1 / 39

吴东立 经济管理学院金融教研室 E-mail：wdl110161@sohu.com

第七章 投资决策. 吴东立 经济管理学院金融教研室 E-mail：wdl110161@sohu.com. 内容提要与学习要点. 内容提要 ： 本章主要介绍一些资本预算的实际运用问题。 学习要点： 1. 增量现金流； 2. 通货膨胀与资本预算； 3. 约当年均成本法. 概览. Cash flows matter — not accounting earnings. Sunk costs don ’ t matter. Incremental cash flows matter. Opportunity costs matter.

marenda
Download Presentation

吴东立 经济管理学院金融教研室 E-mail：wdl110161@sohu.com

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. 第七章 投资决策 吴东立 经济管理学院金融教研室 E-mail：wdl110161@sohu.com

  2. 内容提要与学习要点 • 内容提要：本章主要介绍一些资本预算的实际运用问题。 • 学习要点： 1. 增量现金流； 2.通货膨胀与资本预算； 3. 约当年均成本法

  3. 概览 • Cash flows matter—not accounting earnings. • Sunk costs don’t matter. • Incremental cash flows matter. • Opportunity costs matter. • Side effects like cannibalism and erosion matter. • Taxes matter: we want incremental after-tax cash flows. • Inflation matters.

  4. 7.1 增量现金流（Incremental Cash Flows） • 资本预算通常使用的是现金流量，而非收入和利润。 • 但是仅仅讲现金流量是不完全的。在计算项目的NPV时，所运用到现金流量应该是因项目而产生的现金流量“增量”。 • 这意味着沉没成本应忽略不计而机会成本和副效应应加以考虑。

  5. 7.1.1现金流-而非“会计利润” • Consider depreciation expense. • You never write a check made out to “depreciation”. • Much of the work in evaluating a project lies in taking accounting numbers and generating cash flows.

  6. 7.1.2沉没成本 • 沉没成本（sunk cost）：沉没成本是指由于过去的决策已经发生了的，而不能由现在或将来的任何决策改变的成本。 • 人们在决定是否去做一件事情的时候，不仅是看这件事对自己有没有好处，而且也看过去是不是已经在这件事情上有过投入，把这些已经发生不可收回的支出，如时间、金钱、精力等称为沉淀成本。

  7. 沉没成本 • 沉没成本是一种历史成本，对现有决策而言是不可控成本，不会影响当前行为或未来决策。从这个意义上说，在投资决策时应排除沉没成本的干扰。 • 谚语“过去的就让它过去吧”，沉没成本不属于增量现金流。 • Sunk costs are not relevant • Just because “we have come this far” does not mean that we should continue to throw good money after bad.

  8. 7.1.3 机会成本 • 机会成本（Opportunity Cost）：是指为了得到某种东西而所要放弃另一些东西的最大价值。 • 放弃的机会中收益最高的项目才是机会成本，即机会成本不是放弃项目的收益总和。例如某农民只能在养猪、养鸡和养牛中择一从事，若三者的收益关系为养牛>养猪>养鸡，则养猪和养鸡的机会成本皆为养牛，而养牛的机会成本仅为养猪。

  9. 课题小测验 • 1.你上大学的机会成本是什么？ • 2.你今天来上课的机会成本是什么？

  10. 机会成本 • 假设你去了一张美国大歌星埃里克 ·克莱普顿 ( Eric Clapton ）今晚演唱会的免费门票。注意，你不能转售。可另一美国大歌星鲍勃 ·迪伦（ Boh Dylan ）今晚也在开演唱会，你也很想去。迪伦的演唱会票价为 40 美元。当然，你别的时候去看他的演出也行，但你的心理承受价格是 50 美元。换言之，要是迪伦的票价高过 50 美元，你就情愿不看了，哪怕你没别的事要做。除此之外，看两人的演出并无其他成本。试问，你去看克莱普顿演唱会的机会成本是多少？ • a . 0 美元 b , 10 美元 c . 40 美元 d . 50 美元

  11. 机会成本与投资决策 • 机会成本虽然不构成一般意义上的成本，不构成企业的实际支出，也不入帐，但它是决策者进行正确决策所必须考虑的现实的因素。忽视了机会成本，往往有可能使投资决策分析发生失误。

  12. Opportunity costs • Opportunity costs do matter. Just because a project has a positive NPV that does not mean that it should also have automatic acceptance. • Specifically if another project with a higher NPV would have to be passed up we should not proceed.

