第04章资本预算武汉大学考研公司理财罗琦老师

1公司金融武汉大学经济与管理学院2第四章资本预算一、资本预算基本方法二、投资项目及其现金流三、净现值法的实际运用四、特殊情形下的投资决策五、不确定性分析3WhatisCapitalBudgeting?Theprocessofidentifying,analyzing,andselectinginvestmentprojectswhosereturns(cashflows)areexpectedtoextendbeyondoneyear.ProjectEvaluation:Theapplicationofoneormorecapitalbudgetingdecisionrulestoestimatedrelevantprojectcashflowsinordertomaketheinvestmentdecision.4一、资本预算基本方法•NPV（净现值）•PaybackRule（投资回收期）•DiscountedPaybackRule（折现投资回收期）•AverageAccountingReturn（平均会计收益率）•InternalRateofReturn（内部收益率）•ProfitabilityIndex（盈利指数法）5CFODecisionToolsProfitabilityIndex,12%Payback,57%IRR,76%NPV,75%Bookrateofreturn,20%0%10%20%30%40%50%60%70%80%90%100%SurveyDataonCFOUseofInvestmentEvaluationTechniquesSOURCE:GrahamandHarvey,“TheTheoryandPracticeofFinance:EvidencefromtheField,”JournalofFinancialEconomics61(2001),pp.187-243.6NetPresentValue（净现值法）•Definition:Presentvalueoffuturecashflowsdiscountedattheopportunitycostofcapitalminus(netof)theinitialinvestment.(按照一定的折现率，将项目各年的现金流量折现到项目期初的现值累加值。)•IntuitivedefinitionsofNPV:–Changeinthefirm’svalue(shareholderswealth)frominvestingintheproject.–Amountthatanoutsideinvestorwouldbewillingtopayfortheopportunitytocarry-outtheproject.NPVCICOrtttn()()107净现值法：举例•Considerthefollowingthreepossibleinvestments,eachwithadiscountrateof10%:–Movie:$1milliontobuildamega-movie-theater.Youplantooperatethistheaterforthreeyears,OCFof$200,000eachyearstartingoneyearfromnow,andyoubelievethatyoucansellthetheaterfor$500,000attheendofthethirdyear.–Restaurant:Afast-foodrestaurantfor$500,000,whichwillcreateOCFof$75,000foreachofthenext30yearsstartingoneyearfromnow.–Mine:Agoldminethatwillcost$4milliontoconstructandwillyieldOCFof$3millionayearforfouryearsstartingoneyearfromnow.Attheendofthefifthyear,a$9millionchargeforenvironmentalcleanupisexpected.8净现值法：举例•NPVofMovieProject:-$126,972.20•NPVofRestaurantProject:$207,018.60•NPVofMineProject:-$78,695.57•Whichoftheseprojectsshouldweimplement?•判断准则：NPV大于等于0，项目可行；NPV小于0，拒绝项目。相对比较时，NPV最大准则。9净现值曲线•NPV与折现率r的关系1）NPV与r呈反向变化关系；2）净现值曲线与r轴有一交点。NPV0r10GoodAttributesoftheNPVRule•1.Usescashflows•2.UsesALLcashflowsoftheproject•3.DiscountsALLcashflowsproperly•Reinvestmentassumption:theNPVruleassumesthatallcashflowscanbereinvestedatthediscountrate.11NotesonNPVorDCFAnalysis•IntheunlikelyeventofNPV=0,themanagershouldbeindifferenttoimplementingtheinvestmentornot.•Oncethecashflowsandthediscountrateareestimated,theDCFanalysisisrathermechanicalandstraightforward.However,comingupwithestimatesofthecashflowsandthediscountrateisamorechallengingtask.