陳偉補習班研究所北中高聯合模考財管試題
蕭弘老師出題
範圍：全 (共 40 小題，每小題 2.5 分，總分 100 分)
一、
1.
Calculating EFN
The most recent financial statements for Moose Tours, Inc., follow. Sales for
2005 are projected to grow by 20 percent. Interest expense will remain constant;
the tax rate and the dividend payout rate will also remain constant. Costs, other
expenses, current assets, and accounts payable increase spontaneously with sales.
If the firm is operating at full capacity and no new debt or equity is issued, what
is the external financing needed to support the 20 percent growth rate is sales?
MOOSE TOURS, INC,
2004 Income Statement
Sales
Costs
Other expenses
Earnings before interest and taxes
Interest paid
Taxable income
Taxes (35%)
Net Income
Dividends
Addition to retained earnings
$905,000
710,000
12,000
$183,000
19,700
$163,300
57,155
$106,145
$42,458
63,687
MOOSE TOURS, INC.
Balance Sheet as of December 31, 2004
Assets
Liabilities and Owners’ Equity
Current assets
$25,000
Current liabilities
Cash
43,000
Accounts payable
Accounts receivable
76,000
Notes payable
Inventory
$144,000
Total
Total
Ling-term debt
Fixed assets
Owners’ equity
Net plant and equipment $364,000
Common stock and paid-in surplus
Retained earnings
Total assets
$508,000
Total
Total liabilities and owners’ equity
2.
$65,000
9,000
$74,000
$156,000
$21,000
257,000
$278,000
$508,000
Capacity Usage and Growth
In the previous problem, suppose the firm was operating at only 80 percent
capacity in 2004. What is EFN now?
3.
Calculating EFN
In problem 1, suppose the firm wishes to keep its debt-equity ratio constant.
What is EFN now?
4.
EFN and Internal Growth
Redo Problem 1 using sales growth rates of 15 and 25 percent in addition to 20
percent. Illustrate graphically the relationship between EFN and the growth rate,
the use this graph to determine the relationship between them. At what growth
rate is the EFN equal to zero? Why is this internal growth rate different from that
found by using the equation in the text?
(第一頁 / 共六頁)
5.
EFN and Sustainable Growth
Redo Problem 3 using sales growth rates of 30 and 35 percent in addition to 20
percent. Illustrate graphically the relationship between EFN and the growth rate,
and use this graph to determine the relationship between them. At what growth
rate is the EFN equal to zero? Why is this sustainable growth rate different from
that found by using the equation in the text?
二、Interest Rate Risk
Both Bond Sam and Bond Dave have 10 percent coupons, make semiannual
payments, and are priced at par value. Bond Sam has 2 years to maturity,
whereas Bond Dave has 15 years to maturity. If interest rates suddenly rise by 2
percent, what is the percentage change in the price of Bond Sam? Of Bond Dave?
If rates were to suddenly fall by 2 percent instead, what would the percentage
change in the price of Bond Same be then? Of Bond Dave? Illustrate your
answers by graphing bond prices versus YTM. What does this problem tell you
about the interest rate risk of longer-term bonds?
三、Stock Valuation
Most corporations pay quarterly dividends on their common stock rather than
annual dividends. Barring any unusual circumstances during the year, the board
raises, lowers, or maintains the current dividend once a year and then pays this
dividend out in equal quarterly installments to its shareholders.
(a) Suppose a company currently pays a $3.00 annual dividend on its common
stock in a single annual installment, and management plans on raising this
dividend by 6 percent per year, indefinitely. If the required return on this
stock is 14 percent, what is the current share price?
(b) Now suppose that the company in (a) actually pays its annual dividend in
equal quarterly installments; thus, this company has just paid a $.75
dividend per share, as it has for the previous three quarters. What is your
value for the current share price now? (Hint: Find the equivalent annual
end-of-year dividend for each year.) Comment on whether or not you think
that this model of stock valuation is appropriate.
四、
1. Comparing Mutually Exclusive Projects
Hagar Industrial Systems Company (HISC) is trying to decide between two
different conveyor belt systems. System A costs $430,000, has a four-year life,
and requires $120,000 in pretax annual operating costs. System B cost $540,000,
has a six-year life, and requires $80,000 in pretax annual operating costs. Both
systems are to be depreciated straight-line to zero over their lives and will have
zero salvage value. Whichever project is chosen, it will not be replaced when it
wears out. If the tax rate is 34 percent and the discount rate is 20 percent, which
project should the firm choose?
