CMA考试新考纲官方-pa(1).ppt

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1、1第二章：公司金融Section B:Corporate Finance 2 第一节：风险和回报Topic 1:Risk and Return3风险 Risk n风险风险 不能从投资中获得回报的可能性，不确定的程度，不能从投资中获得回报的可能性，不确定的程度，回报的波动回报的波动nRisk probability of not receiving expected return form an investment,degree of uncertainty,variability in return4计算回报率 Calculating Rate of Returnn回报率回报率 从一项投资获

2、得的金额，持有一段时间，相对于从一项投资获得的金额，持有一段时间，相对于初始投资金额之比初始投资金额之比nR=(Pt Pt-1)+Dt，案例，案例，658658页页 Pt-1nRate of Return amount received on an investment,holding for a period of time,relative to the amount of the initial investmentnR=(Pt Pt-1)+Dt,for example,page 95 Pt-15风险和回报的关系 Risk and Return Relationshipn国库券的风险和回

3、报国库券的风险和回报 违约风险违约风险n债券的风险和回报债券的风险和回报 债券的价格和利率之间存在方向关系债券的价格和利率之间存在方向关系n股票的风险和回报股票的风险和回报 大大高于国库券或债券的回报率，普大大高于国库券或债券的回报率，普通股高于优先股的回报率通股高于优先股的回报率nRisk and Returns form Treasury bills default risknRisk and Returns from Bonds inverse relation between the movement of bonds prices and interest ratesnRisk an

4、d returns for stocks significant higher than T-bills or bonds,common stock higher than preferred stocks6风险和回报的关系 Risk and Return Relationship风险和回报的态度风险和回报的态度n股东财富股东财富 市场资本总额市场资本总额n股东财富最大化股东财富最大化 企业的主要目标企业的主要目标n确定性等值确定性等值 确定性等值系数用于将预计现金流转换为确确定性等值系数用于将预计现金流转换为确定性现金流，图表定性现金流，图表2B-1，660页页Risk and Return

5、 AttitudenShareholder wealth market capitalization nShareholder wealth maximization major goal of a firm nCertainty equivalent(CE)certainty equivalent factor is used to convert a projected cash flow into a certain cash flow,figure 2B-1,page 977风险和回报的关系 Risk and Return Relationship概率分布、风险和回报概率分布、风险和回

6、报n期望回报期望回报 案例，案例，661页页n标准差标准差 案例，案例，661页页n变异系数变异系数 案例，案例，662页页Probability Distribution and Risk and ReturnnExpected return for example,page 97nStandard deviation for example,page 98nCoefficient of variation for example,page 998投资组合的风险和回报 Risk and Return in a Portfolio Context投资组合的风险投资组合的风险n协方差协方差 案例

7、，案例，663页页n相关系数相关系数 案例，案例，664页页组合的回报组合的回报n组合的回报组合的回报 665页页Portfolio Risk nCovariance for example,page 100nCorrelation for example,page 101-102Portfolio Return nPortfolio return page 102-1039分散化 Diversificationn分散化分散化 在组合中持有各种不同的投资，降低组合的波动在组合中持有各种不同的投资，降低组合的波动性性n分散化和组合风险分散化和组合风险 图表图表2B-2，665665页页nDive

8、rsification holding a wide range of different investment in a portfolio,reduce the variability of a portfolionDiversification and Portfolio Risk figure 2B-2,page 10310分散化 Diversification系统性和非系统性投资组合风险系统性和非系统性投资组合风险n组合风险的降低组合风险的降低 图表图表2B-3，666页页n系统风险系统风险 与基于市场的整体回报有关，对所有的投资者与基于市场的整体回报有关，对所有的投资者都是一样的都

9、是一样的n非系统风险非系统风险 只同特定公司或行业有关，非系统风险是通只同特定公司或行业有关，非系统风险是通过分散化得以避免的，过分散化得以避免的，667页页Systematic and Unsystematic Portfolio RisknPortfolio Risk Reduction figure 2B-3,page 104nSystematic Risk changes in return based on the market as a whole,common to an entire class of investmentnUnsystematic Risk associate

10、 with a specific company or industry,unsystematic risk is avoidable through diversification,figure 2B-4,page 10511分散化 Diversification市场风险和市场风险和BetaBetanBeta 一项投资对市场波动的敏感度，市场每波动一项投资对市场波动的敏感度，市场每波动1%，一，一项投资的价格变化数量，国库券的项投资的价格变化数量，国库券的beta值是零，所有股票值是零，所有股票的平均的平均Beta值是值是1，大于，大于1的股票对市场变动比较敏感，小的股票对市场变动比较敏感，

