CFA二级知识精讲-公司金融：Corporate Finance.docx
Ms3ls，Z -/与CFALevelII-TopicWeightStudySession1-2Ethics&ProfessionalStandards10%-15%StudySession3QuantitativeAnalysis5%-10%StudySession4Economics5%-10%StudySession5-6FinancialReportingandAnalysis10%-15%StudySession7-8CorporateFinance5%-10%StudySession9-11EquityInvestment10%-15%StudySession12-13FixedIncomeT0%-15%StudySession14Derivatives5%-10%StudySession15AlternativeInvestments5%-10%StudySession16-17PortfolioManagementandWealthPlan5%-15%Weights:100%IntroductionhContent:SS7:CorporateFinance(I)Reading20:CapitalBudgetingReading21:CapitalStructureReading22:DividendsandShareRepurchases:AnalysisIntroductionContent:SS8:CorporateFinance(2)Reading23:CorporatePerformance,GovernanceandBusinessEthicsReading24:CorporateGovernanceReading25:MergersandAcquisitionsriefIntroductionB考纲对比与2018年相比，2019年的考纲没有变化BriefIntroduction学习建议：根据统计，二级的公司金融科目是考生得分率最低的科目之一，条件繁多，计算繁琐且环环相扣是二级公司金融考题的特点。因此，在学习和复习时需要一定要结合大量的操练来熟悉计算的流程。从考试内容来看，Session7中的资本预算和SeSSion8中的并购估值分析包含大量公司金融的核心考点，是考试主要涉及的部分，需要大家重点关注。italBudgetingInvestmentDecisiononExpansion&ReplacementProjectTasks:Calculatetheyearlycashflowsofexpansionandreplacementcapitalprojectsandevaluatehowthechoiceofdepreciationmethodaffectsthosecashflows.BasicCapitalBudgetingApproachOftenuseNPVorIRRNPVfoCFiIAroCF:basedonincremental,after-taxcashflows(三要两不要)Financingcostsareignored.Sunkcostsareignored.Opportunitycostsareconsideredinanalysisofcashflow.Externalities(synergy&cannibalization)areconsidered.r:discountedatprojectsrequiredrateofreturn.BasicCapitalBudgetingApproachNPVCFVCFtCF看1尸1rICF(isInitialoutlayCFsannualafter-taxoperatingcashflowCFtnsterminalyearafter-taxnon-operatingcashflowStagesofCashFlowOutlay=FClNv+NWClnv-Sal-T(SalTBbFCInv:investmentinnewfixedcapitalNWCInv:investmentinnetworkingcapitalSal0:salvagevaluefromsaleofoldfixedcapitalT:marginaltaxrateB0:bookvalueofoldfixedcapitalStagesofCashFlowCF二(S-C-D)(I-T)+D,oCF二(S-C)(I-T)+TDS:salesC:cashoperatingexpensesD:depreciationT:marginaltaxrate*公式中的S,&D均为增量现金流StagesofCashFlowTNOCF=SaI/NWCInv-T(SalfB)rSal:sal.valuefromsaleoffixedcapitalonterminationdateNWCInv:recoveryofinvestmentinnetworkingcapitalT:marginaltaxrateB:bookvalueoffixedcapitalonterminationdate*如果是替代型项目，须注意公式中各现金流的增量部分。EvaluateExpansionProjectEquipmenttoexpandproductionwillcost$450million,depreciatedstraight-linetozerooverthreeyearsfortaxpurposes.Salvagevalueforfinancialstatementpurposesis$30million.Paidoutsideconsultant$2millionfordetailedmarketshareandcostanalysis.Expectedtogenerateincrementalrevenueof$350millionineachyearforthreeyears.EvaluateExpansionProjectAdditionalannualcashoperatingexpensesassociatedwithprojectare$150million.Investmentinnetworkingcapitalof$25millionwillberecoveredinthreeyears.Expecttosellequipmentinthreeyearsfor$50million.Projectcostofcapitalis20%andmarginaltaxrateis40%.