(+ Rm)

t

(tn) (ARt-n)

(t1) (ARt-)
(t) (ARt)
(t+1) (ARt+)

(t+n) (ARt+n)


t(ARt) t
t
t t



S T Z ( S z e w c z y kTs e t s e k o sand Zantout1997) [7]
1 3 - 6
(C A R)

13-6 t=0CAR (t=0) (t=1) [8]
C A R



[9]

[7] Samuel H. Szewczyk, George. P. Tsetsekos, and Zaher Z. Zantout, Do Dividend Omissions Signal Future
Earnings or Past Earnings, Journal of Investing (Spring 1997).
[8] t=1t=0
CARt=2
[9]
Barlow1992
Eli Barlow, Patterns in Unexpected Earnings as an Explanation for Post-
Announcement Drift, The Accounting Review (July 1992).
 260

()

13-6 (CAR)

( O r l a n d o ) ( F l o r i d a )

[10]


[11]




1 3 - 7 5 0 0 0( Wilshire 5000)
1 9 7 11 9 9 2 5 0 0 0
13-7 1971~19922215 5000

[10] R. Roll, Orange Juice and Weather, American Economic Review (December 1984).
[11] W. B. Johnson, R. P. Magee, N. J. Nagarajan, and H. A. Newman, An Analysis of the Stock Price Reaction
to Sudden Executive Deaths: Implications for the Managerial Labor Market, Journal of Accounting and Economics
(April 1985).
 13 261

1 3 - 7

GEFs





()

13-7 19711992 5000

(1) 9 - 41 9 2 6
(market capitalizations)
9 - 4 5
[12]
(Donald Keim) 5 [13]
(2)

[12] R. E. Banz, The Relationship between Return and Market Value of Common Stocks, Journal of Financial
Economics (March 1981). M.R. Reinganum, Misspecification of Capital Asset Pricing: Empirical Anomalies Based
on Earnings Yields and Market Value, Journal of Financial Economics (March 1983).
[13] Donald B. Keim, Sized-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence,
Journal of Financial Economics (June 1983).
 262

[14] 20
[15]





(3) ( )
( )
[16]
LSV(J. Lakonishok, A. Shleifer, and R. Vishny1994)
1 0 1 0
10 13-8
13-8
[17]

18.3
17.0 17.3

15.1 15.4
13.5
13.1
12.3
11.7
11.0

13-8

[14] M. R. Gibbons and P. Hess, Day of the Week Effects and Asset Returns, Journal of Business (1981).
[15] R. A. Ariel, A Monthly Effect on Stock Returns, Journal of Financial Economics (1987).
[16] E. F. Fama and K. R. French, The Cross Section of Expected Stock Returns, Journal of Finance (June
1992). E. F. Fama and K. R. French, Common Risk Factors in the Returns on Stocks and Bonds, Journal of
Financial Economics (February 1993). J. Lakonishok, A. Shleifer, and R. Vishny, Contrarian Investment,
Extrapolation and Risk, Journal of Finance (December 1994).
[17] S. P. Kothari, J. Shanken, and R. G. Sloan, Another Look at the Cross Section of Expected Stock Returns,
Journal of Finance (March 1995). W.J. Breen and Robert A. Korajczyk, On Selection Biases in Book-to-Market
Based Tests of Asset Pricing Models, Unpublished Paper, Northwest University (November 1993).
 13 263

1 9 8 71 01 9 2 02 5

1 9 2 9
1 7 8 9

(bubble theory)

1 7 1 8


[18]

13.4.3




( S E C )


[19]

13.5
13.5.1

( L I F O ) ( F I F O )



(U.S. Steel)

1961


F I F O L I F O

[18] B. G. Malkiel, A Random Walk Down Wall Street, College ed. (New York, 1975).
[19] J. Jaffe, Special Information and Insider Trading, Journal of Business (1974). J. E. Finnerty, Insiders
and Market Efficiency, Journal of Finance (1976). H. N. Seyhun, Insiders Profits, Costs of Trading and Market
Efficiency, Journal of Financial Economics (1986).
 264

( K a p l a n ) ( R o l l )
[20] (ITC)
[21]
( H o n g ) ( K a p l a n )
( M a n d e l k e r )
[22](Biddle)(Lindahl) LIFO
[23] L I F O
F I F O
L I F O

[24](Sloane)

= +

1 9 6 21 9 9 1
1 0

13.5.2






1 3 - 9

[20] R. S. Kaplan and R. Roll, Investor Evaluation of Accounting Information: Some Empirical Evidence,
Journal of Business 45 (April 1972).
[21] 198710%Investment Tax
Credit
[22] H. Hong, R. S. Kaplan, and G. Mandelker, Pooling vs. Purchase: The Effects of Accounting for Mergers on
Stock Prices, The Accounting Review 53 (1978).
[23] G. C. Biddle and F. W. Lindahl, Stock Price Reaction to LIFO Adoptions: The Association between Excess
Returns and LIFO Tax Savings, Journal of Accounting Research (1982).
[24] Richard G. Sloane, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future
Earnings? The Accounting Review (July 1996).
 13 265

13-9

(IPO)

a)

(SEO)
b)

13-10 IPOSEO

( L o u g h f r a n )
( R i t t e r ) [25] ( I P O ) 5

[25] T. Loughfran and J. R. Ritter, The Timing and Subsequent Performance of New Issue, Journal of Finance (1995).
 266

I P O 7
(SEO)
5 S E O 8
1 3 - 1 0( a ) I P O 1 3 - 1 0( b )
S E O


( I k e n b e r r y ) ( L a k o n i s h o k )
( Ve r m a e l e n )
[26]

13.5.3

( S c h o l e s )
[27]

(Keim) (Madhavan) 13-11 [28]
( N Y S E ) ( A M E )

()
1.80

3.66 1.86

n +n

13-11

[26] D. Ikenberry, J. Lakonishok, and T. Vermaelen, Market Underreaction to Open Market Share Repurchases,
Journal of Financial Economics (October - November 1995).
[27] M. Scholes, The Market for Securities: Substitution versus Price Pressure and the Effects of Information on
Share Prices, Journal of Business (April 1972).
[28] D. Keim and a. Madhavan, The Upstairs Market for Block Transactions: Analysis and Measurement of Price
Effects, Review of Financial Studies (Spring 1996).
 13 267

3 . 6 6
1 . 8 6 1 . 8
(3.661.86)
1 . 8
( 1 . 8 6)
1.86

13.6
1.


2.


3.


4.



5.


6.

7. 1 3 - 2

13-2

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

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

(1)
(2)
(3)
 268

()
(4)

(1) ()
(2)
(3)

8.
(1)
(2)
(3)
9.

1.
Fama. E. F. Efficient Capital Markets: A Review of Theory and Empirical Work,
Journal of Finance (May 1970).
Fama. E. F. Efficient Capital Markets: II, Journal of Finance (December 1991).
2.
Malkiel B. G. , A Random Walk Down Wall Street, College ed., New York: Norton, 1990.
3.
Ball, Ray, The Theory of Stock Market Efficiency: Accomplishments and Limitations,
Journal of Corporate Finance (Winter 1995).

1.
2.
3.
4.

5.
6.
7.
100
(1)
(2)
(a) 118 123
116
(b) 116
 13 269

(c) 116
8.



9.

?
10.
C A R 1 (
*)

(Delta) (United) (American)

7/12 0.3 0.5 2/8 0.9 1.1 10/1 0.5 0.3

7/13 0.0 0.2 2/9 1.0 1.1 10/2 0.4 0.6
7/16 0.5 0.7 2/10 0.4 0.2 10/3 1.1 1.1
7/17 0.5 0.3 2/11 0.6 0.8 10/6 0.1 0.3
7/18* 2.2 1.1 2/12* 0.3 0.1 10/7* 2.2 0.3
7/19 0.9 0.7 2/15 1.1 1.2 10/8 0.5 0.5
7/20 1.0 1.1 2/16 0.5 0.5 10/9 0.3 0.2
7/23 0.7 0.5 2/17 0.3 0.2 10/10 0.3 0.1
7/24 0.2 0.1 2/18 0.3 0.2 10/13 0.0 0.1

11. 4C A R

a) b)

c) d)

12. 1987

 270

1 3 - 1 2 1 9 6 9 1
1 9 8 8 1 8 9 1
7
1988 54.3 12.9
1 9 9 1 1 0
(Kenneth R. French) (James M. Poterba) (Journal of Financial
E c o n o m i c s)
1988 321 54.3
1 3 - 1 21 9 8 8 1 9 9 3
1 8 : 1 9 : 1 1 3 - 1 2 9 : 1
7 : 1 2 2 : 1
1 9 9 7 4 4
21

13-12 1969 1
Yasushi Hamao


14

14.1
(common stock)
14-1 AB(Anheuser Busch)

14.1.1


AB 1

AB 170,580=70,580
AB
(19961231)

11996 80,000
70,580 $70,580
92,920
692,450
$855,950
20,840 420,620
$435,330

14.1.2



1 9 9 6A B 8 0 , 0 0 0
7 0 , 5 8 0


(1)
 272

(2)

14.1.3
(capital surplus)

14-1
100 2 11 (10
2 1 0 0 = 8 1 0 0 = 8 0 0 2 1 0 0 = 2 0 0



A B 9 2 , 9 2 0 A B

14.1.4
A B
(retained earnings) 1 9 9 6 A B
692,450

(book value)

14-2
1906 Western Redwood Corporation 1
1 0 , 0 0 0 1
1 9 9 8 1 0 0 , 0 0 0
1998

199811

1 10,000 $10,000
0
100,000
$110,000
$110,000
= =$11
10 000

1 0 , 0 0 0
20

19981231

1 20,000 $20,000
190,000
100,000
$310,000
$310,000
= =$15.5
20 000
 14 273

()
?
(1) 10,000110,000
(2) 2010,000=200,000 190,000

(3)

14.1.5
1 9 9 6 A B 4 3 5 , 3 5 0
70,580 20,840
70,58020,840=49,740
435,330
= =8.75
49,740

AB New York Stock ExchangeNYSE

A B 3 8 4 3



2
/ QTobin's Q
/ Q 1

14.1.6

14-3
S m i t h 2 5 ( M a r c h a l l )7 5

(cumulative voting)


1 4 - 3 2 54 = 1 0 0 7 54 = 3 0 0

300
(straight voting)14-3
25 75




 274

(1)
(2)

( p r o x y )

A B






(1)
(2)
(3)

(4)

14.1.7

( d i v i d e n d s )


(1)


(2)

(3) I R S
7 0
30

14.1.8
B
4 0
15

H a r r y L i n d a
D e A n g e l o [1]

L e a s e ( M c C o n n e l l ) ( M i k k e l s o n )

[1] H. DeAngelo and L. DeAngelo, Managerial Ownership of Voting Rights: A Study of Public Corporations with
Dual Classes of Common Stock, Journal of Financial Economics 14 (1985).
 14 275

5 0 [2]

14.2

14.2.1

[3]




(1)

(2)




(3)

14.2.2
50

14.2.3
1 , 0 0 0 [4]


9 0 9 0 0 1 , 0 0 0

[2] R. C. Lease, J. J. McConnell, and W. H. Mikkelson, The Market Value of Control in Publicly Tr a d e d
Corporations, Journal of Financial Economics (April 1983).
[3]
[4] 1 0 , 0 0 0 2 5 , 0 0 0 5 , 0 0 0

 276

1 , 0 0 0 7 7 0
63 01 23 1 3 5

14.2.4


1 0

14.2.5




[5]

1 0 5
1 , 0 5 0
510

14.2.6
( s e n i o r i t y )
( s u b o r d i n a t e d )

14.2.7

14.2.8


(1)
(2)

[5] 10
 14 277

(1)
(2)
(3)

14-4
AB1996
:

19961995 5.35.9 $15,550

19972001(5.58.0) 9,500
1999 8.7 25,000
1999 5.1 26,240
2002 6.9 20,000
2003 6.75 20,000
2005 6.75 20,000
2005 7 10,000
2006 6.75 25,000
2009 9 35,000
2015 7.25 15,000
2023 7.375 20,000
2025 7 20,000
15,740
ESOP 31,540
3,390
$ 311,970

A B
1 5 , 5 5 0
A B 2 6 , 2 4 0 /

3 1 , 5 4 0 Employee Stock
Option PlanESOP

14.3
(preferred stock)

14.3.1
100
5 5

14.3.2



 278

(1)
(2)

14.3.3





7 0

Citibank 6

100 6(6/100)


7 0




a.

b. 70

14.3.4
a b
a b




(1)

(2)
a

(3)

 14 279

14.4
8 0
2 0 1 4 - 1 1 9 7 91 9 9 5
(internal financing)
14-1

14-1
Board of Governors of the Federal Reserve System, Flow of Funds Accounts.

 280

14-1 1979~1995 ()

1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995

84 80 66 86 65 64 78 72 67 70 71 76 87 72 84 76 80
16 20 34 14 35 36 22 28 33 30 29 24 13 28 16 24 20
100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100

79 65 66 80 74 71 83 77 79 80 79 77 97 86 84 72 67
21 35 34 20 26 29 17 23 21 20 21 23 3 14 16 28 33
18 31 37 18 20 45 36 41 37 46 45 36 -1 9 12 34 42
3 4 -3 2 6 -16 -19 -18 -16 -26 -24 -13 4 5 4 -6 -9

Board of Governors of the Federal Reserve System, Flow of funds Accounts.

14-1
(1) 2 0~ 9 0

(2)
199567 33100
6 7 4 2 9
33 14-2
(3)

80
(4) 1 4 - 2

14-2 19901994()

82.8 49.3 68.3 65.5 58.3 54.0

17.2 50.8 31.7 34.5 41.7 46.0
17.4 35.9 7.4 31.4 37.5 6.9
3.7 9.7 6.1 3.8 10.6
3.5 5.1 16.9 10.3 12.4

OECD 1995 edition, Financial Statements of Nonfinancial Enterprises.

Gordon Donaldson1 9 9 6
[6]
(1) NPV

(2)

(pecking order)

[6] G. G. Donaldson, Corporate Debt Capacity: A Study of Corporate Debt Policy and Determination of Corporate
Debt Capacity (Boston: Harvard Graduate School of Business Administration, 1961). S. C. Myers,
The Capital Structure Puzzle, Journal of Finance (July 1984).
 14 281

(100%) (100%)

80% (
) 67%

(
(

)
)
20%
33%33%

14-2 1995

14.5
1 9 8 41 9 9 0 1 9 9 3
8 0 9 0

1 4 - 3
8 0
1 4 -
4
1 9 8 01 9 9 4 3 5 0 6 0 0

 282

14-3 19791994

OECD data from the 1995 edition of Financial Statements of Nonfinancial Enterprises.

14-4 1980~1994 ()


 14 283

50

14.6


1.



2.

3.

4.
2 5

5. 8 0

K e s t e r, W. C. Capital and Ownership Structure: A Comparison of the United States and
Japanese Manufacturing Corporations. Financial Management (Spring 1986).
Taggart, R.Secular Patterns in the Financing of U.S. Corporations. In B. Freedman, ed.,
Corporate Capital Structure in the United States. Chicago: University of Chicago Press, 1985.

1.
2.
3.
4.
5.
6. ?
7. ?
8. ?
9.
 284

10.
11.
12.
13. Kerch Manufacturing

2 $ 135,430
203,145
2,370,025
$ 2,708,600

1
2
3
14. Eastern Spruce

1
500 1
$50,000
100,000
2

1
2 1,000 30



15


[1]




-

15.1
- (pie model)
1 5 - 1
V
VB+S 15-1
B S 1 5 - 1
4 0~ 6 06 0~ 4 0
-

40% 60 60 40

15-1

(1)

(2) -

[1]

 286

15.2

15-1
J . J . S ( J . J . S p r i n t ) 1 , 0 0 0 J . J . S 1 0 0
1 0 J . J . S
J . J . S 5 0 0 5



1 , 0 0 0 1 , 0 0 0 1 , 0 0 0
2 5 0
1 , 2 5 0 1 , 0 0 0 7 5 0

$ 0 $ 500 $ 500 $ 500

1,000 750 500 250
$1,000 $1,250 $1,600 $ 750

1 , 0 0 0





payoff

$250 $500 $750

500 500 500
$250 $ 0 $250

2 5 0
750 250 500 250
=250+500 250=1,2501,000
250
750250500
250= 750+500 250
=7501,000

0
 15 287

1 5 . 1

[2]

J.J.S 15.1 2

15.3
15.3.1




Trans Am
15-1 8,000 400
20 4,000 4,000
10
15-1 Trans Am

$8,000 $8,000
$0 $4,000
$8,000 $4,000
() 10 10
$20 $20
400 200

1 5 - 2
1 , 2 0 0 8 , 0 0 0 1 5= 1 , 2 0 0/ 8 , 0 0 0
1 5 3
=1,200/400 15
15-3 15-215-3
4 , 0 0 0 4 0 0
= 0 . 1 04 , 0 0 0 8 0 0 = 1 , 2 0 0 4 0 0
4 , 0 0 0 2 0 8 0 0 / 4 , 0 0 0 4
=800/200 08

[2]
 288

15-215-3 1,200
4 0 0

1 5 - 2
0 EPS0EPS EBI
4 , 0 0 0 E B I0E P S
400




15-2 Tran Am()

ROA() 5 15 25
$400 $1,200 $2,000
(ROE)=/() 5 15 25
(EPS) $1.00 $3.00 $5.00

15-3 Tran Am =4,000

ROA() 5 15 25
EBI $400 $1,200 $2,000
400 400 400
$0 $800 $1,600
ROE=/() 0 20 40
EPS 0 $4.00 $8.00

/
5

()
0
400 800 1,200 1,600 2,000 /

-1

-2

15-2 Tran Am EPS EBI

 15 289

800
800 2 800
8 0 0
800

15.3.2
15-215-315-2

Tras Am
E P S 4
EPS3 EPS(1
0) (
) ?
( M M )


M M (MM Proposition I) [3]
( A) ( B) 15-4
Trans Am
A100
15-4EPS
1001002,000
15-4 Trans Am

A 100

EPS15-3 $0 $4 $8
100 0 400 800
=100@$20/=$2,000
B

Tras Am $1200= $3200= $5200=

200 $200 $600 $1,000
$2,000 10% -200 -200 -200
$0 $400 $800
=200@$20/-$2,000=$2,000

B
(1) 2,000
(2) 2 , 0 0 0 2 , 0 0 0(4 , 0 0 0)

[3] 1958F.Modigliani and M.Miller: The Cost of Capital, Corporation Finance and the Theory
of Investment American Economic Review (June 1958)
 290

200 20
1 5 - 4 B B
2 0 0 6 0 0 1 0
2,000 200(=0.102,000)
400
0800

A 0 4 0 0 8 0 0 B
A
Trans Am

()
1 5 - 1 8 , 0 0 0
4 , 0 0 0 4 , 0 0 0 8 , 0 0 0
A B






AB
( M M )

MM()

M M



Tran Am

15.3.3
M M

?

6,0004,00010,000
9,0005,000=9,0004,000 [4]

[4]
 15 291

( ) ( 1 ) ( 2 )
[5]

( )

[6]

15.4 ()
15.4.1
Trans Am

1 5 - 21 5 - 3 1 5
20

1 5 - 21 5 - 3 4 0 0 ~ 2 , 0 0 0
15 0~8
EPS


1 5 - 2

()

15.4.2

1 5 2 0
M M (MM Proposition) M M

12 rWACC [7]
B S
r + r (15-2)
B+ S B B+ S S

rB
rS
rWACC
B
S
(15-2)

[5] 1 9 8 71 09 2 0 %

[6] 5 0 %
90%
[7] rB,12rB 1-TC
 292

(15-2) rWACC 15-5
15-5 Trans Am
B S
rWACC = r + r
B+S B B+S S
0 $8,000
15= 10 + 15
$8,000 $8,000

$4,000 $4,000
15= 10 + 20
$8,000 $8,000

10
1 5 - 2 1 , 2 0 0 1 5 - 1
8,000 r S
$1,200
= $8,000 =15

1 5 - 3 8 0 0 1 5 - 1
4,000 r S

$800
= $4,000 =20

M M rWACC [8]
15-5 Trans AmrWACC15
r0 Trans Amr0
$1,200
r0 = = $8,000 =15

1 5 - 5 Trans Am r WA C C r 0
rWACC r0
r srWACC=r 0 ( 1 5 - 2 )
[9]

[8]

[9] (15-2) r WACC=r 0

B S
r + r = r0 (15-2)
B+ S B B + S S

(B+S)/S
B B+S
r +r = r
S B S S 0

B B
r +r = r + r
S B S S 0 0

(B/S)r B
B
rS = r0 + (r r ) (15-3)
S 0 B
 15 293

MM( )
B
rS = r0 + (r r ) (15-3)
S 0 B
(15-3) - (15-3)
r0 rB -B/S r0r B
Trans Am
(15-3)
$4,000
0.20 = 0.15 + (0.15 0.10)
$4,000

1 5 - 3 ( 1 5 - 3 ) r S - B/S
( 1 5 - 3 ) 1 5 - 3
- ( )
rS
15-3 rWACC
r0 rWACC

r
()

rs

r0

rB

-(B/S)

15-3 MM

1. r B= r 0 +(r 0-r B)B/S

r S rB r 0 rWACC
rWACCr 0 r 0 r S r BrWACC
2. rS - r WACC -

15-2
Luteran Motors 1 0 , 0 0 0 , 0 0 0
1 0 , 0 0 0 , 0 0 0
1 0 , 0 0 0 , 0 0 0 1 1 0
4 0 0 1 0 0

$10,000,000 $4,000,000
10,000,000 $1,000,000

 294

()

$1,000,000
$4,000,000+ = $6,000,000
0.1

Luteran Motors

$100,000,000
$10,000,000
= $10,000,000 (10,000,000)
0.1

1 1 , 0 0 0 1 0
1,000 10




( )
400
400

Luteran Motors

( )

$100,000,000 $106,000,000

$1,000,000
$4,000,000+ = 6,000,000 (10,000,000)
0.1
$106,000,000

1,00010.6(106,000,000/10,000,000)
4 0 0 1 0 . 6
377358(4,000,000/10.60)

Luteran Motors

$ 100,000,000 $110,000,000
6,000,000 (10,373,358)
4,000,000

$110,000,000
 15 295

()

3 7 73 5 8 1 0 , 3 7 7 , 3 5 8 1 0 . 6 0
(110,000,000/10,377,358)

400

Luteran Motors

$100,000,000 $110,000,000
$1,000,000/0.1= 10,000,000 (0,377,358)
$110,000,000

1 0 0 1 , 0 0 0 4 0 0
10.6
1 , 1 0 0 1 , 0 0 0 1 0 0

$11,000,000
rS = = 0.10
$110,000,000

rS=r0=0.10
64 0 0
240,000(4,000,0006)

Luteran Motors

$100,000,000 $106,000,000
(10,000,000)
$1,000,000
$4,000,000+ = 6,000,000
0.1

$106,000,000

( 1 ) ( 2 ) M M

,400

Luteran Motors

$100,000,000 $4,000,000
6,000,000 106,000,000
4,000,000 (10,000,000)

$110,000,000 $110,000,000
 296

()

1 0 . 6

400

Luteran Motors

$100,000,000 $ 4,000,000
10,000,000 106,000,000
10,000,000
$110,000,000 $110,000,000

$10,000,000 + $1,000,000 $240,000 = $10,760,000
:
$4,000,0006

$10,760,000
= 10.15%
$106,000,000
( 1 0 . 1 5) ( 1 0)
1 0 . 1 5
MM
B
rS = r0 + (r0 rB ) (15-3)
S

$4,000,000
10.15% = 10% + (10% 6%)
$106,000,000

(1) MM 1.1

(2)
10.6
(3) M M 1 0 1 0 . 1 5 ( 1 5 - 3 )

15.4.3 MM
-
2 0 5 0 M M
[10]
M M

[10] (Merton Miller) (Franco Modigliani)

 15 297

M M

M M


-


[11]MM
M M
-

M M ?
-
- -
(M M)

15-1
-
[12]

1 0

-
M M

?
10
1 0 ! 1 0
30 60 !

[11] Stewart MyersThe Search for Optimal Capital

Structure, Midland Corporate Finance Journal(Spring 1983)

[12] GSB chicago 1986
 298

()

(
)
M M ( )


?
M M


MM
MM
?
( )

1 0

15-2 -





IV L=VU ( )
B
II rs = r0 + (r0 rB )
S

I
II

[13]
(1)
(2)

- 15-2

15.5
15.5.1

[13] MM
 15 299

1 5 - 4
IRS



[14]

15-4

15.5.2

15-3
Water Products 35 1,000,000

Water Products
4,000,000 rB10
Water Products :

EBIT $1,000,000 $1,000,000

r BB 0 (400,000)
EBI=EBITr BB 1,000,000 600000
(T C=0.35) (350,000) (210,000)
650,000 390,000
(EAT)=[(EBIT-r BB)(1-TC )]
$650,000 $790,000
[EBIT1-TC+ T CrB B]

( ) II 140,000=790,000650,000
( 2 1 0 , 0 0 0)
(350,000) 140,000=350,000210,000

[14] MM
 300

()

[15]

35
E B I T E B I TTC, TC

EPIT(1-TC) (15-4)
E B I Tr BB T C( E B I T-r BB) , E B I T
rBB-TC(EBIT-rBB) =(EBIT-rBB)(1-TC)
EBIT(1-TC)+TCrBB (15-5)

( 1 5 - 4 )( 1 5 - 5 ) TCrBB
( i n v e s t o r s )

Water Products
TCrBB =3510$4,000,000=$140,000

15.5.3


TCrBB (15-6)
(15-6) (tax shield) (annual amount)
(15-6)
rB

TC rB B
= TC B
rB

15.5.4


EBIT(1-TC)+TCrBB (15-5)
( 1 5 - 5 ) ( )
EBIT(1-TC)
EBIT (1 TC )
VU =
r0
VU
EBIT(1-TC)
TC

[15] (650,000) (390,000)

full-bolwn
 15 301

r0 r0
TCrBB rB
[16]
MMI()

EBIT (1 TC ) TC rB B
VL = + (15-7)
r0 rB
= VU +TC B
( 1 5 - 7 ) M M
VU T CB
( )TCB [17]
Water Products
-

15-4
Divided Airlines 1 5 3 . 8 5
35 100
200 10
20Divided Airlines ?
Divided Airlines [18]
EBIT (1 TC )
VL = + TC B
r0
$100
= + (0.35 $200)
0.2
= $500 + $70
= $570

[16] J.A.Miles and J.R.Ezzel,The Weighted Average Cost of Capital, Perfect Capital Markets and Project Life,
Journal of Financial and Quantitative Analysis(September 1980).
[17] M a x w e l l 1 0 0 8 %
r B10% 35%

0 $1,000,000
1 500,000 $80,000 0.35$80,000 $25,454.54
2 0 40,000 0.3540,000 11,570.25
$37,024.79

0.35 $80,000 0.35 40,000
PV = + = $37,024.79
1.10 1.10 2

Maxwell 37,024.79
[18] r0
 302

()
5 7 0 5 0 0 VL=B+S
S5 7 0- 2 0 0= 3 7 0 Divided Airlines
15-5

(V)

(B)

15-5 Divided Airlines MM

15.5.5
M M

[19]:
MM

B 15-8
rS = r 0 + (1 TC ) (r0 rB )
S

[19] MM
V U= B=
T CB= S=
B
TC B
VU r0 +T CBr B (a)
r0 r B

Sr S +Br B (b)
(b) r S rB

(a)(b):
Sr s+Br B =VU r 0+TC Br B (c)
(c)SBr B
r S =(V U/S)r0 -(1-TC)(B/S)rB (d)
VLV U +T C B=B+S, V U =S+(1-T C)B
(d)
rS =[S+(1-T C )B]/Sr 0-(1-T C)(B/S)r B (e)
(1-TC)B/S (15-8)
 15 303

Divided Airlines
200
rS = 0 . 2 3 5 1= 0.20 + (1 0.35) (0.20 0.10)
370

15-6r0>rBrS

0.235 1

-(B/S)

rs = r0 + (1 TC )(r0 rB ) B/S

= 0.20 0.65 0.10

200
370
= 0.2351

15-6
r 0 r S r B
r WACC

r0rB (
)
rS
(EBIT rB B) (1 TC )
S= (15-9)
rs

Divided Airlines [20]
($153.85 0.10 $200)(1 0.35)
= $370 15-9'
0.235 1

15.5.6 rWACC
12 ()
B S
rWACC = r (1 TC ) + r
VL B VL S

rB ( 1-T C) ,
rS rWACC
1 5 - 3
rWACC 15-6
Divided Airlines rWACC

rWACC = 0.10 0.65 + 0 . 2 3 5 1

200 370
570 570
= 0.175 4

[20] 0.235 1
 304

Divided Airlines rWACC0.20( )0.175 4

r WA C C
Divided Airlines 570
EBIT (1 TC )
VL =
rWACC
= $570

15.5.7

?
?


[21]
Divided Airlines

Divided Airlines

$500
$153.85
(1 0.35) = $500 (100)
0.20

100 5(=500/100)
2 0 0 2 0 0

Divided Airlines

$500 $570
70 (100)
$570

5 7 0
/ 1 0 0 = 5 . 7 0 7 0

[21]

 15 305

200
? 5 . 7 0 2 0 0/ 5 . 7 0= 3 5 . 0 9
64.91(10035.09)

Divided Airlines

$500 $370
10035.09=64.91
70 200
$570 $570

370/64.91=5.70



(70)

-() 15-3

15-3 -

T C



I: VL=V U+TCB( )
B
II: rS = r0 + (1 TC )(r0 rB )
S

I

II

15.6
1.

2. M M -
-


3. MM
B
rS = r0 + (r r )
S 0 B
 306

( )
1 5 - 2

4. M M
M M

5.
VL=VU+TCB

B
rs = r0 + (1 TC ) (r0 rB )
S

MM MM()
MM MM()

Modigliani,F.,and M.H.Miller. The Cost of Capital, Corporation Finance, and the Theory of
Investment, American Economic Review (June 1958).
M o d i g l i a n i , F.,and M.H.Miller. Corporate Income Taxes and the Cost of Capital: A
Correction. American Economic Review (June 1963).

M i l l e r, M .The Modigliani-Miller Propositions after 30 Ye a r s in D.Chew, e d . ,The New
Corporate Finance: Where Theory Meets Practice (New York: McGraw-Hill,1993).