  13. 机会成本与投资决策 • 某企业准备将其所属的餐厅改为洗浴中心，预计洗浴中心未来一年内可获利润70000元，在这种情况下，企业主是否应该将其所属的餐厅改为洗浴中心？他应该怎样决策？ • 某企业准备将其所属的餐厅改为洗浴中心，预计洗浴中心未来一年内可获利润70000元，在这种情况下，企业主在决定是否应该将其所属的餐厅改为洗浴中心时应考虑机会成本后再决策，他的优选方案的预计收益必须大于机会成本，否则所选中的方案就不是最优方案。

  14. 7.1.4 副效应 • 副效应包括侵蚀效应（erosion）和协同效应（synergy） • 侵蚀效应是指新项目减少原有产品的销量和现金流。 • 协同效应是指新项目同时增加了公司原有项目的销量和现金流。 • 在资本预算时，必须考虑副效应带来的影响。 • 见课本127页例7-4

  15. 7.1.5 成本分摊 • 通常来讲，一项费用的受益方为很多项目时，会计上通过成本分摊来将该费用分摊到最终的每个不同的项目中。 • 但是，在投资预算中，成本分摊只能是当该现金流出是作为一个项目的增量现金流动时候才能计入到该项目中。 • 见课本128页例7-5

  16. 7.2 The Baldwin Company: An Example Costs of test marketing (already spent): $250,000. Current market value of proposed factory site (which we own): $150,000. Cost of bowling ball machine: $100,000 (depreciated according to ACRS 5-year life). Increase in net working capital: $10,000. Production (in units) by year during 5-year life of the machine: 5,000, 8,000, 12,000, 10,000, 6,000. Price during first year is $20; price increases 2% per year thereafter. Production costs during first year are $10 per unit and increase 10% per year thereafter. Annual inflation rate: 5% Working Capital: initially $10,000 changes with sales.

  17. The Worksheet for Cash Flows of the Baldwin Company ($ thousands) (All cash flows occur at the end of the year.) Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Investments: (1) Bowling ball machine –100.00 21.76* (2) Accumulated 20.00 52.00 71.20 82.72 94.24 depreciation (3) Adjusted basis of 80.00 48.00 28.80 17.28 5.76 machine after depreciation (end of year) (4) Opportunity cost –150.00 150.00(warehouse) (5) Net working capital 10.00 10.00 16.32 24.97 21.22 0 (end of year) (6) Change in net –10.00 –6.32 –8.65 3.75 21.22 working capital (7) Total cash flow of –260.00 –6.32 –8.65 3.75 192.98 investment[(1) + (4) + (6)] * We assume that the ending market value of the capital investment at year 5 is $30,000. Capital gain is the difference between ending market value and adjusted basis of the machine. The adjusted basis is the original purchase price of the machine less depreciation. The capital gain is $24,240 (= $30,000 – $5,760). We will assume the incremental corporate tax for Baldwin on this project is 34 percent. Capital gains are now taxed at the ordinary income rate, so the capital gains tax due is $8,240 [0.34  ($30,000 – $5,760)]. The after-tax salvage value is $30,000 – [0.34  ($30,000 – $5,760)] = 21,760.

  18. The Worksheet for Cash Flows of the Baldwin Company ($ thousands) (All cash flows occur at the end of the year.) Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Investments: (1) Bowling ball machine –100.00 21.76* (2) Accumulated 20.00 52.00 71.20 82.72 94.24 depreciation (3) Adjusted basis of 80.00 48.00 28.80 17.28 5.76 machine after depreciation (end of year) (4) Opportunity cost –150.00 150.00(warehouse) (5) Net working capital 10.00 10.00 16.32 24.97 21.22 0 (end of year) (6) Change in net –10.00 –6.32 –8.65 3.75 21.22 working capital (7) Total cash flow of –260.00 –6.32 –8.65 3.75 192.98 investment[(1) + (4) + (6)] At the end of the project, the warehouse is unencumbered, so we can sell it if we want to.

  19. The Worksheet for Cash Flows of the Baldwin Company (continued) ($ thousands) (All cash flows occur at the end of the year.) Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Income: (8) Sales Revenues 100.00 163.00 249.72 212.20 129.90 Recall that production (in units) by year during 5-year life of the machine is given by: (5,000, 8,000, 12,000, 10,000, 6,000). Price during first year is $20 and increases 2% per year thereafter. Sales revenue in year 3 = 12,000×[$20×(1.02)2] = 12,000×$20.81 = $249,720.