2. Comparing Mutually Exclusive Projects
Suppose in the previous problem that HISC always needs a conveyor belt system;
when one wears out, it must be replaced. Which project should the firm choose
now?
(第二頁 / 共六頁)
五、Calculating a Bid Price
Your company has been approached to bid on a contract to sell 10,000 voice
recognition (VR) computer keyboards a year for four years. Due to technological
improvements, beyond that time they will be outdated and no sales will be
possible. The equipment necessary for the production will cost $2.4 million and
will be depreciated on a straight-line basis to a zero salvage value. Production
will require an investment in net working capital of $75,000 to be returned at the
end of the project and the equipment can be sold for $200,000 at the end of
production. Fixed costs are $500,000 per year, and variable costs are $165 per
unit. In addition to the contract, you feel your company can sell 3,000, 6,000
8,000 and 5,000 additional units to companies in other countries over the next
four years, respectively, at a price of $275. This price is fixed. The tax rate is 40
percent, and the required return is 13 percent. Additionally, the president of the
company will only undertake the project if it has an NPV of $100,000. What bid
price should you set for the contract?
六、Systematic versus Unsystematic Risk
Consider the following information on Stocks I and II:
State of
Economy
Recession
Normal
Irrational exuberance
Probability of State
of Economy
.15
.70
.15
Rate of Return If State Occurs
Stock I
Stock II
－.30
.09
.42
.12
.26
.44
The market risk premium is 10 percent, and the risk-free rate is 4 percent. Which
stock has the most systematic risk? Which one has the most unsystematic risk?
Which stock is “riskier”? Explain.
七、SML
Suppose you observe the following situation:
Security
Pete Corp.
Repete Co.
Beta
1.3
.6
Expected Return
.23
.13
Assume these securities are correctly priced. Based on the CAPM, what is the
expected return on the market? What is the risk-free rate?
八、Abandonment Value
We are examining a new project. We expect to sell 7,000 units per year at $60 net
cash flow apiece for the next 10 years. In other words, the annual operating cash
flow is projected to be $60×7,000 = $420,000. The relevant discount rate is 16
percent, and the initial investment required is $1,800,000.
(a) What is the base-case NPV?
(b) After the first year, the project can be dismantled and sold for $1,400,000. If
expected sales are revised based on the first year’s performance, when
would it make sense to abandon the investment? In other words, at what
level of expected sales would it make sense to abandon the project?
(c) Explain how the $1,400,000 abandonment value can be viewed as the
opportunity cost of keeping the project in one year.
(第三頁 / 共六頁)
九、Pricing Convertibles
You have been hired to value a new 25-year callable, convertible bond. The bond
has 6.80 percent coupon, payable annually. The conversion price is $150, and the
stock currently sells for $44.75. The stock price is expected to grow at 12 percent
per year. The bond is callable at $1,200, but, based on prior experience, it won’t
be called unless the conversion value is $1,300. The required return on this bond
is 10 percent. What value would you assign?
十、Flotation Costs and NPV
Photochronograph Corporation (PC) manufactures time series photographic
equipment, It is currently at its target debt-equity ratio of 1.3. It’s considering
building a new $45 million manufacturing facility. This new plant is expected to
generate aftertax cash flows of $5.7 million in perpetuity. There are three
financing options:
(1) A new issue of common stock. The flotation costs of the new common stock
would be 8 percent of the amount raised. The required return on the
company’s new equity is 17 percent.
(2) A new issue of 20-year bonds. The flotation costs of the new bonds would
be 4 percent of the proceeds. If the company issues these new bonds at an
annual coupon rate of 9 percent, they will sell at par.
(3) Increased use of counts payable financing. Because this financing is part of
the company’s ongoing daily business, it has no flotation costs and the
company assigns it a cost that is the same as the overall firm WACC.
Management has a target ratio of accounts payable to long-term debt of .20.
(Assume there is no difference between the pretax and aftertax accounts
payable costs.)
What is the NPV of the new plant? Assume that PC has a 35 percent tax rate.
十一、Rights Offerings
The Clifford Corporation has announced a rights offer to raise $50 million for
a new journal, the Journal of financial Excess. This journal will review
potential articles after the author pays a nonrefundable reviewing fee of $5,000
per page. The stock current sells for $40 per share, and there are 5.2 million
shares outstanding.