1.
2.
3.
4.
5. Trans Am ?
6. ?
7. ?
8. ?
9. (
) ?
10. MM ?
11. MM?
12. 100,000 Liana Rope 10
7 5 , 0 0 0 2 0

 15 307

13. Royburn Manufacturing2,000,000

1 8 4 0 0 , 0 0 0
10
a.
b.
c. b
14. Gulf Power



$27,000,000
10,000,000

$20,000,000
$3,000,000
1 0

a. Gulf Power
b. 82 0 , 0 0 0 , 0 0 0

c. Gulf Power
15. 5 0 0 , 0 0 0 1 , 7 0 0 , 0 0 0 E B I T
1 0 3 4
20
a.
b.
16. 30 20
3,500,000 175,000 10 1,000,000




16

M M ?
VL=VU+TCB


M M


M M

16.1

16-1
K ( K n i g h t ) 1 0 0 5 0
5 0 4 9 D ( D a y )
6 0

K D

(50) 50 (50) (50)

$100 $50 $100 $50

49 49 60 50
$51 $1 $40 $0
 16 309

()
K D
D
6 0 5 0

1 0
10 [1]

1210
10[2]KD
1 1 1 1
$51 + $1 $40 + $0
S KNIGHT = $23.64 = 2 2 S DAY = $18.18 = 2 2
1.10 1.10
1 1 1 1
$49 + $49 $60 + $50
BKNIGHT = $44.54 = 2 2 BDAY = $50 = 2 2
1.10 1.10
VKNIGHT = $68.18 V DAY = $68.18
D D
6 0 5 0

$60
1 = 20%
$50
D
Promised yield
D
(D)

50 50
1 1
$40 + 0
$100 $50 S DAY = $18.18 = 2 2
1.10
1 1
60 35 $60 + $35
BDAY = $43.18 = 2 2
1.10
$ 40 $ 0 VDAY = $61.36

3 5 5 0

[1]
[2] rBrSr S
rB

r S =rB rSr B 10%
rS=10%



 310

()

155035
61.36 68.18
D

$60
1 = 39.0%
$43.18

D 60
5 0 6 0
5 0
43.18 43.18

16.2

16.2.1







WhiteAltmanWeiss3[3]20
Warner
12.5[4]

[3] M. J.White,Bankruptcy Costs and the New Bankruptcy Code,Journal of Finance(May 1983);and E.I.Altman,
A Further Empirical Investigation of the Bankruptcy Cost Question,Journal of Finance(September 1984).More
recently, Lawrence A.Weiss,Bankruptcy Resolution: Direct Costs and Violation of Priority of Claims,Journal of
Financial Economics 27(1990), 3.1%Ferris, Jayaraman, and Makhija,Direct
Costs of Bankruptcy: Evidence from Filings of Liquidations and Reorganizations by Small Firms,1981-1991,
unpublished manuscript, Georgia Institute of Technology, 1993,
28%
[4] J.B.Warner,Bankruptcy Costs: Some Evidence,Journal of Finance(May 1977).
 16 311

Wa r n e r ,
2 0 5
3

16.2.2

2070




M i t c h e l l s M i t c h e l l s
Mitchells
A l t m a n
20[5]

16.2.3

(agency costs)


1





= +
0.5 $100 = $0 + $100
0.5 200 = 100 + 100

[5] Altman,op.cit.A Further Empirical Investigation.

David M.Cutler and Lawrence H. Summers,The Costs of Conflict Resolution and Financial Distress: Evidence from
the Texaco-Pennzoil Litigation, Rand Journal of Economics 19(1988),Texaco1987
9%Steven N.Kaplan,Campeaus Acquistition of Federated: Value Added or Destroyed,Journal of
Financial Economics 24(1989),Campeau
The work of L.Lang and R.Stulz,Contagious and Competitive Intra-industry Effects of Bankruptcy Announcements:
An Empirical Analysis,Journal of Financial Economics(August 1992),and I.Opler and S.Titman.Financial Distress
and Corporate Performance,Journal of Finance(July 1994), T. O p l e r,
Controlling Financial Distress Costs in LBOs,Financial Management(Autumn 1993).

A fascinating and provocative set of articles by Robert Haugen and Lemma Senbet(The Insignificance of Bankruptcy
Cost to the Theory of Optimal Capital Structure , Journal of Finance (May 1978);New Perspectives on
Information Asymmetry and Agency Relationships,Journal of Financial and Quantitative Analysis(November 1979);
Bankruptcy and Agency Costs: Their Significance to the Theory of Optimal Capital Structure.Journal of
Financial and Quantitative Analysis(March 1988),
,
 312

1 0 0 2 0 0
1500.5100+0.5200
100



= +
0.5 $50 = $0 + $50
0.5 240 = 140 + 100

1 4 5 0 . 55 0+ 0 . 52 4 0

7 0 0 . 50 + 0 . 51 4 0 5 0 0 . 5
0+0.5100


100
50

Federal Express
Frederick Smith 20,000

20,000
2

1 0 0 , 0 0 0 1 5 0 , 0 0 0
0

4 , 0 0 0
2 , 4 0 0
1 6 - 1
1,000 1,700

16-1

$5,000 $2,400 $6,700 $4,100
4,000 2,400 4,000 4,000
$1,000 $0 $2,700 $100

NPV

1,000 [6]

[6] 1,000

 16 313

5 0 0 0 . 51 , 0 0 0+ 0 . 50 1 , 4 0 0
0 . 52 , 7 0 0+ 0 . 51 0 0 9 0 01 , 4 0 05 0 0
1,000
1 , 0 0 0

1 2


3
2 3 2
3



I n t e lI n t u i t
I n t u i t





2 03 0
Erroll FlynnDavid Niven Niven Flynn

16.3
10 10 [7]

16.3.1

(protective covenants)


(negative covenant)

(1)
(2)

[7] Everett Dirksen2050100100

 314

(3)
(4)
(5)
(positive covenant)

(1)
(2)
30
S m i t hWa r n e r 9 1
23 39 36 [8]


1.
2.

3.


16-2
16-2

1.
2.
3.

1.
2.
3.



1.
2.

16.3.2




[9] -

[8] C.W.SmithJ.B.Warner,On Financial Contracting: An Analysis of Bond Covenants,Journal of Financial Economics 7

(1979).
[9]
 16 315

16.4



1 6 - 1



1 6 - 1
B* B*




-

(V)
V L=VU +TCB=

MM

V=

VU=

(B)
B*

16-1
B*

MM MM
M M

G
L
L

C F

 316

CF
+

+

+

+

1 6 - 2
V T

()

VT = S + B + G + L

16-2

S + B

(General Motors)
G M



1 0
LS
MM VVCF


(marketed claims) ( n o n m a r k e t e d
claims)
V M
V N V TS+B+G+LV M+VN
 16 317

VM -
VM VN
VM
LS

16.5

[10]

16-2
P a g e l l 1 0 0
2 0 0 1 22 0 0
200

Pagell

100

16 $300,000 $240,000 $60,000 $60,000

110 400,000 240,000 160,000 160,000

Pagell

33 13

16 $300,000 0 $300,000 $100,000

110 400,000 0 400,000 133,333

Pagell 61
10 100,000160,00060,000
33,333133,333100,000

[10] Adam Smith, The Wealth of Nations [1776], Cannon edition (New York: Modern Library,1937), p.700,
M.C.JensenW.Meckling,Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure,
Journal of Financial Economics 3(1978).
 318

()

13 23









[11]





Pagell
Pagell


LBO

[12]

16.5.1



- -

16.5.2

[11]
[12]
(1)
(2)
(3)

 16 319

free cash flow

hypothesis [13]

[14]bad acquisitions





[15]

16.6 -
1 6 - 1

- 100 [16]
[17]

16.6.1
[18] 1 0 0 1 0
1,000 100

1 2 3 4
EBIT $100 $100 $100 $100
100 100 100 100
$ 0 $ 0 $ 0 $0

1,000 1,000 - 100(=1,000/1,000)
1,000

[13] Michael C. Jensen,Agency Costs of Free Cash Flow, Corporate Finance TakeoversAmericom
Economic Review 76(1986),pp.323-39.
[14] L. Lang, R. Stulz, and R.Walkling,Managerial Performance, Tobins Q and the Gains in Tender Offers,Journal of
Financial Economics (1989).
[15] K.Lehn and Poulsen,Free
Cash Flow and Shareholder Value in Going-Private Transactions,Journal of Finance (July 1989)and L.Lang and R.
Litzenberger,Dividend Announcements: Cash Flow Signalling vs. Free Cash Flow Hypothesis,Journal of
Financial Economics (September 1989 ).
[16] Debt and Taxes,Journal of Finance (May 1977)
[17] J.L.Berens and C.L.CunyInflation, Growth and Capital Structure unpublished
paper, University of California at Irvine, June 1993.
[18]
 320

1,000-100

16.6.2
1EBIT100 5[19]
E B I T E B I T 5
5 [20]

0 1 2 3 4
$1,000 $1,050 $1,102.50 $1,157.63
50 52.50 55.13
EBIT $ 100 $ 105 $ 110.25 $115.76
100 105 110.25 115.76
$ 0 $ 0 $ 0 $ 0

10EBIT

5 [21]
$100
V = = $2,000
0.10 0.05

02,0001,000
1,000[22]-50=1,000/2,000


1 0 0
1 0 0




[23] 1 0 0

[19]

[20]
[21] 15-7
VL = VU + PVTS
$100(1TC ) TC $100
= + = $2,000
0.10 0.05 0.10 0.05
VU PVTS
[22] 0

[23] 0 1105
2110.253115.76
102,000




()
 16 321

2 0

16.7

3 9 . 6

EBIT $1,000,000 $1,000,000
(r BB) 0 (400,000)
(EBT=EBITr BB) 1,000,000 600,000
(TC=0.35) (350,000) (210,000)
[EAT=(EBITr BB)(1T C)] 650,000 390,000
r BB 0 400,000
[EBIT(1TC )+TC r B B] $650,000 $790,000

28

$650,000 $390,000
( =28) (182,000) (109,200)
$468,000 $280,800
0 400,000
0 (112,000)
0 288,000
$468,000 $568,800

: $350,000 + $182,000 = $532,000

: $210,000 + $109,200 + $112,000 = $431,200

1
2

[24]

[24] 28%

10 20
220TS20T S
1/10
20 20 20P0
P020P0TS
 322

TS10 TB
50[25]

$650,000 $390,000
(10) (65,000) (39,000)
$585,000 $351,000
0 400,000
50 0 (200,000)
0 200,000
$585,000 $551,000

: $350,000 + $65,000 = $415,000

: $210,000 + $39,000 + $200,000 = $449,000

[26]

(1 TC ) (1 T S )
VL = VU + 1 B
(1 T B ) 16-1

[25] 70%50%
[26]
(EBITrBB)(1TC)(1TS)

rB B(1T B)

(EBITrBB)(1TC)(1TS)+rBB(1TB)

EBIT(1TC)(1TS)+rBB(1TB)[1(1T C)(1TS)/ (1TB)] a
(a)VU B
r BB(1TB)a
B[1(1TC)(1TS)/(1TB)]
a,
VU +[1(1T C)(1TS)/ (1TB)]B
 16 323

TB TS
TB = TS(16-1)
VL=VU + TCB 16-2


TS<TB
1TC 1TS1TB 1 6 - 1

1 6 - 3
16B
(V)
( )

( )
( )

( )
(B)

16-3
T C
T B
T S

TS TC T B

16-3
A (Acme Industries) 100,000 35
1 5 1 2 2 8 A
10120,000
[27]
$100,000 (1 0.35)
VU = = $433,333
0.15

(1 0.35) (1 0.12)
VL = $433,333 + 1 $120,000 = $458,000
(1 0.28)
458,000433,33324,677
42,0000.35120,000TCB
TB50TS18A
(1 0.35) (1 0.18)
VL = $433,333 + 1 $120,000 = $425,413
(1 0.50)

[27] 13.20[1510.12]
$100,000 (1 0.35) (1 0.12)
VU = = $433,333
0.1320

 324

()
V L<V U A



(1) 1 6 - 3
1 9 9 8 3 5 3 9 . 6
TS20 15-7

VL = VU + 1
(1 0.35) (1 0.20)
B = VU + 0.139B
1 0.396
0 . 1 3 9 > 0 3 5
3 9 . 6
1998

TBTS
(2) (Unlimited Tax Deductibility)1998





1 6 - 4



[28]

(V)

(B)
16-4
1 6 - 1 1 6 - 1

1 6 - 1 1 6 - 1

[28] H.DeAngelo and R.Masulis:Optimal Capital Structure under Corporate and Personal Taxation,Journal of Financial
EconomicsMarch 1980

 16 325

TCTB

16.8


1 6 -
11 6 - 4
-

(1) -

1 4 1 4 - 31 4 - 4 - 1 9 8 01 9 9 4
5 0 1 9 9 5 - 4 6
- 5 0 1 9 9 6
2 , 0 0 0 1 6 - 5
-
100

16-5 - 1995

OECD
(2) S h a h[29]

[29] K.Shah,The Nature of Information Conveyed by pure Capital Structure Changes,Journal of Financial Economics
36(1994),R. Masulis, The Effects of Capital Structure Change on Security Prices: A
Study of Exchange Offers,Journal of Financial Economics 8(1980); M. Cornett and N.Travlos,Information
Effects Associated with Debt-in-Equity and Equity-in-Debt Exchange Offers,Journal of Finance 44(1989); and
T.Copeland and Won Heum Lee,Exchange Offers and Swaps: New Evidence,Financial Management 20 (1991)
 326

1 6 - 6
-
0
S h a h
S h a h

S h a h

(3)
1 6 - 3

16-6
-

K.Shah,The Nature of Information Conveyed by Pure Capital Structure Changes.Journal
of Financial Economics 36(August 1994).

-
- [30]
- 4
(1)

(2)

[30] P.Marsh,The Choice between Equity and Debt: An Empirical

Study,Journal of Finance (1981,3);R. A. Taggat, A Model of Corporate Financing Decisions,Journal of
Finance (1997.12)
 16 327

(3)



16-3 1997

()

60.2
55.4
38.8
29.1
28.2

4.8
9.1
12.3
9.6
15.2

Ibbotson Associates 1997.Cost of Capital Quarterly, 1997. Yearbook

(4) [31]Financial Slack) 14

-

16.9
1.


4

[31] S.C.Myers, The Capital Structure Puzzle Journal of Finance 39 (July 1984).
 328

2.




3. 1 6 - 1
-

16-1 :
(Marshall Industries)
( Texas Instruments)
1954 S.(Gordon S. Marshall)
2
(Sterling Electronics) 19978

()

$ 55,000,000 8.5
593,000,000 91.5
$648,000,000 100.0

S.(GSM)



G S M



G S M




G S M

4
3


 16 329

()
GSM ( Robert Rodin)


S .



Financial Slack

S .

1997530

1997

/ 1,184
/ 40
/ 55
/ 593
/() 0
() 13.3
- 1.6
() 8.5
() 16
() 87

16-2
(SCE)
S C E
1 9 9 6
S E C 7 5 9 0
1 9 9 6

/ ()

$8,464 47.8
709 4.4
8,529 48.8
$17,702 100

 330

()

J.(Alan J. Fohrer AJF)

AJF
S E C


AJF BBB
B B B

(19961231)

/ $8,545
/ $717
/ $7,375
/ $8,529
() 61.0
() 11.1
() 48
() 2.5
- 1.3

4 .
B e r e n sC u n g

5.

1TC1TS1TB

6. - -

a.
b.

c.
d.
 16 331

:
C h e w, D .The New Corporate Finance: Where Theory Meets Practice (New York: McGraw-
Hill.1993)

Myers.S.The Search for Optimal Capital Structurein The New Corporate Finance: Where
Theory Meets Practice, op. cit.

Miller.M.Leverage.Journal of Finance(June 1991)

Haugen, R.A., and L.Senbet. The Insignificance of Bankruptcy Costs to the Theory of
Optimal Capital Structure.Journal of Finance(May 1978).
Haugen,R.A., and L. Senbet.Bankruptcy and Agency Costs: Their Significance to the Theory
of Optimal Capital Structure.Journal of Financial and Quantitative Analysis(March 1988).

Harris, Milton, and A. Raviv.The Theory of Capital Structure.Journal of Finance(March
1991).
B a r c l a y, Michael, Clifford W. Smith, and Ross L. Wa t t s .The Determinants of Corporate
Leverage and Dividend Policies.Journal of Applied Corporate Finance(Winter 1995).
Rajan. Raghuram G., and Luigi Zingales. What Do We Know about Capital Structure.
Journal of Finance(December 1995).

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12. -
13.
14.
 332

15.
16. -
17.Fortune Enterprises F E 1 0
1 3 , 5 0 0 , 0 0 0 F E
FE FE

$3,000,000 $3,000,000
0 1,350,000
3,000,000 1,650,000
T C=0.4 1,200,000 660,000
$1,800,000 $990,000

a. 30
b.
c. 20
d. TS0.2TB0.55
18. EXES EXES
1,000 EXES EBIT
EXES 20
E X E S 1 , 0 0 0 2 , 0 0 0 4 , 2 0 0 0 . 10 . 40 . 5

0
a. EXES
b. EXES
10 7,500 500
i.
ii. EXES
iii. EXES
c.
i.
ii.
d. 40
i.
ii.
iii.
e. 40 0

i. EXES
ii.

16A

EEBIT
VU
 16 333

VL
B
S
rS
rB
r0
rWACCr0 r0rWACC

E(EBIT)
VL = VU =
r0
rS = r0 + (r0 rB ) B / S

TC>0 Ts=TB=0

E(EBIT) (1 TC ) TC rB B
VL = + = VU + TC B
r0 rB
rS = r0 + (1 TC ) (r0 rB ) B / S

TC>0 TB>0TS>0

(1 TC ) (1 TS )
VL = VU + 1 B
(1 TB )

16B

Merton Miller
[32]
01528
313639.6 , (IRA)


TC3 5TS0 [33] rS1 0
050
1 , 0 0 0
1T Cr B
rS

(1 T ) r = r 16-3
C B S

TC35rS10 15.38

[32] M. Miller,Debt and Taxes,Journal of Finance(May 1977)MillerMM

[33] TS0
T S>0()
 334

1 0
15.38


1 0
1 5 r B10 . 1 5 r B= 11 . 7 6 5
0 . 117 65 0 . 8 51 0 11 . 7 6 5 1 6 - 3
15.38 15
3 5 1 5 . 3 8 1 01 5 . 3 8 1
0 . 3 5 1 5 . 3 8
1 0 3 5
[34]
15.38
()
3 5
1 5 . 3 8


(1) TC

(2)

MM
(3) 1 6 - 3
16-3

16-4
4

T B /

50 $1,200

35 300

20 150

0 50

T S= 0
5 . 4
3 5 1 . 2

[34] TB<35T B=35

 16 335

()
-

rS0.054 rS=(1TC)rS

0.054
rB = = 0.083 1
1 0.35

0 . 3 5

3 0 0 B3 0 0+ 1 5 0+ 5 0 5 0 0

(EBIT rB B) (1 TC )
S=
rS
[$120 (0.083 1 $500)] (1 0.35)
=
0.054
= $944
rB B
B= = $500
rB
VL = S + B = $944 + $500 = $1,444
B $500
= = 0.530
S $944

(B=$150+$50=$200)
(EBIT rB B) (1 TC )
S =
rS
[$120 ( 0 . 0 8 3 1 $200)] (1 0.35)
=
0.054
= $1,244
B = $200
VL = S + B = $1,244 + $200 = $1,444
B $200
= = 0.161
S $1,244

- 0.1610.530

16C
[35]

[35] Alan ShapiroCorporate Stockholders and Corporate responsibility, USC Business (Summer 1991.)
Goodyear Tire and Rubber:1988,Harvard Business School Case
284-177 Gault on Fixing
Goodyears Flat Fortune, July 15, 1991.
 336

Goodyear

6 0
1 9 8 6
high performance


1 9 8 61 2 4 , 0 0 0 5 0
5 0

James Goldsmith 4 9 . 5
G o l d s m i t h





- 198528.41988150.2

1985 1986 1987 1988 1989 1990

/ $997.5 $2,487.5 $3,282.4 $3,044.8 $2,963.4 $3,286.4

/ $3,507.4 $3,002.6 $1,834.4 $2,027.1 $2,143.8 $2,097.9
/ $216.2 $194.2 $114.0 $114.9 $ 11 5 . 6 $117.0
ROE() 8.6 9.2 24.0 17.7 13.8

20

16C.1
(1)
1 9 8 51 . 0 1
19872.82
(2)
1 9 8 2
C e l e r o n ( )

1 9 8 2
6 5 5 0 0

1 9 8 7
12 Celeron

 16 337

16C.2
(1)

M o o d ys
1 9 9 0


1 9 8 6 1 5 1 9 8 87 . 5 4

(2)
1 9 8 5
19861987
1 9 8 8 1 9 8 8

B r i d g e s t o n e

16C.3
1 9 9 4
1 9 9 71 9 9 01 9 9 1
2 03 0 1 9 9 1
C E OStanley Gault 1 9 9 2 (Financial Wo r l d)
1 9 9 7 2 0 1 0
6.2


17


45678 91 0111 2
1 31 41 51 6


a l l - e q u i t y
f i r m
NPV
48
A P V
FTE WACC

17.1
adjusted-present-valueAPV

APV = NPV+NPVF

A P V N P V

(1) 1 5 TCB T C
B 1 5
APV
(2) 20

(3)

(4)



[1]

[1] 17.6 Bicksler Enterprises

 17 339

P. B. Singer
500,000
72
475,000
TC=34r0=20 r0

$500,000
360,000

140,000
(34) 47,600

(UCF) $92,400

, 4
0 ,
20
$92,400
= $462,000
0.20
NPV

$462,000$475,000 =$13,000

NPV,
1 2 6 , 2 2 9 . 5 0 3 4 8 , 7 7 0 . 5 0( 4 7 5 , 0 0 0
1 2 6 , 2 2 9 . 5 0 ) A P V

APV = NPV + TCB

$29,918 =$13,000 + 0.34$126,229.50

,


0.25 [2]
4 7 5 , 0 0 0
-

17.2
f l o w - t o - e q u i t yF T E
rS

[2] , $504,918($29,918+$475,000),, - 0.25($126,229.50/$504,918)

, = +T CB
V = $462,000 + 0.340.25V V (10.340.25) = $462,000
V =$504,918
0.25, $126,229.50(0.25$504,918)
 340

rS

[3]
17.2.1 LCF
10

$500,000.00
360,000.00
(10$126,229.50) 12,622.95

127,377.05
(0.34) 43,308.20

$84,068.85

( U C F ) L C F

UCFLCF = 1TCrBB

U C F9 2 , 4 0 0
8,331.15(0.660.10$126,229.50) (LCF)

$92,400$8,331.15 = $84,068.85

17.2.2 :rS
rS15 rS:
B
rS = r0 + (1 TC )(r0 rB )
S

r00.20, - 1/4, - 1/3,

,
1
rS = 0.222 = 0.20 + 0.66 (0.20 0.10)
3

17.2.3 :
LCF
LCF $84,068.85
= = $378,688.50
rS 0.222
4 7 5 , 0 0 0 , 1 2 6 , 2 9 9 . 5 0 3 4 8 , 7 7 0 . 5 0
(475,000126,229.50) LCF
NPV

[3]

 17 341

$378,688.50$348,770.50 = $29,918

APV

17.3
( w e i g h t e d - a v e r a g e - c o s t - o f - c a p i t a l
WACC), 1215

rS
rB 1-TCrB
rWACC
S B
rWACC = r + r (1 TC )
S+B S S +B B

S B
S + B S + B
U C F
rWACC

(1+ r
UCFt

t =1 WACC
)t

UCF

rWACC

- 1 / 4 0 . 3 4 ,

3 1
rWACC = 0.222 + 0.10 0.66 = 0.183
4 4
, rWACC0.183, 0.20, ,
,
UCF92,400
$92,400
= $504,918
0.183

475,000, NPV

$504,918$475,000=$29,918

, ,

17.4 APVFTEWACC



A P V
UCF
 342

F T E
L C F L C F
1 5
rS r0
WA C C
U C F
r WACC



1. APVWACCAPVWACC UCFAPV UCFr0
WACC
U C Fr WACC r WACCr0
APV WACC r0
2. A P VWA C C 4 7 5 , 0 0 0
F T E 3 4 8 , 7 7 0 . 5 0
=475,000126,229.50 , FTE

[4]

WACCFTE
r0
- rSrWACC
FTEWACC -rSrWACC
FTEWACC
-FTEWACC
APV
A P V
-

WACCFTE
APV

17-1
1. APV

[4] I . I n s e l b a gH . K a u f o l d W h a r t o n 1 9 9 0
6
 17 343

( )

(1+ r )
UCFt
t +
t =1 0

UCFt t
r0

2. FTE

(1+ r )
LCFt
t
t =1 S

LCFt t
rS

3. WACC

(1+ r
UCFt

t =1 WACC
)t

rWACC

1. A P V
WA C C rWACC <r 0

2. F T E L C F

1. - WACCFTE
2. APV

A P V L B O

A P V 1 7 A A P VL B O
- WACCFTE
A P V 1 7 . 6
The Bicksler Enterprises A P V
A P V F T EWA C C 2 4


-

-



 344

WACC FTE APV

WA C C
A P V

17.5
1 2, , ,
17.117.3

17-1
WWEWorld-Wide Enterprises 25
--1/3AWAmerican Widgets
4 0 6 0 1 . 5AW 1 2
WWE 10 40
8.5 8 WWE
1 7 . 11 7 . 3 , : A P VF T EWA C C
r 0r SrWACC AWW W E
AW W W E r0r srWACC

1. AW 1 0 S M L AW

AW
rS = RF + ( RM RF )
20.75% = 8% + 1.5 8.5%

RM
RF
2. AW AWWWE -
AW
MM 15

AW
B
rs = r0 +(1 TC )(r0 rB )
S
0.4
20.75% = r0 + (0.60)(r0 12%)
0.6
1 5 r S [ 5 ] r 0
r0=0.182 5 r0rS

[5] AWWWE 17.7

 17 345

()
W W E 0.182 5 [6](
WWEAPV APV r0
3. W W E rS F T E

WWE
B
rS = r0 +(1 TC )(r0 rB )
S
1
19.9% = 18.25% + (0.60)(18.25% 10%)
3

, W W E 0 . 1 9 9 ,AW 0.207 5,
AW-
4. WWE rWACCWWE WACC

WWE rWACC
B S
rWACC = r (1 Tc ) + r
S+B B S+B S
1 3
16.425% = 10%(0.60)+ 19.9%
4 4

17.6 APV
A P V F T EWA C C

17-2
Bicksler Enterprises 1 0 , 0 0 0 , 0 0 0
5 2 , 0 0 0 , 0 0 0 3 , 5 0 0 , 0 0 0
3 4 1 0 2 0

C0 C1 C2 C3 C4 C5

-$10,000,000

0.34$2,000,000 $680,000 $680,000 $680,000 $680,000

=$680,000

(10.34)$3,500,000 $2,310,000 $2,310,000 $2,310,000 $2,310,000

=$2,310,000

A P V

[6]
0.182 5
 346

()

$680,000 1 5 $2,310,000 1 5
$10,000,000+ 1 + 1 = $513,951
0.10 1.10 0.2 1.20

10 20
N P V5 1 3 , 9 5 1
NPV


7,500,000 10
1
NPV

1

$7,500,000 = 10.01 = 0.99

,
$7,500,000 $7,500,000
= = $7,575,758
1 0.01 0.99
, 7 5 , 7 5 8 ( 1 7 , 5 7 5 , 7 5 8 )
7,575,758 75,758, 7,500,000
[7]

0 1 2 3 4 5

$75,758

$15,152 $15,152 $15,152 $15,152 $15,152

$5,152 $5,152 $5,152 $5,152 $5,152

10
$5,152 A0.10 = $19,530
5

$75,758+ $19,530 = $56,228

[7] Bicksler Enterprises 7 , 5 0 0 , 0 0 0 7 5 , 7 5 8

 17 347

()

$513,951 $56,228 = $570,179

7 5 7,5 7 6
7,5 7 5,5 7 8 0 . 1 0 5 0 00 0 0[ 7 5 7,5 7 6 10 . 3 4]
7,575,758

0 1 2 3 4 5

$7,575,758

$757,576 $757,576 $757,576 $757,576 $757,576

$500,000 $500,000 $500,000 $500,000 $500,000

$7,575,758

1 2 3


1 5

NPV = 17-1

$500,000 1 $7,575,758
5

$976,415 = $7,575,758 1 17-1'

0.10 1.10 (1.10)5

N P V [8]

APV= +NPV 17-2

$406236=$513951$56228+$976415 17-2'
7,5 0 0,0 0 0

1 0



8 7,500,000

[8] N P V
5

1
$757,576 1 $7,575,758
0 = +$7,575,758
0.10 1.10 (1.10)5
 348

()

0 1 2 3 4 5

$7,500,000

$600,000 $600,000 $600,000 $600,000 $600,000

$396,000 $396,000 $396,000 $396,000 $396,000

$7,500,000

17-1 NPV

$396,000 1 $7,500,000
5

$1,341,939 = +$7,500,000 1 17-1"

0.10 1.10 (1.10)5

(17-1")10 8 10
1 0
8 (17-1")NPV

APV = +NPV 17-2

$827,988 =$513,9510+$1,341,939 17-2")

A P V

17.7 ( )
1 2 ( )

1+ (17-3)

[ ]

1+
1TC
(17-4)

TC [1+1TC/]
1 <
17-417-3

17-3
(C.F.Lee), 100,000,000
200000000 34
2 10 8.5
 17 349

()


1.
17-4

= 17-5
+(1TC)

$200,000,000
2 = 1.50
$200,000,000+ (1 0.34) $100,000,000

2. SML
rS = RF + ( RM RF )
22.75% = 10% + 1.50 8.5%

( 1 7 - 5 )
SML

[9]

VU + TC B = VL = B + S (a)

V U = V L= B= S=

B S
+
B+S B
B +S S

S VL=B+S
B S
B
+ S (b)
VL VL

VU TC B
+
VU + TC B VU + TC B
U B

U
(a) V L=VU +T CB
VU TC B
+
VL U
VL B
(c)

b c aVU=S+1+T CB =0
17-4

B
S
= U
+ (1+ T C )( U
S
)
S
S B(1- TC )
U
= S
+ B
B(1- TC )+ S B(1- TC )+ S
 350

17.8



A P V F T E
WACC
1. APV

(1+ r )
UCFt
t +
t =1 0

2. FTE

(1+ r )
LCFt
t -( )
t =1 s

3. WACC

(1+ r
UCFt
-
t =1 WACC
)t

4.
- WA C CF T E
APV
5. APV L B O WA C CF T E
APV
6.

