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Richard A. Brealey
Emeritus Professor of Finance
London Business School

Stewart C. Myers
Gordon Y Billard Professor of Finance
Sloan School of Management
Massachusetts Institute of Technology

PRINCIPLES
of CORPORATE
FINANCE
seventh edition

Me
Graw
Hill

McGraw-Hill
Irwin

Boston Burr Ridge, IL Dubuque, IA Madison, W1 New York San Francisco St. Louis
Bangkok Bogota Caracas Kuala Lumpur Lisbon London Madrid Mexico City
Milan Montreal New Delhi Santiago Seoul Singapore Sydney Taipei Toronto


2008

336.01
65.26
89


,
. .

,
89

/ . . . .
.: , 2008. 1008 .: .
ISBN 978-5-9693-0089-7 (.)

: , ,
,
. 2- ( 7-
).
, .
,
, , , ,
( ,
, ). ,
( ),
,
(, , ).

: ,
, , ,
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. ,

.

.
,
, ,
.
336.01
65.26

.
.

ISBN 978-5-9693-0089-7 (.)


ISBN 0-471-18093-9 (.)

2003, 2000, 1996, 1991, 1988, 1984, 1981


by The McGraw-Hill Companies, Inc.
All rights reserved.
, . ., , 2004
.

...................................................................................................... xxv
............................................................................................................................................................. xxvi
..................................................................................................................xxvii
.

1. .....................................................................................3
1.1. ?.................................................................................................................... .........
1.2. ................................................................................................................ 5
1.3. ?...................................................................................................... 7
1.4. .......................................................................................8
1.5. ..........................................................................................................................................9
.................................................................................................................................................................. 11
...........................................................................................................................................
................................................................................................................................

2. ................................................... 13
2.1. ...............................................................................14
...........................................................................................................................
...........................................................................................................................15
.................................................................................................. 16
................................................................................................................17
..........................................................................................
................................................................................................................18
2.2. ......................................................19
: .........................
2.3. .................................................................................................................. 22
......................................................................................................................................23
2.4. ?..................................................................
2.5. ?................................................ 24
..................................................................................................................................................................25
........................................................................................................................................... 27
................................................................................................................................
........................................................................................................ 28
........................................................................................................... 29

vi

3. ....................................................................31
3.1. ...............................................................................................................
..................................................................................................................................... 32
DF ,
, ................................................................................................
PV NPV..................................................................................................................................................... 34
3.2. ........................................................................35
.......................................................................................................... 36
.............................................................................................................................................
3.3. ...............................................................................38
................................................................................................40
3.4. ........................................................................... 42
3.5. ................................................ 44
?......................................................................................45
.................................................................... 46
................................................................................................................................................................... ............................................................................................................................................ 48
.................................................................................................................................
......................................................................................................... 49
............................................................................................................ 52
-. .......................................................................................................... 53

4. ....................................................................................... 55
4.1. .................................................................................................... 56
4.2. ....................................................................... 57
..................................................................................................................................................
?........................................................................................................ 58
4.3. ....................................................................... 60
..............61
.............................................. 64
................................................65
4.4. ................................................ 66
PVGO .................................................................................... 68
....................................................................................... 69
/?.......................................................................................................70
4.5.
..................................................................... 71
: ...............................................................................
....................................................................................................................................................72
........................................................................................................................... 73
..........................................................................................................74
?..................................................................75
.................................................................................................................................................................. 76
............................................................................................................................................78
................................................................................................................................ 79

vii

......................................................................................................... 79
............................................................................................................ 82
-. -........................................................................................................................................... 83

5.
....................................................................85
5.1. ............................................................................................................................... ................................................................................................. 87
NPV, ....................................................................................................
NPV !............................................................ 88
5.2. ...................................................................................................................................................... 89
............................................................................................................................................
5.3. ............................................................................................................. 90
1: ?......................................................................................................92
2: ................................................................................................93
3: ........................................................................................................ 95
4: ,
?.................................................................................................98
............................................................................................................. 99
5.4. .................. .........................................................................................................
.......................................................... 101
....................................................................... 102
..............................................................................................................................................................103
.......................................................................................................................................... 105
.................................................................................................................................
....................................................................................................... 106
.......................................................................................................... 108
-. ........................................................................ 109

6.
..................................................................Ill
6.1. ?..................................................................................................................................112
..........................................................................................................................
.......................................................................................................
.............................................................................................114
6.2. : ....................................................................................................................................116
....................................................118
......................................................................................................................
............................................................................................................................................ 119
........................................................................................................................121
..................................................................................................................................................... 122
NPV ....................................................................................................
6.3. ....................................................................................................... 123
........

viii

.................................................................. 124
............................................................................127
.............................................................................................. 128
6.4. ........................................................................................................................
1: ................................................................. 129
2: .................................................................................................130
.............................................................................................................................................................. 131
.......................................................................................................................................... 132
.................................................................................................................................
....................................................................................................... 133
.......................................................................................................... 137
-. ......................................................................................................... 139
: - ......................................................................................................................................... 141

.
7. , : .................................. 145
7.1. 75- ...............................................................
....... :................. 148
..................................................149
7.2. , ............................................ 152
............................................................................................
.......................................................................................................................................... 154
.................................................................................................................. 156
7.3. ...................................................................................................... 159
................................................................................. 162
......................................................................................................................
7.4. ...................................... 163
........................................................................................................................
................................................................................. 164
7.5. ............................................................................ 167
............................................................................................................................................................... 168
..........................................................................................................................................169
................................................................................................................................
....................................................................................................... 171
.......................................................................................................... 173
8. ................................................................................................................................ 174
8.1. ..................................
............................................................................................................................ 175
.................................................................................................................................... 179
8.2. ............................................................................. 181
.....................................................................................................182
.........................................................................................................183
, ?................................................................184

ix

8.3. : ...................................................................................................................... 184


.................................................................................................................................................. 185
.......................................................................................................................... 189
8.4. ......................................................................................................
.........................................................................................................
...........................................................................................................190
..................................................................................................................................191
........................................................................................................................................................ 192
.........................................................................................................................................194
................................................................................................................................................................ 195
..........................................................................................................................................197
.............................................................................................................................. 198
.......................................................................................................199
..........................................................................................................202

9 . ........................................................................ 203
9.1. .................................................................. 204
...........................................................................................................205
9.2. ...............................................................................206
Union Pacific Corp................................................................208
9.3. ......................................................... 209
.......................................................................................210
............................................................................................. 212
Union Pacific.............................................................................................. 213
9.4. .....................................................
...................................................
................................................................................................................... 214
, ?............................................................................................. 215
9.5. ,
............................................................................................... 216
...............................................
?.......................................................................................................................218
.................................................................................................................................................. 220
9.6. ................................
............................................................................... 222
................................................................................................................................................ 223

..................................................................................
................................................................................................................................................................225
......................................................................................................................................... 226
................................................................................................................................
...................................................................................................... 228
......................................................................................................... 230
-. .....................................................................................................................232
: - ......................................................................................................................................... 234

.

10. .......................................................................................................237
10.1. ......................................................................................................................238
......................................................................................................................................239
..................................................................................................... 240
.................................................................................................................................................
.......................................................................................................................................
.............................................................................................243
10.2. -..............................................................................................245
...................................................................................
..................................................................................................... 249
10.3. ..........................................................................................250
..................................................................................................................................... 251
................................................................................................................... 252
.............................................................................................................................. 254
........................................................................................................................................
: ............................................................................................................. 255
....................................................................................................... 258
-.........................................................................................................
............................................................................................................................................................. 259
..........................................................................................................................................260
...............................................................................................................................261
.......................................................................................................
.......................................................................................................... 263
-. ........................................................................................................................................264
11. .....................................265
11.1. ....................................................................
................................................................................................................................. 266
: ........................................................................................................
: ........................................................................................... 268
11.2. .................................................................................. 271
100 ......................................................................... 272
11.3. : .................................................... 273
........................................................................................ 275
.......................................................................................................................... 276
..................................................................................... 277
..................................................................................................................................... 278
....................................................................................................................................... 279
............................................................................................................................................................ 281
............................................................................................................................................
..............................................................................................................................282
.......................................................................................................283
......................................................................................................... 284
-. -.......................................................................................................................................... 286

xi

12. ,
....................................................................................................... 287
12.1. ....................................................................................................................288
..........................................................................................................................................
..........................................................................289
.............................................................................................................................................................290
12.2. , , ..........................
.......................................................................................................................... 291
....................................................................................................................................
.....................................................................
......................................................................................................................................... 292
12.3. ........................................................................................................... 293
: ........................................................
.........................................................................................................................................................294
..................................................................................................................................... 295
12.4. :
................................. 297
E VA........................................................................................................................300
EVA .......................................................................................................... 302
12.5. ....................................................................................303
............................................................................................................
: ..............................................................304
12.6. ............................................................................................ 306
?......................308
?....................................................................
?...........................................................310
..............................................................................................................................................................311
.......................................................................................................................................... 312
...............................................................................................................................313
.........................................................................................................
.......................................................................................................... 315
: - .......................................................................................................................................... 318

.

13. ..........................321
13.1. ............................... 322
............................323
13.2. ?.......................................................................................................324
: ...............................................................
................................................................................................................. 327
: ............................................................................................................
13.3. : ?................... 331
?......................................................................... 332
........................................................................... 334

xii

, dot.com..................335
1987 . ............................................................................. 336
.............................................................................................338
13.4. ..............................................................................................339
1: ............................................................................................................................
2: .......................................................................................................................
3: ..................................................................................................................................... 340
4: .......................................................................................................342
5: ..........................................................................................................................................343
6: ...................................................................................... 344
............................................................................................................................................................. 345
..........................................................................................................................................346
.................................................................................................................................
.......................................................................................................347
..........................................................................................................349
14. ..................................................................350
14.1. ............................................................................... 351
?..................................
?................................................................................................................... 352
14.2. ............................................................................................................................ 355
........................................................................................................................ 356
....................................................................................... 358
...........................................................................................................................................360
...............................................................................................................................361
14.3. ............................................................................................................................... 362
.................................................................................................................................................
...........................................................................................................364
14.4. ....................................................................................................365
.......................................................................................................................................
..............................................................................................................................................................367
..........................................................................................................................................369
.................................................................................................................................
....................................................................................................... 370
.......................................................................................................... 371
15. .................................................. 372
15.1. ..................................................................................................................................373
.............................................................................................................................375
15.2. .............................................................377
............................................................................................................ 378
......................................................................................................................................... 379
.........................................................................................................................................................380
................................................................................................................................. 381
........................................................................................................................ 382
.......................................................................................................................................383
15.3. ........................................................................................................ 384
................................................................................................................................................. 385

xiii

15.4. ....................................................... 386


................................................................................................................
.........................................................................................................387
......................................................................................... 388
..................................................................................................................389
15.5. ............................................................................. 391
.............................................................................................................................................................. 392
. , ............................ 393
. ..................................................... 394
...........................................................................................................................................398
.................................................................................................................................
....................................................................................................... 399
.......................................................................................................... 400
: - .................................................................................................................................... 402

16. ............................................................................................... 405


16.1. ...................................................................................................... 406
.........................................................................................................................
......................................................................................................... 407
..........................................................................................................................................................
16.2. ......................................... 409
..................................................................................................................................................
16.3. .................................................................... 410
.............................................................................................................................411
16.4. .........................................................................................413
.......................................414
: ...........................................................................................415
.............................................................................................................................................416
....................................................................................................................................................... 417
.....................................................................................................................
16.5. ........................................................................................................................................418
.....................................................................................................................................419
, .............................................................
16.6. ..................................................................................................................... 420
?................................................................................................................. 421
: ..........................................................................................
............................................................................. 423
16.7. ...................................................................................................................................................... 424
.............................................................................................................. 425
..............................................................................................................................................................426
.......................................................................................................................................... 428
.............................................................................................................................. 429
.......................................................................................................430
.......................................................................................................... 433

xiv

17. ?.......................................................... 434


17.1.
.......................................................................................435
.................................................................................................................... 436
............................................................................................................................437
: ............................................................................. 438
17.2. ........................................................................ 440
........................................................................................................................
................................................................................................................................................. 441
.................................................................................................................. 442
17.3. ............................................................................................................................443
.........................................................................................................................................444
: ............................................................445
..................................................................................................... 448
, ..........................
...................................................................................................................................
............................................................................................................................................................. 450
............................................................................................................................................
...............................................................................................................................451
.......................................................................................................453
..........................................................................................................454

18. ?..................................................................... 455


18.1. .......................................................................................................................... 456
............................................................457
Pfizer............................................................................................................
...................................................................................................................................................... 458
18.2. ................................... ................................................................ 459
18.3. ................................................................................................463
......................................................................................................................................464
: .......................................................................................... 467
..................................................................................................
........................................................................................................469
: ............................................................................................................................ 470
: ............................................................................ 471
, , ..................................................................................................................................
........................................................................................................................... 472
.........................................474
.......................................................................................................475
18.4. .............................................................................. 477
..........................................................
..............................................................................................................480
...........................................................................................................................................481
..................................................
............................................................................................................................................................. 482
..........................................................................................................................................484
.................................................................................................................................
.......................................................................................................486
..........................................................................................................487

xv

19. ........................................................................... 488


19.1. ................................................489
: ............................................................................................................. 490
........................................................................................................................................... 492
19.2. WACC: .................................................................. 493
.......................................................................................................................495
:
.........................................................................................................................................................496
WACC............................................................................ 497
19.3.
.................................................................................................................................. 498
...........................................................500
.............................................................................................................................. 501
19.4. ........................................................................... 502
......................................................................................................................................................
......................................................................................................................................
.................................................................................................................
....................................................................................................504
....................................................................... 505
APV .........................................................................................................................
APV .................................................................................................................... 506
2 ..........................................................................................507
?.................................................................................................... 509
APV ................................................................................................................
....................................................................... 510
19.5. ................................
....................................................................................................................................................511
..................................................................................................................................512
.................................................................................................................................513
19.6. - ...................................................................................................................... 514
..............................................................................................................................................................516
.......................................................................................................................................... 518
...............................................................................................................................519
.......................................................................................................520
.......................................................................................................... 523
: - ...........................................................................................................................................524

.
20. .............................................................................................. 527
20.1. , ..........................................................................................................................528
................................................................................................529
................................................................................................................................................... 530
, .............................................................................................................. 531
................................................................................ 532

xvi

20.2.

.............................................................................................533
.............................536
...........................................................................................................................................538

20.3.

?...........................................................................................540
............................................................................................................................. 543
............................................................................................................................................................. 545
..........................................................................................................................................546
.................................................................................................................................
.......................................................................................................547
..........................................................................................................549

21. ..........................................................................................................551

21.1. ...................................................................... 552


.....................................
..........................................................
................................................................................................................... 554
21.2.

........................................................556
: .......................................................................
...........................................................................................................559
.......................................................................................................560
21.3. -........................................................................................................................ 561
.........................................................................................................562
......................................................................................564
........................................................
21.4. : .............................................................................................565
............................................................................................................................................................. 568
............................................................................................................................................
................................................................................................................................
...................................................................................................... 569
..........................................................................................................571
-. ..........................................................................................................572

22. ................................................................................................................................573

22.1. ....................................................................574
I I .........................................................................................................575
.....................................................................................................................578
22.2. ...................................................................................................................
.................................................................................................. 579
......................................................................................580
22.3. .................................................................................................. 581
........................................................................................................
................................................................................585
....................................................................................................................................
22.4. , ..................586
.................................................................................................. 588
22.5. ?............................................................................................................... 590
............................................................................................................................................................. 591

xvii

.......................................................................................................................................... 592
.................................................................................................................................
....................................................................................................... 593
.......................................................................................................... 594

23. ......................................................................... 596

23.1. ?.......................................................................................................................................
...........................................................................................................................597
: ................................................................
: ..................................................................................................... 598
..................................................................................599
23.2. ?.........................................................................................601
.......................................................................................................................
................................................................................................................ 602
............................................................................................
........................................................................................................ 604
..............................................................................................................................605
23.3. ................................ 607
23.4. ?..................608
............................................................................................................................................................. 610
.......................................................................................................................................... 611
.................................................................................................................................
.......................................................................................................612
.......................................................................................................... 613
-. .................................................................................... 615
: - ........................................................................................................................................616

24. ...................................................................................................... 619

24.1. .......................................................................620
........................................................................
........................................................................................... 622
?.......................... 623
24.2. .................................................................
................................................................................................................................. 624
................................................................................................................626
24.3. ............................... 627
............................................................................................
....................................................................................629
...................................................................................................................................................
24.4. ................................................................................................ 630
...............................................................................................................................................631
............................................................................................................... 632
...............................................................................................................................................
................................................................................633

xviii

24.5. ...................................................................... 635


............................................................................................................................................ 636
..................................................................................................................................... 637
.................................................................................................................638
.......................................................................................... 641
.................................................................................642
..............................................................................................................................................................644
.......................................................................................................................................... 645
.................................................................................................................................
....................................................................................................... 647
.......................................................................................................... 648

25. ........................................................................................650
25.1. ..........................................................................651
25.2. .......................................................................................................................
, , .........................................................................................................
.......................................................................................................................653
25.3. .................................................................................................654
25.4. .................................................................................................. 656
25.5. ....................................................................................................................................
................................................................................................................................................
........................................................................................................................................ 657
25.6. ................................................................................................................ 659
..................................................................................................... 661
25.7. ............................................................ .............................................................................................................................663
: ................................................................................665
.....................................................................................................................
25.8. ........................................................................................................
..............................................................................................................................................................667
. .............................................................................................................. 669
11? (6770) (6772)
(672)
.......................................................................................................................................... 673
...............................................................................................................................674
....................................................................................................... 675
.......................................................................................................... 676

26. .......................................................................................................................................................... 677


26.1. ?......................................................................................................................................678
26.2. ?...............................................................................................................................679
......................................... ..............................................................................
................................................................................... 680
26.3. ........................................................................................................................... 682
........................................................................................................................
?.................................................................................................................................684

xix

26.4. ............................................................................................................685
..........................................................................................................................686
?..............................................................................
.............................................................................................................................. 687
...................................................................................688
............................................................................................................................................ 690
26.5. ?............................................................................................. 691
..............................................................................................................................................................692
.......................................................................................................................................... 693
...............................................................................................................................694
....................................................................................................... 695
.......................................................................................................... 696
-. .......................................................................................................................698
: - ....................................................................................................................................... 700

.
27. ............................................................................................703
27.1. .................................................................................................................................................. 704
.................................................................................................. 705
27.2. ...................................................................................... 706
............................................................................................................... 707
........................................................................................................................ 709
: .............................................................................
: ............................................................................... 710
27.3. .......................................................................................................................... 712
................................................................................................................
27.4. .................................................................................................................................................................713
..............................................................................................................................................
................................................................................................................................................ 715
...................................................................................................................................716
27.5. ..................................................................................................................................717
: ............................................................................................................ 718
, ..................................................................................................................................720
27.6. - ?......................................................................................................... 721
..............................................................................................................................................................723
..........................................................................................................................................725
.................................................................................................................................
.......................................................................................................726
..........................................................................................................729

28. .................................................................................................... 731


28.1. ...................................................................................................28.2. ..................................................................................................733
......................................................................................................... 734
........................................................................................... 735

XX

.....................................................................................................736
.................................................................................................................... 737
?..............................................................................................................
28.3. ...................................................................................................... 741
..........................................................................................................743
..........................................................................................................................................
28.4. .................................... 744
................................................................................................................ 746
28.5. .............................................................................................................................. 747
............................................................................................................................................................. 749
..........................................................................................................................................750
.............................................................................................................................,751
.......................................................................................................752
..........................................................................................................754
-. Exacta, s. ................................................................................................................................................ 755
: - ...................................................................................................................................... 756

.

