公司财务讲义(英文版).pptx

公司财务讲义(英文版).pptx

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CORPORATEFINANCE,LING-NANOUYANGPROFESSOROFFINANCEINSTITUTEOFCONTEMPORARYFINANCESHANGHAIJIAOTONGUNIVERSITY,1,ValuingInternationalCashFlows,ME（Cj,t）E（Ej,t）Nj=1PV=t=1（1+r）tE（Cj,t）=expectedcashflowsdenominatedincurrencyjtobereceivedbyparentinperiodt.E（Ej,t）=expectedexchangerateatwhichcurrencyjcanbeconvertedtoRMBattheendofperiodt.r=weightedaveragecostofcapitalofparent.M=numberofcurrencies.N=numberofperiods.,2,RegressionModelandExpectation

（1）,Regression:

measurerelationshipsbetweenvariableswhenestablishingpolicies.EXPt=b0+b1USDt-1+b2GNPt-1+ut.EXPt=%changeinChinaexportstotheU.S.b0=aconstant.USD=%changeinthevalueofU.S.dollar.b1=regressioncoefficientmeasuring1%changeinUSDt-1willleadtox%changeinEXPt.GNP=%changeintheU.S.GNP.B2=regressioncoefficientmeasuring1%changeinGNPt-1willleadtox%changeinEXPt.ut=anerrorterm.,3,RegressionModelandExpectation

（2）,Ifb0=0.002,b1=0.08,b2=0.36,USD1-1=5%,GNP1-1=-1%,ifinsertthesefiguresintotheregressionmodel,EXP1=3.84%.ItmeansthatoneyearlaterChinaexportstotheU.S.willincrease3.84%.,4,EquilibriumSpotExchangeRate,E（RMB/$1）SE0DQ0Qof$WhenDfor$=Sof$,Q0=theequilibriumquantityof$,E0=theequilibriumspotexchangerate.,5,PriceElasticityofDemandandFutureSpotExchangeRate,E=（Q/Q）/（P/P）.E=priceelasticityofdemand.Q=quantityofgoodsdemanded.P=price.Q=changeinQdemandedforachangeinP（P）.IfE1,totalspendinggoesupwhenPdeclines.Efor$couldhaveanimpactonthefuturespotexchangerateof$andRMB.,6,BalanceofPaymentsandFutureSpotExchangeRate

（1）,Credits（$inflows）Debits（$outflows）a:

Exportsofcivilianb:

Importsofciviliangoodsgoodsc:

Militarysalesd:

MilitarypurchaseabroadabroadTradebalance=a+c-（b+d）,7,BalanceofPaymentsandFutureSpotExchangeRate

（2）,e:

Exportsofservicef:

Importsofservices（investmentincome（investmentincomeandfeesearned,paidout,Chinaforeigntourismintourismabroad,China,etc.）etc.）g:

Netunilateraltransfers（gifts）Currentaccountbalance=a+c+e-（b+d+f+g）,8,BalanceofPaymentsandFutureSpotExchangeRate（3）,h:

Foreignprivatei:

ChinaprivateinvestmentinChinainvestmentabroadj:

Foreignofficialk:

ChinesegovernmentlendinginChinalendingabroadCapitalaccountbalance=h+j-（i+k）l:

NetincreaseinChinaofficialreservesOfficialreservesbalanceNote:

Itemhincludesneterrorsandomissions.,9,BalanceofPaymentsandFutureSpotExchangeRate（4）,IfChinahasatradesurplusagainsttheU.S.,thevalueofRMBwillbehigherthanthatof$,spotratewillchange.,10,InflationandFutureSpotExchangeRate,E（RMB/$1）SE1SE0DDQ1Qof$IfIFinChinathatintheU.S.,supplyof$willmovefromStoSbecausetheChinesearelikelytodecreasetheirpurchasesofU.S.imports.Meanwhile,demandfor$willmovefromDtoDbecausetheAmericansarelikelytosubstituteChinaimportsforU.S.products.Thus,spotexchangeratewillmovefromE0toE1.,11,InterestRateandFutureSpotExchangeRate,Allotherthingsbeingequal,wheninterestrateinChinaisgreaterthanthatintheU.S.,investorswillswitchfromdollartoRMBtotakeadvantageofthehigherRMBinterestrates.So,demandfor$andsupplyof$willchange,spotexchangeratewillchange.,12,NationalIncomeandFutureSpotExchangeRate,AnincreaseinChinaincomewillleadtomoreChinaimportsfromtheU.S.asChinesepeoplespendsomeofincomeonU.S.products.This,however,wouldcausedemandfor$andsupplyof$tochangeandspotexchangeratetochange.,13,OtherFactorsAffectingFutureSpotExchangeRate,Politicalandeconomicenvironment:

ifpoliticalandeconomicenvironmentinChinaisbetterthanthatintheU.S.,thevalueofRMBwillbehigherthanthatof$,spotratewillchange.Investments:

ifAmericansinvestinChina,demandfor$andsupplyof$willchange,spotratewillchange.,14,DepreciationVersusAppreciation,SupposethatonJuly19,2001,U.S.dollardevaluedby17%againstRMB.IfE0=initialRMBvalueofonedollarandE1=post-devaluationRMBvalueofonedollar,thenweknowthat（E1-E0）/E0=-17%.SolvingforE1intermsofE0yieldsE1=83%E0.Thus,theappreciationofRMBagainstU.S.dollar=（E0-E1）/E1=（E0-83%E0）/（83%E0）=20.48%.,15,ReasonsforGovernmentIntervention,Reduceeconomicexposureariskincurredbyexchangeratefluctuations.Adjustimportsandexports.IfRMBappreciates,ChinawilllosecomparativeadvantageinpriceagainsttheU.S.,thusreduceexports.Eliminatetheimpactofexchangeratefluctuationsoninflationathome.,16,ApproachtoGovernmentIntervention,E（RMB/$1）SE1SE0DDQ2Q1Q3Qof$TomaintainE0inthefaceofE1,eithertheAmericangovernmentortheChinesegovernmentorbothmustsell（Q3-Q2）dollarstopurchase（Q3-Q2）E0RMB,therebyeliminatingthedemandfor（Q3-Q2）dollars,andsimultaneouslyeliminatingtheexcesssupplyof（Q3Q2）E0RMB.,17,TermstoKeepExistingExchangeRate,Terms=internationalreserve/balance-of-paymentsdeficit.,18,SpotQuotations

（1）,Directquotation:

RMB/$1.Indirectquotation:

$/1RMB.Bidquote:

buyquote.Askquote:

sellquote.,19,SpotQuotations

（2）,Assumeyouhave10000RMB.AlsoassumetheBankofChinasbidratefor$1is8.4513RMBanditsaskrateis8.4536RMB.Ifyouconvert10000RMBinto$,youget10000/8.4536=$1182.93.Ifyoureconvertthe$1182.93backtoRMB,yougetonly1182.938.4513=9997.30（RMB）.Thebid/askspread=10000-9997.30=2.7（RMB）.Or,thebid/askspread=（8.4536-8.4513）/8.4536=0.03%.,20,ForwardQuotations,Outrightrate:

actualrate.90-dayforwardbid=8.2142RMB/$1.Swaprate:

aforwarddifferential=discountfrom,orapremiumon,spotrate.Ifspotrate=8.1023-30RMB/$1,90-dayforwardrate=26-22,90-dayforwardbidhas8.1026-8.1023=0.0003RMBpremium,90-dayforwardaskhas8.1030-8.1022=0.0008RMBdiscount.,21,ForwardRatePremiumorDiscount,Exchangefor$1RMBFPorFDSpot8.451330-dayforward8.4511-0.03%90-dayforward8.45260.06%180-dayforward8.46180.01%FP=forwardpremium,FD=forwarddiscount.FPorFD=（forward-spot）/spot（360/daysofforward）.,22,ForwardRateFluctuationandCashFlows,Cashflow$depreciation$appreciationSPSPExportsalesIIorDDDorILocalsalesDDorIIIorDLocalexpensesDDIIImportexpensesIIorDDDorIS=subsidiaryintheU.S.P=parentinChina.I=increase.D=decrease.,23,CrossExchangeRate,ExchangerateofcurrencyAtocurrencyB=exchangerateofRMBtoA/exchangerateofRMBtoB.IftheexchangerateofRMBtoU.S.$=8.2798RMB/$1,theexchangerateofRMBtoHK$=1.0627RMB/HK$1,theexchangerateofU.S.$toKH$=8.2798/1.0627=7.7913（HK$s/U.S.$1）.,24,InterestRateParityandFutureSpotRate,IRP:

r=（1+if）（1+p）-1.Wherer=rateofreturnfrominterestarbitrage（buyforeigncurrencywithhomecurrency,investitonforeigndeposit,convertinterestbacktohomecurrency）.if=interestrateofforeigncurrency.P=forwardpremiumordiscount.Sincer=ih（interestrateofhomecurrency）,p=（1+ih）/（1+if）-1ih-if.If6-monthsiRMB=5%,6-monthsi$=6%,p-1%.Chineseinvestorswillreceive1%lesswhenselling$6-monthsfromnowthanwhattheypayfor$atspotrate;and,（ih-if）willinfluencethefuturespotrate.,25,PurchasingPowerParityandFutureSpotRate,PPP:

