Tài chính doanh nghiệp - Financial modeling - Topic 1: Asset expected return and user - defined functionAdvantages Higher r-squared (explains more historical return) Accounts for historical correlations between returns and firm size and book/market ratio Disadvantages Not sure why firm size and book/market matter More model risk: Must now estimate 3 betas and 3 premiums FF3F may be preferable to CAPM if you believe that the small firm and book ...
26 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 823 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 19: Global portfolio optimizationIf there were no risk-free asset, you would choose one of the envelope portfolios based on your risk-return preferences Consider what happens once we add a risk-free asset. Combining the risk-free asset with one particular portfolio of risky securities generates a new efficient frontier which is linear. This is called the Capital Allocation Lin...
24 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 899 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 18: Global investing1. Assume that a global portfolio has an expected return of 8% and standard deviation of 16%. domestic portfolio has an expected return of 6% and standard deviation of 14%. The risk free rate of return is 1%. What is the global volatility improvement (reduction in standard deviation) if an investor desires a 4% expected return? What are the portfol...
12 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1048 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 17: Foreign funds and global portfolio improvementImprovements shown in the example are due to the historical Sharpe values which show that the global portfolio has had a better excess return/risk ratio over that period (2003-2010) This may not always hold for individual years or longer periods of time However, many financial advisors and financial research suggest that a portfolio should includ...
23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 767 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 16: Foreign securities, risks, and expected returnsGDRs are similar to ADRs but differ in that they are generally traded on two or more markets outside of the foreign issuer’s home market sold in the U.S. through private placement market (Under Rule 144A) to qualified institutional buyers Allow foreign companies to raise capital in multiple markets and broaden their investor base As of 2001...
20 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 763 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 15: Global capital budgeting and country riskSuppose the yields on government bonds in the U.S., Mexico, and Pakistan are 4%, 7%, and 9%. A U.S. multinational firm is considering an investment in Mexico or Pakistan. The domestic discount rate is 12%. What are the discount rates for Mexico and Pakistan using the sovereign risk premium method? Mexico Cost of Capital = .12 + (.07-.04)=.15 P...
21 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 933 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 14: Domestic capital budgeting: npv, free cash flows, and cost of capitalFacebook is evaluating an investment in a new venture. The investment costs $900M today and is expected to return FCFs of $100M next year. FCF growth in years 2 and 3 is 15%, and 3% in year 4. What is the NPV of the project if the WACC is 12% and the FCF exit multiple is 10?
26 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 871 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 13: Competitive exposure and real currency appreciationMeasuring the Competitive exposure to an exchange rate change is very difficult. You must estimate: Nominal exchange rate changes Interest rates, inflation rates, government intervention, supply and demand shocks, geo-political-economic risk Relative Inflation Price Flexibility (Yours and competitors) Cost Flexibility (Yours and competitors)
21 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 867 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 12: Measuring and managing transaction exposureCan summarize the total risk of a corporation’s exposure to currency revaluations Use exposure netting Accounts for expected variability of exchange rates More volatile exchange rates create larger exposure measures Can be used to make probabilistic statements Can be scaled across time by using the sqrt(t)
19 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 831 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 11: Measuring and managing translation exposureI. FASB NO. 8 in effect until 1981 A. Used Temporal translation method B. Dissatisfaction with FASB No. 8 because “true” profitability often disguised by exchange rate profit volatility II. FASB NO. 52 adopted in 1981 - Most translation gains or losses to bypass income statement. - New FASB 52 Distinction: Functional v. Reporting currency d...
20 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 906 | Lượt tải: 0