2 9 . ................................................................. 759
29.1. ...................................................................................................................................
29.2. : ........................................................................................................761
.................................................................................................................................................
............................................................................................................................ 762
............................................................................................ 763
29.3. ............................................................................................. 764
?....................................................................................................................................... 766
?................................................................................................................................. 767
?.................................................................................. 768
?............................................................................................................................... 770
?.......................................................................................................771
................................................................................................................................................. 772
29.4. .................................................................................................................773
29.5. ............................................................................................ 774
.....................................................................................................................776
............................................................... 777
29.6. .................................................................................................. 779
.............................................................................................................................................................780
......................................................................................................................................... 781
................................................................................................................................
...................................................................................................... 784
......................................................................................................... 787

xxi

30. .............................................................................. 789


30.1. ........................................................................................... 790
................................................................................................................................................
.......................................................................................................................................791
30.2. ....
.......................................................................................................................... 792
30.3. ..................... 793
............................................................................794
............................................................................................................................. 795
30.4. ....................................................................................................................797
: ...........................................................................................
: ............................................................................................ 798
30.5. ................................................................................................. 800
....................................................................................................
-..........................................................................................................801
.......................................................................................................................................................802
.......................................................... 803
30.6. ............................................................................804
.................................................................................................................................................
....................................................................................................................................... 807
..................................................................................................................................... 809
................................................................................................................................................................
...........................................................................................................................................811
.................................................................................................................................
....................................................................................................... 812
.......................................................................................................... 814

31. ..............................................................................................815
31.1. .....................................................................................................
.................................................................................................................................................... 816
..........................................................................................................................818
........................................................................................................................................
..................................................................................................................................... 819
.................................................................................................................. 820
................................................................822
...................................................................................................................................823
31.2. ?..........................................................................................
............................................................................................................................. 824
..........................................................................................825
......................................................................................
31.3. ..................................................................................................826
.................................................................................................................................................
...........................................................................................................827
...............................................................................
................................................................................................................. 828
31.4. .........................................................................................................829
...............................................................................................................................

xxii

........................................................................................................................... 829
...................................................................................... 831
........................................................................
...................................................................................................................................... 832
............................................................................................................................................
.................................................................................................
31.5. ........................................................................ 833
............................................................................................................................................................. 834
......................................................................................................................................... 836
.............................................................................................................................. 837
.......................................................................................................838
..........................................................................................................840

32. ...................................................................................................... 841


32.1. ...................................................................................................................................... 842
32.2. ........................................................................................ 843
32.3. ..................................................................................................................................... 844
32.4. ............................................................................................. 847
............................................................................................................848
......................................................................................... 849
.......................................................................................................................... 850
32.5. .......... ................................................................................................................. 851
............................................................................................................... 852
............................................................................................................................................................. 853
......................................................................................................................................... 854
................................................................................................................................
...................................................................................................... 855
......................................................................................................... 856
: - ....................................................................................................................................... 858

. ,
33. ............................................................................................................................ 861
33.1. ......................................................................................................................862
.................................................................................................. 863
............................................................................................... 864
.........................................................................................................................865
.....................................................................................................................................................
...........................................................................................................................
33.2. .......................................................................... 866
............................................................................................................................................... 867
: .................................................................................
............................................................................................................869
33.3. ................................................................................................ 870
...............................................................................872
: , ?......................................

xxiii

, ..........................................................................874
........................................................................................................................ 875
33.4. ......................................................................................................................................
.............................................................................................................876
/........................................................................................................................... 877
..................................................................................................
[ 1(.' ....................................................................................................................... 878
33.5. ................................................................................. 879
Cities Service, Gulf Oil Phillips Petroleum.................................. 880
...................................................................................................................................... 882
AlliedSignal A M P ................................................................................................................................... 884
?............................................................................................................................ 885
33.6. .......................................................................................................... 886
.....................................................................................................................................................
?............................................................................................................ 887
.............................................................................................................................................................. 888
. .......................... 890
.......................................................................................................................................... 892
.................................................................................................................................
....................................................................................................... 893
.......................................................................................................... 894
3 4 . , ................................895
34.1. , .....................................................896
RJR Nabisco...........................................................................................................................................................
?................................................................................................................................................ 898
........................................................................ 900
......................................................901
34.2.
....................................................................................................................
....................................................................................................................................................... 903
......................................................................................................................................................... 904
................................................................................................................................................ 905
........................................................................................................................................................
34.3. ..............................................................................................................................................906
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.......................................................................................................................................909
......................................................
................................................................................................................................ 910
....................................................................................................................... 912
: ...................................................................................................................... 913
34.4. , ................................................................914
.......................................................................................................915
... ...................................................................................................................................................... 917
............................................................................................................918
............................................................................................................................................................. 919
..........................................................................................................................................921
.............................................................................................................................. 922

xxiv

....................................................................................................... 922
...........................................................................................................923
: - ........................................................................................................................................924

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35. : ...................................................... 927
35.1. : ................................................. 1. ....................................................................................................................
2. ...................................................................................................... 928
3. .....................................................................................................................
4. .......................................................
5. ......................................................................................................................... 929
6. ............................................................................................................................................
7. .......................................................................................................................
35.2. : ...................................... 930
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2. : ? .......................................................................................................931
3. ?....................................................932
4. ?.....................................................................
5. ?................................................................ 933
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7. ?............................................................................................934
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9. ?.................................................................................................................935
10. ?..............................936
35.3. ...............................................................................................................................

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. ................................................................... 945
..................................................................................................................................................967


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25

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_______________
:
I. Fisher. The Theory of Interest. New York: Augustus M. Kelley,
Publishers, 1965 ( 1930 .).
/. Hirshleifer. On the Theory of Optimal Investment Decision I I
Journal of Political Economy. 66: 329352. 1958. August.
.:
F. Fama and . . Miller. The Theory of Finance. New York:
Holt, Rinehart and Winston, 1972.

,

,
:
. . Jensen and W. . Meckling. Theory of the Firm: Managerial
Behavior, Agency Costs, and Ownership Structure / / Journal
of Financial Economics. 3: 305360. 1976. October.
E. F. Fama. Agency Problems and the Theory of the Firm / /
Journal of Political Economy. 88: 288307. 1980. April.

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) ,

. ,
. ? :

?
5. 2.1

, 50 . . ,

NPV, 7143 .
12%.
, ..,
,
60 . . 30 . .
30 . . .
1
7%.
) , ..
30 . .

? .
) , , ..
. ,
,
.., 10%.
,

...
..?
6 . ,
.
7.
2
. ?
.
)
5%.
) ,

.

900 . . 10%,
7%.
) ,
12%.
) .
,
, .

1 . , ,
1,1 .
()
NPV?
?
8. , 7
.
9.
() 7. ,
600 . .
8%. (
.) ,
, 1 .
[ ()]
[
()]. , ?
.
10. .
)
,
, .
)
.
.
. .
) :
.
.
,
.
11. - ,

. -
, .

ftaua 2.


, 12 .

: 380.
. , -

. ,

- .
12. , ,
, 2.1.
200 . .
0 () 1 ( ).

.
8%. .
)
?

29

) ,
200 . .
10%. -
8%.

?
) NPV ()?
13. ,
,
.
?
,
?
14. (

)
?



2,6 .
) ?
)
?
)
?
)
?
) ?
) ?
) ?
)
?
)
?
)
?

1. ,

, . , -,

,
. -,
,
,
. ?
2. 2.2
,

( ). 2.2
2
1 ( )

3.

( )

, ,
2.1,
.
) 10 .
.
) , , 10%.
) NPV
6 . .
, 4 .,
.
) NPV 2 .

?
.
)
?

30

) ?
)

?
) ,
6 . . ?
) ?
.
4. 8 .,

. ,

:

8 .

12 .

12 .

4
5

16 .

Z
,
.
) NPV .
? .
5.

: , , . ,

6
5,5

8
6

,
, , X, Y
Z ( . ):

16 .

)
? ,
.
)
?
) Z 10 .

:
8

,
.

.
5 .,
, ,
( .):

X
Y
Z

95,65
40
10

_____ 1________

80
40
8

110
44
12

140
48
16

)
!
)
X, Y Z?
)
'! :

X, Y Z ,
;

.
) NPV ?
) ,
5 .

?

2 ,
,
. ,
,
.
.
,
.
, ,
,
(1)
( )
(2) (
). ,
,
.


,
,
. ,

.
,
,

.

NPV

. 4
,
.

3.1.
, (P V ) ,
?
PV= DF\ Ci =
1

1 +

DFy , 1,
.
,
100 . ( 100),
7% (\ = 0,07). :
,
$100
p v = TV7x = W
= 9346
:
PV= DF2 X 2 =
31

2
(1 +r2f

32

2 , DF2
2 ,
. , , 2
100 . (2 = 100).
7,7% (2 = 0,077); , ,
, 2 (1,077)2 = 1,16 .
:
PV=

(1 + 2

$100
(1,077)

,
,
, ( + )
.
,
.
, \
1, , 2 2.
,
, . :
PV=

1+

(1 + 2)2

,
, (
):
PV=

1+

(1 + /-2)"

(1 +

. :
PV=
(l + 'i)
X .
(N P V ),
( ) , 2:
NPV= 0 + PV= 0 + X

,
/
(1 + )

, , ,
DF
. ,

DF2 , DF{.

,

,?
,
| 20%, 2 7%. :

,
DF\ = 20 = 0,83;

DF2 = 1 = 0,87.
2 (1,07)

33

/ 3.

, , , ,
?
- . ,
,
. , . ,
. -
1000 . 20%. , -
,
. :
1200 ., . ,
, ,
1200 . .
,
1200 . 7% :
$1200

P V = -------j = 1048 .
(1,07)
, - 1000 ., 1048 .
48 . , , :
, 1048 . ,
( ), -
- 147 1.
, , . ,
, .
, 20%
7%, ,
, , .
. ,
, . ,
, (DF\), ,
, (DF2).
, - 2:
(1 + 2)2 1 + |.
, , :
, , 3.

, .
, .
,
. ,
: X Y
-
.
,
.

.
24. , , , 1 1000 . X (1,04813)147 = 1 002 000 .
2 , ,

. , .
3 .

34


,
. rh 2,... , . .
:
PV =

PV NPV

,
1+

2
+ ...
(1 + )1


( . 2). ,
, :
1. 100 . . . (,
50 . .)
2. 100 . . .
3. 100 . .
, .
- ,
400 . ., .
( .):

t =

f= 1

-5 0
-10 0 000
0 = -15 0 000

, = -1 0 0 000

t= 2
-100 000-10 0 000
+400 000
2 = +300 000

7%, :
Q
2

$100000
$300000
+ ^ - - - - - + 1 3.1 . ,
.
, ,
,
,
, .

, 1 , .
,
.
; , ,

3.1

( .)

( .)

1,0

-15 0 000

-15 0 000

1
------ = 0,935
1,07

-100 000

-9 3 500

1
---------- = 0,873
(1,07)

+300 000

+261 900
NPV = 18 400

35

Bnaa 3.

, , .
. 3.1,
18 400 ., 23 800 .,
2.
4.

3.2.
,
. .
, ,
. ,
, .
,
:
_


_ _
~ PV
, ,

. , ,

1. 10%
100 . . ,
5:

$100000
010

^ 000 000 .

4 , .

,
, 12%. 12%
.
5 :
,
PV= +

1+

(1 +)2

(1 + )3

/( 1 + ) = 1/(1 +) , :
PV=a(\ + + 2 + ...).

(1)

, :
PVx= a(x + x2 + ...).

(2)

(2) (1) : PV(\ ) = .



PVI1

1+ ] 1 +

, (1 + ) :

PV= .

36

, ,
, , , 4% . , 100 . .
100.. 1, 1,04 100 000. 2 . .
g,
:
PV= - - +
1+

(1+

+
)2

(1 +

+ ... =
/*)

q(i +)

1+

(1 +

, C di + g)2 .
(1 +

--------- ------ ~ --------:-- + ,

,
6. , g,
:
PV

V.

'

r~g

,
,
, :
PV=

I
r-g

$100000
= 1 666 667 .
0,10-0,04

, .
,
, .
3.1 .
,
1. :

PV= .

,
t + 1. t
/r, , , :
r( 1 +
t + 1 .
,
1 t. ,
, t .
, ,
.
1
{1 + )

PV
1 =

6 PV= a( I + + 2+ ...),

a = Ci/( 1 + ), = (1 + g)/(l + ). 5 , /( 1 ).
, :

,
r~ g

PV= .

37

* 3.
3.1
^,
1
f,


2 ... t t + 1 ...

PV


(
1)

(
t+ 1)


1 f

,
, 1
t , 7.
,
, 100 . .
20 . :
= $ 1 0 0 00 0

0,10

0,10(1,10) 20

= $100 000 8,514 = 851 400 .


(. ). ,
t . t 20,
= 0,10,
10%. 8,514. 8,514 100 . . 851 400 .
, ,
.
, .
, (1 + ) . ,
20-
, 851 400 . 1,10= 936 540 .
.
,
, . , 7 .

:
PV= (\ + + 2 + ... + * ' ' 1),

(1)

= /( 1 + ) = 1/(1 + ). :
PVx = ( + 2 + ... + 1).

(2)

(2) (1), : PV(\ ) =(1 *).


:
f{ 1l +1~ r j

1
1+ r

1
(1 +

(1 + ) :
PV=

1
1
(1 + )1

38

,
t.
, (1 + )1, (FK)8.
, , 100 . .,
, .
:
(FV) = P V (1)20 = $851 400 6,727 = 5,73 .
, (1,)20 6,727? : 2
1 , .

3.3.
.
(, ,
), ,
. ,
,
.
3.2 100 .
. ,
100 . ,
10 . .
10%
100 . 1,10 = 110. 10%
110., 100 . (1,10)2 =
= 121 .
3.2 ,
, ,
20 . ,
,
10% 226 .
- ?
3.2
100 . 10%
. ,
, . .
,
10% . 3.3
.
.

, ,
, , .
.
100 .,
8 , , 6 .

, 10 (1 + )4.
, PV= /(1 + )6 ,
10, :

FV= PV( 1 + ) 10 = ------- - (1 + ) 10 = (1 + )4.


(1 + )6

3.

39

3 .2
100 . 10%
_____________

1
2
3
4

100
110
120
130

+
+

10
10
10
10

=
=

=
=

110
120
130
140

10
20
50
100
200
226

190
290
590
1090
2090
2350

+
+
+

=
=
=
=
=

200
300
600
1100
2100
2360

+
+

+
+

10
10
10
10
10
10

3 .2

.

100 .,
. ,
,

. ,
100 . 10
38,5 5 .
, ,
100.,
10 , 38,55 .

_____

100
110
121
133,1
236
612
10 672
1 252 783
17 264 116 042
205 756 782755

=
=
=
=

10
11
12,1
13,3

+
+
+
+
+
+
+
+
+

24
61
1 067
125 278
1 726 411 604
20 575 678 275

=
=
=
=
=

110
121
133,1
146,4
259
673
11 739
1 378 061
18 990 527 646
226 332 461 030

300

200

100

38,55

0
1

3 .3
, 3.2,
:
.


.
, ,
,

10

11

( )
400

50
38,55

10

11

40

10 ,
10%? ,
100 . 10 10%?. :
$100
) = 3 8 55
:
(1,)10 = 100 .;
=

100

10 = 38,55 .

3.2 3.3
38,55 . 100 .
,
.

, .
. ,
.
, , .

, 100 . ,
10% , 105 . ,
(1,05)2 100 . = 110,25 . , 10%
10,25% .
.
, 6%
. ?

, 6/12 = 0,5%.
, 6% . ,
10 .
10 . 1,005 = 10,05 .,
10 . (1,005)2 = 10,10025 ., 12 10 .
(1,005)12= 10,61678 .9 ,
6%, 6,1678%,
10.
: 1 ,
, (1+ /) .,
(. . )
(1 + / ) 1.

.
,
19601970- .
.
9 , .
, , ,
(10 .).
10 ,
, .

3.

41

,
. , ,
.
(1 + /2)2 1, (1 + /12)12 1.

,
. ,
11. ,
. , -
, ,
(1 + /) (2,718). 2,718, ,
, .
, 1 ,
, = (2,718)'' ., t
= (2,718)rt . 4 ^ .
.
1. , 1 . (t= 1) 11%
( = 0,11).
0-11, , 4, 1,116 . ,
11%
11,6% .
2. , 1 . 11%
( = 0,11), (t= 2).

>22. 4 , 022
1,246 .

, ,
, .
,
. ,
. . , ,
, :

,
, .
. ,
18,5%. 100 . ,
, 100 ./0,185 = 540,54 .
, 100. 17%,
17%
18,5% (17= 1,185). ,
100 ./0,17 = 588,24 .
11 , ,

, , .
. , 100 . . 100 .
83/ 4 , 1 . 5 ,/ 4 1> 1 3 ' ,
. ,
, , , , -,
, -,
.

42


. , ,
, ,
100 . . ,
20 . 10%
; = 9,53%
(0,0953 = 1 10 ). ,
12:
PV= | - pf = $100 000 X
0,0953
J
1

- .

0,0953

6,727

= $100 000 8,932 = 893 200 .


, 5
. ,
10%, 1 . ,
20 , 8,932 .
, ,
100 . .,
20 , 851 400 . ,
41 800 ., 5%.