  20. The Worksheet for Cash Flows of the Baldwin Company (continued) ($ thousands) (All cash flows occur at the end of the year.) Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Income: (8) Sales Revenues 100.00 163.00 249.72 212.20 129.90 (9) Operating costs 50.00 88.00 145.20 133.10 87.84 Again, production (in units) by year during 5-year life of the machine is given by: (5,000, 8,000, 12,000, 10,000, 6,000). Production costs during first year (per unit) are $10 and (increase 10% per year thereafter). Production costs in year 2 = 8,000×[$10×(1.10)1] = $88,000

  21. Year ACRS % 1 20.00% 2 32.00% 3 19.20% 4 11.52% 5 11.52% 6 5.76% Total 100.00% The Worksheet for Cash Flows of the Baldwin Company (continued) ($ thousands) (All cash flows occur at the end of the year.) Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Income: (8) Sales Revenues 100.00 163.00 249.72 212.20 129.90 (9) Operating costs 50.00 88.00 145.20 133.10 87.84 (10) Depreciation 20.00 32.00 19.20 11.52 11.52 Depreciation is calculated using the Accelerated Cost Recovery System (shown at right) Our cost basis is $100,000 Depreciation charge in year 4 = $100,000×(.1152) = $11,520.

  22. The Worksheet for Cash Flows of the Baldwin Company (continued) ($ thousands) (All cash flows occur at the end of the year.) Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Income: (8) Sales Revenues 100.00 163.00 249.72 212.20 129.90 (9) Operating costs 50.00 88.00 145.20 133.10 87.84 (10) Depreciation 20.00 32.00 19.20 11.52 11.52 (11) Income before taxes 30.00 43.20 85.32 67.58 30.54 [(8) – (9) - (10)] (12) Tax at 34 percent 10.20 14.69 29.01 22.98 10.38 (13) Net Income 19.80 28.51 56.31 44.60 20.16

  23. Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 (1) Sales Revenues $100.00 $163.00 $249.72 $212.20 $129.90 (2) Operating costs -50.00 -88.00 -145.20 133.10 -87.84 (3) Taxes -10.20 -14.69 -29.01 -22.98 -10.38 (4) OCF (1) – (2) - (3) 39.80 60.51 75.51 56.12 31.68 (5) Total CF of Investment –260. –6.32 –8.65 3.75 192.98 (6) IATCF [(4) + (5)] –260. 39.80 54.19 66.86 59.87 224.66 Incremental After Tax Cash Flows of the Baldwin Company

  24. 7.3 通货膨胀与资本预算 • 通货膨胀（inflation）：一段时期内，一般物价水平持续上涨的现象 • 通货紧缩（deflation）：一段时期内，一般物价水平持续下降的现象 • 痛苦指数（Misery index） ：等于通货膨胀与失业率之总和。 • 通货膨胀是经济生活的一个重要方面，进行资本预算时必须将之考虑在内。

  25. 7.3.1 名义利率与实际利率 • 名义利率是名义货币表示的利率。通常金融机构公布或采用的利率都是名义利率。 • 实际利率是指货币购买力不变条件下的利率，通常用名义利率减去通货膨胀率即为实际利率。

  26. 津巴布韦恶性通货膨胀 • 在日常生活中，公众轻易感受得到恶性通胀的影响。在一些知名例子中，德国在1920年代初的物价，曾在每49小时增加一倍；1940年代初的希腊被德国占领时，物价每28小时上升一倍；匈牙利战后曾每15小时增加一倍。1945年以后的国民党统治中国大陆期间，一个生动的例子就是大家吃面的速度都非常快，因为一碗面的价格有可能就是在几分钟内发生改变。[ 津巴布韦发行面额500亿钞票 这一堆现金只相当于100美元 津巴布韦人抱着现金出门 津巴布韦当地人手持大面额津元购买西红柿

  27. 津巴布韦自独立以来的通货膨胀率（1980-2008年7月）津巴布韦自独立以来的通货膨胀率（1980-2008年7月）

  28. 7.3.1 名义利率与实际利率 • Consider the relationship between interest rates and inflation, often referred to as the Fisher relationship: (1 + Nominal Rate) = (1 + Real Rate) × (1 + Inflation Rate) • For low rates of inflation, this is often approximated as Real Rate  Nominal Rate – Inflation Rate

  29. 7.3.2 现金流量与通货膨胀 • 名义现金流（nominal cash flow）：是指实际收到或支出的货币 • 实际现金流（real cash flow）：是指货币实际购买力来衡量的现金流 • 名义现金流量应以名义利率折现 • 实际现金流量应以实际利率折现

  30. 7.4 不同生命周期的投资：约当年均成本法 • There are times when application of the NPV rule can lead to the wrong decision. Consider a factory which must have an air cleaner. The equipment is mandated by law, so there is no “doing without”. • There are two choices: • The “Cadillac cleaner” costs $4,000 today, has annual operating costs of $100 and lasts for 10 years. • The “cheaper cleaner” costs $1,000 today, has annual operating costs of $500 and lasts for 5 years. • Which one should we choose?

