cheating sheet.docx - FCFF=EBIT(1tax rate(Capital Expenditures Depreciatiation-Change in non-cash working capital FCFE=Net income(Capital

cheating sheet.docx - FCFF=EBIT(1tax rate(Capital...

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FCFF=EBIT (1- tax rate)-(Capital Expenditures - Depreciatiation)-Change in non-cash working capital FCFE=Net income-(Capital Expenditures-Depreciatiation)- Change in non-cash working capital-(principle repaid-new debt issues)-preferred dividend Dividends+stock buybacks FCFE=net income*(1-reinvestment rate) FCFF=after-tax operating income*(1-reinvestment rate) CAPM:E(R) = Rf + β(Rm- Rf) APM:E(R) = Rf + ∑βj(Rj- Rf) (multi factor 也是 ) Proxy:E(R) = a + ∑ bj Yj Proxies rf: 期限的选择(长期一般选择 10-20 年);有些国家的无风险利率 要用国债减去 default spread—— 计算 default spread 的三种方 法: 1.Sovereign dollar or euro denominated bonds 与美国国债的 利差 2. CDS spreads(ask 那 一 栏 ) 3. Average spread of same rating countries Real risk-free rate:treasury indexed securities 或长期实际经 济增长率 如果今年的 rf 比较异常,照常用而不是用这几年的平均 ERP :一共有四种方法计算 1.historical risk premiums( 一般不用 , 误差为 σ/ 根号 n) 2.modified historical risk premiums (三种方法!) ERP = Base premium for mature equity market + Country Premium 1 CRP 就是 default spread (但这个相当于是 bond 的) 2 Country Equity risk premium = Default spread on country bond* σ Country Equity / σ Country Bond (更准 确) 3 Total equity risk premium = Risk PremiumUS* σCountry Equity / σ US Equity From Country ERP to Corporate ERP (同样是三种方法!) 1 E(Return) = Riskfree Rate + CRP + Beta (Mature ERP) 2 E(Return) = Riskfree Rate + Beta (Mature ERP+ CRP) 3 E(Return)=Riskfree Rate+ beta*(Mature ERP) + lambda*(CRP) lambda = % of revenues domesticallyfirm/ % of revenues domestically average firm 或 回 归 Return Embraer = 0.0195 + 0.2681 Return C Bond ,此时 CRP 直接用
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