II-Cost of Capital-4

Question 1

Cost of Capital 意义何在？

1. rationalize
2. 四种capital resource,特殊说明

Answer 1

1. 对企业进行估值需要未来现金流折现FCFF

折现率就是WACC，cost of capital,故取得合适的WACC，折现率低，企业估值更高

2. debt/preferred stock/common stock/ retained earnings

留存收益：企业留作自己投资。若投资回报率低于股东用作其他投资的回报率，则钱应该还给股东

Question 2

Weighted Average Cost of Capital

【WACC】

1. equation
2. also called:

Answer 2

also called: marginal cost of capital 【MCC】

Question 3

如何确定企业的

capital structure 2

Answer 3

1. 使用target capital structure
2. 若信息不可得，则用现在的structure(假设已经是target)
3. 分析企业近年stucture发展趋势，获得forcasted structure
4. 用行业comparable average structure

Question 4

计算cost of capital

框架

Answer 4

1. 计算capital structure - 各项capital构成
2. 如图

debt-rating approach: part of matrix pricing

Question 5

计算cost of preferred stock

equation

Answer 5

Question 6

cost of equity

基本模型

1. 名称
2. equation
3. 分项解释
4. 一般化

Answer 6

1. Capital Asset Pricing Model (CAPM)
2. E(Ri)=RF+βi[E(RM)−RF]
3. Rm-Rf: equity risk premium
4. E(Ri)=RF+βi1(Factorriskpremium)₁+βi2(Factorriskpremium)₂+…+βij(Factorriskpremium)_j

Question 7

3 ways to estimate

equity risk premium

Answer 7

• historical data approach
• dividend discount model (DDM) approach
• survey approach直接问专家感觉

Question 8

对β的estimate

影响因素4

Answer 8

1. estimation period, and periodicity
2. selection of appropriate market index
3. smoothing technique towards 1
4. small-capitalization companies

Question 9

β_asset / β_equity

1. 辨析
2. 推导

Answer 9

1. βequity转化至βasset是去杠杆的过程，βasset不含债，纯股东出资，数值通常小于βequity
2. 见图

Question 10

非上市公司β的求导

1. 名称
2. 过程

Answer 10

1. pure play method

Question 11

在CAPM中加入

country risk premium 【CRP】

1. 公式
2. CRP=

Answer 11

注意：分母

Annualized standard deviation of equity index/

Annualized standard deviation of the sovereign bond market in terms of the developed market currency

Question 12

Dividend Discount Model (DDM)

计算cost of equity

1. rationale
2. equation

Answer 12

r = (D₀*(1+g))/P₀ +g

Gordon Growth Model (GGM): 假设D每年以g的速度增长，再按re折现求价格

Question 13

Bond Yield plus Risk Premium Approach

求cost of equity

公式

Answer 13

r_e = r_d + risk premium

Question 14

Optimal Investment Dicision Chart

1. 图形+曲线名称
2. 解释上斜/下斜曲线
3. 解释交点

Answer 14

Question 15

项目的cost of capital

和公司整体的cost of capital

关系

Answer 15

1. 项目风险大于avg, 则cost>WACC【加risk premium进行调整】, 若用WACC折现则NPV高估
2. 项目风险小于avg，则cost<wacc></wacc>

<p> </p>

</wacc>

Question 16

计算break point

假设资本结构25%debt, 75%equity

Answer 16

Question 17

Flotation Costs 如何考虑

1. 方法1
2. 方法2
3. 比较

Answer 17

1. 考虑为cost of equity的一部分（图）,算re-WACC-NPV
2. 考虑为initial CF outflow. 正常计算re-WACC-NPV,再从NPV中减去FC
3. 理论上方法2更符合真实情况，但实际中方法1运用更多