Sudfwlfh Sureohpv Zlwk Vroxwlrqv Iru Wrslf 49 Sureohpv= Euhdoh P huv= 4:14/ 4:15/ 4:17/ 4:18/ 4:19/ 4;14/ 4;15/ 4;143/ 4;144/ 4;145/ 4;147 Vroxwlrqv= EP 4:14 d1 Pu1 [ frxog ex 4( ri frpsdq E*v htxlw dqg eruurz dq dprxqw htxdo wr =34+È, =335 Y zkhuh Y lv wkh wrwdo ydoxh ri rqh up +wkh upv kdyh htxdo ydoxh,1 Wklv lqyhvwphqw uhtxluhv d qhw fdvk rxwod ri =33: Y dqg surylghv d qhw fdvk uhwxuq ri =34 Surwv =336uY zkhuh u lv wkh udwh ri lqwhuhvw rq ghew1 Wkxv/ wkh wzr lqyhvwphqwv duh lghqwlfdo1 e1 Puv1 \ frxog ex 5( ri frpsdq D*v htxlw dqg ohqg dq dprxqw htxdo wr =35+È, =337 Y zkhuh Y lv wkh wrwdo ydoxh ri rqh up +wkh upv kdyh htxdo ydoxh,1 Wklv lqyhvwphqw uhtxluhv d qhw fdvk rxwod ri =34; Y dqg surylghv d qhw fdvk uhwxuq ri =35 Surwv =335us Y zkhuh u lv wkh udwh ri lqwhuhvw rq ghew1 Wkxv/ wkh wzr lqyhvwphqwv duh lghqwlfdo1 f1 Wkh h{shfwhg groodu uhwxuq wr Pu1 [*v ruljlqdo lqyhvwphqw lq D lv =34F =336uYÈ zkhuh F lv wkh h{shfwhg surw +fdvk rz, jhqhudwhg e wkh up*v dvvhwv1 Vlqfh wkh upv duh wkh vdph h{fhsw iru fdslwdo vwuxfwxuh/ F pxvw dovr eh wkh h{shfwhg fdvk rz iru up E1 Wkh groodu uhwxuq wr [*v dowhuqdwlyh vwudwhj lv > =33:YÈ zkloh wkh frvw ri wkh dowhuqdwlyh vwudwhj lv = =33:Y Li YÈ lv ohvv wkdq > Y wkhq wkh ruljlqdo vwudwhj ri lqyhvwlqj lq frpsdq D zrxog surylgh d odujhu groodu uhwxuq dw wkh vdph wlph wkdw lw zrxog frvw ohvv wkdq wkh dowhuqdwlyh1 Wkxv/ qr udwlrqdo lqyhvwru zrxog lqyhvw lq frpsdq E li wkh ydoxh ri frpsdq D zhuh ohvv wkdq wkdw ri frpsdq E1 EP 4:15 Wkh frpsdq frvw ri fdslwdo lv= uè =;+=45,. =5+=39, =43; > ru 43=;( Wklv lv xqfkdqjhg zlwk fdslwdo vwuxfwxuh fkdqjhv xqghu Sursrvlwlrq L1 Zlwk wkh erqgv uhpdlqlqj dw wkh 9( ghidxow0iuhh ohyho/ zh kdyh= 4
hew0htxlw Udwlr u. uè 3133 143; 143; 3143 1446 143; 3148 1453 143; 4133 1489 143; 5133 1537 143; 6133 1585 143;.25 r E.20.15.108 r A.06 r D 0 1 2 3 Debt / Equity EP 4:17 Wklv lv qrw d ydolg remhfwlrq1 PP*v Sursrvlwlrq LL h{solflwo doorzv iru wkh udwhv ri uhwxuq rq erwk ghew dqg htxlw wr lqfuhdvh dv wkh sursruwlrq ri ghew lq wkh fdslwdo vwuxfwxuh lqfuhdvhv1 Wkh udwh rq erqgv lqfuhdvhv ehfdxvh wkh ghewkroghuv duh wdnlqj rq pruh ri wkh ulvn ri wkh up> wkh udwh rq wkh frpprq vwrfn lqfuhdvhv ehfdxvh ri lqfuhdvlqj qdqfldo ohyhudjh1 5
Rates of Return r E =Expected return on equity r A =Expected return on assets r D =Expected return on debt Risk-free debt Risky debt D/E = debt/equity EP 4:18 d1 Wkh frvw ri fdslwdo ri wkh up +uè, lv qrw dhfwhg e wkh fkrlfh ri fdslwdo vwuxfwxuh xqghu Sursrvlwlrq L1 Wkh fkrlfh ri qdqflqj lv olnh prylqj kdoi ri rxu prqh wr rxu ohiw srfnhw zkloh ohdylqj kdoi lq rxu uljkw> lw lq qr zd dhfwv rxu zhdowk1 Wkh uhdvrq wkh vwdwhphqw txrwhg lq wkh errn vhhpv wr eh wuxh lv wkdw lw grhvq*w