. 5%
. ,
.
,
.

3.4.
1000 .,
10%, 1100 .
, .
.
10%, ,
.
,
. ( ),
12 , ,

, , 1.
/,
. , :

= ----- , t.

, /,
t, / 1/".
:

7 (1 -0 -

43

3.
3 .4

19262000 .
: Ibbotson Associates, Inc.
Stocks, Bonds, Bills, and Inflation, 2001
Yearbook. Chicago, 2001.

, (. .
).
. 3.4 1926 .
:
.
18%.
1993 .: 60% .
, ,
, , . , ,
1100 . ,
6%?
6% , . , 1100 .
, 1100/1,06= 1037,74 .
. 1100 .,
1037,74 .
, t
, :

= -------------------- ;------- -----------.
(1 +

, 1000 . 20 10% ,
1000 . (1,1)20 = 6727,50 .,
6% 6727,50 ./(1,)20 =
= 2097,67 . , 6 ,
, .
10%,
. , :


1000

1100

10%

44

6% 3,774%
:


1000

1037,74

3,774%

->

, : 10%
: 3,774% .
,
, .
,
.
6%- 10%
3,774%. ( )
:
1 ^ ^. (1 ^ .) * (1 )
= 1 + ^. + + /-. .
:
1,10= 1,03774 1,06.
3.5.
,
. -
. ,
:
,
. .
, ,
.
,
, , .
, , 2001 . 7%-
2006 . 7%
1000 ., , 2006 .
0,07 1000 . = 70 .
2006 . 70 . 1000 .
. ,
:
( .)

2002 .

2003 .

2 0 04 .

70

70

70

2005 .
70

2006 .
1070

? ,
. 2001 .
4,8% . ,
, 7%. ,
7%, 4,8%:
$70

$70
+ * +

$70

$70
$1070
+ ftS sF +
109578-

3.

45

. , ,
7% 1095,78 ., 109,578%.
,
. :
, 70 . ;
1000 .
. ,
,
:
^^

^ ^

= 5 +
+ =

= $70

1
0,048

1
0,048(1,048)

$1000
----- = $304,75+ $791,03= 1095,78 .
(1,048)

,
, ( )
( ).
,
-: 1095,78 .,
?. :
$1095,78,

1 + ' (1 + )2 ' (1 + )3

+
(1 + )4

(1 + )5

. 4,8%.
4,8%,
1095,78 .
,

.
, , , ,

7%, ,
3.1, , \, ,
, 2,
. ,
, = . ,
,
. ,
,
.
.
24.

. 1945 . 2%, 1981 . 15%. .


2001 ., ,
0,2%, 60%13.
13 2001 . 20 000%!

46

?
2%,
7% :
$70
~

+ + - + + ^

$70 $70
$70
- 1235,67 .

$1070

10%, :
=

$70
10

$70
(1,10)^

(10)

$1070$70 $70
+ - j = 886,28 .
(1,)4
(1,10)

,
, .
.
,
. , ,
.

7%,
. -,
.
,
70 . , 35 . . -,
, ,
. ,
4,8%, 4,8%/2 = 2,4%.

7%, : 10
35 . 1000 . :
PV=

$35
1,024

$35
(1,024)

+ ... +

$35
(1,024)

$1035
= 1096,77 .
(1,024)10


. ,
, . , , ,
, .
,
,
:
PV=

,
1+

2
(1 + 2)2

+ ...

,

(. . ), .
. , .
. :

3.

47

, g
. :
PV=

Cl

r-g

. t .
,
:
PV=

1
(1 + )'

,
. ,
,
], 2 . . -
, , .
(1 + )*.;
, (2,718)rt . (,
, ^.).
,
, ,
. ,
;
.

(. . , )
, .
:
,
, .


.
,
. ,
( , ): ,
+ ,
, , ,
- . ,
, : , ,
.

48


, ,
, -

. ., .: R Cissell, . Cissell, and


D. . Flaspohler. The Mathematics of Finance. 8th ed. Boston:
Houghton Mifflin Company, 1990.

___________
1. 12%
0,507.
0,507 .,
12%?
2. 139 . 125 .,
?
3.
0,285, 596 .,
8?
4.
9%,
374 ., 9?
5. :

1
2
3

432
137
797

15%,
?
6. 100 . 15%,
8?
7. 1548 . 138 .
.
9%,
?
8.
4 .
.
4% .
14%,
?
9. : 1,5 .
,
, 10 .
.
?
8%.
10. ,
.
10%.
) ,
1 . ?
) , 10% ,
.
,
1 .
8 ?

)
,
1
. ?
) ,
5%.
10 . .,
?
11. ,
.
) 10 . .
5%,
,
?
) 12 . .

. 8%,
,
?
) 60 476 . 8% .
6
,
?
12.
25%.
21%.
?
13.
12 %.

) 1000 .

?
) 5 .,
8 ?
)
, 2000 .
,
15 ?
14. 10 .
6%.
,
: () ; () ;
() ?
15. ,
4,0%.
7%
2006 . (. . 3.5).
16.
?

3.

49


1.
1 ,
100 .,
:
) 10 ( 1%);
) 10 ( 13%);
) 15 ( 25%);

2.

3.

4.

5.

) 1 3
( 12%).

,
100 .,
:
) 120 ( 23%);
) 15 ( 3%);
) 312 ( 9%).
)
0,88,
?
)
10,5%,
?
)
,
.
) 10 .
24,49 .,
?
) () (),

.
800 . . ,
170 . .
10 .

14%,
?
?
30 ,
20 . .

5%
60 .
) 8%,

?
)
5%
8%,
60 ?
)

20 ,
?

6. 400 . . ,
1 100 . .
, 2 200 . .,
3 300 . .
12%.
,
3.1, , ,
.
7.
8 .
5 . ,
4 . 10
,
2 . 15
1,5 .
8%,
?
8.
, :
) 100 . . ;
) 180 . . ;
) 11 400 . ;
) 19 . . 10 ;
) 6500 .
5%
.
12%,
?
9. - ,

3.1.
)
25%, -
, ? (:
,
.)
) -

DF\

DF-?.
10. 65 ,

12. 20 . .
,
.
8%,
- ?
11. ,

. 20 .
. 10%
,
?
12. -


10 . . ,

50

1000 . 300 .
30 . -
,
1000 .
10%,
?
13.
, 3.1,
5, 10 15%. ,


.
()
? .
14. ) 10-
1000 ., 15%
?
) 1000 .,
15% ,
?
)
15%?
15. ,
2 . .
,
.
,
, , ,
4% .
4%.
)
,
?
)
,
20 ?
( (): (),

, 21. ,
, 21,
, 1.)
16. 7%,
?
) , 100 .
.
) ,
.
)

.
17. 3.2.
8, 10%,
,
?
) 100 . .
.
) 100 . .


4% .
) 100 . .
20 .
) 100 . .,
,
20 .
18. 1000 .
Tiburon Finance 1600 .
8.
?
?
19. 20 ,
100 .
15%?
,
, ?
20. ,

: 100 .
10 , 100 .
. ,
?
21.

?
) ,
12%.
) ,
11,7%.
) ,
11,5%.
,
1 , 5 20 .
22. :


( %)

( %)
( %)
6

10

12

23.

.

.

,
?

( %)

(% )

21

10

70

50

24. 1880 . --

100
(, , ,

3.


)
. 1993 .
,

. -
, ,
,
100 . - :

.
,
5%? 10%?
25.

100 . .
100 . . .
,
8%?
.
15 .,
3 .
.
14 .,

4
.,
2 . . ?
10%.
27. 1994 . The Wall Street Journal

,
, ,
:
.
9420 713 .,
19 . (-
20
,
.)

,

.
8%, ?
Enhance Reinsurance Company
4,2 .
(. ), ,
()
.
28. ,

35 ( , ,
,
) 2 .
8%
15 ,

?
,
. 4%,
,

51


.
29.
,
400 . . .

10%. ,
4% .

?
)
.
) 20 . ,


5 . ( 5 .
20 .)
,
10%.
() (),
. (
.)
30. , -,
,

. - 40 ,
40 . . .
, ,
2% (, 4%
6%). 70 , , - ,
,
500 . . .
,
? , -

:
5% .
.
31. 2001 .
2006 .
4,8%.
10 . . 6%
2006 . ,

.

2,4%?
32. .
,
3,5% ?
33.
1000 . 10%. ( ,

100 . , 1000 .
2.) 960 .,
?
:
.

52


1. .
72- ,
,
,
: 72/ ( %).
69-,
,
, : 69,3/
( %).
)
12%. 72-,
,
.
.
) 69-?
2.

3.
100 . .
18 ,
4%.

2% . 8%.
,
14 . ?
4. ( )
.
5.
7%
(. . 3.5) ,
, 2%.
,

,

.
6.

,
,
.


.

.
. ,
The W all S tre e t Jo u rn a l
Financial Times. /
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: The Brattle Group, Inc.

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- D IV '

r~ g

P q DIVj g:
DIV,
r = jT ^ + g)
, :
. ,
, ,
,
.
,
,

. ,
.
,
:
EPS,
0
= ---- 1 + PVGO.
EPS^/r
, . PVGO
, .
, PVGO EPS.
.

78

PVGO .
.
, ,
, .
, .
, .
.
,
.

, .
, ,
. , ,
,
.
, ,
. -
,
. 5
.




, .
:
Z. Bodie, . , and A. J. Marcus. Investments. 5th ed.
Irwin/McGraw-Hill, 2002.
W. F. Sharpe, G. J. Alexander, and J. V Bailey. Investments. 6th ed.
Englewood Cliffs, N.J.: Prentice-Hall, Inc., 1999.
. .
. V:
J. . Williams. The Theory of Investment Value. Cambridge,
Mass.: Harvard University Press, 1938.

.
,
16:
D. Durand. Growth Stocks and the Petersburg Paradox / / Journal
of Finance. 12: 348363. 1957. September.
M. J. Gordon and E. Shapiro. Capital Equipment Analysis: The
Required Rate of Profit// Management Science. 3: 102110.
1956. October.
M. H. Miller and F. Modigliani. Dividend Policy, Growth and the
Valuation of Shares / / Journal of Business. 34: 411433. 1961.
October.


.
.:
. L. Leibowitz and S. Kogelman. Inside the P/E Ratio: The
Franchise Factor / / Financial Analysts Journal. 46: 1735. 1990.
NovemberDecember.
,


;

:
S. . Myers and L. S. Borucki. Discounted Cash Flow Estimates
of the Cost of Equity Capital A Case Study / / Financial
Markets, Institutions and Instruments. 3: 945. 1994. August.
R. S. Harris and F. C. Marston. Estimating Shareholder Risk
Premia Using Analysts Growth Forecasts / / Financial
Management. 21: 6370. 1992. Summer.

:
. Copeland, . KoIIer, and J. Murrin. Valuation: Measuring and
Managing the Value of Companies. New York: John Wiley &
Sons, Inc., 1994. [.: ., ., .
: . .:
, 1999.]

4.

79

__________
1. ?
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)
.
2. :
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.
3. , X
10 .

110 .
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5% .
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(EPS{/P0).
11.
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13. ?
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,

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?


1. The Wall
Street Journal NYSE-Composite Transac
tions.
) IBM?
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IBM?
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IBM
1,50 .?
) / IBM?
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IBM.
) () / IBM
Exxon Mobil?

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?
2.
,
. .
3.
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10 %
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15%.
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80


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: Citigroup (), Dell Computer
(DELL), Dow Chemical (DOW), Harley Davidson
(HDI) Pfizer, Inc. (PFE).
Financial Highlights Company
Profile.
/ (/).
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IS.


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81
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16. Hawaiian Electric C o .
(HI) - Standard & Poors Market Insight
, 4.2.
2001 .
)
? 2001 .?
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2,6%.
2001 .?

Standard & Poors Market Insight Iww.mKbc.com/


cdumarkcti(iM&h( ). -,
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: ,
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cum/cdumartctInsight)
, 4.6,
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PVGO .

, 4.6.

(EPS) MSN money
(wyw.moneyct'iitral.msn.com) Yahoo (http;/ /
19. Compost Science, Inc. (CSI)

.
.
CSI ,

,

10%. , CSI
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.
100 .?

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.
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,
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.
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82

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15%? ,
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16.
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, 4.5.

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20 .

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10 .
. ,
.

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) 4.7 ( ).

,
. 11

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?

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2.
,
:

:
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-

BVPS
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; ROE
BVPS.
, ,
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3.
,
. ,

100 .,
(DIV\/Pq) 5%. ,

.

0,5% . ,

,
?

-
-

, 1993 .,
,

. -
(. . 4.8).
,
, ,
41 . (. . 4.9).
.

90 .
.
,
.
,

.

, 2005 .
.
.
,

, , ,
. ,
, 2010 .

12%.

.
2010 . (. . 4.10 4.11).
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,
,
. 2005 . ,
, 4,3 . ,

. (
.)

,
, ,
, 2010 .
40% .
-

4 .8

( .)

: -

.

1999 .

2000 .

2001 .

2002 .

2003 .

5,84
1,45
4,38
1,53
2,85

6,40
1,60
4,80
1,68
3,12

7,41
1,75
5,66
1,98
3,68

8,74
1,97
6,77
2 ,37
4,40

9,3 9
2,22
7,17
2,51
4,66

4 .9
, 31 ( .)
: - 200 . ;
.

2002 .

3,12
15,08


20,75

38,95

2003 .
3,61
16,93
23,38
43,91

83

2002 .

2003 .

2,90

3,2 0

36,05
38,95

40,71
43,91

84
4 .1 0
( .)

2004 .

2005 .

10,47
2,40
8,08
2,83
5,25
2,00
3,25

11,87
3,10
8,77
3,07
5,70
2,00
3,70

2006 .

2007 .

2008 .

7,74
3,12
4,62
1,62
3,00
2,50
0,50

8,40
3,17
5,23
1,83
3,40
2,50
0,90

9,95
3,26
6,69
2,34
4,35
2,50
1,85

2006 .

2007 .

2009 .

2010 .

12,67
3,44
9,23
3,23
6,00
2,50
3,50

15,38
3,68
11,69
4,09
7,60
3,00
4,60

2008 .

2009 .

2010 .

4 .1 1
( .)
2004 .

2005 .

4,26

10,50

3,34

3,65

4,18

5,37

6,28

1,39
5,65

0,60
11,10

0,28
3,62

0,42
4,07

0,93
5,11

1,57
6,94

2,00
8,28

: 2010 .

12%,
10%. , ,
,
, ,
, ,
. , ,

-, , ,
. -
50% ;
/, (
), 12;
3%.
, ,
2005 ., .
,
.
,

,

.

1.

4.10 4.11
-
20042010 .
2003 .,
2010 ., 2003 .?

2.

-,
.
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3.
4.

?
2005 .
4,3 .
- 2003 .?
.






.

.
,
.
,
.

,
.

,
. ,
,

.

,
,
.
. ,
.
,
NPV .


,
.
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.
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.

5.1.
,
1 . ,
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: -,
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.
, X. -,


(PV). -,
(N PV), 1 . .
X , .
.
, .
: , .
, , .
85

86

( ,
) 10 . 1 .
, ". ,
9 .
, : 1 .
. PV.
:
( .)


1
9
_Q
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0
9
PV
9 + PV

, X , , PV,
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.
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.
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: : .
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5.1 .
, ,
.
b o b , , .
?
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, , -
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;
|
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5. NPV

87

5.1


, .
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.)
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,
,

: ,
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.

,
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1) ;
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3) .

. .


NPV,

, . -, , , ,
. ,
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, ,
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( ) ,
. , ,
:
NPV{K+b) = NPVA + NPVb.
.
, .
, ( + ) ,
.
, . , -

88

.
, , , ,
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N P V



.
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,
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.
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.
2 , , ,
,
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5. NPV

89

5.2.
,
.
,
(. . ).
:
( .)

-2000
-2000
-2000

500
500
1800

500
1800
500

5000
0
0

N pv

( )

= 10%
( .)

3
2
2

+2624
-58
+50

2000 . (0 = 2000)
. ,
10%.
+2624 .:

2000 .,
: 500 . 1 1800 . 2.
10% 58 .:
NPVb = -$2000 +

$500

$1800
+ ^ 2
= -5 8 .

, ,
,
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+50 .:
NPVB = -$2000 +

$1800
WO

$500
+ =- = +50 .
(1,10)

,
.

,
. , 2000 . ,
.
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.

1. ,
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3.
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90

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.
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5.3.

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.
.
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,

= - I
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NPV= 0 + ----------- *------------------ = 0,
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:
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,

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).
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5. N P V

91

. ,
.
(IR R ) ,
. ,

IR R :
\

^
+ ------- 5- + ... + -------1 = 1+ IRR
(1+ JRR)2
(1 + IRR)T

N PV= 0 + 1

.
, :
( .)

-1

-4000

+2000

+4000

:
$2000

N P V $4000 + ~
1 + IRR

$4000
------------ 7 ~
(1 + IRR)2

.
, +2000 .:
$2000

$4000

N PV= -$4000 + - - + ----- = +2000 .


1,0
(1,0)2

, ,
.
50%.
889 .:
$2000 $4000
>=-$4000 +
+ ^

= -8 8 9 .

, ,
50%. 5.2
.
, 28%
, . , 28%.
,
-
, ,
5.2, ,
. , ,
,
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.
, 28%,
.
, .
, ,
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92

5.2


4000 .,

2000 . 1
4000 . 2.

28% ,
,


, ,
. .
,
, ,
3.
, ,
,
. , ,
, .

1:


?


. :
( .)

-1000
+1000

1 ( % )
+1500
-1500

+50
+50

NPV = 10% ( .)
+364
-364

50% ( ,
-1 0 0 0 + 1500/1,50 = 0 + 1 0 0 0 - 1500/1,50 = 0).
, ? , ,
, 1000 ., , ,
50%, , 1000 .,
50%. , , ,
, , .
, 5.2, ,
.
. -
,
.
,
,
, .
. ,
.

5. N PV

93

5 .3


, ,
, ; ,
.
, :
( .)

Cl

1(%)

NPV = 10% ( .)

+1000

-3600

+4320

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,
20%. , 10%
. ?
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2. ,
?
. 5.3 ,
.
10% (. . ),
, .
2:

,
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1 ., ,
300 . . . 50%,
1 . ,
( . .);

0
-1000
-1000

1
+300
+500
+800

+300
-150
+ 150

+300
-150
+ 150

+300
-150
+150

+300
-150
+ 150

-150
-150

-, 1 . 0 1 500 . .;
, 1 +500.

