1 / 12

Exercise session: relevant questions

Exercise session: relevant questions. Finansiell ekonomi workshop.

donat
Télécharger la présentation

Exercise session: relevant questions

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Exercise session: relevant questions Finansiell ekonomi workshop

  2. AB Ericsson tänker ge ut kupongobligationer som löper under 3 år. Målsättningen är att sätta emissionspriset på obligationen till ett premiumpris som är 10 procent högre än obligationens nominella värde. Det nominella värdet är 100.000 Skr och marknadsräntan för 3-åriga företagsobligationen ligger på 4 %. • Hur måste kupongräntan förhålla sig till marknadsräntan för att företaget skall kunna sälja obligationen till ett premiumvärde? • Vilken kupongränta måste företaget minst erbjuda för att kunna sälja obligationen till dess premiumvärde? • Vem vinner och vem förlorar samt hur mycket på att marknadsräntan stiger till 6 % några dagar efter emissionen genomförts?

  3. DCF metod Svar: kupongen: =BETALNING (4%;3;-110000; 100000;0)

  4. svar Svar: a) Kupong räntan måste vara högre än marknadsräntan för att kunna sälja till premium. B) Kupongen ska vara 7 603,49 kr, motsvarar 7,6% kupong ränta i det här fallet då marknadsräntan ät 4%. C) Priset sjunker till 104 286 kr om räntan ökar till 6%. Jag förlorar 5714 kr på det nya marknadspriset.

  5. Q: Whentoreplace an old machine? Machine H and I aremutuallyexclusive. And have the following investment and operating costs. Note thatmachine H last for only 2 years. a) calculating the equivalentannualannuityofeach investment by using a discount rate of 10%, whichmachine is the betterbuy?

  6. Forts. • For machine H: PV =10000+1100/1,1+1200/(1,1)^2) =11991,736 Annuity over 2 years=11991/(1/0,1-(1/(0,1*((1,1)^2))))=6909 For machine I: PV=12000+1100/1,1+1200/(1,1)^2+1300/(1,1)^3= 14968. Annuity for the eachof the 3 years is 6019. wellbelowmachineH´syearlycost! Note; Year 1=1100/(1,1)=1000 year2= 1200/(1+0,1)^2=992 Year3 =1300/(1+0,1)^3=976,7

  7. b) Nowsupposeyouhave an exisitingmachine. Youcankeep it going for onemoreyearonly. But it willcost 2500 kr in repairs and 1800kr in operating costs. Is it worthreplacingnowwitheither H or I? Svar: No, youshouldkeep the old machine for anotheryear. Since the drift cost is lowerthaneithermachine H or I. 2500+1800=4300 kr

  8. DCF method: whichmachinetoinvest? Self-test 8,3in coursebook (alternativ 8,7)

  9. Calculating mean and volatility: chapter 11 Obs: step 1, get the Mean 8,5%, step 2, get the deviations from the mean and step 3, square it to get the variance. Since we have 6 years’ observations, divide it with 6.

  10. Portfolio Risk ExampleCorrelation Coefficient = .4 Stocks s% % of Portfolio Avg Return ABC Corp 28% 60% 15% Big Corp 42% 40% 21% Standard Deviation = weighted avg. = 33.6 (this is an average of the std) Standard Deviation = Portfolio = 28.1 Real Standard Deviation: Portfolio Variance = (282)(.62) + (422)(.42) + 2(.4)(.6)(28)(42)(.4) STD= SQRT (Variance) = 28.1CORRECT obs: std= ROT(varians) påsvenska Mean: r = (15%)(.60) + (21%)(.4) = 17.4%

  11. Stock market return, risk premium and std

  12. Volatilityof the risk premium

More Related