EMBA 財務管理

李志宏政大財務管理系教授兼 EMBA 執行

長

2. 代理問題 (agency problem) 股東 VS. 經理人

股東 VS. 債權人 3. 金融市場 (Financial Markets) a. Money Market ＜－－－＞ Capital Market 。 b. Primary Market ＜－－－＞ Secondary Market 。

4. 利率決定因素 K = K* + IP + DP + LP + MP

K ：名目利率 (nominal interest rate) K* ：真實利率 (real interest rate) IP ：通貨膨脹溢酬 (inflation premium) DP ：違約風險溢酬 (default premium) LP ：變現力溢酬 (liquidity premium) MP ：到期風險溢酬 (maturity risk premium)

5. 利率期間結構 描述殖利率 (yield – to - maturity) 與到期期間 (time – to - maturity) 的關係。 ( 見圖 ) 美國國庫券的利率期間結構

解釋期間結構之理論 a. 預期理論 (Expectation Theory) b. 變現力偏好理論 (Liquidity Preference Theory) c. 市場區隔理論 (Market Segmentation Theory)

Balance SheetsAssets 2006 2007

Cash $ 52,000 $ 57,600

Receivables 402,000 351,200

Inventories 836,000 715,200

Total current assets $ 1,290,000 $ 1,124,000

Gross fixed assets $ 527,000 $ 491,000

Less : Accumulated Depreciation 166,200 146,200

Net fixed assets $ 360,800 $ 344,800

Total assets $ 1,650,800 $ 1,468,800

Liabilities and Equity

Accounts payable $ 175,200 $ 145,600

Notes payable 225,000 200,000

Accruals 140,000 136,600

Total current liabilities $ 540,200 $ 481,600

Long-term debt $ 424,612 $ 323,432

Common stock $ 460,000 $ 460,000

Retained earnings 225,988 203,768

Total equity $ 685,988 663,768

Total Liabilities and Equity $ 1,650,800 $ 1,468,800

Income Statements 2006 2007

Sales $ 3,850,000 $ 3,432,000

Cost of goods sold 3,250,000 2,864,000

Other expenses 430,300 340,000

Depreciation 20,000 18,900

Total operating costs $ 3,700,000 $ 3,222,900

Earnings before interest and taxes

(EBIT) $ 149,700 $ 209,100

Less interest expense 76,000 62,500

Earnings before taxes (EBT) 73,700 $ 146,600

Income taxes (40%) 29,480 58,640

Net income $ 44,220 $ 87,960

Other Data

EPS $0.442 $0.880

December 31 stock price $6.00 $8.50

Shares outstanding (December 31 ) 100,000 100,000

Dividends per share $0.22 $0.22

Lease payments $40,000 $40,000

Statement of Cash Flows (2007)Operating Activities:

Net income $ 44,220

Additions (sources of cash):

Depreciation 20,000

Increase in accounts payable 29,600

Increase in accruals 4,000

Subtractions (Uses of cash):

Increase in receivables (50,800)

Increase in inventories (120,800)

Net cash flow from operations ($ 73,780)

Long-Term Investing Activities:

Investment in fixed assets ($ 36,000)

Financing Activities:

Increase in notes payable $ 25,000

Increase in long-term debt 101,180

Payment of cash dividends (22,000)

Net cash flow from financing $104,180

Net Increase (Decrease) in Cash ($ 5,600)

Cash at Beginning of year 57,600

Cash at End of Year $ 52,000

Financial Ratio Analysis

Short-Term Solvency

Ability to pay bills in the short-run

Long-Term Solvency Ability to meet long-term obligations

Assets Management Intensity and efficiency of assets use

Profitability

Market Value Going beyond financial statements

sliabilitieCurrent

sInventorie-assetsCurrent ratioQuick

sliabilitieCurrent

assetsCurrent ratioCurrent

2006 2007 Industry

Current ratio 2.3X 2.4X 2.7X

Quick ratio 0.8X 0.8X 1.0X

Ratio Analysis: Asset Management Ratios

.assets Total

Sales turnoverassets Total

.assets fixedNet

Sales turnoverassets Fixed

.Sales/360

sReceivable

dayper sales Average

sReceivable(DSO) goutstandin sales Days

.Invetories

SalesturnoverInventory

2006 2007 Industry

Inventory turnover 4.8X 4.6X 7.0X

DSO 36.8 days 37.6 days 32.0 days

Fixed assets turnover 10.0X 10.7X 10.7X

Fixed assets turnover 2.3X 2.3X 2.6X

Ratio Analysis: Debt Management Ratios

Tpaymentfundinking

paymentLeaseenseInterest

1 S

exp

payments LeaseEBITFCC

expenseInterest

EBITTIE

assets Total

debt TotalratioDebt

2006 2007 Industry

Debt ratio 54.8% 58.4% 50.0%

TIE 3.3X 2.0X 2.5X

FCC 2.4X 1.6X 2.1X

Ratio Analysis: Profitability Ratios

2006 2007 IndustryPM 2.6% 1.1% 3.5%

BEP 14.2 9.1 19.1

ROA 6.0 2.7 9.1

ROE 13.3 6.4 18.2

.

sstckholdercommon toavailiable income )( Re

.

income )(assets total Re

.

