公司金融教材课件.ppt
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1、Corporate Finance Lecture Five许志 西南财经大学金融学院What is Bond?Definition A bond is a legally binding agreement between a borrower and a lender:Specifies the principal amount of the loan.Specifies the size and timing of the cash flows:In dollar terms(fixed-rate borrowing)As a formula(adjustable-rate borrow
2、ing)许志 西南财经大学金融学院Some Relative Conceptions Coupon The stated interest payment made on a bond.Face Value(par value)The principal amount of a bond that is repaid at the end of the term.Coupon Rate The annual coupon divided by the face value of a bond.Maturity Specified date on which the principal amou
3、nt of a bond is paid.许志 西南财经大学金融学院Example of a Bond Consider a U.S.government bond listed as 6 3/8 of December 2009.The Par Value of the bond is$1,000.Coupon payments are made semi-annually(June 30 and December 31 for this particular bond).Since the coupon rate is 6 3/8 the payment is$31.875.On Janu
4、ary 1,2002 the size and timing of cash flows are:02/1/1875.31$02/30/6875.31$02/31/12875.31$09/30/6875.031,1$09/31/12许志 西南财经大学金融学院How to Value Bonds Identify the size and timing of cash flows.Discount at the correct discount rate.If you know the price of a bond and the size and timing of cash flows,t
5、he yield to maturity is the discount rate.Note:Yield to Maturity(YTM)is the rate required in the market on a bond.许志 西南财经大学金融学院Pure Discount BondsInformation needed for valuing pure discount bonds:Time to maturity(T)=Maturity date-todays date Face value(F)Discount rate(r)TrFPV)1(Present value of a p
6、ure discount bond at time 0:00$10$20$1TF$T许志 西南财经大学金融学院 Pure Discount Bonds:ExampleFind the value of a 30-year zero-coupon bond with a$1,000 par value and a YTM of 6%.11.174$)06.1(000,1$)1(30TrFPV00$10$20$29000,1$30许志 西南财经大学金融学院Level-Coupon BondsInformation needed to value level-coupon bonds:Coupon
7、payment dates and time to maturity(T)Coupon payment(C)per period and Face value(F)Discount rateTTrFrrCPV)1()1(11Value of a Level-coupon bond=PV of coupon payment annuity+PV of face value0C$1C$2C$1TFC$T许志 西南财经大学金融学院 Level-Coupon Bonds:ExampleFind the present value(as of January 1,2002),of a 6-3/8 cou
8、pon T-bond with semi-annual payments,and a maturity date of December 2009 if the YTM is 5-percent.On January 1,2002 the size and timing of cash flows are:02/1/1875.31$02/30/6875.31$02/31/12875.31$09/30/6875.031,1$09/31/1275.089,1$)025.1(000,1$)025.1(11205.875.31$1616PV许志 西南财经大学金融学院Further Concepts1.
9、Bond prices and market interest rates move in opposite directions.2.When coupon rate=YTM,price=par value.When coupon rate YTM,price par value(premium bond)When coupon rate YTM,price par value(discount bond)3.A bond with longer maturity has higher relative(%)price change than one with shorter maturit
10、y when interest rate(YTM)changes.All other features are identical.4.A lower coupon bond has a higher relative price change than a higher coupon bond when YTM changes.All other features are identical.许志 西南财经大学金融学院YTM and Bond Value8001000110012001300$140000.010.020.030.040.050.060.070.080.090.1Discou
11、nt RateBond Value6 3/8When the YTM coupon,the bond trades at a discount.许志 西南财经大学金融学院 Maturity and Bond Price VolatilityCConsider two otherwise identical bonds.The long-maturity bond will have much more volatility with respect to changes in the discount rateDiscount RateBond ValueParShort Maturity B
12、ondLong Maturity Bond许志 西南财经大学金融学院 Coupon Rate and Bond Price VolatilityConsider two otherwise identical bonds.The low-coupon bond will have much more volatility with respect to changes in the discount rateDiscount RateBond ValueHigh Coupon BondLow Coupon Bond许志 西南财经大学金融学院Useful Links for Bonds A go
13、od bond site to visit is http:/ has loads of useful information.Information for bond investors can be found at .Learn all about government bonds of U.S.at www.ny.frb.org 中国债券信息网: 和讯债券频道:http:/ 西南财经大学金融学院 The Present Value of Common Stocks Dividends versus Capital Gains Valuation of Different Types o
14、f Stocks Zero Growth Constant Growth Differential Growth许志 西南财经大学金融学院Case 1:Zero Growth Assume that dividends will remain at the same level foreverrPrrrPDiv)1(Div)1(Div)1(Div03322110321DivDivDivSince future cash flows are constant,the value of a zero growth stock is the present value of a perpetuity
15、:许志 西南财经大学金融学院Case 2:Constant Growth)1(DivDiv01gSince future cash flows grow at a constant rate forever,the value of a constant growth stock is the present value of a growing perpetuity:grP10DivAssume that dividends will grow at a constant rate,g,forever.i.e.2012)1(Div)1(DivDivgg3023)1(Div)1(DivDivg
16、g.许志 西南财经大学金融学院Case 3:Differential Growth Assume that dividends will grow at different rates in the foreseeable future and then will grow at a constant rate thereafter.To value a Differential Growth Stock,we need to:Estimate future dividends in the foreseeable future.Estimate the future stock price
17、when the stock becomes a Constant Growth Stock(case 2).Compute the total present value of the estimated future dividends and future stock price at the appropriate discount rate.许志 西南财经大学金融学院Case 3:Differential Growth)(1Div10g Dividends will grow at rate g1 for N years and grow at rate g2 thereafter
18、210)(1DivgNg)(1Div10)(1)(1Div)(1Div2102gggNN0 1 2NN+1许志 西南财经大学金融学院Case 3:Differential GrowthWe can value this as the sum of:an N-year annuity growing at rate g1TTArggrCP)1()1(111plus the discounted value of a perpetuity growing at rate g2 that starts in year N+1NBrgrP)1(Div21N许志 西南财经大学金融学院Case 3:Dif
19、ferential GrowthTo value a Differential Growth Stock,we can useNTTrgrrggrCP)1(Div)1()1(121N11许志 西南财经大学金融学院 A Differential Growth Example A common stock just paid a dividend of$2.The dividend is expected to grow at 8%for 3 years,then it will grow at 4%in perpetuity.Given investors assessment of this
20、company,they think that the required return on this stock is 12 percent.What is the stock worth?许志 西南财经大学金融学院With the FormulaNTTrgrrggrCP)1(Div)1()1(121N113333)12.1(04.12.)04.1()08.1(2$)12.1()08.1(108.12.)08.1(2$P3)12.1(75.32$8966.154$P31.23$58.5$P89.28$P许志 西南财经大学金融学院A Differential Growth Example08)
21、.2(1$208).2(1$0 1 234308).2(1$)04.1(08).2(1$316.2$33.2$0 1 2 308.62.2$52.2$89.28$)12.1(75.32$52.2$)12.1(33.2$12.116.2$320P75.32$08.62.2$3PThe constant growth phase beginning in year 4 can be valued as a growing perpetuity at time 3.许志 西南财经大学金融学院The Dividend Growth Model and the NPVGO Model(Advanced)
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