第10章 资本结构 课后作业(下载版)

第7、8、9、10、11、12章习题及答案思考与练习一、单项选择题(在下列各题的备选答案中，只有一个符合题意的正确答案，将你选定的答案用相应的英文字母填入括号内) 1．当财务杠杆系数为1时，下列表述中，正确的是( )。

A．息税前利润增长率为零B．息税前利润为零C．利息与优先股股息为零D．固定成本为零2．假定甲企业的信用等级高于乙企业，则下列表述中，正确的是( )。

A．甲企业的筹资成本比乙企业高B．甲企业的筹资能力比乙企业强C.甲企业的债务负担比乙企业重D．甲企业的筹资风险比乙企业大3．一般而言，企业资金成本最高的筹资方式是( )。

A．发行债券B．长期借款C．发行普通股D．发行优先股4．下列各项中，不影响经营杠杆系数的是( )。

A．产品销售数量B．产品销售价格C．固定成本D．利息费用5．下列筹资活动不会加大财务杠杆作用的是( )。

A．增发普通股B．增发优先股C．增发公司债券D．增加银行借款6．当边际贡献超过固定成本后，下列措施有利于降低复合杠杆系数，从而降低企业复合风险的是( )。

A．降低产品销售单价B．提高资产负债率C.节约固定成本支出D．减少产品销售量7．已知某企业目标资本结构中长期债务的比重为20％，债务资金的增加额在0～10 000元范围内，其利率维持5％不变。

该企业与此相关的筹资总额分界点为( )元。

A．5 000 B．20 000 C. 50 000 D．200 0008．如果企业的资金13．资本成本是投资人对投入资金所要求的最低收益率，也可作为判断投资项目是否可行的取舍标准。

( )14．最优资本结构是使企业筹资能力最强、财务风险最小的资本结构。

( ) 15．MM理论只考虑了经营风险，完全不考虑财务风险的作用，并假定经营风险相同的公司即为同等风险等级的企业。

( )16．修正的MM理论过高地估计了负债经营对企业价值的作用，实际上，个人所得税的存在在某种程度上抵销了负债利息的减税利益。

因此，MM 理论是错误的。

第10章资本成本（习题参考答案）一、简答题（参考答案）1．从企业管理者筹集资金的角度来看，资本成本是企业筹集和使用资金而付出的代价；从投资者的角度理解，资本成本是资金提供者（债权人或股东）要求得到的投资报酬率。

资本成本与“投资者要求的报酬率”是同一问题的两个方面。

考虑筹资决策时，强调资本成本；考虑投资决策时，强调投资者收益率。

筹资者的资金来源于投资者的投资，若企业（项目）的收益率达不到投资者要求的报酬率，投资者将不会对企业（项目）进行投资，筹资者也就筹集不到所需的资金。

因此，资本成本的高低实质上是由投资者的必要报酬率决定的。

但由于债务利息抵税差异及筹资费用等因素的存在，资本成本与投资者要求的报酬率并不完全相等。

2．表面上看，留存收益来自企业的税后利润，取得留存收益不用支付筹资费用，使用留存收益也不需要付出利息、股利等成本。

但实际上，对于股东来说，留存于企业的利润是其放弃获得的现金股利。

股东愿意放弃享受现金股利的权利，而将其留用于企业，就相当于对企业进行追加投资。

股东对这部分资金也是要求获得与普通股等同的报酬的，以弥补其承受的机会成本。

因此，留存收益的资本成本和普通股一样，都是股东要求的必要报酬率。

3．①股利贴现法原理简单，只需要知道当前股利、股票价格及未来股利增长率。

但是实践中较难准确估计未来现金股利的增长率，如果未来股利不以固定增长率增长，还需根据分阶段的股利贴现模型进行计算，计算过程较为复杂。

②资本资产定价模型法逻辑严密合理，理论性强；且不需要对现金股利增长率做假设，即使企业没有分派红利也可应用此模型，适用范围广。

但β系数难以确定，一般投资者很难有条件做出估算。

③风险溢价法计算简便，只需估算债务资本成本。

但要求的风险溢价是基于所有公司的一个平均值，估计时带有一定的主观色彩，不如CAPM模型对单个公司风险溢价进行估计的方法精确。

4．单项资本在资本总额中权重的确定可能依据账面价值、市场价值和目标资本结构。

第十章杠杆原理与资本结构练习题1．某公司经营A种产品，销量为10 000件，单位变动成本为100元，变动成本率为40％，息税前利润90万元。

已知销售净利率为12％，所得税率25％。

要求：(1)计算经营杠杆系数。

(2)计算财务杠杆系数。

(3)计算联合杠杆系数。

2．A公司是一个生产和销售通信器材的股份公司。

假设该公司适用的所得税税率为40％。

对于明年的预算出现三种意见：方案一：维持现在的生产和财务政策。

预计销售45 000件，售价为240元／件，单位变动成本为200元，固定成本为120万元。

公司的资本结构为，400万元负债(利率为5％)，普通股20万股。

方案二：更新设备并用负债筹资。

预计更新设备需投资600万元，生产和销售量不会变化，但单位变动成本将降低至180元／件，固定成本将增加至150万元。

借款筹资600万元，预计新增借款的利率为6．25％。

方案三：更新设备并用股份筹资。

更新设备的情况与方案二相同，不同的是用发行新的普通股筹资。

预计新股发行价为每股30元，需要发行20万股，以筹集600万元资本。

要求：计算三个方案下的经营杠杆、财务杠杆和联合杠杆。

3．某公司目前年销售额为10 000万元，变动成本率为70％，全部固定成本和费用(含利息费用)2 000万元，总优先股股息24万元，普通股股数为2 000万股，该公司目前总资产为5 000万元，资产负债率40％，目前的平均负债利息率为8％，假设所得税率为40％。

