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第二章 財務管理基本理論. 參考資料: Lee ect. Chap2 -Theory of Financial Management. 企業的經理人員負責計畫( planning )、執行( implementing )、控制(考核, controlling )三種經濟行為 — 生產( production )、運銷( marketing )與財務( financing )管理(+人事, personnel ) 財務經理的職責 — 負責目標的設定、發現及分析問題、做決策、執行並負責企業的財政庶務,其範圍包含生產與運銷事務. 企業管理目標( Management Goal )
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第二章 財務管理基本理論 參考資料:Lee ect. Chap2 -Theory of Financial Management
企業的經理人員負責計畫(planning)、執行(implementing)、控制(考核,controlling)三種經濟行為—生產(production)、運銷(marketing)與財務(financing)管理(+人事,personnel)企業的經理人員負責計畫(planning)、執行(implementing)、控制(考核,controlling)三種經濟行為—生產(production)、運銷(marketing)與財務(financing)管理(+人事,personnel) • 財務經理的職責—負責目標的設定、發現及分析問題、做決策、執行並負責企業的財政庶務,其範圍包含生產與運銷事務
企業管理目標(Management Goal) —最大利潤(Profit maximization) timing risk & uncertainly (時效性? 風險與不確定性? ) — Profit Max.之二大缺失 ↓ ↓ ↓ 第三、四章 知道機率 不知機率
G has higher expected return & risk probility G or F is preferred? G F expected return 0 mean • 企業風險(Business Risk):與企業特性有關的獲利變動 • 農企業風險—氣候、病蟲害、價格變動 AgriBusiness Risk - (i) technical risk : weather, disease -(ii) market risk : price
財務風險(Financial Risk):非自有資本的運用所帶來的風險。 — 要籌資多少 自己的、借的? • leverage = (nonequity capital — borrowing , leasing , other arrangement or contracts) (interests) (rent) (obligations) leverage↑ → risk↑ If rate or return > cost of using nonequity capital, leverage↑ → profit↑, but at the same time,risk↑
Key elements of financial goal: profitability, risk & liquidity (timing) • 目標-風險與報酬(risk & return) 兼顧-utility maximization
Measurement of Business Risk : Variance • Risk--Return Trade-off 1. coefficient of variation CV = V/E愈小愈好 2. highest lower bound L = E-2V 愈高愈好
I1 I2 I3 I’1 required rate of return I’2 risk averse I’3 ‧ B ‧ A risk neutral risk preferring risk more “conservative” decision maker (I)—prefers A less risk averser (I’)—prefers B • the risk-return basis for choice:
Risk-reducing Strategy (風險分散策略): Diversification : Holding combinations of investment Portfolio Theory (投資組合理論) : ρ= 0 ρ<0(其實 ρ≠1 即可) ↑ ↑ If returns tend to be independent or negatively correlated, diversification will generally be desirable. ∵ the coefficient of variation (CV=V/E) for the “portfolio” will likely be less than that associated with each individual investment - the “portfolio effect” Diversification as a risk – reducing strategy becomes more effective as the covariation (i.e. correlation) among investments is lower
E I’2 Comparatively conservative I’1 ‧ 100% A ‧ I2 I1 100% B V • Combinations of crops A and B will always dominate complete specialization in one or the other, as long as the returns from the two are less than perfectly correlated (ρ≠1 ).
I’1 capital market line (the new efficient frontier when borrowing is possible slope=market price of risk ) I’2 E I’3 I1 I2 B ‧ I3 P E* ‧ (efficient frontier when borrowing were prohibited ) risk premium of market portfolio ‧ L the dominant market portfolio of risky securities F O V* V Combination of P & F Lender: L: will be invested in the portfolio of risky assets P will be lent or used to buy risk-free assets F with rate of return OF Borrower: B : all available funds will be invested in P, and PB/FB will be financed by borrowing (at the cost of OF) portfolio risk-free assets Appendix : portfolio selection with risk-free assets
Separation Theorem : The investment decision (which portfolio of risky assets to hold) is separate from the financing decision (how to allocate investable funds between the risk-free asset and the risky asset). The dominant portfolio of risky assets (P) is optimal for every investor regardless of that investor's utility function.
∵ If s=0.5 : half in P, half in F s=1.0 : all in P s=1.5 : (all + borrowing) in P ↑ half of the equity is borrowed debt./equity=0.5 (leverage) s=2.0 : L = D/E = 1 eg:若 ,則 S=1.5,1-S= -0.5
非淨值資本 ratio • Principle of Increasing Risk - As the relative amount of nonequity capital used in a business expands (leverage ↑) , the tendency for risk becomes greater. leverage =
eg: I=(rA-iD)(1-t)
(1) as leverage ↑ → the spread between possible gains and loss↑, risk↑ (2) as long as the marginal rate of return on capital > the marginal cost of using nonequity capital, leverage↑→ income↑→ net worth↑ if some of the income is reinvested , saved , or used to repay borrowed funds , net worth will ↑
A=D+E L=D / E as L↑ or (r-i)↑ G/E ↑ also, t↓ , c↓ G/E ↑ net after-tax earnings :I = ( rA – iD )( 1-t ) reinvestment :G= ( rA – iD )( 1-t )( 1-c ) rate of growth in equity: Theoretically, as long as r > i, ↑L to ↑G/E (assuming t, c, and r constant). However, the hypothesis of constant t, c is not real realistic; the hypothesis that r is constant for all size of business may also be unrealistic; finally, the assumption that i remains constant as L↑ is also unrealistic. ∵external capital rationing & internal capital rationing
i+R external + internal capital rationing( the reluctance to use unlimited amount of nonequity financing ) cost or return external capital rationing ( the tendency for lenders to provide limit amount of credit ) i diminishing marginal productivity of capital r equity optimal leverage debt Leverage (debt/equity) • optimum degree of leverage : r = i + R • marginal rate of return = marginal cost of nonequity capital • debt / equity usually ≦ 3 • or 2
Factors limiting growth A. external constraints 1. quantity rationing of credit use (L limited ) 2. price rationing of credit use (i↑) 3. income tax payments (t↑) B. internal constraints 1. quantity rationing of credit use 2. income withdrawals (c)
short-run level of input use : MPPi / Pi , for all factors are same level of production : MCi = MRi , for all products long-run