(a) What is the maximum possible subscription price? What is the minimum?
(b) If the subscription price is set at $35 per share, how many shares must be
sold? How many rights will it take to buy one share?
(c) What is the ex-rights price? What is the value of a right?
(d) Show how a shareholder with 1,000 shares before the offering and no
desire (or money) to buy additional shares is not harmed by the rights
offer.
十二、M&M
Tool Manufacturing has an expected EBIT of $35,000 in perpetuity and a tax
rate of 35 percent. The firm has $70,000 in outstanding debt at an interest rate
of 9 percent, and its unlevered cost of capital is 14 percent. What is the value
of the firm according to M&M Proposition I with taxes? Should Tool change
its debt-equity ratio if the goal is to maximize the value of the firm? Explain.
十三、Firm Value
Old School Corporation expects an EBIT of $9,000 every year forever. Old
School currently has no debt, and its cost of equity is 17 percent. The firm can
borrow at 10 percent. If the corporate tax rate is 35 percent, what is the value
of the firm? What will the value be if Old School converts to 50 percent debt?
To 100 percent debt?
(第四頁 / 共六頁)
十四、Homemade Dividends
You own 1,000 shares of stock in Avondale Corporation. You will receive a
70-cent per share dividend in one year. In two years, Avondale will pay a
liquidating dividend of $40 per share. The required return on Avondale stock is
15 percent. What is the current share price of your stock (ignoring taxes)? If
you would rather have equal dividends in each of the next two years, show
how you can accomplish this by creating homemade dividends. Hint:
Dividends will be in the form of an annuity.
十五、Stock Repurchases
Flychucker Corporation is evaluating an extra dividend versus a share
repurchase. In either case, $5,000 would be spent. Current earnings are $0.95
per share, and the stock currently sells for $40 per share. There are 200 shares
outstanding. Ignore taxes and other imperfections in answering the first two
questions.
(a) Evaluate the two alternatives in terms of the effect on the price per share of
the stock and shareholder wealth.
(b) What will be the effect on Flychucker’s EPS and PE ratio under the two
different scenarios?
(c) In the real world, which of these actions would you recommend? Why?
十六、Hedging with Futures
Refer to Table 23.1 in the text to answer this question. Suppose today is July 7,
2004, and your firm produces breakfast cereal and needs 75,000 bushels of
corn in December 2004 for an upcoming promotion. You would like to lock in
your costs today because you are concerned that corn prices might go up
between now and December.
(a) How could you use corn futures contracts to hedge your risk exposure?
What price would you effectively be locking in based on the closing price
of the day?
(b) Suppose corn prices are $2.64 per pound in December. What is the profit
or loss on your futures position? Explain how your futures position has
eliminated your exposure to price risk in the corn market.
十七、Equity as an Option and NPV
Suppose the firm in the previous problem is considering two mutually
exclusive investments. Project A has an NPV of $700, and Project B has an
NPV of $1,000. As the result of taking Project A, the standard deviation of the
return on the firms’ assets will increase to 55 percent per year. If Project B is
taken, the standard deviation will fall to 34 percent per year.
(a) What is the value of the firm’s equity and debt if Project A is undertaken?
If Project B is undertaken?
(b) Which project would the stockholders prefer? Can you reconcile your
answer with the NPV rule?
(c) Suppose the stockholders and bondholders are in fact the same group of
invertors. Would this affect your answer to (b)?
(d) What does this problem suggest to you about stockholder incentives?
(第五頁 / 共六頁)
十八、Effects of a Stock Exchange
Consider the following premerger information about Firm A and Firm B:
Total earnings
Shares outstanding
Price per share
Firm A
$900
550
$ 40
Firm B
$600
220
$ 15
Assume that Firm A acquires Firm B via an exchange of stock at a price of $20
for each share of B’s stock. Both A and B have no debt outstanding.
(a) What will the earnings per share, EPS, of Firm A be after the merger?
(b) What will Firm A’s price per share be after the merger if the market
incorrectly analyzes this reported earnings growth (that is, the
price-earnings ratio does not change)?
(c) What will the price-earnings ratio of the postmerger firm be if the market
correctly analyzes the transaction?
(d) If there are no synergy gains, what will the share price of A be after the
merger? What will the price-earnings ratio be? What does your answer for
the share price tell you about the amount A bid for B? Was it too high? Too
low? Explain.
