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Fins5513 FormulaSheet

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Fins5513 Formula Sheet
AP R = HP R/T ;
1 + EAR = (1 + HP R)1/T
X
X
E(r) =
p(s)r(s);
σ 2 (r) =
p(s)[r(s) − E(r)]2
s
s
E(rc ) = rf + y[E(rp ) − rf ]
y = σc /σp
E(rp ) − rf
Sp =
σp
E(RD )σE2 − E(RE )σDE
wD =
2
E(RD )σE2 + E(RE )σD
− [E(RD ) + E(RE )]σDE
E(rp ) − rf
y∗ =
Aσp2
Cov(Ri , RM )
βi =
σ2
XM
wk E(rk )
E(rp ) =
k
βp =
X
αp =
X
wk βk
k
w k αk
k
2
βi2 σM
+ σ 2 (i )
2
R = βi2 σM
/σi2 = (ρi,M )2
2
Cov(ri , rj ) = βi βj σM
2
βi βj σM
Corr(ri , rj ) =
=
σi σj
αi /σ 2 (i )
αi /σi2
wi = PN
2
j=1 αj /σj
αA /σ2A
0
wA
=
2
E(RM )/σM
0
wA
∗
wA
=
0
1 + wA
(1 − βA )
2
2
SP = SM + [αA /σ(A )]2
σi2 =
2
Corr(ri , rM ) × Corr(ri , rM )
αA /σA
E(Ri ) = ai + β1,i λ1 + . . . + βj,i λj + i
Rit = αi + βiM RM t + βiSM B SM Bt + βiHM L HM Lt + eit
1
n
X
Ct
FV
1 − (1 + i)−n
P =
+ F V (1 + i)−n
+
=C
t
n
(1
+
i)
(1
+
i)
i
t=1
1/(t−s)
(1 + yt )t
−1
s ft =
(1 + ys )s
s ft = E(s yt ) + LRP
CFt /(1 + y)t
wt =
Price
T
X
D=
t × wt
t=1
∗
D = D/(1 + y)
∆P
= −D∗ ∆y
P
n X
1
CFt
2
Convexity =
(t + t)
P (1 + y)2 t=1 (1 + y)t
1
∆P
= −D∗ ∆y + Convexity(∆y)2
P
2
D0 (1 + g)
D1
V0 =
=
k−g
k−g
g = ROE × b
E1
+ P V GO
P0 =
k
1−b
P0
=
E1
k − ROE × b
F CF F = EBIT (1 − tc ) + Depreciation − Capital Expenditure − Increase in Net Working Capital
Basis = Ft − St
X
C+
= S0 + P
(1 + rf )T
C0 = S0 N (d1 ) − X e−rT N (d2 )
P0 = X e−rT N (−d2 ) − S0 N (−d1 )
ln(S0 /X) + (r + σ 2 /2)T
√
d1 =
σ T
√
d2 = d1 − σ T
Cu − Cd
P u − Pd
∆C =
; ∆P =
Su − Sd
Su − Sd
∂C
∂P
= N (d1 );
= N (d1 ) − 1
∂S
∂S
2
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