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

Mc
Gravu
Hill

McGraw-Hill
Irwin

Boston Burr Ridge, IL Dubuque, IA Madison, Wl N e w York San Francisco St. Louis
Bangkok Bogota Caracas Kuala L u m p u r Lisbon L o n d o n Madrid Mexico City
Milan Montreal N e w Delhi Santiago Seoul Singapore Sydney Taipei Toronto

2 0 0 8

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

ISBN 0-471-18093-9 (.)

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

by The McGraw-Hil Companies, Inc.
Al rights reserved.
, . ., , 2004
.

xxv

xxvi

xxvii

.
1.

1.1. ?

1.2.

1.3. ?

1.4.

1.5.

11

2.
2.1.

13
14

15

16

17

18

2.2.
:
2.3.

19

22

23

2.4. ?
2.5. ?

24
25

27

28
29
V

vi

3.
3.1.

31
32

DF ,
,
NPV.
3.2.

34
35

36

3.3.

3.4.
3.5.

38
40
42
44

45

46

48

49
52

-.

53

4.

55

4.1.

56

4.2.

57

?
4.3.

58
60

61

64

65

4.4.

66

PVGO

68

69

/?

70

4.5.

71

72

73

74

75

76
78
79




-. -

vu
79
82
83

5.

5.1.

85
-

87

NPV,

NPV !

88

5.2.

5.3.

89

90

1: ?

92

2:

93

3:

95

4: ,
?

98

99

5.4.

101

102

103

105

106
108

-.

109

6.

6.1. ?



6.2. :

112

114
116
118

119

121

122

NPVjvm
6.3.

123

viii

124

127

128

6.4.

1:

129

2:

130

131

132

133
137

-.

139

: -

141

.
7. , :
7.1. 75-

145

148

149

7.2. ,

152

7.3.


7.4.

154
156
159
162

163

164

7.5.

167

8.
8.1.


8.2.

168
169

171
173

174
175
179
181
182

183

, ?

184

ix

8.3. :

184

185

189

8.4.

190

191

192

194

9.
9.1.

9.2.
Union Pacific Corp
9.3.

195
197
198
199
202

203
204
205
206
208
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.
10.1.

237
238

239

240

243

10.2. -

245

10.3.

249
250

251

252

254

255

258

259

260
261

-.

264

11.
11.1.

:
:
11.2.
100
11.3. :

263

265

266

268
271
272
273

275

276

277

278

279

281

282
283
284

-. -

286

12. ,

12.1.

xi

287
288

289

290

12.2. , ,




12.3.
:

291

292
293

294

295

12.4. :

297

EVA

300

EVA

302

12.5.

:
12.6.
?
?

303

304
306
308

310

311

312
313

315

: -

318

.

13.
13.1.

13.2. ?
:

:
13.3. : ?

321
322
323
324

327

33

332

334

xii

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335

1987 .

336

338

13.4.

339

1:
2:
3:

340

4:

342

5:

343

6:

344

345

14.
14.1.
?
?
14.2.

346

347
349

350
351

352
355

356

358

360

361

14.3.

362

364

14.4.

365

15.
15.1.

15.2.

367
369

370
371

372
373
375
377
378

379

380

381

382

383

15.3.

384
385


15.4.

386

387

388

389

15.5.

391
392

. ,
.

393
394

398

399
400

: -

402

.
16.
16.1.



16.2.

16.3.

16.4.

405
406

407

409

410
411
413

414

415

416

417

16.5.

,
16.6.

418
419

420

?
:

421

423

16.7.

424

425

426

428
429
430
433

xiv

17. ?
17.1.

434
435
436

437

438

17.2.

440

441

442

17.3.

443

444

445

448

18. ?
18.1.

Pfizer

450

451
453
454

455
456
457

458

18.2.

459

18.3.

463

464

467

469

470

471

, ,

472

474

475

18.4.

477

480

481

482
484

486
487

19.
19.1.

xv

488
489

490

492

19.2. WACC:

493

495

:

WACC

496
497

19.3. WACC

498

500

501

19.4.

502

504

505

APV
APV

506

507

509

APV

19.5.

510

511

512

513

19.6. -

514

516

518
519
520
523

: -

524

.
20.
20.1. ,

527
528

529

530

531

532

xvi

20.2.

533

536

538

20.3. ?

540

543

545

21.
21.1.



21.2.
:

546

547
549

551
552

554
556

559

560

21.3. -

561

562

564

21.4. :

565
568

569
571

-.

572

22.
22.1.

573
574

II

575

578

22.2.

579

580

22.3.



22.4. ,

22.5. ?

581

585

586
588
590
591

23.
23.1. ?

:
:

23.2. ?

xvii
592

593
594

596

597

598
599
601

602

604

605

23.3.

607

23.4. ?

608

610

611

612
613

-.

615

: -

616

.
24.
24.1.

619
620

622

623

24.2.

624

626

24.3.

627

24.4.

629

630

631

632

633

xviii
24.5.

635

636

637

638

641

642

644

25.
25.1.

645
647
648

650
651

25.2.
, ,

653

25.3.

654

25.4.

656

25.5.


25.6.

25.7.

657
659
661
-

663

665

25.8.

667

669

11? (6770) (6772)

(672)

673
674
675
676

26.

677

26.1. ?

678

26.2. ?

679

26.3.

?

680
682

684


26.4.

?

xix
685
686

687

688

26.5. ?

690
691
692

693
694
695
696

-.

698

: -

700

.
27.
27.1.
BP
27.2.

703
704
705
706

707

709

:
:
27.3.

27.4.

710
712

713

715

716

27.5.

717

718

720

27.6. - ?

28.

721
723
725

726
729

731

28.1.

28.2.

733

734

735

736

737

?
28.3.


28.4.

28.5.

741
743

744
746
747
749
750
51
752
754

-. Exacta, s.

755

: -

756

.

29.
29.1.
29.2. :

759
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

.


30.2.

30.3.

790

791
792
793

794

795

30.4.

797

:
:
30.5.

798
800

801

802

803

30.6.

804

807

809

31.
31.1.

811

812
814

815
-

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

32.

836
837
838
840

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.
33.1.

861
862
863

864

865

33.2.

866
867

:

33.3.

: , ?

869
870
872

xxiii

874

875

33.4.

876

877

33.5.
Cities Service, Gulf Oil Phillips Petroleum

878
879
880

882

AlliedSignal A M P

884

885

33.6.

886

887

888

34. ,
34.1. ,
RJR Nabisco

890
892

893
894

895
896

898

900

901

34.2.

903

904

905

34.3.
: ( )

906

909

910

912

913

34.4. ,

914

915

...

917

918

919

921
922

xxiv

: -

922
923

924

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35. :
35.1. :
1.
2.
3.
4.
5.

927

928

929

6.

7.

35.2. :
1. ?

930

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931

3. ?

932

4. ?
5. ?

933

6. ?
7. ?
8. ?
9. ?
10. ?
35.3.

934

935
936
-

939
945

967


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(NPV) 23 832 .
:
(NPV) = PV =
= $373 8 3 2 - $350 000 = 23 832 .
,
, .
:

NPV=Co+

^-,

, 0 , 0 (. . ) ,
. , 0 , ,
. 0 = 350 . .
2

. 373 832 . 7% ,
0,07 373 832 . = 26 168 .
, , 373 832 . + 26 168 . = 400 000 .
: 373 832 1,07 = 400 000.

16

.

: . 400 . .
, .
,
.
400 . ., 373 832 . ,
. , ,
.
:
, . ,
, .

. .
()
3
.
.
, ,
, ,
. , ,
, ( ) ,
12%. 12%
. ,
, ,
. :
,
PV=

$400000
2

= 357 143 .;

NPV= PV- $350 000 = $357 143 - $350 000 = 7143 .

400 . .
,
357 143 . ,
,
, 12%, .
- , ,
.

. 400 . .
400 . ., .
, ,
1 373 832 .
, ,
16 689 ., 357 143 .
,
, .
. 26
,
(. . ) ,
,
. 7 ,
.
9. ,
, .

17

2.

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

$400 - $350

$350 000

= 0,143, =14%.

( ) , , ,
- .
,
, 12%. 14%
12% , .
,
4
.
1. : ,
.
2. : ,
5
.

,
. ,
: 100 . ., , , :

80000.

140000.

() () .
6
Q = . , 10%-
(100 . .). ?
,
. X.

. , ,
, (140 . , 80 .
) . , , X
.
^ 95,65 . , 15%:

$110-$95,65

$95,65

= 0,15, 15%.

. :
50 000/350 000 , 350 000 + 400 000/(1+)
.
,
. 5.
, , ()
110 . . , , ,

: \ =(80000. + . +
+ 140 000 .)/3 = 110 000 .

18

.
, ,
, . ,
.
,
:
$110 000 = 95 650

pv= Y15

. .
1000 X.) ,
.

:

( ,

,

NPV= $95 650 - $100 000 = - 4 3 5 0 .

4350 . , .
.
, ,
:

$110 000 - $100 000

* ,
= 0 , 1 0 , 10%.
$100 000

, 10%, 15%,
, , ,
.
,
, .
, 1000 X
.
. :
( )
, ,
, .
, ,
, (
) . ,
(. . ,
) ,
.

, , . ,
:
, .
100 . ., , 8% . ,
8%? :
8% 000 ./1,08 = 101 852 .,
101 852 . 100 000 . = + 1 8 5 2 .
. -,
: . -,
, ,
10% ,
, 15%.
, 8% 10%, -

 2.

19

, ,
8%, ,
15%. , 15%,
.
2.2.

. , ,
. ,
. ,
,
.
() 100%
100% .

,
( , ). , -
, -
? ,
- ?
: . , ,
.
.

, .

, .
, . ,
,
, , , (
- ) . -
. , ,
.
, .
,
,
, ,
.
. , ;
, ,
. ,
:
350 . .,
400 . . (. . 14%). 7%.
, .
, .
, ,
114 ., , ,
107 .
, ,
? ,
? ,
, . , -

20
2 . 1
( )
, ( )
.
.
7, 1 4 % ,

( )
. (
1 4 % ) ,
7 % , 1 0 0 .,
,
1 0 6 , 5 4 .
1 1 4 .,
.

1 0 6 , 5 4 . - 1 0 0 . = + 6 , 5 4 .

114 w

100 .

1 1 4 .

107

100 .
,

106,54 .

X
100

\ /
106,54

, 1 1 4 . ,
, ,
1 1 4 . / 1 , 0 7 = 1 0 6 , 5 4 . ,
, ,
1 0 0 , 1 0 6 , 5 4 .
2 . 1 (
) . ,
;
. , ,
1 0 0 . 1 0 0 . ,
1 0 0 . 1 , 0 7 = 1 0 7 . ,
( . 2 . 1 ,
) ,
: ,

7 % . ( . )
( )
, 1 0 0 . ,
7
. , - , , 5 0 .
5 3 , 5 0 . .
() .
( ) 2 . 1
1 0 0 . .
1 4 % , 1 0 0 . 1 1 4 .
7

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

. - : wwwt//MHBC.COIN/HM/7E.

 2.

21

2.1 (,
)
, 100 . .
, , 100 .
114 . .
100 . ,
114 ./1,07 = 106,54 . . ,
. ,
, ,
100 .
.
2.1 ,
106,54 .,
6,54 . ( 106,54 . 100 .
) . ,


. ,
, , ,
, 2.1.
.
1. :
.
, ,
.
2. : ,
.
, 7, 14,3%?
:
NPV =

$400 000
4 3

$350 000 = 0.

, , 400 000 ./350 000 . 1 = 0,143,

14,3%, .
,
, , ,
.
, 14,3%, ,
.
,

. ,
14,3% 14,3%.
.

.
, . ,
,
,
.
,
.
, -

22

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

. ,
; ,
,
.
, , ,
, , ,
, , , .

2.3.

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

.

. .
, ,
.

.
,

 2.

23

. ,
: .

,
. , ,
. , . ,
?
.
.
1.

:
?. , ,
.

2.

,
.
.

3.

.
, , ,
, .

2.4.

, ,
.
,

1.

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

,
, .
EASTMAN

KODAK,

GENERAL

MOTORS,

XEROX,

,
LUCENT,

FORD

MOTORS,

SUNBEAM,

LANDS

END,

,

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

24

.
,

.
( ),
.
, ,

, ,
.
,

. ,
.

2.5.

, . ,
, : ,
?.
, ,
?
, , ,

,
.
. (
) . , ,
,

, ,
.
, , , ;

, .
,

. , ,
.
,

, , ,
9

, .
, ,

10

10

, - ,
, . '
, ,
. , ,
.
,
, ,
. (.: G. J. Stigler. The Theory of Price.
3rd. ed. New York: Macmillan Company, 1966.)
, , .
, , ,
, .
, 1984 . Getty Oil
Pennzoil. Texaco . Pennzoil
, , Texaco , .
.: A. Schleifer and L. . Summers. Breach of Trust in Corporate
Takeovers// Corporate Takeovers: Causes and Consequences. Chicago: University of Chicago Press, 1988.

25

2.

,
.
, .
,
, ,
,
.

,
. ,
.

. , ,
.
, , S a l o m o n B r o t h e r s ,
11
1991 .
,
;
S a l o m o n Brothers,
. , S a l o m o n Brothers
: 200 .
100 .
. S a l o m o n Brothers
300 . ,
1,5 .
S a l o m o n Brothers?
, ,
, . , S a l o m o n Brothers
- , ,
, ,
.

. (PV) .
,
,
:
PV=

l+r

(NPV)
:
\
NPV= 0 + 1
+ , Q ,
, .
,
. ,
, 11

.: Clifford W.Smith, Jr. Economics and Ethics: The Case of Salomon Brothers// Journal of Applied
Corporate Finance. 5. 1992. Summer. P. 2328.