<4aeNPVlRR；detewnineapproprimeinvt¾stm口ntdedionEvaluateExpansionProjectSolutionStep1:CalculateIncrementalCashFlowsOutlay=FCINv+NWCInv-Sal炉T(SalB卜=$450+$25-0+0=$475Depreciation:dependsonmethodfortaxpurpose=$450/3=$150CF=(S-C)(I-T)+TD=($350-$150)(1-0.4)+(0.4)($150)=$180TNOCF=SaI卡NWCInV-T(SalB)r=$50+$25-0.4($50-$0)=$55SolutionStep2:CalculateNPVandIRR0123IncrementalCF(step1)PVofCFat20%NPVIRR-$475$180$180$180+$55-$475$150$125$136-$64NPycf0to11.6%IRR:computedrwhenNPV=0Decision:RejectReason:NPV<0andIRR<20%EvaluateReplacementProjectOldEquipment$NewEquipment$Currentbookvalue400l000Currentmarketvalue600,000Acquisitioncostl,0007000Remaininglife10yearsUsefullife10yearsAnnualsales300,000Annualsales450,000Cashoperatingexp120,000Cashoperatinge×p150,000Annualdepreciation40,000Annualdepreciation100,000Accountingsalvagevalue0Accountingsalvagevalue0Expectedsalvagevalue100,000Expectedsalvagevalue200,000Ifthenewequipmentreplacestheoldequipment,anadditionalinvestmentof$80,000innetworkingcapitalwillberequired.Thetaxrateis30percent,andtherequiredrateofreturnis8percent.Whethertoreplaceornot?EvaluateReplacementProjectSolutionStep1:CalculateIncrementalCashFlowsOutlay=FCInv+NWCInv-Sal炉T(SalB卜=1,000,000+80,000-600z000+0.3(600,000-400z000)=$540,000CF=(S-C-D)(I-T)+D=(450,000-300,000)-(150,000-120z000)-(100,000-40z000)(l-0.30)+(100,000-40z000)=$102,000TNOCF=SaI-NWCInv-T(Sal-B)r=(200,000-100,000)+80,000-0.30(200,000-100z000)-(O-0)=$150,000EvaluateReplacementProjectSolutionStep2:CalculateNPVandIRRNPV540,000NT"kJ。ZLO（）°.$213,907介1.081.08l°IRR15.40%Decision:AcceptthereplacementprojectReason:NPV>0,IRR>8%Practice 1Giventhefollowinginformation,whatistheinitialcashoutflow?Purchasepriceofthenewmachine$8,000ShippingandInstallationcharge$2,000Salepriceofoldmachine$6,000Bookvalueofoldmachine$2,000Inventoryincreasesifinstalled$3,000Accountspayableincreaseifinstalled$1,000TaxrateonCapitalGains25%J l nABC$10,000$3,000$7,000Practice1Answer:CExplanation:$10,000forpurchasepriceplusshippingandhandlingcosts$2,000cashoutflowforchangeinNetWorkingCapital(3,000Inv-LOOOAP)$6,000fromcashsaleofoldmachine$1,000forcapitalgainstaxesonoldmachine(6,000-2z000)*0.25Outlay=FCINv+NWCInv-Sal0+T(Sal0-B0)=$(10,000+2,000-6z000+1,000)=$7,000ummaryImportance:Content:主要掌握扩张项目和替代项目NPV以及IRR的计算正确理解增量现金流的概念能计算不同StageS的增量现金流Examtips:这部分知识是考查重点，且多考计算题，需要通过大量操练提高正确率。