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