94
5 .4

.
0

-50% , +15,2%

-
:
1(%)
-5 0 15,2

NPV = 10% ( . .)
74,9

, ,
NPV= 0. , :
NPV1000 +

800

150

150

150

0,50

(0,50)

(0,50)

(0,50)

150
(0,50)5

150
(0,50)6

- ----- + -

800
150
150
150
150
150
N PV= -1 0 0 0 + 7 7 7 ^- + -------- + -------- + -------- + -------- ------------ = 0.
1,152
(1,152)
(1,152)
(1,152)
(152)5
(152)6

, 50%,
15,2%. 5.4 .
,
. ,
. ,
4.
,
. ,
. ,
, , ,
. ,
(
), , ,
. , ,
. .: J. . Lone
and L. J. Savage. Three Problems in Rationing Capital / / Journal of Business. 28. 1955. October. P. 229239;
E. Solomon. The Arithmetic of Capital Budgeting / / Journal of Business. 29. 1956. April. P. 124129.

5. NPV

95

, , ,
.
( !) ,
. ,

:
( .)

1(%)

+1000

-3000

+2500

NPV = 10% ( .)
+339


. , ,
5.

3:


.
, .
.
:

Cq
-1 0 000
-2 0 000

( .)

Ci
+20 000
+35 000

/ ( %)

NPV =10% ( .)

100
75

+8 182
+11 818

, ,
, .
, ,
.
, , , ,
, , .
,
100%; ,
11 818 .

, .
,
,
. *-
. IRR
.
1. 6 5:
PV 5 = $150 000/1,10 = 136,36 . .
2. 5 :
^5 + -^", . ~' $150 000 ~ $136 360 13,64 . .
3. ,
, 15%:
800
150
150
150
13,64
NPV= -1000 + - + -------- + -------- + -------- + : = 0.
1>15
(1,15)2
(15)3
(1,15)4
(15)5
IRR 15% (
), ,
, .
,
.

96

. -, ( ).
100%
, 10%. , .
, 10 . . .

:

( .)

-1 0 000

+15 000

1 ( % )

NPV =10%

50

( .)

+3636

50%,
10% .
6.

.

. , ,
, 3 ( ):
( .)

-9000
-9000

. .

+4000
+1800
+1200

0
+ 1800
+ 1200

0
+1800
+1200

...

1 ( %)

NPV = 10%
(.)

+6000
+1800
-6000

+5000
+1800
+1200

...
...

33
20
20

3592
9000
6000

, 3
. 5.5 ,
.
.
33%, , .
3
. 3 20%.
( , 3
.) , 3
,
15,6%.
,
3 , .

3, . ( . 5.5
,
15,6%.)
, , 20%
3 ( 20%),
.
, 20%,
.
20, 10%.
,
. 10%
6 , , . ,
. , ,

.

5. N P V

97

5.5

,
3 ,

,

15,6%

3 9000 .,
3592 .7
.
. 3,
. , .
, , , ,
(,
), 3,
. , 3
. ,
, 3, , .
.
, , 3,
,
. IBM
? IBM
,
3; ,
. , -, , ,
,
.
, -
; .
. - ,
,
? .
, ,

.
7 ,
. .
,
. .: A. A. Alchian. The Rate of
Interest, Fishers Rate of Return over Cost and Keynes Internal Rate of Return / / American Economic
Review. 45. 1955. December. P. 938942.

98

. ,
.
3,
.
, ,
. , . -,
, .
3.
( .)

. .

-2200

+1800

+1800

...

1 ( %)

NPV = 10%
( .)

3 -

-4200

-3200

15,6

+5408

3 15,6%.
,
3, .

4:
,

,
,
Cj, 2, 3 . .
, ,
, ,
.
:
,

NPV= 0 + - 1- + -----
1+

(1 + 2 )

3
(1 + 3) 3

, \
, 2 . .
, ,
.
, ?
2,
..? -
, ,
.
? ,
,
8.

( )
, (1) , , (2)
.
, .
, , .
,
,
. , ,
: 9.
,
- . ,
, ,
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, , .
9 ,
, .

99

5. NPV

, . . ,
? .
. ,
, .
.
, ,
.


. ,
,
. ,
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33%.
? ,
3.
.
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,
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.
.
,
? , ,
.
- !

5.4.

, ,
, .
, , ,
.
.
, , ,
.

10%
:

( .)

-10
-5
-5

+30
+5
+5

2
+5
+20
+15

NPV 10% ( .)
21
16
12

,
10 .
, , .

100

, ,
.
. ,
. ,
,
.

10:
, ,


= ------------- -------------
11:

( .)
10
5
5

NPV
( .)
21
16
12

2,1
3,2
2,4

,
. ,
10 ., 12.
,
. ,
,
. , , 10 .
0, 1
, :
( .)

-1 0
-5
-5
0

+30
+5
+5
-4 0

+5
+20
+15
+ 60

N P V = 1 0 %
( .)
21
16
12
13

2,1
3 ,2
2,4
0,4

\
,
1.
0. ,
, 30 .
1. 30 . 10 .,
.
10 ,
. (
, .
, .)
11
: PV/. /
. / 1,0
. .
12 ,
.
, .
,
, . , ,
(^ 100. ,
200 ., (2) 1 . 1,5 .
, .

5. NPV

101

, ,
.
, -
, ,
. ,
. ,
,
.


. , ,
,
.
,
.
.
.
.
21.
16 . .
.
, , :
NPV= 21 + 16 + 12 + 13.
. -,
0 10 . :
10 + 5 +5 + 0 < 10. /

1
10 .:
5 5 +40 < 1 0 .

,
. :
0 < < 1,

0 < < 1 ,...

:
21 + 16 + 12 + 13
:
10 + 5 + 5 + 0 < 10;
5 5 + 40 ^ 10;
0 < < 1,
0 < < 1,...


, ,

. ,
().
, .
, , ,
. :
, ,
. . ,
, ,
, .

102

2,25 .
. !
1000 . 1000 ,
500 . 500 ,
, .
,
.
, ,
, ,
.

, ,
.
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. -,
,
.
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.
.

. , ,

.
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104


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,
.
3. . ,

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4. .

.
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,
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5. NPV

105

ad hoc,
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, .

_______________
,
:
J. . Lorie and L. J. Savage. Three Problems in Rationing
Capital / / Journal of Business. 28: 229239. 1955. October.
E. Solomon. The Arithmetic of Capital Budgeting Decisions / /

Journal of Business. 29: 124129. 1956. April.


A. A. Alchian. The Rate of Interest, Fishers Rate of Return over

Cost and Keynes Internal Rate of Return / / American


Economic Review. 45: 938942. 1955. December.


.:
. . Weingartner. Mathematical Programming and the Analysis
of Capital Budgeting Problems. Englewood Cliffs, N.J.:
Prentice-Hall, 1963.
,

. .:
. . Weingartner. Capital Rationing: n Authors in Search of a
P lot// Journal of Finance. 32: 14031432. 1977. December.


1.
? .
2.

)
:
( .)

-5000
-1000
-5000

234

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0
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+1000
+1000

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106

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5. )
0, 50
100%:

-6750

6.

+4500

+18 000

7. ,
:
________ _______

+4000

2
-11 000

13%.
10%,
?

2
-75

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+241
+131

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+172

21
31


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5 000
5 000
10 000
15 000
15 000
3 000

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90 000
60 000
75 000
15 000

10.
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0

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107

5. NPV

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1983 .
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1
2
3
4
5
6
7
8
9
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(.)
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+8 317
+7188
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108

13.
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11%.

1
2
3
4
5
6
7

( . .)
300
200
250
100
100
350
400

NPV

IRR

( . .)

(% )
17,2
10,7
16,6
12,1
11,8
18,0
13,5

66
-4
43
14
7
63
48

14.
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X
Y
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Cl

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0
-1 0 000
-1 5 000

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+5 000
+5 000

0
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20 000

20 000

20 000

NPV

+6 700
+9 000
0
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1. ,
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110
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6.
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55

140
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140
55

140
55

57

57

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55
57

140
55

57

140
55
57

28

28

28

28

28

28

28

400

343

286

229

171

114

57

9,8

8,2

12,2

16,4

57

24,6

49,1

* . : 400 ./7 =
= 57 140 . .
** 0 400 000 .

5 .2



(
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1.
2.

180

180

180

180

180

70

70

70

70

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80

3. *

80

70
80

4.
5.
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6.
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30

30

30

30

80
30

400

320

240

160

80

18,75

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12,5

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400 000 .

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6.

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100 .

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100 . . ,
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.
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. , 1971 . Lockheed

TriStar. Lockheed ,
, 1 . Lockheed ,
,
1 .
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1.
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3,
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8%,
1080 . ,
1 .: U. . Reinhardt. Break-Even Analysis for Lockheeds TriStar: An Application of Financial Theory //
Journal of Finance. 28. 1973. September. P. 821838.

6.

115

1080 .
, .
, , 8 %
6 %. ,
1080 . 1 , 6 %
. 1080 ,
1080 ./1,06 = 1019 . ,
: 8 % :
1,9%.
, :
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-100

,
+35

2
+50

3
+30

15%
( ). :
15%,

. , .
, 10% . 1,
35 . ., 1 35 000 .
1,10 = 38 500 . 2 50 000 . (1,10) 2 =
= 60 500 . 2 . .
15%, :
*
$38 500
$60 500 $39 900
NPV= $100 000 ----- - + ------- 5+ --------- ~ =5500 .
1,15
(1,15)2
(1,15)3

,
, :
1 +
= ---------------------- ,-------------------------- 1.
1 +

116

:
=

1 = 0,045, 4,5%.

, ,
, , 5500 .:
$35 000 $50 000
$30 000
NPV= $100 000 ---- , - - + --------- + -------- - = 5500 .
1,045
(1,045)
(1,045)
,
(15%) (10%).
5% NPV= 4600 . , .
:
, .
. , 1970-
, ,
Bula Mines. , ,
Bula Mines 40 . .;
: ,
8 . ., 104 . .
,
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2.

6.2. :

( )
. ( ,
, : , 3.)
, 6.1. 10 .
( 1). 7
, 1,949 . ( 1,
7). .
, 6.1,

500 . ., () ,
. .
,
(
9,5 .). ,
t ( .):
1
1
/ = = ^ $9,5 = 1 583 000 .
612 6.1
4.
2 , .
, , .
Bula Mines .: . Dimson and P. R. Marsh. Cases in Corporate Finance. London: Wiley International, 1987.
3 .
4 , ,
.

6.

117

6.1
: ( . .)

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.

10 000


10 000

(3 + 4)
10 000

**
***
4 000

(6 - 7 - 8 - 9 )
- 4 000
, 35%
-1 400
(1 0 -1 1 )
-2 600

1 583
8 417
550
8 967
523
837
2 200
1 583
- 4 097
-1 434
-2 663

3 167
6 833
1 289
8 122
12 887
7 729
1 210
1 583
2 365
828
1 537

4 750
5 250
3 261
8511
32 610
19 552
1 331
1 583
10 144
3 550
6 594

6 333
3 667
4 890
8 557
48 901
29 345
1 464
1 583
16 509
5 778
10 731

7917
2 083
3 583
5 666
35 834
21 492
1 611
1 583
11 148
3 902
7 246

9 500
500
2 002
2 502
19717
11 830
1 772
1 583
4 532
1 586
2 946

7
-1 949*
0
0
0
0

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507
942

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**** , 500 . .,
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6.2 ,
6.1.
,
. -

6 .2
:

( . .)

1.
2.

3.
4.

5.

(1 - 2 - 3 - 4 )
6 .

7.

8.
(5 + 6 + 7)
9.
= 20%

523

12 887 32 610

48 901

35 834

19717

4 000

837
2 200

7 729 19 552
1 210
1 331

29 345
1 464

21 492
1 611

11 830
1 772

-1 4 0 0

-1 434

828

3 550

5 778

3 902

1 586

-2 600

-1080

3 120

8177

12314

8 829

4 529

-739 -1 972

-1 629

1 307

1 581 2 002

-550
-1 0 000

1442*

-1 2 600

-1 630

2 381

6 205

10 685

10 136

-1 2 600

-1 358

1 654

3 591

5 153

4 074

6 110 3444
2 046

961

= +3519 ( 9)
* 1949. . 507. .
.

118

,
. , ,

, .
.

20%.
, ,
3,5 . ( . .).

$1630 $2381 $6205 $10 685 $10136 $6110 $3444
NPV %\2GOO- , -------- *------ "I-------- ~*-------- - ---------"-------- =
1,20

(1,20)

(1,20)

(1,20)

(1,20)

(1,20)6

(1,20)7

= +3 519 000 .

.
, ,

.
,
, ,
.

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, .

.

. 6 6.2 ,

. :

?.

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2
( . .):

1289

_
_
~ + ~
= 635 +
1030
-

376.

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1.
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.
2.
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3. , ,
.
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2- 3- ( . .):

RlMBa6.

119

6 .3
: ( . .)


31 110

24 905

=
=


32 610

,
,

(19 552 + 1331 +3550)


=

6205

31 110


1500


(972 - 500)

+
-
24 905

_
_

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1972
=
972
+
1500
500.
3 6.3.
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.
30
.
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:
= =
= $1 583 000 0,35 = 554 000 .
(554 . . )
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(. . 26).

120
6 .4

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1. ,
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2.
27,5
31,5 .

()
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
1720
21

5
7
15
20
10
33,33
44,45
14,81
7,41

20,00
32,00
19,20
11,52
11,52
5,76

14,29
24,49
17,49
12,49
8,93
8,93
8,93
4,45

10,00
18,00
14,40
11,52
9,22
7,37
6,55
6,55
6,55
6,55
3,29

5,00
9,50
8,55
7,70
6,93
6,23
5,90
5,90
5,90
5,90
5,90
5,90
5,90
5,90
5,90
2,99

3,75
7,22
6,68
6,18
5,71
5,28
4,89
4,52
4,46
4,46
4,46
4,46
4,46
4,46
4,46
4,46
4,46
2,25

*
1986 . (Tax Reform Act of 1986),
.
6.4
. ,
.
57 . ,
. ,
, 20%
1, 32% 2 . .
( . .):


(
)

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2000

3200

1920

1152

1152

576

700

1120

672

403

403

202

2174 . .,
331 . . , .
6.5 ,
, 6.6 ,
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.
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6.
6 .5


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6. , 35%***

523

12 887

32 610

48 901

35 834

19717

837
2 200

7 729

19 552

29 345

21 492

1 210
3 200

1 464
1 152

1 611
1 152

11 830
1772

2 000

1 331
1 920

-4 000

- 4 514
-1 580

748
262

9 807

-1 400

16 940
5 929

11 579
4053

1. *
2.
*
3. *
4.

121

-4 0 0 0

3 432

576
5 539

1 949**

1 939

682

6.1.
.
, , 1949 . .
,
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:


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2.
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3. *
4. **
5.

(1 - 2 - 3 - 4 )

1
523

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6.

837
2 200

12 887 32 610
7 729

48 901

35 834

19717

21 492

11 830

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19 552
1 331
3432

29 345

1 210
262

1 464
5 929

1 611
4053

1772
1 939

682

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3686

8 295

12 163

8 678

4176

-682

-550

-739

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-1 629

1 307

1 581

2 002

7.

-1 0 000

8.
(5 + 6 + 7)

-1 2 600

-1 484

2 947

6 323

10 534

9 985

5 757

3 269

9.
= 20%

-1 2 600

-1 237

2 047

3 659

5 080

4013

1 928

912

1 949*

= +3802 . ( 9)
* 6.1.
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6.

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: 4,5%).
, ,
.

.
79.
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6.6 9.
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6.3.
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1990- (California Air Resources Board; CARB)


. () , , . CARB
, .
,
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.
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400 .
, .
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.
, 400 ., (
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900 .
,
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PVa
= 25 .
8 :
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9
(. . 13) .

124

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400 . = 11,65;
= 34,3 . .
3,8 :
$34 300 000 _ . _.
10
900 000 000 ,038 . .
.
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.
( !)
. .

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2 , 6000 .
:
.
,
( ).
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+15
+10

( . .)

Ci

+5

+5

+6

+6

+5

PV = 6% ( . .)
28,37
21,00

,
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, 21 . .,
(0, 1 2),
28 370 ., ( 0 3).

, . ,
10 610 .

0
+15

( . .)

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+5
+10,61

2
3
+5
+5
+10,61 +10,61

PV = 6% ( . .)
28,37
28,37

10 .
. -, 400 .
. ,
. ,
83 .,
: 400 . 83 . = 317 . -
, -- .
3,8 ,
. 35% :
(1 0,35) = 0,038 .;
= 0,0585 .

6.

125

,
,
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^^

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= 3 .
6%
2,673. :
$28 370

= ~2 673

= 610 .

0
+10

( . .)
Ct
+6
+11,45

2
+6

PV = 6% ( . .)
21,00

+11,45

21,00

, ,
(10 610 . 11 450 . ).

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0, 13. ,
,
28 370 .,
,
,


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0

10,61
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10,61
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, 6%.

126


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,
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PV
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1,06

+ (1,06)3
= 28 37
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, 0,8
(1,06)2

0,64
(1,06)3

= 12 940 .,
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PV

1 | 0,8
1 06

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= 12 690 .
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2
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+2,387

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NPV = 6% ( . .)
6,38
6,38

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.
, 8000 .,
7000 . , ,
, . ,
7000 .,
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.

128

8480 . 7000 . = 1480 .,


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58 500 .

( t = 0)
:


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2 . 750 . = 1500 .
1500./0 ,1 0 = 15 000 .
2 15 . = 3 0 000 .

.
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1 . .
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.
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. + 750 ./0,10 = 13 500 .
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15
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131

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26 . .:


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1000

0
6000 .
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1 . 1000 . = 1000 .

1000./0,10 = 10 0 0 0 . . + 1000./0,10 = 16000.


26 000 .

4000.;
3000 .
1000 .


.
, .
,
.
1. .
.
2. .
,
.
3. . ,
,
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. ,
. : ,
.


,

,
. :
. L. Grant, W G. Ireson, and R. S. Leavenworth. Principles of
Engineering Economy. 8th ed. New York: John Wiley & Sons,
1990.

H. Bierman and S. Smidt. The Capital Budgeting Decision. 8th ed.


Englewood Cliffs, N.J.: Prentice-Hall, Inc., 1992.

:
U. . Reinhardt. Break-Even Analysis for Lockheeds TriStar: An
Application of Financial Theory / / Journal of Finance.
32: 821838. 1973. September.


1.


,

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,
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.

133

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4.

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5 7 .
35%.
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5.