11、小于于1的股票对市场变动敏感性较小的股票对市场变动敏感性较小Market Risk and BetanBeta investments sensitivity to market movements,amount that an investment price to change for each additional 1%change in the market,T-bills beta is 0,the average of beta of all stocks is 1.0,greater than 1 are unusually sensitive to market movemen

12、t,less than 1.0 are less sensitive to market movement12资本资产定价模型 Capital Asset Pricing Modeln资本资产定价模型资本资产定价模型 风险溢价，与风险溢价，与BetaBeta值成正比例变动，值成正比例变动，图表图表2B-52B-5，668668nKe=Rf+B(Km Rf),案例，案例，669669页页nCapital asset pricing model risk premium,varies in direct proportion to the beta,figure 2B-5,page 106nKe=

13、Rf+B(Km Rf),for example,page 10713CAPM的替代方法 Alternative to CAPM套利定价理论套利定价理论法玛法玛-弗伦奇三因素模型弗伦奇三因素模型Arbitrage Pricing Theory(APT)Fama French Three-Factor Model14第二节：管理财务风险 Topic 2:Managing Financial Risk15经营风险 Business Riskn经营风险经营风险 融资决策前其经营中的固有风险，可保风险融资决策前其经营中的固有风险，可保风险营运杠杆系数营运杠杆系数n营运杠杆系数营运杠杆系数 营运收入变化的

14、百分比除以销售变化的百营运收入变化的百分比除以销售变化的百分比分比nDOL=边际贡献边际贡献/营业收益，案例，营业收益，案例，672页页nBusiness risk inherent with a firms operating before the financing decision,insurable riskDegree of Operating LeveragenDegree of operating leverage percentage change in operating income give a percentage change in salesnDOL=Contrib

15、ution Margin/Operation Income,for example,page 11316财务风险 Financial Risk n财务风险财务风险 债务融资和优先股融资相关的风险债务融资和优先股融资相关的风险财务杠杆系数财务杠杆系数 n财务杠杆系数财务杠杆系数 EPS EPS变动百分比除以营业收益变动百分比变动百分比除以营业收益变动百分比nDFL=DFL=营运收益营运收益 营运收益营运收益-利息利息-优先股股利优先股股利/(1-/(1-税）税）nFinancial Risk associated with using debt and/or preferred stock fi

16、nancing Degree of Financial LeveragenDegree of financial leverage percent change in EPS given a percent change in operating incomenDFL=Operating Income operating income interest preferred stock dividend/(1-tax)17财务风险 Financial Risk 财务杠杆系数财务杠杆系数 n总杠杆系数总杠杆系数 =DOLDFLnDTL=DTL=边际贡献边际贡献 营运收益营运收益-利息利息-优先股股

17、利优先股股利/(1-/(1-税）税）Degree of Financial LeveragenDegree of total leverage=DOL DFLDTL=Contribution Margin operating income interest preferred stock dividend/(1-tax)18管理财务风险 Managing Financial Risk套期保值，套利，期限匹配和投机套期保值，套利，期限匹配和投机套期保值套期保值 降低价格、利率或汇率不利波动的风险敞口的降低价格、利率或汇率不利波动的风险敞口的方法方法套利套利 在一个市场买入一个投资工具，同时在另一

18、市场卖在一个市场买入一个投资工具，同时在另一市场卖出出Hedging,Arbitrage,Maturity Matching,SpeculationnHedging reducing exposure to adverse fluctuations in price,interest rate or foreign exchange ratenArbitrage simultaneous purchase of an investment instrument in one market and the sales in another 19管理财务风险 Managing Financial

19、Risk套期保值，套利，期限匹配和投机套期保值，套利，期限匹配和投机期限匹配期限匹配 匹配公司资产和负债的期限匹配公司资产和负债的期限投机投机 打赌市场变化方向并承担风险打赌市场变化方向并承担风险Hedging,Arbitrage,Maturity Matching,SpeculationnMaturity Matching matching the maturity of the companys asset and liabilities nSpeculation risk taking and betting on the direction of the market20第三节：金融工

20、具Topic 3:Financial Instruments21投资和融资决策的风险和回报 Risks and Return in Investment and Financing Decisionn债务债务 在特定日期之前偿还债权人所借资金的法律义务在特定日期之前偿还债权人所借资金的法律义务n权益权益 出售公司的所有权，风险和回报的权衡，出售公司的所有权，风险和回报的权衡，678678页页n投资和融资的基本考虑因素投资和融资的基本考虑因素 图表图表2B-6,678,678页页nDebt legal obligation to repay a creditor for borrowed fun