该公司拟改变经营计划，追加投资4 000万元，预计每年固定成本增加500万元，同时可以视销售额增加20％，并使变动成本率下降至60％。

该公司以提高每股收益的同时降低联合杠杆系数作为改进经营计划的标准。

要求：(1)计算目前的每股收益、利息保障倍数、经营杠杆系数、财务杠杆系数和联合杠杆。

(2)所需资本以追加股本取得，每股发行价2元，计算追加投资后的每股收益、利息保障倍数、经营杠杆、财务杠杆和联合杠杆，判断应否改变经营计划。

第10章资本结构课后作业（下载版）第十章资本结构课后作业一、单项选择题1.假定甲企业的权益资本与负债资本的比例为3:2，据此可以判断该企业（）。

A.只存在经营风险B.经营风险大于财务风险C.经营风险小于财务风险D.同时存在经营风险和财务风险2.某企业2013年的财务杠杆系数为2,2012年的息税前利润为500，优先股为6万元，企业所得税税率为25%，则2012年实际利息费用为（）万元。

A.242B.240C.180D.2603.下列情况下，企业财务杠杆系数等于1的是（）。

A.每股收益为零B.息税前利润为零C.固定性融资成本为零D.固定性经营成本为零4.下列各种资本结构的理论中，认为筹资决策无关紧要的是（）。

A.代理理论B.无税MM理论C.融资优序理论D.权衡理论5.甲上市公司没有发行优先股，已知2013年的财务杠杆系数为1.25，则该公司2013年的利息保障倍数为（）。

A.4C.4.5D.66.甲企业当前的经营杠杆系数为4，要使企业由盈利转为亏损，销售量至少要下降（）。

A.45%B.50%C.25%D.40%7.某公司2014年的财务杠杆系数是2，经营杠杆系数是3，普通股每股收益的预期增长率为60%，假定其他因素不变，则2014年预期的销售增长率为（）。

A.5%B.11%C.9%D.10%8.当负债达到100%时，企业价值最大，持有这种观点的资本结构理论是（）。

A.代理理论B.有税市场下的MM理论C.完美资本市场下的MM理论D.优序融资理论9.以下筹资方式中，既能带来杠杆利益，又能产生抵税作用的是（）。

A.优先股B.增发新股C.发行债券D.留存收益10.甲公司的经营杠杆系数为1.5，财务杠杆系数为1.6，则该公司销售额每增长1倍，就会造成每股收益增加（）倍。

B.1.6C.2.7D.2.411.下列关于资本结构的影响因素表述不正确的是（）。

A.收益与现金流量波动较大的企业，要比现金流量较稳定的类似企业的负债水平低B.成长性好的企业，要比成长性差的类似企业负债水平高C.一般性用途资产比例高的企业，要比具有特殊用途资产比例高的类似企业的负债水平低D.财务灵活性大的企业要比财务灵活性小的类似企业的负债能力强。

财务成本管理(2016) 第十章资本结构课后作业一、单项选择题1.下列表述中，不正确的是（）。

A.财务管理的基本理论都是以市场有效为假设前提的B.有效资本市场是指市场上的价格能够同步地、完全地反映全部的可用信息C.如果市场是无效的，投资人将有机会战胜市场，获得超额利润D.如果市场是有效的，管理者可以通过改变会计方法提升股票价值2.如果资本市场是弱式有效市场，则下列说法正确的是（）。

A.基本分析是无效的B.利用历史信息不会获得收益C.如果证券价格的时间序列存在系统性的变动趋势，会赚取超额收益，资本市场没有达到弱式有效D.我国股市已经确认达到弱式有效3.下列各项中属于检验半强式有效市场的方法的是（）。

A.随机游走模型B.过滤检验C.事件研究D.考察内幕信息获得者参与交易时能否获得超常盈利4.某投资者通过对于异常事件与超常收益数据的统计分析，发现超常收益只与当天披露的事件相关，则该市场属于（）。

A.弱式有效市场B.半弱式有效市场C.半强式有效市场D.强式有效市场5.甲企业如果在2015年只有固定性的经营成本，未发生固定性的融资成本，据此可以判断甲企业存在的杠杆效应是（）。