)(

.

)(arg P

equityCommon

NetROEequityonturn

AssetsTotal

NetROAonturn

AssetsTotal

EBITBEPpowerearningBasic

Sales

incomeNetPMinmrofit

Ratio Analysis: Market Value Ratios

.shareper Book value

shareper Market )/(arket/

.shareper Earnings

shareper Pr)/(/Pr

priceratioBMbookM

iceratioEPearningice

2006 2007 Industry

P/E 9.7X 13.6X 14.2X

M/B 1.3X 0.9X 1.4X

Common Financial Ratios

tsoperatingdailyAverage

assetsCurrentmeasureInterval

assetstotal

capitalworkingNetassetstotaltocapitalworkingNet

sliabilitieCurrent

CashratioCash

sliabilitieCurrent

InventoryassetsCurrentratioQuick

sliabilitieCurrent

assetsCurrentratioCurrent

RatioLiquidityorSolvencyTermShort

cos

1.

Common Financial Ratios (continued)

assetsTotal Sales

turnover assetsTotal

assets fixed NetSales

turnover assets Fixed

NWCSales

turnover NWC

turnover sReceivabledays 365

sreceivable in sales Days'

sreceivable AccountsSales

turnover sReceivable

turnover Inventorydays 365

inventory in sales Days'

Inventorysold good of Costs

turnover Inventory

Ratios Turnover or nUtilizatio Assets III.

Common Financial Ratios (continued)

InterestonDepreciatiEBIT

ratio coverage Cash

InterestEBIT

ratio earned interest Times

equityTotal debt termLongdebt termLong

ratio debt termLong

equityal assets/TotTotal multiplier Equity

equity debt/TotalTotal ratio yDebt/equitassetsTotal

equityTotal assetsTotal ratio debtTotal

Ratios leverageFinancial or Solvency termLong II

Common Financial Ratios (continued)

share per value Bookshsre per value Market

ratio booktomarket

share per Earningsshare per Price

ratio ngsPrice/eari

Ratios Value Market V.

EquityAssets

AssetsSales

Salesincome Net

ROE

equityTotal income Net

)equity(ROE on Return

assetsTotal income Net

)assets(ROA on Return

Salesincome Net

margin Profit

Ratios ityProfitabil IV.

報酬與風險 Return and Risk

The Concept of Portfolio Management

ji

jiij

jjiiji

2

iii

i

σσR,RCov

ρ:tCoefficien nCorrelatio

RRRRER,RCov:Covariance

RRE:σ:Risk

RE:Return

lyrespective, B&A securities on return expected the is : R & R

portfolio the on return expected the is : R

B security in held portfolio the of fraction the is : X

A security in held portfolio the of fraction the is : X

R X R X R

Securities Risky Two

BA

P

B

A

BBAAP

Now assume :

Case 1 : ρ =1

1ρ1-

B and A securities between tcoefficien ncorrelatio the is : ρ

σσ)ρX-(12Xσ)X-(1σXσ

RX-1 RX R

1XX

AB

AB

21

BAABAAB22

AA2

A2

P

BAAAP

BA

BAAAP

21

2BAAAP

21

BAABAAB22

AA2

A2

P

)σX-(1σXσ

))σX-(1σ(Xσ

σσ)ρX-(12Xσ)X-(1σXσ

RP

140 B

80 A

0 30 50 VP

Case 2 : ρ = -1.0

RP

14.0 B 10.0 8.0 A

0 VP

BAAAP

2

12

BBAAP

2

1

BAAAB22

AA2

AP

)X-(1-X

)X(X

)X-(12X)X-(1X

Case 3 : ρ = 0

2

12

BAAAP ))X-(1(X

RP

140 B

109.2 8 A

0 2.68 3 6 VP

The Efficient frontier of Investment

The Efficient Set of InvestmentsExpected Portfolio

Return

Risk, σP

Total Risk = Market Risk + Firm – Specific Risk

The Effect of Portfolio Size on Portfolio Risk

Capital Assets Price Model

E[ Ri ]=rf+β[E[Rm]-rf]