Chapter 09CapitalBudgetingandRisk(公司金融,英文版).ppt

Chapter_09CapitalBudgetingandRisk(公司金融,英文版)
Measuring Betas
Dell Computer
Slope determined from plotting the line oExample
1/3 New Ventures B=
1/3 Expand existing business B=
1/3 Plant efficiency B=
AVG B of assets =
Capital Structure - the mix of debt & equity within a company
Expand CAPM to include CS
R = rf + B ( rm - rf )
becomes
Requity = rf + B ( rm - rf )
Capital Structure
Capital Structure & COC
COC = rportfolio = rassets
rassets = WACC = rdebt (D) + requity (E)
(V) (V)
Bassets = Bdebt (D) + Bequity (E)
(V) (V)
requity = rf + Bequity ( rm - rf )
IMPORTANT
E, D, and V are all market values
Capital Structure & COC
Expected return (%)
Bdebt
Bassets
Bequity
Rrdebt=8
Rassets=
Requity=15
Expected Returns and Betas prior to refinancing
Union Pacific Corp.
Requity = Return on Stock
= 15%
Rdebt = YTM on bonds
= %
Union Pacific Corp.
Union Pacific Corp.
Example
International Risk
Source: The Brattle Group, Inc.
s Ratio - Ratio of standard deviations, country index vs. S&P composite index
Asset Betas
Asset Betas
Risk,DCF and CEQ
Risk,DCF and CEQ
Example
Project A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?
Risk,DCF and CEQ
Example
Project A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?
Risk,DCF and CEQ
Example
Project A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?
Risk,DCF and CEQ
Example
Project A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is th