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. .):

2 0 00

2001

2 0 02

2003

2004

0
75

150
130

225
130

190
95

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0

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7.


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NPV1
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,
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.
11.

6.
6 .7
9.



( . .)

1.
2.
3.
4.
5.
6.

7.
8.
9.
10.
11.
12.


= + 1 3 932

135

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- 4 000

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0
16 400

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0
0
0

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4480
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1. : 8 . 2,4 . .
, .
, .
2. : 1 ,82 . 2002. 10%
. , 1,82 . 1,1 = 2 .
3. : - .
4. : 2000 2004 ., 4000 2005 . 10 . 2006
2013 . , 4000 . .
5. : . ( , ,
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( ) 2000 .
6. : 10% .
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8. : , 15%.
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.
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2005 .
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.

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.

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50 . .
20 . .
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30 . . ,
10 5000 .

136
6.8
13




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6.1.


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4.
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8.
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25 . . ,

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30 . . ,
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1.
2.
( )
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4.

1.
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480
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www.unb.ca/wcb/transpo/mynct/mtw2lh.htm (,
Excel )
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:
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.:
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http://bopds.yahoo.coin
wwj .finpipe.com (, )
www.rmtoots.net (
)
www.gancsha.nry ( )
www.hsh.com ( )
www.investinBinbonds.coni (
)
www.lnvestorguide.com/university.htmi (
)
htt p,-//mone v. cnn. com /markets/bondcen ter
4 .
-.
., :
www,nyce.com (- )
(NASDAQ)
( )
www.tse.or.jp ( )
www. 123world.com/stockcxchanues ( )
www.fibv.com (
)
:
www.djindexes.com ( - )
www.spglobal.com ( S&P)
www.barra.com (
, / . .)
www.wilshire.com
* -
, 2003 . . .

142

,
.
Finance .Yahoo:
http://finance.yah.com
www.lnoombeng.com
http://noovers.com
www.iinance.lvcos.com
http://monev.cnn.com
http://iaoneycentral .msn.com
www.wsrn.com
http: / /mv.zacks.com ( )

:
h ttp://financialplayerscenter.coin
www.vaJmprp.nct

Amazon.com 1997 .
1,73 . 1999 . , 6000%.
, , 90%. ,
Amazon.com, ,
,
.
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.
.
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9.

7.1. 75-
:
. ,
(Chicagos Center for Research in Security
Prices, CRSP) ,
, - (New York
Stock Exchange, NYSE) 1926 .
, (American Stock
Exchange, ASE) , , . .
,
, Ibbotson Associates,
, :
1) ( ),
;
2) ;
3) 1;
4) Standard and Poor (S&P500),
500 ( S&P 500
7000 ,
1 ,
.
145

146

7 .1
1 ., 1926 .,

: Ibbotson Associates, Inc. Stocks, Bonds, Bills and Inflation, 2001 Yearbook. Chicago, 2001 (
: 2001 Yearbook. 2001, Ibbotson Associates, Inc.).

,
70% );
5) .
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7. , :

147

10000

1000

659,6

266,5 S&P500

6,6
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1926

1936

1946

1956

1966

1976

1986

2000

7 .2
1 ., 1926 .,
. . . 7.1. ,

:

Ibbotson Associates, Inc. 2001 Yearbook. 2001 Ibbotson Associates, Inc.

2000 . 16,5 ., - .
49 .,
. - . ,
, 2587 .
, ,
6402 . .
Ibbotson Associates, ,
1926 2000 .
, (. .
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75 7.1.
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3,9% 0,8% . ,
3% . .
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.
.
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,

,

19262000 . ( % )
: Ibbotson Associates,
Inc. 2001 Yearbook.




(S&P 500)

3,9
5,7
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2,7
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(

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148

,
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, , 7.1, . , Ibbotson Associates

75 75.
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,


.
.
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7. , :

149

,
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,
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150

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19262000 . (. . 7.1).
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. .: R. Mehra and . Prescott. The Equity Premium: A Puzzle I I Journal of Monetary
Economics. 15. 1985. P. 145161.
7 I. Welch. Views of Financial Economists on the Equity Premium and Other Issues / / Journal of Business. 73.
2000. October. P. 501537. , ,
5,5%; .: I. Welch. The Equity Premium Consensus
Forecast Revisited. Yale School of Management, September 2001.
8 : P. Jorion and W. N. Goetzmarui. Global Stock Markets in the Twentieth Century //
Journal of Finance. 54. 1999. June. P. 953980.
9 .: E. Dimson, P. R. Marsh, and M. Staunton. Millenium Book II: 101 Years of Investment Returns. London:
ABN-Amro and London Business School, 2001.

7. , :

151

( %)
12

- - - - - - - -
( 1915 .)

( 1911 .)

( 1922/
23 .)

7 .3
, 19002000 .
: Dimson, . Marsh, an d . Staunton. Millenium Book II: 101 Years of Investment Returns. London: ABN-Am ro and London Business
School, 2001.

-, .
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152

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7.2. ,
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7.4 75 ,
Ibbotson Associates S&P.
. (54,0%) 1933 .
19291932 .
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. 7.5,
.

j

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, 7.1.
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51 1983 1998 ., ,
, , 7,5% . ,
1 . .: S. Kaplan and R. S. Ruback. The Valuation
on Cash Flow Forecasts: An Empirical Analysis / / Journal of Finance. 50. 1995. September. P. 10591093.
12 .
, (N ~ 1), N
. (N 1), N,
. :
() = ^

~)

t=1
1 t,

.
*
I

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\

153

7. , :
( %)

i. J ..i 11
i

1926

1934

1942

_i

h i l i ii
I i I i
1

1 1 .

_i .

1950

1958

1966

. . 1 _ _ ..
1974

. , | | .

L . . .
1982

. .

1990

_L
1998

7 .4
,
: Ibbotson Associates, Inc. 2001 Yearbook. 2001, Ibbotson Associates, Inc.

7 .5

19262000 .


: Ibbotson Associates, Inc. 2001 Yearbook.
2001, Ibbotson Associates, Inc.


14
12

10 8

6
4
2

-5 0 -4 0 -3 0 -2 0 -1 0

10 20 30 40

50 60

( %)

, ,
. ,
. () 100 .
. 20%
, 10%. ,
:

+ : 40%;
+ : 10%;
+ : 10%;
+ : 20%.

154

7 .2

( 1)

<=)

( 2)

+ 40

+ 30

-3 0

+10
-20

(3)
(4)
(5)

( - )2

900

900

0,25
0,5
0,25

225

225

= ( - )2 = 450
= /

= /450 = 21

1 4 ( 0,25) 40%,
2 4 ( 0,5) 10%, 1 4 ( 0,25)
20%. , ,
:
= 0,25 40% + 0,5 10% + 0,25 (20%) = +10%.
7.2 , 450.
450 21.
, ,
, 21%.
,
, . , ,
, ,
.
, . ,
,
13.
14.
,
.
, , .
, , :
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25%. :

+ : 70%;
+ : 10%;
+ : 10%;
+ : 50%.

, , 10%,
42% 21% .
, .


: ,
, .
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, ,
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.
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.

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.
:
. .
:
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.
, , ,
, ,
.
19262000 .
() (2)15:




(S&P500)

3,2
9,4
8,7
20,2
33,4

2
10,1
88,7
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406,9
1118,4

,
, .

16.
,
.
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10 21% ,
. ,
.
, ,
70 . , ,
1930- . ,
15 Ibbotson Associates, Inc., 2001 Yearbook. , , ,
,
.
, ; ,
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.
, .
, Ibbotson Associates, .
, .
,
.
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24, .

156

S&P , 1926 .17:

1926-1930
19311940
19411950
19511960
19611970
19711980
19811990
19912000

.
.
.
.
.
.
.
.

^?
21,7
37,8
14,0
12,1
13,0
15,8
16,5
13,4


1980- 1990- .
.

. , 19 1987 .,
23%. ,
, 89% .
,
.

,
. ,
75 ,
, ,
, 1926 .
7.3
10 2001 .18
? .
, 1990-
13%. Exxon Mobil
.
Amazon.com
.
7.4,
, ,
. , ,
, ,
.
:
,
? : .
.
, 17 .
.
12,
.
, .
,
. 13,
.
,
,
.
18 .

7. , :
7 .3


,
1996 2001 . ( %
)

157

Amazon.com*
Boeing
Coca-Cola
Dell Computer
Exxon Mobil

110,6
30,9
31,5
62,7
17,4

General Electric
General Motors
McDonald's
Pfizer
Reebok

26,8
33,4
27,4
29,3
58,5

* 1997 2001 .

7 .4



, 1996
2001 . ( % )

Alcan
BP Amoco
Deutsche Bank
Fiat
KLM
LVMH
Nestle
Nokia
Sony
Telefonica de Argentina

31,0
24,8
37,5
38,1
39,6
41,9
19,7
57,6
46,3
45,4


,
20,7
14,5
24,1
26,7
20,6
21,5
19,0
43,2
18,2
34,3

, ,
, . .
, .
7.6 ,
. ,
:
, , , 20 30 .
,
. , ,
. ,
, 7.7. Dell
Computer. ,
. Reebok,

7 .6
(
) ,

, -
. ,

, (
)
: . Statman. How Many Stocks Make
a Diversified Portfolio? // Journal of Financial and
Quantitative Analysis. 22. 1987. September.
P. 353 363.

(%)
50

40

30

20 -

10
i
2

i
4

i
6

I
8

>
10

i
12

i
14

i
16

i
18

I
20

158

1996

1996

1996
7 .7
, Dell C om puter Reebok,
, .
1996 2001 .

7. , :
7 .8
.
,

.

159

10

15

.
19.
. 7.7 ,
,
( ) ,
20.
, ,
() 21. ,
, , -
, , .
, .
22.
, .
.
, ,
.
7.8
. , ;
20 ,
.
. ,
-,
.

7.3.
, ,
, ,
, .
19 .
20 Dell Computer Reebok 62,7 58,5%
. ,
, 43,3%.
21 , ,
.
22 .

160
7 .9

,
,- / j
; 2 ;
Ojj / j (,,);
Pij /' /

, 65% Coca-Cola
35% Reebok. Coca-Cola
10%, Reebok 20%.
23:
= 0,65 10% + 0,35 20% = 13,5%.
.
.
Coca-Cola 31,5%, Reebok 58,5%. ,
,
. ,

, 0,65 31,5% + 0,35 *
58,5% =41,0% . ,
.
.
7.9 ,
. , .
1 (o j2),
1 (*i2).
2 (22),
2 (22).
, ,
1 2, .
, .
12
24:
1 2 = <12 = Pi2 l c 2 .
pj2 , ,
12.
,
23 . , 65 . Coca-Cola 35 . Reebok.
Coca-Cola 0,10 65 . = 6,50 ., Reebok
0,20 35 . = 7,00 . 6,50 . +
+ 7,00 . = 13,50 . 13,50/100 = 0,135, 13,5%.
24 :
1 2 = |2 = ( {) (2 2).
, ,
= ( 7{ () ( , () =
= ( { ()2 = 1 = 0 (2.

7. , :

161

; ,
. ,
, ,
, \ 2 ,
:
*i20 ]2 + -*2222 + 2(-Xi-*2Pi20i2) .
Coca-Cola Reebok.

45%
*. ,
12 = +1.

Coca-Cola
Reebok

Coca-Cola

Reebok

* = (0,65)2 (31,5)2

*1*21212 =

*1*21212 =

= 0,65 X 0,35 X 1 X 31,5 X 58,5

= 0,65 0,35 1 31,5 58,5


2 2 = (0,35 )2 (58,5)2

:
= (0,65)2 (31,5)2 + (0,35)2 (58,5)2 +
+ 2(0,65 0,35 1 31,5 58,5) = 1676,9.

676,9 = 41,0%, 35%
31,5 58,5.
, Coca-Cola Reebok .
,
0,2. , 12 = +0,2,
:
= (0,65)2 (31,5)2 + (0,35)2 (58,5)2 +
+ 2(0,65 0,35 0,2 31,5 58,5) = 1006,1.
^/1006,1 = 31,7%.
35% 31,5 58,5 -
Coca-Cola.
,
. ,
, , Coca-Cola
Reebok .
, ,
(12 = 1). :
= (0,65)2 (31,5)2 + (0,35)2 (58,5)2 +
+ 2(0,65 0,35 (-1) 31,5 58,5) = 0.
* , ,
45% . , (2

02 :
0(2 = (1 .)0( + 2 = 0( + (2 0i)>

X = 0,45. . .

162

7 .1 0


, N ,
, ,
. ,
,
(,2(2),
((()


( ),
25. ,
.


. .
7.10 , .
,
26.

, 7.10, ? ,
, ,
. ,
, . ,
.
N . ,
1/ ,
25 Reebok 1,86
Coca-Cola, ,
Coca-Cola 1,86 .
26 :
N N

XXwv

, i = j, /; L

163

7. , :

, , (1 / N) 2 ,
, , (1/N ) 2 .
N ( N 2 N) .
:
= N
+
N
s.2
+ (N 1 N) 1 S' =
N
N

, N
.
, ,
. ,
, . , ,
, ,
. ,
7.8. ,
.

7.4.
10
. Amazon.com ,
Exxon Mobil . Amazon.com,
,
Exxon Mobil. .
:
. ,
, .
:
.
, .
!
,
,

(),
.
(|3).

7 .5

,
1996 2001 .

Amazon.com*
Boeing
Coca-Cola

3,25
0,56
0,74

General Electric
General Motors

1,18
0,91

Dell Computer
Exxon Mobil

2,21

McDonalds
Pfizer

0,68
0,71

0,40

Reebok

0,69

* 1997 2001 .

164

7 .1 1
Dell C om puter
2,21%
1%.
, 2,21

)ell Computer ( %)

2,21

1
1 '0

( %)

7 .6
,
1996 2001 . (
)

Alcan ()
BP Amoco ()
Deutsche Bank ()
Fiat ()
KLM ()

0,66
0,82
1,18
1,03
0,82

LVMH ()
Nestte ()
Nokia ()
Sony ()
Telefonica de Argentina
()

1,42
0,64
1,29
1,38
1,06

, 1,0, , ,
. 0 1,0
, , . , ,
, 1,0. 7.5
10 , .
( 1996 2001 .) Dell Computer
2,21. ,
1% Dell 2,21%, ,
, 2% Dell 2% 2,21 = 4,42% . . ,
Dell
2,21 (. . 7.11). , Dell
.
, ,
7.11. Dell ,
, .
10, 7.5, Dell .
Exxon Mobil.
: 0,40.
,
,
. 7.6
.

, :



;
.

7. , :

165

, :
. , ,
. .

1. ? 7.8,

. , ,
,
.
?
.
, , 500 ,
. ?
.
1,0, (1,0).
20% (
19262000 .),
20%.
,
, 1,5. 500
, , ,
.
30%,
27. = 1,5 50%
, 150% .
, ,
0,5, ,
. 7.12
.
:
, , .
, .
2. . i :

1 i ,
.
,
. ,
, Coca-Cola Reebok.
,
:
Coca-Cola
Coca-Cola
Reebok

(0,65)2 (31.5)2

Reebok
0,65 x o,35 x 0,2 x 31,5 x 58,5

0,65 0,35 0,2 31,5 58,5

(0,35 )2 x (58,5)2

27 , 500 = 1,5,
- ,
. 30%.
, : 8 ,
1,5.

166

7 .1 2
( ) ,
500
, , = 1,


20%.
( ) 500
= 1,5

3 0 % . . 150%
. ( ) 500
= 0,5

1 0% . . 50%

()

() = 20%
( ) = 20%

500

()

() = 30%
( ) = 20%

500

()

( ) = 20%

() = 10%

500

,
:

Coca-Cola
Reebok


0,65 [0,65 (31,5)2 + 0,35 0,2 31,5 58,5] = 0,65 774,0
0,35 [0,65 0,2 31,5 58,5 + 0,35 (58,5)2] = 0.35 1437.3
1006,1

Coca-Cola
(0,65) (774,0). (,
Coca-Cola
, . . .) ,
Coca-Cola, :

_
~

774,0 _
1006,1 ~

7. , :

167

Reebok:
(0,35) (1437,3).
, Reebok, 0,5:
0,35

= 0,35 1,43 = 0,5.


(0,65 0,35) ,
(0,77 1,43). Coca-Cola
Reebok .
1% Coca-Cola 0,77%
Reebok 1,43%.
Coca-Cola ,
Coca-Cola .
Coca-Cola
.
:




( )

7.5.
.
?
, ? ,
. ,

. ,
.
.
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.
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,
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. .
,
. 28 ,
, , .

168

,
. PVA,
PV, ,
, :
= +

, , ,

+ + ,

.
, .
,
29. , -,
,
, , .

,
.
, , 75
3,9% . ,
, .
13%, 9%.

. ,
.
,
.
, 9%,
.
, .
, , .
.
:
. -
, .
,
.
, .
.

S&P 20% .

, ,
.
.
, .

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). , ,
,
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.

7. , :

169

1%. 1,0. , 1,
, , 1,
.
. ,
, 2,0,
1,0.
,
. ,
. ,
.
, ,
.

.



1926 . .:
Ibbotson Associates, Inc. Stocks, Bonds, Bills, and Inflation,
2001 Yearbook. Chicago, 2001.
,
15
1900-2000 .:
. Dimson, P. R. Marsh, and . Staunton. Millenium Book II:
101 Years of Investment Returns. London: ABN-Amro and
London Business School, 2001.

,

:
. F. Fama and . R French. The Equity Premium I I Journal of
Finance.
,
:

R. . Merton. On Estimating the Expected Return on the Market:


An Exploratory Investigation// Journal of Financial
Economics. 8: 323361. 1980. December.
:
. F. King. Market and Industry Factors in Stock Price Behavior / /
Journal of Business. Security Prices: A Supplement. 39: 179
190. 1966. January.


. :
. Statman. How Many Stocks Make a Diversified Portfolio? / /
Journal of Financial and Quantitative Analysis. 22: 353364.
1987. September.

:
S. . Myers. Procedures for Capital Budgeting under
Uncertainty// Industrial Management Review. 9: 120. 1968.
Spring.
L. D. Schall. Asset Valuation, Firm Investment and Firm
Diversification//Journal of Business. 45: 1128. 1972. January.


1. )
19262000 .
()?
)

?
)
?
)
?
)
,
?

2.

,
(.
. ).
100 .,
100 .

( .)

( .)

0,10

500

400

0,50
0,40

100

0
-100


?
.

170

3.

.