26

.
.
,
.
79.
: -,
, , -,
, .
.
, -
. ,
, ,
. ,
, ,
.

. ,
,

. ,

. ,
,
.
,
. ,

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

.
, :
; , ,
;

,
, , ( ,
) , .

,
, ,
. ,
, ,
: ,
. ,
, , -
,
.

27

2.

:
/. Fisher. THE THEORY OF INTEREST. NEW YORK: AUGUSTUS M . KELLEY,
PUBLISHERS, 1965 ( 1930 .).
/. Hirshleijer. ON THE THEORY OF OPTIMAL INVESTMENT DECISION / /
JOURNAL OF POLITICAL ECONOMY. 66: 3 2 9 3 5 2 . 1958. AUGUST.

,

,
:
. . Jensen and W. . Meckling. THEORY OF THE FIRM: MANAGERIAL
BEHAVIOR, AGENCY COSTS, AND OWNERSHIP STRUCTURE // JOURNAL

.:

. Fama and . . Miller. THE THEORY OF FINANCE. NEW YORK:

HOLT, RINEHART AND WINSTON, 1972.

OF FINANCIAL ECONOMICS. 3: 3 0 5 3 6 0 . 1976. OCTOBER.

E. F. Fama. AGENCY PROBLEMS AND THE THEORY OF THE FIRM / /
JOURNAL OF POLITICAL ECONOMY. 88: 2 8 8 3 0 7 . 1980. APRIL.

1.

6.

, ]

? ?

Cq

7.

2 0 % .

( ) ( / ) ?

) ?
)

? ,

1 0 0 .

. ?
) ,
?
2.

,
2 . 1 .

?
8.

1 5 0 .,

. , :

, 1 3 0 .,

(DF{)?

?
3.

;
)

() 10%; () 2 0 % ; () 3 0 % .

132 . .
?

) ,

?
) 1 0 % ,
?
)
5.

)
1 0 0 . . ,

)

DFt :

4.

. ? ?
9.

? .

1 0 . SALOMON BRO
THERS

? ?

, ?

28

1.

2.

3.

4.

. , NPV
,

.


5% 1 ? :
?
.
500 . .
800 . .,
. (
) 1,5 . ,

10%. ?
( ?).

.

20%.

1
2
3
4

, 0
- 1 0 000
-5 000
-5 000
- 2 000

1, \
+ 1 8 000
+ 9 000
+5 700
+ 4 000

)
?
) ,

. ,
. ? :

?
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 .
[ ()]
[
()]. , ?
.
1 0 . .
)
,
, .
)
.
.
. .
) :
.
.
,
.
1 1 . - ,

. -
, .

|)2.

, 12 .

; 380.
. , -

. ,

- .

29
) ,
200 . .
10%. -
8%.

?

j;

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

.
8%. .
)
?

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

)
?

1. ,

, . , -,

,
. -,
,
,
. ?

2,6 .
) ?
)
?
)
?
)

2. 2.2
,

( ). -

) ?
) ?
) ?
)
?

2.2
2

)
?

1 ( )

)
?
3.

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

?
.
1,6

2,6

4
( )

)
?

30
) ?
)

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

8 .,

. ,

:
8

. 12 .

16 .

)
? ,
.

4
5

6
5,5

8
6

,
, , X, Y
Z ( . ):

X
Y
Z

95,65
40
10

80
40
8

110
140
44
48
12
16

)
?

)
?

) Z 10 .

:

X, Y Z?

.
12
.

16 .

Z.
,
.
)
5.

,
.

.
5 .,
, ,
( .):

NPV .
? .

: , , . ,

)
? :

X, Y Z ,
;

.
) NPV ?
) ,
5 .

?

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

,
,
. ,

.
,
,

.

NPV.

. 4
,
.

3.1.
, (PV) ,
{1
PV= DFX Q = ^ - .
DFi , 1,
| - .
,
1 0 0 . (\ = 1 0 0 ) ,
7 % ( = 0 , 0 7 ) . :

'

,
= 1 ^

$100

= =

93

'

46

:
PV= DF2 2 =

31

2
(1

+ 2)

32

2 ,

DF2

2 ,
.

, , 2

1 0 0 . ( 2 = 1 0 0 ) .
7 , 7 %

( 2 = 0 , 0 7 7 ) ;

(1,077)

,
2

= 1 , 1 6 .

:
$100

PV=
(1 + 2

j 8 6 , 2 1 .

(1,077)

(+ )

.
,

1, , 2 2.
,
, . :

PV=

1 + 1

(l + r2f

,
, (
):

PV=

-1

1 + (1 + 2)

( 1 + 3)

. :

PV=

X (1 + 1 ) '

X .

(NPV),

( ) , 2:

,
NPV= 0 + PV= 0 + X

DF

(1+

. ,

DF2

,?

DFX.

FJ 2 0 % , 2 7 % . :

DFL =

ILO

'

83;

33

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

PV=

$1200
j = 1048 .
2
(1,07)

, - 1000 ., 1048 .
48 . , , :
, 1048 . ,
( ), -
1
- 147 .
, , . ,
, .
, 2 0 %
7%, ,
, , .
. ,
, . ,
, (DF{), ,
, (DF2).
2
, - :
2
2

(1 + ) 1 + .
, , :
3
, " , .

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

.
24. , , , 1
2
3

1000 . (1,04813)

147

= 1 002 000 .

, ,
. , .
.
.

34

.

,
. , 2,... , . .
:
,
2
=
- ~
+2
1+
(1 + )

PV

PV NPV

+...

( . 2). ,
, :
1. 100 . . . (,
50 . .)
2.

100 . . .

3. 100 . .
, .
- ,
400 . ., .
( .):

- 5 0
- 1 0 0 000

- 1 0 0 000

0 = - 1 5 0 000

, = - 1 0 0 000

- 1 0 0 000
+ 4 0 0 000
2 = +300 000

7%, :

NPV=

Q
^ 0 + 7 ^

^ =-50 "

$100 000
+
1 6 7 -

$300000
1 ^ 2 -

3.1 . ,
.
, ,
,
,
, .

, 1 , .
,
.
; , , -

3.1

( .)

( .)

1,0

- 1 5 0 000

- 1 5 0 000

- 1 0 0 000

- 9 3 500

+300 000

+261 900

1
1,07
1

= 0,935

= 0,873

(1,07) 2
NPV = 18 400

35

3.

, , .
. 3.1,
18 400 . , 23 800 . ,
2.
4
.
3 . 2 .
,
. .
, ,
. ,
, .
,
:
_
-

0'

_ __

PV

, ,

. , ,

1. 10%
100 . . ,
5
:
_ _ $100000 _
^"^

010

~ ^

^00 .

, .
,
, 12%. 12%
.
:
,

PV= +
i+r

(l+r)

(1 + r)

C/(l + ) = 1/(1 +r) =x, :

2

PV=a(\ + x + x + ...).

(1)

, :
2

(2)

PVx=a(x + x +...).
(2) (1) : PV(l ) = .
.
\\--^-

1+

1+
, (1 + ) :

36

.
, ,
, , , 4% . , 100 . .
1 0 0 . . 1, 1,04 100 0 0 0 . 2 . .
g,
:

l+r

(1 + r )

CL

(1 + r )

Q q + g)

+... = 1 + r *
1
(\ + rY

Q d + g)

"
(1 + rf

'

,
6
. , g,
:
"

r-g

,
,
, :
PV=

-I
r-g

$100000

1 666 667 .

0,10-0,04

, .
,
, .
3.1 .
,
1. :

PV= .

,
t + 1. t
/, , , :

(1 + )'
/ +1 .
,
1 . ,
, t .
, ,
.
1

PV
=
1
'

(1 + )'
2

PV= a(\ + + + ...),

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

37

3.
3.1

^,
1
rib f,

PV

2 ... t

t + 1 ...

(
1)

(
t + 1)

1 f

(1 + ) '

(1 + )'

,
, 1
7
t , .
,
, 100 . .
2 0 . :

=$100 000

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 , 1 0 = 936 540 .
.
,
, . , 7

.
:
2

t1

(1)

PV=a(l+x+x + ...+x ' ),

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

a(x

+...

>).

(2)

(2) (1), : PV(l ) =<(1 *).

:
=

1+

(1 + /

(1 +) :
PV=

(\ + )'

38

.
,
t.
8
, (1 + *, ( F K ) .
, , 100 . .,
, .
:
(FV) = PV* (1,10)

20

= $ 8 5 1 4 0 0 x 6 , 7 2 7 = 5,73 .

20

, (1,10)
6,727? : 2
1 , .

3 . 3 .
.
( , ,
), ,
. ,
,
.
3.2 100 .
. ,
100 . ,
10 . .
10%
100 . 1 , 1 0 = 110 . 10%
2
. , 100 . (1,) =
= 121 .
3.2 ,
, ,
20 . ,
,
10% 226 .
- ?
3.2
100 . 10%
. ,
, . .
,
10% . 3.3
.
.

, ,
, , .
.
100 .,
, , 6 .
, 10 (1 + ) 4 .
6
, PV^C/(l + ) ,
10, :

10

- (1 + )

FV= PV(l + ) 1 0 =
(1 + )

= (1 + ) .

 3.

39

3.2

1 0 0 . 1 0 %

=

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

+
+
+
+
+
+

10
10
10
10
10
10

=
=
=
=
=

200
300
600
1100
2100
2360

3.2

.

1 0 0 .,
. ,
,

. ,
1 0 0 . 10
38,55 .
, ,
1 0 0 . ,
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

110
121
133,1
146,4

=
=
=

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

=
=
=
=

259
673
11 739
1 378 061
18 990 527 646
226 332 461 030

300

(10%)

200 -

(10%)
100

L_
10 11

3.3

, 3.2,
:
.


.
, ,
,

( )
400

200

100

100

50
38,55
I
1

I
2

1
3

I
4

I
5

I
6

1
7

1
8

1
9

10

1
11

40

.
10 ,
10%? ,
100 . 10 10%?. :

$100

<

= 38,55

:
(1,10)

10

= 100 .;

100
10 = 38,55 .
= /
1
(10)
3.2 3.3
38,55 . 100 .
,
.

, ,
. ,
. , , .

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

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

, ~ - + //) .,
(. . )
m
(1
+r/m) ~ 1.
.
,
19601970- .
.
, .
, , ,
(10 .).
,
, .

3.

41

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

,
. ,
11
. ,
. , -
, ,

(1 + /) (2,718)''. 2,718, ,
, .
, 1 ,
,
rt
* = (2,718) . 4

= (2,718)'' ., t
rt
e .
.

1. , 1 . (f = 1) 1 1 %
( = 0,11).
0 11
- , , 4, 1,116 . ,
1 1 %
11,6% .
2. , 1 . 1 1 %
( = 0 , 1 1 ) , ( = 2).
>22
22

= . 4 , >
1,246 .

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

,
, .
3. , -
18,5%. 100 . ,
, 100 ./0,185 = 540,54 .
, 1 0 0 . 17%,
17%
17
18,5% ( ' = 1,185). ,
100 ./0,17 = 588,24 .
, ,
, , .
. , 100 . . 100 .
8 3 /4, 1 . ', 1 '/.
. ,
, , , , -,
, -,
.

42

.

. , ,
, ,
100 . . ,
20 . 10%
; = 9,53%
( , 0 9 5 3 = 10). ,

12

PV=

C\---x-L

"

= $100 000

0,0953

0,0953

6,727 j

= $100 000 8,932 = 893 200 .

, 75
. ,
10%, 1 . ,
20 , 8,932 .
, ,
100 . .,
2 0 , 851 400 . ,
4 1 800 ., 5%.

. 5%
. ,
.
,
.

3.4.
1000 . ,
10%, 1100 .
, .
.
10%, ,
.
,
. ( ) ,
, ,
, , /.
/,
. , :
PV=

, t.

, /,
/, / 1/".
:

1
_

"
:
PV=

43

3.

3.4

20

19262000 .

: Ibbotson Associates, Inc.

Stocks, Bonds, Bills, and Inflation, 2001
Yearbook. Chicago, 2001.

15

10

-5

-10

-15

_1_

_1_

_]_
1930 . 1940 . 1950 . 1960 .

_1_

1970 .

_1_

1980 .

_1_

1990 .

2000 .

, ^ (. .
) .
. 3.4 1926 .
:
.
18%.
1993 .: 6 0 % .
, ,
, , . , ,
1100 . ,
6%?
6% , . , 1100 .
, 1 1 0 0 / 1 , 0 6 = 1037,74 .
. 1100 .,
1037,74 .
, /
, :

(1 + )'

, 1000 . 20 10% ,
20
1000 . (1,1) = 6727,50 .,
20
6% 6727,50 ./(1,) =
= 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 + ) =

X .

:
1,10= 1,03774 1,06.

3.5.
,
. -
. ,
:
,
. .
, ,
.
,
, , .
, , 2001 . 7%-
2006 . 7%
1000 . , , 2006 .
0,07 1000 . = 70 .
2006 . 70 . 1000 .
. ,
:
(.)

2002 .

2003 .

2004 .

2005 .

2006 .

70

70

70

70

1070

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

$70

$70

$70

$1070

45

3.

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

^^

^"^ ~*~ ^^

= 5 +
+ =
= $70

1
0,048

1
0,048(1,048)

$1000

= $ 3 0 4 , 7 5 + $ 7 9 1 , 0 3 = 1095,78 .
(1,048)

,
, ( )
( ).
,
-: 1095,78 .,
?. :
$1095,78=^
1

(1 + )

+
2

(1 + )

^
3

(1 + )

^
4

^ .

(1 + )

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

.
, , , ,

7 % , ,
3.1, , r j , ,
, 2,
. ,
, = . ,
,
. ,
,
.
.
24.
. 1945 . 2%, 1981 . 15%.

.
?
2001 ., ,
13
0,2%, 60% .
13

2001 . 20 000%!

