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1
第二章 財務管理基本理論
參考資料: Lee ect. Chap2 -Theory of Financial Management
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企業的經理人員負責計畫( planning )、執行( implementing )、控制(考核, controlling )三種經濟行為—生產( production )、運銷( marketing )與財務( financing )管理(+人事, personnel )
財務經理的職責—負責目標的設定、發現及分析問題、做決策、執行並負責企業的財政庶務,其範圍包含生產與運銷事務
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企業管理目標( Management Goal )—最大利潤( Profit maximization )
timing risk & uncertainly
(時效性? 風險與不確定性? ) — Profit Max. 之二大缺失
↓ ↓ ↓
第三、四章 知道機率 不知機率
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企業風險( Business Risk ):與企業特性有關的獲利變動
農企業風險—氣候、病蟲害、價格變動 AgriBusiness Risk - (i) technical risk : weather, disease
-(ii) market risk : price
probility
expected returnmean
F
G
G has higher expected return & risk
G or F is preferred?
0
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財務風險( Financial Risk ):非自有資本的運用所帶來的風險。
— 要籌資多少 自己的、借的? leverage =
(nonequity capital — borrowing , leasing , other arrangement or contracts) (interests) (rent) (obligations)
leverage↑ → risk↑ If rate or return > cost of using nonequity capital, leverage↑ → profit↑, but at the same time , risk↑
capitalequity
capitalnonequity
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Key elements of financial goal: profitability, risk & liquidity (timing) 目標-風險與報酬( risk & return ) 兼顧- utility maximization
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Measurement of Business Risk :
Variance
Risk--Return Trade-off 1. coefficient of variation CV = V/E 愈小愈好 2. highest lower bound L = E-2V 愈高愈好
mean (E)
iii
n
ii
YPYEn
EE 1
(expected return)
iVSVYiYiPV 2
22
11
2
2
n
n
iEiE
V
Standard deviation (S or V)
1
2
2
n
EEVVS i
(risk)
8
9
10
the risk-return basis for choice:
I1
more “conservative” decision maker (I)—prefers A less risk averser (I’)—prefers B
required rate of returnrisk averse
risk neutral
risk
risk preferring
I2
I3 I’1
I’2
I’3
B
A
‧‧
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Risk-reducing Strategy ( 風險分散策略):Diversification : Holding combinations of investment
Portfolio Theory ( 投資組合理論 ) : ρ = 0 ρ<0 (其實 ρ≠1 即可)
↑ ↑
If returns tend to be independent or negatively correlated, diversification will generally be desirable.
∵ the coefficient of variation (CV=V/E) for the “portfolio” will likely be less than that associated with each individual investment - the “portfolio effect”
Diversification as a risk – reducing strategy becomes more effective as the covariation (i.e. correlation) among investments is lower
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※coefficient of correlation (ρ): -1<ρ <1
BA
AB
bbiaai
bbiaaiBA VV
COV
EEEE
EEEE
22,
13
14
Combinations of crops A and B will always dominate complete specialization in one or the other, as long as the returns from the two are less than perfectly correlated (ρ≠1 ).
100% A
V
I’2E
I’1
I1
I2
100% B
Comparatively
conservative ‧
‧
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Portfolio selection for risky assets :
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Appendix : portfolio selection with risk-free assets
FP
FL
I’1 capital market line(the new efficient frontierwhen borrowing is possibleslope=market price of risk )
risk premiumof market portfolio
E
P
V
F
E*
V*
BI1
L
I2I3
I’2I’3
the dominantmarket portfolioof risky securities
(efficient frontier whenborrowing were prohibited )
Combination of P & F
‧‧
‧
O
portfolio risk-free assetsLender :L: will be invested in the portfolio of risky assets P will be lent or used to buy risk-free assets F with rate of return OFBorrower :B : all available funds will be invested in P, and PB/FB will be financed by borrowing (at the cost of OF)
FP
LP
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Separation Theorem :
The investment decision (which portfolio of risky assets to hold) is separate from the financing decision (how to allocate investable funds between the risk-free asset and the risky asset).
The dominant portfolio of risky assets (P) is optimal for every investor regardless of that investor's utility function.
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OFFP
LPOE
FP
FLEssEE fPFP
1,
22,
22222, 121 PFPFPFPFP VsVVssVsVSV 02 FVFV
If s=0.5 : half in P, half in F s=1.0 : all in P s=1.5 : (all + borrowing) in P ↑ half of the equity is borrowed debt./equity=0.5 (leverage)
s=2.0 : L = D/E = 1
∵
3
1
FB
PB
,則 S=1.5 , 1-S= -0.5
eg :若
19
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Principle of Increasing Risk
- As the relative amount of nonequity capital used in a business ex
pands (leverage ↑) , the tendency for risk becomes greater.
leverage =E
D
net worth
ilitiestotal liab
italequity cap
capitalnonequity
ratio
非淨值資本
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eg:
I=(rA-iD)(1-t)
leverage ratio ( L ): 0 0.5 1 2
E : equity capital 100 100 100 100
D : nonequity capital ( debt ) 0 50 100 200
A : total capital = D + E 100 150 200 300
(1)
rA : if return (r=15%) 15 22.5 30 45
- iD : cost of nonequity capita (i=9%) 0 4.5 9 18
before tax net return 15 18 21 27
Income tax (t=20%) 3 3.6 4.2 5.4
I : after tax net return 12 14.4 16.8 21.6
I/E : rate of return on equity capital 12% 14.4% 16.8% 21.6%
(2)
rA : if return is –15% -15 -22.5 -30 -45
- iD : cost of nonequity capital 0 4.5 9 18
net return -15 -27 -39 -63
rate of return -15% -27% -39% -63%
22
(1) as leverage ↑ → the spread between possible gains and loss↑, risk↑
(2) as long as the marginal rate of return on capital > the marginal
cost of using nonequity capital, leverage↑→ income↑→ net worth↑
if some of the income is reinvested , saved , or used to repay bor
rowed funds , net worth will ↑
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net after-tax earnings : I = ( rA – iD )( 1-t ) reinvestment : G= ( rA – iD )( 1-t )( 1-c )
rate of growth in equity:
Theoretically, as long as r > i, ↑L to ↑G/E (assuming t, c, and r constant).
However, the hypothesis of constant t, c is not real realistic; the hypothesis that r
is constant for all size of business may also be unrealistic; finally, the assumption
that i remains constant as L↑ is also unrealistic.
∵external capital rationing & internal capital rationing
EctiDrAEG /11/ ctEDiEEDr 11//
ctrirL 11
A=D+E
L=D / E
as L↑ or (r-i)↑ G/E ↑
also, t↓ , c↓ G/E ↑
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external + internal capital rationing( the reluctance to use unlimited amount of nonequity financing )cost or return
optimal leveragedebtequity
Leverage (debt/equity)
i
i+R
external capital rationing ( the tendency for lenders to provide limit amount of credit )
diminishing marginal productivity of capital
r
• optimum degree of leverage : r = i + R• marginal rate of return = marginal cost of nonequity capital • debt / equity usually ≦ 3 or 2
25
Factors limiting growth
A. external constraints
1. quantity rationing of credit use (L limited )
2. price rationing of credit use (i↑)
3. income tax payments (t↑)
B. internal constraints
1. quantity rationing of credit use
2. income withdrawals (c)
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short-run
level of input use : MPPi / Pi , for all factors are same level of production : MCi = MRi , for all products
long-run