I BudgetingProjectAnalysisandEvaluationTasks:Evaluatecapitalprojectsanddeterminetheoptimalcapitalprojectinsituationsof1)mutuallyexclusiveprojectswithunequallives,usingeithertheleastcom-monmultipleoflivesapproachortheequivalentannualannuityapproach,and2)capitalrationing.Describetypesofrealoptionsandevaluateacapitalprojectusingrealoptions.ContentProjectanalysisandevaluationEvaluatemutuallyexclusiveprojectswithunequallive1.eastCommonMuItipieofLivesApproachEquivalentAnnualAnnuityApproachCapitalrationingRealoptionsRiskanalysisofcapitalinvestmeritsFactorsThatAffectEvaluationEvaluateMutuallyExclusiveProjectswithUnequalLives1.eastCommonMultipleofLivesApproach（最小公倍数法）e.g.For2-yearprojectSand3-yearprojectL,replicatetheirCFsina6-yearhorizon.-1005080I11ProjectS<<LUMZ5SPLlo?0-IllSoolpOl-IPeOJddB<<l-0-rdUo-SPPHIIAldICD>dNH>doH>u-=un03-PH>-NHn-Stj9dJoJ-ExIlAIdP£M(Z>dNPu=(I一PIPSOJdd£'OMl-dlu-s<(巾&丹晟世IPealdd4A-nuu<-BnlIUVE->SaAn-BIIIIaUnSfisMSVH£3'三s三总=Bn三Mltt三s三sIUauQSaAUI一EJ三IAdN-7*-Pas<>u二nAOUHJJrDJjdIUElSBAU-LPeBJOAlWqBl-JOJdSMOlIS-o-(-d)×A'-=qBl-JOJdIU-BjISUOOZ-SBSBll露Pnq-B-dsSrUEdEgLIUWMU-Bss3-3一u±s一dGCOra-rauscS-JB-OJd3-ra>IIO=BII-B矗S-SMeIIV-3lgodOjectAnalysisandEvaluationOmniCorporationhasa$3,000capitalbudgetInvestmentOutlayNPVProfitabilityIndexProjectA1,650$7001.421n474W$400l36ProjectD600$2001.33ProjeCtE300$60i50HighestTotalNPV(B+C+E)=$670+$400+$60=$1,130TotalOutlay=1,400+1,100+300=$2,800<$3,000budgetProjectAnalysisandEvaluationEvaluateProjectswithRealOptionsTypesofrealoptionsTimingOptions(delayinvestment)SizingOptions(abandonment&expansionoption)FlexibilityOptions(pricesettingoption)FundamentalOptions(goldmine&oilwell)EvaluateapproachesNPV(withoption)=NPV(nooption)+valueofoptions-costofoptionValuationofRealOptionsThevaluationofrealoptionneedtousedecisiontreeoroptionpricingmodelNPV(withoutoption)=-70,Discountrate=12%Fail (50%) NPV 10002。)产 286NPV(withoption)=50%×921+50%×(-286)=603.5=(-70)+optionvalue-optioncostRiskAnalysisofCapitalInvestmentsStand-AloneMethods(AssumeTotalRisk)SensitivityAnalysisSensitivityanalysiscalculatestheeffectontheNPVofchangesinoneinputvariableatatime.ScenarioAnalysisChangeseveralinputvariablesforeachscenario"pessimistic","mostIikely"(base),and"optimistic"MonteCarloSimulationAnalysisStochasticvariables->ProbabilitydistributionofNPVRiskAnalysisofCapitalInvestmentsMarketRiskMethods(AssumeOnlySystematicRisk)Consideronlymarketriskforadiversifiedinvestor.Discountrate=requiredrateofreturnUseCAPMandSMLtofindrequiredrateofreturn:/RFBLE(RjRNotice:weusePROJECTbetaheretogetthePROJECTdiscountrate(NOTcompanyWACC)Employ,pure-play"methodtogetbetawhenthereturnsforspecificcapitalprojectsarenotdirectlyobservable.FactorsThatAHectEvaluationEffectsofDepreciationMethodonAnalysis:NPVwithAccelerateddepreciationislargerthancalculatedwithStraight-Iinedepreciation.CF=(S-C)(I-T)+TDLargerdepreciationinearlyyearswillleadtomoreweightonexpense,andthereforehighertaxshieldbenefitandNPV.Manycountriesspecifythedepreciationmethodsthatareacceptablefortaxpurposesintheirjurisdictions.A-lluoJ-UnPBuJ¾lOllSISoUpu3s>.SjIeP-OLIPUOqOlSIllIUABdPex-JJon-B>ra-0Q1Snpe'UsopUJ-SASXBl-×raUO4BPCUpjo->uEOAB-JU-p:P,dx,ufl-HBJeq-OqJo-BU-EoUqIlIoqP-PIOlISPSn二Urlou-pPUBSMo-JLISsIllS-S>BU4coUO=-三c-ou%cels三sSttsIBms,ls3-FactorsThatAHectEvaluationCommonCapitalBudgetingPitfallsIgnoringeconomicresponses(eg:competitorswillfollowupandreduceprofitability)MisusingcapitalbudgetingtemplatesPetprojectsBasinginvestmentdecisionsonEPS,netincome,orreturnonequityUsingIRRtomakeinvestmentdecisionsBadaccountingforcashflowsA-IJaOQU-SlSo°A-unHOddoPUfuSOJ*UnSMU-PUeH>-IUIUlS>uP-SUoOOll-raM-IBMPrIg-Bl一dBoB-c-ll-0ccu0u-piledSJ>olraJIUnooS-PplSnPBaS一BlB-JdOJdde=1ozoora-l-l->oS=Bfdc3m-el-dejCOEEOUUO=B三BSs»s-Ao3Practice1PandaMotorsisevaluatinganewpieceofequipment.Theequipmentcostis$3.5million,andthefirmestimatesthatthepresentvalueoftheannualcostsavingsfrominstallingtheequipmentis$2.8million.Theproductionmanagerisalsoconsideringpurchasingamodulethatrepresentsarealoptionwithacostof$1.1milliondollars.TheproductionmanagerestimatesthataddingthemodulewouldgivePandacostsavingsofanadditional$2.0million.Whatistheprofitabilityoftheprojectbeforeandafterconsideringtherealoption?BeforeAfterA)$1,300,000$200,000B)-$700,000$1,800,000C)-$700,000$200,。Practice1Answer:CExplanation:Theprofitabilityoftheprojectbeforeconsideringtherealoptionisthedifferencebetweenthecostsavingsandthecostoftheequipment,or$(2.8-3.5)million=-$700,000.Theprofitabilityoftheprojectafterconsideringtherealoption=NPV(basedonprojectalone)-costofoption+valueofoption.Thecostoftheoptionis$1.1million,whilethevalueoftheoptionis$2.0million.Profitabilityafteroption=$(-0.7-1.1+2.0)million=$200,000.maryImportance:Content:这部分内容包括较多定性分析和辨析，同样也是常考的知识点。重点掌握考点如下：最小公倍数法&等效年金法*实物期权*项目评估的风险管理(marketrisk&totalrisk)几种要素对于项目评估的影响折旧方法名义&真实现金流及折现率高通胀下的影响预算估值时的常见疏I BudgetingOtherIncomeMeasuresandValuationModelsTasks:Calculateandinterpretaccountingincomeandeconomicincomeinthecontextofcapitalbudgeting.Distinguishamongtheeconomicprofit,residualincome,andclaimsvaluationmodelsforcapitalbudgetingandevaluateacapitalprojectusingeach.EconomicIncomeV.S.AccountingIncomeAccountingincome:netincomeonfinancialstatementsEconomicIncome=Cashflow+ChangeinmarketvalueorEconomicincome=Cashflow-EconomicdepreciationDifferenceEconomicIncomeAccountingIncomeDepreciationBeginningMarketValue-EndingMarketValueBeginningBookValue-EndingBookValueInterestExpenseignoredAlreadydeductedinterestexpensetodebtholdersComputeEconomicIncomeOmniCorporationprojectcosts$25,000Costofcapital=12%（可能不直接给出，而是通过报表求得）Year 