46

.
?
2%,
7 % :

PV=

$70

$70

27

$70

02)

1+

$70

27

$1070

27

= 1235 67

' ^-

10%, :
$70
$70
$70
$1070

PV= ^ + -2 + 3 + $70 4 + ~ - = 886,28 .

10
(10)
(1,10)
()
(1,10)
,
, .
.
,
. , ,
.

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

7%, : 1 0
35 . 1000 . :

PV=

$35

$35

1,024

(1,024)

+... +

$35

$1035

(1,024)

(1,024)

10

= 1096,77 .

. ,
, . , , ,
, .
,
,
:
,
PV= -~- +

1+1

2
2

iX + r2)

+ -

,

(. . ) , .
. , .
. :

47

3.

, g
. :
PV=

Cl

r-g

. t .
,
:
PV=

(1 + )'

,
. ,
,
C j , 2 . . -
, , .
(1 + ) ' . ;
rt
, (2,718) . ( ,
, ^ . ) .
,
, ,
. ,
;
.

(. . , )
, .
:
,
, .


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

48

, ,
, -

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

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

)
,
1 . ?

1. 12%
0,507.
0,507 .,
12%?

) ,
5%.
10 . .,
?

2. 139 . 125 .,
?
3.
0,285, 596 .,
8?

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

4.
9%,
374 ., 9?
5. :

1
2
3

432
137
797

) 12 . .

. 8%,
,
?
) 60 476 . 8% .
6
,
?

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

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%);
) 1 3
( 12%).

2.

,
100 .,
:
) 120 ( 23%);
) 15 ( 3%);
) 312 ( 9%).

3.

)
0,88,
?

6. 400 . . ,
1 100 . .
, 2 200 . .,
3 300 . .
12%.
,
3.1, , ,
.
7.
8 .
5 . ,
4 . 10
,
2 . 15
1,5 .
8%,
?
8.
, :
)

)
10,5%,
?
)
,
.
) 10 .
24,49 .,
?
) () (),

.
4.

5.

) 11 400 . ;
)

) 8%,

?
)
5%
8%,
60 ?
)

20 ,
?

19 . . 10 ;

) 6500 .
5%
.
12%,
?
9. - ,
3.1.
)
25%, -
, ? (:
,
.)

800 . . ,
170 . .
10 .

14%,
?
?
30 ,
20 . .

5%
60 .

100 . . ;

) 180 . . ;

) -

DF\

DF2?
10.

65 ,
12. 20 . .
,
.
8%,
- ?

11. ,
. 20 .
. 10%
,
?
12. -

10 . . ,

50

.
1000 . 300 .
30 . -
,
1000 .
10%,
?

) 100 . .
20 .

13.
, 3.1,
5, 10 15%. ,


.
()
? .

18. 1000 .
Tiburon Finance 1600 .
8.
?
?

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 .

19. 20 ,
100 .
15%?
,
, ?
20. ,
: 100 .
10 , 100 .
. ,
?
2 1 .
?
) ,
12%.
) ,
11,7%.
) ,
11,5%.
,
1 , 5 20 .
22. :

( %)

( %)

( %)

1
10

12
3

23.
.

.

,
?

( % )
6
9
21
70

(%)
2
5
10
50

24. 1880 . -
100
(, , ,

finu 3.

)
. 1993 .
,

. -
, ,
,
100 . - :

.
,
5%? 10%?
2 5 .
100 . .
100 . . .
,
8%?

15 .,
3 .
.
14 .,

4 .,
2 . . ?
10%.
2 7 . 1994 . The Wall Street Journal*
,
, ,
:
.
9 420 713 .,
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% .
.
3 1 . 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/ ( % ) .

2% . 8%.
,
14 . ?
4.

5.

7%
(. . 3.5) ,
, 2%.
,

,

.

6.

,
,
.


.

)
12%. 72-,
,
.
.
) 69-?
2.

3.

100 . .
18 ,
4%.

( )

.
. ,
The Wall Street Journal"
'Financial Times.

. , ,
.
, ,
. .

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

. , ! , !
?
. ,
. {.) ,
?

. , .
! , -,
, . .
. -
. , ,
,
.

. .

...
. , , .
. NPV,


.
( .) :
20 15
3 6 5 ... 109 5 0 0
.

.
. , ?
? .
. , .
. -
. ,

, .
- .

. 109 5 0 0 .
.

. , ,
.
. -

.

. ,
.
,
.
,
.

. , , , ,
. , ,
. ,
,
.
NPV.

.
, , ,
.

?
. , .

. ?

( ).
, ?
.

. ,
.
!
.

.
53

54
.

?
?
, ,

?
.

,
,
,

.
. , ,

, .

'
. , .
- i
?

.

,
.
, ,
,
, - ,


. ,
,
.

, .
, , --

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

.
. ,

,

/.
,

.

, ,
. :

.
,

.
,

,
; ,
,
, .

,
. ,

,
. ,
,
.

.

7.

?
- ,
?
, . ,
,
.
,
.

55

56

4 . 1 .
G e n e r a l Electric ( G E ) 9,9 , ,
, 2,1 .
,
, ,
. G E , , 0,000002%
. ,
, .
G E , ,
.
.
GE ( )
, .
. , ,
.

GE
1
- ( N e w York Stock Exchange; N Y S E ) .
, 1
2900 .
, ,
100 . G E . ,
N Y S E .
, -.
, , ,
- . ,

, ,
. ,
,
.
N Y S E . ,
, ,
- ,

( N a t i o n a l Association of Securities Dealers A u t o m a t e d Q u o t a t i o n s System;
N A S D A Q ) . , N A S D A Q ,
.
, ,
. , , The Wall Street
Journal*, G E 2 2001 .:

YTD % Chg

(%)
+4,7

52 Weeks
Hi
Lo

52
( .)
60,50

36,42

Stock (SYM)

Oiv

Yld%

Vol 100s

Last

Net Chg

( .)

( 100 )

( .)

( .)

0,64

1,3

215 287

50,20

+ 1,45

GE

(%)

38

,
215 287 100 = 21 528 700 G E . GE .

 4.

57

50,20 ., 1,45 . .
2001 . 4,7%. 3,3
, GE 497 .
. G E
60,50 ., - 36,42 . ,
( 52 ) ,
, 4 0 % . ,
: ,
.
The Wall Street J o u r n a l * G E .
0,64 . ,
1,3%,
( / ) 38. ,
.

4.2.
, , ,
.
,
.
,
.
, :
^^

^^

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

: (1) (2) ( )
( ) . , Pq,
, DW\.
, ,
(DIV{) ( 0),
(Pq):

+ ^
.
"

.
, , ,
100 . (0 = 100).
5 . {DWy = 5 ) .
. {\ = 1 1 0 ) .
15%:
=

5 + 110-100
_

= 0 , 1 5 , 15%.

58

.
,
,
:
PIVX +

l+r

DIVX = 5 . = 110 . ,
, ,
, 15%, 100 .:
$5 + $110

= 100 .

1,15

, 100 . ? ,
. , 0
100 .?
, .
,
. 0 100 ., .
, .
, 100 .
,
, , ,
.
. .

(0) (DIVX) ,
(). -
. , .
, :
PIV2 + 2

Pi =

l+r

, 2
2 . , ,
DIV2 2 , , , 0 DIVX, DIV2 2:

1+

(PIVX + PX) =

1+

pivx +

DIV2 + p

^DIVi
l+r

\+

DIV2+P2

. ,
, ,

. , ,
5,50 . 121 . 1:
$5,50+ $121
1,15

= .

:
1 +

$5,00+ $110

l+r

1,15

= 100 .,

:
=

1+

12 + 2

$5,00

(1 + )2

1,15

$5,50+ $121

(U5)

= 100 .

 4.

59

, ,
(DIV\ DIV2), , (2).
,
, , 2
- 3
3
(DIV3
+/ ) , ,
(DIVX, DIV2 DIV^), ,
(Pj). , ,
. //. ,
:

+ )/(1

_ [

DIV2

1+

(1 + ,-)

[
2

, +
"

(1 + )

DIV,

/=1(1 + /-)'

(1 + )

'

- -

1 .
4.1
,
10% . P t
.
. 4.1 4.1 .

. -

4.1

(.)

()

(DIVt)

1. 10%
.
2. 15%.

4.1



( ,
) , ,

( ) .

(
)

(.)

0
1
2
3
4

5,00
5,50
6,05
6,66

100
110
121
133,10
146,41

4,35
8,51
12,48
16,29

95,65
91,49
87,52
83,71

100
100
100
100
100

10
20
50
100

11,79
30,58
533,59
62 639,15

259,37
672,75
11 739,09
1 378 061,23

35,89
58,89
89,17
98,83

64,11
41,11
10,83
1,17

100
100
100
100

100

10

20

50

100

PV (
100)

60

( ) ,
,
100 .
? ,
. .
, , .
,
, 4 . 1 . ,

.
:

/=1 (1 +
.


.
,
. -
,
. , ,

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

4 . 3 .
3
. , -
. , ,
.
; ,
.
,
. ,

:
_

r-g'

, , g,
, , . g
, . g,
.
0
, g -

 4.

61

.
DIVb 0 g:
DIV,

"

,
(DIVJPq) (g).
, ,
2
.
.
,
- , .


- . * ?

(). ,

, ,
3
.

.
,
.
. , ,

4
.
, Pinnacle West
. 2 0 0 1 . , 4 9 .,
1,60 . .
:
DIV,
1,60
= - = - = 0 , 3 3 , 3,3%.

"

g , .
,
. ,
, ;
2

1938 . . ,
. .: /. . Williams. The Theory of Investment Value. Cambridge, Mass.: Harvard
University Press, 1938; M. J. Gordon and E. Shapiro. Capital Equipment Analysis: The Required Rate of
Profit// Management Science. 3. 1956. October. P. 102110.
1944 .: ...
[ ]
, (Federal Power Commission v. Hope Natural Gas
Company, 302 U.S. 591 at 603).
. , Pacific Gas & Electric (PG&E),
, , 2000 .
,
. PG&E . 2000 .
3,5 . 2001 . .
PG&E .

 .
,
.
s
P i n n a c l e West, 2001 . 6,6% .

:
r = ~ ~ + g = 0 , 0 3 3 + 0,066 = 0,099, 9,9%.
"

, {DIV)
(EPS). Pinnacle West
4 3 % . , ,
5 7 % :
= 1

1)11
= 1-

= 1 - 0 , 4 3 = 0,57.

, P i n n a c l e West
1 1 % .
, ROE:
_

=
'

Pinnacle West , 11 %
, 5 7 % ,
0,57 0,11 = 0,063, 6,3%.
6,3%:

~g

ROE'=

= 0,57 x 0 , 1 1 = 0 , 0 6 3 .
:
= ^"

+g=0,033 + 0,063 = 0,096,

9,6%.

Pinnacle West
,

. -,
. -,
, g .
.
, ; .
,
Pinnacle West:
,
, .

5

,
g. , .
Value Line IBES. IBES
, a Value Line .

 4.
4.2




, 2001 .
: The Brattle Group, Inc.

63

( .)

( .)
American Corp.
CH Energy Corp.
CLECO Corp.
DPL, Inc.
Hawaiian Electric
Idacorp
Pinnacle West
Potomac Electric
Puget Energy
TECO Energy
UIL Holdings

41,71
43,85
46,00
30,27
36,69
39,42
49,16
22,00
23,49
31,38
48,21

2,64
2,20
0,92
1,03
2,54
1,97
1,60
1,75
1,93
1,44
2,93

( % )
D/V,/P 0

( %)

6,3
5,0
2,0
3,4
6,9
5,0
3,3
8,0
8,2
4,6
6,1

3,8
2,0
8,8
9,6
2,6
5,7
6,6
5,7
4,8
7,7
1,9

( %)

r = DIV,/P0 + g

10,1
7,0
10,8
13,0
9,5
10,7
9,9
13,7
13,0
12,3
8.0
10,7

.
, ,
,
.
.
4.2 P i n n a c l e West
10 2001 .
,
.
. ,
,
. 10,7%.
4.2
. -

4.2
17
. (, )
. ( 10- .)

: S.C.Myers and L. S.
Discounted Cash Flow Estimates of the Cost ot Equity Capital A Case Study// Financial Markets,
Institutions and Instruments. 3. 1994. August. P. 945.

Borucki.

25

0I I
I
I
I
I
I
L_
. 1986 . . 1987 . . 1988 . . 1989 . . 1990 . . 1991 . . 1992 .

64

.
, , ( )
, , , 3
10- ( ) .
.
, , - .

, !

.
, , ,
. ,
,
.
,
. ,

, .
.

( ) , : DIVX = 0 , 5 0 . 0 = 5 0 .
8 0 % , (ROE) 25%.
, :
= ROE= 0,80 0,25 = 0,20.
, (g)
0,20. :
0,50

50,00

+ 0,20 = 0,21.

.
2 0 % , , , .
, .

, 16%
3, 50%.
g 0,50 0,16 = 0,08.
4.3 . 1
10,00 . 2,50 . , 50
2 . , 2
10 . + 2 . = 12 . -

( .)
10,00
(.)
2,50
0,25

0,20
( .)
0,50
( %)

12,00
3,00
0,25
0,20
0,60
20

14,40
2,30
0,16
0,50
1,15
92

4
15,55
2,49
0,16
0,50
1,24
00

4.3

.
3:
,
,
.
8% .
,
,

 4.

65

3
14,40 .
0,16, 2,30 . .
1,15 . , ,
1,15 . .
8%.
, ,
:
=
0

(l + r )

l+r

+3
(l + r )

3 ,
8 % . :
3 |
~ l + r
=

0,50 ^

~ 1+

( l + r)

|
2 +
|

0,60
(1 + )

DIV
<

-0,08'

( l + r)

|
3 +
{

1,15
(1 + )

1
( 1 + )

1
(1 + )

^
3

-0,08 ~
1,24
-0,08"

, 0 = 5 0 . ,
. ,
0,099, 0,21,
.