1. WACC
Miles, J., and R. Ezzel. The Weighted Average Cost of Capital, Perfect Capital Market and
Project Life: A Clarification. Journal of Financial and Quantitative Analysis 15 (September
1980).
2. SML
Weston, J. F.Investment Decisions Using the Capital Asset Pricing Model. F i n a n c i a l
Management(Spring 1973).
3. APV
 17 351

Myers, S.Interactions of Corporate Financing and Investment Decisions: Implications for

Capital Budgeting. Journal of Finance(March 1974 )
4. APVWACC
Inselbag, I., and H. Kaufold. Tow DCF Approachs in Valuing Companies under Alternative
F i n a n c i n g S t r a t e g i e s ( a n d H o w t o C h o s e b e t w e e n T h e m ) . Journal of Applied Corporate
Finance(Summer 1997).

1. APV
2. APVNPV
3. FTE
4. FTE
5. WACC
6. APVWACC
7. FTE
8. APV
9. FTEWACC
10. H e r t z H e r t z
2 5
1 0 0,0 0 0 3 4 1 0
6
1 Hertz
2 3 2 5,0 0 0H e r t z 2 0 0,0 0 0
8 A P V

3 H e r t z H e r t z 5
200,000 Hertz
11. WWI 0 . 9 - 1 / 2 1 6 8
WWI 7 972.72 34
a. WWI
b. WWI
c. WWI
12.
34 -100
1
a
b
c
2 WACC WACC
13. B a b e r 0 . 0 3 1
0 . 1 6 8 . 5 1 3 11
24,000,000 15 CFO
- 3 4 7
 352

2 7 , 5 0 0 , 0 0 0 9 , 0 0 0 , 0 0 0

17A [10]

L B O
3~7



-

A P V A P V
RJR Nabisco
1. RJR Nabisco
1 9 8 8 R J R 5 5 5 0 C F O
7 5 K K R9 0
11 K K R 1 0 9 2 5 0
APV KKR
A P V
V L VU
PVTS[11]
UCFt

VLVU + PVTS = +
TC rBBt 1
t
t =1 (1+ r0 ) t=1 (1+ rB )t

U C Ft r0
17A-1 RJR

1989 1990 1991 1992 1993

$2,620 $3,410 $3,645 $3,950 $4,310

891 1,142 1,222 1,326 1,448
1,729 2,268 2,423 2,624 2,862
449 475 475 475 475
522 512 525 538 551
(203) (275) 200 225 250
3,545 1,805
UCF $5,404 $4,311 $2,173 $2,336 $2,536

[10] RJR NabiscoPennsylvania

WhartonIsik InselbagHoward Kaufold
[11] RJR


 17 353

Bt-1 t-1 t
rB Bt-1TCrBBt-1t rB [12]
K K R R J R 1 7 A - 1
KKRRJR
K K R K K R
2 4 0 3 0 [13]1 7 A - 2

17A-117A-2 RJR APV 17A-3
17A-2

( )

1989 1990 1991 1992 1993

$3,384 $3,004 $3,111 $3,294 $3,483

TC=34 1,151 1,021 1,058 1,120 1,184

17A-3 RJR LBO

1989 1990 1991 1992 1993

UCF $5,404 $4,311 $2,173 $2,336 $2,536

2
UTV 23,746
26,654
2,908
1,151 1,021 1,058 1,120 1,184
19891993UCF14 12,224
UTV14 12,333
$24,557
1989~199313.5 3,877
13.5 1,544
5,421
29,978
5,000
$24,978
229()
$109.07

17A-3
1 1 9 8 9 ~ 1 9 9 3 1 7 A - 1 1 7 A - 3
1 4

[12] LBO r B



[13] APIKPIKKKR
17A-2

 354

1989~1993 1988
5.404 4.311 2.173 2.336 2.536
+ + + + = 122.24
1.14 1.14 2 1.14 3 1.144 1.14 5

2 1 9 9 3 1 9 9 3
3 1993

2.536(1.03)
= 237.46
0.14 0.03
1 14 1988

23.746
= 123.33
1.145
122.24+123.33=245.57
3 1 9 8 9 ~ 1 9 9 3 1 9 8 9 1 3 4
1 9 8 9 ~ 1 9 9 3 1 3 . 5
17A-2
1.151 1.021 1.058 1.120 1.184
+ + + + =38.77
1.135 1.1352 1.135 3 1.135 4 1.1355

4 1993 1993
1 9 9 3 2 5
WA C C
[14]

1993 RJR 25 WACC12.8 [15]
1993

[14] 25RJR Nabisco

RJR- 1993
KKR

[15]
S B
rWACC = rs + rB (1 TC )
S+ B S+ B

r WACC - z

= 1
B S B
= 25% = 75%
S+ B S+ B S + B

B 0.25
rs = r0 + (1 TC )(r0 rB ) = 0.14 + (1 0.34)(0.14 0.135) = 0.141
S 0.75

13.5,
rWACC = 0.75(0.141) + 0.25(0.135)(1 0.34) = 0.128

, - , ,
I s i k I n s e l b a gHoward Kaufold W h a r t o n
19906
 17 355

2.536(1.03)
= 266.54
0.128 0.03

1993=VL1993 VU1993
=$266.54$237.46
=$29.08

13.5 1988 [16]

2.908
= 15.44
1.1355

38.77+15.44 =54.21
RJR 299.78 50
249.78 109.07
2. LBO
WA C C
L B O
APV
WA C CK K RR J R
3 0 0
WA C C

WA C C WA C C

WA C C WA C C

[16] ,1993,,r0


18


50

18.1

(Distribution)

(regular cash
d i v i d e n d s )
( )
(stock dividend)

2
50 1
(stock split)
9 0
3 : 1 3 0

18.2

 18 357

( ) ( ) (
) 18-1:

115 128 130 216

18-1

1.
2.
3. N Y S E

4.

1. (declaration date) 11 5 21 61
30 1
2. (data of record) 130
13 0

3. (ex-dividend date) 129 130
22

12 8
()
4. (date of payment) (216)

[1]



(18-2)

=$(P+1)
=$P

E l t o nG r u b e r

(1) (2)
2 8 1
0.72 0.72

[1]
 358

t ..., 2 10, 1, 2, ..., t
=$(P+1)

=$P

18-2 (1 )

0 1
P
(1) =$(P+1)
(0) =$P

18.3
(Wharton Corporation)
1 0 0
1 0 , 0 0 0
10,000 NPV [2]

18.3.1
1 0 , 0 0 0 N P V

Div 1
V0 = Div 0 +
1 + rs

Div0Div1
rS

rS=10
$10,000
$19,090.91 = $10,000 +
1.1
1,000
$10
$19.09 = $10 + (18-1)
1.1

9 . 0 9( 1 9 . 0 9 1 0)

18.3.2
11 11 , 0 0 0
1 0 , 0 0 0 1 , 0 0 0 0
1 , 0 0 0 1
0 1 0 [3] 1 1 , 1 0 0
[4] 8,900

[2] Wharton
[3]
[4] 01
 18 359

0 1

$11,000 $8,900
$11 $8.9

$8.9
$19.09 = $11+ (18-2)
1.1

8 . 0 9( 8 . 9/ 1 . 1 ) 1 2 3 . 6 1 ( 1 , 0 0 0/ 8 . 0 9
)

18.3.3
( 1 8 - 1 )( 1 8 - 2 )N P V
0
1 N P V0
18-3 0 1
0
N P V0 0
1
( M o d i g l i a n i ) ( M i l l e r )( M M)
MM
MM
(1)

(2) 1 0

(3)

01 01,000
10,000 11,100
($) ($)

0 1 0 1
0
1,000 11,100

($)

0

1

18-3
 360

18.3.4


X 0 1 1 0
( 11 8 . 9 )
0 1 1
1 . 1 0 1 0( = 11 1) 1
10(=8.9+1.1)
Z 011 18 . 9
0110 0
0 1 0 11
( 1 0+ 1 ) 0 1 1 1
1 8.9(101.1)
(homemade dividends)
18-4A
01
011 18.9 B

1 8 - 4
11 8 . 9 ()

18-4
(1)
(2) 0

$ 11 B

$ 10 A
($10, $10)

$9 =(1/1.1) C

1
$ 8.9 $ 10.0 $ 11.1

18-4 0 1
1 2
: A
B C
: B 0 11
18 . 9 1 1 0 %
A A 01
B
 18 361

18.3.5

(1)
(2)






1 8 - 4 0 1


M M
[5]
M M M M

18.3.6


N P V

NPV

18.4

18.4.1
100

[5] MM MM MM

 362

1 8 - 5
1 0 0
MM

30

($100) ($100)
($100) ($100)
($70)
($30)

18-5
1 0 0 1 0 0
Wa s h
100 30 IRS

30 100
100 70
30







[6]






( K a l a y ) ( S h i m r a t )
[7]

[6] 13
[7]
 18 363

18.4.2




NPV 100

(1) NPV
N P V
Michael Jensen NPV
N P V

(2)

20~80


(3)

18-1
R e g i o n a l 1 , 0 0 0 1 0

34 28
1,000(10.28)=720
7.2

$720(1.072)5=$1,019.31 (18-3)

R e g i o n a l 1 , 0 0 0
(1.066)5=1,376.53

$1,376.53(10.28)=$991.10 (18-4)

20 70 [8]Regional
1 , 0 0 0 1 0 1 0 0 3 0

$300.34=$1,0000.10.30.34=$10.20

Regional

[8] 20%~80%80%80%
100%
 364

$1,0001.1$1,0000.10.30.34
=$1,000[1+0.10(10.30.34)]
=$1,100-$10.2=$1,089.80

Regional 0.30.34=10.2

$1,000[1+0.10(10.30.34)]5
=$1,000[1+0.10(10.102 0)] 5=$1,537.21

$1,537.21(10.28)=$1,106.79 (18-5)

( 1 8 - 5 ) ( 1 8 - 4 ) R e g i o n a l 0
0
10


532

18.4.3
M M
MM

(1)
(2)
(3)

18.5

18.5.1
3 0 0 , 0 0 0(3)
4 5 0 , 0 0 0 4 . 5(
1 0 0 , 0 0 0) 6 2 7
18-1
3 0 1 0 , 0 0 0
9 0 , 0 0 0 5
6
 18 365

30

27 3 30

M M

18-1

100,000

$300,000 $3
450,000 4.5
2,700,000 27

$450,000 $5
2,700,000 30

18.5.2 EPS
E P S
EPS 4.5 5
E P S
(ratio of earnings to price) E P S
EBIT-EPS15
E P S
EPS

18.5.3

1
28 100 [9] 28
1 0 0
60100 40
2 0%
0.2040=8




3 0

18.5.4
(nonselective repurchase)

[9] 100100
 366

(International Fidget Corporation)438 P-R

(Prime Robotics P-R)10
P - R 5P - R4 8( )

18.5.5

( 1 ) ( 2 )

18.6




2 5 G D G
D G 1 0 0 1 2 0
G 2 0 2 0
[10]
D 2 0 1 0 0
GD (20)
D
D
$100 + $20(1 TD )
P0 =
1.20
1 0 0 1 T D
( ) D G
20 20 TD =0.25P0 =95.83
D 11 2 0( 1 0 0 2 0 )
( 18-2)
$120
1 = 25.22%
$95.83

[10]
A. Protopapadakis, Some Indirect Evidence on Effective Capital Gains Tax
Rates, Journal of Business, April 1983)196019783.4%~6.6%
2431P.127
 18 367

18-2

G D

1 $120 $100
1 0 $20
1 0 $15
0 $100

D095.83
$20 $100$95.83=$4.17
$20 $20+$4.17=$24.17
$20/$100=0.2 $24.17/$95.83=0.252
$20 $15+$4.17=$19.17
$20/$100=0.2 $19.17/$95.83=0.20

D0 P 0= [$100+$20(10.25)]/1.2=$95.83

[11] 1 8 - 6


0 G
D 2 0 D 2 0
0 D 2 0 2 0

18-6

[11]
 368

B r e n n a nL i t z e n b e rg e rR a m a s w a m y
[12, 13, 14] LitzenbergerRamaswamy 1
2 3
[15, 16]

18.7




( G r a h a mDodd and Cottle)

(1)
(2)
[17]

18.7.1







( )

[12] M. Brennan,Taxes:Market Valuation and Corporate Financial Policy,National Tax Journal(December 1970).
[13] R. Litzenberger and K. Ramaswamy, The Effect of Personal Taxes and Dividends on Capital Asset Prices: Theory
and Empirical Evidence,Journal of Financial Economics (June 1979).
[14] R. Litzenberger and K. Ramaswamy,The Effects of Dividends on Common Stock Prices:Tax Effects or Information
Effect? Journal of Finance(May 1982).
[15] F.Black and M.Scholes,The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and
Returns, Journal of Financial Economics(May 1974).
[16] M.Miller and M.Scholes, Dividends and Taxes: Some Empirical Evidence ,Journal of Political
Economics(December 1982).
[17] B. Graham,D.Dodd and S. Cottle,Security Analysis(Homewood,Ill.:Richard D. Irwin,1961).
 18 369

18.7.2
( G o r d o n )
[18]

18.7.3
(Miller and Scholes, MS)
[19]MS

18.7.4


[20]

18.8
N P V

18.8.1

[18] M.GordonThe Investment Financing and Valuation of the CorporationHomewoodIll.Richard D.Irwin

1961.
[19] M.Miller and M.Scholes,Dividend and Taxes,Journal of Financial Economics(December 1978).
[20] Michael Rozeff ,How Companies Set Their Dividend Payout Ratios, in The Revolution in Corporate
Finance,edited by Joel M.Stern and Donald H.Chew(New York:Basel Balackwell,1986).See also Robert S.Hansen,
Raman Kumar,and Dilip K.Shome,Dividend Policy and Corporate Monitoring:Evidence from the Regulated
Electric Utility Industry,Financial Management(Spring 1994).
 370

(1) MM
(2)
(3)


(Asquith and Mullins)
10 [21]
(Pettit) (Charest) (Ahroney
and Swary) [22]
(3) (1)(2)




(information-content effect)

18.8.2
M M





7 0


40 60 20
8 0


4 0 6 0

[21] P.Asquith and D.Mullins,Jr.,The Impac of Initiating Dividend Payments on Shareholder Wealth, Journal of
Business(January 1983).
[22] R.Pettit,Dividend Announcements, Security Performance, and Capital Market Efficiency, Journal of Finance
(1972). G. Charest, Dividend Information, Stock Returns and Market Efficiency, Journal of Financial Economics
6(1978). J. Ahroney and I. Swary, Quarterly Dividend and Earnings Announcement and Stockholders Returns: An
Empirical Analysis, Journal of Finance (March 1980).
 18 371

(clienteles)

(John Childs) T.
(Joseph T. Willet) [23]


















(Blume) (Crockett)
(Friend) (Lewellen)(Stanley)(Lease)(Schlarbaum)
(18-3) [24]
18-3

% %

1 7.9 36
2 5.4 35
3 4.4 38
4 3.5 39
5 2.7 38

[23] Joseph T. Willett,moderator,A Discussion of Corporate Dividend Policy,in Six Roundtable Discussions of
Corporate Finance with Joel Stern,ed.by D.H.Chew(New York:Base Blackwell,1986).The panelists included Robert
Litzenberger,Pat Hess,Bill Kelay,John Childs,and Joel Stern.
[24] M.Blume, J.Crockett,and I.Friend, Stockownership in the United States: Characteristics and Trends, Survey of
Current Business 54(1974),P.11. W.Lewellen, K.L.Stanley, R.C.Lease,and G.C.Schlarbaum, Some Direct Evidence
on the Dividend Clientele Phenomenon, Journal of Finance 33(December 1978), p5.
 372

()

% %

6 1.8 41
7 0.6 40
8 0.0 41
9 0.0 42
10 0.0 41

W.Lewellen, K.L.Stanley, R.C.Lease,and G.C.Schlarbaum, Some Direct Evidence on the
Dividend Clientele Phenomenon, Journal of Finance 33(December 1978),p.5.

18.9
18.9.1
1 9 5 6 ( L i n t n e r )



[25]
(Fama) (Babiak) [26]

(1)

(2)

t
s
Div 1 Div 0 = s(tEPS1 Div 0 )

Div1Div0 EPS1
s= 0D i v 1 =
Div0s=1 t
N P V t N P V
t

18-1
S.

[25] J.Lintner, Distribution and Incomes of Corporations among Dividends,Retained Earnings and Taxes,American
Economic Review(May 1956).
[26] E.Fama and H.Babiak,Dividend Policy :An Empirical Analysis,Journal of the American Statistical Association
63,no.4(1968).
 18 373

()

(Marshall Industries)


S . 1 9 5 4

J.

Edison International
5 0 %

1 9 9 4

J.(Alan J.Fohrer) (CFO)

18.9.2

1 9 9 2
(Pacific Enterprise) [27]
247/8 187/8

18.9.3







(1) NPV
(2)
(3)

N P V
N P V

[27] Larry H.P.Lang and Robert H. Litzenberger,Dividend Announcements:Cash Flow Signalling vs. Free Cash Flow
Hypothesis?Journal of Financial Economics 24(1989), pp. 155-80.

 374

(Apple Computer,)

1976 (Stephen Wozniak) (Steven Jobs)
I
II 1972
II 1980 130000 1.17
1 9 8 0 ( I P O )
( S c u l l y ) ( L i s a1 9 8 3)
( M a c i n t o s h1 9 8 4)
1 9 8 5
(Next)
1 9 8 6 1 9 1 . 5 4
1 9 8 0 1 9 8 6 5 3 1 9 8 6
(Mac Plus) ( I B M )
1 9 8 7
(Sun Microsystem)
- 1 9 8 7
42

1987423 0.12 2-1
1.75 4
8
4 1 9 9 0

1986 1990 19861990 1997 1990~1997

() ()

/ $1902 $5,558 31 $7,081 4

/ 154 475 33 379 NA
/ 66 223 36 63 16
/ $20 $48 24 $24 10
/ 0 0 0 950 NA
/ 0 $0.45 0 100

2 - 1
5 1 0

 18 375

()

. ( B e r k s h i r e
Hathaway) ( 67,000)

1. 1.

2. 2.
NPV



3. 3.

4.

EPS
EPS

18-7 1981~1997
 376

()

1 9 9 0

1 9 9 6 1 9 9 7
1 9 9 7
2 4 1 9 9 0 1 9 8 11 9 9 7 1 8 - 7
1 9 9 2 3 . 7 4 4 . 3 3
1 9 9 3 2 . 4 5 1 9 9 6

1 9 9 6
C l o n i n g

1996 7.42 19973.79

1 8 - 7

18.10
1.


2.

() M M 1 5

3. NPV
4. M M


/ N P V

5.


6.

40 60
4 0 6 0
 18 377

7.
N P V () ()

8. ( )

1.
Miller .M., and F. Modigliani, Dividend Policy, Growth and the Valuation of Shares,
Journal of Business (October 1961).
2.
Bali, R. and G. L. Hite, Ex Dividend Day Stock Price Behavior: Discreteness or Tax-Induced
Clienteles? Journal of Financial Economics (February 1998).
Frank, M., and R. Jagannathan, Why Do Stock Prices Drop by Less than the Value of the
Dividend? Evidences from a Country without Taxes, Journal of Financial Economics (February
1998).
3.
John, K., and J. William, Dividends, Dilution and Taxes: A Signaling Equilibrium, Journal
of Finance (September 1985).
Masulis, R., and B. Trueman, Corporate Investment and Dividend Decisions under
Differential Personal Taxation, Journal of Financial and Quantitative Analysis (December 1988).
M i l l e r, M., and M. Scholes, Dividends and Ta x e s , Journal of Financial Economics
(December 1978).
4.
Walther, Vincent, Dividend Smoothing: A Sleeping Dogs Explanation, (December 1991).
5.
Allen, Franklin, and Roni Michaely, Dividend Policy, Rodney L. White Center for
Financial Research, The Wharton School, University of Pennsylvania, 1994.
6.
Ranking,G..and Earl Stice,The Market Reaction to the Choice of Accounting Method for
Stock Splits and Large Stock Dividends, Journal of Financial and Quantitative Analysis( J u l y
1997).

1.
2.
3.
 378

4.
5.
6.
7.
8. 500 2
17.5375 15
(1)
(2)
9. 10,000 32,000
100 1,545,600 12
(1)
(2)
(3)
4.25
(a)
(b)
10. 20
4 2 0
4 25
(1)
(2) 25
(3) (2)
11. 4 . 5 4 . 5
11 10
(1) 50.5
(2)
(3)
3428
(a)
(b)
(c)

18A

18A.1
1 0 , 0 0 0 6 0 1 0
101 1,1000

( $12) $120,000
200,000
180,000
$500,000
 18 379

, 1 , 0 0 0 1 2 , 0 0 0
(1,00012) 60 48 48,000(1,00048
) 60,000

( $12) $132,000
248,000
120,000
$500,000

18A.2
3 - 1 1
2
3 - 1
30,000

( $430,000) $120,000
200,000
180,000
$500,000

18A.3

18A.4

100 100 110
10 1,000 2-1
2 0 0E P S0 . 5 1 0 5
1 , 0 0 0
( 1 ) ( 2 )

1 0 11 0 E P S 1 0 0
/110=0.909 09 9.090 9 1,000

18A.5
(trading range)
 380

1 0 0
(1 0 0)

18A.6

(Copeland)

[28]
( )
4 0 0
10 10040
4 9 . 55 0
4 9 . 5 5 0
0.5 (
) [29]

18A.7
(reverse split) 3-1 3
1 3

[28]
[29] H . D e m s e t z ,The Cost of Tr a n s a c t i n g ,Q u a rterly Journal of Economics 82(February 1968);H.Stoll,T h e
Supply of Dealer Services in Secutities Markets,Journal of Finance 33(September 1978).


 382

Debt with Options
1 9


2 0



2 1




2 2

2 3


2 4



2 5



19




S E C

19.1
1 9 - 1 1 9 3 3
1934 SEC

(1) ,
(2) S E C (registration statement)

5 0

a. 9
b. 500
5 0 0 A (Regulation A)
A A
150
19-1

1.


2. 20

3.

 384

19-1
 19 385

()

4.


5.
30

(3) SEC (prospectus)

(red herring)


(4)

(5) (tombstone advertisements)1 9 - 1

19.2

S E C 3 5
[1]



19-2

[1]
 386

initial public offeringIPO

(unseasoned new issue)
1 9 9 4 11 6I P O 5 0
(seasoned new issue)

19-2

19.3
(cash off e r )
(investment bankers)


(Goldman, Sachs)(Merrill Ly n c h ) (Salomon Brothers)
1 9 - 3 1 9 9 7 1 9 - 4

19-3 (1997)

1997 1996

/10 () /10 ()

Merrill Lynch $208.1 16.1 $155.2 1 16.0

Salomon Smith Barney 167.0 12.9 126.1 2 13.0
Morgan Stanley Dean Witter 139.5 10.8 91.1 5 9.4
Goldman, Sachs 137.3 10.6 99.1 4 10.2
Lehman Brothers 121.0 9.4 102.3 3 10.6
JP Morgan 104.0 8.0 69.0 6 7.1
Credit Suisse First Boston 67.7 5.2 61.3 7 6.3
Bear, Stearns 57.5 4.4 45.7 8 4.7
Donaldson, Lufkin&Jenrette 46.0 3.6 37.3 9 3.9
Chase Manhattan 33.1 2.6 17.7 11 1.8
10 $1,081.3 83.6 $804.7 83.2
$1,293.0 100,0 $967.6 100.0

1997 1996

/ () /

Merrill Lynch $1,346.6 16.0 1,815 $1,357.2 1

Goldman, Sachs 1,180,0 14.0 1,094 1,205,3 2
Morgan Stanley Dean Witter 873.0 10.4 1,489 940.0 4
Salomon Smith Barney 798.6 9.5 1,203 1,059,8 3
Donaldson, Lufkin&Jenrette 498.1 5.9 329 652.4 5
Lehman Brothers 495.8 5.9 910 490.7 6
Credit Suisse First Boston 368.6 4.4 541 428.6 7
Bankers Trust 314.3 3.7 92 373,6 8
JP Morgan 309.1 3.7 840 250.7 10
NationsBank 228.4 2.7 244 283.0 9
 19 387

()

1997 1996

/ () /

10 $6,412.4 76.0 8,557 $7,041.40

$8,432,0 100.0 12,461 $9,263.60

The Wall Street Journal, January 2,1998, p. R38. Reprinted with permission of The Wall Street
Journal, 1998 by Dow Jones & Company. All Rights Reserved Worldwide.

19-4 (1997)

1997 1996

/10 () ()

Merrill Lynch $ 37.1 7.5 6.4

Goldman, Sachs 31.9 6.4 5.5
SBC Warburg DR 29.0 5.8 6.0
Deutsche Morg. Gren. 28.6 5.8 5.0
Credit Suisse FB 27.1 5.5 3.8
JP Mor gan 23.5 4.7 4.0
Morgan Stanley DW 23.0 4.6 4.9
ABN AMRO HG 22.0 4.4 4.5
Lehman Brothers 18.0 3.6 2.4
Paribas 17.8 3.6 3.5

$ 258.1 52.0 45.9

$ 496.2 100.0 100.0

The Wall Street Journal, January 2, 1998, p.R38.

(1) (firm commitment)









-



 388

(2) (best ef forts)



Jay Ritter
I P O I P O
19-5

3 0

(Green Shoe provision)
[2]
3 0 1 5
3 0

19-5 (1977~1982)

$100,000~1,999,999 243 68 175 0.720

2,000,000~3,999,999 311 165 146 0.469
4,000,000~5,999,999 156 133 23 0.147
6,000,000~9,999,999 137 122 15 0.109
10,000,000~120,174,195 180 176 4 0.022
1,027 664 363 0.353

J.R. Ritter, The Costs of Going Public, Journal of Financial Economics 19 (1987).
Elsevier Science Publishers B.V.(North-Holland).

19.3.1




1 , 0 0 0





[3]

[2]
[3] R. CarterS. Manaster, Initial Public Offerings and Underwriter Reputation.unpublished Iowa
State and University of Utah1988R. BeattyJ.Ritter Investment Banking, Reputation
and the Underpricing of Initial Public Offerings, Journal of Financial Economics1986.
 19 389

M B A

1 9 - 1
A l e x .
Brown & SonsDean Witter Reynolds





(competitive off e r )
(negotiated off e r )







[4]

19.3.2




( I b b o t s o n ) 11 [5]


R i t t e r 1 9 7 71 9 8 2
1 , 0 3 0 [6] I P O
1 4 . 8 I P O 4 7 . 8

19.3.3 ConrailShiva
1 9 8 732 6 C o n r a i l5 , 8 0 0
1 6 . 5 AT & T1 9 8 3 1 5

[4] S. Bhagat The Effect of Management's Choice between Negotiated and Competitive Equity Offerings on
Shareholder We a l t h , Journal of Financial and Quantitative Analysis ( 1 9 8 6)D. Logue R. Jarrow
Negotiation vs. Competitive Bidding in the Sales of Securities by Public Utilities, Financial Management

[5] R. Ibbotson, Price Performance of Common Stock New Issues, Journal of Financial Economcis 2 (1975).
[6] J.R. Ritter, The Costs of Going Public, Journal of Financial Economics (1987).
J. Parsons A. Raviv, Underpricing of Seasoned Issues, Journal of Financial
Economics 14 (1985).
 390

AT & T C o n r a i l Te l e c o m
1984 47.6
C o n r a i l 1 0
Conrail
(1)

(2)

ShivaShiva
19941118 276
15 16.5 31.5
IPO
[7]

19.3.4



IPO



I P O 1 , 0 0 0
?
X Y Z
X Y Z I P O X Y Z



A B C A B C I P O
1 , 0 0 0


I O P

19-1 Jay R. Ritter IPO

IPO

8 0 9 0 2 0
2 0

[7] The New York Times, February 19,1995,Anatomy of a High Flying IPO, Problems and All ,p.7.
 19 391

()

IPO
I P O3 2 ()


() ()

Lee, Taylor & Walter 266 1976~1989 11.9

Aussenegg 61 1984~1995 6.5
Rogiers, Manigart & Ooghe 28 1984~1990 10.1
Aggarwal, Leal & Hernandez 62 1979-1990 78.5
Jog & Riding; Jog & Srivastava 258 1971~1992 5.4
Aggarwal, Leal & Hernandez 19 1982~1990 16.3
Datar and Mao 226 1990~1996 388.0
Bisgard 29 1989~1997 8.0
Keloharju 85 1984~1992 9.6
Husson & Jacquilat; Leleux & Muzyka; 187 1983~1992 4.2
Paliard & Belletante
Ljungqvist 170 1978~1992 10.9
Kazantzis & Levis 79 1987~1991 48.5
McGuinness; Zhao & Wu 334 1980~1996 15.9
Krishnamurti and Kumar 98 1992~1993 35.3
Kandel, Sarig & Wohl 28 1993~1994 4.5
Cherubini & Ratti 75 1985~1991 27.1
Fukuda;Dawson & Hiraki; Hebner & Hiraki; 975 1970~1996 24.0
Pettway & Kaneko; Hamao, Packer, & Ritter
Dhatt, Kim & Lim 347 1980~1990 78.1
Isa 132 1980~1991 80.3
Aggarwal, Leal & Hernandez 37 1987~1990 33.0
Wessels; Eijgenhuijsen & Buijs 72 1982~1991 7.2
Vos & Cheung 149 1979~1991 28.8
Alpalhao 62 1986~1987 54.4
Lee, Taylor & Walter 128 1973~1992 31.4
Rahnema, Fernandez & Martinez 71 1985~1990 35.0
Rydqvist 251 1980~1994 34.1
Kunz & Aggarwal 42 1983~1989 35.8
Chen 168 1971~1990 45.0
Wethyavivorn & Koo-smith 32 1988~1989 58.1
Kiymaz 138 1990~1996 13.6
DimsonLevis 2,133 1959~1990 12.0
Ibbotson, Sindelar & Ritter 13,308 1960~1996 15.8

Jay R.Ritter C o r d e l l

19.4

 392

A s q u i t hM u l l i n sM a s u l i sK o r w a r
M i k k e l s o nP a r t c h

(1)



(2)

19.5

6

(1)
(2)

(3)

(4) 12

(5)

[8]

(6)

L e eL o c k h e a dR i t t e rZ h a o
1 9 - 6
3
(1)

(2) 1 9 - 6

[8] R.Ibbotson Price Performance of Common Stock

New Issues. Journal of Financial Economics 2 (1975)


 19 393
 394

(3)
1 0 , 0 0 1 7 1 9 - 6
1 6 . 3 6

19-7 IPO (19901994)

/ () () () ()

29.99 337 9.05 7.91 16.36 16.36

1019.99 389 7.24 4.39 11.63 9.65
2039.99 533 7.01 2.69 9.70 12.48
4059.99 215 6.96 1.76 8.72 13.65
6079.99 79 6.74 1.46 8.20 11.31
8099.99 51 6.43 1.44 7.91 8.91
100199.99 106 6.03 1.03 7.06 7.16
200499.99 47 5.67 0.86 6.53 5.70
500 10 5.21 0.51 5.72 7.53
1,767 7.31 3.69 11.00 12.05

IPO
1 9 - 7 1 9 - 6I P O

11
12
Inmoo Lee, Scott Lockhead, Jay Ritterand Quanshui Zhao, The Costs of Raising Capital.
Journal of Financial Research 1 (Spring 1996).