A.经营杠杆效应B.财务杠杆效应C.联合杠杆效应D.风险杠杆效应6.假设经营杠杆系数为2，在由盈利（息税前利润）转为亏损时。

销售量下降的最小幅度为（）。

A.35%B.50%C.30%D.40%7.下列关于经营杠杆的说法中，错误的是（）。

A.经营杠杆反映的是营业收入的变化对每股收益的影响程度B.如果没有固定性经营成本，则不存在经营杠杆效应C.经营杠杆的大小是由固定性经营成本和息前税前利润共同决定的D.如果经营杠杆系数为1，表示不存在经营杠杆效应8.甲企业固定成本为50万元，全部资金均为自有资本，其中优先股占10%，则甲企业（）。

A.只存在财务杠杆效应B.存在经营杠杆效应和财务杠杆效应C.只存在经营杠杆效应D.经营杠杆效应和财务杠杆效应抵消9.某公司税后净利润是24万元，固定性经营成本是35万元，财务杠杆系数是2.5，所得税税率是25%，那么，该公司的联合杠杆系数是（）。

企业资本结构（习题）一、单项选择题1.由于（ 1.C；）的存在，企业会有经营杠杆作用。

A．固定财务费用 B. 变动生产经营费用 C．固定生产经营费用D．变动财务费用2.某企业2010年的销售额为1000万元，变动成本600万元，固定经营成本200万元，预计2011年固定成本不变，则2011年的经营杠杆系数为（2.Ａ）。

A.2B.3C.4D.无法计算3.某企业2010年的销售额为1000万元，变动成本600万元，固定经营成本200万元，利息费用10万元，没有融资租赁和优先股，预计2011年息税前利润增长率为10％，则2011年的每股利润增长率为（3.Ｂ）。

A.10％B.10.5％C.15％D.12％4.债务资金在全部资金总额中所占的比重越大，企业财务杠杆系数(4.A； )。

A．越大 B．越小 C．不变 D．不确定5.企业资本结构中为单一权益资金（不含优先股），则财务杠杆将（ 5.B；）。

A．发挥较大的作用 B．不存在 C．发挥较小的作用D．发挥反作用6．在其他条件不变的情况下，如果企业资产负债率增加，则财务杠杆系数将会（6.B）A．不变 B．增大 C．减小 D．变化方向不确定7.某企业销售收入800万元，变动成本率为40％，经营杠杆系数为2，总杠杆系数为3。

假设固定成本增加80万元，其他条件不变，企业没有融资租赁和优先股，则总杠杆系数变为（7.Ｄ）。

A.3B.4C.5D.68.要使资本结构达到最佳，应使(8. A )达到最低。

A.综合资金成本B.边际资金成本C.债务资金成本D.自有资金成本9.普通股价格10.50元，筹资费用每股0.50元，第一年支付股利1.50 元，股利增长率5%。

则该普通股的成本最接近于( 9.Ｂ； )。

A.10.5%B.15%C.19%D.20%10. 普通每股税后利润变动率相当于息税前利润变动率的倍数表示的是( 10.B； )。

A.营业杠杆系数B.财务杠杆系数C.联合杠杆系数D.边际资金成本11. 当营业杠杆系数和财务杠杆系数都是1.5时，则联合杠杆系数应为(11.Ｂ )。

第九章和第十章财务管理作业答案及课件第一篇：第九章和第十章财务管理作业答案及课件第九章作业：四、计算题。

1.某公司发行公司债券，面值为1000元，票面利率为10%，期限为5年。

已知市场利率为8%。

要求计算并回答下列问题：（1）债券为按年付息、到期还本，发行价格为1020元，投资者是否愿意购买？V（债券价值）=1000*10%*（P/A，8%，5）+1000*（P/S，8%，5）=1079.87元高于购买价格,所以愿意购买.（2）债券为单利计息、到期一次还本付息债券，发行价格为1010元，投资者是否愿意购买？V债券价值=(1000*10%*5+1000)*(P/S,8%,5)=1020.9元,高于购买价格,愿意购买.（3）债券为贴现债券，到期归还本金，发行价为700元，投资者是否愿意购买？V债券价值=1000*(P/S,8%,5)=680.6元低于发行价,不愿意购买.2.甲公司以1020元的价格购入债券A，债券A是2001年9月1日发行的，5年期债券，其面值为1000元，票面利率为8%。

请分别回答下列问题：（1）如果该债券每年8月31日付息，计算该债券的本期收益率；[1000*8%)]/1020=（2）如果该债券到期一次还本付息，甲公司于2005年5月1购入债券于2005年11月1日以1060元的价格卖掉，计算该债券的持有期收益率；持有期收益率=(1060-1020)*/(1020*6/12)=（3）如果该债券每年8月31日付息，甲公司于2005年11月1日购入该债券并持有至到期，计算该债券的到期收益率；该债券持有期是10个月.到期收益率=(1000*8%+1000-1020)/(1020*10/12)=（4）如果该债券每年8月31日付息，甲公司于2004年9月1日购入该债券并持有至到期，计算该债券的到期收益率。

(货币时间价值来计算)到期收益率=[1000*8%-(1020-1000)/2]/10201020=1000*8%(P/A,i,2)+1000*(P/S,i,2)令I=7% V=1018。