1995
1996
1997
1998
1999

( %)
16,5
21,9
53,4
- 20,8
84,3

( %)
52,0
27,7
15,7
18,6
12,3

)
?
) .
4. :
______,
.

_________ ,
_________,
. ,
, _______.

; , ,
________.
5.
, 1996 2000 .
(

S&P 500
):

-
S&P500

1996
+16,1
+23,1

1997
+28,4
+33,4

1998
+25,1
+28,6

1999
+14,3
+21,0

2000
-6 ,0
-9,1

-
.
:
, S&P 500?
6.

?
)
,
.
)
,
.
)

.
)
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.
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,
?

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8. ,
, 9 .

,
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.

9. ,
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0?
)
15%.
?
)
20%.
?

10. 10 .
1,2,
1,4. :
) 1,3;
) , 1,3,
;
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?

11. ?

,
:
_________ - 10% ______________ + 10%

-2 0
-3 0
+15
+10

+20
+20
0
+15
-1 0

12. :
. ,
,

? .

7. , :

171


1. ,

19962000 .

( %)

S&P 500 ( %)

1996
1997
1988
1999

3,3
1,7

23,1
33,4

1,6

28,6
21,0

2000

2,7
3,4

-9,1

(%)
5,2
5,3
4,9
4,7
5,9

)
S&P 500 ?
) ?
) ?
\) !
)
?
2.
7.3 - Standard & Poofs
.
Monthly Adjusted
Prices Excel.


. Excel
VAR STDEV.

, 0
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,
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3.
. .
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.
)
,

.
)


5 10 .
4. .


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?
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,

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.


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.
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11. Monthly
Coca-Cola, Citigroup Pfizer.
)


. STDEV
Excel
12.
) Excel CORREL,

.
)
,
.

12. 7.7

.
, 40%
, 40% KLM 20% Nestle.
13.
7.5 - Standard & Poors
, ,
.
Monthly Adjusted Prices

S&P 500. Excel
SLOPE;
(
),
( ).
.
7.5?

14.
Alcan 50 . .
50 . . . ,

Alcan,
,
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?
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.
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?
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(3) 20 . . ,
= 0,25.
.
16. - S&P Market Insight www.mhhe.com/
edumarketinsliiht) Monthly
Adjusted Prices General Motors (GM)
Harley Davidson (HDI).
) ,
, 13.
)

S&P 500.
STDEV
Excel
12.

GM HDI.

7 .7
12.
.
, . , ,
.

Alcan

Deutsche Bank
KLM
LVMH
Nestle
Sony

Alcan

BP

Deutsche Bank

KLM

LVMH

Nes

Sony

(%)

1,0

0,48
1,0

0,40
0,05
1,0

0,32
0,20
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1,0

0,43
0,08
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0,26
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0,27
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.

, ,
Harley Davidson? ,
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173

) GM
? HDI?
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,

. ?


1.
, ,
Dell Computer Microsoft:
D ell


( %)

2,21
62,7

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1,81
50,7


15%.
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,

?
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,
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.

.
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1952 .1
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Microsoft 1990 2001 . 1 . . Markowitz. Portfolio Selection / / Journal of Finance. 7. 1952. March. P. 7791.

174

175

8.
8.1

( )


M icrosoft


.

1990 2001 .

0,14
0,12
0,10

0,08
0,06
0.04
0,02
0,00

-9

( %)

. :
,
2.
.
( , , ),
. ,
7
. :
,
.
8.2
. 10%,
.
15%; 7,5%.

.
8.3
. ,
20%, /1 10%.
, , .

, ,
Coca-Cola Reebok. , Reebok 20%, Coca-Cola 10%. ,
, ,
Coca-Cola 31,5%, Reebok 58,5%. Reebok
, .
,
. , 7.3 , ,
2 , , ,
. , ,
100%, 100%.
, , ,
. , ,
.

176
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10%;


,
,
.

.



15%, 7,5%.

.

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-^

20

60

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20

40

60

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-4 0

8 .3



15%,
20%,

10%.

(%)

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-2 0

20

40

60

(%)

177

8.
8 .4
,



. ,
35%
Reebok, Coca-Cola,

13,5%, 35% -

.
31,7% ,
, 35%


. ,

, ( %)

, (%)

65% Coca-Cola 35% Reebok.


, 13,5%,
. ?
, ,
. : ,
1,7%3.
8.4 ,
. ?
.
, Reebok.
, Coca-Cola;
Reebok 4.

.
10, 100 1000 .
10. , ,
8.1. ,
, .
(
3) 5.
3 7.3, Coca-Cola Reebok
0,2. , 65% Coca-Cola
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26 .: E. J. Elton, M. J. Gruber, and J. Mei. Cost of Capital Using Arbitrage Pricing Theory: A Case Study of
Nine New York Utilities / / Financial Markets, Institutions, and Instruments. 3. 1994. August. P. 4673.
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: J. B ton, . J. Gruber, an d J. Mei. Cost of Capital


Using Arbitrage Pricing Theory: A Case Study of Nine New York
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1994. August. P. 46 73.

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New York Utilities / / Financial Markets, Institutions, and Instruments. 3. 1994. August. P. 4673.

194
8 .4


-
: J.Elton, . J.Gruber, and J.Mei. Cost of Capital Using Arbitrage Pricing Theory: A Case Study of Nine New York
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29 : E. F. Fama and K. R. French. Industry Costs of Equity / / Journal of Financial Economics. 43.
1997. P. 153193. , ,
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195

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F. Fama and . R. French. Industry Costs of Equity// Journal of Financial Economics.43. 1997. P. 153 193.
________________________ ____________________________________

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________________

:
. . Markowitz. Portfolio Selection / / Journal of Finance. 7: 77
91.1952. March.
,
,
. ., .:
. J. Elton and . J. Gruber. Modem Portfolio Theory and
Investment Analysis. 5th ed. New York: John Wiley & Sons,
1995.
,
,
. :
W. F. Sharpe. Capital Asset Prices: A Theory of Market
Equilibrium under Conditions of Risk / / Journal of Finance.
19: 425442. 1964. September.
/. Lintner. The Valuation of Risk Assets and the Selection of Risky
Investments in Stock Portfolios and Capital Budgets / / Review
of Economics and Statistics. 47: 1337. 1965. February.

.

, :
. . Jensen (ed.). Studies in the Theory of Capital Markets. New
York: Frederick A. Praeger, Inc., 1972.

. :
E. F. Fama and J. D. MacBeth. Risk, Return and Equilibrium:
Empirical Tests / / Journal of Political Economy. 81: 607636.
1973. May.
F. Black, . C. Jensen, and M. Scholes. The Capital Asset Pricing
Model: Some Empirical Tests / / . C. Jensen (ed.). Studies in
the Theory of Capital Markets. New York: Frederick
A Praeger, Inc., 1972.


.:
R. Roll. A Critique of the Asset Pricing Theorys Tests; Part I:
On Past and Potential Testability of the Theory / / Journal of
Financial Economics. 4: 129176. 1977. March.


.

, , :
E. F. Fama and R. French. The Cross-Section of Expected Stock
Returns / / Journal of Finance. 47: 427465. 1992. June.
F. Black. Beta and Return / / Journal of Portfolio Management.
20: 818. 1993. Fall.
1979 .
, ,
:
D. . Breeden. An Intertemporal Asset Pricing Model with
Stochastic Consumption and Investment Opportunities / /
Journal of Financial Economics. 7: 265296. 1979. September.
D. T. Breeden, M. R. Gibbons, and R. H. Litzenberger. Empirical
Tests of the Consumption-Oriented CAMP / / Journal of
Finance. 44: 231262. 1989. June.

1976 .:
S. A. Ross. The Arbitrage Theory of Capital Asset Pricing / /
Journal of Economic Theory. 13: 341360. 1976. December.

.:
E. J. Elton, . J. Gruber, and J. Mei. Cost of Capital Using
Arbitrage Pricing Theory: A Case Study of Nine New York
Utilities / / Financial Markets, Institutions, and Instruments.
3: 4673. 1994. August.

198

.:

. F. Fama and . R. French. Industry Costs of Equity / / Journal


of Financial Economics. 43: 153193. 1997. February.


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2001 .

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(
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0,82

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/

' * 0,24

Exxon Mobil

Pfizer

0,50
0,04

0,66
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1,17
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1,14

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.
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.

202


1. 4 ,
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78,6% Coca-Cola. . (:
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1
,
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; .: J. Graham and
. Harvey. The Theory and Practice of Corporate Finance:
Evidence from the Field / / Journal of Financial Economics.
60. 2001. May/June. P. 187244.


,
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;
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204

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205

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the Cost of Equity Capital A Case Study// Financial Markets, Institutions, and Investments. 3. 1994.
August. P. 18.

206

9.2.
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.
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, , Exxon
Mobil , Dell Computer, GM
.
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17 . 7). -/964 = 31,0%.

9.

Dell Computer ( %)

Dell Computer ( %)

( %)

1988
1995 .

General Motors ( %)

JL-

207

( %)

1995
2001 .

General Motors ( %)

= 0,8
(0,24)

( %)

( %)

1988
1995 .

1995
2001 .

Exxon Mobil ( %)

( %)

1988
1995 .

Exxon Mobil ( %)

( %)

1995
2001 .

9 .2

1988 1995 . ( ) 1995 2001 . (
). . ,
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, .
, , ( 2)

208

9.1


.
,
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Burlington Northern & Santa Fe

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.
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.

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Pacific Corp.

, 2001 .
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.
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, Union Pacific
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.

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,
. 2001 . /^- .

9.

209

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.
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, , ,
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,
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9.

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Union Pacific

, Union Pacific. Union Pacific


, . 2001 .
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11. , Union Pacific
.
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60
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(WACC) Union Pacific


,
.

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11 Union Pacific .
14. .
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, . Union Pacific
, . ,
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214

9 .2


;

1996 2001 .
,
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9.

215

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17
.: I. A. Cooper and . Kaplanis. Home Bias in Equity Portfolios and the Cost of Capital for Multinational
Firms / / Journal of Applied Corporate Finance. 8. 1995. Fall. P. 95102.

216

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217


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., .: W. . Beaver and J. Manegold. The Association between Market-Determined and Account


ing-Determined Measures of Systematic Risk: Some Further Evidence / / Journal of Financial and Quanti
tative Analysis. 10. 1979. June. P. 231284.

220

.
1 '
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9.6.

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19 .: . Lev. On the Association between Operating Leverage and Risk / / Journal of Financial and Quantitative
Analysis. 9. 1974. September. P. 627642; G. N. Mandelker and S. G. Rhee. The Impact of the Degrees of
Operating and Financial Leverage on Systematic Risk of Common Stock / / Journal of Financial and
Quantitative Analysis. 19. 1984. March. P. 4557.
20 .: G. Foster. Financial Statement Analysis. 2ded. Englewood Cliffs, N.J.:
Prentice-Hall, Inc., 1986. Chap. 10.
21 , ,
,
. .: W. F. Sharpe. The Capital Asset Pricing Model: A Multi-Beta Interpretation / / H. Levy and
M. Samat (eds.). Financial Decision Making under Uncertainty. New York: Academic Press, 1977.
22 .: E. F. Fama. Risk-Adjusted Discount Rates and Capital Budgeting under Uncertainty / / Journal of
Financial Economics. 5. 1977. August. P. 324; S. C. Myers and S. M. Turnbull. Capital Budgeting and the
Capital Asset Pricing Model: Good News and Bad News / / Journal of Finance. 32. 1977. May. P. 321332.

9.
9 .5

.


221

____________

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pv


= ----------------Y w ----------------= 357 143 -;

= 382 143 .
,
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382 143 . .
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= 17 857 .

.
1.
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222

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12%
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1
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100
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.

9.

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,
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1,07

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9.

225

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_______________

:
. . Rubinstein. A Mean-Variance Synthesis of Corporate
Financial Theory// Journal of Finance. 28: 167182. 1973.
March.

. :
G. Foster. Financial Statement Analysis. 2nd ed. Englewood Cliffs,
N.J.: Prentice-Hall, Inc., 1986.
,
, .:
W. F. Sharpe. The Capital Asset Pricing Model: A Multi-Beta
Interpretation / / H. Levy and M. Samat (eds.). Financial
Decision Making under Uncertainty. New York: Academic
Press, 1977.



. ,
, .:
. F. Fama and . R. French. Industry Costs of Equity// Journal
of Financial Economics. 43: 153193. 1997. February.
,
,
:
. F. Fama. Risk-Adjusted Discount Rates and Capital Budgeting
under Uncertainty / / Journal of Financial Economics. 5: 3
24. 1977. August.
S. C. Myers and S. M. Turnbull. Capital Budgeting and the Capital
Asset Pricing Model: Good News and Bad News / / Journal of
Finance. 32: 321-332. 1977. May.

__________
1. ,
.

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2.

,


.

227

9.

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228


1. ,
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2. 8.2.

- Standard &
. Monthly Adjusted Prices. ^ .

S&P 500.
?
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Excel.
3. ,
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Monthly Adjusted Prices

S&P 500 .
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100
.

4.

2001 .:

British Petroleum (BP)


British Airways

( %)

25
38

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5.


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Market Insight (www.mhbe.cvm/ellumarletfnsfchO.
, , Campbell Soup (),
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Sara Lee (SLE).
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9.

229

10. 9.2.

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11.
.

.
8. 9.1.
,
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,
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Investment Problems// Sloan Management Review. 17: 19
48. 1976. Winter.
- Merck :

N. A. Nichols. Scientific Management at Merck: An Interview with


Judy Lewent// Harvard Business Review. 72: 8999. 1994.
JanuaryFebruary.

, (. . 22):
. Amram and N. Kulatilaka. Real Options: Managing Strategic
Investments in an Uncertain World. Boston: Harvard Business
School Press, 1999.
A. Dixit and R. Pindyck. The Options Approach to Capital
Investment// Harvard Business Review. 73: 105115. 1995.
MayJune.
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Business Review. 62: 153160. 1984. MarchApril.

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for Predicting Market Value: Prices of Used Commercial Aircraft, 195965 / / Journal of Business. 34: 1030. 1961. January.

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P. 770-795.
18 Shawn Tully. The Real Key to Creating Shareholder Wealth / / Fortune. 1993. September 20. P. 48.
19 EVA ,
. ., .: R. Anthony. Accounting for the Cost of
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Rate of Return 11 A. A. Robichek (ed.). Financial Research and Management Decisions. New York: John
Wiley & Sons, Inc., 1967. P. 152-183.

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_______________

.:
J. L. Bower. Managing the Resource Allocation Process. Boston:
Harvard University Graduate School of Business
Administration, Division of Research, 1970.
,
:
R. A. Pohlman, . S. Santiago, and F. L. Market. Cash Flow
Estimation Practices of Large Firms / / Financial Management.
17: 7179. 1988. Summer.
EVA
.:
A. Ehrbar. EVA: The Real Key to Creating Wealth. New York:
John Wiley & Sons, Inc., 1998.


.:
E. Solomon and J. Laya. Measurement of Company Profitability:
Some Systematic Errors in the Accounting Rate of Return //
A. A. Robichek (ed ). Financial Research and Management
Decisions. New York: John Wiley & Sons, Inc., 1967.
P. 152-183.
F. M. Fisher and J. I. McGowan. On the Misuse of Accounting
Rates of Return to Infer Monopoly Profits / / American
Economic Review. 73: 8297. 1983. March.
J. A. Kay. Accountants, Too, Could Be Happy in a Golden Age:
The Accountants Rate of Profit and the Internal Rate of
Return / / Oxford Economic Papers. 28: 447460. 1976.
Z. Bodie. Compound Interest Depreciation in Capital
Investment / / Harvard Business Review. 60: 5860. 1982.
MayJune.

313

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. ., .,
Venture Capital Journal.

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P. A. Gompers and J. Lemer. The Venture Capital Revolution / /
Journal of Economic Perspectives. 15: 145168. 2001. Spring.
W. A. Sahlman. Aspects of Financial Contracting in Venture
Capital / / Journal of Applied Corporate Finance. 1: 2326.
1988. Summer.
S. N. Kaplan and P. Stromberg. Financial Contracting Theory
Meets the Real World: An Empirical Analysis of Venture
Capital Contracts / / Review of Financial Studies.

. :
. Ellis, R. Michaely, and . O Hara. When the Underwriter Is
the Market Maker: An Examination of Trading in the IPO
Aftermarket/ / Journal of Finance. 55: 10391074. 2000. June.
F. Comelli and D. Goldreich. Bookbuilding and Strategic Alloca
tion / / Journal of Finance. 56: 23372369. 2001. December.

R. G. Ibbotson, J. L. Sindelar, and J. R. Ritter. The Markets

Problems with the Pricing of Initial Public Offerings / / Journal


of Applied Corporate Finance. 7: 6674. 1994. Spring.
T. Loughran and J. R. Ritter. The New Issues Puzzle / / Journal of
Finance. 50: 2351. 1995. March.
K. Rock. Why New Issues Are Underpriced / / Journal of Financial
Economics. 15: 187212. 1986. JanuaryFebruary.
.:
P. Milgrom. Auctions and Bidding: A Primer / / Journal of
Economic Perspectives. 3: 322. 1989.


.
,
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P. Asquith and D. W. Mullins. Equity Issues and Offering
Dilution// Journal of Financial Economics. 15: 6190. 1986.
JanuaryFebruary.
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Investment Decisions When Firms Have Information that
Investors Do Not Have// Journal of Financial Economics.
13: 187-222. 1984. June.


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Journal of Financial Economics. 57. 2000. P. 309354.
4 ,
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, .: . S. Scholes and . A. Wolfson. Decentralized Investment Banking: The Case of Dividend-Reinvestment and Stock-Purchase Plans// Journal of Financial Economics. 24. 1989. September. P. 736.

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, 1 9 8 2 1 9 9 9 .
: J. . Carlson. W hy Is th e Dividend
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8 : . Jagannathan, . Stephens, and . S. Weisi
bach. Financial Flexibility and the Choice between Dividends and Stock Repurchases// Journal of Financial
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American Economic Review. 46. 1956. May. P. 97113.
10 : Terry A. Marsh and Robert . Merton. Dividend Behavior
for the Aggregate Stock Market / / Journal of Business. 60: 140. 1987. January. P. 56.

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12 . F. Fama and . Babiak. Dividend Policy: An Empirical Analysis / / Journal of the American Statistical
Association. 63. 1968. December. P. 11321161.

16.