. ( 1 2)
(ROE= 25%) 80%
. ,
2 0 % . , 3,
, 8%
. 3 1,15 ., 8%.
.

, , . ,
, 4.4
. , , , -
.
4% . 1
4%, ,
. 2 3

4 . 4

.
. ,
,

( .)
10,00
( .)
0,40
0,04
( .)
0

( %)

10,40
0,73
0,07
0,31

10,82
1,08
0,10
0,65

11,25
1,12
0,10
0,67

110

66

.
. , 4
: ,
4% .
10%.
9,13 .:

=0

$0,31

$0,65

$0,67

*= '

PV
PV
1

'
'

-
, .
. -,
( . 4.3 4.4), ,

. -,
, .
, , , ,
. ,
: .
4 . 4 .
. ,

,
. ,
. , .
, .
, .
, .
, ,
. ,
, (. . ).
,
, (. . / ) .
, 10 .,
100 ., :
= = / =
_

_ EPSX

_ 10,00

100

EPS,

$10,00

10

' -

, :
DIVX

^ = 1 0 -

= 1 0 0

/ . , ,
. , ,

10 . . , t = 1
. ,

 4.

67

1 . , 11 .
.
, ,
. ,
1, ,
, 10%:
1= 10 +

= 0.

,
. .
? ,
. ,
,
. ,
/:

10

EPSi

loo

=0 10

'

4.5
, . ,
/ , EPS\,
, ,
.
- ,
/ .


(PVGO):
EPS,
0 =
,

+ PVGO.

^ ^ ^ / :
EPS

(,
= 1

PVGO\

4.5
10 . 1
. , / ,
, ,

,
( .)

0,05
0,10
0,15
0,20
0,25

0,50
1,00
1,50
2,00
2,50

NPV
1 *
( .)
-5,00
0
+5,00
+ 10,00
+15,00

0**
( .)
-4,55
0
+4,55
+9,09
+13,64

0, 0
( .)
95,45
100,00
104,55
109,09
113,64

/,
EPS/P0
0,105
0,10
0,096
0,092
0,088

0,10
0,10
0,10
0,10
0,10

. (EPS,). NPV= -10. + /, =0,10.

1. 0 , 1
= 0,10.

68

.

. ,

.

PVGO

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

. , , ,
, , 15%. ,
5 . , 10% .
, ,
:
=

DIVX
r-g

$5

100 .

0,15-0,10

, 8,33 .
:
:

DIV,

5,00

EPS,

8,33

= 0,6.

, (1 0,6), 4 0 % .
, 0,25.
10%:
= g= ROE= 0,4 0,25 = 0,10.
,
:
EPS,

$8,33
0,15

= 55,56 .

, 100 . 44,44 .
, . ,
.
4 0 % .
3,33 .
2 5 % . , ,
, 0,25 3,33 . = 0,83 . /= 2.
/ = 1 :
NPVy = - $ 3 , 3 3 +

$0,83
0,15

2,22 .

2 :
3,67 ., 10% , 1 ( , g = 0,10).
, t = 2 :
$ 8 3 10
NPV2 = - $ 3 , 3 3 10 + ' 0 1 5
= 2,44 .

,
: (1) ,

69

4.

, , (2) ,
,
. ,
:
EPS!
$8,33
= - = Q , ^ = 5 5 , 5 6 .
2,22 . f = 1, 2,22 * 1,10 = 2,44 . t=2,
2,44 * 1,10 = 2,69 . /= 3.
. , ,
10% :
,
:
NPVX
= PVGO = =

$2,22
q\q

=44,44.

:
= +
+ =
EPS,
= 1- + PVGO = $55,56 + $44,44 = 100 .
? ,
10% . ,
( 4 4 % ) .
,
.
/ ,
,
6
.

, Microsoft, D e l l C o m p u t e r W a l - M a r t ,

, , Kellogg, Weyerhaeuser Exxon

Mobil, . , .
4.6

2 0 0 1 . ,
.
,
,
.
2002 . ,
,
,
,
. Weyerhaeuser,
, PVGO.
Amazon.com.
,
, Walt Disney Productions,
: , .
, . 1985 ., Disney
, 20 . .: Kathleen
. Wiegner. The Tinker Bell Principle// Forbes. 1985. December2. P. 102.

70

.
4.6
{PVGO)
, P0*
( .)

, EPS**
(.)

, ***

PVGO

=P0-EPS/r
(.)

PVGO

(%)

Chubb
Exxon Mobil
Kellogg
Weyerhaeuser

77,35
42,29
29,00
50,45

4,90
2,13
1,42
3,21

0,088
0,072
0,056
0,128

21,67
12,71
3,64
25,37

28
30
13
50

8,88
23,66
56,38
52,90

-0,30
0,76
1,88
1,70

0,24
0,22
0,184
0,112

10,13
20,20
46,16
37,72

114
85
82
71

Amazon.com
Dell Computer
Microsoft
Wal-Mart

* 2001 .
** EPS . EPS
2002. : MSN Money (moneycentral.msn.com).
*** .
8.2 9.2. 8%
4%.

100% .
.
7
.
,
. , ,
, Microsoft Dell C o m p u t e r
,
,
- . , ,

- .

/?

/ ( ) , . ,
, / .
, ,
[ /
/ . . ]. (
.
. ) ,
/
.
,
/ ? , .
, (
PVGO)
( ) .
/ , - .
, (EPS = 0), 7

, , Amazon.com .
Amazon , ,
, ,
. , Amazon, ,
. , ()
, 12.

 4.

71

/ ,
- .
/ ? . ,
,
. ? ,

, :
/ -.
/
? .
. EPS Pq , PVGO = 0
EPS ,
.
/ ,
, .
12.
4.5.

, , .
() . , 2001 . Diageo
Pillsbury G e n e r a l Mills 10,4 .,
: ,
, , .
,
, , ?
: ,
.
, .

, - - . , , , . , ,
4.7
. ,
, ,
. ,
.
4.7 4.3,
;
,
.
, (
)
. 2 0 % ,
6% .
, ,
8
, .
8

4.7 ,
. , ,
,
.

72

.
4.7
. 16 ,
,
.
6, ( , , .)

1. 10 . , , 20% 4,
13% 5 6 6% .
2. (/ ) 12%.
3. .
. , .
1

(%)

10,00
1,20
2,00

12,00
1,44
2,40

14,40
1,73
2,88

17,28
2,07
3,46

20,74
2,49
2,69

23,43
2,81
3,04

-0,80

-0,96

-1,15

-1,39

-0,20

-0,23

20

20

20

20

20

13

26,47
3,18
1,59

28,05
3,36
1,68

29,73
3,57
1,78

31,51
3,78
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1,59

1,68

1,79

1,89

13

10

( . 4.7)
. ,
,
, .
? :
, , ,
. ,
.
, - -
800 . . ,
.

(FCF) ()
, [
*].
PV_

FCFX

l+r

FCF2

(l + r)

+_FCFH_

"

(l + r)

PV

PVH

'

(l + r)
1

PV

'

, ,

. PVH
+ 1, + 2 . .
.

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

73

trmaa 4.

.
10 ,
. 6 ,
7 .
[
(

, ,
. -,
.
7 ( . 4.7),
( 6%) (
, 10%). :

$1590000

(1,1)6

0,10-0,06

22,4 .

( . , ) :
PV
"

$0,80
1

$0,96

$1,15

(1,1)

(1,1)

$1,39
4
(1,1)

$0,20
5

(1,1)

$0,23
6-g- = $3,6, - 3 , 6 .
(1,1)

, :
^

^"^ *

= - $ 3 , 6 + $ 2 2 , 4 = $ 1 8 , 8 , 18,8 .
, ? , .
, 119%
(. . ) ? ,
,
. ,
6, 8%,
9
18,8 26,3 .
, ,
, ,
. ,

.
/ . ,
, ,
,
6 . , ,
, / 11.
,
11. ,

(1,1)

11 $3,18 = $19,7, 19,7 .;

= - $ 3 , 6 + $19,7 = $16,1, 1 6 , 1 .
9

6, 8%,
2% 7. 0,53 ,
1,06 . :
1

(1,1)"

$1,06
0,10-0,08 29,9 .;

^ = ~$3,6 + $29,9 = 26,3 .

74

.
/ .
, /
1,4. ( /

. ) /
6 1,4, :

^ = ~ 7 "
^ =

$23,43 = $18,5, 18,5 .;

$ 3 , 6 + $18,5 = $14,9, 14,9 .

. ,
, , .

, ,
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. ,
, , -
.
,
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/ /
.
,
.

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:

.
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,
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?
,
. PVGO
, ,
. ,
10
.
,

:

(),+

ml
PVt =
+ PVGO.
11.

75

4.

, ? :

()
J

+1

, , / 1/,
.
, , 8.
11
:

(1

+ ?

~$ >

1 7 =

>

$3 57

8
. . = $16,7, 16,7 .;
()

$14,7, 14,7 .

, - -
.
.
, ,
, , , PVGO
. ,
.

14.7 18,8 . , 4 .
, , , .

,
. ,
.

,
1 .
?

18.8 . ,
. ,
1 18,80 .
. . .
. ,
1 6 ( . . 4.7).
,
. , . 1
,
7.
,
, . ,
,
. 1
6, ,
1 8 .
,
, ,
. :
18,8 . , 1 18,80 .
11

2 ., 7 8.

76

.
,
, .
,
. ,
16, .
, ,
. , 16
3,6 .
, 6.
191 500 18,80 . :
= =
= $18,80 191 500 = 3 600 .
,
:

+

_ 1 000 000 _
u OJ7
J m OJ ; /0
1191 500
'
' "
> ' -

() 83,9%
, 6.
, 83,9% ,
22,4 . ( ) :
= 0,839 7% =
= 0,839 $22,4 = $18,8, 18,8 .
, 1 18,80 .
, , .
100 8 3 , 9 = 1 6 , 1 %
3,6 . . :
= - 3 , 6 + 0,161 =
= - 3 , 6 + 0,161 22,4 = - 3 , 6 + 3,6 = 0.
,
. ,
, ( ) ,
. , , .
, ,
.
.
, ,
,
. ,
12
, NPV .

.
, ,
.
12

,
. 16.

77

4.

;
.
:

+)'
,
. - ,

, ,
. ,
:
DIVl+Fi
: ,
, ,
, , .
, .
, .

DlVy, DIV2 . .
, ,
3. ,
g, :

r-g

Pq DIV\ g:
DIV,

rp-^

g.

, :
. ,
, ,
,
.
,
,

. ,
.
,
:
EPS,
0 =

PVGO.

EPSx/r
, . PVGO
, .
, PVGO EPS.
.

78

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

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

, .
:
Z. Bodie, . , and A. J. Marcus.
Irwin/McGraw-Hill, 2002.

Investments.

5th ed.

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

: . .:
, 1999.]

 4.

79

1. ?
) ,
, ,

.
)
.
2. :
,
? !
, ,
.
3. , X
10 .

110 .
10%, ?
4.

Y ,
,
5 . .
40 ., ?

5. , Z
5% .
10 .,
8%,
?
6. Z-
Z :
4. 5
.
Z-?
15 .
7.

Z (. 5)
,
15 . .

,
?
8. :
) - ;
) - ;
) - .
, Z
(. 5). ,
8% .
9. ?
)
.
)
,
,
.
10.
() /

(EPSi/Po).

11.

?
.

12.
?
,
.

?
?

13.

14. ,
,

.
?

1.

The Wall
Street Journal* NYSE-Composite Transactions.

)
?
2.

)
IBM?

,
. .

3.

) ,
IBM
1,50 .?

- .
?

4.

4.1
:
10%
5% .
15%.

5.

2001 .
73 .

) IBM?

) / IBM?
) /,
IBM.
) () / IBM
Exxon Mobil?

80

.

8,5% .
1,68 . .

.
?

) ,
, , g= 8,5%
.
()?

9. General Mills, Inc.

Kellogg . - Standard & Poor's Market
Insight (www, mhhr.com/ediimarfcetinsixhi).

GIS .

)
12%
(. .
12%)
50% .

g? f!

.
6.

7.

,

2 . .

4% . 12%
,
?
.
)
10 .
.
)
5 . .

4% .
)
5 . . ,
, (. . 6)
20% ,
.

10%,
?
7%?
8.

40% ,
20%.
4%.
)

20%,

?
?
) ,
,

.
.
?
) ,
,

)
/?

( )
? (
S&P 500.)
)
(EPS)
?
,

?
) ,


? ?
10. - Standard & Poor's Market
Insight (www.mhhtf.cum/cdumarkctiBsightl
: Citigroup (), Dell Computer
(DELL), Dow Chemical (DOW), Harley Davidson
(HDI) Pfizer, Inc. (PFE).
Financial Highlights*
Profile*.
/ (/).
?
(
PVGO), ?
1 1 .
.
. ,
,
.
,
1 .
.
.,
.

6% .
50 .

? 1
1 ., 2 2 ., 3 3 .
.
12. / (/), The Wall
Street Journal*,

12 . ,
/ (
, -

81

4.
/)
, .
IS.


:

) = + R
EPS,
.1 , ,
, .
,
.
.
15% .
8%.
( )
,
.
(PVGO)
. ? :
,
.
15.
(),
4.3. ,
,
/- = 0,12 (
0,099, . 4.3). ,
.
, .
) .
)
3 ,
3?
) $
(PVGO) 3?
) , 4
, ,
4 ,
.

? ( ,
.)
16. Hawaiian Electric C o .
(HI) - S t a n d a r d * Poor's Market Insight
(www.qihhc-.com/cdumarkutinsight).
, 4.2. '
2001 .
)
? 2001 .?
) 4.2
2,6%.
2001 .?