Chapter 10Capital Markets and the Pricing of Risk10-1.The figure below shows the one-year return distribution for RCS stock. Calculate a. The expected return.b.The standard deviation of the return.a.[]0.25(0.1)0.1(0.2)0.1(0.25)0.25(0.3) 5.5%E R =--++=b. []()()()()2222Variance R 0.250.0550.10.10.0550.20.10.0550.250.250.0550.32.6%=--⨯+--⨯+-⨯+-⨯=Standard Deviation 16.13%10-2.The following table shows the one-year return distribution of Startup, Inc. Calculate a. The expected return.b.The standard deviation of the return.a.[]()()()()()E R 10.40.750.20.50.20.250.1100.132.5%=----+=b. []()()()()()22222Variance R 10.3250.40.750.3250.20.50.3250.20.250.3250.1100.3250.110.46=--+--+--+--+-=Standard Deviation 3.235323.5%==Berk/DeMarzo•Corporate Finance, Second Edition135 10-3. Characterize the difference between the two stocks in Problems 1 and 2. What trade-offs would you face in choosing one to hold?Startup has a higher expected return, but is riskier. It is impossible to say which stock I would prefer. It depends on risk performances and what other stocks I’m holding.10-4. You bought a stock one year ago for $50 per share and sold it today for $55 per share. It paid a $1 per share dividend today.a. What was your realized return?b. How much of the return came from dividend yield and how much came from capital gain?Compute the realized return and dividend yield on this equity investment.a.1(5550)0.1212%50R+-===b.div 12% 50R==capital gain 555010% 50R-==The realized return on the equity investment is 12%. The dividend yield is 10%.10-5. Repeat Problem 4 assuming that the stock fell $5 to $45 instead.a. Is your capital gain different? Why or why not?b. Is your dividend yield different? Why or why not?Compute the capital gain and dividend yield under the assumption the stock price has fallen to $45.a.capital gain 4550/5010%.R=-=-Yes, the capital gain is different, because the difference betweenthe current price and the purchase price is different than in Problem 1.b. The dividend yield does not change, because the dividend is the same as in Problem 1.The capital gain changes with the new lower price; the dividend yield does not change.10-6. Using the data in the following table, calculate the return for investing in Boeing stock from January 2, 2003, to January 2, 2004, and also from January 2, 2008, to January 2, 2009, assuming all dividends are reinvested in the stock immediately.136 Berk/DeMarzo • Corporate Finance, Second Edition10-7. The last four years of returns for a stock are as follows:a. What is the average annual return?b. What is the variance of the stock’s returns?c. What is the standard deviation of the stock’s returns?Given the data presented, make the calculations requested in the question. a.4%28%12%4%Average annual return 10%4-+++==b. 2222(4%10%)(28%10%)(12%10%)(4%10%)Variance of returns 30.01867--+-+-+-==c. Standard deviation of returns 13.66%=The average annual return is 10%. The variance of return is 0.01867. The standard deviation of returnsis 13.66%.10-8.Assume that historical returns and future returns are independently and identically distributed and drawn from the same distribution.a. Calculate the 95% confidence intervals for the expected annual return of four differentinvestments included in Tables 10.3 and 10.4 (the dates are inclusive, so the time period spans 83 years). b. Assume that the values in Tables 10.3 and 10.4 are the true expected return and volatility(i.e., estimated without error) and that these returns are normally distributed. For eachBerk/DeMarzo • Corporate Finance, Second Edition 137investment, calculate the probability that an investor will not lose more than 5% in the next year? (Hint : you can use the function normdist(x ,mean,volatility,1) in Excel to compute the probability that a normally distributed variable with a given mean and volatility will fall below x .)c. Do all the probabilities you calculated in part (b) make sense? If so, explain. If not, can youidentify the reason?InvestmentReturn Volatility (Standard Deviation) Average Annual Return Standard Error Lower Bound Confidence Interval Upper Bound Confidence Interval Part b answer Small stocks 41.50% 20.90% 4.56% 11.79% 30.01% 26.63% 73.37% S&P 500 20.60% 11.60% 2.26% 7.08% 16.12% 21.02% 78.98% Corporate bonds 7.00% 6.60% 0.77% 5.06% 8.14% 4.87% 95.13% Treasury bills3.10%3.90%0.34%3.22%4.58%0.20%99.80%c. No. You cannot lose money on Treasury Bills. The problem is that the returns to Treasuries arenot normally distributed.10-9.Consider an investment with the following returns over four years:a. What is the compound annual growth rate (CAGR) for this investment over the four years?b. What is the average annual return of the investment over the four years?c. Which is a better measure of the investment’s past performance?d. If the investment’s returns are independent and identically distributed, which is a bettermeasure of the investment’s expected return next year? a.b. see table abovec. CAGRd. Arithmetic average138Berk/DeMarzo•Corporate Finance, Second Edition10-10. Download the spreadsheet from MyFinanceLab that contains historical monthly prices and dividends (paid at the end of the month) for Ford Motor Company stock (Ticker: F) fromAugust 1994 to August 1998. Calculate the realized return over this period, expressing your answer in percent per month.Ford Motor Co (F)Month Stock Price Div idend Return1+RAug-9743.0000.05199 1.05199Jul-9740.8750.4200.08671 1.08671Jun-9738.0000.01333 1.01333May-9737.5000.07914 1.07914Apr-9734.7500.4200.12096 