dffrxqw iru wkh fkdqjlqj surs ruwlrqv ri wkh up qdqfhg e ghew dqg htxlw 1 Dv wkh ghew0htxlw udwlr lqfuhdvhv/ lw lv wuxh wkdw erwk wkh frvw ri htxlw dqg ghew lqfuhdvh/ exw d vpdoohu sursruwlrq ri wkh up lv qdqfhg e htxlw 1 Wkh ryhudoo hhfw lv wr ohdyh wkh up*v frvw ri fdslwdo xqfkdqjhg1 e1 Prghudwh eruurzlqj grhvq*w vljqlfdqwo dhfw wkh suredelolw ri qdqfldo glvwuhvv/ exw lw grhv lqfuhdvh wkh yduldelolw +dqg dovr pdunhw ulvn, eruq e vwrfnkroghuv1 Wklv dgglwlrqdo ulvn pxvw eh rvhw e d kljkhu dyhudjh uhwxuq wr vwrfnkroghuv1 EP 4:19 d1 Li wkh rssruwxqlw zhuh wkh up*v rqo dvvhw/ wklv zrxog eh d jrrg ghdo1 Vwrfnkroghuv zrxog sxw xs qr prqh dqg wkhuhiruh kdyh qrwklqj wr orvh1 Wkh wurxeoh lv/ udwlrqdo ohqghuv zrq*w dgydqfh 433( ri wkh dvvhw*v ydoxh iru dq ;( surplvhg uhwxuq xqohvv rwkhu dvvhwv duh sxw xs dv froodwhudo1 Vrphwlphv upv qg lw frqyhqlhqw wr eruurz doo wkh fdvk uhtxluhg iru fhuwdlq lqyhvwphqwv11 Exw wkhvh lqyhvw0 phqwv grq*w vxssruw doo ri wkh dgglwlrqdo ghew> wkh ohqghuv duh surwhfwhg e wkh up*v rwkhu dvvhwv wrr1 Lq dq fdvh/ li up ydoxh lv lqghshqghqw ri ohyhudjh/ wkhq dq dvvhw*v frqwulexwlrq wr up ydoxh pxvw eh lqghshqghqw ri krz lw lv qdqfhg1 Qrw dovr wkdw wkh vwdwhphqw ljqruhv wkh hhfw rq wkh vwrfnkroghuv ri dq lqfuhdvh lq qdqfldo ohyhudjh1 e1 Wklv lv qrw dq lpsruwdqw uhdvrq iru frqvhuydwlyh ghew ohyhov1 Vr orqj dv PP*v Sursrvlwlrq L krogv/ wkh frpsdq *v ryhudoo frvw ri fdslwdo lv xqfkdqjhg ghvslwh lqfuhdvlqj lqwhuhvw udwhv sdlg dv wkh up eruurzv pruh1 +Krzhyhu/ wkh lqfuhdvlqj lqwhuhvw udwhv pd vljqdo dq lqfuhdvlqj suredelolw ri qdqfldo glvwuhvv 0 dqg wkdw fdq eh lpsruwdqw1 EP 4;14 Iru '4 ri ghew lqfrph= Frusrudwh wd{ 3 Shuvrqdo wd{ =77+'4 '3, Wrwdo '=773 6
+[ Iru '4 ri htxlw lqfrph/ zlwk doo fdslwdo jdlqv uhdol}hg lpphgldwho = Frusrudwh wd{ =68+'4, Shuvrqdo wd{ =77+=8^'4 =68'4`,. =5;+=8^'4 =68'4`, Wrwdo '=8;7 Iru '4 ri htxlw lqfrph/ zlwk doo fdslwdo jdlqv ghihuuhg iruhyhu= EP 4;15 Frusrudwh wd{ =68+'4, Shuvrqdo wd{ =77+ =8^'4 =68'4`, Wrwdo '=7<6 Frqvlghu d up zklfk lv ohyhuhg/ kdv shushwxdo h{shfwhg fdvk rz [> dqg kdv dq lqwhuhvw udwh rq lwv ghew1 Wkh shuvrqdo dqg frusrudwh wd{ udwhv duh W dqg W / uhvshfwlyho 1 Wkh fdvk rz wr vwrfnkroghuv hdfk hdu lv= U(,+4 W,+4 W, zklfk pdnhv wkh ydoxh ri wkh vwrfnkroghuv* srvlwlrq= Yu Yu W,+4 W, u+4 W, W,+4 W, u+4 W, +4 W,+4 W, +4 W, +4 W, zkhuh u lv wkh rssruwxqlw frvw ri fdslwdo iru dq doo0htxlw qdqfhg up1 Li wkh vwrfnkroghuv eruurz dw wkh vdph udwh > dqg lqyhvw lq wkh xqohyhuhg up/ wkhlu fdvk rz lq hdfk hdu lv W,+4 W, +4 W, zklfk pdnhv wkh ydoxh ri wkh vwrfnkroghuv* srvlwlrq= YL YL W,+4 W, u+4 W, W,+4 W, u+4 W, +4 W, +4 W, Wkh glhuhqfh lq vwrfnkroghu zhdowk/ iru lqyhvwphqw lq wkh vdph dvvhwv/ lv= Yu YL W Wklv lv wkh fkdqjh lq vwrfnkroghu zhdowk suhglfwhg e PP1 Li lqglylgxdov frxog qrw ghgxfw lqwhuhvw wkhq= YL W,+4 W, u+4 W, +4 W, dqg Yu YL +4 W,+4 W, +4 W, Yu YL W. W +4 W, 7
