财务管理第四章长期证券的估价

Chapter 4The Valuation of Long-Term Securities4-1 © 2001 Prentice-Hall, Inc. Fundamentals of Financial Management, 11/e Created by: Gregory A. Kuhlemeyer, Ph.D. Carroll College, Waukesha, WI

The Valuation of Long-Term Securities

Distinctions Among Valuation ConceptsBond Valuation(债券价值) Preferred Stock Valuation(优先股价值) Common Stock Valuation(普通股价值) Rates of Return (or Yields)(回报率)

4-2

What is Value?value (清算价值) represents the amount of money that could be realized if an asset or group of assets is sold separately from its operating organization. Going-concern value(持续经营价值) represents the amount a firm could be sold for as a continuing operating business. 4-3 Liquidation

What is Value? Book

value(账面价值) represents

either (1) an asset: the accounting value of an asset -- the asset’s cost minus its accumulated depreciation;

(2) a firm: total assets minus liabilities and preferred stock as listed on the balance sheet.4-4

What is Value?value (市场价值) represents the market price at which an asset trades. Intrinsic value(固有价值) represents the price a security “ought to have” based on all factors bearing on valuation. Market4-5

Bond Valuation

Important TermsTypes of Bonds

Valuation of BondsHandling Semiannual Compounding

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Important Bond Terms

A bond(债券) is a long-term debt instrument issued by a corporation or government.The maturity value(到期价值) (MV) [or face value票面价值] of a bond is the stated value. In the case of a U.S. bond, the face value is usually $1,000.

4-7

Important Bond TermsThe bond’s coupon rate 票面利率is the stated rate of interest; the annual interest payment divided by the bond’s face value. The discount rate 贴现率 (capitalization rate) is dependent on the risk of the bond and is composed of the risk-free rate plus a premium( 4-8 溢价) for risk.

4-9

柳化股份2011年公司债券 2013年付息公告五、本次付息方法1、本公司已与中证登上海分公司签订了《委托代理 债券兑付、兑息协议》,委托中证登上海分公司进行债 券兑付、兑息。本公司最迟在本年度付息日前第二个交 易日将本年度债券的利息足额划付至中证登上海分公司 指定的银行账户。如本公司未按时足额将债券兑付、兑 息资金划入中证登上海分公司指定的银行账户，则中证 登上海分公司将根据协议终止委托代理债券兑付、兑息 服务，后续兑付、兑息工作由本公司自行负责办理，相 关实施事宜以本公司的公告为准。4-10

termperpetual bond 永久债券non-zero coupon-paying非零息票支付债券 zero-coupon bond 零息债券，或贴现债券 Interpolate 插值法 Yield-to-Maturity 到期回报率 Discount Bond 贴现债券 Premium Bond 溢

价债券4-11

par Bond 平价债券

Different Types of BondsA perpetual bond 永久债券is a bond that never matures. It has an infinite life. I I I V = (1 + k )1 + (1 + k )2 + ... + (1 + k ) d d d

=S4-12

I(1 + kd)t

or

t=1

I (PVIFA k

, ) d

V = I / kd

[Reduced Form]

Perpetual Bond ExampleBond P has a $1,000 face value and provides an 8% coupon. The appropriate discount rate is 10%. What is the value of the perpetual bond?I = $1,000 ( 8%) = $80.

kdV4-13

= 10%.= I / kd [Reduced Form] = $80 / 10% = $800.

Different Types of BondsA non-zero coupon-paying bond(非零 息票支付债券)is a coupon-paying bond with a finite life. I I I + MV V = (1 + k )1 + (1 + k )2 + ... + (1 + k )nd d d

=St=14-14

n

I(1 + kd)t

+, n) d

MV(1 + kd)n

V = I (PVIFA k

+ MV (PVIF kd, n)

Coupon Bond ExampleBond C has a $1,000 face value and provides an 8% annual coupon for 30 years. The appropriate discount rate is 10%. What is the value of the coupon bond?V = $80 (PVIFA10%, 30) + $1,000 (PVIF10%, 30) = $80 (9.427) + $1,000 (.057)

[Table IV]= $754.16 + $57.00 = $811.16.4-15

[Table II]

Different Types of BondsA zero-coupon bond (零息债券，或贴 现债券)is a bond that pays no interest but sells at a deep discount from its face value; it provides compensation to investors in the form of price appreciation(价格上涨). MV V= = MV (PVIFk , n) n(1 + kd)d4-16

Zero-Coupon Bond ExampleBond Z has a $1,000 face value and a 30-year life. The appropriate discount rate is 10%. What is the value of the zero-coupon bond?V = $1,000 (PVIF10%, 30) = $1,000 (.057) = $57.00

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Semiannual CompoundingMost bonds in the U.S. pay interest twice a year (1/2 of the annual coupon).Adjustments needed: (1) Divide kd by 2 (2) Multiply n by 2 (3) Divide I by 24-18

Semiannual CompoundingA non-zero coupon bond adjusted for semiannual compounding.

I / 2 + I / 2 + ... + I / 2 + MV V =(1 + k /2 )1 (1 + k /2 )2 (1 + k /2 ) 2*nd d d

=S4-19

2*nt=1

I/2(1 + kd /2 )t

+

MV(1 + kd /2 ) 2*n

= I/2 (PVIFAk

d /2 ,2*n

) + MV (PVIFkd /2 , 2*n)