19.6




3 0
1 0

19.6.1
(National
Power Company) 19-8
2 0 0 1 0 0 2
10 10 20
500
 19 395

19-8

$10,000,000
10,000,000

$20,000,000


$3,030,303
(34) 1,030,303
$2,000,000
2
1,000,000
20
$20,000,000

(1)
(2)
(3)

19.6.2
(subscription price)

1 3 1 5
1 5 1 3
10 20

19.6.3
5 0 0 1 0
5 0 0,0 0 0
$5,000,000
= = = 500,000()
$10

100


1,000,000
= = = 2
500,000

2 10
 396

500

5 0 0

$20 250,000 4
10 500,000 2

5 1,000,000 1

19.6.4
1 0 2 0

219-9
20 220=40
2 2 2
1 0
3 4 0 + 10 = 50 4 0
10 3 50/3 = 16.67

19-9

2
$20
$40

$10
2
2

3
$50
$16.67

$20$16.67=$3.33

($16.67$10)/2=$3.33

2 0 1 6 . 6 7
2016.67= 3.33
(ex-rights date)

2 0
 19 397

16.67
1 9 - 1 0
1 5 0 2 , 5 0 0
16.672,500/150
19-10

1,000,000
$20
$20,000,000

$10
1,000,000
2

1,500,000
$16.67
$25,000,000
$20$16.67=$3.33
($16.67$10)/2=$3.33

2 3 . 3 32 = 6.67
10 10 + 6.67 = 16.67
16.67
1 6 . 6 7

19.6.5

2 4 0
503
1 0 1 0

3 . 3 3 2 3 . 3 3 2 = 6.67 2
16.67

= 2$16.67 = $33.33
= 2$3.33 = $6.67
= $40.00

19.6.6

(standby underwriting)

 398
 19 399

(standby fee)

1 0
(oversubscription privilege)

19.7
( S m i t h )
[9]
1 911
6 . 1 76 . 0 52 . 4 5



9 0

(1)
52 344

(2)

1 9 - 11
2 4

(3) ( a ) ( b )
( c )
(d)

( B o o t h ) [10]

19.8
SEC (shelf registration)




(1)

[9] C.W.Smith,Jr., Alternative Methods for Raising Capital: Rights versus Underwritten Offerings, Journal of
Financial Economics 5 (December 1977).
[10] J.BoothR. Smith, The Certification Role of the Investment Banker in New Issue Pricing, Midland Corporate
Finance Journal (Spring 1986).
 400

(2) 12
(3) 750
(4) 12 1934
Hersman


Middle South UtilitiesNiagara MohawkPacific Gas & ElectricSouthern Company

(1)

(2)
B h a g a tM a r rT h o m p s o n

[11] [12]

19.9



(venture capital) [13]

19.9.1

/10

19-2
The Wall Street Journal, January 2, 1998, p. R38. Patrick McGreehanMoney Raised
in Private Placement of Issues Doubles as Companies Take Advantage of SEC's Rule 144A.

[11] S.Bhagat, M.W. Marr, and G.R. Thompson, The Rule 415 Experiment: Equity Markets, Journal of Finance 19
(December 1985).
[12] R.RogowskiE.Sorenson, Deregulation in Investment Banking: Shelf Registration, Structure and Performance,
Financial Management (Spring 1985).
[13] S.E.Pratt, Overview and Introduction to the Venture Capital Industry, Guide to Venture Capital Sources, 10th ed.,
1987 (Venture Economics. Laurel Avenue, Box 348, Wellesley Hills, MA 02181).
 19 401

1 9 9 0S E C 1 4 4 A
1 4 4 A
1 9 9 7 S E C 2 , 5 0 0
1 9 - 2 1 4 4 A 1 4 4 A
1 9 9 61 9 9 7 1 4 4 A
1

19.9.2








19.9.3







1 9 4 6 ( A m e r i c a n
Research and DevelopmentA R D A R D
(Digital Equipment D E C ( Te x t r o n )1 9 7 2 A R D
8 5 A R DD E C [14]
Arthur Rock & Co

2 , 0 0 0 P r a t t
(Guide to Venture Capital) [15]
1 0 02 0 0




MaierWalker 2 [16]
Drexel Burnham Lambert

[14] H.Stevenson, D.Muzka, and J.Timmons, Venture Capital in Transition: A Monte-Carlo Simulation of Changes in
Investment Patterns. Journal of Business Venturing (Spring 1987).
[15] Pratt, Overview and Introduction to the Venture Capital Industry.
[16] J.B. Maier and D.Walker, The Role of Venture Capital in Financing Small Business, Journal of Business
Venturing (Summer 1987).
 402

L a m b d a (Manufactures Hanover) ,
(Chemical Bank)

[17]

We t z e l




We t z e l 1 0
1 0 0


We t z e l 5 0 0

25

19.9.4
A.V. BrunoT. T. Tyebjee [18]
(1)

(2)

(3)
(4)
(5)
mezzanine financing
(6)
bridge financing


[19]


I P O 1 9 - 3 1 9 - 3
19781992 IPO
IPO

[17] W.E. Wetzel, The Informal Venture Capital Market: Aspect of Scale and Market Efficiency, Journal of Business
Venturing (Fall 1987).
[18] A.V. Bruno and T.T. Tyebjee, The Entrepreneurs Search for Capital, Journal of Business Venturing (Winter 1985).
[19] Christopher Barry, Chris J.Muscarella, John W. Peavy III Michael R.Vetsuypens The
Role of Venture Capital in the Creation of Public Companies: Evidence from the Going Public Process, Journal of
Financial Economics 27 (1990)

 19 403

(1/1/78=1)

IPO

1/78 1/79 1/80 1/81 1/82 1/83 1/84 1/85 1/86 1/87 1/88 1/89 1/90 1/91 1/92

19-3
IPO(19781~19929)

Joshua Lerner, Venture Capitalists and the Decision to Go Public, Journal of Financial
Economcis 35 (June 1994).

IPO


(Medstone InternationalI n c . )

1 9 8 4
1 9 8 41 9 8 6
1 9 8 6 1 0 5 0
ST 1050 ST
1987 1050 ST

1986 1987

$ 25 $ 6, 562
(1,698) 680
865 3, 205
6,062 5, 517
(5,197) (2,312)

1 9 8 81 F D A
1 9 8 8

 404

()
Weeden Co. 1 9 8 86
I P O 1 3 1 0 0 1 , 1 7 0
4 5 0 3 5 0
100

$13,000,000 $1,300,000 $11,700,000

13,000,000 1,300,000 11,700,000

1 3 1 8 (
38.5)
IPO

1984
FDA

F D A F D A
F D A

1050 ST

IPO
IPO
(1) I P O
I P O

(2) 1050 ST
IPO

[20]
(3)

19.10

1.
2.

3.

[20] J.R.Ritter, The Long-Run Performance of Initial Public Offerings, Journal of Finance (March 1991).
T.Loughran and J.R. Ritter, The New Issues Puzzle, Journal of Finance (March 1995).
 19 405

4.

5.

IPO




A

1.
Ritter, J.R. The Cost of Going Public. Journal of Financial Economics 19 (1987).
Smith, C.W., Jr. Alternative Methods for Raising Capital: Rights versus Underwritten
Offerings. Journal of Financial Economics 5 (December 1977).
2.
Ibbotson, R.G. Price Performance of Common Stock New Issues. Journal of Financial
Economics 2 (1975).
Ritter, J.R. The Hot IssueMarket of 1980. Journal of Business 32 (1984).
Rock, K. Why New Issues Are Underpriced. Journal of Financial Economics 15 (1986).
3. 415
Bhagat, S.; M.W. Marr; and G.R. Thompson. The Rule 415 Experiment: Equity Markets.
Journal of Finance 19 (December 1985).
Hershman, A. New Strategies in Equity Financing. Dunn's Business Monthly (June 1983).
4.
Asquith, P., and D. Mullins. Equity Issues and Offering Dilution. Journal of Financial
Economics 15 (1986).
Masulis, R., and A.N.Korwar. Seasoned Equity Offerings: An Empirical Investigation.
Journal of Financial Economics 15 (1986).
Mikkelson, W. H. and M. M. Partch. The Valuation Effects of Security Offerings and the
Issuance Process. Journal of Financial Economics 15 (1986).
5.
Hansen, R. Evaluating the Costs of a New Equity Issue. Midland Corporate Finance
Journal (Spring 1986).
Ibbotson, R.G.; J.L. Sindelar; and J.R. Ritter. Initial Public Offerings. Journal of Applied
Corporate Finance 1 (Summer 1988).
6. IPO
R i t t e r, J.R. The Long-Run Performance of Initial Public Off e r i n g s . Journal of Finance
(March 1991), pp. 3-27.
 406

7.
Board of Governors of the Federal Reserve System. The Economics of the Private Equity
Market (December 1995).

1.
2.
3.
4.

5.
6. 19-619-7
7.
8.
9.
10.
11.
12.
13.
14.
15.
16. 144A
17. Newton Company1 0 , 0 0 0 1 04 0
5 , 0 0 0 4 0 2 0 1 0

18. Bountiful Beef Processors BBP BBP240
1,200 15
a. BBP ?
b. ?
c.
19. Jelly Beans 25 10
20 1
a. ?
b. ?
c. ?
d. ?
20. 45
10
a.
b.
c.


20









(1)
(2)

20.1

( )
( ) [1]
[2]

20-1

$10,000 10,000
10/21/95 19951021
12/31/24 30
$1,000 1,000
10.5 1 , 0 0 0
105
100 100 1,000
10.5 1 0 . 5

12/31,6/30

[1] 13~5
[2]
 408

()

2005 80
2005 20051231
$1,100 1,100
Aaa

20.2
(public issue)

(the Security and Exchange Commission)
20

( i n d e n t u r e ) ( )
[3]
(1)
(2) (3)

(1)
(2)
(3)
(4)
(5)

20.2.1
1 , 0 0 0
( )

20-1
(Black Corporation)100100
1 0 0 , 0 0 0 1 0 0
1,000 1,000
971,00097 970

[3]
 20 409

()

12205011

2 0 5 011 1 0 0 , 0 0 0 1 9 9 01
1 1 2
7111

41 11 1 2
3 1 2 1 3 3
1 0 0 3 3 0 71 6 0
3 0 3(4171)
30

7111 61 5 1 21 5

(
) (bearer)



1 , 0 0 0 1 2

( 1,000 )

20.2.2

20-2
(Railroad Holding Company) ( Track Inc.)

(U.S. Sur Bank)

[4]

[4]
 410

20-3
(Miami Bond Company) 1 , 0 0 0 4 0 0




2 0 0
6 0 0 4 0 0
4 / 66 7


1 9 9 4




( d e b e n t u r e )

20.2.3
(protective covenant)
(negative covenant)

(1)
(2)
(3)
(4)
(5)
(positive covenant)
(1)
(2)

20.2.4
( )






 20 411

510




(1)

(2)

20.2.5

1 , 0 0 0
(call premium) 1 0 5 1 , 0 0 0 1 0 5
5 0

1 0
(deferred call)
(call-protected)

20.3
(refunding)

(1)
(2)

20.3.1







[5]

20-4
(Kraus Intercable Company) 1 , 0 0 0 1 0
[6] 100

[5] A. Kraus, An Analysis of Call Provisions and the Corporate Refunding Decision , Midland Corporate Finance
Journal 1(Spring 1983), p. l.
[6]
 412

()

(1) 6 2/3 1,500
(2) 20 500
10
[7]

1 +
1+r

$100 + (0.5 $1,500) + (0.5 $500)

=
1.1
= $1,000

100 1 [8] 1,100(
1,000 1 0 0 ) 1,100
1 , 5 0 0
1,100 500
1 , 1 0 0
1 0 0 6 2 3 1 , 5 0 0( 1 0 0/0.066 7)
4 0 0( 1 , 5 0 0 1 , 1 0 0)
106 2 3 400

1,000 100
1 , 0 0 0

6 2 3 1 , 1 0 0
1 , 1 0 0 C

$1,000 + C

2 0

C
+C
0.20

C / 0 . 2 0

C

[7] 10%

[8]
 20 413

C
($1,100 +C ) 0.5 + ( + C) 0.5
0.20

10
C
$1,000 = ($1,100 + C ) 0.5+ ( + C) 0.5
0.20

C C= 1 5 7 . 1 4
15.714
1 0
1 5 . 7




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


( )













( )


[9]


( K r a u s )

[9] Z. Bodie and R. A. Taggart, Future Investment Opportunities and the Value of the Call Provision on a
Bond, Journal of Finance 33 (1983), p. 4.
 414

[10]

20.3.2 :
MM (Modigliani-Miller theory)








3 0
3 0

20.4
(Moody's Investor
Service)(Standard & Poor's)
(1)(2)
20-2
AAAAaa AAAAaa
D 20
8 0
(
BBBBaa )

[11]

[12]

[10] A. Kraus, An Analysis of Call Provision and the Corporate Refunding Decision, Midland Corporate
Finance Journal 1 (Spring 1983).


[11] M. Weinstein, The Systematic Risk of Corporate Bond, Journal of Financial and Quantitative Analysis
(September 1981)J.P. Ogden, Determinants of Relative Interest Rate Sensitivity of Corporate Bonds, Financial
Management (Spring 1987); F. Reilly and M. Joehnk, The Association between Market-Based Risk Measures
for Bonds and Bond Ratings, Journal of Finance (December 1976).
[12] M. Weinstein, The Effect of a Ratings Change Announcement on Bond Price, Journal of Financial
Economics 5 (1977)., Robert W. Holthausen and Richard W. Leftwich, The Effect of Bond Rating Changes on
Common Stock Prices, Journal of Financial Economics 17 (September 1986)

 20 415

20-2

AAA AA A BBB BB B CCC CC C D
Aaa Aa A Baa Ba B Caa Ca C D
A +A
A-A 1231

Aaa AAA A a a A A A

Aa AA A a A A

A A A

Baa BBB B a a B B B



Ba BB BaBB
B B CaCC
Caa CCC
Ca CC
C C
D D D

B B B a (junk bonds)


2 0 - 1 ( 1 ) 2 7
( 3 ) 1 9 7 11 . 2 4 1 9 9 11 0 . 2 7
2

7 0 (Michael Milken) ( W h a r t o n
S c h o o l )


DBL(Drexel Burnham Lamber)

D B L
 416

D B L




D B L

20-1 (19711997)

1997 $335,400 $4,200 1.252

1996 271,000 3,336 1.231
1995 240,000 4,551 1.896
1994 235,000 3,418 1.454
1993 206,907 2,287 1.105
1992 163,000 5,545 3.402
1991 183,600 18,862 10.273
1990 181,000 18,354 10.140
1989 189,258 8,110 4.285
1988 148,187 3,944 2.662
1987 129,557 7,486 5.778
1986 90,243 3,156 3.497
1985 58,088 992 1.708
1984 40,939 344 0.840
1983 27,492 301 1.095
1982 18,109 577 3.186
1981 17,115 27 0.158
1980 14,935 224 1.500
1979 10,356 20 0.193
1978 8,946 119 1.330
1977 8,157 381 4.671
1976 7,735 30 0.388
1975 7,471 204 2.731
1974 10,894 123 1.129
1973 7,824 49 0.626
1972 6,928 193 2.786
1971 6,602 82 1.242

Edward I . Altman, Defaults and Returns on High Yields Bonds: Analysis through 1997,
New York University Salomon Center, 1998.

[13]

[13] Y. Amihud and H. Mendelson, Asset Pricing and the Bid-Ask Spread, Journal of Financial
Economics (December 1986).
 20 417

(
) [14]

20-3
2 0
/



1997
1997
8 5 1 9 9 8 4 , 5 0 0
10
1 9 9 7


1 9 8 31 9 8 4

D B L D B L

8 0 D B L

19902
1 9 8 51 9 8 9

6 : 1

1 9 8 9R J R
( RJR Nabisco)250
6 0 2 53 0 (
) 1 01 5



1 9 9 8 S & L s

[14] Paul Asquith, David W. Mullins,Jr.,

and Eric D. Wolff, Original Issue High Yield Bonds: Aging Analysis of Defaults, Exchanges, and Calls, Journal
of Finance (September 1989)30%
198812311977197834%20-1
Edward I. Altman, Setting the Record Straight on Junk Bonds: A Review of the
Research on Default Rates and Returns, Journal of Applied Corporate Finance (Summer 1990)
5%30%
 418

()

1989 4 1990 1991
1 0 1 9 0 1 9 9 0

1 9 9 1


9 0
1 9 9 2 3 8 0
1 9 9 7 1 , 2 0 0
(1 9 7 11 9 9 7
3 . 5 1 9 9 31 9 9 7 2)
1 0~ 2 0 -
( C B O ) 1 4 4 A
8 0 9 0

(Edward I.Altman) L(Max L. Heine)
(Salomon Center at the Stern School of Business of New Yo r k
University)

20-2 (19901994)

/ () () () () () () () ()
2~9.99
10~19.99
20~39.99
40~59.99
60~79.99
80~99.99
100~199.99
200~199.99
500

Inmoo Lee, Scott Lochhead, Jay Ritter, and Quanshui Zhao, The Costs of Raising Capital,
Journal of Financial Research 1 (Spring 1996).

 20 419

( P e r r y )
( Ta g g a r t )
[15]
1 9
2 0 - 2

20.5

20.5.1


(floating-rate bonds)
3 0 1 9 9 4 ( C i t i b a n k )
85000 1989 90
1
61
345 6

(1)

(2)
8 14


[16]




( )

[15] K. Perry and R. Taggart, The Growing Role of Junk Bonds in Corporate Finance, Journal of Applied
Corporate Finance (Spring 1988).
[16] B. Cornell, The Future of Floating Rate Bonds, in The Revolution in Corporate Finance, ed. by J. M. stern
and D. H. Chew. Jr. (New York: Basil Blackwell,1986).
 420

[17]


[18]

20.5.2
( o r i g i n a l - i s s u e
discount bonds) (deep-discount bonds) (pure-discount bonds)
(zero-coupon bonds)
1 0 D D B(DDB Company) 1 , 0 0 0 5
6 2 1= 1 , 0 0 0/ ( 1 . 1 0 ) 5 6 2 1

5
1,000,000 5
1,000,0005

1,000,000
5
5
5 1,000,000
1 5
1 54 1 5 0 , 0 0 0 1 5 0 , 0 0 01 5
[19]
1 5 0 , 0 0 0



1,000,000

20.5.3
(income bonds)

[17]

[18] Cox, Ingersoll, and Ross J. Cox J. Ingersoll, and S. A. Ross, Analysis
of Variable Rate Loan Contracts, Journal of Finance 35 (May 1980)
[19] 15161718

 20 421

(1)

(2)


(McConnell) (Schlarbaun)
[20]

20.6
5 0
1~5

(private placement)


(1)
(2)
(3)

(4)

(5)
( H a y s )
( J o e h n k ) ( M e l i c h e r )
0 . 4 6

20.7

1.

2.

3.

[20] J. McConnell and G. Schlarbaum, The Income Bond Puzzle, in The Revolution in Corporate Finance, ed.
By J. M. Stern and D. H. Chew, jr. (New York: Basil Blackwell, 1986).
 422

4.


5.





6.

Fabozzi, F.J., and T.D. Fabozzi, eds. The Handbook of Fixed Income Securities.4th ed.
Homewood, Ill.: Irwin Professional Publishing, 1995.

1.
2.
3.
4.
5.
6.
7.
8.
9. KIC(KIC Inc.) 5 0 0 1 , 0 0 0
12 11 147

(1) KIC
(2) 1 , 4 5 0 ( 1 )

10. (Illinois Industries) 1,000
8 8 6
65 9 35
 20 423

(1)
(2)
( )

(3)
11. (Hudson River Electronics) 50,000 9
(1,000)1,090
5 0 , 0 0 0 7
8,000 (
)


21



1973

21.1
( o p t i o n )
20101
1 0 0



(1) (exercising the option)

(2) (striking or exercise price)

(3) (expiration date)
(4) (American and European options)

21.2
(call option)


IBM Chicago Board Option Exchange
I B M IBM
I B M
1 9 X X71 5 1 5 0 1 0 0I B M I B M
19XX715 150

I B M 1 8 0
30 150
 21 425

2 51 5 0/ 6 6 0 0
100 [1]

S T
5 0
ST50 ST50
ST>50
6 0 5 0
[2] 6 0
5 0 6 0 1 0
6050 [3]
ST<50
4 0
5 0 4 0
ST< 5 0
0 S T5 0

S T$50 S T>$50
0 ST $50

(C)
/

(ST)
/

21-1
S T>50, S T= 50S T 50 = 0

[1] IBM

[2]
[3] 5 0 5 0 1 0 0
1,000[(6050)100]
 426

2 1 - 1 ST< 5 0
S T> 5 0
1 1

21-1
1 0 0I B M
1 5 0 I B M I B M
2 0 0 1 5 0 1 0 0I B M
200 100 5,00010050
I B M 1 0 0
IBM 0

21.3
(put option)

5 0 S T
5 0 ST> 5 0
ST< 5 0 ST
5 0 4 0
4 0 5 0 1 0
5040

(P)
/

(ST)
/

21-2
S T50, = 0S T <50 = 50 S T

S T<$50 S T$50

$50S T 0
 21 427

2 1 - 2 21-2 2 1 - 1

21-2
BMI 160
1 5 0 1 0 0B M I
B M I 2 0 0 1 5 0
200
B M I 1 0 0
1 5 0 1 0 0BMI 1 0 0
1 0 0B M I 1 5 0 5 , 0 0 0
10050 5,000

21.4
, ( )





6 0 5 0 6 0
50 105060


4 0 5 0
5 0
5 0 4 0 1 0
4050

/ / /

(ST)/
(ST)/ (ST)/

21-3
 428

2 1 - 3
5 0 5 0
5 0
5 0


0

21.5
, 2 1 - 1
1 9 9 842W S J

3
1 9 9 841 9 0 8 4
1
8 5 6 8
6 1 2 . 5 1 0 06 1 8
4 9 0 2 9 16 1 0 8 5

4 95 5
21-1

4 7 10 4 7 10

1
90 3 8 85 6 8 9 34 9
16 3 12

7
90 3 8 90 2 916 7 14 9 8 2 5 7

3 11 3
90 8 95 16 4 4 5 8

: Data from The Wall Street Journal, April 2, 1998.

21.6
2 1 - 4



2 1 - 4 2 1 - 1
2 1 - 4 2 1 - 3

 21 429

/
/ /

(ST ) (ST) (ST)

21-4

21-3
55
44
5834

58 34

$58 $34

0 $21 =$55$34

$3 = $58$55 0( )

$55 $55

55

$50 = $44 7 +$1

 430

58 34

0 0


$55 $55

$55 $55

55

44 7 1 [4]

10
5 0 5 5 1 0
6
49 12.2 55/491

+ =

$55
$44 + $7 $1 = $50 =
1.10

(put-call parity)
[5]

1 0 0 1 9 ( R u s s e l l
S a g e )

21.7

[6]

[4] 11 5 5 4 4
7 4 74 4
+55
[5]
[6]

 21 431

21.7.1
6 0 5 0
1 0 9

1 $9
2 $50

3 +$60
+$1

106050 [7]
1 0 6 0
1 0


21-5

21-5
(1) (2) (3) (4)
(5)

21.7.2
2 1 - 5

[7]
 432

[8]


2 1 - 6

21-6

1 0 0 0 . 5 8 0
0 . 5 11 0

2 0
20 60 120

1 1 1 1
2 $80 + 2 $100 = $90 = 2 $60 + 2 $120

1 2 0 11 0
1 0

[8]




 21 433

2 1 - 7 AB
[9] B A
B
B
A
B A
B

21-7 AB

B B A

21.7.3

2 1 - 2

(1)

(2) 1

(3)

[9]

 434

21-2

+
+
+ +
+
+ +

+ +

(4)
[10]


(5)

21.8

(1)
(2)
(3)
(4)
(5)
-
Black-Scholes -
-


N P V
N P V





-

[10]
 21 435

21.8.1

50 6040 100
50 10
5 0


1 , 8 1 8 1 0 2 , 0 0 0 1 , 8 1 8
1.10

60 40

1. 100$60$50 = $1,000
100
2. 50 50$60 = $3,000 50 $40 = $2,000
1,818 $1,818 1.10 =$2,000 $2,000
2 $1,000 0

501,818

50 50$50 = $2,500
10$1,818 $1,818
$ 682

682



5 0

21.8.2 -



[11]

[11] J.Cox and M.Rubinstein Option Market

Eglewood CliffsN.J.: Prentice Hall1985,Chapter 5.
 436

- BS

-
(d 1)- E e-rtN(d 2 )
C=SN
d1 = [ln(S/E ) + (r + 12S )t]/ S t
2 2

d 2 = d1 S 2t

C
S
E
r
2

t

N(d) d

21-4
PEC19X0104PEC49
4 50 104 199
19X1421 7

(1) E50
(2) E49
(3) r0.07
t t
(4) 199 t=199/365
SE

t
1 04



1 9 8 71 01 9

[12]

(5) 0.09
PEC -
1d1d2

[12] Cox RubinsteinOption Markets

 21 437

()

t
d 1 = In + r +
S 1 2 2
t
E 2

50 199
= In + 0.07 + 0.09
1 199
0.09
49 2 365 365
= ( 0 . 0 2 0 2+ 0.0627)/0.2215
= 0.3742
d2 = d1 2
t
= 0.1527

2 N(d 1)N(d 2)N(d1)N(d2) 2 1 - 8

0 1 (Standardized normal distribution)
1 + 1
68.26

1 0 0.374 2

21-8
0.374 2 0.645 9
N(0.374 2)=0.645 90.374 2 0.645 9

0 5 0
0 (cumulative probability)50 N(0)=50

N( d1 ) = N (0.374 2) = 0 . 6 4 5 9
N( d2 ) = N ( 0 . 1 5 2 7 =) 0 . 5 6 0 7

64.59 0.374 2
5 6 . 0 7 0.152 7 N(d)
d N(d)d dd 2
0N(d1)N(d2) 0.50
2 1 - 3 d= 0 . 3 7 0 . 3
0.07 0.37 0.144 3 0.37

N(0.37) = 0.50 + 0 . 1 4 4 3= 0 . 6 4 4 3
N( 0.37) = 0.50 0 . 1 4 4 3= 0 . 3 5 5 7

0.374 2
 438

()

N(0.374 2)N(0.37)=0.644 3N(0.38)=0.648 00.003 7

0.648 00.644 30.374 20.370.3843 [13]

N(0.374 3)=0.644 3+0.430.003 7=0.645 9

21-3

d 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09

0.0 0.000 0 0.004 0 0.008 0 0.012 0 0.016 0 0.019 9 0.023 9 0.027 9 0.031 9 0.035 9
0.1 0.039 8 0.043 8 0.047 8 0.051 7 0.055 7 0.059 6 0.063 6 0.067 5 0.071 4 0.075 3
0.2 0.079 3 0.083 2 0.087 1 0.091 0 0.094 8 0.098 7 0.102 6 0.106 4 0.110 3 0.114 1
0.3 0.117 9 0.121 7 0.125 5 0.129 3 0.133 1 0.136 8 0.140 6 0.144 3 0.148 0 0.151 7
0.4 0.155 4 0.159 1 0.162 8 0.166 4 0.1700 0.173 6 0.177 2 0.180 8 0.184 4 0.187 9
0.5 0.191 5 0.195 0 0.198 5 0.201 9 0.205 4 0.208 8 0.212 3 0.215 7 0.219 0 0.222 4
0.6 0.225 7 0.229 1 0.232 4 0.235 7 0.238 9 0.242 2 0.245 4 0.248 6 0.251 7 0.254 9
0.7 0.258 0 0.261 1 0.264 2 0.267 3 0.270 4 0.273 4 0.276 4 0.279 4 0.282 3 0.285 2
0.8 0.288 1 0.291 0 0.293 9 0.296 7 0.299 5 0.302 3 0.305 1 .0307 8 0.310 6 0.313 3
0.9 0.315 9 0.318 6 0.3212 0.323 8 0.326 4 0.328 9 0.331 5 0.334 0 0.336 5 0.338 9
1.0 0.341 3 0.343 8 0.346 1 0.348 5 0.350 8 0.353 1 0.355 4 0.357 7 0.359 9 0.362 1

1.1 0.364 3 0.366 5 0.368 6 0.370 8 0.372 9 0.374 9 0.377 0 0.379 0 0.381 0 0.383 0
1.2 0.384 9 0.386 9 0.388 8 0.390 7 0.392 5 0.394 4 0.396 2 0.398 0 0.399 7 0.401 5
1.3 0.403 2 0.404 9 0.406 6 0.4082 0.409 9 0.411 5 0.413 1 0.414 7 0.416 2 0.417 7
1.4 0.419 2 0.420 7 0.422 2 0.423 6 0.425 1 0.426 5 0.427 9 .0429 2 0.430 6 0.431 9
1.5 0.433 2 0.434 5 0.435 7 0.437 0 0.438 2 0.439 4 0.440 6 0.441 8 0.442 9 0.444 1

1.6 0.445 2 0.446 3 0.447 4 0.448 4 0.449 5 0.450 5 0.451 5 0.452 5 0.453 5 0.454 5
1.7 0.455 4 0.456 4 0.457 3 0.458 2 0.459 1 0.459 9 0.460 8 0.461 6 0.462 5 0.463 3
1.8 0.464 1 0.464 9 0.465 6 0.466 4 0.467 1 0.467 8 0.468 6 0.469 3 0.469 9 0.470 6
1.9 0.471 3 0.471 9 0.472 6 0.473 2 0.473 8 0.474 4 0.475 0 0.475 6 0.476 1 0.476 7
2.0 0.477 3 0.477 8 0.478 3 0.478 8 0.479 3 0.479 8 0.480 3 0.480 8 0.481 2 0.481 7

2.1 0.482 1 0.482 6 0.483 0 0.483 4 0.483 8 0.484 2 0.484 6 0.485 0 0.485 4 0.485 7
2.2 0.486 1 0.486 6 0.483 0 0.4871 0.487 5 0.487 8 0.488 1 0.488 4 0.488 7 0.489 0
2.3 0.4893 0.489 6 0.489 8 0.490 1 0.490 4 0.490 6 0.490 9 0.491 1 0.491 3 0.491 6
2.4 0.4918 0.4920 0.4922 0.492 5 0.492 7 0.492 9 0.493 1 0.493 2 0.493 4 0.493 6
2.5 0.493 8 0.494 0 0.494 1 0.494 3 0.494 5 0.494 6 0.494 8 0.494 9 0.495 1 0.495 2

2.6 0.495 3 0.495 5 0.4956 0.4957 0.495 9 0.496 0 0.496 1 0.496 2 0.496 3 0.496 4
2.7 0.496 5 0.496 6 0.496 7 0.496 8 0.496 9 0.497 0 0.497 1 0.497 2 0.497 3 0.497 4
2.8 0.497 4 0.497 5 0.497 6 0.497 7 0.497 7 0.497 8 0.497 9 0.497 9 0.498 0 0.498 1
2.9 0.498 1 0.498 2 0.498 2 0.498 2 0.498 4 0.498 4 0.498 5 0.498 5 0.498 6 0.498 6
3.0 0.498 7 0.498 7 0.498 7 0.498 8 0.498 8 0.498 9 0.498 9 0.498 9 0.499 0 0.499 0

N(d) d 1 = 0 . 2 4 0.500 0 + 0.094 8 =

0.594 8d 10.245 2 N(0.25)N(0.24)

[13]
 21 439

()

3C
C = S [N( d1 )] Ee n [N( d2 )]
= $50 [N (d 1 )] $49 [e0.07(199/365) ] N (d 2 )
= ($50 0 . 6 4 5 9 ) ($49 0 . 9 6 2 6 0.5607)
= $32.295 $26.447
= $5.85
5.85 4 -
-

-
S
Er 2






-
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
-

21.9






(1)
(2)
(3)

 440

21-5


8 0 0

$1,000 $850 $700 $550

$800 $800 $700 $550

$ 200 $50 0 0

21.9.1
21-9
8 0 0
8 0 0

45

21-9

8 0 0

 21 441

800
8 0 0 8 0 0
2 0 0 1 , 0 0 0 8 0 0
50850-800
800

800
8 0 0 8 0 0
21-10

21-10

(1)
(2) 800
800
8 0 0
800

21.9.2



(1)
(2) 800


(3) 8 0 0


8 0 0 8 0 0

8 0 0 8 0 0
8 0 0

 442

800
800

(1) 800
(2) 800
800
8 0 0 8 0 0

8 0 0
800
800

= -
8 0 0

21.9.3

21-4
21-4

1. 800 1.
2.