1.12096Mar-9731.375-0.045630.95437Feb-9732.8750.02335 1.02335Jan-9732.1250.3850.00806 1.00806Dec-9632.250-0.015270.98473Nov-9632.7500.04800 1.04800Oct-9631.2500.3850.01232 1.01232Sep-9631.250-0.067160.93284Aug-9633.5000.03475 1.03475Jul-9632.3750.3850.01189 1.01189Jun-9632.375-0.113010.88699May-9636.5000.01742 1.01742Apr-9635.8750.3500.05382 1.05382Mar-9634.3750.10000 1.10000Feb-9631.2500.05932 1.05932Jan-9629.5000.3500.03377 1.03377Dec-9528.8750.02212 1.02212Nov-9528.250-0.017390.98261Oct-9528.7500.350-0.065060.93494Sep-9531.1250.01220 1.01220Aug-9530.7500.06034 1.06034Jul-9529.0000.310-0.014790.98521Jun-9529.7500.01709 1.01709May-9529.2500.07834 1.07834Apr-9527.1250.3100.02084 1.02084Mar-9526.8750.02871 1.02871Feb-9526.1250.03465 1.03465Jan-9525.2500.260-0.084840.91516Dec-9427.8750.02765 1.02765Nov-9427.125-0.080510.91949Oct-9429.5000.2600.07243 1.07243Sep-9427.750-0.051280.94872Aug-9429.250Total Return (product of 1+R's) 1.67893Equivalent Monthly return = (Total Return)^(1/36)-1 = 1.45%Berk/DeMarzo•Corporate Finance, Second Edition139 10-11. Using the same data as in Problem 10, compute thea. Average monthly return over this period.b. Monthly volatility (or standard deviation) over this period.Ford Motor Co (F)Month Stock Price Dividend ReturnAug-9743.0000.05199Jul-9740.8750.4200.08671Jun-9738.0000.01333May-9737.5000.07914Apr-9734.7500.4200.12096Mar-9731.375-0.04563Feb-9732.8750.02335Jan-9732.1250.3850.00806Dec-9632.250-0.01527Nov-9632.7500.04800Oct-9631.2500.3850.01232Sep-9631.250-0.06716Aug-9633.5000.03475Jul-9632.3750.3850.01189Jun-9632.375-0.11301May-9636.5000.01742Apr-9635.8750.3500.05382Mar-9634.3750.10000Feb-9631.2500.05932Jan-9629.5000.3500.03377Dec-9528.8750.02212Nov-9528.250-0.01739Oct-9528.7500.350-0.06506Sep-9531.1250.01220Aug-9530.7500.06034Jul-9529.0000.310-0.01479Jun-9529.7500.01709May-9529.2500.07834Apr-9527.1250.3100.02084Mar-9526.8750.02871Feb-9526.1250.03465Jan-9525.2500.260-0.08484Dec-9427.8750.02765Nov-9427.125-0.08051Oct-9429.5000.2600.07243Sep-9427.750-0.05128Aug-9429.250Average Monthly Return 1.60%Std Dev of Monthly Return 5.46%a. Average Return over this period: 1.60%b. Standard Deviation over the Period: 5.46%140Berk/DeMarzo•Corporate Finance, Second Edition10-12. Explain the difference between the average return you calculated in Problem 11(a) and the realized return you calculated in Problem 10. Are both numbers useful? If so, explain why.Both numbers are useful. The realized return (in problem 10.5) tells you what you actually made if you hold the stock over this period. The average return (problem 10.6) over the period can be used as an estimate of the monthly expected return. If you use this estimate, then this is what you expect to make on the stock in the next month.10-13. Compute the 95% confidence interval of the estimate of the average monthly return you calculated in Problem 11(a).Month Stock Price Dividend ReturnAug-98 44.625 -0.21711Jul-98 57.000 0.420 -0.02678Jun-98 59.000 0.13735May-98 51.875 0.13233Apr-98 45.813 23.680 0.07221Mar-98 64.813 0.14586Feb-98 56.563 0.10907Jan-98 51.000 0.420 0.05884Dec-97 48.563 0.12936Nov-97 43.000 -0.01574Oct-97 43.688 0.420 -0.02255Sep-97 45.125 0.04942Aug-97 43.000 0.05199Jul-97 40.875 0.420 0.08671Jun-97 38.000 0.01333May-97 37.500 0.07914Apr-97 34.750 0.420 0.12096Mar-97 31.375 -0.04563Feb-97 32.875 0.02335Jan-97 32.125 0.385 0.00806Dec-96 32.250 -0.01527Nov-96 32.750 0.04800Oct-96 31.250 0.385 0.01232Sep-96 31.250 -0.06716Aug-96 33.500 0.03475Jul-96 32.375 0.385 0.01189Jun-96 32.375 -0.11301May-96 36.500 0.01742Apr-96 35.875 0.350 0.05382Mar-96 34.375 0.10000Feb-96 31.250 0.05932Jan-96 29.500 0.350 0.03377Dec-95 28.875 0.02212Nov-95 28.250 -0.01739Oct-95 28.750 0.350 -0.06506Sep-95 31.125 0.01220Aug-95 30.750 0.06034Jul-95 29.000 0.310 -0.01479Jun-95 29.750 0.01709May-95 29.250 0.07834Berk/DeMarzo•Corporate Finance, Second Edition141 Month Stock Price Dividend ReturnApr-95 27.125 0.310 0.02084Mar-95 26.875 0.02871Feb-95 26.125 0.03465Jan-95 25.250 0.260 -0.08484Dec-94 27.875 0.02765Nov-94 27.125 -0.08051Oct-94 29.500 0.260 0.07243Sep-94 27.750 -0.05128Aug-94 29.250Average Monthly Return 2.35%Std Dev of Monthly Return 7.04%Std Error of Estimate = (Std Dev)/sqrt(36) = 1.02%95% Confidence Interval of average monthly return 0.31% 4.38%10-14. How does the relationship between the average return and the historical volatility of individual stocks differ from the relationship between the average return and the historical volatility of large, well-diversified portfolios?For large portfolios there is a relationship between returns and volatility—portfolios with higher returns have higher volatilities. For stocks, no clear relation exists.10-15. Download the spreadsheet from MyFinanceLab containing the data for Figure 10.1.a. Compute the average return for each of the assets from 1929 to 1940 (The Great Depression).b. Compute the variance and standard deviation for each of the assets from 1929 to 1940.c. Which asset was riskiest during the Great Depression? How does that fit with your intuition?a/b.S&P 500 Small Stocks Corp BondsWorldPortfolio Treasury Bills CPIAverage 2.553% 16.550% 5.351% 2.940% 0.859%Variance: 0.1018 0.6115 0.0013 0.0697 0.0002 0.0022Standarddeviation: 31.904% 78.195% 3.589% 26.398% 1.310% 4.644%Evaluate:c. The riskiest assets were the small stocks. Intuition tells us that this asset class would be the riskiest. 