•DonotforgetthattheNPVofaprojectisjustanNPVanddoasensitivityanalysistoanalyzedifferentscenarios.12PaybackRule（投资回收期法）•Paybackperiod:Lengthoftimebeforetheinitialinvestmentintheprojectisrecovered.•从项目的投建之日起，用项目所得的净收益（净现金流量）偿还原始投资所需要的年限。13投资回收期•静态投资回收期–不考虑资金的时间价值•动态投资回收期(折现投资回收期)–考虑资金的时间价值•静态指标与动态指标–静态指标：没有考虑资金的时间价值，计算简单，不够科学。（静态投资回收期、平均会计收益率等）–动态指标：考虑资金的时间价值，计算较为复杂，全面考核项目。（净现值、动态投资回收期、内部收益率、盈利指数）–项目评价中，以动态指标为主，静态指标为辅。14投资回收期的计算•借助于现金流量表进行计算。PBTTTTPBTTTT()()()()()()*1111第年累计现金流量的绝对值第年现金流量为累计现金流量首次为正的年份第年累计折现值的绝对值第年折现值为累计折现值首次为正的年份15投资回收期的计算：举例01234567现金流量-300008000800080008000800080008000累计现金流量-30000-22000-14000-60002000100001800026000折现值-300007273661260105464496745164105累计折现值-30000-22727-16115-10105-464132648428947PBPB360008000375446414967493..*年年16投资回收期：判断标准•PBPBPBPBPBPBPBPBPBPBbbbb()();()().,().*****项目可行拒绝项目相对比较时越小越好17投资回收期的优缺点•优点：简单实用，概念清晰。能回避投资回收期之后项目现金流量的不确定性。•缺点：–静态投资回收期没有考虑资金的时间价值。–忽略了项目投资回收期之后的经济性。–需要一个基准的投资回收期。18平均会计收益率（ARR）•是指投资项目年平均税后利润与其平均投资额之间的比率。•定义：•绝对判断：ARR大于等于目标平均会计收益率，可行；ARR小于目标平均会计收益率，拒绝。•相对判断：ARR越大越好。2残值）（投资年平均税后利润ARR19•Disadvantages:–Ignoresthetimevalueofmoney–Usesanarbitrarybenchmarkcutoffrate–Basedonbookvalues,notcashflowsandmarketvalues•Advantages:–Theaccountinginformationisusuallyavailable–Easytocalculate平均会计收益率（ARR）20内部收益率（IRR）•概念：净现值为零时的折现率。•定义式：()()CICOIRRtttn10021TheInternalRateofReturn:ExampleConsiderthefollowingproject:0123$50$100$150-$200Theinternalrateofreturnforthisprojectis19.44%32)1(150$)1(100$)1(50$0IRRIRRIRRNPV22TheNPVPayoffProfileforIRRDiscountRateNPV0%$100.004%$71.048%$47.3212%$27.7916%$11.6520%($1.74)24%($12.88)28%($22.17)32%($29.93)36%($36.43)40%($41.86)IfwegraphNPVversusdiscountrate,wecanseetheIRRasthex-axisintercept.IRR=19.44%($60.00)($40.00)($20.00)$0.00$20.00$40.00$60.00$80.00$100.00$120.00-1%9%19%29%39%DiscountrateNPV23拟建一容器厂，初建投资为5000万元，预计寿命期10年中每年可获得净收益800万元，第10年末残值可得2000万元。试问该项目的内部收益率是多少？0123……910-5000W800W800W800W800W800W2000WIRR的计算24令NPV=0，解出r*即IRR.IRR的计算)10,,/(2000)10,,/(8005000**rFPrAPNPV该项目的净现值计算如下：25•1.找出r的大致范围•假设r=0，P=5000，F=800*10+2000=10000，利用P=F(P/F,r*,n)公式，近似定出r的范围：5000=10000（P/F,r,10）(P/F,r,10)=0.5•可知r*应大于7%。•2.试算•假设r=10%•又设r=12%02.686)3855.0(2000)144.6(8005000NPV02.164)3220.0(2000)6502.5(8005000NPV26再设r=13%3.内插求r*于是，所求内部收益率为12.7%。08.69)2946.0(2000)4262.5(8005000NPV%7.12%18.692.1642.164%12*rNPVrr1=12%IRRr2=13%164.2-69.8NPV线当r1、r2无限接近时，NPV线在r1、r2这一区间段无限的趋向于红线，红线与r轴的交点就趋近于IRR，此时满足图中蓝线的斜率等于红线的斜率。27线性插值法•注意：r1和r2之间的差距不超过5%。NPVNPV1IRRr*r2r