1. 1. 800
2. 800 2.
3. 800

21-1
+ =

21-1

= + 21-2


2 1 - 1 2 1 - 2
8 0 0
2 1 - 2 2 1 - 1

2 1 - 2 2 1 - 4 2 1 - 2


21-2
 21 443

- = 21-3

21-3 21-4 21-3

2 1 - 4

21.9.4

= +

1 9 7 1
(Lockheed Corporation)1 9 8 0





(1)

(2)

21.10



[14]

[14]


 444

21.10.1

= +

0.5 $400 = 0 + $400

0.5 $800 = $400 + $400

4 0 0 8 0 0
6 0 0( 0 . 54 0 0+ 0 . 58 0 0) 4 0 0

= +

0.5 $200 = 0 + $200

0.5 $1,000 = $600 + $400

6 0 0( 0 . 52 0 0+ 0 . 51 , 0 0 0)
3 0 0( 0 . 50 + 0 . 56 0 0
) 2 0 0( 0 . 50 + 0 . 54 0 0)


400
400



2 1 - 4

21.10.2

 21 445

21.11

0
NPV

21-6

1 0 , 0 0 0 5 0 0 , 0 0 0
1 0 , 0 0 0
2 0 1 6
4 4
1 0
NPV

$110,000 =$10,000$500,000 + ($410,000)/0.10 (21-4)

O P E C
3 5
National Motors
5

35 NPV

$1,390,000 =$10,000$500,000+$35$1610,000/0.10

5 NPV

(1)
(2)



 446

()

N P V11 0 , 0 0 0
5
10,000 35
5 0 0 , 0 0 0
5 0 0 , 0 0 0
[15]



3 5 N P V1,390 000 1 0 , 0 0 0




5 0 0 , 0 0 0



N P V

21.12

1.


2.

-

+ =

3.





-
 21 447

4.
a.
b.
c.
d.

1.
BlackFisherand Myron Scholes.The Pricing of Option and Corporate Liabilitie.
Journal of Political Economy 81May-June 1973.
2.
Cox, J.C., and M. Rubinstein. Options Markets. Englewood Cliff sN. J. Prentice Hall
1985.Section 7.3 analyzes corporate securities.

1.
2.
3.
4.
5.
6.
7.
8.
9. -
10.
11.
12.
13.
14.
a.
b.
c.
d.
e.
f.
15.
16. 40
35 4 1 2
 448

17. 4 218
45
a.
b.
c. 35
18. 1 0I B M 5I B M
80
19. 50
a. 55
b. 45
c.
20. 50
a. 55
b. 45
c.
21.
70 75
100-
a. 6 5
72 80
b.
22. 1 0 0

a. 130
b. 90
23.
40 8
2 1 0

24. 1 4 5
1 6 0
0.5 172 0.5 138

a.
b. a
25.
= $50 $8
$60
a.
b.
c.
d.
26.
27.
 21 449

28. a.
b.
29. 100-
12095
96 112 32 10

30. 30 2535
5 3 2

31.
6 0 4 0 5 5 5 0
9
32. -
= $62
= $70
= 4
= 0.35
= 0.05
33. -
= $52
= $48
= 120
= 0.04
= 0.05
34. a. -
= $45
= $52
= 6
= 0.40
= 0.065
b.
35. a. -
= $70
= $90
= 6
= 0.25
= 0.06
b.
36.
35 7 37
0.004
a. -
b. 0.006 4
c. 35 b
 450

37.
25 120 27 7
0.057 6

38.
39.
6 . 5 2 . 5 4
3 7

40.
8 1



22

21






NPV



2 1 -

-

22.1
22.1.1

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

22-1 19941996 10 CEO

22-1 19941996

/ /

D. 8,000 $617,280
I. 6,963.5 250,969
B. 2,950 110,824
A. 1,800 63,195
C. 1,000 57,560
R. 1,191 56,965
 452

()

/ /

C. 1,500 50,625
F. 753 49,472
L. 1,417 47,658
H. 693 41,508

1 9 9 41 9 9 6

John Balkcom, Sibson & Company.

(1)

(2)

(3)
(4)

22-1

( S t a r b u c k s )
(Howard Schultz)

22.1.2



2 2 - 1 2 1
-


-



7

 22 453

2 22-2


2,600

22-2 1994~1996

-

/ % /

D. $617,280 20.65 $212,769

I. 250,969 28.4 97,892
B. 110,824 20.0 37,809
A. 63 195 19.5 21,391
C. 57,560 17.8 18,980
R. 56,965 22.2 20,127
C. 50,625 50.1 26,585
F. 49,472 18.7 16,539
L. 47,658 22.1 16,812
H. 41,508 21.7 14,549

2 2 - 2

22-2
(Michael Eisner)
7
(1) (S) (E)
(2) (r)0.07
(3) t=5
(0.206 5) 2=0.042 6
-
C = SN(d 1 ) Ee rt N (d 2 )
t /
d 1 = (r +
1 2 2
t = 0.9889
2

d2 = d1 2
t = 0 . 9 8 9 2 0.4615 = 0.527 1
N( d1 ) = 0.8386
N( d2 ) = 0.700 9
e( 0.07 5) = 0 . 7 0 4 7
= $617,280[0.8386 (0.7009 0.704 7)]
C = $212,769.40
2 2 - 2
[1] 2 5 C E O1 0 0 2 , 5 0 0

C E O

[1] 23
 454

C E O
2 , 5 0 0
CEO
A B C C E O 1 0 0 3 0
A B C 5 0 2 , 0 0 0
CEO500 500 CEO
2 5 / 3 0
83
C E O
5 0 3 0 1 0 0 2 , 0 0 0

C E O 3 , 0 0 0 8 0 0 5 0 0
3 0 0 C E O
C E O



5 0 0 2 , 0 0 0

22.2
8

( H o n d a )



1 4
1 0
4


3 0 0 , 0 0 0

 22 455

10

3 0 0 , 0 0 0
50,000 50 300,000
1,000 1,100

1,200 1,000
1 0 3 . 6 3 0 0 , 0 0 01 , 2 0 0
0 . 6
50,0001,200
3 300,0001,000
3 . 3 3 0 0 , 0 0 01 , 1 0 0
3
1 10
1 . 4
22-1
1 5

PV = $360/1.15+$360/1.15 2++$360/1.1510
= 18.07

PV = $360/1.15+$360/1.15 2+$360/1.153+$360/1.15 4++$360/1.1510

= 9.86

PV= $300/1.15+$300/1.15 2+ +$300/1.1510

=15.06

PV = $300/1.15+$300/1.15 2+$300/1.153+$330/1.15 4++$330/1.15 10

= 15.88
1 1
2 2

G N P
1 5


1 1
PV= ( 2 )$18.07+( 2 )$9.86
= $13.96

 456

1 1
PV = ( 2 )$15.06+( 2 )$15.88
= $15.47

PV PV
= $15.47$13.96
= $1.51

1 . 5 1 4
NPV NPV

A: 3.6/
=300,000$1,200/

1/2

3.6/
=300,000$1,200/
1/2

0.6/
=50,000$1,200/

3 10

B: 3/
=300,000$1,200/

1/2

3/
=300,000$1,000/
1/2

3.3/
=300,000$1,000/

3 10

22-1

5 0 , 0 0 0

 22 457

22.3

22.3.1

2 , 5 0 0

2,750 IRR10
1 0 . 3
1 0 . 3 6 8 , 0 0 0 N P V
2,750/1.1032,500



1 0 , 0 0 0

30,000 20,000
8 0
1 0 . 3 9 . 3 N P V
1 6 0 , 0 0 0= 2,750 / 1 . 0 9 32 , 5 0 0 2 . 5
1 6 0 , 0 0 0
30,000 130,000

22.3.2
(Clint Eastwood)

1 0 . 3 2 , 5 0 0 2 , 5 0 0 2 , 7 5 0
10.3 2,500 2,757.5

1 0 , 0 0 0 N P V
10,000 2.500 10
NPV NPV
N P V

1 0 N P V
N P V
N P V


NPV NPV
9 . 9 9 9 2 2 7N P V
NPV
NPV

 458

N P V




1 0I R R 2 , 5 0 0 1 0I R R
NPV 10 IRR
N P V

2 2 - 2 r N P V
N P V
NPV


r* N P V

r* NPV

0.0

NPV

r* IRR
r

22-2
N P V
r*

22.4

-
-
 22 459

-



-
(binomid approach) 2 1

22.4.1
2 1








22-3 / 21
UD S( 0 )
S(U)
S(D)
V S
V( 0 ) V(U) V(D) (
S(U)>S(D)

V(U)<V(D))

S(U), V(U)

S(0), V(0)

1-q

S(D), V(D)

22-3
S( 0 ) S(U)S(D)
V(0) V(U)V(D)
 460

V( 0 ) V(U)
V(D) S(U) S(D)
V(U)V(D)
2 1

22.4.2


E(V)

V(0) = E( V)/(1 + r)

r



E(V)

q
E(V ) = qV (U ) + (1 q)V( D)

q (1-q)
q

S(0)
S(0) = [qS(U) + (1 q)S( D)] /(1+ r)

q
q = [(1+ r)S(0) S(D) ] / [S(U) S( D)]

22-3
S(U)S(0)10S(D)S(0)10
S(U) = 1.1S(0)

S( D) = 0.9S(0)
1
q = [(1+ r)S(0) S(D) ] / [S(U) S( D)]
= [(1.01)S(0) 0.9S(0)]/(1.1S(0) 0.9S(0)]
= 0.55

(risk-adjusted probability)0.55
 22 461

0.55





q q

22.4.3
(binomial tree)
22-4

22-4

22.4.4


S

=SK(SK)0(SK)

22.4.5

10
q
q
 462

q
T C(S,T) T
V(S,T)

V(S,T)=C(S,T)

S>KC(S,T)SK 0 T1
V(S,T-1) S
T-1 T
TS(U)S(D)
q T-1

V(S,T-1)=C(S,T-1)=[qV(S(U),T)+(1-q)V(S(D),T)]/(1+r)

r
r q q r

q q
rWACC
0
T- 1 T2 T- 2
T-1 V(0)

22.4.6




1 0

q q(1q)

=q7(1q)3

D V()

V(0)=()DV()

5 , 0 0 0
V(0)

22-4
6 0
2 2 - 2
 22 463

()
/ 12 7

/ 12 / 12

S(U) = (1+ / 12 )S

S( D) = (1 / 12 ) S

S
-
2 2 - 2 9 , 7 8 9 , 2 0 0
9 , 6 6 6 , 9 0 0

22.5

22.5.1
(Woe Is Me ) 1 8 7 8 3 0
1 9 0 8
WOEWOE 12
2 , 0 0 0 2 4 , 0 0 0 W O E 1 6 0
1 0 0
W O E 3 , 0 0 0 3 , 0 0 0
24,000
W O E 3 2 0
3 5 0 3 5 0
320 30
2 0 0 5 0 , 0 0 0
W O E 1 0 0 W O E

1 0 0 2 0 0
1 0 0

W E O
3 5 0 2 0 0
1 0 0

22.5.2
W O E

3 5 0 2 0 0
3 5 0 3 5 0 . 1 0
 464

1 0 5 , 0 0 0 5 0 , 0 0 0 0 . 1 0/
2 0 0 3 6 0
1 0 5 0 0 , 0 0 0 2 0 0

3 5 0
3 5 0
3 6 0 3 6 0
10 3
15 32015
48 352
3 5 0

3 5 0
3 5 0 1 0 0
200
350
2 0 0
3 5 0 1 0 0

> 3 5 0/>

350


3 5 0


W O E

200 100
350
50,000

100

200

 22 465

22.5.3



1 3.4 15
2
1 5 15% 2 1 0 2 2 - 5 3 2 0
10 352 10
2 8 8 1 0 1 0 0
200
2 2 . 4
1 0 3 . 4 1
q1 1.10 0.90
1

1=[1/(1.034)][q(1.1+(1q)(0.9)]

q=0.67

6 12 18

22-5
10%
 466

3 5 , 0 0 0
0 . 6 7 0 . 3 3
1 0 0

3 2 0 3 5 2
3 5 2 3 8 7 . 2 0 3 5 2 1 03 5 . 2 0
100
5,000
4

= $360 $370 $500

= $340 $330 $100

10
1 0 0

2 0 0 5 0 , 0 0 0 9 9
40 390
100

5 = 4 1 0
= 290 4 1 0
2 9 0 4
5,000
22-5 425.92
4 1 0 2 0 0 1 . 5
200
2 5 , 0 0 0 4 2 3 . 5 0 3 5 0
=73.50 1,837 50025,00073.50
2 9 0 1 0 0
410 200
5 , 0 0 0 4 1 0 2 9 0
3 . 4


410 290
6 5





 22 467

22-5


911 1 , 0 0 0
0 . 9 5 8 11
1
11

113 0
1.200.85



5 0 0 , 0 0 0
113 0 1 6 0 0



S(0) = [qS(U)] + (1 q)S(U)]/(1 + r)

S(0) = $0.95
S(U) = $1.20
S( D) = $0.85

r 8/4 = 2
q = [(1+ r)]S(0) S( D)]/[S(U) S(D)] = (1.02 0.95 0.85)(1.2 0.85) = 0.34

11 1 . 2 0 1
0 . 8 5 1
600 600 0.85
6 0 0 1 0 . 8 5
0.15900,000 V
V = [qV (U) + (1 q)V( D)]/(1 + r )
= [0.34 0 + 0.66 $900,000]/1.02
= $582,353

82,353

22.6

 468

2 1

IngersollJohnand S. Ross.Waiting to InvestInvestment and Uncertainty.

Journal of Business January 1992.
BrennanMichael J.and E. Schwartz.Evaluating Natural Resources Investments.
Journal of Business April 1985.

1.

2. (William Hurt) FPTC
1 0 0 F P T C 5 0 F P T C 1 0 0
F P T C F P T C 2 5

3. 1 2 5

4.
T G C
1 5 0 , 0 0 0

1 0
T G C 1 5 0 , 0 0 0

1 0 1 5

20 12
9 50
100
1 5 0

5. (John Lusk)
5 , 0 0 0

5 , 5 0 0 I R R1 0
 22 469

N P V 119
500
6. 1 0 , 0 0 0
200 15 700
a. NPV
b. 1 0 0 , 0 0 0

7. 1 5 , 0 0 0
0 NPV


23

( Wa r r a n t s ) ( C o n v e r t i b l e s )
()
(call option )


()




(1)
(2)
(3)
(4)
(5)
()

23.1
(warrants) ()

((exercise price))(expiration date)

( C B O E )
[1]
(equity kickers)
[2]

23-1
( S a f e w a y ) 1 9 8 6112 4
K K R ( K o h l b e rg Kraris Roberts)
( ) ()

[1]
[2]
 23 471

()

0.279 1.052
3.584 3.769 1(1.0523.584)
13.508 5(3.769 13.584=13.5085)
1 9 9 6112 4

K K R
1 9 9 042 6K K R 1 , 0 0 0
( N Y S E )
3.125/ 12.125/

2 3 - 1
13.508 5 0(
) 13.508 5
13.508 5/3.584 [3] 3.584

1990426

(1) ()
(2)
(3)
(4)
(5)

$3 1 8

$12 1 8 =$13.508 5

23-1 (1990426)

23.2

[3] 3.5843.584
 472

(Endrun)
2 5
25

(Ms. Eager)
2 5
() ( M r. Swift)
2 5

( )

23-2
( M r.
Gould) (Ms. Rockefeller)
3 , 0 0 0
1,500 GR

GR
GR
(Mrs. Fiske)
1 , 8 0 0
6 0 0 G R 3 , 6 0 0
1 , 8 0 0
GR 1,800( 1,800)
G R

7 0 0
2,100(4,200/2) 300



G R
1,800 GR [4]

[4]

 23 473

()

GR
1,800

1 , 8 0 0 6 0 0


G R 7 0 0

(1) 1,800
(2)
1/3
1,800

= +
= $4,200 + $1,800
= $6,000

1 / 3 2 , 0 0 0
( 6,0 0 0/ 3 ) 2 , 0 0 0 1 , 8 0 0= 2 0 0
2 3 - 1
23-1 GR

GR 700 600

$2,100 $1,800
2,100 1,800
$4,200 $3,600

$0 $1,800
2,100 1,800
2,100 0
$4,200 $3,600
:
$2,000 $1,800
2,000 1,800
2,000 0
$6,000 $3,600

( ) 7 0 0
1,800 4,200+1,800=6,000

200
3 0 0 ?
1 , 8 0 0
G R ( )
2,100(1/24,200) 300(2,1001,800)
 474

()

$4,200
$1,800 = $300 (23-1)
2

GR 1,800
G R 3
1 , 8 0 0 G R 2 , 0 0 0 [ ( 4 , 2 0 0
+1,800)/3]200(2,0001,800)

$4,200 + $1,800
$1,800 = $200 (23-2)
2 +1
( )
E P S

(EPS) (EPS)

G R

23.3 -

(23-3)
#
()

(23-3)(23-1) (firm's value net of debt)

G R 4 , 2 0 0
#

+#w
(23-4)
# + #w
()

( 2 3 - 4 ) ( 2 3 - 2 )
 23 475

(
) #w(
(in the money) )
#w= 1 #+# w
(23-4) [5]

#
( )
# +# w (23-5)
()

( 2 3 - 5 ) ( 2 3 - 5 )
(23-3)
# / ( # + #w)
1

# / ( # + # w) = 2 / 3 3 0 0
200
-
1 , 8 0 0 1

-

G R

-
(1) - (
)
(2) #/(#+#w)
2/3

23.4
(convertible bond)

( )

23-3
(Seagate Te c h n o l o g y )
NYSE

[5] 23-523-4
#

#+#w #+#w

23-5
 476

()

1993111 2012
6 . 7 5 3


2 3 . 5 3
(conversion ratio) 23.53
(conversion price)
1 , 0 0 0
42.5(1,000/23.53) 1,000
2 3 . 5 3 4 2 . 5

22.625 42.5
8 8 8 8 ( c o n v e r s i o n
p r e m i u m ) (out of the
money)
(
) 23.5347.06

23.5
[6]

23.5.1
[7]

A 1 9 9 5111A 4
33.75 1,000
4 [8]
37

= $33.75 $1,000
+
t =1 1.04t (1.04)37
$1,000
= $33.75 A37
0.04
(1.04) 37
= $646.06 + $234.3
= $880.36

[6] Richard Brealey and Stewart Myers, Principles of Corporate Finance, 2 nd ed.(New York: McGraw-
Hill, 1984), Chapter 23; and James C. Van Horne, Financial Markets and Flows, 2 nd ed.(Englewood Cliffs, N. J.: Prentice
Hall,1987), Chapter 11.
[7] Straight Bond
[8]
 23 477

2 3 - 2 2 3 - 2

23-2 ()
,

23.5.2
( conversion value)


1993111 23.53
22.625 23.5322.625
=532.37
532.37



23-2
1 23.53

23.5.3
[9]

[9]


 478

( )
()



23-3

23-3 ( )

= max( ) +

23-4
( M o u l t o n )1 , 0 0 0 1 0 0 1 , 0 0 0
1 0



1,000(10100)
1,000 2,000
5 0
1 0 0 , 0 0 0

100,000 ( 100,000)
2 0 0 , 0 0 0

 23 479

()

(1) (2) (3)

V$100,000 $100,000<V$200,000 V>$200,000

V $100,000 0.5V

0 V(100,000 0.5V

23.6

( )

23.6.1

10 9



( 1 )



(2)

23.6.2


( 1 )

 480

2 2
42.50
( 2 )







23-2
23-2

( M o d i g l i a n i ) ( M M )
( )M M

MM MM

23.6.3

23-5
RW 2 0 1 0 6
8 0 0
40


2 0
( )
2 5
4 0 2 5/ 2 5
2 0
2 0 2 5 2 0 2 0
 23 481

()

( )
(
) 2 3 - 2

23.6.4
( 1 )
(2)
2 3 - 2


2 3 - 2
()

23.6.5

23.7

(1) [10]
(2) [11]
(3)

23.7.1

[10] E. F. Brigham, An Analysis of Convertible Debentures, Journal of Finance 21(1966).

[11] W. H. Mikkelson, Convertible Calls and Security Return, Journal of Financial Economics 9(Sept. 1981), P.3.
 482

23.7.2





1 5
1 0





23-3




23-3 ()

10 15
6 7

23.7.3

(put option)

N P V

[12]

23.8

30

[12] A. Barnea, R. A. Haugen, and L. Senbet, Agency Problems and Financial Contracting, Prentice Hall Foundations of
Science Series (New York: Prentice Hall, 1985), Chapter .
 23 483

(1)
(2)


(force conversion)

( I n g e r s o l l ) 1 9 6 81 9 6 91 2 4 [13]

44

3 0
3 0
(out of the money)

[14]

23.9
1.

2.
3.
(1)
(a)


(b)
(c)
(2)
()

[13] J. Ingersoll, An Examination of Corporate Call Policies on Convertible Bonds, Journal of Finance (May 1977).
M. Harris and A. Raviv, A Sequential Signalling Model of Convertible Debt Policy, Journal of
Finance (December 1985). HarrisRavivIngersoll

[14] Paul Asquith, Convertible Bonds Are Not Called Late, Journal of Finance (September 1995).
 484

(3)


4.


(1)
(2)
(3)
5.

1.
Asquith, P. Convertible Bonds Are Not Called Late. Journal of Finance (September
1995).
Brennan, M., and E. Schwartz . Convertible Bonds: Valuation and Optimal Strategies for
Call Convertion. Journal of Finance (December 1977).
2. (Michael Brennan)

Brennan, M., The Case for Convertibles. In J. M. Stern and D. H. Crew, eds. The
Revolution in Corporate Finance. New York: Basil Blackwell,1986.
3. ( C o u r t a d o n ) ( M e r r i c k )

Courtadon, G.R.and J. J. Merrick. The Option Pricing Model and the Valuation of
Corporate Securities. Midland Corporate Finance Journal (Fall 1983).

1.
2.
3.
4.
5.
6.
7.

 23 485

8.
9.
10.
11.
12.
13. G R

500 ( )1,800
500
(1) GR
(2)
(3) 520/
(a) GR
(b)
(c) GR
(d)
(4)
(5)
14. (General Autos)
100.25
(1) 8/
(2) 12/
15. (Ryan Home Products, Inc) 8430,000
28
(1) 1,000 31.25
(a)
(b)
(c)
(2) 1,180 31.25
(a)
(b)
(c)
(3) 2
16. 1 , 0 0 0 1 8 0
60/


24







[1]

( l e s s e e )
( l e s s o r )
(
)

24.1
24.1.1






24-1
2 4 - 1 U( )

I B MA p p l e (direct leases)

IBM
(sales-type leasing) I B M

[1] P.K. Nevitt and F.J. Fabozzi, Equipment Leasing, 2nd ed.(Homewood,Ill.:Dow Jones-Irwin, 1985).
 24 487

U U

U


U (U) U
1. 1. 1.
2. 2. 2.

24-1

24.1.2

(operating lease)

(1) ()


(2)
(3)

24.1.3
(financial leases)
(1)
(2)
(3)
(4)

24.1.4
( )
 488

(1)
(2)
( O a k l a n d )
2 3 1 . 5

24.1.5
(leveraged lease) ( )

(1)
(2)
4050
(3) ( ) 24-1
( )
( )
( ) ( )
(1)
(2)

24.2
1 9 7 611

(off-balance-sheet financing)
1 9 7 611 ( FA S B ) 1 3
( FA S - 1 3 ) (
)

(FASB) FASB
( )

2 4 - 1 1 0
1 0
(
)
2 4 - 1
() 24-1




 24 489

24-1 FAS13

100,000
$100,000 $100,000
100,000 100,000
$200,000 $200,000
( )
$0 $0
100,000 100,000

$100,000 $100,000

( )
$100,000 $100,000
100,000 100,000

$200,000 $200,000

FA S1 3
()
(1) 90
(2)
(3) 7575
(4)



2 0
1 5 1 7 . 8 1 0
( 1 ) ( 3 ) ( 2 ) ( 4 )

?

24.3
( I R S )


(1) 30 30
(2)

(3)
 490

(4)

(5)

(6)


1 0 0
5 2 0
2 50 21
(
)

24.4

(Xomox)

( I B M C ) 1 0 , 0 0 0

6 , 0 0 0

3 4
[2]

(Friendly leasing Corporafion)
5 2 , 5 0 0/
[3]

(Simon Smart) ( M B A )
2 4 - 2

2 4 - 3


(1) I B M C
3,9 6 0 2 4 - 3

(2) 1
0

[2]

[3]
 24 491

24-2 IBMC

0 1 2 3 4 5

$10,000

[$3,960=$6,000(10.34)] $3,960 $3,960 $3,960 $3,960
680 680 680 680 680
$10,000 $4,640 $4,640 $4,640 $4,640 $4,640

$2,500 $2,500 $2,500 $2,500 $2,500

(850=2,5000.34) 850 850 850 850 850
3,960 3,960 3,960 3,960 3,960
$2,310 $2,310 $2,310 $2,310 $2,310

1. 1 10,000/5=2,000
2. 0.342,000680

24-3

0 1 2 3 4 5

$2,500 $2,500 $2,500 $2,500 $2,500
850 850 850 850 850

($10,000)
680 680 680 680 680
$10,000 $2,330 $2,330 $2,330 $2,330 $2,330

(3)

(4) 2,5 0 0
( )
850
2 4 - 3

0 1 2 3 4 5

$10,000 $2,330 $2,330 $2,330 $2,330 $2,330

2 4 - 3

 492

( )

24.5

24.5.1
11 0 0 1 0
110 10 34 10
3.4(0.3410) 106.60
(1103.40)
11 0 0 1 0
11 0 1 0
3 . 4 0( 0 . 3 4 1 0) 3 . 4 0
1 0 0 1 0 6 . 6 0
24-4
24-4 (10 34)

$100 +$ 100.00
+ $10.00
$3.40
6.6 +$106.60
6.6

+$100 $100.00
$10.00
() + $3.40
6.6 $106.60
6.6

100
100 106.60 [4] 1
1 0 6 . 6 0 1 0 0
106.60 106.60

[4] 100106.600.6610.34
151.52(100/0.66)161.52(106.60/0.66)
 24 493

106.60 100 100106.60

/1.066 0.660.10(10.34)

24.5.2


1 0 6 . 6 0

100
1 0 0 11 0
3.40(0.3410) 106.60 100
1 0 6 . 6 0
1 0 0

100
[5]

1 0 6 . 0 6

100(106.60/1.066)

24.6 NPV

24-3

0 1 2 3 4 5

$10,000 $2,330 $2,330 $2,330 $2,330 $2,330

7.575 75 34
5 7.575 75( 1 - 0 . 3 4 ) 5 N P V

NPV = $10,000 $2,330 A0.05 = $87.68
5
(24-1)

NPV()

( 2 4 - 1 ) 2 4 - 3
?

[5]

 494

()

?