21、ds by a specified datenEquity selling an ownership claim,risk and return tradeoff,page 121nBasic Investing and Financing Consideration figure 2B-6,page 122 22投资和融资决策的风险和回报 Risks and Return in Investment and Financing Decision所得税对融资决策的影响所得税对融资决策的影响n代理成本代理成本n财务困境财务困境Income Taxes Impact on Financing De

22、cisionn Agency costnFinancial distress23估值估值n估值估值 将风险和回报联系在一起估计资产或一家公司的将风险和回报联系在一起估计资产或一家公司的价值价值n相关价值相关价值 持续经营价值，（每股）清算价值，（每股）持续经营价值，（每股）清算价值，（每股）账面价值，市场价值和内在价值账面价值，市场价值和内在价值n证券投资的现金流衡量指标证券投资的现金流衡量指标 680 680页页Valuation nValuation link risk and return to estimate the worth of an assets or a companynr

23、elated value concept-going-concern value,liquidation value,liquidation value per share,book value,book value per share of common stock,market value,intrinsic valuenMeasure of cash flow for security investment page 123投资和融资决策的风险和回报 Risks and Return in Investment and Financing Decision24债券 Bondsn债券债券

24、债务工具，超过债务工具，超过1 1年，短年，短/中中/长期长期债券的发行人和种类债券的发行人和种类n常见的债权类型常见的债权类型 图表图表2B-7,6802B-7,680页页nBonds debt instrument,more than one year,short/medium/long termIssuers and types of bonds n Common Types of Bonds-figure 2B-7,page 12425债券合同债券合同n契约契约 条款和条件，票面利率，到期日，保证条款，违条款和条件，票面利率，到期日，保证条款，违约事项，次级条款，偿债基金条款，用作抵押

25、物的资产，约事项，次级条款，偿债基金条款，用作抵押物的资产，受托人的任命和责任受托人的任命和责任n保证条款保证条款 负负/正条款正条款Bond agreementsnIndenture terms and conditions,stated interested rate,maturity date,protective covenants,condition defining default,subordination,sinking fund,collateral property,designation and duties and trustee nCovenants negative

26、/positive covenants债券 Bonds26债券管理债券管理n受托人受托人 受托人的责任，受托人的责任，681页页Bonds administration nTrustee trustees responsibilities,page 125债券 Bonds27债券术语债券术语n债券本金债券本金 面值面值n债券利率债券利率 固定固定/浮动浮动/零利率，二级市场零利率，二级市场n债券期限债券期限 确定的期限确定的期限n债券评级债券评级 各种因素，图表各种因素，图表2B-8，关键点，关键点，683页页Bond terminology nBond principal par/face

27、valuenBond interest fixed/floating/zero/rate,secondary marketnBond maturity stated maturitynBonds rating numerous factors,figure 2B-8,key points,page 127债券 Bonds28债券收益债券收益n收益率和回报率收益率和回报率 当前收益率当前收益率=利息利息/当前价格，到期收益当前价格，到期收益率，重要考虑，率，重要考虑，683页页n通货膨胀和债券净回报通货膨胀和债券净回报 通货膨胀吞噬债券的回报率通货膨胀吞噬债券的回报率Bond yields nY

28、ields and return current yield=interest/current price,yield to maturity,assumption,consideration,page 128nInflation and bond net returns inflation eats into the return of a bond债券 Bonds29债券久期债券久期n债券久期债券久期 当利率下降时的再投资风险，债券的价格怎样当利率下降时的再投资风险，债券的价格怎样随收益率的变化而变化随收益率的变化而变化n收益率曲线收益率曲线 图表图表2B-9，有效久期，有效久期，684页

29、页n票面利率越高，久期越低票面利率越高，久期越低n期限越长，久期越高期限越长，久期越高n市场收益率越高，久期越低市场收益率越高，久期越低Bond DurationnBond duration reinvestment risk when interest rate fall,how price of a bond changes in response to yield changesnConvexity figure 2B-9,effective duration,page 129nHigher coupon,lower durationnLonger maturity,higher dur

30、ation,nHigher market yield,lower duration债券 Bonds30债券担保债券担保n担保债券担保债券 以特定资产或项目的收入作为抵押品以特定资产或项目的收入作为抵押品n无担保债券无担保债券 良好的信誉、诚实和信用作担保良好的信誉、诚实和信用作担保债券清偿顺序与债券清算债券清偿顺序与债券清算n担保担保/无担保，高级无担保，高级/次级次级Bond SecuritynSecured bond backed by collateral or revenues from a specific project,liennUnsecured bond backed by