10-16. Using the data from Problem 15, repeat your analysis over the 1990s.a. Which asset was riskiest?b. Compare the standard deviations of the assets in the 1990s to their standard deviations inthe Great Depression. Which had the greatest difference between the two periods?c. If you only had information about the 1990s, what would you conclude about the relativerisk of investing in small stocks?a. Using Excel:S&P 500 Small Stocks Corp Bonds World Portfolio Treasury CPI142Berk/DeMarzo•Corporate Finance, Second EditionBills Average 18.990% 14.482% 9.229% 12.819% 4.961% 2.935%Variance: 0.0201 0.0460 0.0062 0.0194 0.0002 0.0002Standarddeviation: 14.161% 21.451% 7.858% 13.938% 1.267% 1.239%The riskiest asset class was small stocks.b. The greatest absolute difference in standard deviation is in the small stocks asset class, which sawstandard deviation fall 56.7%. But in relative terms, the riskiness of corporate bonds rose 118%(relative to 1940), while the riskiness of small stocks fell only 72.6% (relative to 1940 levels).Inflation is now much less risky as well, falling in relative riskiness by 73.3%.c. If you were only looking at the 1990s, you would conclude that small stocks are relatively lessrisky than they actually are.The results that one can derive from analyzing data from a particular time period can change depending on the time period analyzed. These differences can be large if the time periods being analyzed are short. 10-17. What if the last two decades had been “normal”? Download the spreadsheet from MyFinanceLab containing the data for Figure 10.1.a. Calculate the arithmetic average return on the S&P 500 from 1926 to 1989.b. Assuming that the S&P 500 had simply continued to earn the average return from (a),calculate the amount that $100 invested at the end of 1925 would have grown to by the endof 2008.c. Do the same for small stocks.a. The arithmetic average return of the S&P 500 from 1926–1989 is 12.257%.b. Using 12.257% as the annual return during the period 1990-2008, $100 invested in the S&P 500 in1926 would have grown to $442,618 by 2008.c. The arithmetic average return for small stocks from 1926–1989 is 23.186%. Using 23.186% as theannual return during the period 1990–2008, $100 invested in small stocks in 1926 would havegrown to $51,412,602 by 2008.10-18. Consider two local banks. Bank A has 100 loans outstanding, each for $1 million, that it expects will be repaid today. Each loan has a 5% probability of default, in which case the bank is not repaid anything. The chance of default is independent across all the loans. Bank B has only one loan of $100 million outstanding, which it also expects will be repaid today. It also has a 5% probability of not being repaid. Explain the difference between the type of risk each bank faces.Which bank faces less risk? Why?The expected payoffs are the same, but bank A is less risky.10-19. Using the data in Problem 18, calculatea. The expected overall payoff of each bank.b. The standard deviation of the overall payoff of each bank.a. Expected payoff is the same for both banks=⨯=Bank B$100 million0.95$95 million()=⨯⨯=Bank A$1 million0.95100$95 millionb. Bank BBerk/DeMarzo • Corporate Finance, Second Edition 143()()22Variance 100950.950950.05475=-+-=Standard Deviation 21.79Bank A()()22Variance of each loan 10.950.9500.950.050.0475=--=Standard Deviation of each loan 0.2179Now the bank has 100 loans that are all independent of each other so the standard deviation of the average loan is0.02179.=But the bank has 100 such loans so the standard deviation of the portfolio is1000.02179 2.179,⨯= 2.1795which is much lower than Bank B.10-20. Consider the following two, completely separate, economies. The expected return and volatilityof all stocks in both economies is the same. In the first economy, all stocks move together —in good times all prices rise together and in bad times they all fall together. In the second economy, stock returns are independent —one stock increasing in price has no effect on the prices of other stocks. Assuming you are risk-averse and you could choose one of the two economies in which to invest, which one would you choose? Explain.A risk-averse investor would choose the economy in which stock returns are independent because this risk can be diversified away in a large portfolio.10-21. Consider an economy with two types of firms, S and I. S firms all move together. I firms moveindependently. For both types of firms, there is a 60% probability that the firms will have a 15% return and a 40% probability that the firms will have a −10% return. What is the volatility (standard deviation) of a portfolio that consists of an equal investment in 20 firms of (a) type S, and (b) type I?a.[]()()E R 0.150.60.10.40.05=-=Standard Deviation 0.12247=Because all S firms in the portfolio move together there is no diversification benefit. So the standard deviation of the portfolio is the same as the standard deviation of the stocks —12.25%. b. []()()E R 0.150.60.10.40.05=-=Standard Deviation 0.12247=Type I stocks move independently. Hence the standard deviation of the portfolio is ()SD Portfolio of 20 Type I stocks 2.74%.