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of Finance. 52. 1997. July. P. 10071034. : . DeAngelo, L. DeAngelo, and
D. Skinner. Reversal of Fortune: Dividend Signaling and the Disappearance of Sustained Earnings Growth / /
Journal of Financial Economics. 40. 1996. P. 341372.
14 Cm.: P. Healy and K. Palepu. Earnings Information Conveyed by Dividend Initiations and Omissions / / Journal
of Financial Economics. 21. 1988. P. 149175.
15 , .
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16 [
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.: . L. Dewenter and V. A. Warther. Dividends, Asymmetric Information, and Agency Conflicts: Evidence
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P. 879904.

412

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: D. S ofer, . Brigham, and P. Evanson. T h e Dividend Cut
, .
H eard R ound th e W orld: T h e C a s e of F P L // Jo u rn a l of A pplied1
C o rp o ra te F inance. 9 . 1996. S pring. P. 415.

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18. 17 .: R. Comment and G. Jarrell. The Relative Signalling Power of Dutch-Auction and Fixed Price Self-Tender
Offers and Open-Market Share Repurchases / / Journal of Finance. 46. 1991. September. P. 12431271.
;
.: D. Ikenberry, J. Lakonishok, and . Vermaelen. Market Underreaction to Open Market Share Repurchases / /
Journal of Financial Economics. 39. 1995. P. 181208.
18 ,
. .: D. S. Lee, W. Mikkelson, and . . Partch.
Managers Trading around Stock Repurchases I I Journal of Finance. 47. 1992. P. 19471961.

16.

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Offers and Open-Market Share Repurchases.
20 . H. Miller and F. Modigliani. Dividend Policy, Growth and the Valuation of Shares / / Journal of Business. 34.
1961. October. P. 411433.
21 , . , ,
1938 . : J. . Williams. The Theory of Investment Value. Cambridge, MA Harvard University Press,
1938. , : J. Lintner. Dividends,
Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations / / Review of Economics and
Statistics. 44. 1962. August. P. 243269.

414

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. Graham and D. L. Dodd. Security Analysis: Principles and Techniques. 3rd ed. New York: McGraw-Hill
Book Company, 1951. P. 432 . Graham, D. L. Dodd, and S. Cottle. Security Analysis: Principles and
Techniques. 4th ed. New York: McGraw-Hill Book Company, 1962. P. 480.

16.

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Policies around the World / / Journal of Finance. 55. 2000. February. P. 134.
30 , , ,
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. J. Brennan. Taxes, Market Valuation and Corporate Financial Policy / / National Tax Journal. 23. 1970.
December. P. 417427.

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or Information Effects// Journal of .Finance. 37. 1982. May. P. 429443; . H. Miller and M. Scholes.
Dividends and Taxes: Some Empirical Evidence// Journal of Political Economy. 90. 1982. P. 11181141.
. :
. . Miller. Behavioral Rationality in Finance: The Case of Dividends// Journal of Business. 59. 1986.
October. P. S451-S468.

16.

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Returns / / Journal of Financical Economics. 1. 1974. May. P. 122; . H. Miller and M. S. Scholes. Dividends
and Taxes// Journal of Financial Economics. 6. 1978. December. P. 333364; . H. Miller. Behavioral
Rationality in Finance: The Case of Dividends / / Journal of Business. 59. 1986. October. P. S451S468.

16.
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40 : F. Allen, . . Bernardo, and I. Welch. A Theory of Dividends Based on Tax


Clienteles / / Journal of Finance. 55. 2000. December. P. 24992536.

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_____________
. ,

:
J. Lintner. Distribution of Incomes of Corporations among Divi
dends, Retained Earnings, and Taxes / / American Economic
Review. 46: 97113. 1956. May.
,
,
,
:
. A. Marsh and R. . Merton. Dividend Behavior for the Ag
gregate Stock Market / / Journal of Business. 60: 140. 1987.
January.
, ,
:
. . Miller and F. Modigliani. Dividend Policy, Growth and the
Valuation of Shares / / Journal of Business. 34: 411433. 1961.
October.

,
.
:
S. Bhattacharya. Imperfect Information, Dividend Policy and the
Bird in the Hand Fallacy / / Bell Journal of Economics and
Management Science. 10: 259270. 1979. Spring.
. H. Miller and K. Rock. Dividend Policy under Asymmetric
Information/ / Journal of Finance. 40: 10311052. 1985. Sep
tember.
1998 .
Financial Management,
.
.


:
. J. Brennan. Taxes, Market Valuation and Corporate Financial
Policy I I National Tax Journal. 23: 417427. 1970. December.

16.

,
, :
F. Black and . S. Scholes. The Effects of Dividend Yield and

Dividend Policy on Common Stock Prices and Returns//


Journal of Financial Economics. 1: 122. 1974. May.
. H. Miller and M. S. Scholes. Dividends and Taxes / / Journal

of Financial Economics. 6: 333364. 1978. December.

429

.:
R. Michaely and A. Kalay. Dividends and Taxes: A Re-Examina
tion / / Financial Management. 29: 5575. 2000. Summer.

:
. . Miller. Behavioral Rationality in Finance: The Case of
Dividends //Journal of Business. 59: S451S468. 1986. October.


1. 2001 . Merck
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International Paper

1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000

0,17
0,19
0,21
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tion Finance and the Theory of Investment / / American
Economic Review. 48. 1958. June. P. 261297. ,
1938 . . .
.

.: J. . Williams. The Theory of Investment Value. Cambrid


ge, MA: Harvard University Press, 1938; D. Durand. Cost of
Debt and Equity Funds for Business: Trends and Problems of
Measurement / / Conference on Research in Business Finance.
New York: National Bureau of Economic Research, 1952.

|
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435

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2 .: . F. Fama. The Effects of a Finns Investment and Financing Decisions / / American Economic Review. 68.
1978. June. P. 272284. , ,
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17. ?

437

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Finance. New York: National Bureau of Economic Research, 1952.
14 , :
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_______________
:
F. Modigliani and . . Miller. The Cost of Capital, Corporation
Finance and the Theory of Investment / / American Economic
Review. 48: 261297. 1958. June.


, :
D. Durand. Cost of Debt and Equity Funds for Business: Trends
and Problems in Measurement / / Conference on Research in

17. ?
Business Finance. New York: National Bureau of Economic
Research, 1952. P. 215247.

451

:
F. Modigliani and . Miller. Reply to Heins and Sprenkle / /
American Economic Review. 59: 592595. 1969. September.


:
J. . Stiglitz. On the Irrelevance of Corporate Financial Policy / /
American Economic Review. 64: 851866. 1974. December.
E. F. Fama. The Effects of a Firms Investment and Financing
Decisions / / American Economic Review. 68: 272284. 1978.
June.

,

:
R. S. Hamada. Portfolio Analysis, Market Equilibrium and
Corporation Finance// Journal of Finance. 24: 1331. 1969.
March.

Journal of Economic Perspectives


1988 . ,
, .
Financial Management 1989 .
Reflections on the
Propositions 30 Years Later.

___________
1.

.

()

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1963 .: F. Modigliani and . . Miller. Corporate Income Taxes and the Cost of Capital: A Correction//
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Tax Advantages of Equity [ ]. Graduate School of Industrial Administration, Carnegie
Mellon University, January 2001.
12 .: . DeAngelo and R. Masulis.
Optimal Capital Structure under Corporate and Personal Taxation / / Journal of Financial Economics. 8.
1980. March. P. 5-29.

463

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73; J. R. Graham. Proxies for the Corporate Marginal Tax Rate / / Journal of Financial Economics. 42. 1996.
October. P. 187221.
14 ,
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Debt?/ / Journal of Finance. 55. 2000. October. P. 19011941.

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15 S. P. Sherman. Bankruptcys Spreading Blight / / Fortune. 1991. June 3. P. 123132.
16 L. Gibbs and A. Boardman. A Billion Later, Easterns Finally Gone / / American Lawyer Newspaper Groups.
1995. February 6.
17 : J. . Warner. Bankruptcy Costs: Some Evidence / / Journal
of Finance. 26. 1977. May. P. 337348. .: L. A. Weiss. Bankruptcy
Resolution: Direct Costs and Violation of Priority of Claims / / Journal of Financial Economics. 27. 1990.
October. P. 285314; E. I. Altman. A Further Investigation on the Bankruptcy Cost Question// Journal of
Finance. 39. 1984. September. P. 10671089.
G. Andrade and S. N. Kaplan. How Costly is Financial (not Economic) Distress? Evidence from Highly
Leveraged Transactions that Became Distressed / / Journal of Finance. 53. 1998. October. P. 14431493.

468

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September 10. P. 116.

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19 Eastern Airlines .: L. A. Weiss and . . Wruck. Information Problems, Conflicts of


Interest, and Asset Stripping: Chapter 11s Failure in the Case of Eastern Airlines// Journal of Financial
Economics. 48. 1998. P. 5597.
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Nexus: Some Empirical Evidence / / Midland Corporate Finance Journal. 3. 1985. Fall. P. 5359.

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34 , 2000 1965 1992 .,
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39 C m .: L. Shyam Sunder and S. C. Myers. Testing Static Tradeoff Against Pecking Order Models of Capital
Structure / / Journal of Financial Economics. 51. 1999. February. P. 219244.

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1993. Spring. P. 414.
41 . C. Jensen. Agency Costs of Free Cash Flow, Corporate Finance and Takeovers / / American Economic
Review. 26. 1986. May. P. 323.

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________________


.:
F. Modigliani and . . Miller. Corporate Income Taxes and the
Cost of Capital: A Correction 11 American Economic Review.
53: 433-443. 1963. June.
F. Modigliani and . H. Miller. Some Estimates of the Cost of
Capital to the Electric Utility Industry, 19545711 American
Economic Review. 56: 333391. 1966. June.

. , ,

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:
. . Miller. Debt and Taxes / / Journal of Finance. 32: 261276.
1977. May.
H. DeAngelo and R. Masulis. Optimal Capital Structure under
Corporate Taxation 11 Journal of Financial Economics. 8: 5
29. 1980. March.
/. R. Graham. How Big Are the Tax Benefits of Debt? 11 Journal
of Finance. 55: 19011941. 2000. October.


. (
,
. 20.)
. . Jensen and W. . Meckling. Theory of the Firm: Managerial
Behavior, Agency Costs and Ownership Structure / / Journal
of Financial Economics. 3: 305360. 1976. October.
S. C. Myers. Determinants of Corporate Borrowing 11 Journal of
Financial Economics. 5: 146175. 1977.

D. Galai and R. W. Masulis. The Option Pricing Model and the

Risk Factor of Stock// Journal of Financial Economics. 3:


5382. 1976. JanuaryMarch.
, ,
, .

- .
S. . Myers. The Capital Structure Puzzle / / Journal of Finance.
39: 575-592. 1984. July.
S. C. Myers and N. S. Majluf. Corporate Financing and Invest
ment Decisions When Firms Have Information Investors Do
Not Have// Journal of Financial Economics. 13: 187222.
1984. June.
/. Baskin. An Empirical Investigation of the Pecking Order
Hypothesis// Financial Management. 18: 2635. 1989. Spring.
L. Shyam-Sunder and S. C. Myers. Testing Static Trade-Off
Against Pecking-Order Models of Capital Structure 11 Journal
of Financial Economics. 51: 219244. 1999. February.

:
. J. Barclay, . W. Smith, and R. L. Watts. The Determinants of
Corporate Leverage and Dividend Policies// Journal of Ap
plied Corporate Finance. 7: 419. 1995. Winter.
M. Harris and A. Raviv. The Theory of Optimal Capital Struc
ture 11 Journal of Finance. 48: 297356. 1991. March.
S. C. Myers. Capital Structure 11 Journal of Economic Perspec
tives. 15: 81102. 2000. Spring.
1993 . 1995 .
Journal of Applied Corporate Finance
,
.
Financial Economics 1986 . (vol. 15, 1/2)

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The Impact of Capital Structure Change on Firm Value / /
Journal of Finance. 38. 1983. March. P. 107126.

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19.

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D. L. Lessard. Valuing Foreign Cash Flows: An Adjusted Present Value Approach / / D. L. Lessard (ed.). Inter
national Financial Management: Theory and Application. Boston, MA: Warren, Gorham and Lamont, 1979.

506

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8,45% . ,

108,45% . 1,0845= 103 250, = 95 205.
100 . . 95 205 .
, (4795 .) , ,
.

, ,
,
. ,
$103 250
^^ $10845 _

, ,
. , :
,
?. 95 205 .: 13%,
8,45% , ,
95 205 . 1,0845 = 103 250 .
. 100 . .
95 205 ., 4795 .,
.
.
, ,
,
25.
25 ,
, . ,
. - ,
,
. .

512

.
. ,
; ,
. , ,
,
.
26.

. ,
, .

.
27.
.
.
, ,
, ;

.
.
, , ,
. , ,
,
. ,
28.
, 200 . .,
, (. . 6.4).
:

( % )
( . .)
= 0,35 ( . .)

20
40
14

2
32
64
22,4

3
19,2
38,4
13,4

11,5
23

11,5
23

8,1

8,1

6
5,8

11,6
4 ,0

26 :
.
,
. , ,
1 .
1 , 10 .
,
, .
. ,
, ,
, . .: F. Fisher and . Romaine. Janis
Joplins Yearbook and Theory of Damages / / Journal of Accounting, Auditing & Finance. 5. 1990.
Winter/Spring. P. 145157.
27 , .
, .
28 , ,
.
:
, ?
,
?.

19.

513

/(1 ) = 0,13(1 0,35) = 0,0845. (


- , 13%,
35%.)
:
_ $14
~ 1,0845

$22 400 $13 400


$8100
$8100
$4000
+ (1,0845)2+ (1,0845)3 + (1,0845)4 + (1,0845)5 + (1,0845)6 ~ +5 200-


WACC APV? , ,
.
.
1 .,
.
35% 650 . .
,
,
. , 8%.
, .
, * = ( 1 ) =
= 0,08(1 0,35) = 0,052:
$650 000
= - 5~2 - = 61790 650 . .? 617 900 .

650 . .
100%
.
, rD( 1 )
WACC 100%
{D /V= 1):
= /(1 ~ ) + = /(1 - ),
D
,
= 1

= 0.

. APV
. -, 650 . .
8%. -,
,
. 100% ,
rDTcAPV. APV:
$650 000 0,08 0,35 APV
A P V = ------------- 1 1-----------------1,08
1,08
APV= 617 900 . ,
. ,
APV.

514

19.6.
.
?
. .
WACC , .
WACC,
. ,
, .
, -,
,
, WACC WACC
. WACC
.
. WACC
. ,
?
. , .
, ,
, ,
. ( ,
. ,
100% . ,
.)


, WACC .
, 19.3.
. - ?
. ! 30% WACC
:
D

WACC= rD( 1 - + = 0,09 (1 - 0,35) * 0,3+ 0,15 0,7= 0,1226, 12,26%.


50%?
.
1. :
D

rj) + = 0,09 0,3 + 0,15 0,7= 0,132, 13,2%.


2. .
50% , 30%. ,
, rD= 0,095. :
D
50
rE= r+ ( rD) = 0,132+ (0,132 0,095) = 0,169, 16,9%.
iS
Jl)
3. WACC:
WACC= rD( 1 ~ ) + =
= 0,095 ( 1 - 0,35) 0,5+ 0,169 0,5= 0,1154, 11,54%.

19.

515

.
?
. ,
, .
,
/ /, WACC. ,
, 9, :
, rD( 1 ).
, ()
. ,
(, . . 8.4)
(. . 4.3).
. , . ,
?
. 29:
/ = + (/1 - )

/ ,

>

, 0 .

.
?
. . 9.
:
D

_ +

(),
$ .
. , ,
. ?
. ,
().
, ,
.
,
. , ,
.

, ,

.

.

29 2. ,
. , ,
, :
= + ~ ) ( 1 - T J j

516

, 30.
9.5.
. .
. , *1
. , : (1)
WACC
(2) .
31.
APV, 1*,
.
. 7*
, .
.
.
(APV)?
. WACC :
, .
, ,
APV.
A PV :
APV= NPV+ PVKajloT3aui,
N PV .

( ,
WACC). , , WACC
2,
. ,
, ,
APV, (. . 19.1)32.
, ,
.
, .
APV.

,
: - .
, .
30 :
,
, , 2,5 . ,
, .
31 / , ,
.
32 , 19-5, , , ,
19.1 .
: ,
.
, ,
. ,
.

19.

, , ,
.
,
. ,
, , . ,
, ,
, ,
, ,
.
. .

,
, ( )
.
(APV).

( WACC):
WACC=rD( 1 - ) + .
rD ,
; D ylE
(); V
( V= D + ).
, ,
: , , ,

( ). WACC
,
.
WACC
.
WACC
,
. ,
,
. 2. ,
WACC ,
. ,
APV.
APV .
-
.
.
, ,
(APV) :
, APV= NPV +

/^

>

0.

NPV ,
:
. ,
- :

518

. ,
-, .
,
( ) NPV.
.
1. .
,
NPV.
2. . ,
. ,
. , ,
, .
(APV)
, .
3. .
. ,
.
NPV.
()
. , ,
, 1 . .
1 .;
.
,
, . ,
.
; - ,
.
APV : N PV
.
APV :
(
),
.
, APV :
NPV ( ) = APV=
= NPV ( ) + PVna6a4Hhlc WACC.
100% . . ,
, ,
. ,
:
.

H arvard B usiness Review


APV:

S. . Myers. Interactions o f Corporate Financing and Investment


Decisions Im plications for Capital Budgeting 11 Journal o f
Finance. 29: 125. 1974. March.

. A. Luehrman. U sing APV: A B etter T ool for Valuing


O p e ra tio n s// Harvard Business Review. 75: 145154. 1997.
M ayJune.

19.

,
. :
/. Miles, R. Ezzell. The Weighted Average Cost o f Capital, Perfect
Capital M arkets, and Project Life: A Clarification / / Journal
o f Financial and Quantitative Analysis. 15: 719730. 1980.
September.

519
R. A. Taggart, Jr. C onsistent V aluation and C ost o f C apital
Expressions with Corporate and Personal T a x e s // Financial
Management. 20: 820. 1991. Autumn.

:
R. S. Ruback. Calculating the M arket Value o f Risk-Free Cash
Flows / / Journal o f Financial Economics. 15: 323339. 1986.
March.


1.
(WACC)
(), .
:
75 .
90% .
9%.
: 2,5
42 . .
18%.

)

W (

);
) ,
;
)
?
6.

1
( ) 2
( ).

?


?

7.


A P V ?

.

2. ,
.
15%
(D/V= 0,15). 8,6%.
WACC
. ,
19.3.

8.

1 .,

( N P V 0).
(APV) ?