)


.
) ,

, 4.2?
.
17. ,
Standard & Poor's Market Insight (www.mhhe.com/
edumarKetio^Uiht). -,
-
/
. (
: ,
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.)
18. - Standard & Poor's Market Insight (ww.mhhe.
cum/cdumarketinsight)
, 4.6,
Chubb Weyerhaeuser.
PVGO .

, 4.6.

(EPS) MSN money
(wyw.monevcentral.msn.cojn) Yahoo (http://

,,).

19. Compost Science, Inc. (CSI)

.
.
CSI ,

,

10%. , CSI
4 .
40% 4% .
) , CSI
.
100 .?

?
)
, CSI
.
C S I
. ,
80% .
6
60% .
,
CSI ?
20.

.
, .

82

2 1 . 4.7.

. , 2
20 .

2 . ?
?

)
, 15
15%? ,
.
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16.
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.
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.
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100 . ?

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4.3 (
) 4.7 ( ).

,
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: 3 ,
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.

,
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_ ROE(l - b)BVPS

r-bROE

VPS
; b
; ROE
VPS.
, ,
(
/ )
ROE.
, ROE= ?
3.

,
. ,

100 .,
(DIVi/Pq) 5%. ,

.

0,5% . ,

,
?

-
-

, 1993 .,
,

. -
( . . 4.8).
,
, ,
41 . ( . . 4 . 9 ) .
.

90 .
.
,
.
,

.

, 2 0 0 5 .
.
.
,

, , ,
. ,
, 2010 .

1 2 % .

.
2 0 1 0 . (. . 4.10 4.11).
-
,
,
. 2005 . ,
, 4,3 . ,

. (
.)

,
, ,
, 2 0 1 0 .
4 0 % .
-

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

9,39
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

3,20

36,05
38,95

40,71
43,91

84

4 . 1 0
( .)

2004 .

2005 .

2006 .

2007 .

2008 .

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

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 .

10,50

3,34
0,28
3,62

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 .

3,65

4,18

5,37

6,28

0,42

0,93

1,57

2,00

4,07

5,11

6,94

8,28

4 . 1 1
( .)
2004 .

4,26

2005 .

1,39

0,60

5,65

11,10

: 2010 .

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

-, , ,
. -
5 0 % ;
/, (
) , 12;
3%.
, ,
2 0 0 5 ., .
,
.
,

,

.

1. 4 . 1 0 4.11
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20042010 .
2 0 0 3 .,
2 0 1 0 ., 2003 .?
2.

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.
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4.

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, . -,
.
, X. -,


(PV). -,
(NPV), 1 . .
X , .
.
, .
: , " .
, , .
85

86

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

1
9

J2
10

0
9

PV
9 + PV

, X , , PV,
1 . ,
.
: ,
X " ?
: , X,
X. X?
, X,
, X . ,
.
X X, ,
X ,
, X. , ,
X, ,
X.
, X . X,
, " , ,
X . ,
9 . ( , ),
, .
X,
X .
: :
.
: , . ,
, .
,
. , X
, .
5.1 .
, ,
.

, , .
?
" . , I B M 12%
, , -
- " , 13%.

87

5.
5.1


, .
(
,
.)
,

,
,

( )

( )

: ,
, .
, ,
,
.

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

. .

NPV,

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

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

88

.
.
, , , ,
, , .

NPV

.
,
,
, , .

. ,
,
:

'

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

2
,
,
. ,

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

.
. , 24%,
,
12%.
24%? , :

, 12 24%.
12,
.
1

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

89

5. NPV

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

-2000
-2000
-2000

500
500
1800

500
1800
500

5000
0
0

3
2
2

()

NPV
= 10%
( .)
+2624
-58
+50

2 0 0 0 . ( 0 = 2000)
. ,
10%.
+ 2 6 2 4 .:
WA=-$2000+

$500

$500
$5000
_ _ + _ ) = +2624 .

/ > 2000 . ,
: 500 . 1 1800 . 2.
10% 58 . :
$500
$1800
NPVb = - $ 2 0 0 0 + -775- + - ^ 2

= - 5 8 .

, , ,
, 1.
+ 5 0 .:
$1800
$500
NPVB = - $ 2 0 0 0 + ~ - + = - = + 5 0 .
1.
(1,10)2
,
.

,
. , 2000 . ,
.
,
, ,
, .
,
, .
, ,
.
1. ,
. ,

3.
2.

. ,
,

90

.
, /?
.
,
.
, ,
,
, .
, ,
. , ,
: ,
?
,
, .
,
.

5.3.

ad h o c (. . , ,
) ,
, .
, ,
, , .
2,
; :
,
. , , ,
.
.
,
, :

,
=

1-

, NPV= 0:
NPV= 0 +
= 0,
1 +
:
Q
,
= , 1.
, C j ( . . ),
, , , .
, ,
.
,
.
( , ,
).
. , , ,

 5. NPV

91

. ,
.
(IRR) ,
. ,

IRR :
NPV= + : ^ +

l + IRR

7 + +
' = 2
T
(l + IRR)
(l + IRR)

.
, :
( . )

-|
+2000

Cq

-4000

2
+4000

:
NPV= - $ 4 0 0 0 + ,

$2000
$4000
72 = 0.
, +
1 + IRR
(l + IRR)

.
, + 2 0 0 0 .:
$2000
NPV= - $ 4 0 0 0 + - +
1,0

$4000
~= +2000 .
2
(1,0)

, ,
.
50%.
889 .:
JW=-$4000+

$2000

$4000
^
= - 8 8 9 .

, ,
50%. 5.2
.
, 2 8 %
, . , 28%.
,
-
, ,
5.2, ,
. , ,
,
, , , .
, ,
,
. 5.2 ,
.
, 28%,
.
, .
, ,
. , -

92

5.2

( .)

+2000

/
\

4000 .,

2000 . 1
4000 . 2.

2 8 % ,
,

10

28%

\f
1
20 \ 40

1
50

60

70

1
80

1
90

1
100

(%)

ffl

S
-1000

-2000

, ,
. .
,
,

,
^.
, ,
,
. , ,
, .
1:


?

. :
( . )

0
-1000
+1000

,
+1500
-1500

/(%)
+50
+50

NPV 10% ( . )
+364
-364

5 0 % ( ,
- 1 0 0 0 + 1500/1,50 = 0 + 1 0 0 0 - 1500/1,50 = 0).
, ? , ,

1000 . , , ,

50%,
1000 . ,
50%. ,
, ,
, ,
, 5.2, ,
.

. -
,
.
,
,
, .
. ,
.

 5. NPV

93

, ,
, ; ,
.
, :
( .)

0
+1000

-3600

+4320

3
-1738

1(%)
+20

NPV = 10% ( .)
-0,75

,
20%. , 10%
. ?
, , ;
, 1
2. ,
?
. 5.3 ,
.
10% (. . ) ,
, .
2:

,
, , ,
, ,
, .
1 ., ,
300 . . . 50%,
1 . ,
( . .):
2
4

0
1
3
5
+300

-1000
+300
+300
+300
+300
-150
-150

+500
-150
-150
-150
+ 150
+ 150
+150

-1000
+800
+ 150
-150
: 1 . 0 1 500 . .;
, 1 +500.

94

-
:
NPV = 1 0 % (. .)

1 ( % )
- 5 0 15,2

74,9

, ,
NPV= 0. , :
800
NPV= - 1 0 0 0 + +
0,50

150

(0,50)

150

(0,50)

150

150

=4 +
5
(0,50)
(0,50)

150

6 = 0
(0,50)

800
NPV= - 1 0 0 0 + 7 7 = - +
1,152

150

(1,152)2

150

(152)

150

150

5
4 +
(152)
(1,152)

150

76 = 0.
(152)

, 50%,
15,2%. 5.4 .
,
. ,
. ,
4
.
,
. ,
. ,
, , ,
. ,
(
) , , ,
. , ,
. .: J. . Lorie
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. 124 129.

 5. NPV

95

, , ,
.
( ! ) ,
. ,

:
( .)

+ 1000

2
-3000

1 ( %) NPV = 10% ( .)

+2500

+339

. , ,
5
.

.
, .
.
:
( .)
1 ( %) NPV =10% ( .)

Ci

-10 000
-20 000

+20 000
+ 3 5 000

100
75

+ 8 182
+11818

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

, . ,
,
.
. 1RR
.
1. 6 5:
PV

5 = - $ 1 5 0 0 0 0 / 1 , 1 0 = - 1 3 6 , 3 6 . .

2. 5 :
5 + ^, . = $ 1 5 0 0 0 0 - $ 1 3 6 3 6 0 = 13,64 . .

3. ,
, 1 5 % :
800
AW=-1000+

+
1,15

150

150
(1,15)

(15)

150
3

,15)

13,64
4

(15)

IRR 1 5 % (
), ,
, .
,
.

96

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

:
( .)

1 ( %)

NPV = 1 0 % ( . )

- 1 0 000

+15 000

50

+3636

50%,
10% .
6
.

.

. , ,
, 3 ( ):
( .)

0
-9000
-9000

+6000
+1800
-6000

+5000
+1800
+1200

+4000
+1800
+1200

0
+1800
+1200

5
0
+1800
+1200

. .

1 ( %)

NPV = 1 0 %
( .)

...
...
...

33
20
20

3592
9000
6000

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

3, . ( . 5.5
,
15,6%.)
, , 2 0 %
3 ( 20%),
.
, 20%,
.
20, 10%.
,
. 10% , , . ,
. , ,

.

 5. NPV
5.5

,
3,

,

15,6%

97

( .)
+ 1 0 000 -

+ 6 ^
+5 -

50

( % )

- 5 000
3

3 9000 .,
7
3592 .
.
. 3,
. , .
, , , ,
( ,
), 3,
. , 3
. ,
, 3, , .
.
, , 3,
,
. I B M
? I B M
,
3; ,
3. , - , , ,
,
.
, -
; .
. - ,
,
? .
, ,

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

98

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

. .

1 ( %)

NPV = 10%
( . )

3-

-4200

-3200

-2200

+1800

+1800

...

15,6

+5408

3 15,6%.
,
3, .
4 :
,

,
,
C j , 2 , 3 . .
, ,
, ,
.
:
NPV=

1 + 1 (1 + /-2 (1 + )
, Q
, 2 . .
, ,
.
, ?
2, 3 . . ? -
, ,
.
? ,
,
8
.

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

99

5. NPV

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


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

5.4.

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

.
10%
:
( . )

-10
-5
-5

+30
+5
+5

+5
+20
+15

NPV = 10%

( . )

21
16
12

,
10 .
, .

100

.
, ,
.
. ,
. ,
,
.
10
:
, ,
_
=

'

( .)

NPV
( .)

10
5
5

21
16
12

2,1
3,2
2,4

11

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

-10
-5
-5
0

+30
+5
+5
-40

2
+5
+20
+15
+60

=10%
( .)
21
16
12
13

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

;
,
1.
0. ,
, 30 .
1. 30 . 10 .,
.
10

11

12

,
. (
, .
, .)

: PV/. /
. / 1,0
. .
,
.
, .
,
, . , ,
(^ 100. ,
200 ., (2) 1 . 1,5 .
, .

101

5. NPV

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

. , ,
,
.
,
.
.
.
.
21 .
16 . .
.
, , :
NPV= 2 1 +

16 +

12 +

13 .
1

. -,
0 10 . :
10 + 5 + 5 + 0 < 10.
1
10 . :
-30 - 5 - 5 + 4 0 < 10.
,
. :
0 < < 1,

0 < < 1,...

21 + 16 + 12 + 13

10 + 5 + 5 + 0 < 10;
-30 - 5 - 5 + 40 < 10;
0 < < 1,
0 < < 1,...

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

102

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

, ,
.
, ? -,
. -, ,
.
. , ,
.
.

. , ,

.
?
, .
13
?
, ,
, ;
,
. .
^ .

. .
/ . ,
,
.

.
,

. ,
.
,

.
,

,

. ,
, .
, .
, , , 2,
.

 5. NPV

103

,
.
. .
,
,
. ,
,
?
,
,
.
.
, () ,
,
. ,
. ? ,
-
-
14
?

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

, .
,
.
, '6111. , ()
.
, ,
,
. , ,
,
, , .
.

.

, , -
.
.

. , , ,
.
, .

104

.

.
. ,
.
,
,
.

. , ,

. .

(
). ,
.

. ,
/ .
, , ,
.
.
.
(IRR) ,
.
, ; ,
IRR. ,
,
.
, ,
.
. , , ,
. .
1. ?
,
. ,
.
2. .
,
.
3. . ,

,
.
,
.
4.

.

.
,
. .
.

,
. -

 5. NPV

105

a d h o c ,
. ,
,
. , , ,
. ,
.
, ,
,
, .
,
.
, :
(
) , ,
,
. , ,

.
.
,
.
,
. ,
.
,
, .

,
:

.:

/. . Lorie and L. J. Savage. Three Problems in Rationing

Capital//Journal of Business. 28: 229239. 1955. October.

. . Weingartner. Mathematical Programming and the Analysis

of Capital Budgeting Problems. Englewood Cliffs, N.J.:
Prentice-Hall, 1963.

E. Solomon. The Arithmetic of Capital Budgeting Decisions //

Journal of Business. 29: 124129. 1956. April.
A. A. Alchian. The Rate of Interest, Fisher's Rate of Return over
Cost and Keynes' Internal Rate of Return // American
Economic Review. 45: 938942. 1955. December.

,

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

1.
? .
2.

)
:
( .)

-5000
-1000
-5000

,
+1000
0
+1000

+1000
+1000
+1000

+3000
+2000
+3000

4
0
+3000
+5000

) ,
,
,
?
)
, ?
)

10%,

?

106

.
)
,
.
?
)
, ,
,
. ?
)
, ,

?

? .

3.

?

?

4.

(IRR) . IRR ?

5.

