高级投资项目管理和经济效益评价(1)

厦门大学管理学院博士研究生课程报告八高级投资项目管理和经济效益评价——理论、方法和实践厦门大学管理学院吴世农AdvancedCapitalBudgeting——Theory,Methods&ApplicationsWuShinongSchoolofManagementXiamenUniversityAdvancedTopicsinCapitalBudgetingI.WhatisCapitalBudgeting?Capital=FixedAssetsusedinproduction/service;Budgeting=Plandetailingprojectedcashinflowsandoutflowsduringsomefutureperiod,thus“CapitalBudgeting”outlinestheplannedexpendituresonfixedassets.1.Multi-conceptsforCapitalBudgeting(1)CapitalInvestmentAnalysis&Decision(2)EconomicEvaluationofInvestmentProjects(3)TechnologicalEconomics(4)InvestmentFeasibilityStudy2.AFormalDefinitionofCapitalBudgetingCapitalbudgetingisafiledoffinanceconcernedwithcostandbenefit,andreturnandriskderivedfrominvestmentprojectundertakenbyafirm.Thecapitalbudgetingisaprocedureincludeasetofsystematictechniquesdealingwithhowtoevaluateandselectinvestmentprojectsundercertaintyoruncertainty.厦门大学管理学院吴世农MarketResearchInvestmentSources&CostCBAExpendituresofCapitalsMarketingStrategyCosts&IncomeRProfitsStatementRisk&InvestmentAnalysisDManagementAssets&BalanceLiabilitiesSheetProductionFinanceCashInflow&CashflowRepaymentOpportunityStudyCashOutflowStatementAnalysisPreliminaryDiscussionFeasibilityDiscussionFinalProposalsStudyReportExhibit1:DiagramSuggestedforInvestmentProject’sFeasibilityStudyinFirms厦门大学管理学院吴世农TechnologicalMacroeconomicFeasibilityFeasibilityFinancialImplementationOperationFeasibilitySocial/CulturalEnvironmentalFeasibilityFeasibilityComprehensiveReviewPost-FeasibilityReportAssessmentExhibit1(Continuos):DiagramSuggestedforInvestmentProject’sFeasibilityStudyinFirmsAdvancedTopicsinCapitalBudgetingII.ConflictsbetweenNPVandIRRforMutuallyExclusiveProjects1.SizeEffectofInvestmentOutlayonNPVandIRR(1)Conflict——WhichMaximizesShareholder’sWealth?Supposethattherearetwoprojects,AandB,n=1,K=10%,theirinvestmentoutlaysandNCFarepresentedinthefollowingtable.ProjectI0NCF1NPV(k=10%)IRRPVIA5,0008,0002,27360%45.46%B50,00075,00018,18250%36.36%BothprojectsareacceptableduetotheirpositivevaluesofNPV,however,giventhatthetwoprojectsaremutuallyexclusive,whichoneispreferred?Also,becausethesizeofinvestmentoutlaysforAandBaredifferent.ByNPV,AisbetterthanB;byIRR(orPVI)BisoverA.ThiscaseistypicalasaconflictraisedfromdecisioncriteriabyNPVorbyIRR?厦门大学吴世农(2)SolutionSinceK=10%isassumedtobefixed,wecansolvethisconflictbycreatingadifferentialproject(B-A),ifthedifferentialprojectyieldsapositiveNPV,itisobviousthatBisbetterthanAbecausenotonlyapartofBwillcreateaNPVequaltoNPVA,butalsocreateapositiveNPVforthedifferentialproject(B-A).Thus,wecreateadifferentialproject(B-A),andthencalculateitsNPVandIRRNPV(B-A)=[(75000-8000)/(1+10%)]-(50000-5000)=$15909[(75000-8000)/(1+IRR(B-A))]=(50000-5000),IRR(B-A)=48.8%Nodoubt,theresultsabovesuggeststhattheinvestorsofthefirmwillbebetteroffifprojectBisaccepted.AdvancedTopicsinCapitalBudgeting2.TrendEffectofNCFonNPVandIRR(1)Conflict——WhichOneisaSoundingDecisionRule?Supposetherearetwomutuallyexclusiveprojects,AandB,thefollowinggraphsshowthatthetrendofA’sNCFsandthetrendofB’sNCFsaredifferent.Obviously,graph1statesthatA’sNCFsarealwayslargerthanB’sNCFsovertheperiods,thus,NPVANPVB;graph2statesfortheearlierperiodsA’sNCFsarelargerthanB’sNCFs,thusNPVANPVB,butforthelaterperiods(afterK*)A’sNCFsaresmallerthanB’sNCFs,thusNPVANPVB.NPVGraph1NPVGraph2BANPVANPVBBANPVANPVBNPVA=NPVBKNPVANPVBKkIRRBIRRAk*IRRAIRRB厦门大学吴世农Forgraph1,projectAwillbechosenforinvestmentwhileprojectbewillbegivenup.Thedecisionisclear.Forgraph2,itishardtosaywhichoneisbetter.Thequestioncannotbeanswereduntilwedoafurtherstudy.(2)SolutionToillustratethecaseshowningraph2,thefollowingtablecontainsnecessaryinformationformakingtheaccept/rejectdecision.ProjectI0NCF1NCF2NPV(K=10%)IRRNPV(K=20%)A10001000310165.324.8%48.6B10002001200173.620%0Toanswerthequestionforthecaseofgraph2,wehastocreateadifferentialproject(B-A),weregardthedifferenceofB’sNCFandA’NCFinthefirstyear(NCF1B-NCF1A)asI1,whichisanegativevalue(orcashoutflow).AlsowetreatedthedifferenceofB’sNCFandA’NCFinthesecondyear(NCF2B-NCF1A)asNCF1,whichisapositivevalue(orcashinflow).Thusthedifferentialproject’sNPVandIRRcanbeshownasfollows:AdvancedTopicsinCapitalBudgetingNPV(B-A)=[890/(1+10%)]-800=$9.1[890/(1+IRR(B-A))]-800;IRR(B-A)=11.23%Bythecalculationsabove,itsuggeststhatprojectBisbetterthanprojectA。3.SignEffectofNCFsonNPVandIRR(1)Conflict——WhichOneisApplicable?Weonediscussedaclassificationofcashflows:conventionalNCFandnon-conventionalNCF,therationalbehindthisclassificationistoidentifyapplicabilityofcapitalbudgetingtechniques,particularlyforNPVandIRR.Ifaproject’sstreamofestimatedNCFschangessignmorethanonce,thestreamofNCFsisnon-conventional.Inthiscase,IRRisnotapplicablebecauseitcanresultinmultipleratesofreturn!Why?AsimpleanswertothisquestionisthatifthestreamofNCFschangessignmorethanonetime,mathematically,solvingtheequationofIRRwillresultsinmorethanonesolutions——MultipleRatesofReturns.厦门大学吴世农Geometrically,themultipleratesofreturncanbeshowninthefollowinggraph.NPV0KSomeStudiesshowthatcashflowsofinvestmentprojectswerehighlyassociatedwitheconomicenvironment,marke