31、good faith,integrity and creditBond ranking and liquidationnSecured/Unsecured,Senior/Subordinated债券 Bonds31债券估价债券估价n计算支付利息的现值计算支付利息的现值n计算面值的现值计算面值的现值n将两者加总，案例，将两者加总，案例，686页页n要点要点 686页页Bond valuationnCalculate the present value of interest paymentnCalculate the present value of the face valuenAdd the

32、 two present values,for example,page 131nKey points page 131债券 Bonds32股票 Stocksn股票股票权益投资工具，公司资产和利润的索取权，流权益投资工具，公司资产和利润的索取权，流通在外的股数，所有权通在外的股数，所有权n一级市场一级市场投资银行，承销，购买新发行股票的第一投资银行，承销，购买新发行股票的第一次机会次机会n二级市场二级市场投资者之间的交易，股票市场投资者之间的交易，股票市场nStock equity investment instrument,claim on the corporations asset an

33、d profits,outstanding share,ownershipnPrimary and secondary marketsnThe primary market investment banker,underwrite,first opportunity to buy a newly issued securitynThe secondary market investors trade amongst themselves,stock market33股票 Stocksn股票的市值股票的市值-市场资本，分类，图表市场资本，分类，图表2B-10，687页页n其他股票分类其他股票分类

34、 688页页nMarket value of a stock market capitalization,classification,figure 2B-10,Page 132nother common stock classification-13334普通股 Common Stockn普通股普通股 权益所有权，在所有债券持有人和优先股持有权益所有权，在所有债券持有人和优先股持有人之间，没有到期日，二级市场人之间，没有到期日，二级市场n每股市场价值每股市场价值 现行交易价格，股利现行交易价格，股利 nCommon stock equity ownership,subordinate to

35、all debt and preferred stock,no maturity date,secondary marketnMarket value per share current trading price,dividends35普通股 Common Stock投票权投票权n有权对重要事件进行投票有权对重要事件进行投票 688页页n传统投票传统投票n累积投票累积投票n委托书委托书优先购股权优先购股权Voting Rights nRights to vote page 133-134nTraditional voting nCumulative votingnProxy statemen

36、t Preemptive Right 36普通股 Common Stock清算价值清算价值普通股的估值普通股的估值n估值估值 年股利，股利增长率，折现率年股利，股利增长率，折现率Liquidating ValueCommon Stock ValuationnValuation annual dividends,dividend growth,discount rates37普通股 Common Stock使用股利贴现模型使用股利贴现模型n股利贴现模型股利贴现模型 预期的未来所有股利的贴现值（现值）来预期的未来所有股利的贴现值（现值）来确定，现金流的度量，预期持有期间，预期股利模式确定，现金流的

37、度量，预期持有期间，预期股利模式n基本的股利贴现模型基本的股利贴现模型 690页页n零股利增长下的普通股股价零股利增长下的普通股股价 690页页Use of the dividends Discount ModelnDividend discount model discounted value of all the expected future dividends,measure of cash flow,expected holding period,pattern of expected dividendsnBasic Dividend Discount Model page 136n

38、Valuing Common Stock with Zero Dividend Growth page 13638普通股 Common Stock使用股利贴现模型使用股利贴现模型n不变股利增长率下的普通股股价不变股利增长率下的普通股股价 691页页n变动股利增长率下的普通股估值变动股利增长率下的普通股估值 692页页Use of the dividends Discount ModelnValuing Common Stock with Constant Dividend Growth page 137nValuing Common Stock with Variable Dividend G

39、rowth page 13839普通股 Common Stock使用相对（或可比）估价模型使用相对（或可比）估价模型n相对估值相对估值 693页页n市盈率（市盈率（P/E）-693页页n市帐率市帐率 694页页n市销率市销率 695页页Use of Relative(or Comparable)Valuation ModelsnRelative valuation page 139nPrice-to-Earning(P/E)Ratios Page 139-140nPrice-to-Book Ratios page 140-141nPrice-to-Sales Ratios page 141-1

40、4240优先股 Preferred Stockn优先股优先股 部分所有权，更像债券而不是普通股部分所有权，更像债券而不是普通股权益特征权益特征投票权投票权清算价值清算价值nPreferred stock partial ownership,more similar to bond than to common stockEquity Characteristics Voting RightLiquidating Value41优先股 Preferred Stock特性特性n累积股利累积股利 支付可以自由裁决，未支付的股利可以累积支付可以自由裁决，未支付的股利可以累积n分享特征分享特征 当普通股