:
= 0,35.

)
500 . . .
15%
.

3. ,
WACC
:
)

;

)
. ,

500 . . .
175 . .
) ,
500 . .

76 . .

) , ,

;

)
,
?
4.


?
?
() ?

5. ,
APV.
)
;

9.


.
12%.
)

?
) ,
,
30% ( D / V = 0,30).

?
7,5% , 35%.

520

10.

12. W ACC ,

,
19.1.

= 0,35, * = 0,10?

,

.
? .

11.
. 1000 .,
1200.

= 0 ,2 0 . rD= 0,10,
=
= * = 0,35.

13.


? .

14.
16 .

12 .
35%.
?
5,5% .

) N P V ?
) APV,
30% ?


1.

19.2
.
,

.
10%,
9%. 10
, 90 .
.
18%.

4.

19.3
.
.
6%
( ) 8% ( ).
15%.
7,46 ,
46 . .
35%.

5.

W ACC
,
50 .

? ,
.
,
19.3.

6.

4.

100,5 .
, , ,
.
.

7.


.
,
.
WAG
. ,
8%
, -

WACC .

.
35%.

2. ,

,
. . ,

. ( :
? ?
?)
3.



80 .
20 .
( )

4 .

?

1 9 .2
1.
(
.)

,

-

100
50
200
350
2100
150
2600

120
280
400
1800
400
2600

19.
1 9 .3
4.


(
. .)

521

,


-


125
246
302
89

637 500

,

1 0,08 = 0,92.
15%,
15/0,92 = 16,3%.
,
.

?
8.
(/ = 0) 1 .
600 . .
t= 1 700 . . t = 2.
.

12%, 8%,
300 . .
.
,
0,30 .
. APV ,
, 19.1.
9.
()
.
, .
,
100 . .,
.
,
9%,
35%? :
.
10. ,
19.1.
1 .,
85 . .
.

10%,
7%.
0,35 .
(7* = = 0,35).
APV,
:
)
400 . .,
;

1 500

120 0 0 0
000
500
000

75 600
62 000
137
208
45
246
637

600
600
000
300
500

)

.
,
() () .
11. ,

.

,

.
7%.
.

: 400 . .
7% 600 . .

(
10%).

,
:
D

r= rD= 0,07 X

400 000
1000 000

+ - =
+ 0,10

600 000

1 000 000

= 0,088, 8,8
, ?
?
?
,

?
12.

( *)?

WACC1
13.


40%.

. 1 .,
,
130 . .
.

522

,
,
.
1 .
, 20- .

5% ,
1 '/ 2%.
-

14%, ,

19%.
.
, ,
7%,

82%.

.
- ?
?
14. - ,

,

. :
WA= (1 - Tc)rDy + ~ =
= (1 - 0,35) 0,103 0,55 + 0,183 0,45 =
= 0,1192, =12%.
- ,

. :

" 0 ,1 5 ,

rm- rf = 0 ,0 8 5
/= 9%

1 i0 9

:

,
.
15. 40%

,
9,7%:
= ( 1 - Tc)rDj

+ =

= (1 - 0,35) 0,085 0,40 + 0,125 0,60 = 0,097.



75 .
9%

.
10% .

,
WACC 9,4%:
WACC= (1 - 0,35) 0,085 0,40 + 0,09 0,10 +
+ 0,125 0,50= 0,094, 9,4%.
? .
16. APV

. ,
,
?
17.
19.4
.
10 ., NPV 170 . .
, 5 .
,
.
,
,

5 . 5%.
,
647 500 . 10 (
, ).
)
5%?
8%,
35%.
) ,

50% .

,
19.1, APV


?
18. 19.4
Phillips Petroleum
2001 .
:
(/)
( )
, 60
S& P
:

20-

( )

2 5 6 ,2
59 .
= 0 ,6 6
3 ,5 %
5 ,8 %
7 ,4 %
35%

) WACC Phillips Petroleum,



.

.

19.
1 9 .4
18.


Phillips P etroleum 2001 .
( .)

523

2202
15 124
3 428

20 754

) WACC Phillips Petroleum,



/ (D /V) 25%
?

2 780

6 268
2 144
2510
7 052
20 754

19. WACC
Phillips Petroleum.
WACC.
WACC
? .


1.

21 :
* = - LrDT*

l + rD

= WACC.


(*) ,
. ,

,
2.
2. 19.3 ,
WACC
.
.

WACC
. * = .
. ?
3. ,
.
/ L.
, .

4.

1:
( )
.
(*)
33. : ()
WACC ;
()

?
2

. ,
,
1.
, 1
?

33 . .: F. Modigliani and
. . Miller. Corporate Income Taxes and the Cost of Capital:
A Correction / / American Economic Review. 53. 1963. June.
P. 433443; F. Modigliani and . H. Miller. Some Estimates
of the Cost of Capital to the Electric Utility Industry / /
American Economic Review. 56. 1966. June. P. 333391.

: -
:
www.e-aBalytlcs.com

www.dripcentral.com ( . .
)
- :
w w w .dukc.edii/~iKrahani

ValurPro
WACC.
www.valugDru .n et

: :

,
120 .;
BJ Services 4,8 ;
Tyco 3,5 .;

;
,
;
Hewlett-Packard ,
;

,
?

: (1) ; (2)
( )
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Warner. 20 , , 21
.
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. 10,

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: .
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() 20.1 ,
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,
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() (),
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2 : Fischer Black and


Myron Scholes. The Pricing of Options and Corporate Liabili
ties// Journal of Political Economy. 81. 1973. MayJune.
P. 637-654.

20.1. ,
(Chicago Board Options Exchange; )
1973 .,
. ,
.
, ,
.
20.1 22 2001 .
AOL .
.

20.

529

()

( )

55 .

()

20.1
AOL. () 55 . ()
: , 55 . () ? ,
,

, , . ,
,

. ( AOL, . 20.1)
,
, .
20.1
AOLTime Warner .
2001 .
, 10,50 . ,
3 AOL 45 . 2001 . .
, , 5 . ( 50, 45 .),
3,75 . , 6,75 .
.
2002 .
2003 . ,
. , 60 .
2001 . 2,10 ., 2002 . 3,75 ., 2003 . 8,80 .
13 , 1900 .
, .

4. ,
AOL , .
20.2
2002 . 55 .
( . 20.1).
, AOL.
55 .,
3 .
() 100. 100
100 AOL.
4 L. Bachelier. de la Speculation. Paris: Gauthier-Villars, 1900.
.: P. . Cootner (ed.). The Random Character of Stock Market Prices. Cambridge, MA: M.I.T. Press, 1964.

530

2 0.1

AO L T im e W a rn e r 2 2
2001 .,
5 3 ,1 0 . (
.)

2001 .

45
50
55
60
65
70

10,50
6,75
3,85
2,10
1,07
0,52

1,97
3,15
5,25
8,50
12,50
17,10

2002 .

45
50
55
60
65
70
50
60
70
80
100

12,00
8,45
5,75
3,75
2,25
1,45

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4,35
6,5 5
9,55
13,20
17,50
7,30
12,40
19,40
27,80
47,00

:

,

2003 .*

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8,80
5,90
3,85
1,70

' LEAPS ( ).

55 ., .
, . ,
55., ,
.
55 ., . ,
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. 20.1,
5,75 ., .

20.1.

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, 20.1 ,
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, ,
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.
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20.2, .
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.
[ who sells what isnt hisn
Buys it back or goes to prison.]

.

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55 ., .
20.4, 5,75 .
2001 . ,
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20.36
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, , 20.4,
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20.
()

533
()

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2001 . 6,55 . .
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534

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20.

535

55 .
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536

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537

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20.
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F. Black and . Scholes. The Pricing of Options and Corporate
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MayJune.
R. C. Merton. Theory of Rational Option Pricing / / Bell Journal
of Economics and Management Science. 4: 141183. 1973.
Spring.

. :

/. Hull. Options, Futures and Other Derivatives. 5th ed.


Englewood Cliffs, NJ: Prentice-Hall, Inc., 2003.
R. Jarrow and S. Turnbull. Derivative Securities. 2nd ed. Cincinna
ti, OH: South-Western College Publishing, 1999.
M. Rubinstein. Derivatives: APowerPlus Picture Book. 199817.
17 :
WWW.ip-tlK-rnOIKv.Ctun.

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NORM SDIST(0,0757), 0,4698. ,
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3. .
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_______________
:
F. Black and . Scholes. The Pricing of Options and Corporate
Liabilities// Journal of Political Economy. 81: 637654. 1973.
MayJune.
R. C. Merton. Theory of Rational Option Pricing / / Bell Journal
of Economics and Management Science. 4: 141183. 1973.
Spring.

,
20,


.

__________
1.


: 20%,
16,7%. 40 .
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)
40 ?

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Standard & Poors Market Insight (www.mhhe.com/
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19812000 . ( %)

1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000

13,3
14,6
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I ( .)

1982

1983

1984

1985

1986

1987


* (1)
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250
0
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100
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+125

NPV 20% = -46,45, = -4 6 .


* 1982 . - .

575

22.
2 2 .2




II

1.
2.
3.
4.

5.

II , 1985 .
II I (
). 900 . ( )
.
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807 . 1985 . 807/(1,2)3 = 467 . 1982 .
.
,
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10%.

II
467 . 900 .

( .)
$900
^

PV[EX) -

= $676;

( 1 . 1)3

= [/fd ,) X ] - [A/(d2)xPl/(X )];


d , = ln(P/PI/(X))/o-Jf + o i/f/2 = ln(0,691)/0,606 + 0,606/2 = -0,3072;
d 2 = d , - /f = -0,3072 - 0,606 = -0,9134;
N (d ,)

= 0,3793, N(d2) =0,1805;

= 0,3793 x $467 - 0,1805 x $676 = $55,12, 55,12 .

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467 .
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576

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2 2 .3
II, 1982 . ( .)
1982




(P V )
20%
,
P V 10%

1985

+467

-------- -

+807

676

-------- -

900

1986

1987

1988

1989

1990

+220
100
+120

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200
+118

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200
+390

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+620

0
-250
+250

(P V 1982 .)

N P V 1985 .

-93

. 22.2 35% .
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, : II .
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( II). .: W. Margrabe. The Value of an
Option to Exchange One Asset for Another / / Journal of Finance. 33. 1978. March. P. 177186.

577

22.
22.1



II 1985 .

800 .,
900 .
.




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900 . (
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(900)

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22.2
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= 5% =
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22.3 .
7 : P. D. Childs, . J. Riddiough, and A. J. Triantis. M ixed Uses and the
Redevelopment O ption / / Real Estate Economics. 24. 1996. Fall. P. 317339.

22.

581

2 2 .3


,
.

,

: P. D. Childs, . J. Riddiough, and A. J. Triantis.
Mixed Uses and the Redevelopment Option // Real Estate
Economics. 24. 1996. Fall. P. 317 339 (fig. 1).

22.3.
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4,30
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3,87
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3,49

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3,87

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6,56

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5,31

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4,30

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3, 5, 7 9, 10. 1 3 ,8 4 .


) :
NPV= PVxm - PVU0CT - =

= $17,00 $5,15 $12,00 = $0,15, 0,15 .


, -
.

583

22.

. -
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14%. .
115% ,
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1,70 . 1,15 = 1,96 .
1,70 . 0,87= 1,48 . 10.
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22.4 1.
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.)
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= 0,6791;
= 1 ~ = 0,3209.

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22.4.
.
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584

. 10,
. , 10
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, ,
5,28 .
6,18 . + 3,49 . = 9,67 ., ,
10. :
4,50 . + 3,49 . = 7,99 .
:
_

P V =

0,6791 $9,67 + 0,3209 * $7,99

----------------- ~rf----------- 2 =$8,61, 8,61 .


1,06

9,
3,87 ., . ,
9 22.4 8,61 .
,
9.
, ,
. , 0,42 .
:
_

PV=

0,6791 ($0,59 + $3,49) + 0,3209 ($0,27 + $3,49 )

----------- 1
1
----------------- - =$3,75, 3,75 .
1,06

3,87 ., 9,
0,42 .,
(3,87).
9
8.
8, , 7,
11.
, 0,42 . ,
0,42 . .
13,84 ., , :
NPV= 13,84 . 12,00 . = +1,84 .
NPV ?12
,
22.4 (
), N P V b 0,15 ., 1,99 . NPV
. 1,99 .:
A P V = N P (6 ) + 13 =

=-$0,15 + $1,99 = $1,84, 1,84 .


11 .
. 22.4 -,
(www. inhhc. cora/fem L ;).

12 , .
11,85 ., : N P V = 11,85 .
12,00 . = 0 ,1 5 .
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1,84 . .

22.

585

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14.
1.
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15.
14 .: S. . Myers and S. Majd. A bandonm ent Value and Project Life / / F. J. Fabozzi (ed.). Advances in Futures
and Options Research. JAI Press, 1990.
15 , .
.

586
2 2 .5

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16
, . .: . . Dixit and
R. S. Pindyck. Investment under Uncertainty. Princeton, NJ: Princeton University Press, 1994. Chap. 7.

587

22.



, Hewlett-Packard (HP)
1990-
. . 1980- HP



.
, . HP
,
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,
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,
,

,

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.
, HP 3 .

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HP.
? .

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, HP

.
: P .C oy. Exploiting Uncertainty// Business Week. 1999.
June 7.

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588

2 2 .4
, , 4 .
,

: J. Stonier. What is an Aircraft Purchase Option Worth? Quantifying Asset Flexibility Created through Manufacturer Lead-Time Reductions
and Product Commonality// G. F. B utler and M. R. K eller (eds.). Handbook of Airline Finance. Aviation Week Books, 1999. Fig. 17-17.

3
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22.4
320. ,
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17 : J. . Stonier. What is an Aircraft Purchase Option Worth?
Quantifying Asset Flexibility Created through Manufacturer Lead-Time Reductions and Product Common
ality / / G. F. Butler and M. R. Keller (eds.). Handbook of Airline Finance. Aviation Week Books, 1999.

589

22.
2 2 .6

:


( . . 22.4).
,

,



: J. Stonier. What is an Aircraft Pur
chase Option Worth? Quantifying Asset Flex
ibility Created through Manufacturer LeadTim e Reductions and Product Commonality.
Fig. 17-20.

1,0

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592


10
,
. ( 2001 .) Journal
of Applied Corporate Finance
,
:
A. Triantis and A. Borison. Real Options: State of the Practice 11
Journal of Applied Corporate Finance. 14: 824. 2001. Summer.

( 1993 .) Financial Management


, ,
, ,
,
( ):
N. Kulatilaka. The Value of Flexibility: The Case of a Dual-Fuel
Industrial Steam Boiler I I Financial Management. 22: 271
280. 1993. Autumn.


:
. Copeland and V. Antikarov. Real Options: A Practitioners
Guide. New York: Texere, 2001.
A. K. Dixit and R. S. Pindyck. Investment under Uncertainty.
Princeton, NJ: Princeton University Press, 1994.
M. Amran and N. Kulatilaka. Real Options: Managing Strategic
Investments in an Uncertain World. Boston: Harvard Business
School Press, 1999.
L. Trigeorgis. Real Options. Cambridge, MA: MIT Press, 1996.


:
S. P. Mason and R. . Merton. The Role of Contingent Claims
Analysis in Corporate Finance I I E. I. Altman and M. G. Sub
rahmanyan (eds.). Recent Advances in Corporate Finance.
Homewood, IL: Richard D. Irwin, Inc., 1985.

:
. J. Brennan and . S. Schwartz. Evaluating Natural Resource
Investments/ / Journal of Business. 58: 135157. 1985. April.


1.
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High Are Option Values in Energy-Efficient Investments? I I
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5

, ,
: F. Black and . Scholes. The Pricing of Options and Corporate Liabilities I I
Journal of Political Economy. 81. 1973. MayJune. P. 637654.
: D. Galai and . I. Schneller. Pricing of Warrants and the Valuation of the Firm 11
Journal of Finance. 33. 1978. December. P. 13331342.
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LYONs: A Case Study in Financial Innovation// Journal of Applied Corporate Finance. 4. 1992. Winter.
P. 4047. LYONs, Waste Management,
.: J. McConnell and . S. Schwartz. Taming LYONs / / Journal of Finance. 41. 1986. July. P. 561576.

23.

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1289.
19 Cm.: /. D. Finnerty. The Case for Issuing Synthetic Convertible Bonds / / Midland Corporate Finance Journal. 4.
1986. Fall. P. 7382.
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.: . J. Brennan and . S. Schwartz. The Case for Convertibles//Journal of Applied Corporate Finance. 1.
1988. Summer. P. 5564.

. , , ,
.
. .: . . Lewis, R. J. Rogalski, and J. . Seward. Understanding the Design of Convertible Debt//
Journal of Applied Corporate Finance. 11. 1998. Spring. P. 4553.
,
, . 15,
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,
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, . .: J. Stein.
Convertible Bonds as Backdoor Equity Financing / / Journal of Financial Economics. 32. 1992. P. 321.

610

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and Questions//Journal of Money, Credit and Banking. 10. 1978. May. P. 170183.

23.

611


,
20 2 1 ,
,
, . . .
.
:
J. . Ingersoll. A Contingent Claims Valuation of Convertible
Securities / / Journal of Financial Economics. 4: 289322.
1977. May.
.
:
J. . Ingersoll. An Examination of Corporate Call Policies on
Convertible Securities I I Journal of Finance. 32: 463478.
1977. May.
. E.
, , ,
, ; ,
:
. 1. Brennan and . S. Schwartz. Convertible Bonds: Valuation
and Optimal Strategies for Call and Conversion / / Journal of
Finance. 32: 16991715. 1977. December.

:
. S. Shwartz. The Valuation of Warrants: Implementing a New
Approach / / Journal of Financial Economics. 4: 7993. 1977.
January.
D. Galai and M. A. Schneller. Pricing of Warrants and the Value
of the Firm// Journal of Finance. 33: 13331342. 1978.
December.
.
,

, :
P. Asquith. Convertible Bonds Are Not Called Late I I Journal of
Finance. 50: 12751289. 1995. September.


.:
. 1. Brennan and . S. Schwartz. The Case for Convertibles / /
Journal of Applied Corporate Finance. 1: 5564. 1988. Summer.
. M. Lewis, R. J. Rogalski, and J. K. Seward. Understanding the
Design of Convertible Debt / / Journal of Applied Corporate
Finance. 11: 4553. 1998. Spring.


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New York: August M. Kelley, Publishers, 1965; 1930 .
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Changes / / Journal of Finance. 27. 1972. May. P. 251278.
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