  31. 7.4 Investments of Unequal Lives: The Equivalent Annual Cost Method At first glance, the cheap cleaner has the lower NPV (r = 10%): This overlooks the fact that the Cadillac cleaner lasts twice as long. When we incorporate that, the Cadillac cleaner is actually cheaper.

  32. -$4,000 –100 -100 -100 -100 -100 -100 -100 -100 -100 -100 0 1 2 3 4 5 6 7 8 9 10 -$1,000 –500 -500 -500 -500 -1,500 -500 -500 -500 -500 -500 0 1 2 3 4 5 6 7 8 9 10 7.4 Investments of Unequal Lives: The Equivalent Annual Cost Method The Cadillac cleaner time line of cash flows: The “cheaper cleaner” time line of cash flows over ten years:

  33. Investments of Unequal Lives • Replacement Chain • Repeat the projects forever, find the PV of that perpetuity. • Assumption: Both projects can and will be repeated. • Matching Cycle • Repeat projects until they begin and end at the same time—like we just did with the air cleaners. • Compute NPV for the “repeated projects”. • The Equivalent Annual Cost Method

  34. Investments of Unequal Lives: EAC • The Equivalent Annual Cost Method • Applicable to a much more robust set of circumstances than replacement chain or matching cycle. • The Equivalent Annual Cost is the value of the level payment annuity that has the same PV as our original set of cash flows. • NPV = EAC × ArT • For example, the EAC for the Cadillac air cleaner is $750.98 The EAC for the cheaper air cleaner is $763.80 which confirms our earlier decision to reject it.

  35. Example of Replacement Projects Consider a Belgian Dentist’s office; he needs an autoclave to sterilize his instruments. He has an old one that is in use, but the maintenance costs are rising and so is considering replacing this indispensable piece of equipment. New Autoclave • Cost = $3,000 today, • Maintenance cost = $20 per year • Resale value after 6 years = $1,200 • NPV of new autoclave (at r = 10%): EAC of new autoclave = -$553.29

  36. 660 478 620 340 Total Cost for year 1 = (900 × 1.10 – 850) + 200 = $340 435 Total Cost for year 3 = (775 × 1.10 – 700) + 325 = $478 Total Cost for year 4 = (700 × 1.10 – 600) + 450 = $620 Total Cost for year 5 = (600 × 1.10 – 500) + 500 = $660 Total Cost for year 2 = (850 × 1.10 – 775) + 275 = $435 Example of Replacement Projects • Existing Autoclave Year 0 1 2 3 4 5 Maintenance 0 200 275 325 450 500 Resale 900 850 775 700 600 500 Total Annual Cost Note that the total cost of keeping an autoclave for the first year includes the $200 maintenance cost as well as the opportunity cost of the foregone future value of the $900 we didn’t get from selling it in year 0 less the $850 we have if we still own it at year 1.

  37. Example of Replacement Projects • New Autoclave • EAC of new autoclave = -$553.29 • Existing Autoclave Year 0 1 2 3 4 5 Maintenance 0 200 275 325 450 500 Resale 900 850 775 700 600 500 Total Annual Cost 435 478 620 660 340 • We should keep the old autoclave until it’s cheaper to buy a new one. • Replace the autoclave after year 3: at that point the new one will cost $553.29 for the next year’s autoclaving and the old one will cost $620 for one more year.

  38. 7.5 Summary and Conclusions • Capital budgeting must be placed on an incremental basis. • Sunk costs are ignored • Opportunity costs and side effects matter • Inflation must be handled consistently • Discount real flows at real rates • Discount nominal flows at nominal rates. • When a firm must choose between two machines of unequal lives: • the firm can apply either the matching cycle approach • or the equivalent annual cost approach.

  39. 本章作业 • 习题：1、2、3、4、7、8、9、10、11、13、15 Q&A

More Related