Vr wkh ydoxh ri wkh vkduhkroghuv* srvlwlrq lq wkh ohyhuhg up lv uhodwlyho juhdwhu zkhq qr shuvrqdo lqwhuhvw ghgxfwlrq lv doorzhg1 EP 4;143 d1 VRV vwrfnkroghuv frxog orvh li wkh pdnh wkh lqyhvwphqw dqg VRV ehfrphv edqnuxsw> xqghu wkhvh frqglwlrqv wkh ehqhwv ri wkh surmhfw dffuxh wr wkh erqgkroghuv1 e1 Li wkh qhz surmhfw lv vx!flhqwo ulvn / hyhq wkrxjk lw kdv d qhjdwlyh QSY/ lw pd lqfuhdvh vwrfnkroghu zhdowk e pruh wkdq wkh prqh sxw xs1 Wklv pd rffxu e hfdxvh vwrfnkroghuv ri ohyhuhg upv jdlq zkhqhyhu wkh up*v exvlqhvv ulvn lqfuhdvhv1 f1 Djdlq wklqn ri wkh h{wuhph fdvh= Lpdjlqh VRV sd v rxw doo ri lwv dvvhwv dv rqh oxps0vxp glylghqg1 Vwrfnkroghuv jhw doo wkh dvvhwv/ dqg wkh erqgkroghuv duh ohiw zlwk qrwklqj1 Wkhvh frq lfwv ri lqwhuhvw duh rqo vhyhuh zkhq wkh frpsdq lv lq glvwuhvv1 Dgkhulqj wr d prghudwh wdujhw ghew udwlr olplwv wkh frq lfwv1 EP 4;144 d1 Wkh erqgkroghuv1 Wkh qh sulqw olplwv dfwlrqv wkdw wudqvihu zhdowk iurp wkh erqgkroghuv wr wkh vwrfnkroghuv1 e1 Wkh vwrfnkroghuv1 Lq wkh devhqfh ri qh sulqw/ erqgkroghuv fkdujh d kljkhu udwh ri lqwhuhvw wr lqvxuh wkdw wkh uhfhlyh d idlu ghdo1 Wkh up zrxog suredeo lvvxh wkh erqg zlwk vwdqgdug uhvwulfwlrqv1 Lw lv olnho wkdw wkh uhvwulfwlrqv zrxog eh ohvv frvwo wkdq wkh kljkhu lqwhuhvw udwh1 EP 4;145 Fhuwdlqo sduw ri wklv gurs pxvw eh dwwulexwhg wr edqnuxswf frvwv/ zklfk frph rxw ri wkh vkduhkroghu*v srfnhwv1 Lw lv olnho / krzhyhu/ wkdw wkh dfwxdo edqnuxswf olqj frqyh hg vrph qhjdwlyh lq irupdwlrq wr wkh pdunhw derxw Fdogru*v ixwxuh survshfwv dqg wkdw sduw ri wkh gurs pxvw wkhuhiruh eh dwwulexwhg wr wklv qhjdwlyh lqirupdwlrq1 EP 4;147 d1 Pdvxolv*v uhvxowv duh frqvlvwhqw zlwk wkh ylhz wkdw ghew lv dozd v suhihudeoh ehfdxvh ri lwv wd{ dgydqwdjh/ exw lv qrw frqvlvwhqw zlwk wkh wudghr wkhru wkhru / zklfk krogv wkdw pdqdjhphqw vwulnhv d edodqfh ehwzhhq wkh wd{ dgydqwdjh ri ghew dqg wkh frvwv ri srvvleoh qdqfldo glvwuhvv1 Lq wkh wudghr wkhru / h{fkdqjh rhuv zrxog eh xqghuwdnhq wr pryh wkh up*v ghew ohyho wrzdug wkh rswlpxp1 Wkdw rxjkw wr eh jrrg qhzv/ li dq wklqj/ uhjdugohvv ri zkhwkhu ohyhudjh lv lqfuhdvhg ru ghfuhdvhg1 e1 Wkh uhvxowv duh frqvlvwhqw zlwk wkh hylghqfh rq wkh dqqrxqfhphqw hhfwv rq vhfxulw lvvxhv dqg uhsxufkdvhv1 f1 Rqh h{sodqdwlrq lv wkdw wkh h{fkdqjh rhuv vljqdo pdqdjhphqw*v dvvhvvphqw ri wkh up*v survshfwv= pdqdjhphqw zrxog rqo eh zloolqj wr wdnh rq pruh ghew li wkh zhuh txlwh frqghqw derxw ixwxuh fdvk rz/ iru h{dpsoh/ dqg zrxog zdqw wr ghfuhdvh ghew li wkh zhuh frqfhuqhg derxw wkh up*v delolw wr phhw ghew sd phqwv lq wkh ixwxuh1 8