(第六頁 / 共六頁)
陳偉補習班研究所北中高聯合模考財管試題解答
蕭弘老師解題
範圍：全
一、
1.
Dividend payout ratio =
0.40
2005 Pro Forma Income Statement
Sales
$
Costs
Assets
1,086,000 Current assets
852,000
Other expenses
EBIT
Interest expense
Taxable income
$
Taxes
30,000
Accounts payable
Accounts receivable
51,600
Notes payable
219,600
Inventory
91,200
19,700
Total
$
Net income
$
129,935
Dividends
$
51,974
Total
$
78,000
9,000
$
$ 172,800 Long-term debt
199,900 Fixed assets
69,965
Add. To RE
Current liabilities
Cash
14,400
$
Liabilities and owners’ equity
87,000
156,000
Owners’ equity
Net plant and equipment
436,800
Common stock and
$
21,000
paid-in surplus
Retained earnings
77,961
Total
334,961
$
355,961
Total liabilities and
$ 609,600 owners’ equity
Total assets
External financing =
$ 10,639
2. EFN=172,800+364,000-598,961=(62,161)
3.
2004 Debt/equity ratio=
New total debt=
$
0.82734
294,500.11
External financing needed=
$
(40,861.11)
4.
b
ROA
Internal growth rate
0.60
20.89%
14.33%
b
ROE
Internal growth rate
0.60
38.18%
29.72%
5.
(第七頁 / 共六頁)
$ $598,961
二、
Price of Bond Bob=
$
965.35
Price of Bond Tom=
$
862.35
% change in Bond Bob=
-3.47%
% change in Bond Tom=
-13.76%
All else same, the longer the maturity of a
bond, the greater is its price sensitivity to
changes in interest rates.
三、
(a) Price=
(b) Next four dividends =
Effective quarterly rate =
Effective first dividend =
Share price =
$
39.75
$
$
0.7950
3.33%
3.34
$
41.78
四、
1.
System A:
OCF
NPN
System B:
OCF
NPV
$
$
(42,650)
(540,409.53)
$
$
(22,200)
(613,826.32)
If the system will not be replaced when it
wears out, then
System A
should be chosen, because it has the more
positive NPV.
2.
System A:
EAC
System B:
EAC
If the system is replaced,
System B
should be chosen because it has the lower EAC.
(第八頁 / 共六頁)
$
(208,754.32)
$
(184,581.10)
五、
Market sales
Sales
$
Variable costs
1
825,000
$
495,000
2
1,650,000 $
990,000
3
2,200,000 $
1,320,000
4
1,375,000
825,000
EBT
Tax
$
330,000
132,000
$
660,000 $
264,000
880,000 $
352,000
550,000
220,000
Net income (and OCF)
$
198,000
$
396,000 $
528,000 $
330,000
NPV of market sales
$
1,053,672.99
Initial investment
Aftertax salvage value
$
$
2,475,000
120,000
NPV of OCF
$
1,401,729.86
OCF
$
471,253.44
Bid price
$
253.54
(第九頁 / 共六頁)
六、
Stock I
Recession
Normal
Boom
Probability
0.15
0.70
0.15
Return
0.09
0.42
0.26
E(R) =
Standard
Deviation =
12.15%
Stock I beta =
3.07
Stock II Probability
Recession
0.15
Normal
0.70
Boom
0.15
Return
-0.30
0.12
0.44
E(R) =
Product
0.0135
0.2940
0.0390
0.3465
Product
(0.0450)
0.0840
0.0660
0.1050
Standard
Deviation =
20.39%
Stock II beta =
0.65
Return
Deviation
(0.2565)
0.0735
(0.0865)
Squared
Deviation
Product
0.06579 0.009868837
0.00540 0.003781575
0.00748 0.001122338
Variance =
0.01477
Return
Deviation
(0.4050)
0.0150
0.3350
Squared
Deviation Product
0.16403 0.02460375
0.00023
0.0001575
0.11223 0.01683375
Variance=
0.04160
Although Stock II has more total risk than Stock I, it has much less systematic risk, since its beta is
smaller than I’s. Thus I has more systematic risk, and II has more unsystematic and total risk. Since
unsystematic risk can be diversified away, I is actually the “riskier” stock despite the lack of
volatility in its returns. Stock I will have a higher risk premium and a greater expected return.