41、股利达到一定金额，优先股股东分享当普通股股利达到一定金额，优先股股东分享不断提高的股利不断提高的股利Unique Feature nCumulative Dividends payment is discretionary,unpaid dividends may accumulate nParticipating Feature participate in increasing dividends when common dividends reach a certain amount 42优先股 Preferred Stock特性特性n提前兑回条款提前兑回条款 使得发行人以兑回价格买回（

42、或兑回）全使得发行人以兑回价格买回（或兑回）全部或部分股票部或部分股票n可转换特征可转换特征 将优先股转换为一定特量的普通股将优先股转换为一定特量的普通股 Unique Feature nCall Provision grant the issuer the right to buy back at call pricenConvertible feature converted into specified amount of common stock43优先股 Preferred Stock优先股估值优先股估值n估值估值 697页页 Preferred Stock ValuationnVa

43、luation page 144-14544衍生金融工具 Derivativesn衍生金融工具衍生金融工具 衍生自另一个更基本的金融工具的价格或衍生自另一个更基本的金融工具的价格或价值价值n双方之间达成的合同双方之间达成的合同 698页页期权期权n期权期权 双方之间的合同，合同买方有权（而不是义务）买双方之间的合同，合同买方有权（而不是义务）买卖约定数量的标的资产卖约定数量的标的资产nDerivative derived from underlying price or value of some other more-basic financial instrumentnContract b

44、etween two party page 145Option nOption contract between two party,purchaser has the right to buy or sell a given amount of an underlying asset45衍生金融工具 Derivatives期权期权n关键特征和术语关键特征和术语 买入期权，卖出期权，行权价格，行权买入期权，卖出期权，行权价格，行权日，期权费，欧式期权，美式期权日，期权费，欧式期权，美式期权n偿付结构偿付结构 平价平价/价内价内/价外期权，买入期权的案例，价外期权，买入期权的案例，700页，页，

45、卖出期权的案例，图表卖出期权的案例，图表2B-12，701页页Option nKey Characteristic and Terminology call option,put option,strike price,exercise date,premium,European option,American option,page 146nPayoff Structure at/in/out of money,call option example,page 147,put option example,figure 2B-12,page 14946期权期权n期权的价格和价值期权的价格和价

46、值 因素，因素，701页页n三种途径三种途径 个别调整，定价模型，贴现现金流个别调整，定价模型，贴现现金流n布莱克布莱克-斯科尔斯期权定价模型，二项式模型，斯科尔斯期权定价模型，二项式模型，702Option nPrice and Value of Options factors,page 149nThree methods tailoring adjustment,pricing model,discounted cash flowsnBlack-Scholes option model,binomial option model,page 150衍生金融工具 Derivatives47远期

47、合同远期合同n主要特征和术语主要特征和术语 多头，空头，多头，空头，702页页n偿付结构偿付结构 对称偿付结构，远期合同案例，对称偿付结构，远期合同案例，703页页期货合同期货合同n期货合同期货合同 有组织的交易所的标准合同，案例，有组织的交易所的标准合同，案例，703页页Forward ContractsnKey Characteristic and Terminology long position,short position,page 151nPayoff structure symmetrical payoffs,forward contract example,page 152Fu

48、tures Contractsn future contract standardized contracts traded on organized exchanges,for examples,page 152衍生金融工具 Derivatives48互换互换n互换互换 互换未来现金支付的私人约定，由中间人促成，案互换未来现金支付的私人约定，由中间人促成，案例，例，704页页其他长期金融工具其他长期金融工具n其他长期金融工具其他长期金融工具 2B-13,705页页SwapsnSwap private agreement to exchange future cash payments,fac

49、ilitated by an intermediary,for example,page 153Other Long-term Financial InstrumentsnOther long-Term Financial Instruments Figure 2B-13,page 154衍生金融工具 Derivatives49第四节：资本成本Topic 4:Cost of Capital 50资本成本的定义 Cost of Capital,Definedn债务资本债务资本 付息工具如票据、债券或贷款的发行付息工具如票据、债券或贷款的发行n权益资本权益资本 股东的永久投资，实缴资本和留存收益股

50、东的永久投资，实缴资本和留存收益n资本成本资本成本 融资中各个组成部分的相关成本的加权平均数融资中各个组成部分的相关成本的加权平均数nDebt capital issuance of interest-bearing instrument as notes,bonds,or loansnEquity capital permanent investment by shareholders,paid-in capital or retained earningnCost of capital proportional average of the various components for f