1 9 8 6 1 9 9 3




r WACC
? r WACC

( )

24.7
24.7.1 ()





2 4 - 5

10 - 150( )
6 4
(1)

(2) 1
6 , 0 0 0
4,000 - 150

- 1
150 - 4,000
1 0 , 0 0 0 6 , 0 0 0( 1 0 , 0 0 0
4,000) [6]
(debt displacement)
( )

[6]
 24 495

24-5

$ 50,000 $ 60,000
50,000 40,000
$100,000 $100,000

$ 50,000 $ 66,000
50,000 44,000
10,000
$110,000 $110,000

$ 50,000 $ 10,000
50,000 $ 56,000
10,000 44,000
$110,000 $110,000

24.7.2



24-3 [7]

0 1 2 3 4 5

$10,000 $2,330 $2,330 $2,330 $2,330 $2,330

0 0
2 4 . 5
[8]

$2,330 $2,330 $2,330 $2,330 $2,330
$10,087.68 = + + + +
1.05 (1.05)2 (1.05)3 (1.05) 4 (1.05)5

10,087.68

2 4 - 3
2 , 3 3 0

[7] 24-3

[8]

 496

2 , 3 3 0 ? 1 0 , 0 8 7 . 6 8


010,087.68
764.22(10,087.680.075 757 5)
259.83(764.220.34)504.39(764.22259.83)
2 4 - 3
2 , 3 3 0 2 , 3 3 0

? 1 , 8 2 5 . 6 1
( 2 , 3 3 0 5 0 4 . 3 9 ) 1 , 8 2 5 . 6 1

8 , 2 6 2 . 0 7 ( 1 0 , 0 8 7 . 6 8 1 , 8 2 5 . 6 1 )
2 4 - 6
0
24-6

0 1 2 3 4 5

$10,087.68 $8,262.07 $6,345.17 $4,332.42 $2,219.05 $ 0

764.22 625.91 480.69 328.22 168.11
259.83 212.81 163.44 111.59 57.16
$ 504.39 $ 413.10 $ 317.25 $ 216.63 $110.95


(24-2) $2,330.00 $2,330.00 $2,330.00 $2,330.00 $2,330.00
$1,825.61 $1,916.90 $2,012.75 $2,113.37 $2,219.05

, ,
1 0 , 0 8 7 . 6 8
2,330
$8,262.07 = $10,087.68$1,825.61
+$1,825.61 = $2,330$504.39

1 0,0 8 7 . 6 8
( )
0
(1) 01 0,0 0 0

(2) 0 1 0,0 8 7 . 6 8

1 0 ,0 8 7 . 6 8 1 0 ,0 0 0
0 8 7 . 6 8 ( 1 0,0 8 7 . 6 8
1 0,0 0 0 )
 24 497

24-1 (24-1
NPV )

24-1 NPV
1
5
87.68=10,0002,330 A0.05

2
87.68= 10,00010,087.68

24.8


24-7 0 10000
2 , 0 0 0( 1 00 0 0/ 5 )
6 8 0 ( 2 , 0 0 0 0 . 3 4 ) 2 , 5 0 0 1 , 6 5 0
2,500(10.34)]
24-7

0 1 2 3 4 5

$10,000

(680=2,0000.34) $ 680 $ 680 $ 680 $ 680 $ 680

[1,650=2,500(1-0.34)] 1,650 1,650 1,650 1,650 1,650
$10,000 $2,330 $2,330 $2,330 $2,330 $2,330

24-3

2 4 - 7
2 4 - 3


N P V 8 7 . 6 8 N P V8 7 . 6 8
N P V0( 8 7 . 6 8+ 8 7 . 6 8) N P V
NPV

2 4 - 7
(1) (2)
 498

N P V
0 [9]


(
? )

24.9

24.9.1
(
)
(1)
(2)
(3)









87.68
5
$87.68$10,000+$2,330 A0.05

8 7 . 6 8

2 , 5 0 0
2 , 4 7 5 N P V
TC024-3

0 1 2 3 4 5

$10,000
$2,475 $2,475 $2,475 $2,475 $2,475

[9] 2469.32 10,000

5
680 A0.05 +L(10.34) A50.05 L2,469.32
 24 499

5
$10,000$2,475 A 0 . 0 7 5 7 5 7 5
$6.55

7.575 75
2 , 4 7 5

2,475

0 1 2 3 4 5

$10,000

($680$2,0000.34) $680 $680 $680 $680 $680

$1,633.50$2,475(10.34) $1,633.50 $1,633.50 $1,633.50 $1,633.50 $1,633.50
$2,313.50 $2,313.50 $2,313.50 $2,313.50 $2,313.50

= $10,000 + $2,313.50 A0.05

5

= $10,000 + $10,016.24
= $16.24
6.55
1 6 . 2 4
( )
( I R S )



0

L MAX L MAX 0
0 LMAX

0 1 2 3 4 5

$10000
L MAX L MAX L MAX LMAX L MAX

$10,000 LMAX A 0 . 0 7 5 7 5 7 5
5

LMAX = $ 1 0 , 0 0 0 /A0 . 0 7 5 7 5 7 =5 $2,476.62

5

2,476.62
LMINLMIN 0
 500

LMIN

0 1 2 3 4 5

$10,000

($680$2,0000.34) $680 $680 $680 $680 $680
(T C =0.34) L MIN(0.66) L MIN(0.66) L MIN(0.66) L MIN(0.66) L MIN(0.66)

$10,000+ $680 A 0.05+ LMIN (0.66) A0.05

5 5

0
$10,000 $680
LMIN =
0.66 A 50.05+ 0.066
= $3,499.62 $1,030.30
= $2,269.32

2,469.32

(residual value) (firm claim)








()







( F l a t h1 9 8 0)
[10]

24.9.2



R O A

[10] D. Flath, The Economics of Short Term Leasing,Economic Inquiry 18(April 1980).
 24 501

ROA


R O A



ROA
ROA



100

24.10

24.10.1
( A n g ) ( P e t e r s o n ) [11]

( )

24.10.2
( )

(1)


(2)

24.10.3
( S m i t h ) ( Wa k e m a n )
[12]

[11] J. Ang and P. Peterson,The Leasing Puzzle,Journal of Finance 39(September 1984).

[12] C. W. Smith, Jr., and L. M.Wakeman,Determinants of Corporate Leasing Policy,Journal of Finance (July 1985).
 502

(1)

(2)

24.11


(1)


(2)
FA S B




(3) I R S

(4)


(5)


0
(6)
0

(1)
(2)
(3)

1.
Schallheim, J. S.; R. E. Johnson; R. C .Lease; and J. J. McConnell. The Determinants of
Yields on Financial Leasing Contracts. Journal of Financial Economics (1987).
2.
 24 503

Bowman, R. G. The Debt Equivalence of Leases: An Empirical Investigation. Accounting

Review 55 (April 1980).
Crawford, P .J.; C.P. Harper; and J.J. McConnell. Further Evidence on the Terms of Financial
Leases. Financial Management 10 (Autumn 1981).
Franks, J. R., and S. D. Hodges. Valuation of Financial Lease Contracts: A Note. Journal
of Finance (May 1978)
Myers, S.; D. A. Dill, and A. J. Bautista. Valuation of Financial Lease Contracts. Journal
of Finance (June 1976).
3.
Ang, J., and P. P. Peterson. The Leasing Puzzle. Journal of Finance 39(September 1984).
McConnell,J. J., and J. S. Schallheim. Valuation of Asset Leasing Contracts. Journal of
Financial Economics 12 (August 1983)
Schall, L. D. The Lease-or-Buy and Asset Acquisition Decisions. Journal of Finance
29(September 1974).
Sivarama, K. V., and R. C. Moyer. Bankruptcy Costs and Financial Leasing Decisions.
Financial Management (1994).
Smith, C. W. ,Jr., and L. M. Wakeman. Determinations of Corporate Leasing policy.
Journal of Finance (July 1985).
Sorenson, I. W., and R. E. Johnson. Equipment Financial Leasing Practices and Costs: An
Empirical Study. Financial Management (Spring 1977).
4.
Schallheim, James S. Lease or Buy. Boston, Mass.: Harvard Business School Press, 1994.

1.

2.
3.
4.
5. IRS ?
6. (Farmer Crporation)
( I P M ) 5
2100 6,000
( B M C ) 1 5 , 0 0 0
9 , 0 0 0 1 5 , 0 0 0
10 3,000
- 6 7 3 4
0
4
(1) IPM BMC ?
(2) ?
(3) ?

24A APV
NPV
 504

(1)
(2)

( A P V ) (2 4 -
3)
APV

APV

A P V
APV

= -

24A.1
N P V
24-3

$592.03 = $10,000 $2,330 A0 . 0 7 5 7 5 7 5

5

( 1 ) 5 9 2 . 0 3
5 9 2 . 0 3
6 0 0

24A.2
( )
24-6 ()

$764.22 $625.91 $480.69 $328.21 $168.11

$679,71 = 0.34 + 2 + + +
1.075 7575 (1.075 7575) ( 1 . 0 7 5 7 5 735 ) ( 1 . 0 7 5 7 5 745 ) ( 1 . 0 7 5 7 5 7 55 )

() NPV
(APV)

$87.68$592.03$679.71

A P V
2 4 - 2

24-2 NPV

3APV

$592.03 = $10,000 $2,330 A 0 . 0 7 5 7 5 7 5

5
 24 505

()

$764.22 $625.91 $480.69 $328.21 $168.11
$679,71 = 0.34 + + + +
1 . 0 7 5 7 5 7 5( 1 . 0 7 5 7 5 7 5 ) ( 1 . 0 7 5 7 5 7 5 ) ( 1 . 0 7 5 7 5 7 5 ) (1.075 7575)
2 3 4 5

= =
APV = $87.68 = $592.03 $679.71

?

?
A P V


?



25


M G ( M G R M )
(MGAG) [ 1 ] 1 9 9 3 1 9 9 4
M G R M 1 0 M G A G
1993 170 65
(Deutsche Bank)
M G R M
(1 0) M G R M
M G R M

M G R M
(Gibson Greeting Cards)
(Nicholas Leeson)
(Barings) (Piper Jaffrey) (Orange Courotry
)
5 0

2 1

[1] C.Culp and M.Miller.Metallgesellschaft and the Economics of Synthetic Storage,Journal of Applied Corporate
Finance(Winter 1995), discuss the MGRM derivative losses.
 25 507

(hedging)

( s p e c u l a t i n g )

25.1


21

10 21 10
(fornward contract)
21
(taking delivery) ( d e l i v e r a b l e
instrument)
(
) 1 0
(making delivery)2 5 - 1 21

21
25-1

21

1. 10 1. 10
2. 2.


1. 1.
2. 10 2. 10

21

( )
( )


 508

(cash transaction)( )

25.2
(futures contracts)
2 5 - 2 1 9 X 191 5( ) 9
4 . 11
4 . 1 6 1 4 4 . 0 7 4 . 0 7
4.07 6 1 4
4.13 1 4 (4.07+0.062 5)
4 . 2 1 2 . 7 2
915 423

4 . 0 7 9 9
4.07
25-2 (19X1915 )

9 411 416 1 4 407 407 6 1 4 421 272 423

10 427 432 1 4 422 423 1 4 5 1 2 432 1 4 289 47,454

3X2 430 1 2 436 426 1 2 427 4 1 4 436 323 42,823

5 409 443 1 2 404 405 5 1 2 420 330 3,422

7 375 376 1 2 369 370 3 4 6 3 4 395 327 4,805

(9)

9







(marked to the market)
4 . 0 5 2 2 4
2
2 2


 25 509

4 . 1 2 7( 4 . 1 2
- 4 . 0 5) 7
[2]
4.12

4 . 0 7
2 7 4 . 1 2
4 . 0 7( - 0 . 0 2+ 0 . 0 7- 4 . 1 2)
( ) 4 . 0 7
2 7
4.12 4.07(-0.02+0.07+4.12)

25-1

(
919 920 923 )

$4.07 $4.05 $4.12

4.07
2 4.12
7

4 . 0 7(0 . 0 2 + 0 . 0 7 4 . 1 2) 4 . 0 7


4.07
7 4.12
2
4 . 0 7( 0 . 0 2 0 . 0 7+ 4 . 1 2 )
4.07

2 5 - 1
[3]
4 . 0 7
4.07 4.07
4 . 0 7

[2]
[3]
 510

4 . 0 7
4 . 0 7


4 . 0 7

[4]

[5]




2 5 - 1

6 1 0
15


2 0


(Westinghouse)
7 0







W. C. (W. C. Fields)


7 0
(Hunt Brothers)

2 5 - 3

[4]

[5] John C. Cox, John E, Ingersoll, and Steven A. Ross,The Relationship between Forward and Future Prices.
Journal of Financial Economics(1981).
 25 511

25-3

()
5,000 (CBT)
5,000 CBT
5,000 CBT
400 CBT
60,000 CBT
5,000 CBT
5,000 (KC)
5,000
20 (WPG)
20 WPG
20 WPG
20 WPG
20 WPG

()
() 44,000 (CME)
() 44,000 CME
30,000 CME
44,000 CME

( )
10 (CSCE)
37,500 CSCE
50,000 (CTN)
15,000 CTN
() 112,000 CSCE
() 142,000 CSCE
150,000 CME

() 25,000 (CMX)
100 CMX
50 (NYM)
100 NYM
5 000 CMX
1 000 CBT
() 1 000 NYM
2 42,000 NYM
100 (IPEL)
42,000 NYM

62,500 (IMM)
100,000 IMM
100,000 IMM
1,250 IMM
125,000 IMM
 512

()

125,000 IMM
100
(LIFFE)

500 000 LIFFE
100 LIFFE
250,000 LIFFE
100 IMM
500
(FINEX)
CRB 500 (NYFE)
10 CBT
10 CBT
5 10 CBT
5 10 FINEX
5 MCE
100 IMM

1,000 CBT
S&P500 500 CME
NYSE 500 NYFE
500 KC
250 CBT

25.3

25-1
50 000

(1) 61
3.75

61 10 $3.75

3 0
3.45=3.750.30
(2)


2
1
 25 513

()

3.75 3.75
1 (short hedge)






( )

25-2
41


(1) 41



(2) [6]







( 1 )
41 91

(2)(long hedge)

[6] 41
41 41
(2)
 514

()

7 0
[7]

AG(MGAG) MG
(MGRM) [8] MGRM 100 MGRM10
1993MGRM
1 5 , 0 0 0
M G R M M G R M 1 0 2 5
1 5 , 0 0 0 1 0 3 5 M G R M
10
MGRM
(1) MGRM 10 15,00010 25
M G R M
1 0 1 5 , 0 0 0 1 0

(2) MGRM 10 25 15,000
10
(3) 1 0 M G R M
( ) 1 0 M G R M
1010
0M G R M 2 5 1 0
M G R M 2 5 [9]
1 30 2 30
MGRM 1 5 0
1 25 30
2 5 1 2
30 25

[7]
[8] MGRM F. R. Edwards and M.S. Canter The Collapse
of Metallgesellschaft: Unhedgeable Risks, Poor Heding Strategy or Just Bad Luck, Journal of Applied
Corporate Finance(Spring 1995); A.S.Mello and J.E. Parsons,Maturity Structure of a Hedge Matters: Lessons
from the Metallgesellschaft Debacle, Journal of Applied Corporate Financ e (Sping 1995); C.Culp and
M.Miller,Hedging in the Theory of Corporate Finance: A Reply to Our Critics,Journal of Applied Corporate
Finance(Spring 1995).
[9] ( )

 25 515

()

129 30
1 4 ( 2 9 2 5)
5 (3025)

1 2 [10]
M G R M1 0

M G R M
( ) M G R M 0
1
3 5
M G R M 2 3 5 2 5
M G R M1 0 M G R M
( ) M G R M


M G R M
MGRM
M G R M
MGRM

25.4

25.4.1

31 20 8

$40 $40 $40 $40 $1,040
PTB = + + + ... + + (25-1)
1 + r1 (1+ r2 )2 (1+ r3 )3 (1+ r39 )39 (1+ r40 ) 40

8 80 40
PT B

[10]

 516

1 2 r
1.12 1 = 5.83% 20
40

25.4.2
31 (91) 2 08
91 31 3
1 31 2 5 - 1
31(0 ) 91
(1) 40 1,000
91( 1 )P
31 (2 )1 , 0 0 0
41

0 1 3 3 39 40 41

... 91 31 91
31 91 31 91

+$40 +$40 +$40 ... +$40 +$1,040

(PTB)

+$40 +$40 ... +$40 +$40 +$1,040

25-1

40 (25-1)

2 5 - 1

P $40 $40 $40 $40 $1,040
= + + + ... + + (25-2)
1+r1 (1+ r2 ) 2 (1+ r3 ) 3 (1+ r4 ) 4 (1+ r40 )40 (1+ r41 ) 41

( 2 5 - 2 ) ( 91 )
2
0 ( 31) 2 ( 31) 1/(1+ r2 )
1,040 41 1/(1+ r41 )41 (25-2)
0 1 1/(1+ r1 )
91
0 ( 2 5 -
2) (25-
2) (25-1)
32
(25-1)
 25 517

(25-2)

P = $40 (1+2 r1 ) + $40(1+ r31 ) + $40(1 + r41 ) + +$40(1+ r1 ) + $1,040(1+ r1 ) (25-3)

(1+ r2 ) (1+ r3 ) (1+ r4 ) (1+ r40 )40 (1+ r41 ) 41

( 2 5 - 2 ) ( 1 +r1)( 2 5 - 2 ) ( 2 5 - 3 ) 32
( 2 5 - 3 ) [11] r 1r2
r21 /( 1 +r2)2 r2 r 1
r1 r 1
r1i1 /( 1 +r i) i 32
32

25.4.3

[12]



[13]







(25-3)

25.4.4

25-3
31 51
1 0 0 1 2 ( )2 0

31 51 1 0 0

[11] 31r1 =5%r2 =5.4%r 3=5.8%32

0.5%r 15.5%(5%+ 0.5%)r2 5.9%r 3 6.3%
[12]
[13]
 518

()

20
100
2 0
6 0
43 0

415

1 0 0 41 5
1 2 9 4
1 0 0
6(10094)
415 12
1 0 5 5 ( 1 0 5
100)
2 5 - 4

25-4

415 12% 12%

1 0 0 ( 1 0 0 (
94) 105)
6(100 5(105
94) 100)

31 12%415

4
1 5
1 1 0 , 0 0 0( 11 0 0 )
0 . 0 3
300(0.03100)

31
31
31




25-5
 25 519

()

3
1 1 0
1 0 1 0 0 ( 1 01 0)


25-5

31 12%100 10
2 0
51 31

415
51

100

1 0 0

100

1 0 0

[14]



1 0
1 0

[14]

 520

25-4

( a d v a n c e
commitments) 3
1 51 1 0 0
1 2
51 100 31
51

1251 [15]

1 2 51

2 5 - 6




25-6

31 ( 10
)100

51
51

2012%
415 20
12%
51

[15] 1 2 % 12%

 25 521

()

( )

25.5

25.5.1
1 0 11 0
161.05 100 [16]

$110
$100 =
1.10

$161.05
$100 =
(1.10)5

812
2 5 - 7
1 0 1 0 0 8
1 2

1 + r

25-7

()

8 $110 $161.05
$101.85 = $109.61 =
1.08 (1.08)5
10 $110 $161.05
$100.00 = $100.00 =
1.10 (1.10) 5
12 $110 $161.05
$98.21 = $91.38 =
1.12 (1.12) 5

[16] 1 0 0 9 0 . 9 1 ( 1 0 0/ 1 . 1 0 )
62.09[100/(1.10) 5]
 522

25.5.2


10 1 10

10%
$10 $10 $10 $10 $110
$100 = + + + +
1.10 (1.10)2 (1.10)3 (1.10)4 (1.10)5

1%
$1 $1 $1 $1 $101
$65.88 = + + + +
1.10 (1.10)2 (1.10)3 (1.10)4 (1.10)5

[17]
81 2 2 5 - 8 1 0
1 8
12
25-8

() 10%

8 $10 $10 $10 $10 $110

$107.99 = + 2 + 3 + 4 + 5
1.08 (1.08) (1.08) (1.08) (1.08)

$10 $10 $10 $10 $110

10 $100.00 = + + + +
1.10 (1.10) 2 (1.10) 3 (1.10)4 (1.10) 5

$10 $10 $10 $10 $110

12 $92.79 = + + + +
1.12 (1.12)2 (1.12) 3 (1.12) 4 (1.12) 5

() 1%

8 $1 $1 $1 $1 $101
$72.05 = + + + +
1.08 (1.08) 2 (1.08)3 (1.08) 4 (1.08)5

10 $1 $1 $1 $1 $101
$65.88 = + + + +
1.10 (1.10)2 (1.10) 3 (1.10) 4 (1.10)5

$1 $1 $1 $1 $101
12 $60.35 = + + + +
1.12 (1.12)2 (1.12) 3 (1.12) 4 (1.12)5

1081012

1 10
1 1 0
1 1 0

[17]
 25 523

10% 1%

10%8% $107.99 $72.05

7.99% = 1 9.37% = 1
$100 $65.88
10%12% $92.79 $60.35
7.21% = 1 8.39% = 1
$100 $65.88

25.5.3
( d u r a t i o n )
1 0

(1) 10
(2) 10
(3) 10
(4) 10
(5) 110
1


10
(1)

10%

1 $10 $9.091
2 10 8.264
3 10 7.513
4 10 6.830
5 110 68.302
$100.00

(2)
100

1 $10 $ 9.091 $9.091/ $100 = 0.09091

2 10 8.264 0.08264
3 10 7.513 0.07513
4 10 6.830 0.06830
5 110 68.302 0.68302
$100.00 1.0

68.302
(3)

4.169 9 = 1 0.090 91 + 20.082 64 + 30.075 13 + 4

0.0683 0 + 50.683 02
 524

4.169 9 [18] 4.169 9

1 0 4.169 9
4.169 9 [19] 1 4.874 2
1 1 0 1

1 10

1 1
1 0 1 0

25.5.4

25-5
(physical Bank of New York)
1 0 9 1 ( 1 0 9 )




(James charest)
[20]

[18]

= PV( C1 )1+ PV(C2 )2 + PV(

+ CT )T
PV

PV = PV(C1 ) + PV(C 2 ) + PV(C

+ T
)

PV( C T ) = C /(1+ r )T
T

C TT r
1 0 %
8 %1 0 % ()

[19]

[20]

 25 525

()

( )

$3,500 0
50,000 3
27,500 6
4,000 2
15,000 14.8
$100,000

$40,000 0
30,000 1
20,000 10
10,000

$100,000

3,500 50,000

100,000 100,000 (25-4)
27,500 4,000

100,000 100,000
15,000

100,000

40,000 300

90,000 90,000 (25-5)
20,0000

90,000

(2.56)
(Gail Ellert)
1 0 9
 526

()

1 1


(immunized)

= (25-6)

(25-6)

(1)
10
= 2.56 = 2.84
9

(25-5)

2.56102.849

(2)

9
= 2.56 = 2.30
10

(25-6)

2.3010=2.569

1 0
( )


6 0 7 0
[21]

[21]


 25 527

25.6
( s w a p s )

( i n t e r e s t - r a t e s w a p s ) (currency swaps)

25.6.1
[22]
101
9 10900 10
100








1




L I B O RL I B O R
L I B O R
LIBORLIBOR
L I B O R5 0
9 L I B O R5 0 ( L I B O R
) 2 5 - 9 L I B O R8
4 11 7 8 . 51 0 , 0 0 0
= 850 9 5 0 1 , 0 5 0 1 , 1 5 0
7 750 900

( ) 8 5 0
900 50
900 50
850 LIBOR50

[22] (
)
 528

25-9

( )

A.

1 2 3 4 5 6 7 8 9 10

9 9 9 9 9 9 9 9 9 9 9
LIBOR
8.5 9.5 10.5 11.5 7.5 7.5 7.5 7.5 7.5 7.5 7.5
B.

9 9 9 9 9 9 9 9 9 9 109
8.5 9.5 10.5 11.5 7.5 7.5 7.5 7.5 7.5 7.5 107.5

25.6.2
FX FX



DM


D M D M D M
DM
1D M 2 DM1 5 , 0 0 0
3 DM 1 1D M3 , 3 3 3 . 3


1D M5 ,000 5
5 D M
1DM 5,000








1 9 L I B O R5 0

1
L I B O R5 0 9 0 0( 1 9)
 25 529

25.6.3

(exotics)

L I B O R (L I B O R )
20LIBOR LIBOR9 11
LIBOR12 8



30 LIBOR 10

30210=3020=10

LIBOR37 1016 6

30273014=16

L I B O R 7 L I B O R7
L I B O R7 L I B O R7

7 7
9 9 9
7 7L I B O R
LIBOR7 7
( )
7 LIBOR
7 7LIBOR LIBOR7
( ) 5 5 7 5
2
7

25.7
1.
 530

2.

3.



4.



5.


6.



7.

8.
( ) ( L I B O R )

( )

1. Tu f a n o P e t e r. H o w
Financial Engineering Can Advance Corporate Strategy. H a rv a rd Business Review ( J a n u a r y -
February 1966).
2. M i n t o nBernadette A.
An Empirical Examination of Basic Valuation Models for PlainVanilla U.S. Interest Rate Swaps.
Journal of Financial Economics 44 (Winter 1997).

1.
2.
3.
4.
 25 531

5.
6.
7.
8.
9.
10.
11.
12.
13.
14.
15.
a.
b.
16.
17. 35 5

315 $5.03
316 $5.08
317 $5.12
318 $5.10
319 $4.98

a. 318
i.
ii.
iii.
b. 319
i.
ii.
iii.
18. 1 0 111

19. a.
b.
c.
d.
20.

21.


22. 1 0 1 , 0 0 0

 532

6 0.048
12 0.050
18 0.052
24 0.055
30 0.057

a.
b. 3 0 0 . 0 4 8
0.051
i.
ii.
23. (S0) (F)
1 S0
2
rf
24. 8

25.
3 0 2 0 1 0
1 0
30 MAX MAX

a.
b.
c.
26. 25 10
a. MAX 12
i. MAX
ii.
iii.
b. MAX 9
i. MAX
ii.
iii.
27. 1,000 11 A
B C
a.
b. 14
c.
28. 1 0 0 1 2 1 0

29. 1 , 0 0 0 A 7 B
11
 25 533

a. 10
b. 7
c.
d. c
30. 1,0009
31. 1,0009
32. 1,0005
33.
2 0 , 0 0 0
15
34.

$4,300 0
61,500 4
34,500 9
5,500 5
19,700 15

$49,000 0
37,000 18
25,000 10
14,500

a.
b.
c.
35.
a.
b.

36.

$100 0
500 1
1,200 12
$1,800

 534

()

$300 0
400 1.1
500 18.9
600
$1,800

a.
b.
37.
4 0 1 0 LIBOR + 0.03
15 LIBOR2

a.
b.


 536

12
3

2 6



2 7
1
2

281
23

2 9
31
2
3



26

1
2 3


1
2 3


I B M ,
1 9 9 5 1 5 [1]I B M 1 5
I B M






N P V

26.1


GM

2 0 0 0 1 9 9 8
1 2
25

(aggregation)

[1] 198562IBM15%1985~1994IBM
6%52.5%
 538

(1)

(2)
(3)



(1)
IBM15
(2)

(3)
(4)

26.2


(1) (sales forecast)


(2) (proforma statements)

(3) (asset requirements)

(4) (financial requirements)


(5) ( p l u g )
g1 g2

g3



g 1
g2 g 1g2
g3
(6) (economic assumptions)

26-1
(Computerfield Corporation)191
 26 539

()

191

$ 1,000

800

$ 200

191

$500 $250

250

$500 $500

1 91 2 0 1


1 911 92 2 0 2 0

192
$ 1,200

960

$ 240

20

192

$600 $300

300

$600 $600

1 92 2 4 0
50 190 190

490
600
 540

()

26-2
(Rosengarten Corporate)
2,000 2,20010
1 0 5 0

$ 6,000,000 $ 6,600,000 30%

24,000,000 26,400,000 120%

$30,000,000 $33,000,000 150%

$10,000,000 $11,000,000 50%

6,000,000 6,600,000 30%

4,000,000 4,000,000

10,000,000 11,100,000

$30,000,000 $32,700,000

$ 300,000

=
0.10 $ 2,200 0.5 0.10 $ 2,200= $ 110

3 0 0 , 0 0 0

EFN

 26 541

()

p = = 0.1 d = = 0.5
=

EFN
(1)
(2) 1
(3)

(4)

= +

(5)
EFN
(6) EFN
26-1 EFN

-
() EFN ()

0 $ 0 $ 1,000,000 $1,000,000 83.6

5 1,500,000 1,050,000 350,000 86.8
7.7 2,310,000 1,077,000 89.2
10 3,000,000 1,100,000 300,000 91.2
20 6,000,000 1,200,000 1,600,000 100.0

2.31

1.5

()

26-1 EFN
 542

2 6 - 1 E F N
7.726-1 EFN

26.3
D o n a l d s o n
[2]

R a p p a p o r t N P V N P V
[3]
NPV
D o n a l d s o n


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

T
p
d
L
S0
S S1S0 =S
S1
RE = = S1p1d
NI = S1p

[2] G. Donaldson, Managing Corporation Wealth: The Operations of a Comprehensive Financial Goals System ( New
York:Praeger,1984 ).
[3] A. Rappaport, Creating Shareholder Value: The New Standard for Business Performance ( New York: Free Press,1986 ).
 26 543

S TS

S1 p (1 d)

[S1 p (1 d)] L

TS

TS =[S1 p (1 d) ] + S[1 p (1 d) L]

S p (1 d ) ( 1 +L)
=
T -[ p (1 d) (1+ L)]
(26-1)
S0

p d L
T [4]
Higgins (sustainable rate) [5]

26-3
2 6 - 2 H o ffman Corporation
1 6 . 5 ( 1 , 6 5 0/ 1 0 , 0 0 0) 7 2 . 41 , 1 9 5
/ 1 , 6 5 0 1 0 5 05 , 0 0 0/ 1 0 , 0 0 0

1 09 1 0/ 9 , 0 9 0 1 0
26-2

455
10
0.165 0.276 2
= 0.1
1 (0.165 0.276 2)

2 0


(1)
(2)
(3)

[4] ROERRROERR
26-1

ROE RR
=
1 (ROE RR)

[5] R. C., Sustainable Growth under Inflation, Financial management ( Autumn 1981 ).
HigginsBoston Consulting Group
 544

()

(4)
(5)


NPV
26-2
( )

S $10,000
7,000
3,000
500
2,500
850
NI $ 1,650

NI $ 1,650
500
2,150
455
0
$ 2,605

455
955
1,195
$ 2,605

$ 5,000 $4,545 $455
5,000 4,545 455
$10,000 $9,090 $910

$ 5,000 $4,545 $455
5,000 4,545 455
$10,000 $9,090 $910

26.4


NPV

 26 545

26-1 C
[6]

1 0 0 , 0 0 0



1 0 0 , 0 0 0

26.5

1.
2.
3.
4.
5.