)
0, 50
100%:

-|

-6750

+4500

+18 000

7. ,
:

+4000

- 1 1 000

13%.
10%,
?

-75

( .)

IRR ( %)

-400
-200

+241
+131

+293
+172

21
31

8%. , ,
, . ,
. (
: ?)
9. ,
,
90 . . .
?

+5000

+200

8. :

, :
CQ

-100

)
?
)
20%. ?
.

) ?
6.

CQ

NPV

1
2
3
4
5
6

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

10 000
5 000
90 000
60 000
75 000
15 000

10.
? ,

?
?

1. :
\

? .

0
-1000
-2000
-3000

-,

+1000
0
0
+1000 +1000 +4000
+1000 +1000
0

4
0
+1000
+1000

5
0
+1000
+1000

3.

.

20%.
,

.

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

?
2.

?
.

4.

.
)
.
,

.

107

5. NPV
) .
,
.
.
5. ,
-
,
,

.
.


. ?
.
6. ( ) IRR
:

0
-3000

)
+3500

+4000

-4000

?
7.

2
3

-100
+60
+60
0

-100
0
0
+140
)
0, 10
20%. ,

,
.
)
?
)
1
)
( )
0, 10, 20%.
. ,
,


.

8.

,
,
:

Ci

IRR ( %)

-400
-200

+250
+140

+300
+179

23
36

9%. - ,
.

) - ,
.
) ,

.
) ,

.
9.

.
250 . .
.
650 . .
, .
550 . .
, 650 . .
.
, ,
()

,
.
10. ,
,

.
? .
1 1 . ,
5.3. ,

10%.
)
.
) ,
.
12. 1983 .
,
.


.
:

0
1
2
3
4
5
6
7
8
9
10

(.)
- 2 1 750
+ 7 861
+ 8 317
+7188
+ 6 736
+6 231J
- 5 340
- 5 972
- 6 678
- 7 468
+ 1 2 578

. ,

14%?

108

13.
1 . .
,
?
,
?

11%.

1
2
3
4
5
6
7

NPV

IRR

( . .)

( . .)

(%)

300
200
250
100
100
350
400

66
-4
43
14
7
63
48

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

14.
:

W
X
Y
Z

Ci

-10 000
0
-10 000
-15 000

20 000

000
000
000
000

0
+ 5 000
+ 5 000
+ 4 000

20 000

20 000

-10
-20
+5
+5

NPV
+ 6 700
+ 9 000
0
- 1 500

1.

2.

,
,

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

, 6
(
).
,
5 5.3.
12%.

,
.

4.

,
14
( ).
,
15
: 0 < < 1.
.

5.

, , 5.4.

, :
) , 0,

1;
)
. ,
-

.

(12)

, :

(l + IRR)

3.

,
U2

l + IRR

.
? ,

?

. , Cj
2, ,
, 3 (
):
, +

( l - * ) C i ^ (1-)22 = 0.

15

( . 5.1.)


. ,
,

,

.
, ,

(. 5.1).

,


. (
. 5 . 2 1 6 . )

.

,
.
,

, . 16
- .
7 ,
.
,
. ,

.

.
?
:
. ,
, 9 % ,
, . 30
. 4 0 0
, 2 0 0 . ,
30 0 0 0 / 2 0 0 0 0 0 , 1 5 % ,
9 % .
:
28000/200 0 0 0 , 1 4 % . ,
, . . .
, ?

. - .

(. 5.1 5.2),
.
.
:

.
?

= =
= $180 000 - $70 000 = 110 000 .
.
, -
.
. .
:

.
. ,
.
.

= + =
= $30 000 + $80 000 = 110 000 .
. .
.
-
.

.
.
.
.
,

. .
.
,
, , ,
15.

.
6.

109


5.1




( ,
, . .)

1.

140

140

140

140

140

55

55

55

55

140
55

140

2.

55

55

3. *

57

57

57

57

57

57

57

4.

28

28

28

28

28

28

28

400

343

286

229

171

114

57

5.
**
6.
(. 4/. 5), %

9,8

8,2

12,2

16,4

24,6

49,1

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

5.2



(
, ,
. .)

1.

180

180

180

180

180

2.

70

70

70

70

70

3. *

80

80

80

80

80

4.
5.
**

30

30

30

30

30

400

320

240

160

80

18,75

37,5

6.
(. 4/. 5), %

7,5

9,4

12,5

* : 400 000 ./5 = 80 000 . .

** 0 4 0 0 000.

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

1. ,
5.2,
?
2.

.
? ,

.

, ,

.

.
. :
? :
.
.

,
-,
, . .

, :


? ,
, 5-
Z 10-
.

Y, ,
, Z,
.
, Y
? .

: ,
.

,
,

,
, .

,

,

. ,
,

.
-


,
, ,
, ,
.

, , ,
:
.

:


?
, ,
, ,

.
,
.

111

112

6.1. ?

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

,
. : .
.
, ,
, .
-, , ,
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: .
,
.

.
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, .

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,
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113

6.

, .
20- ,
.
,
. ,
.
, .
.
.
,
;
.
. ,
. ,
, ,
, .
. G E , P r a t t &
Whitney, Rolls Royce
,
. , 20, ,
.

. ,
, ,
.
.
. (
)
. ()
,
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(,
).
.
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.
.
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114

.

:

->

100 .

100 .

, ,
100 . . ,
, 100 . . .
.
,
. ? , .
, .
,
.
.
:
. ,
,
.
. , 1971 . Lockheed

TriStar. Lockheed ,
, 1 . L o c k h e e d ,
,
1 .
. 1 . ,
1
.
. ,
.
. ,
, ,
. -
, . ,
,
. , ,
,
.
. ,
, ,
, .

3, , . , 8%, 1080 . ,
1

.: U. . Reinhardt. Break-Even Analysis for Lockheed's TriStar: An Application of Financial Theory //

Journal of Finance. 28. 1973. September. P. 821838.

115

6.

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

+ '. = + ''.) X (1 + ).

, ,
,
,
. . ,
. ,
,
,
.
; ,

.
, ,
, .
.
,
15%.
, ,
, :
( . .)

Cq
-100

-|
+35

2
+50

3
+30

15%
( ) . :
15%,

. , .
, 10% . 1,
35 . ., 1 35 000 .
2
1,10 = 38 500 . 2 50 000 . (1,10) =
= 60 500 . 2 . .
15%, :
*

$38 500

$60 500

$39 900

(1,15)

(1,15)

NPV= - $ 1 0 0 000 + +

25 - +

3 -

= 5500 .

,
, :
=

1 +

;
1.
1 +

116

.
:
=

1 = 0,045, 4,5%.

, ,
, , 5500 .:
NPV=

- $ 1 0 0 000 +

$35 000

- +
1,045

$50 000

-2 +$30
~ 000
=
3 5500 .
(L045)
(1,045)

,
(15%) (10%).
5% NPV= 4600 . , .
:
, .
. , 1970-
, ,
Bula M i n e s . , ,
Bula M i n e s 40 . .;
: ,
8 . ., 104 . .
,
, ,
2
.
6.2. :

( )
. ( ,
3
, : , .)
, 6.1. 10 .
( 1). 7
, 1,949 . ( 1,
7). .
, 6 . 1 ,

500 . ., ( ) ,
. .
,
(
9,5 . ) . ,
t ( .):
1

/ =

$9,5 = 1 583 000 .

612 6.1
4
.
2

3
4

, .
, , .
Bula Mines .: . Dimson and P. R. Marsh. Cases in Corporate Finance. London: Wiley International, 1987.
.
, ,
.

 6.

117

6.1
: ( . .)

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

10


10

(3 + 4)
10

* *
***
4

( 6 - 7 - 8 - 9 )
-4
, 3 5 %
-1
( 1 0 - 1 1 )
-2

000
000
000

000
000
400
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

1 449****
507
942

* .
** ,
.
*** 0 1, 16.
**** , 500 . .,
.

. , 6.1,
.
. ,
. ,
,
. ,
,
,
, , .
6.2 ,
6.1.
,
. -

6.2
:

( . .)

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

-1400

- 1 434

828

3 550

5 778

3 902

1 586

- 2 600

-1080

3 120

8177

12314

8 829

4 529

-550

-739

- 1 972

- 1 629

1 307

1 581 2 002

- 1 0 000

1442*

'

1.
2.

3.
4.

5.

(1-2-3-4)
6.

7.


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

- 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 3 4 4 4
2 046

961

= +3519 ( 9)

1949. . 507. .
.

118

.
,
. , ,

, .
.

20%.
, ,
3,5 . ( . .).
$1630
NPV= - $ 1 2 6 0 0 -

1,20

$2381

-^ +

(1,20)

$6205

+
2

- +
3

$10 685

(1,20)
(1,20)
= + 3 519 000 .

$10136

(1,20)

$6110

+ ~
5

+
6

(1,20)

$3444

(1,20)

. , ,
.
,
, ,
.

. ,
, .

.

. 6 6.2 ,
. :
?.

, , .

-
,

( ) ( ) . ,
2
( . . ) :

1289

_
~

635

1030

_
~

376.

? .
1.
, ,
, . ,
.
2.
.
, .
3. , ,
.
.

2- 3- ( . .):

119

6.3
: ( . .)

31 110

=
=
=

24 905

32610
,
,
(19 552 + 1331 + 3 5 5 0 )

6205

1972

1500


(972 - 500)

31 110

_
~
=

972

24 905

1500

_
-

500.

3 6.3.
,
,
. , :
1)
, ;
2)
,
.
, ,
.
30
.

(. . ) .
, .
( ),

:

= $1 583 000 0,35 = 554 000 .

(554 . . )
5
2 0 % 1842 . .
, ,
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: .
20%,
, , .
,
,
. (, )

(. . 26).

120

6.4

( %
)

1. ,
,
6 .
2.
27,5
31,5 .

()
1
2
3
4
5
6
7

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

9
10
11
12
13
14
15
16
1720
21

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

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

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

*
1986 . (Tax Reform Act of 1986),
.
6.4
. ,
.
57 . ,
. ,
, 2 0 %
1 , 3 2 % 2 . .
( . . ) :

(
)

( , = 0,35)

2000

3200

1920

1152

1152

576

700

1120

672

403

403

202

2174 . . ,
331 . . , .
6.5 ,
, 6.6 ,
, .
, . ,
, 6.2,
.
6.5 :
,
.
* .
, , ,
. . .

 6.
6.5



( . .)

1. *
2.
*
3. *

-4000

4.

121

523

12 887

32 610

48 901

35 834

19717

837

7 729

19 552

29 345

21 492

11 830

2 200

1 210

1 331

1 464

1 611

1772

2 000

3 200

1 920

1 152

1 152

576

5.
(1-2-3-4)

- 4 000

- 4 514

748

9 807

16 940

11 579

5 539

1 949**

6. , 35%***

- 1 400

- 1 580

262

3 432

5 929

4053

1 939

682

6.1.
.
, , 1949 . .
,
, , .

6.6
:


( . .)

1. *
2.
*

523

12 887 32 610

48 901

35 834

19717

837

7 729 19 552

29 345

21 492

11 830

1 331

1 611

1772

4053

1 939

682

4000

2 200

4. **

- 1 400

5.

(1-2-3-4)

- 2 600

3. *

6.

3432

1 464
5 929

-934

3686

8 295

12 163

8 678

4176

-682

-550

-739

- 1 972

- 1 629

1 307

1 581

2 002

- 1 0 000

1 949*

(5 + 6 + 7)

- 1 2 600

- 1 484

2 947

6 323

10 534

9 985

5 757

3 269

7.

- 1 580

1 210
262

= 20%

- 1 2 600

- 1 237

2 047

3 659

5 080

4013

1 928

912

= +3802 . ( 9)
* 6.1.
** 6.5.

( ) ,
26. ,
,
.

:
, .
,
. ,
,
,
.
6
.
6

( )
. , , , ,
, ;
.

122

.
,
.
,
.

,
.
, ,
.
,
.
,
. , ,
. ,
.... , , 10, 15% ? , -
2? ,
, ?
,
. 10, ,
- .

NPV

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

. ( , ,
,

,
.)
,
7
. 37% , .

,
, ,
,
.
, ,
, () ,
. ,
(, 7

33,3%
3,33%.

 6.

123

, ) . ,
4,75% (
: 4,5%).
, ,
.

.
79.
,
.
9
6.6 .
.
6.3.
,
, (
, ).
,
, .
.

1990- (California Air R e sources Board; C A R B )

. () , , . C A R B
, .
,
,
.
? : ,
400 .
, .
, ?. ,
.
, 400 ., (
) 7%. 25 ,
900 .
,
.

, 25 , 400 . ? :
25- 400 .:
PVaHlfyiirer =

25 .

:
, ,
. ,
,
.

(. . 13) .

124

.
7 % 2 5 11,65. :
400 . =

11,65;

= 34,3 .

3,8 :
$34 300
900 000 000

0,038 .

.
,
( )
.
( ! )
. .

, .
,
. 15 . . 3 .
5 0 0 0 . . 2 > , 1 0 . . ,
2 , 6000 .
:
.
,
( ) .
, :
( . .)

Ci

PV = 6% ( . .)

+15

+5

+5

+5

28,37

+10

+6

+6

21,00

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

, . ,
10 610 .
( . .)

+15

10

Ci
+5

+10,61

Cg

+5

+5

+10,61 +10,61

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

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

 6.

125

,
,
:
^^

^''

$^8 370

3 .

6 %
2,673. :
=

$28 370 = i n , i n
^ ^73
10 610 .

:
( . .)

0
+10

,
+6
+11,45

2
PV = 6% (
+6
21,00
+11,45
21,00

. .)

, ,
(10 610 . 11 450 . ).