==10-22. Using the data in Problem 21, plot the volatility as a function of the number of firms in the two portfolios.10-23. Explain why the risk premium of a stock does not depend on its diversifiable risk.Investors can costlessly remove diversifiable risk from their portfolio by diversifying. They, therefore, do not demand a risk premium for it.10-24. Identify each of the following risks as most likely to be systematic risk or diversifiable risk:a. The risk that your main production plant is shut down due to a tornado.b. The risk that the economy slows, decreasing demand for your firm’s products.c. The risk that your best employees will be hired away.d. The risk that the new product you expect your R&D division to produce will not materialize.a. diversifiable riskb. systematic riskc. diversifiable riskd. diversifiable risk10-25. Suppose the risk-free interest rate is 5%, and the stock market will return either 40% or −20% each year, with each outcome equally likely. Compare the following two investment strategies: (1)invest for one year in the risk-free investment, and one year in the market, or (2) invest for both years in the market.a. Which strategy has the highest expected final payoff?b. Which strategy has the highest standard deviation for the final payoff?c. Does holding stocks for a longer period decrease your risk?R(i) : (1.05)(1.40)-1 = 47% or (1.05)(0.80) –1 = –16%R(ii) : 1.42 -1 = 96%, 1.4 × 0.8 – 1 = 12%, 0.8 × 1.4 – 1=12%, .8 × .8 – 1 = –36%a. ER(i) = (47% – 16%)/2 = 15.5%ER(ii) = (96% + 12% + 12% – 36%)/4 = 21%b. Vol(i) =sqrt(1/2 (47% – 15.5%)2 + 1/2(–16% – 15.5%)2) = 31.5%Vol(ii)=sqrt(1/4 (96%-21%)2 + ½(12% – 21%)2 + 1/4(–36% – 21%)2) = 47.5%c. No10-26. Download the spreadsheet from MyFinanceLab containing the realized return of the S&P 500 from 1929–2008. Starting in 1929, divide the sample into four periods of 20 years each. For each20-year period, calculate the final amount an investor would have earned given a $1000 initial investment. Also express your answer as an annualized return. If risk were eliminated by holding stocks for 20 years, what would you expect to find? What can you conclude about long-run diversification?If risk were eliminated by holding stocks for 20 years, you would expect to find similar returns for all four periods, which you do not.10-27. What is an efficient portfolio?An efficient portfolio is any portfolio that only contains systemic risk; it contains no diversifiable risk.10-28. What does the beta of a stock measure?Beta measures the amount of systemic risk in a stock10-29. You turn on the news and find out the stock market has gone up 10%. Based on the data inTable 10.6, by how much do you expect each of the following stocks to have gone up or down: (1) Starbucks, (2) Tiffany & Co., (3) Hershey, and (4) Exxon Mobil.Beta*10% Starbucks 10.4% Tiffany & Co. 16.4% Hershey 1.9% Exxon Mobil 5.6%10-30. Based on the data in Table 10.6, estimate which of the following investments do you expect tolose the most in the event of a severe market down turn: (1) A $1000 investment in eBay, (2) a $5000 investment in Abbott Laboratories, or (3) a $2500 investment in Walt Disney.For each 10% market decline, eBay down 10%*1.93 = 19.3%, 19.3% × 1000 = $193 loss; Abbott down 10%*.18 = 1.8%, 1.8% × 5000 = $90 loss; Disney down 10%*.96 = 9.6%, 9.6% × 2500 = $240 loss; Disney investment will lose most.10-31. Suppose the market portfolio is equally likely to increase by 30% or decrease by 10%.a. Calculate the beta of a firm that goes up on average by 43% when the market goes up andgoes down by 17% when the market goes down . b. Calculate the beta of a firm that goes up on average by 18% when the market goes down andgoes down by 22% when the market goes up . c. Calculate the beta of a firm that is expected to go up by 4% independently of the market. a.()()4317 Stock 60Beta 1.5 Market 301040--∆====∆--b. () Stock 182240Beta 1 Market 301040∆---====-∆--c. A firm that moves independently has no systemic risk so Beta = 010-32. Suppose the risk-free interest rate is 4%.a. i. Use the beta you calculated for the stock in Problem 31(a) to estimate its expected return.ii. How does this compare with the stock’s actual expected return?b. i. Use the beta you calculated for the stock in Problem 31(b) to estimate its expected return.ii. How does this compare with the stock’s actual expected return? a. E[R M ] = ½ (30%) + ½ (–10%) = 10% i.. E[R] = 4% + 1.5 (10% – 4%) = 13% ii. Actual Expected return = (43% – 17%) / 2 = 13% b. i. . E[R] = 4% – 1(10% – 4%) = -2%ii. Actual l expected Return =(–22% + 18%) / 2 = –2%10-33. Suppose the market risk premium is 5% and the risk-free interest rate is 4%. Using the data inTable 10.6, calculate the expected return of investing ina. Starbucks’ stock.b. Hershey’s stock.c. Autodesk’s stock. a. 4%+1.04 × 5% = 9.2% b. 4% + 0.19 × 5% = 4.95% c. 4% + 2.31 × 5% = 15.55%10-34. Given the results to Problem 33, why don’t all investors hold Autodesk’s stock rather than Hershey’s stock?Hershey’s stock has less market risk, so investors don’t need as high an expected return to hold it. Hershey’s stock will perform much better in a market downturn.10-35. Suppose the market risk premium is 6.5% and the risk-free interest rate is 5%. Calculate thecost of capital of investing in a project with a beta of 1.2.[]()()Cost of Capital E R 5 1.26.512.8%f m f r r β=+-=+=10-36. State whether each of the following is inconsistent with an efficient capital market, the CAPM, orboth:a. A security with only diversifiable risk has an expected return that exceeds the risk-freeinterest rate. b. A security with a beta of 1 had a return last year of 15% when the market had a return of9%. c. Small stocks with a beta of 1.5 tend to have higher returns on average than large stocks witha beta of 1.5. a. This statement is inconsistent with both. b. This statement is consistent with both.c. This statement is inconsistent with the CAPM but not necessarily with efficient capital markets.。