[6] C.(Robert C. Higgins)

 546

1.
Carleton, W. T., and C. L. Dick, Jr. Financial Policy Models: Theory and Practice. Journal
of Financial and Quantitative Analysis 8 (1973).
Francis, J. C., and D. R. Rowell. A Simultaneous-Equation Model of the Firm for Financial
Analysis and Planning. Financial Management (Spring 1978).
Myers, S. C., and G. A. Pogue. A Programming Approach to Corporate Financial
Management. Journal of Finance 29 (May 1974).
Warren, J. M. , and J. R. Shelton. A Simultaneous-Equation Approach to Financial
Planning. Journal of Finance (December 1971).
2.
Lee, C. F. Financial Analysis and Planning :Theory and Application. Reading, Mass.:
Addison-Wesley, 1985.
3.
Rappaport, A. Creating Shareholder Value: The New Standard for Business Performance.
New York: Free Press1986.

1.
2.
3.
4.
5. Stieben
T =1
P = 5
d = 50
L - = 1
(a)
(b)
(c)
6. MBI NPV

= 10
= 150
= 100
= 50
(a) MBI
(b) MBI


27







27-1

27-2

()

27-1

27-2

(1)
(2)
(3)

27.1

 548

( l i q u i d i t y )
27-1Tradewinds Manufacturing Corporation192
1 91


[1]

27-1

19212311911231

192 191

$500,000 $500,000
() 500,000 450,000
2,000,000 1,600,000
3,000,000 2,000,000
$6,000,000 $4,550,000

450,000 450,000
4,000,000 4,000,000
1,500,000 800,000
50,000 50,000
2,000,000 1,700,000
4,000,000 3,600,000
400,000 300,000
100,000 100,000
$10,500,000 $8,550,000

$1,000,000 $750,000
1,500,000 500,000
250,000 225,000
250,000 225,000
$3,000,000 $1,700,000

5%

[1]
 27 549

()

19212311911231

192 191

2025 3,000,000 3,000,000

600,000 600,000
$6,600,000 $5,300,000

5
300,000 $1,500,000 $1,500,000
500,000 500,000
1,900,000 1,250,000
3,900,000 3,250,000
$10,500,000 $8,550,000

192 191
$11,500,000 $10,700,000


8,200,000 7,684,000
300,000 275,000
1,400,000 1,325,000
1,600,000 1,416,000

50,000 50,000
1,650,000 1,466,000
300,000 150,000
1,350,000 1,316,000
610,000 600,000
$740,000 $716,000

$90,000 $132,000
$650,000 $584,000

27.2

+ = + 27-1

=+ 27-2

27-2 27-1
 550

+ =+ 27-3

= + 27-4

2 7 - 4

2 7 - 4



192
1 0 4
2 7 -
2
27-2

$740
300
$1,040

250
1,000
25
25
$2,340

$700
100
90

1,000
400
50
$2,340
0

(1) 104
(2) 25
(3) 100
(4) 2.5
 27 551

(5) 2 . 5 I R S

(1) 70
(2) 10
(3) 9
(4) 100
(5) 40
(6) 5

27.3
(short-run operating activities)

1. 1.
2. 2.
3. 3.
4. 4.
5. 5.

27-3
( )

27-3 (cash flow time line)

(operating cycle)
(cash cycle)

 552

27-1
1 911 92
2 7 - 1

=($300+200)/2=$250

=/ =$8.20/$250=3.3

3.3

=365/3.3=110.6()

110
[2]

= ($200+$160)/2=$180
= / =$1,150/$180=6.4
= 365/6.4=57()
= ($100+$75)/2=$87.5
= / =$820/$87.5=9.4
=365/9.4=38.8()

= +
= 110.6+57
= 167.6()
=
= 167.638.8
= 128.8()

[2]
 27 553

27.4

(1)


(2)

27.4.1

(1)
(2)
(3)

(1)
(2)
(3)






[3]
[4]

carrying costs
(shortage costs)








(1)

[3]
[4]
 554

(2)

2 7 - 4
C A *



27-4

27-4

(CA)

(CA)

(CA)

27-4
CA*

( )

 27 555

27.4.2







2 7 - 5





1 2
3 2 7 - 6

27-5
0

27-6
 556

(2 7 - 7 F )



R27-7

a)

b)

27-7
a) F b) R

F
R

27.4.3


(1)


(2)


(3)
 27 557

27.5
cash budget


Fun Toys

27-2

/ $100 $200 $150 $100

71

90100

= 27-5

10,00027-5
10,000 10,000
10,000 10,000
10,000

= +

2 7 - 3

27-3
( )

$100 $200 $150 $100

100 100 200 150
100 100 200 150
100 200 150 100

27.5.1
27-4
(1)

 558

=
= 1/2

(2)

(3)

(4)
27-4
27-4
( )

$100 $200 $150 $100

100 75 50 50

50 100 75 50
20 40 30 20
0 0 0 100
10 10 10 10
$80 $150 $115 $180

27.5.2
2 7 - 5
3 , 0 0 0


500 3,500
27-5
( )

$100 $100 $200 $150

80 150 115 180
20 50 85 30
20 30 55 25
5 5 5 5
15 35 50 20

27.6

1 2 3

27.6.1


 27 559

5

0 . 2 5
L I B O R

(compensating balances)
25
1 0 0 , 0 0 0 5 , 0 0 0
9 5 , 0 0 0 1 0
10,000100.00010 10.53(10,000/95,000)

27.6.2


(accounts receivable financing)



(inventory loan)

(1)
(2)

(3)

27.6.3
commercial paper
banker's acceptances
270
SEC

27.7
1.


2.


 560

3.


4.

Fabozzi, F., and L. N. Masonson. Corporate Cash Management Techniques and Analyses .
Homewood, Ill.: Dow Jones-Irwin,1985.
Kallberg, J. G., and K. Parkinson. Corporate LiquidityManagement and Measurement. Burr
Ridge, IL: Irwin/McGraw Hill,1996.

1. ?
2. , ?
3.
4.
5. 4
6.
7. 0
8.
9.
10.
11.
12.
13. Country Kettles,Inc.196

Country Kettles,Inc.

1961231

196 195

$42,000 $35,000
94,250 84,500
78,750 75,000
 27 561

()

196 195

181,475 168,750
61,475 56,250
$335,000 $307,000

$60,500 $55,000
5,150 8,450
15,000 30,000
28,000 25,000
226,350 188,550
$335,000 $307,000

Country Kettles,Inc.

196

$765,000
459,000
91,800
26,775
45,000
5,225
137,200
68,600
$68,600
$30,800
$37,800

14. S/B196

S/B

1961231
()

196 195

$388 $375
1,470 1,219
2,663 2,777
9,314 9,225
$13,835 $13,596

$282 $259
1,300 924
(33) 99
95 106
 562

()

196 195

4,000 4,000
4,000 4,000
4,191 4,208
$13,835 $13,596

S/B
196

$1,030

652
64
50
264
98
166
83
$83
$100

15. Smithe and Wreston Company1 91

$90,000 $100,000 $120,000

3 0 4 0
36,000 30,00012
(a) 12
(b) 13


28

19943 87
6 , 2 4 0





1
[1]



(1)
(2)
(3)

28.1

[1]
 564

[2]





(transactions motive)






(compensating balances)

28.2
(target cash balance)
2 8 - 1
(
)
2 8 - 1C*

[2] 1997

(10)

(Ford) $18.5
(General Motors) 10.1
(Microsoft) 9.1
(Intel) 8.5
(IBM) 6.5

 28 565

(C)

28-1

28.2.1
(William Baumol)
[3] (The Baumol Model)
(Golden Socks Corporation)0 C=1,200,000
6 0 0 , 0 0 0 2
C/ 2 = 1 , 2 0 0 , 0 0 0/ 2 = 6 0 0 , 0 0 0 2
28-2

C=$1,200,000

$600,000=C/2

28-2
0 C = 1,200,000 2
C/2 = 1,200,000/2 = 600,000

C 2 , 4 0 0 , 0 0 0

[3] W.S. Baumol, The Transactions Demand for Cash: An Inventory Theoretic Approach, Quarterly Journal of
Economics 66 (November 1952).
 566

600,0001,200,000
C 6 0 0 , 0 0 0
600,000300,000




F =
T =

K =

($) = ( C/2)K

(K=0.10)
C C/2 (C/2)K

$4,800,000 $2,400,000 $240,000

2,400,000 1,200,000 120,000
1,200,000 600,000 60,000
600,000 300,000 30,000
300,000 150,000 15,000

600,00052 = 31,200,000 1,200,000
1,200,000
$31,200,000
F =26 F
$1,200,000

($) = ( T/C)F

(F=$1,000)
T C (T/C)F

$31,200,000 $4,800,000 $ 6,500

31,200,000 2,400,000 13,000
31,200,000 1,200,000 26,000
31,200,000 600,000 52,000
31,200,000 300,000 104,000

 28 567

= +
= (C/2)K + (T/C) F

= +

$4,800,000 $246,500 $240,000 $ 6,500

2,400,000 133,000 120,000 13,000
1,200,000 86,000 60,000 26,000
600,000 82,000 30,000 52,000
300,000 119,000 15,000 104,000

6 0 0 , 0 0 0
82,000 700,000 500,000

(TC) = ( C/2) K + (T/C)F

dTC K TF
= 2 =0
dC 2 C

= + [4]

C*
K TF
=
2 C2

C = 2TF/K

F = 1,000T = 31,200,000K = 0.10C* = 789,936.71

C*
$789,936.71
(C /2) K = 0.10 = $39,496.84
2

$31,200,000
(T / C ) F = $1,000 = $39,496.84
$789,936.71

$39,496.84 + $39,496.84 = $78,993.68

(1)

(2)

[4] C
 568

(3)

28.2.2 -
(Daniel Orr)
[5] - (The Miller-Orr Model)



2 8 - 3 - (H) (L)
(Z)
HL H X
H Z() Z L Y(
) Z L Z
ZL
($)

28-3 -
H L Z
LH

-

-



L - Z H
(Z,H)
Z( )H():

Z = 3 3F 2
/ 4K + L

H = 3Z 2L

[5] M.H.Miller and D.Orr, A Model of the Demand for Money by Firms, Quarterly Journal of Economics(August
1966)
 28 569

* 2
-

4 Z L
3

28-1
- F = 1,000 10
2,000 K
1.0 = 0.10
365
(1+ K )
1+ K = 365
1.10 = 1.000261
K = 0.000261

= (2,000) = 4 , 0 0 0 , 0 0 0
2 2

L=0

Z = 3 (3 $1,000 4 , 0 0 0 , 0 0 0 ) / (40.000261) + 0

= 3 $11,493,900,000,000= $22,568
H = 3 $22,568 = $67,704

4 $22,568
= $30,091
3

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


[6]
- Z* F
K -

28.2.3


(1)

[6] D.R.Modern Developments in Financial Management S.C.Myers (New York: Praeger, 1976)
Applications of Inventory Cash Management Models-
-

 570

(2)


2 , 0 0 0 , 0 0 0 1 0
2,000,000 0.10/365 = 0.0272,000,000
0.000 272 , 0 0 0 , 0 0 0 = 540 2 , 0 0 0 , 0 0 0 5 4 0


(1)
(2)

28.3


(float)

28-2
(General Mechanics,Inc.,GMI) 1 0 0 , 0 0 0
78 100,000 (
) 100,000
71 5
1 0 0 , 0 0 0

78

=
= $100,000 $100,000
= 0

78714

=
= $100,000 0
= $100,000

1 0 0 , 0 0 0

28-3
1 0 0 , 0 0 0
100,000 118
1 0 0 , 0 0 0
1 0 0 , 0 0 0 111 5
100,000
 28 571

()

118

=
= $100,000 $100,000
= 0

1181115

=
= $100,000 $200,000
= $100,000

( E x x o n )
2 4 8 , 0 0 0 , 0 0 0
248,000,000 10
68,000[(248,000,000/365)0.10]





(1)
(2)

(3)

28-4
91 1 , 0 0 0
1 , 0 0 0

= $1,0007 = $7,000

91

= $7,000 1 = $7,000

1
2 3

 572

28-5
(Concepts,Inc.)

1 $5,000,000 3 = $15,000,000

2 3,000,000 5 = 15,000,000

$8,000,000 $30,000,000

$30,000,000
= = $1,000,000
30

$8,000,000
= = $266,666.67
30
= (5/8) 3 +(3/8)5
= 1.875 + 1.875 = 3.75
=
= $266,666.673.75 = $1,000,000

28-6
2 6 6 , 6 6 7 3 . 7 5

$266,667
V=
1+ rB

rB
10
rB = 0.1 ( 3 . 7 5 / 3 6 5=) 0.00103

$266,667
V= = $266,392.62
1+ 0 . 0 0 1 0 3
2 6 6 , 3 9 2 . 6 2 2 6 6 , 6 6 7 =2 7 4 . 3 8
274.38365 = -100,148.70

28.3.1




 28 573

( l o c k b o x )

2 8 - 4 [7]

2 0

1 2

28-4

[7]
 574

(concentration banking)





2 8 - 5

28-5

(wire transfer) [8]


Fedwire,
C H I P S
10

[8]

 28 575

28-7

(Atlantic
C o r p o r a t i o n ) 8

(Pacific Bank)

= 1.0
= 0.5
= 0.5

2.0
= 0.03%
= 200

= $5,000

1,000,000(2005,000) 20,000
0.30
 576

()

1 , 0 0 0 , 0 0 0 2 =
2 , 0 0 0 , 0 0 0
2,000,000
0.000 32 , 0 0 0 , 0 0 0 = 600
600365 = 219,000

365200$0.30 = $21,900

$20,000

$41,900

28.3.2
2 8 - 6

1.

2.

3.

1.

2.

28-6

28.3.3
1 , 0 0 0 , 0 0 0 5 0 0 , 0 0 0
 28 577

5 0 0 , 0 0 0
5 0 0 , 0 0 0
2 8 - 6

28.3.4
(zero-balance accountZBA)

28.3.5

28.3.6




19855 (E.F.Hutton) Robert Fomon1980~1982
2 , 0 0 0



2 , 0 0 0 , 0 0 0 7 5 0 , 0 0 0
8,000,000

28.4

28.4.1

 578

R Us

2 8 - 7

28-7
1
2

28.4.2







9 0


(Moody's Investors Service)
(Standard & Poor's)




(1)

(2)
1,000,000 (Renoir)




 28 579

(1)



(2) 70

28.4.3



90180270360
90180 270360











2 7 0



36912

28.5

1.

2.
-
3.


 580

4.

(ZBA)

Hill, Ned. C., and William L. Sartoris. S h o rt - Term Financial Management . New Yo r k :
Macmilllan Publishing Company,1992.
Maness.Terry S.,and John T. Zietlow. Short-Term Financial Management Minneapolis/St. Paul:
West Publishing Company,1993.

1.
2.
3.
4. -
5.
6.
7.

8.
9.
10.
1 $24,000
2 34,000
3 10,000
4 15,000
12
11. (Casablanca Piano Company) 800,000
3 4 5 , 0 0 0
500 7

12
12. (Tseneg Asian Import Company) 1,440,000
8 6 0 0
20,000
13.
3
 28 581

150
15,000
80,000
0.50
7.5
14. (Salisbury Stakes,Inc.)

15,000 0.25
2 6
4,500
15. (Walter) 200,000 3
0.04 3

28A

28A.1
( A R P S )
8 0





9 0 1 0
2 0














 582

1 9 8 6
8 5 7 0 4 6
6.9 154613.8
3 04 6

4 6

28A.2




4 9
4 5

49


4 9




60AA 6080

(1) 49 90

(2)




 28 583

(3)





(1)

4 9
6 0A A 11 0

(2)




(3)

28A.3



( F R C D )




(1)
(2)

(LIBOR)








 584

91 2



29

( 1 ) ( 2 )





1 , 0 0 0 3 0
3 0 , 0 0 0


1. ( Terms of the sale)

2. (credit analysis)

3. (collection policy)


2 9 - 1

29-1

(1) (2) (3)

(4)

29.1

2 / 1 0N / 3 0,( i n v o i c e ) 3 0
 586

1 0 2
N/60, 60

(O.M.Scott and Sons)
3 / 1 0N / 6 0 51
51 730 5
10 3

29.1.1
(credit periods)
5 / 3 0N / 1 2 0 N / 7

(1)

(2)

(3)

29.1.2
(cash discounts)

29-1
(Edward Manalt) ( R u p t b a n k )
0,00020 3
9 , 7 0 0 1 0 , 0 0 0 ( 10 . 0 3 ) 3 0
1 0
2 9 - 2
(PV)

$10,000
PV = = $9,918.48
1 + (0.1 3 0 / 3 6 5 )

$9,700
PV = = $9,647.14
1 + (0.1 2 0 / 3 6 5

2 7 1 . 3 4 ( 9 , 9 1 8 . 4 8
9,647.14)
 29 587

()

(N/30)

(3/20N/30)

29-2
30
20,10,0003%

29-2
0.5 3
1 0 2 9 - 3 3

(N/30)

$5,000
()
()

(3/20N/30)

$5,000
() ()

29-3

11 , 0 0 0 2 0 1 0 , 6 7 0[ 11 , 0 0 0 ( 10 . 0 3 ) ]
5,500 (NPV)

$10,000
NPV = $5,000 + = $4,918.48
1+ (0.1 3 0 / 3 6 5 )
 588

()

$10,670
NPV = $5,000 + = $5,111.85
1+ (0.1 2 0 / 3 6 5 )

29.1.3
( c r e d i t
instrument)












( )

29.2
(Locust Industries)

5 0
20



1
(NCF)
P0 Q0 C0 Q0 = NCF

P 0
C 0
Q 0
1 0
 29 589

NPV = NCF

Q0 =100,

($50100)($20100)=$3,000

1 2

P 0=$50 P'0 =$50

Q0 = 1 0 0 Q' 0=200
C0=$20 C'0 =$25
h=1 h=0.90
0 1
0 r B=0.01

( ' ) 2
P' 0Q'0() ()C' 0Q'0
C' 0Q'0 h= 0 . 9 0

0 1

P 0Q 0C0 Q 0 0
C'0Q' 0 hP'0 Q'0

hP'0Q'0 0

P0Q 0
NPV( ) h C0Q0
(1 + rB )
$50 200
= 0.9 $5,000 = $3,910.89
1.01

0 . 8 1
3,000,

$50 200
$3,000 = h $5,000
1.01
$50 200
$8,000 = h
1.01
h = 80.8%

 590

(1) P0Q0
(2) C0Q0
(3) h
(4) rB

29.2.1



0 . 1 0 ( )9 0


Q0 = 2 0 0
180 20

()

180 0 0
20 100 20
200 10 20

P0Q0 $50 20
h C0Q0 = 0 $25 20 = $500
(1 + rB ) 1.01

3
200

$500 $3200 =$100

500
600

29.2.2
( )


9 0
1 0 0
29-4
 29 591

(h=1)



(h=0.9)

29-4
9 0 %
100

29.3






(1)

(2)
29-5

29-5

 592

29-1

1.
(The American Manufacturing)


2.
(National Motors)


3.
A . B . P C(The A.B. Production Company )
A . B . P C

4.
(Advanced Micro Instruments ,AMI)
1 9 9 7
1 9 9 8 A M I A M I
AMI

: Shezad I. Mian and Clifford W. Smith, Extending Trade Credit and Financing Receivables,
Journal of Applied Corporate Finance (Spring 1994); Marc Deloof and Marc Jegers, Trade
Credit, Product Quality and Intragroup Trade: Some European Evidence, F i n a n c i a l
Management (Autumn 1996); and Michael Long, I. B. Malitz, and S. A. Ravid, Trade Credit,
Quality Guarantees, and Product Marketability, Financial Management (Winter 1993).
 29 593

29.4

29.4.1

(1)
(2)
- (Dun & Bradstreet)

(3)
(4)

29.4.2

5Cs
(1)
(2)
(3)
(4)
(5)

( ( c r e d i t - s c o r i n g ))

29.5

29.5.1
(Acme Compact Disc Players) 3 0 0
100,000 2/20,N/60
8 0 2 0 6 0
(average collection period, ACP)
28

0.820+0.260=28

(average daily sales, ADS)
365

$300100,000/365=$82.192
 594

2,301,376

$2,301,736

$82,192
= 28()

4 0
2/20,N/6040

29.5.2
(aging schedule) 7 5
60

/ ()

0~20 50
21~60 25
61~80 20
80 5
100

( 23 24 )
67 68

29.5.3

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

29.5.4
( f a c t o r i n g )

0.35~4
 29 595

29.6






( )

29.7
1.
2.
3.


4.

5.

6.

1.
Sartoris, W .L., and N. C. Hill.Evaluating Credit Policy Alternatives: A Present Va l u e
Framework. Journal of Financial Research 4 (Spring 1981),p.1.( A Generalized Cash Flow
Approach to Short-Term Financial Decisions. Journal of Finance 38 (May 1983),p.3.
2. :
 596

Bierman, H., Jr., and W. H. Hausman.The Credit Granting Decision .Management Science
16 (April 1970 ), and Mian, Shehzad I., and Clifford W. Smith.Extending Trade Credit and
Financial Receivables. Journal of Applied Corporate Finance (Spring 1994).
3.

Mian, S.I., and C. Smith.Extending Trade Credit and Financial Receivables . Journal of
Applied Corporate Finance (Spring 1994).
Long, M. S., I. B. Malitz, and S. A. Ravid.Trade Credit , Quality Guarantees , and Product
Marketability . Financial Management (Winter 1993).
Lee, Y. W., and J. D. Stowe.Product Risk, Asymmetric Introduction and Trade Credit.
Journal of Financial and Quantitative Analysis (June 1993).
4. :
Scherr, F. C.Optimal Trade Credit Limits. Financial Management (Spring 1996).

1.
5Cs
2.

3.
(North County Publishing Company)
4.
=$10,000,000
=60
N/30
=10
2/10,N/30 50
30
5. (Webster's Company)N/45
45 5,000,000
6. (Tropeland Company)
=$30,000,000
=60
N/30
=12
4/10, N/30 5 0

7. (Berkshire Sports, Inc.)

$35 $40
$25 $32
2,000 3,000
() 100 85
0 1
() 0 3
 29 597

(a)
(b)
8. (Major Electronics) 5 5 8 5 , 0 0 0
3/15, N/404 0


5/15, N/40


 600

3 0




3 1


3 2




30






(1)
(2)
(3)

(4)

(5)





1 2 3
4

30.1
1 2
3

30.1.1
(merger)

( c o n s o l i d a t i o n )

,

30-1
A B B 2 1A
A B
AB C
 602

()

(1)

(2) [1]

30.1.2


(tender offer)




(1)

(2)
(3)

(4)

(5)

30.1.3

30.1.4

(1)
(2)

(3)

30.1.5

( b i d d e r )
[2]

[1]
[2]
 30 603

30-1

30-1

30.2

30-2
15 Bill Evans Samurai Machinery, SM
80,000 SM SM
S M 1 0
8 , 0 0 08 0 , 0 0 0/ 1 0 0
200,000 S.A.
200,000 SM
S . A . 2 0 0 , 0 0 0
S . A . S M
S.A.
S . A . 2 0 0 , 0 0 0 S M

(1) 200,000 80,000
120,000200,00080,000
(2) S.A. 200,000
 604

1 0 2 0 , 0 0 0
200,000/10
S.A. 200,000 [3]
(3) S . A .
0S.A.





30-1
30-1 S.A. SM

$120,000($200,000$80,000) S.A.

S.A.
1. SM$200,000(
10)$20,000
2. $200,000

30.3

30.3.1
( p u r c h a s e )

(goodwill)

30-3
A B A B 3 0 - 2 AB
B 10,000,0008,000,0002,000,000
14,000,000 2,000,000
B 16,000,000B
AB
19,000,0003,000,00019,000,00016,000,000
B A 1 9 , 0 0 0 , 0 0 0

[3] SM SMS.A. S.A.

 30 605

()

30-2
(1) AB 3 9 , 0 0 0 , 0 0 0 B
A

(2) 3,000,000

30-2
( )
A B
$4 $20 $2 $10
16 0
0 8
$20 $20 $10 $10

AB
$6 $19
16 20
14
3
$39 $39

30.3.2
(pooling of interests)
A 1 9 , 0 0 0 , 0 0 0
B 30-3

B19,000,000 30-3
30-3
( )
A B
$4 $20 $2 $10
16 0
0 8
$20 $20 $20 $10 $10
AB
$6 $30
16
8
$30 $30

30.3.3
90

 606

30.4
A B A V AB VB
VAVB AB ABVABA
B

VABVA+VB

5 0
6 0 1 02 0 A B


T

( 1+r )
CFt
= t
t =1

C Ft t
CFt t r

CFt t t t t

t t t t

30.5

[4]

30.5.1

[4]





 30 607

(1)
(2)
(3)
[5]


Michael Porter
b e a c h h e a d [6]
Charmin Paper Company






Stillman and Eckbo
[7]

30.5.2

(Bank of America) Security Pacific

30-
2

30-2

[5] S . C . M y e r s ,Finance Theory and Finance Strategy, I n t e r f a c e s

14(January-February 1984), P.1.
[6] M. Porter, Competitive Advantage(New York: Free Press, 1985).
[7] R.Stillman,Examining Antitrust Policy toward Horizontal Mergers,Journal of Financial Economics11(April 1983); and
E.B.Eckbo,Horzontal Mergers, Collusion and Stockholder Whalth, Journal of Financial Economics11(April 1983).
 608

1 9 8 5
(Hughes Aircraft)





Jensen and Ruback
[8]

2 07 0


McConnell and Muscarell 1 9 7 51 9 8 1
[9]
[10]
T. T. Boone Pickens
UnocalPhilips and Getty

30.5.3

(1)
(2)
(3)
N O L
AB
3 0 - 4 AB A 1

[8]M.C.Jensen and R.S. Ruback,The Market for Corporate Control: The Scientific Evidence,Journal of FInancial
Economics 11(APril 1983); and M.C. Jensen,Agency Costs of Free Cash Flow, Corporate Finance and Takeovers,
American Economic Review(May 1986).
[9]J. J.McConnell and C. J.Muscarella,Corporate Capital Expenditure Decisions and the Market Value of the Firm,
Journal of Financial Econmics 14(1985).
[10] 1981~1984 26 [W.T.Grimm
Mergerstat Review1985P41].
 30 609

2 0 0 2 1A 2 B
268 68
AB 1
2 34

30-4 AB

A B AB

1 2 1 2 1 2

AB



(1) A
3 1 5
[11]
(2)





[12] [13]



(1)
(2)
(3)

[11] 1986 50

[12] 1985
100
10The Wall Street Journal ,April 1, 1985
[13] .C.19866


 610

70 532

30.5.4

30.6



(Shapiro, Inc) (AL Shapiro)

15

3 0 - 5
CFt
(1)

1 , 0 0 0 , 0 0 0
5 20,000,000
(2)


1 , 5 0 0 , 0 0 0
10,000,000
(3)


6 , 0 0 0 , 0 0 0 5 0
2 0
15,000,0000.56,000,000/0.20
30-5

$10,000,000 0.10 $100,000,000

4,500,000 0.15 30,000,000
5,500,000 0.122 45,000,000
 30 611

()

3,000,000 0.20 15,000,000

1,000,000 0.05 20,000,000
1,500,000 0.15 10,000,000
- 20,000,000 0.114 175,000,000

100 30,000,000

-


(1)

30,000,000
(2)

(3) [14]


(4)

30-1 C.
2 0


1 9 7 71 9 8 81 2
(1 9 8 8 ) 5 , 0 0 0
5 0 0
1988 53









C. Edsel Byrant Ford

[14]
 612

30.7

30.7.1
3 0 - 6
A B A
6 0 B 4 0 A 6 0 = 8 0
0 . 5 + 5 0 0 . 3 + 2 5 0 . 2A 8 0 5 0 2 5
0 . 50 . 30 . 2A B A B 1 0 0
A B A B
B 4 0 A 1 0 0 4 0
=60
30-6

A $80 $50 $25 $60
B $50 $40 $15 $40
0.5 0.3 0.2

AB $130 $90 $40 $100
A
B
A $80 $50 $25 $60
$40 $40 $25 $37
$40 $10 $0 $23
B $50 $40 $15 $40

AB $130 $90 $40 $100

$40 $40 $40 $40
$90 $50 0 $60

B 40 A 60
B A 4 0 A 2 0 6 0
40 /
$20$23=$3A 3
$40$37=$3B 3
 30 613

30.7.2
A B [15]A
2 5 4 0 A
3 7 4 0 0 . 5 + 4 0
0.3+250.2
A B
B A A
B A A
B


40AB 34037
A 32023 A 23
6 0 B 4 0 A
20


(1)

(2)
(3)

30.7.3

A

30.8
30.8.1

(Global Resources, Ltd.) (Regional Enterprises) 30-7


3,500
4 0 1 0 0 [16]
1 4 0

[15] (David Babbel)

[16] 40%1025
 614

30-7
30-71
1.43 43
255,000
2520035.715,000/14030-7
30-7

$1.00 $1.00 $1.43 $1.43

$25.00 $10.00 $25.00 $35.71
25 10 17.5 25
100 100 140 140
$100 $100 $200 $200
$2,500 $1,000 $3,500 $5,000

1 2.5

30.8.2

1 9 8 2
cash-rich company 20


1 2




[17]

(1)
(2)

30.9
[18]

[17] W. R a n d a l l
Mork,Andrei Shleiferand Robert W.Vishneg1990453148
2080
[18] S. C. Myers,A Framework for Evaluating Mergers,in Modern Developments
in Financial Management, ed. by S. C. Myers (New York: Praeger, 1976).
 30 615

30.9.1
A B 5 0 0 1 0 0 A
B 1 0 0 A B 7 0 0 B
150 B
ABA[19]

A =
= $700$150
= $550

A 500A

$50=$550$500 30-1

A 25 20500/25 22550
/ 2 5 3 0 - 8 A


=
700 AB 500100
1 0 0 7 0 0 5 0 0 + 1 0 0 5 0 1 5 0
100 :
A =$100-$50=$50
30-8

A
1 2 3 4 5


A B 0.751 0.681 9 1

V A.V B $500 $100 $550 $700 $700

25 10 25 32.5 31.819
$20 $10 $22 $21.54 $22

V A=V A B
$550=$700$150

V A =VA B
$700=$700

700 AB 500100
1 0 0 7 0 0 5 0 0 + 1 0 0 5 0 1 5 0
100

[19]
APV
 616

A =$100$50=$50

A 500
A $ 5 0 0
60 A
A A
+

$530= $550 0.60 + $500 0.40

A 3 0 - 1
A

30.9.2
A B
B 1 0 3 0 - 82

A 7 . 5 B 1 0 0 . 7 51 A
20 7.520=150 150 B

1 5 0 A
3 2 . 5 2 5+ 7 . 5B 2 3( 7 . 5 / 3 2 . 5 ) 1 6 1
2 37 0 0 B 1 6 1 A A
161 150
3 0 - 8 4 A 2 1 . 5 4 ( 7 0 0 / 3 2 . 5 )
A 2 2 A

7.5A10B
A B A
150
B 1 5 0 A
B 7 0 0
B

B
$700

7 0 0= 1 5 0 = 2 1 . 4 3 B 2 1 . 4 3
150
B

= =
+ 25+

0.214 3 =
25+
 30 617

=6.819

3 1 . 8 1 92 5+ 6 . 8 1 9 6 . 8 1 9 B
10 0.681 91
0.681 9:1 3 0 - 85 2 2
B 1 5 0 0.681 9:1
0.75:1

30.9.3


(1)

(2)
(3)

30.10

30.10.1

2 / 3
8 0

DeAngelo and Rice Linn and McConnell
[20]

30.10.2

[20] H.DeAngelo and E. M. Rice.Antitakeover Charter Amendments and Stockholder Wealth,Journal of Financial
E c o n o m i c s 11(April 1983); and S.G. Linn and J.J.,McConnellAn Empirical Investigation of the Impact of
Antiakeover Amendments on Common Stock Prices, Journal of Financial Economics 11(April 1983).
 618

30-4
198642 Ashland Oil Inc.
2 , 8 0 0 41 4 9 . 7 5 4
2
(1) Belzberg family of Canada
51 260
60
(2) 750 27
5 3 0
2 0
8 0
0 . 2 5

30.10.3



Boone Pickens Mesa Partners II
2 9 7 2 1 6

30.10.4



L B O
L B O

[21]









[22]

[21] H. DeAngelo, L. DeAngelo, and E.M.RiceGoing Private: Minority Freezeouts and Shareholder WealthJournal of
Law and Economics 27(1984).LBO

[22] A Discllsion of Corporate Restructuring Miclland corporate F i n a n c e
Journal(Summer 1984)
 30 619

30.10.5

(1) (golden parachutes)
Scoville First City Properties
5 . 2 3 1 3 5 0 0


(2) (croun jewels)

(3) (poison pill)


[23]

30.11

30.11.1

30.11.2
3 0 - 93 0 - 1 0
3 0 - 9

20 30
3 0 - 9 4
0 3 0 - 1 0

30-930-10
(1) [24]

[23] P.H.Malatesta and R.A.Walking ,Poison Pill Securities:Stockholder Wealth ,Profitability and Ownership Structure,
Journal of Financial Economics(January/March 1988)R.A.
walking and M.Long,Agency Theory, Managerial Welfare and Takeover Bid Resistance,Rand Journal of
Economics(Spring 1984)
[24] G.Mandelker.Risk and Return: The Case of the Merging Fixm,
Journal of Financia Ecnomics(1984)
 620

(2) 4
A s q u i t h
[25]
30-9

() ()

30 4
20 0
8 n.a.