. ,
,
1.
0, 13. ,
,
28 370 . ,
,
,


:
,
,

.
.
,
6%. , ,
. ,
5%; 1,05,
2
(1,05) = 1,105 . . ( . . ) :

,
10,61
11,14
11,45
12,02

2
10,61
11,70
11,45
12,62

10,61
12,28

, . ,
.
,
,
11
.
:

. = (1 + .) (1 + ) - 1 = 1,06 1,05 - 1 =0,113, 11,3%.

, 6%.

126

.

, ,
12
.
- ,

. 5% ,
,
.
.
:
,
. ,
.
:
. ,
, 10 610 .
11 450 . . ,
.
, . , ,
( )
20%.

20%, - .
, :
20%, ?
1 , 2
-1 = 0,8 , 3 = 0,8 , 0,64 . .
,
. , :
PV
^

, 6

,1

(\

0,8

1,06

(1,06)

8 37

'

0,64

(1,06)

lb,i

''

= 12 940 .,
:
PV

'

1 06

'*1 - 2 1 Q Q .
2

(1 )

^I,VJU,

= 12 690 .

. ,
,
,
( 3 ).
,
. , 1 , ,
.

.
. . 2
.

127

6.

,
1 ( . ) .
0
.
:
;
, . ,
,
. , ,
.
( ,
), ^.
. . ,
, ,
, ,
,
.

.
,
. , .
.
. , ,
, 4000 . 4000 .
, .
, 15 . .,
8000 . . ,
.
,
, ,
:
( . .)

-15

NPV = 6% ( . .)

+8

+8

+8

6,38

+2,387

+2,387

+2,387

6,38

,
2387 . . ,
:
, 2387 . ,
. 4000 . ,
, 2387 . ?
.
, 8000 .,
7000 . , ,
, . ,
7000 .,
, 8000 . 1,06 = 8480 . , ,
3, ,
.

128

.
8480 . 7000 . = 1480 .,
. , .
, ,
, ,
.

, ( , , , ),
.
, , , ,
,
.
,
, ,
, .
.
, ,
.
,
, . ,
6%
500 . .
500 . .
, , ,
14
118 700 . . , ,
, , . ,
118 700 . .
, 4; 5. ,
4
4
118 700 . 118 700 ./(1,) ,
94 . . , , .
,
. , ,
,
.

6.4.

2
. 8 .
2
, 9 . .
,
. .

.
,
.
,
;
, .
118 700 . ,
6%, 500 . .

 6.

129

.

. , .
1:

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

. (/)
. ,
,
, :

(1 + )'

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


( . .)

( %)

50

64,4

77,5

89,4

100

109,4

+28,8

+20,3

+15,4

+11,9

+9,4

, , .
,
,
. ,
. ,
10%. , 1,
58 500 .:
NPV 1 = ^

58 500 .

( / = 0)
:

(
.

.)

50

58,5

64,0

67,2

4
68,3

5
67,9

4 ,
.
, 4
, 10% :
, . 4
, .

130

.
, ,
15
.
,
, . , = 0,
t= 1;
. , , ,
, - . ,
, , ,
16
.

2 :

1 0 . ,
, , , 9 .
, 1 . ,
, .
, , ,
. .
, 1000
.
; ,
2 . . ,
. , ,
.
50% . 10%
, 30 . .:

750
2 . 750 . = 1500 .
1500./0,10= 15 000 .
2 x 1 5 . = 30 000 .

.
, ,
, .
6000 ., .
1 . .
, 2 7 . .:





15

16

750
.
1 . 750 . = 750 .
6000 . + 7 5 0 . / 0 , 1 0 = 13 5 0 0 .
2 x 13 500 . = 27 .

, :
, . ,
, .
:
1) ,
, ;
2) ,
.
.
, ,
.

10 22.

 6.

131

,
.
, ,
, , , :
.
.
, .
2 6 . . :

500
1000

0
6000 .
2 . 500 . = 1000 .
1 . 1000 . = 1000 .


1000./0, = 0 0 0 .
. + 1000./0,10 = 1 6 0 0 0 .


26 000 .

4 0 0 0 . ;
3000 .
1000 .

.
, .
,
.
1. .
.
2. .
,
.
3. . ,
,
, .
( ) ,
.

, .

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

132

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

. . :
. ,
. : ,
.

,

,
. :

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

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

. L. Grant, W. G. Ireson, and R. S. Leavenworth. Principles of

Engineering Economy. 8th ed. New York: John Wiley & Sons,
1990.

U. . Reinhardt. Break-Even Analysis for Lockheed's TriStar: An

Application of Financial Theory // Journal of Finance.
32: 821838. 1973. September.

1.

,

?
,
.
)
.
) .
) ,
.
)
,
.
)
.
) .
)
.
) .
) ,
.

2.

' 100 .
. ,
8%:

100 000
P

4%.
,
',

. (
, '.)
3.

?
) ,
,
.
)

,
.
) ,
, ,
.

133

6.


, ,
.

. ?

?
.

(
), 6.4?
, ,

5 7 .
35%.
, .

8.
6.4.
, .

4.

5.

(
. .):

2000

2001

2002

2003

0
75

150
130

225
130

190
95

0
0

25

50

50

35

9.
1,5
., 200 . . .
25 .
5%, .
?
10.
;
:
(. .)

2004

7.

,

.
?
.

-100
-120

+110
+110

+121
+121

+133

( ) 10%.

,

.
6.

)
.
)
.
) ?
11.
200 . .,
80 . .
, ,
.
(. ) ,
5. ?

1.

6.6
.
.

20%, 10%.
(+3802 .,
3 802 .) .

2.

1898 .

,
.
( - ,
*.)

* not put the cart before the hearse

, to put the
cart before the horse,
() ,
: , -
-. . .

,
45 . . -
,
- ,
-
.


. ?
.
3.

:

.

10%,

15%. 35%
15%
10%.

134

4.

: ,
,
.
,
.

5.

.
.
)

,

.
)
,
.

6.

- ,
, .
400 . . 50 .
.
. - ,

,
, .

50 . .
.

?
35%,
5%.

7.

100 . .,
26 . .
.
, ,
,
.
35%

.

8%. .
)
.
)
.
,

?
8.

200 . .

2 . .
,
, .

1,50 .
150 . .
,

. ,

30 . ., ,
, ,
10 .
35%,
15%,

?
,
.
9.

,

.

.
6.7.
) .

? ? ?
)
,
6.7?
)
.
.
10. ,
- 3, 35 . .

(
).
.

200 . 1 . .

4050 .
40 . . ,
,

0,45 . .
1200 . .
, ,
,
, , , 15 . . (
).

NPV1
9%, 3%.
,
,
.
11.

135

6.
6.7
9.



( . . )

2003 .
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.

= + 1 3 932

2004 .

2005 .

8 000
- 4 000
-800
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0
0
0

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3 200
420
2 780

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0
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40 000
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12 800
4480
8 320

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136
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 : -*
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com
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(,

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, ,
:
ww^.asMc.Balr.edu/fod/1518.htm
3 .
.:
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www.finpipe.com ( , )
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)
w w w . g a B ^ h a t o r g ( )
www.hsh.com ( )
www.investineinbunds.com (
)
WTyw.investorguide.com/iiniversity.htinl (
)
http://moneY.cnn.com/markets/bondcenlcr
4 .
-.
., :
www.nyce.coin ( - )
www.nasdaq.coni ( N A S D A Q )
www.Ioiidonstocke_xchanBc.com ( )
www.tse.or.jp ( )
wjfflj_23wiujy_una/stjc^
( )
www.fibv.com (
)
:
www.djindexes.com ( - )
www.spglobal.com ( S & P )
www.barra.com (
, / . .)
www.wilshire.com

* -
, 2003 . . .

142

.
,
.
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www.finance.lvcos.com
http://money.cnn.com
httpr

/mnnevceiitral.msii.com

www.wsrn.com
http://my.zacks.com ( )

:
http://financialplayerscenter.com
ww.yaJucpro.iR't

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

7.1. 7 5 -
:
. ,
(Chicago's C e n t e r for Research i n Security
Prices, C R S P ) ,
, - ( N e w York
Stock Exchange, N Y S E ) 1926 .
, (American Stock
Exchange, ASE) , , . .
,
, Ibbotson Associates,
, :
1) ( ),
;
2) ;
1

3) ;
4) Standard and Poor (S&P500),
500 ( S&P 500
7000 ,
1

,
.
145

146

10000

6402,2
2586,5

S&P500

1000

100 64,1
48,9
16,6

10 -

1926

1936

1946

1956

1966

1976

1986

2000

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

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659,6

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100

_1_

1926

1936

1946

1956

1966

1976

1986

2000

7 . 2
1 . , 1 9 2 6 .,
. . . 7 . 1 . ,

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

2000 . 16,5 ., - .
49 . ,
. - . ,
, 2587 .
, ,
6402 . .
I b b o t s o n Associates, ,
1926 2000 .
, (. .
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3,9% 0,8% . ,
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.
.

7.1

,

,

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

(S&P 500)

(

)

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5,7
6,0
13,0
17,3

0,8
2,7
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0
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148

.
,
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.

, , 7.1, . , Ibbotson Associates

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. ,
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,

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 7. , :

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.
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.
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13%.
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, 3,5%.
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(2)

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,
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150

.
,
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. ,
. 1926 2000 .
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,
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,
,
.
, ,
.
6

8
9

. ,
, .
, ,
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.
. .: R. Mehra and . Prescott. The Equity Premium: A Puzzle // Journal of Monetary
Economics. 15. 1985. P. 145161.
J. Welch. Views of Financial Economists on the Equity Premium and Other Issues // Journal of Business. 73.
2000. October. P. 501537. , ,
5,5%; .: J. Welch. The Equity Premium Consensus
Forecast Revisited. Yale School of Management, September 2001.
: P. Jorion and W. N. Goetzmann. Global Stock Markets in the Twentieth Century //
Journal of Finance. 54. 1999. June. P. 953980.
.: 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 1

- - - - ( 1915 .)

(
1911
.)

- - -

( 1922/

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

-, .
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: .
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152

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7.4 7 5 ,
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. (54,0%) 1933 .
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, 7.1.
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. ,
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on Cash Flow Forecasts: An Empirical Analysis // Journal of Finance. 50. 1995. September. P. 10591093.
.
, (N 1), N
. (N 1), N,
. :
1
^

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t=\
1 /, 7.

 7. , :

153

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
0

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10 20 30 40

50 60

(%)

, ,
. ,
. () 100 .
. 2 0 %
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:

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+ :
10%;
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154

7 . 2
:

()

-
+40
+10
-20

+30
0
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2
(-)

900
0
900

0,25
0,5
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1930- . , Ibbotson Associates, Inc., 2001 Yearbook. , , ,
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.
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156

.
S & P
17
, 1926 . :

19261930
19311940
19411950
19511960
19611970
19711980
19811990
19912000

.
.
.
.
.
.
.
.

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37,8
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.

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,
.

, . , 7 5 ,
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, 1926 .
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18
10 2001 .

? .
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13%. Exxon Mobil
.
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.
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.
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.

157

7. , :
7.3


,
1996 2001 . ( %
)

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
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, ,
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, .
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. ,
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, , , 20 30 .
,
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C o m p u t e r . ,
. Reebok,

7 . 6
(
) ,

, -
. ,

, (
)
: . Statman. How Many Stocks Make
a Diversified Portfolio? // Journal of Financial and
Quantitative Analysis. 22. 1987. September.
P. 353363.

(%)
50

40
30
20 -

10

()

i
2

i
4

1
6

i
8

1
10

i
12

i
14

i
16

i
18

i
20

158

65 \-

45

i 1 . in i
| I i 'I I

"Jli
-15

-35

Dell Computer
I
. . 1997
1996

_1_

. 1998

_l_
. 2000

. 1999

I I I
. 2001

85
65
45

25

III

-15
-35

1 .1. .1
- i
||||

M i l l

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Reebok
i
i
. . 1997
1996

"
i
. 1998

1
. 1999

1
. 2000

i-

1
. 2001

65

45

25

ll.lll. .111 1.1 - 1 1 11 , ||1 II

11'11I 11111
11

-15

-35

I
I
. . 1997
1996

1
. 1998

1
. 1999

1
. 2000

1
. 2001

7.7
, Dell Computer Reebok,
, .
1 9 9 6 2001 .

|7. , :

159

7.8
.
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20

21
22

.
Dell Computer Reebok 62,7 58,5%
. ,
, 43,3%.
, ,
.
.

160

7.9

,
,- /'
2
; ;
Ojj /' j (,~,-);
Pij /' j
x,x2o12

x2 o2

, 6 5 % Coca-Cola
3 5 % Reebok. C o c a - C o l a
1 0 % , R e e b o k 2 0 % .
23
:

= 0,65 1 0 % + 0,35 2 0 % = 1 3

.
.
C o c a - C o l a 3 1 , 5 % , Reebok 5 8 , 5 % . ,
,

. ,
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5 8 , 5 % = 4 1 , 0 % . ,

.
.
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2
1 ( o j ) ,
2

1 ( x i ) .
2
2 ( 2 ) ,
2
2
2 ( ).
, ,
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, .
1 2
24
:

1 2 = 12 = Purify .
p J 2 , ,
1 2 .
,
. , 65 . Coca-Cola 35 . Reebok.
Coca-Cola 0,10x65 . = 6,50 ., Reebok
0,20 35 . = 7,00 . 6,50 . +
+ 7,00 . = 13,50 . 13,50/100 = 0,135, 13,5%.
:
1 2 = \2 = ( , r{) (2 2).
, .
" = ( ,) ( ^ {) =

=
) = 1 = ( 2 .

 7. , :

161

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,
:

x i

O i + 2 2 + 2 ( 2 1 2 2 ) .
2

.
C o c a - C o l a Reebok.

4 5 %
* . ,
12 = + 1 .