七、
Risk-free rate
4.43%
Market return
With Pete
With Repete
18.71%
18.71%
(第一○頁 / 共六頁)
八、
(a) NPV
$
(b) Q
Abandon the project if Q <
because NPV (abandonment) >
NPV (project CF’s)
229,955.54
5,065
5,065
(c) The abandonment value is the market value of the
project. If you continue with the project in
one year, you forego this cash that could
have been used for something else.
九、
Straight bond value
Conversion value
# of years
The bond will be called in
years, forcing conversion.
Bond value
$
#NAME?
298.33
12.99
12.99
$
859.80
十、
WACC
Floatation costs
Project cost
NPV
十一、
$
$
11.32%
5.29%
47,511,935
2,860,617
(a) Maximum subscription price = current share price
$
40
Minimum is anything > 0
(b) Number of new shares
1,428,571
Number of rights needed
3.64
(c) P(X)
Value of a right
(d) Before offer:
After offer:
(第一一頁 / 共六頁)
$
38.92
$
1.08
$
40,000
$
40,000
十二、
VU
$
162,500.00
VL
$
187,000.00
Applying M&M Proposition I with taxes, the firm has increased its value by
issuing debt. As long as M&M Proposition I holds, that is, there are no bankruptcy
costs and so forth, then the company should continue to increase its debt/equity
ratio to maximze the value of the firm.
十三、
No debt: VU
$
34,411.76
Debt
50%
$
40,433.82
Debt
100%
$
46,455.88
十四、
Stock price today
$
30.85
Equal dividend amount
$
18.98
Stock price in one year
$
34.783
You want
in one year but you
will only get
$
18,979.07
$
700.00
You need to sell
shares at time 1.
Cash flow at time 1
Cash flow at time 2
525.52
$
$
18,979.07
18,979.07
(第一二頁 / 共六頁)
十五、
(a) Cash Dividend:
DPS
$
25.00
Price per share
$
15.00
The wealth of a shareholder who is
holding one share is
$
40.00
Repurchase:
Shares repurchased
125.00
If you choose to let your shares be
repurchased, you have
$
40.00
in cash. If you keep your shares they are
still worth
$
40.00
$
0.95
(b) Cash Dividend
EPS
P/E
15.79
Repurchase:
EPS
$
P/E
2.53
15.79
(c) A share repurchase would seem to be the preferred
course of action. Only those shareholders who wish to
sell will do so, giving the shareholder a tax timing
option that he or she doesn’t get with a dividend
payment.
(第一三頁 / 共六頁)
十六、
You’re concerned about a rise in corn
prices so you would buy:
Buy 4 December corn futures contracts. By
doing so, you’re effectively locking in a settle
price on July 7, 2004 of
$
per bushel of corn, or
$
15
2.5850
193,875
Final contract value
$
198,000
Gain
$
4,125
While the price of corn your firm needs has
become
$
4,125
more expensive since July, your profit from the futures position has
netted out this higher cost.
(第一四頁 / 共六頁)
十七、
(a) Project A:
d1
0.5720
d2
0.0220
N(d1)
0.7163
N(d2)
0.5088
Equity value
$
3,183.37
Debt value
$
8,016.63
Project B:
d1
0.7281
d2
0.3881
N(d1)
0.7667
N(d2)
0.6510
Equity value
$
2,624.54
Debt value
$
8,875.46
(b) Although the NPV of project B is higher, the equity value with project A is higher.
While NPV represents the increase in the value of the assets of the firm, in this
case, the increase in the value of the firm’s assets resulting from the project B is
mostly allocated to the debtholders, resulting in smaller increase in the value of
the equity. Stockholders would, therefore, prefer project A even though it has a
lower NPV.
(c) Yes. If the same group of investors have equal stakes in the firm as bondholders
and stockholders, then total firm value matters and project B should be chosen,
since it increases the value of the firm $11,500 instead of $11,200.
(d) Stockholders may have an incentive to take on more risky, less profitable projects
if the firm is leveraged; the higher the firm’s debt load, all else the same, the
greater is this incentive.
(第一五頁 / 共六頁)
十八、
Cost
Shares given up by A
$
4,400
110
a. EPS
$
2.27
b. Old P/E
New Price
24.44
$
c. P/E
d. Price
55.56
17.60
$
P/E
38.33
16.87
At the current acquisition price, this is a
negative NPV
acquisition
(第一六頁 / 共六頁)