30-10

() ()

3 1
3 5
8 n.a.

a.
[26]
b.

c.

d. M a l a t e s t a
and Schipper and Thompson

[27]
(3)


B r a d l e y, Desai and Kim


[28]

[25] P. A s q u i t h .M e rger Bids, Uncertainty and Stockholder Returns,Journal of Financial Economics 11 ( A p r i l

1983).
[26] R. Roll,The Hubris Hypothesis of Corporate Takeover,Journal of Business(April 1986).
[27] P.H. Malatesta,The Wealth Effect of Merger Activity and the Objective Function of Merging Firms,Journal
of Financial Economics 11(April 1983); and K.Schipper and R. Thompson,Evidence on the Capitalized Value
of Merger Activity for Acquiring Firms,Journal of Financial Economics 11(April 1983).
[28] M.Bradley, A.Desai, and E.H. Kim,The Rationale behind Interfirm Tender Offers: Information or Synergy,
Journal of Financial Economics 11(April 1983).
 30 621

30.11.3
Loughran and Vi j h 3 0 -
11 1 9 7 01 9 8 91 , 0 0 0
3 0 - 11

6.5
3 0 - 11
18.5 24.2

(1)

(2)
Loughran and Ritter 18


(3)


30-11 (1970~1989)

() 61.7
() 18.5
() 6.5
() 24.2

T. Loughran and A.Vijh,Do Long-Term Shareholders Benefit from Corpotate Acquisitions,

Unpublished working paper(April 1997)Table II.
9 4 7 5 8 8 . 2 % 9 4 . 7 %
6.5%

30.12
2 08 0
[29] 1 9 8 7 C B S
(CBS Records)1 9 8 99 (Columbia Pictures)
34.5 1988
3 (Bridgestone Corporation) 26

K e i r e t s u
30-12

[29] W. carl Kester Japanesers Takeovers the Global Contest for Corporate Control, Cambridge Mass:1991(Harvard
Business School Press).5
 622

( M e i j i )
To k i o

[30]

30-12

Toatsu




Tory


Hokkaido




OSK

F o rt u n e(July 15, 1991), P.81.

[30] Takeo Hoshi, Anil K.Kashyup, and David Scharfstein,The Role of Banks in Reducing Financial DIstress
in Japan. A paper in the Finance and Economic Discussion Series, No.134, Federal Reserve Board,
Washington, D.C.(October 1990).See also, W.Carl Kestet, Japanese Corporate Governance and the
Conservation of Valiue in Financial Distress.Journal of Applied Corporate Finance (Summer 1991).
 30 623

30.13
1.

1 0 0

2.






3. VA B VAVB

=VAB(VA+VB)

4.
a.
b.
c.
d.

5.


6.

7.

1.
Rappaport,A.Creating Shareholder Value:The New Standard for Business Performance, New
York: Free Press, 1986: Chapter 9.
2.
S t e i n , J . M .and D. H. Chew,eds. The Revolution in Corporate Finance. New York: Basil
Blackwell, 1986.
A Symposium on the Market for Corporate Control: The Scientific Evidence.Journal of
 624

Financial Economics(April 1983).

A Symposium on the Distribution of Power among Corporate Managers, Shareholders and
Directors,Journal of Financial Economics(January/March 1988).

1.
2.
3.
4.
5.
6.
7.
8.
9.

0.1 $100000
0.4 200000
0.5 400000

200,000
a.
b.
c.
d.
10.
60 2,000
3,500 8
a.
b.
1 , 5 0 0 2 5

c.
d. NPV
e.
11.

15 12
1,000,000 250,000
$1,000,000 $750,000
 30 625

1 . 8 0
5
7
a.
b. 4 0 N P V

c. 6 0 0,0 0 0
NPV
d.
e. 7 6

12. A BB
BA
B 11 , 0 0 0 A
15,000 B 1/31/1
A 5,000
B 90,000 30,000
6 1 4A
10 8
1.25
A 6 8 . 7 5 B 5 5 , 0 0 0
800

A B

( )

1 2 3 4 5

$800 $900 $1,000 $1,125 $1,250

562 630 700 790 875
75 80 82 83 83
80 90 100 113 125
EBIT 83 100 118 139 167
19 22 24 25 27
EBT 64 78 94 114 140
32 39 47 57 70
32 39 47 57 70

20 25 25 30 30
15 25 18 12 7
35 50 43 42 37

35 16 16 15 12
0 34 27 27 25
$35 $50 $43 $42 $37
 626

0 1 2 3 4 5

B
B 150
25 25




31






1 9 8 74 ( Te x a c o )
11 31-1
31-1

Texaco( ) $21,603 19874

Executive Life Insurance 14,577 19914
Mutual Benefit Life 13,500 19917
Campeau (Allied & Federated) 9,947 19901
First Capital Holdings 9,291 19915
Baldwin United 9,000 19839
Continental Airlines (II) 6,200 199012
Lomas Financial 6,127 19899
Macys 5,300 19921
Columbia Gas 4,998 19917
LTV (LTV International NV) 4,700 19867
Maxwell Communication 4,100 199112
TWA 3,470 19921
Southland 3,380 199010
Penn Central Transportation 3,300 19706
Eastern Airlines 3,196 19893
Drexel Burnham Lambert 3,000 19902
Pan Am World Airlines 3,000 19911
Interco 2,213 19905
Laventhol & Horwath 2,000 199011
Wickes 2,000 19824
Global Marine 1,800 19861
ITEL 1,700 19811
Public Service, New Hampshire 1,700 19881
Continental Information Systems 1,669 19891
Integrated Resources 1,600 19902
Revco 1,500 19887

Edward I. Altman

31.1
(financial distress)
 628

[1]


B l a c k
[2]

31-1

[1] Karen Wruck Financial Distress: Reorganization and Organization Efficiency,

Journal of Financial Economics 27(1990), P. 425.
[2] BlackSt. Paul, Minn.: West Publishing Company, p.716.
 31 629

[3]31-1

31.2
1990 Trans World Airhine,Inc,TWA
1 9 8 91 9 9 01 9 9 1

TWA
1 9 9 1 T WA Mark A. BucksteinT WA Carl Icahn
1 , 0 0 0 1 9 9 19 [4]I c a h n
I c a h n T WA1 9 9 213 1
I c a h n T WA
I c a h n 1 9 9 3T WA I c a h n
TWA 199573
5 TWA

49

51 47

83

53

7

11

10

31-2
Karen H. Wruck. Financial Distress: Reorganizationa and Organizational Eff i c i e n c y,
Journal of Financial Economics 27 (1990).Stuart C.Gilson;Kose John and Larry N.P.
Lang, Troubled Debt Restructurings: An Empirical Study of Private Reorganization of Firms
in Defaults. Journal of Financial Economics 27 (1990); and Lawrence A. We i s s .
Bankruptcy Resolution: Direct Costs and Violation of Priority of Claims. Journal of
Financial Economics 27 (1990).

[3] Black5St. Paul. Minn.:West Publishing Company,p716

[4] 1992224Carl
 630

(1)
(2)
(3)
(4)
(5)
(6)
(7)
123 4567


1 9 8 6




11 3 1 - 2
T WA
11 83 [5]

31.3


(Liquidation)

(reorganization)

31.3.1
1978 7
(1)

(2)

(3)
(4)

(1)
(2) 12 3 5,000

[5] 1115%
 31 631

1 2 5 , 0 0 0



(1)
(2)
(3) 2 , 0 0 0 9 0

(4) 180
(5) 900
(6)
(7)
(8)
(9)
absolute priority rule,APR
A P R

31-1
B . O . (B.O.Drug Company) 2 7 0 1 5 0
B . O . 1 0 0 2 0

20 250
400

100

$ 1,500,000 $ 1,500,000
2,500,000 1,000,000

10,000,000 0

$14,000,000 $ 2,500,000

$2,500,000

 632

()

1,000,000

$1,500,000
$4,000,000

$1,000,000) $3,000,000

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

$ 500,000 $ 500,000

2,500,000 1,000,000

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

31-1 (Edward I.Altman)

1 9 7 8 11


11
7







1 0

 31 633

()

7 0 2 0
22






--

/


10~20

31.3.2
1 9 7 8 11 11

(1)
1 2

(2)

(3)
(4) 12
(5)
[6]
(6)
(7)

31-2
B . O . 11
B . O .

[6]



 634

()

300

$3,000,000

1,500,000

2,500,000

1,000,000

$1,500,000 $1,500,000

2,500,000 1,000,000

9% $1,000,000

11% $500,000

8% $1,000,000

$500,000

31-2


:
: 81
:
: 78
:
: 92

120


Lawrence A.We i s sBankruptcy Resolution: Direct Costs and Violation of Priority of
Claims, Journal of Financial Economics 271990.
 31 635

31.4

(private workout)


[7]

31.4.1


D I P D I P

31.4.2
DIP


8 1 [8] 11

31.4.3
Macys sand Carter Hale

[7] Stuart Gilson.Managing Default: Some Evidence on How Firms Choose between Workouts and
Bankruptch.Journal of Applied Corporate Finance (Summer 1991); and Stuart C. Gilson, Kose John, and Larry
N.P.Lang, Troubled Debt Restructuring: An Empirical Study of Private Reorganization of Firms in Defaults,
Journal of Financial Economics 27 (1990).
[8] Lawrence A Weiss, Bankruptcy Dissolution: Direct Costs and Violation of Priority and Claims. Journal of
Financial Economics 23 (1990) . W. BeranekR. BoehmerB. Smith Much Ado about Nothing:
Absolute Priority Deviations in Chapter 11, Financial Management (Autumn 1996)33.8%


 636

31.4.4







[9]

31.5
1986101Crystal 11
C r y s t a l

C r y s t a l

(Prepackaged bankruptcy)3 1 - 2


11
31-2

TWA 199573 1995823

Memorex Telex 199216 199227
Taj Mahal 199188 1991104
JPS Textiles 199127 1991321
Southland 7~11 19901024 199135

(MacysRevco D.S.) [10]

[11]

Revco [12]

Revco D.S.

[9] John McConnell and Henri Servaes The Economics of Pre-packaged Bankruptcy, Journal of Applied Corporate
Finance (Summer, 1991)Crystal
[10] S. Chattergee, U.S. DhillonG.G. Ramirez Prepackaged Bankruptcies and Workouts,Financial Management
(Spring, 199611

[11] Crystal


[12] Karen H.Wruck, What Really Went Wrong at Revco, Journal of Applied Corporate Finance (Summer 1991),
pp.71-92Revco
 31 637

()

1 9 8 87 R e v c o 11 R e v c o
Revco
1 9 8 4R e v c o 1 9 8 4R e v c o3 0
2 , 0 0 0 7 1 9 7 1 ~ 1 9 8 4R e v c o
20 19841 37.5
Revco 1984 [13]
1. 19844Revco E-Ferol38

2. 19845Revco1 Odd Lot Trading
Odd Lot Tr a d i n g Barnard MardenIsaac PerlmutterR e v c o 1 2
P e r l m u t t e r M a r d e n R e v c o
PerlmutterMardenRevco Stanley Dworkin
3. 1985R e v c o R i t e - A i dE c k e r d

4. 19857Revco9,800 MardenPerlmutterRevco
5. 19861229Revco LBOLBO
R e v c o 1 9 8 5 4 , 4 7 0 1 9 8 6L B O 7 , 0 0 0
R e v c o 1 3 1 9 8 84R e v c o

6. 1987 3 R e v c o
Revco
7. Revco1987
8. 19887Revco 11
9. Revco
10. 199762 2 9 R e v c o C V S C V S
C V S R e v c o Tw i n s b u rg

R e v c o R e v c o

(1) R e v c o
11 4 , 0 5 0 2 . 7 [14]

( )

Baker & Hostetler $ 7.5
Fried Frank 3.2

[13] Stephen Phillips, Revco, Anatomy of an LBO That Failed, Business Week (October 3, 1988), Revco

[14] George Anders, Revco Saga: On How the Buy Out Bonanza Became a Frenzy of Fees in Chapter 11, The Wall
Street Journal (May 16, 1991).
 638

()

Arthur Andersen 7.4
Ernst & Young 4.2

Lazard Freres 3.5
14.3
$40.5

(2)
Revco

(3) R e v c o
Revco

31.6

1.

2.

3. 7 11


4.
5. Revco D.S.
Revco

1.
Altman, Edward I. Corporate Financial Distress: A Complete Guide to Predicting, Avoiding
and Dealing with Bankruptcy (New York: John Wiley & Sons, 1983).
2.
Jenson, Michael and Richard Rubeck, eds. Symposium on the Structure and Governance of
Enterprise Part II. Journal of Financial Economics 27 (1990).Lawrence Weiss, Stuart G.Gilson,
Kose John, Larry N.P. Lang, Steven Kaplan, David Reishus, Frank EasterbrookKaren H. Wruck
 31 639

Senbet, L. ,and James Seward. Financial Distress, Bankruptcy and Reorganization,Chapter
28 in Handbooks in OR and MS, Vol.9R.A.Jarrow, V.Maksimovic,and W.T.Ziembe,eds.(1995).

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11. Revco D.S.
12. Revco D.S.
13.
14.
15. Beacon Computer B C C 7

$5,000 $1,000
1,000
3,000
1,000
(1,000)

16. Master Printing 11

$15,000 $10,000
6,000
4,000
( 5,000)

, ?
17.
a. APR
b. DIP
18.

31A Z-
[15]

[15] Edward I.Altman, Corporate Financial Distress and Bankruptcy, John Wiley & Sons, N.Y.(1993), Chapter3.
 640

Edward Altman

EBIT
Z = 3.3 + 1.2 + 1.0 +0.6 + 1.4

Z
2 . 6 7 5Z 9 5 A l t m a n
1.81~2.99 Z1.81
Z2 . 9 9 A l t m a n
Z 3 1 A - 1

A l t m a n

EBIT
Z = 6.56 + 3.26 + 1.0 + 6.72

Z<1.23
1.23Z2.90
Z>2.90
31A-1

(%)

/ 6.1 41.4
/ 62.6 35.5
EBIT/ 31.8 15.4
40.1 247.7
/ 150 190

: Edward I. Altman, Corporate Financial Distress and Bankruptcy, John Wiley & Sons (1993),
table 3.1, p.109

31A-1
Composite (First National State Bank)
Z C o m p o s i t e
Z
Composite 2-12-22
Z ( )

/ = 275/1,879 = 0.146
/ = 390/1,879 = 0.208
EBIT/ = 219/1,879 = 0.117
 31 641

()

/ = 805/588 = 1.369

Z = 6.56 0.146 + 3.260.208 + 1.050.117 + 6.721.369

= 10.96

Z 2 . 9 C o m p o s i t e



32

3 2 - 1










(1)
(2)
(3)
32-1 1995

() () ()

67.8 73.3 77.9

29.0 30.6 29.8
30.4 24.4 32.4
73.1 79.6 53.7
24.9 29.2 33.9
84.8 60.8 44.4
IBM 51.9 62.7 50.1
30.5 45.1 23.0
86.9 98.2 97.0
89.8 63.3 54.6
ABB 84.7 87.2 93.9
42.7 44.2 43.5
54.5 65.4 47.5
61.8 65.9 52.2
39.2 63.2 22.2

The Economist,November 22,1997,P.92.

32.1
( g l o b a l i z a t i o n )
 32 643

(1) American Depository Receipt,ADR
A D R
A D R 6 9 0 A D R
A D R
ADR
(2) (cross rate) ( )



(3) (Earopean Currency Unit,ECU)ECU1979 10
E M S E M S
2 5 E C U
1 0

(4) (Eurobonds)


(5) ( E u r o c u r r e n c y )

(6) (foreign bonds)





R e m b r a n d t


(7) ( g i l t s )

(8) London Interbank Offerde Rate,LIBOR
L I B O R
LIBOR
(9) ( S w a p s )

32.2
(foreign exchange market)
$ D M
SF FF

 644

SWIFT
S W I F T


(1)
(2)
(3)
(4)
(5)

32.2.1
(exchange rate)

1 . 5 0
= 1 0 . 4 0= 1
0 . 6 7 = 1 2 . 5
=1

32-1
1 9 8 4
8 0 9 0 3 2 - 1 1 9 8 0 ~ 1 9 9 81
90

32-1 1980~19981

 32 645

()

1 0 ( t r i a n g u l a r
arbitrage)

32-2
1 4 1 . 6 0
1 2 1 . 6 0
1 1 4 1 2 4
2 3 2 - 2 2 . 0 0 1 . 6 0= 0 . 4 0
10

32-2

32.2.2
(Spot trades)
( s p o t - e x c h a n g e r a t e )
( f o r w a r d t r a d e s ) ( f o r w a r d -
exchange rate) 1 5 2

(Swap rate)

32-3
A1 011B 11
11 A BB A
A B

32.3
Law of one price,LOP
t
t P U StPU Kt

PUSt=StPUKt

L O P L O P
4 2 . 5 0

 646

$4=St2.50
St =$1.60/

1.60/
2 4
2.50 2/ 5 1
L O P 1 . 6 0 / 2/
/


2/
LOP
(1) 0
(2)
(3)

0
L O P M e r c e d e s


P u r c h a s i n g - p o w e r
p a r i t y, P P P
PPP relative purchasing-power parity,RPPP


P US (t + 1) S (t + 1) P UK (t +1)
=
P US (t) S (t) PUK (t)

1+ =(1+ )(1+ )

tt+1
P US (t + 1)
u s1 + u s= , U K
P US (t)
P UK (t + 1)
1+UK=
P UK (t)

1 + US S (t + 1)
=
1+ UK S + (t) (32-1)

UK
S
US +
S

S/S -
4 10

 32 647

S FF
SFF US F

=10-4=6

S FF / S FF 10.20
1 0.2120.201.06



S FF
E( ) = E( US ) E( F )
SFF

32-1
E(1 + US ) E[S (t + 1)] (32-2)
=
E(1 + UK ) S (t)

32.4



2.50=1.002.40=1.00



( i n t e r e s t - r a t e -
parity theorem)

S0 0
S0= 0 . 4 0/S0
F0,1
i i*


6 10

32.4.1
6 0 . 5 1 0 0
100 1.005=100.5

t=0 t=1

1 1+i(1/12)

$1,000,000 $1,000,000(1+0.005)=$1,005,000
 648

32.4.2
$1,000,000
0.40/ = 2,500,000
0.40
0.10
10 12
=0.008 3 2,500,000

1.008 3=2,520,750

0.3986 9/

2,520,7500.398 69=1,005,000

t=0 t=1

1 = 0 1 1+ i ( 1 )
S( 0 ) S(0) 12

DM2,500,000 DM2,500,0001.008 3=DM2,520,750

F0,1

1 1 1 1
S( 0 ) 1 + i ( 12 ) S( 0 ) 1 + i ( 12 ) [F (0.1)]

DM2,500,0001.008 30.398 69=$1,005,000

1 1 1
1+ i ( 12 ) = S(0) 1+ i (12 ) [F(0,1)]

1
1+ i = (1+ i ) F(0,1)
S(0)

1 + i F(0,1)
= (32-3)
1+ i S(0)

ii*

32-4
S0= 0 . 4 0/ F01= 0 . 4 2/
i= 11 . 3, i* = 6

S1+i=$1+0.113=$1.113

1 1
$ (1+ i ) F(0.1) = $( ) (1+ 0.06) $0.42 = $1.113
S(0) 0.40
1 1 . 11 3 1
, 1.113

 32 649

32.4.3


0.40/ F
01= 0 . 4 0/ 0 . 4 0/
E( S )1= 0 . 4 0/


F(0,1) = E[ S(1)]

F(0,1) E [S(1)]
= (32-4)
S (0) S(0)

32.4.4


200 1.50/
1.50/200=300

2/ 2 2 0 0 4 0 0
100

2 0 0
1.50 300
2 0 0 2 0 0
300

32-1 M.

11 5 41 5


41 5
71 5 71 5 1 0
15 810
80
 650

()

1985~1987

80




M. .(Richard M. Levich)

(1) 0

(2)
0

32.4.5
Geczy, Minton and Schrand
500 41 [1]

32.5
Kihlstrom Equipment,

FF2,000 FF800 S
0=0.20/
N P V

32.5.1


1
2
3

[1] C . G e c z y, B. Minton, and C.Schrand,Why Firms Use Currerncy Derivatives,Journal of Finance ( S e p t e m b e r

1997).See also D.R.Nance, C.Smith Jr., and C.W.Smithson,One the Determinants of Corporate HedgingJournal
of Finance, 1993.
 32 651

3 2 - 2

32-2

0 1 2 3

CFF F
/ 20 8 8 8
$/FF 0.15 0.145 0.14 0.135
200.15 80.145 80.14 80.135

/ -3 1.16 1.12 1.08

15 =43

SFF0=$0.15/FF $0.15 FF1
ius=8
iF=12
32-232-332-4

(32-5)

(32-2) (32-4) (32-3)

3 2 - 2
32-4 32-3

1+ i US E(1+ US )
=
1 + iF E(1+ F )

1.08 E(1+ US )
=
1.12 E(1+ F )

8 12
1.08 1.08
=
1.12 E(1+ F )

E( F ) = 12%

1
E(1+ US ) E(S FF (1)) 1.08 E(S FF (1))
= =
E(1+ F ) SFF (0) 1.12 0.15
 652

E(SFF1)=0.145
2

0.15
1.08
= 0.14
1.12

3

0.15
1.08
= 0.135
1.12

3
CFFF (t) ES FF (t)
NPV =
t =0 (1+ r )t

C FF Ft
8
15 NPV=430,000

32.5.2





(1)
(2)
(3)





34

32.5.3


(1)
(2)




 32 653

Solnik [2]
3 3 5 0
3 2 - 3
1 2 . 8 4 . 2 3 2 -
3



32-3

2.08 12.8
1.42 6.1
0.73 6.2
0.57 5.3
1.06 6.0
1.01 5.6
1.38 7.9
0.49 5.5
0.69 7.4
0.19 5.4
0.70 6.0
0.83 5.7
1.39 8.2
1.04 5.9
0.97 4.7
1.00 4.2

Campbell R.Harvey, The World Price of Covariance Risk,Journal of Finance(March 1991)

from Table, I,p. 122 and Table VI, p.140

32.6

(1)
(2)
(3)

[2] B . H . S o l n i k ,Why Not Diversify Internationally Rather than Domestically? Financial Analysts Journal
(July-August 1974).
 654

2 , 0 0 0

32.6.1


( E u r o d o l l a r )
( e u r o b a n k s )




L I B O R
8 0.5 8.56
310

32.6.2
2 , 1 5 0 3 2 - 4
4 4 . 6

32-4 10

/10 (%)

$9,683 44.6
3,666 17.1
2.303 10.7
1,274 45.9
1,044 4.9
622 3.1
446 2.1
401 1.9
387 1.8
288 1.3
1,446 6.7
$21,500 100.00

Fortune ,November 10,1997, See also The Economist, May 25, 1996.

 32 655

(Yankee bonds) 1933










[3]




[4]

32-5
5 0 , 0 0 0 1 , 0 0 0
6
815

32-6
5 0 , 0 0 0 2 0 2 0
LIBOR 0.5 10
10+0.15=10.5

32.7



1982 1=2
1 . 2 5


(1)

[3]
[4]


 656

(2)
1 9 8 11 2 5 2
5 2

32.8


1.



2. 1


3.
4.





5.


a.

b.

6.

ADR


PPP
RPPP

ECU LOP
LIBOR
 32 657

1.
A d l e r, M., and B.Dumas, International Portfolio Choice and Corporation Finance: A
Synthesis.Journal of Finance (June 1983).
2.
Grabbe, J.O.International Financial Markets. New York: Elsevier, 1986.
3.
Lessard, D.R. Evaluating Foreign Projects: An Adjusted Present Value Approach."In
D.R.Lessard, ed Interntional Financial Management Boston: warren, Gorham & Lamont 1979.
Shapiro, A.C. Capital Budgeting for the Multinational Corporation. Financial Management
(Spring 1978).

1.
2.
3.

4.
5.
6. 32-5
a.
b.
c.

d. 1 0 0,0 0 0

e.

f.

32-5 (199416 )

f- 0.651 5 1.535 0
0.716 0 1.396 6
0.078 4 12.76
c- 0.026 7 37.52
f- 0.026 4 37.82
0.041 9 23.88
1.631 7 0.612 9
30 1.627 7 0.614 4
 658

()

60 1.623 8 0.615 8
90 1.620 4 0.617 1
0.759 3 1.317 0
30 0.759 1 1.317 3
60 0.758 8 1.317 9
90 0.758 4 1.318 5
y- 0.004 7 211.34
0.004 3 230.50
0.146 6 6.822 0
c- 0.735 3 1.360 0
f- 0.006 325 158.10
0.227 0 4.405 0
0.166 1 6.022 0
0.007 5 132.75
0.128 2 7.801 5
y- 0.077 9 12.840 0
0.000 611 1,635.75
1.471 0 0.679 8
0.624 6 1.601 0
0.000 775 1,290.50
0.006 993 143.00
30 0.007 009 142.66
60 0.007 027 142.30
90 0.007 042 142.01
3.0211 10.331 00
3.674 0 0.272 18
0.00813 123.00
0.000 860 1,163.00
0.490 0 2.041 0
0.580 0 1.724 1
0.147 7 6.770 0
0.057 8 17.30
y- 0.067 3 14.85
z- 0.049 4 20.250 0
0.007 153 139.80
0.266 6 3.750 5
0.469 0 2.132 0
0.001 183 845.50
0.4975 2.010 10
0.007 890 126.75
0.1586 6.307 0
0.6691 1.494 5
30 0.6710 1.490 4
60 0.6730 1.485 8
90 0.6743 1.483 0
0.029 4 33.97
 32 659

()

0.001 273 785.85

0.272 3 3.672 3
z- 0.005 0 201.4
z- 0.042 2 23.700 0
0.552 2 1.811 0
30 0.553 4 1.807 0
60 0.554 8 1.802 3
90 0.556 2 1.797 8
0.001 774 563.71

1. 1 0 9 6 . 9 2
96.74180.18 115.10
2. 33 0 c f y
z r
Reprinted by Permission of The Wall Street Journal. Dow Jones & Company, Inc, All rights
reserved.

7. a.


b. Strom Equipment
1 , 0 0 0 1 4 0 0 2 3 3 0 0
0 . 5/ 1 11 . 3 6
15 210

c.

d.


A-1

T
 661

PVIF=1/(1+r)T
 662

A-2

T
 663

PVIF=[11/(1+r)T]/r
 664

A-3

T
 665

FVIF=(1+r)T
 666

A-4

T
 667

FVIFA=[(1+r)T1]/r
 668

A-5

r r

T
 669

erT
 670

()

r
T
 671

A-6 erT

T
 672

()

T
 673

()

r
 674

()