公司金融课堂练习 罗津提供.pptVIP

课堂练习1 Consider two securities that pay risk-free cash flows over the next two years and that have the current market prices shown here: a. What is the no-arbitrage price of a security that pays cash flows of $100 in one year and $100 in two years? b. What is the no-arbitrage price of a security that pays cash flows of $100 in one year and $500 in two years? c. Suppose a security with cash flows of $50 in one year and $100 in two years is trading for a price of $130. What arbitrage opportunity is available? 课堂练习2 某公司如果不从事任何新的项目，则其每年预期盈利为1亿美元。该公司面临这样一个投资机会：在今天立即投资1500万美元并在一年后投资500万美元，两年后，这一新的投资每年将为公司带来1000万美元的盈利。假设该公司有2000万股普通股票，贴现率为15%，求： 当公司不从事任何新的投资项目时每股股票的价格是多少？ 投资项目的价值是多少？ 如果公司进行该投资项目，每股股票的价格是多少？ 课堂练习3 某公司如果不从事新的投资项目，它每年的每股盈利为4元，在此情形下，公司把所有的盈利当作股利分发出去（假设第一笔股利刚好在一年后收到）。在另一种情形中，假设距今三年后的每一年，公司将其盈利的25%投资于新的项目，每一个投资项目将在一年后获得40%的收益率（直至永远）。设贴现率为14%，分别求公司在不从事新的投资项目和从事新的投资项目时的股票价格。 课堂练习4 某公司市盈率为12，股利支付比率40%，股价为32美元。如果股利支付比率变为60%，股价为多少？ 课堂练习5 Prices of zero-coupon, default-free securities with face values of $1000 are summarized in the following table: 练习1解答 a. This security has the same cash flows as a portfolio of one share of B1 and one share of B2. Therefore, its no-arbitrage price is 94 + 85 = $179. b. This security has the same cash flows as a portfolio of one share of B1 and five shares of B2. Therefore, its no-arbitrage price is 94 + 5 × 85 = $519 c. There is an arbitrage opportunity because the no-arbitrage price should be $132 (94 / 2 + 85). One should buy two shares of the security at $130/share and sell one share of B1 and two shares of B2. Total profit would be $4 (94 + 85 × 2 – 130 × 2). 练习2解答 （1）摇钱树的价值：PV = C1 / r= $100,000,000 / 0.15= $666,666,666.67 每股股票价格= $666,666,666.67 / 20,000,000= $33.33 （2）NPVGO =C0 + C1 +[C2 / r] / (1+r)T =-$15,000,000 -$5,000,000 / 1.15 + [$10,000,000 / 0.15] / (1.15) =$38,623,188.41 （3）每股股票价格= （1）+ NPVGO / (股数) = $33.33 + $38,623,188.41 / 20,000,000 = $35.26 练习3解答 P = Div / r = 4 / 0.14 = 28.57 g = (0.25) (