Coca-Cola
Reebok

Coca-Cola

Reebok

= ( 0 , 6 5 ) 2 ( 3 1 , 5 ) 2

*1*2P1212 =
= 0,65 0,35 1 31,5 58,5

*1*21212
= 0,65 0,35 1 31,5 58,5

2 2 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.
-Jl676,9 = 41,0%, 3 5 %
31,5 58,5.
, C o c a - C o l a Reebok .
,
0,2. , 1 2 = + 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%.
3 5 % 31,5 58,5 -
Coca-Cola.
,
. ,
, , C o c a - C o l a
Reebok .
, ,
( p i 2 = 1). :

= (0,65)2 (31,5)2 + (0,35)2 (58,5)2 +

+ 2(0,65 0,35 (-1) 31,5 58,5) = 0.
* , ,
4 5 % . , 12

"( 2 :
0(2 = (1

X)<Ji + Xd2 = Ci + <2 ]),

X = 0,45. . .

162

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-1

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163

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,
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:
. ,
, .

, .
!

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( ) ,

.
(|3).

7 . 5
,
1996 2001 .

Amazon.com*

3,25

General Electric

1,18

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0,56

General Motors

0,91

Coca-Cola

0,74

McDonald's

0,68

Dell Computer

2,21

Pfizer

0,71

Exxon Mobil

0,40

Reebok

0,69

* 1997 2001 .

164

7.11
Dell Computer
2 , 2 1 %
1 % .
, 2,21

Dell Computer ( <

2,21

/|

7.6
,
1 9 9 6 2001 . (
)

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

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

( ;

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()

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

,
:

165

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19262000 .),
20%.

,
, 1,5. 500
, , ,
.

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27
. = 1,5 50%
, 150% .

, ,
0,5, ,
. 7.12
.

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, .
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.
,
. ,
, C o c a - C o l a Reebok.
,
:
Coca-Cola
Reebok

Coca-Cola

Reebok

(0,65) 2 (31.5) 2

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

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

166

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


2 0 % .
() 500
= 1,5

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, () 500
= 0,5

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()

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( ) = 20%

500

()

( ) = 30%
( ) = 20%

500

()

( ) = 20%

( ) = 10%

500

,
:

Coca-Cola
Reebok

0,65 [0,65 (31,5) + 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
2

C o c a - C o l a
(0,65) (774,0). ( ,
C o c a - C o l a
, . . . ) ,
Coca-Cola, :

_
~

65

'

774,0

~ '

5 7

'

~ ' '

167

7. , :

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

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

(0,65 0,35) ,
(0,77 1,43). C o c a - C o l a
Reebok .
1% C o c a - C o l a 0,77%
Reebok 1,43%.
C o c a - C o l a ,
C o c a - C o l a .
C o c a - C o l a
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169

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.

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.

,

:

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

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.

:

. F. Fama and . R. French. The Equity Premium // Journal of

Finance.

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 .
()?
)

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. ).
100 .,
100 .

( .)

( .)

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0,50
0,40

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100

400
0
-100

?
.

170
3.

.


.

1995
1996
1997
1998
1999

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

( % )

j
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.

, 1996 2000 .
(

S&P 500
):

1996

1997

1998

1999

2000

-
S&P500

+16,1
+23,1

+28,4
+33,4

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12. :
. ,
,

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 7. , :

171

1.

,

19962000 .

( %)

S&P 500 ( %)

1996
1997
1988
1999
2000

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1,7
1,6
2,7
3,4

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( %)
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3.

7.3 - Standard & Poof's
Market Insight (www.mhhc.com V J u m a r i o i n s i ^ h l )
.
Monthly Adjusted
Prices Excel.


. Excel
VAR STDEV.

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172

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Coca-Cola, Citigroup Pfizer.
)


. STDEV
Excel
12.
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.
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.
, 40%
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, ,
.
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S&P 500. Excel
SLOPE;
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= -0,25.
.
16. - S&P Market Insight (www.mhhe.com/
ctlumarketuisi^ht) Monthly
Adjusted Prices General Motors (GM)
Harley Davidson (HDI).
) ,
, 13.
)

S&P 500.
STDEV
Excel
12.

GM H D I .

7.7
12.
.
, . , ,
.

Alcan
BP
Deutsche Bank
KLM
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Nestle
Sony

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17.
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1.

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Dell

( %)

2,21
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Microsoft 1990 2001 . 1

. . Markowitz. Portfolio Selection // Journal of Finance. 7. 1952. March. P. 7791.

174

175

8.
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Microsoft


.

1990 2001 .

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( %)

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, ,
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, ,
C o c a - C o l a 31,5%, R e e b o k 58,5%. Reebok
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.

176
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177

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. ,
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.
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, ( %)

20

30

40

50

60

, (%)

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.
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5
3) .
3

7.3, Coca-Cola Reebok

0,2. , 65% Coca-Cola
35% Reebok, :
2 2

= + \\ + 2(x1x2Pi20~iO2) =
2

= (0,65) (31,5) + (0,35) (58,5)2+ 2(0,65 0,35 0,2 31,5 58,5) = 1006,1.
4

006,1 = 31,7%.
Reebok 21,4% . 8.4 ,
, (
) ,
.
90 ,
8.1.

178

8.1
, 10 ( %)
.
1996 2001 . .
( )

Amazon.com
Boeing
Coca-Cola
Dell Computer
Exxon Mobil
General Electric
General Motors
McDonald's
Pfizer
Reebok

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13,0
10,0
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14,0
14,8
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180

8.6


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9
10

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().
: /. Tobin. Liquidity Preference as Behavior
toward Risk// Review of Economic Studies. 25. 1958. February. P. 6586.
,
. .
.: W. F. Sharpe. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk // Journal
of Finance. 19. 1964. September. P. 425442; /. Lintner. The Valuation of Risk Assets and the Selection of
Risky Investments in Stock Portfolios and Capital Budgets // Review of Economics and Statistics. 47. 1965.
February. P. 1337; (J. Treynor) .

182

8.7

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8.2
,
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. = 3,5%
- = 8%

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)
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: F. Black. Beta and Return// Journal of Portfolio

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, ,

, . .: F. Black. Capital
Market Equilibrium with Restricted Borrowing // Journal of Business. 45. 1972. July. P. 444455.

187

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(. . 8.9)
: F. Black. Beta and Return//
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188

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.: 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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193

8.
8 . 3
, 19781990 .
: . J. Bton, . 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. 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. 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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,

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29

. F. Fama and . R. French. Size and Book-to-Market Factors in Earnings and Returns // Journal of
Finance. 50. 1995. P. 131155.
: E. F. Fama and K. R. French. Industry Costs of Equity // Journal of Financial Economics. 43.
1997. P. 153193. , ,
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195

8.
8.5
,

: F. Fama and . R. French. Industry Costs of Equity // Journal of Financial Economics. 43. 1997. P. 153193.

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196

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197

8.
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.:

. . Markowitz. Portfolio Selection // Journal of Finance. 7: 77

91.1952. March.

R. Roll. A Critique of the Asset Pricing Theory's Tests; Part I:

On Past and Potential Testability of the Theory // Journal of
Financial Economics. 4: 129176. 1977. March.

,
,
. ., .:
. J. Elton and . J. Gruber. Modern 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: 425-442. 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 . 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. F. Fama and J. D. MacBeth. Risk, Return and Equilibrium:

Empirical Tests // Journal of Political Economy. 81: 607636.
1973. May.

.:

F. Black, M. C. Jensen, and M. Scholes. The Capital Asset Pricing

Model: Some Empirical Tests // M. C. Jensen (ed.). Studies in
the Theory of Capital Markets. New York: Frederick
A. Praeger, Inc., 1972.

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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214

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 9.

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.: /. 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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218

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 9.

219

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PV

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'

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-
, . = 18

., .: 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

.
'

'

PV
1

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22
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.: . 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.
.: G.Foster. Financial Statement Analysis. 2ded. Englewood Cliffs, N.J.:
Prentice-Hall, Inc., 1986. Chap. 10.
, ,
,
. .: W. F. Sharpe. The Capital Asset Pricing Model: A 'Multi-Beta' Interpretation // H. Levy and
M. Sarnat (eds.). Financial Decision Making under Uncertainty. New York: Academic Press, 1977.
.: 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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= 17 857 .

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1.
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222

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100
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.

 9.

223

,
5,4 .
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2
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100
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224

.
. 125 . .

50%. 1 .,
250 . .
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 9.

225

8
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226

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

. :

. ,
, .:
. F. Fama and . R. French. Industry Costs of Equity // Journal
of Financial Economics. 43: 153193. 1997. February.

G. Foster. Financial Statement Analysis. 2nd ed. Englewood Cliffs,

N.J.: Prentice-Hall, Inc., 1986.

,
,
:

,
, .:

. F. Fama. Risk-Adjusted Discount Rates and Capital Budgeting

under Uncertainty // Journal of Financial Economics. 5: 3
24. 1977. August.

W. F. Sharpe. The Capital Asset Pricing Model: A 'Multi-Beta'

Interpretation // H. Levy and M. Sarnat (eds.). Financial
Decision Making under Uncertainty. New York: Academic
Press, 1977.

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

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:
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www.equity.stcrn.nyu.edii/~adamodar/New_Homc_Page
;
,
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www.duke.edu/~charvey

:
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ValuePro
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www.ibbotstm.com


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U. . Reinhardt. Break-Even Analysis for Lockheed's TriStar: An Application of Financial Theory // Journal
of Finance. 28. 1973. September. P. 821-838.

244

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246

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 10.

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: S. . Myers. Determinants of Corporate Borrowing // Journal of Financial
Economics. 5. 1977. November. P. 146175.

255

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257

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258

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260

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.:
U. . Reinhardt. Break-Even Analysis for Lockheed's TriStar. An
Application of Financial Theory // Journal of Finance. 28:
821838. 1973. September.
,
:
. . and . . Wiig. The Use of Decision Analysis in Capital
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Merck :

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

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

, (. . 22):
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W. C. Kester. Today's Options for Tomorrow's Growth // Harvard
Business Review. 62: 153160. 1984. MarchApril.

261

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268
11.1
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.

269

11.

, - , .
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7
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= - $ 2 0 0 000 000 + $400 000 000 -
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270

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'Economics of Exhaustible Resources': Fifty Years Later//Journal of Economic Literature. 19. 1981. March.
P. 6573. .: M.H.Miller and . W. Upton. A Test of the Hotelling
Valuation Principle // Journal of Political Economy. 93. 1985. P. 125.
, (. .
).

 11.

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27, ." . S. Schwartz. The
Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging // Journal of Finance.
52. 1997. July. P. 923973; A. J. Neuberger. Hedging Long-Term Exposures with Multiple Short-Term
Contracts// Review of Financial Studies. 12. 1999. P. 429459.

272

11.1



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274

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275

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276

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278

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1999. November 22. P. 110115.

.
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 11.

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

282

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284

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Industry, 1997.

290

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Division of Research, Graduate School of Business Administration, Harvard University, 1970.

 12. ,

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of Financial Economics. 25. 1989. November. P. 123140.

294

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Review. 76. 1986. May. P. 323.

 12. ,

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60% . 1998 . CUC
, Cendant, CUC.
70 .
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Crushed Cendant // The Wall Street Journal. 1998. August 13. P. Al, A8.
8
(. . 18).
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on the Uniqueness of Bank Loans // Journal of Financial Economics. 19. 1987. December. P. 217235.
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Review. 68. 1990. MayJune. P. 138. 1983 .
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[ ].
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 12. ,

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S. Kaplan. Top Executive Rewards and Firm Performance: A Comparison of Japan and the USA// Journal
of Political Economy. 102. 1994. June. P. 510546.

298

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, ,
, . ., .:
W. P. Rogerson. International Cost Allocation and Managerial Incentives: A Theory Explaining the Use of
Economic Value Added as a Performance Measure // Journal of Political Economy. 4. 1977. August.
P. 770-795.
Shawn Tally. The Real Key to Creating Shareholder Wealth // Fortune. 1993. September 20. P. 48.
EVA ,
. ., .: R. Anthony. Accounting for the Cost of
Equity // Harvard Business Review. 51. 1973. P. 88102; Equity Interest Its Time Has Come // Journal of
Accountancy. 154. 1982. P. 7693.

 12. ,

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A. Ehrbar. EVA: The Real Key to Creating Wealth. New York: John Wiley& Sons, Inc., 1998. P. 130131.

302

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Stern-Stewart.

Philip Morris
General Electric
Microsoft
Exxon Mobil
Citigroup
Coca-Cola
Boeing
General Motors
Viacom
AT&T Corp.

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( .)

( .)

( %)

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181 344
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110 111
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303

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Bristol-Myers Squibb
Merck
Pfizer

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Dow Chemical
Ethyl Corporation
Hercules Inc.

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304

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.)

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210
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150
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 12. ,

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, . .:
/. A. KAY. Accountants, Too, Could Be Happy in a Golden Age: The Accountant's Rate of Profit and the
Internal Rate of Return // Oxford Economic Papers. 28. 1976. P. 447460.

306

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 12. ,

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308

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. Solomon and J. Laya. Measurement of Company Profitability: Some Systematic Errors in Accounting
Rate of Return // A. A. Robichek (ed.). Financial Research and Management Decisions. New York: John
Wiley & Sons, Inc., 1967. P. 152-183.

 12. ,
12.9


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310

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1980 .
.

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1960- 1990- .

,
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; : Zvi Bodie. Compound Interest
Depreciation in Capital Investment // Harvard Business Review. 60. 1982. MayJune. P. 5860.

311

12. ,

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J. L. Bower. Managing the Resource Allocation Process. Boston:

Harvard
University
Graduate
School
of Business
Administration, Division of Research, 1970.

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.

,
:
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.

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.
/. A. Kay. Accountants, Too, Could Be Happy in a Golden Age:
The Accountant's 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.

 12. ,

313

1.

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120
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170
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200

160

120

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316
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20

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1
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