1: $10,000Year 2: $12,000Year 3: $15,000Beginning MV =10,000-1.12-12r000NPV = $4,1721.121.12After-TaxCashflows:ComputeEconomicIncomeATOCFwillbeusedtocalculateeconomicincomeSales(cash)-Expenses(variable&fixedcashexpenses)-DepreciationEBIT-TaxexpenseEBIT×(1-Taxrate)+DepreciationATOCFpie：ComputeEconomicIncomeYear1Year2Year3BeginningMV$29,172$22,672$13,393EndingMV22,67213,3930ChangeinMV-6,500-9,279-137393After-taxCFJJJqJJJ1REconomicIncomeA$3,500$2,721$1,607Economi:ROR=12%12%12%EconlncBegMVA夕IPVofremainingCFsNotaccountingincome!MustequaltoprojectcostofcapitalIncomeMeasuresandValuationModelsEconomicProfitUsedinassetvaluation,focusonreturntoallinvestors.EP=NOPAT-$WACCNOPAT=netoperatingprofitaftertax=EBIT(1-taxrate)$WACC=WACCXCapitalMarketvalueadded(MVA)isNPVbasedoneconomicprofitMVAP1齿KCCrTotalvalueofthecompany=originalinvestment+MVAValuationModelsResidualincomeFocusonreturntoequityholdersRlfNlFrQt-(equitycharge)NPV£RNlt=netincomeduringperiodtreBt.1=equitychargeforperiodtr=requiredreturnonequityBt_fbeginningbookvalueofequityTotalvalueofthecompany=PVofresidualincome+originaldebtinvestment+originalequityinvestmentValuation ModelsClaimsValuationFocusonreturntodebtholdersandequityholdersseparatelyBalanceSheetAssetsLiabilitiesEquityCFstodebtholders=Interestandprincipal,discountedatcostofdebtCFstoequityholders=Dividendsandsharerepurchases,discountedatcostofequityPractice1Acompanyisinvestingina$300millionprojectthatisbeingdepreciatedonastraight-linebasistozerooveratwo-yearlifewithnosalvagevalue.Theprojectwillgenerateoperatingearningsof$130millioneachyearforthetwoyears.TheFirehouse,sweightedaveragecostofcapitalandrequiredrateofreturnfortheprojectis10%.Company'staxrateis30%.Whatiseconomicprofitforthecompanyinyears1and2?YearlYear2A)$2Om$2OmB)$42m$22mC)$61m$76mPractice1Answer:CExplanation:EconomicprofitiscalculatedasNOPAT-$WACC=Ebit(I-T)-SwaccNOPAT=EBlT(I-TaxRate)=$130(1-0.3)=$91million$WACCYear1=0.10X$300=$30million$WACCYear2=0.10X$150=$15millionEconomicprofit(Year1)=$(91-30)=$61millionEconomicprofit(Year2)=$(91-15)=$76millionmaryImportance:这部分内容介绍了一些其他的估值方法，由于在EqUity的课程当中会有更详细的介绍，在公司金融里仅要求掌握简单场景的应用和计算。着重掌握如下要点：EconomicIncomeVSAccountingIncome三大估值模型：EconomicprofitvaluationapproachResidualincomevaluationapproachClaimsvaluationapproachitalStructureModigliani-MillerPropositionTasks:ExplaintheModigliani-Millerpropositionsregardingcapitalstructure,includingtheeffectsofleverage,taxes,financialdistress,agencycosts,andasymmetricinformationonacompany'scostofequity,costofcapital,andoptimalcapitalstructure.Al5buJ0ISO。-ra-raEH3W巴xra-BUBLUHIiqjpJolSo-BUraLUxra。qHp1.Uj工