Pf（1+If）（1+ef）=Ph（1+Ih）.WherePf=priceindexofforeigncountry.If=inflationrateofforeigncountry.ef=%changeinvalueofforeigncurrency.h=homecountry.SincePh=Pf,ef=（1+Ih）/（1+If）-1Ih-If.IfIRMB=5%,I$=3%,e$2%.$willappreciateby2%.IfIRMB=4%,I$=7%,e$-3%.$willdepreciateby3%.BasedonthePPP,Sj,t+1=Sj1+（Ih-If）.Sj,t+1=newvalueofspotrateofagivencurrency.Sj=spotrateinequilibrium.Obviously,（Ih-If）couldinfluencethefuturespotrate.,26,InternationalFisherEffectandFutureSpotRate,IFE:

r=（1+if）（1+ef）-1.Wherer=theeffectivereturnontheforeigndeposit.Sincer=ih,ef=（1+ih）/（1+if）-1ih-if.IfoneyeariRMB=11%,oneyeari$=12%,e$-1%.Thismeansthat$willdepreciateby1%inordertomakei$equalto11%.Thisalsomeansthat（ih-if）willinfluencethefuturespotrate.,27,RegressionandFutureSpotrate,VRMB=b0+b1INF+b2INC+.WhereVRMB=quarterly%changeinRMBvalue.INF=quarterly%changeininflationdifferentialbetweenChinaandtheU.S.INC=quarterly%changeinincomegrowthdifferentialbetweenChinaandtheU.S.b1=1%changeinINF,VRMBwillchangebyx%.b2=1%changeinINC,VRMBwillchangebyx%.=anerrorterm.IfrecentINF=4%andINC=2%,ifb0=0.002,b1=0.8andb2=1,VRMB=5.4%.ThismeansthatRMBshouldappreciateby5.4%,otherthingsheldconstant;and,thefuturespotrateshouldbeadjusted.,28,SensitivityAnalysisandFutureSpotRate,ERt=b0+b1INTt+b2INFt-1+.WhereERt=%changeinexchangerateovert.INTt=realinterestratedifferentialovert.INFt-1=inflationdifferentialinprevioust.INT1%changeinER1P-3%0.1%+（-0.7）（-3%）+0.61%=2.8%20%-4%0.1%+（-0.7）（-4%）+0.61%=3.5%50%-5%0.1%+（-0.7）（-5%）+0.61%=4.2%30%Hereb0=0.1%,b1=-0.7,b2=0.6,INF1-1ofRMBand$=1%.Oneyearhence,Theweightedaverageappreciationof$=3.6%.This,however,willinfluencethefuturespotrate.,29,MarketExpectationandFutureSpotRate,Assumethatthe30-dayforwardrate=$0.12/1RMBandthegeneralexpectationofspeculatorsforthefuturespotratein30days=$0.17/1RMB.Thus,buyingRMB30daysforwardat$0.12/1RMBandsellingthemwhenreceivedin30daysat$0.17/1RMBwillearn$0.05/1RMB.Ifalargenumberofspeculatorsimplementthisstrategy,thesubstantialdemandtobuyRMBforwardwillcausetheforwardrateofRMBand$toincreaseuntilthespeculativedemandstops.,30,SpeculatingonAnticipatedExchangeRates

（1）,Assumethatthe30-dayforwardrate=$0.12/1RMBandthegeneralexpectationforthefuturespotratein30days=$0.17/1RMB.Thus,buyingRMB30daysforwardat$0.12/1RMBandsellingthemwhenreceivedin30daysat$0.17/1RMBwillearn$0.05/1RMB.Ifalargenumberofspeculatorsimplementthisstrategy,thesubstantialdemandtobuyRMBforwardwillcausetheforwardrateofRMBand$toincreaseuntilthespeculativedemandstops.,31,Specul