财务成本管理（2016）第十章资本结构课后作业一、单项选择题1.下列表述中，不正确的是（）。

A. 财务管理的基本理论都是以市场有效为假设前提的B. 有效资本市场是指市场上的价格能够同步地、完全地反映全部的可用信息C如果市场是无效的，投资人将有机会战胜市场，获得超额利润D.如果市场是有效的，管理者可以通过改变会计方法提升股票价值2.如果资本市场是弱式有效市场，则下列说法正确的是（）。

A. 基本分析是无效的B利用历史信息不会获得收益C如果证券价格的时间序列存在系统性的变动趋势，会赚取超额收益，资本市场没有达到弱式有效D.我国股市已经确认达到弱式有效3.下列各项中属于检验半强式有效市场的方法的是（）。

A. 随机游走模型B. 过滤检验C事件研究D.考察内幕信息获得者参与交易时能否获得超常盈利4.某投资者通过对于异常事件与超常收益数据的统计分析，发现超常收益只与当天披露的事件相关，则该市场属于（）。

A. 弱式有效市场B. 半弱式有效市场C半强式有效市场D.强式有效市场5.甲企业如果在2015年只有固定性的经营成本，未发生固定性的融资成本，据此可以判断甲企业存在的杠杆效应是（）。

A. 经营杠杆效应B. 财务杠杆效应C联合杠杆效应D.风险杠杆效应6.假设经营杠杆系数为2,在由盈利（息税前利润）转为亏损时。

销售量下降的最小幅度为（）。

A. 35%B. 50%C. 30%D. 40%7.下列关于经营杠杆的说法中，错误的是（）。

A. 经营杠杆反映的是营业收入的变化对每股收益的影响程度B. 如果没有固定性经营成本，则不存在经营杠杆效应C经营杠杆的大小是由固定性经营成本和息前税前利润共同决定的D.如果经营杠杆系数为1，表示不存在经营杠杆效应8.甲企业固定成本为50万元，全部资金均为自有资本，其中优先股占10%，则甲企业（）。

A. 只存在财务杠杆效应B. 存在经营杠杆效应和财务杠杆效应C只存在经营杠杆效应D.经营杠杆效应和财务杠杆效应抵消9.某公司税后净利润是24万元，固定性经营成本是35万元，财务杠杆系数是2.5, 所得税税率是25%，那么，该公司的联合杠杆系数是（）。