Вы находитесь на странице: 1из 1012

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

336.01
65.26
89


,
. .

,
89 / . . . .
.: , 2008. 1008 : .
ISBN 978-5-9693-0089-7 (.)

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

: ,
, , ,
, ,
. ,

.

.
,
, ,
.
336.01
65.26
.
.

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


ISBN 0-471-18093-9 (.)

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


by The McGraw-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

, dot.com

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

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

927

928

929

6.

7.

35.2. :
1. ?

930

2. : ?

931

3. ?

932

4. ?
5. ?

933

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

934

935
936
-

939
945

967


, ,
. ,
, ,


.
.
, .
,
. 15 ,
.
,
. , .
. ,
, , ,
.
, ,
,
.
.
.
,
,
. ,

. , , ,
.
, ,

.
,
15 . .

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

,
-


.

.
,
.
i n t r o d u c t i o n t o Risk a n d R e t u r n f r o m C o m m o n S t o c k s * .


.

.
,
,
. T h e Brattle
G r o u p , Inc. .



. ,
.
, .
, , ,
, , , .
,
, .
.
, , , .
, ,
, . -
.
.
,
. ,
,
,
.
* * *
.
.
, .

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

xxviii

, .
.
, .

.
.
, , .
.
, 112,
: ( ), ,
.
. 14,
, ,
, . -
14, , .
, . ,
10 ,
, . ,
20 ( ) 21 ( )
22, ,
,
.
, :
(. 13) (. 7).
,
. , .
. ,
6,
.
9,
15. 34
. ,
, ,
, .
:
- ,
.
, , ,
, , , . ,
,
.
*.


, ,
, ,
, ,
.
, - Standard &
*
Principles of Corporate Finance*. ,
, ,
, , . . .

xxix

Poor's Market Insight ( ).


.
.
( ),
( ) , .
-,
,
, .
- -, (www.mhhe.com/bm7e).
,
;
. /
, .
. ,
.
,
. ,
,
.
,
. -,
, ,
. -, ,
, ; , , .
, DIV,
.

,
, . , , , ;
; , , , . , .,
The Brattle Group, Inc.; Airbus Industries; .
McGraw-Hill/Irwin, ,
, ,
, ,
,
.
,

:

, ;

, ;

, ;

, -;

, ;

, ;

, . , ;

, ;

, , ;

XXX

, - , ;

, ;

, , ;

. . , ;

, - ;

, ;

, - ;

, ;

, ;

, ;

. , - ;

, ;

, ;

, ;

, ;

, ;

, ;

, ;

, , -;

, , ;

, . ;

, ;

, -;

, ;

, .

. ,

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

2001 . DuPont
(. ) .
50 . DuPont
Kelvar 1 5 % .
P r o c t e r s Gamble
1 0 0 . . ,
Folgers. ,
100 ., 2002 .
? .
, ,
, .
, D u P o n t , P r o c t e r & G a m b l e ,
, (
) . .
,
1020 , ?
. 1 ,
, : ,

. 2
. 6
, , DuPont
Procter & Gamble.


. ,
.

:
?
?. ,
, , .

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

, ,
.
,
,
.
,

. ,

, .
,
.
,
.

,
.
,
. ,

.
. , !

1.1. ?
.
.
( ). ,

1
() . .
, .
,
() , ().
,
.
, , Goldman Sachs,
1998 . .
3

.

. , , General
M o t o r s , Bank of America, Microsoft G e n e r a l Electric, British Petro
leum, Unilever, Nestle, Volkswagen, Sony.
(. . ) .
,
,
, .
. ,
,
. (
) .
. ,
.

. -
,
.
,


.
, .
.
,
, [ :
,
, ,
, ,
. . ].
. , ,
,
.

2
. ,
, ,

.
,
. ,
. , G e n e r a l M o t o r s ,
. ,
, .
,
*. ,
, , ,
. . 2

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

* , (
) ,
. . .

1.

, .
. ,
,
. ( !).

, ,
. , ,
, .
.
.

. .
. ,
,
. . ,
( )
4
, .
1.2.

. , ,
; ,
. .
, ,
.
, . , ,
, .
.
5, ,
.

( ), 6 ,
. 1.1,

. ,
( 1 ).
, ( 2). ,
, ,
( 3). ,
( 4), ,
( 46). ,
. , .
, ,
.
, ,
.
14 25.
,
. , ,
.
. ( .)
.

6
1.1

. :
(1)
;
(2)

; (3)
; (4)
; (46)


(
)

-<2)
(3)*"

<1)

25 (4)
(46)

4 4 6 . ,
1, 46.
,
. -,
? -, ?
(
).
( , , ).

, .
, , ,
,
[ : (
) ( ) . .
]. , ,
.

, , ,
. ,
,
. 1.1.
1 , ,
2, 3.
, ,
. ,
.
, ,
.
, .
Nestle. ,
. 520
8 2 . , Nestle ,
,
, , .
, , .
.
- , , .
. ,
, .
,
. ,
, Nestle,
82 .

1.

, Nestle ,
.


.
1.3. ?
,
.
,
. , .
, .
, :
, .
, ,
: ,
, , ,
.
, .
1.2.
, ,
, ,
.
, , .
(
-), ,
. , ()
:
,
.
, ,
, .
,
. ,
,
( ) .

( ) .

, , ,
, -
. ,
1.2

.
, , ,
.

.
,
. ,
, ,
, ,
.

1.4.

. .
: , ,
- [ ,
. . ] .
( ,
) .
.
.
. , ,
.
: ,
, ,
.

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

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

f B a 1.
1.1

.


(
,
)

(13)

(2, 12, 33, 34)


(15, 18, 23)


(12)

(16)


(18)

(18)

.
, .

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

.
, ,
, ,
,
. - ,
, . ,
? : !. ,
, ,
. , ,
, .
,
.
,
, - . 1.1
,
.
1.5.

,
:
. .

: ( ),
( ), (
) . 212.

10

.

, . :
? 1 1.1 ,
?
?
?
? 14
.
, .
.
14
. 1 3
,

. 15 .
,
, (
) . , ,

. ,
.
.
1, 20 .
, , .
, ( )
, . ,

.

: , .

, .

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

.
.
,
. ,
.

2 , .
.
, ,
. . -, ,
,

11

1.
.

-,

,
.

-,

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

, .
.
.

, . ,

.
, ,
.

, ,
.
.


The Wall
Street Journal* (WSJ) The Financial Times (FT), a
.
. The Financial Times
,
. The New York Times ,
,
, ,
WSJ FT.


( ).

, ,
, The Econo
mist*, Business Week*, Forbes Fortune; ,

( , , ate Finance*, Journal of Applied Corporate Finance*,
Risk, CFO Magazine*).
( Jour! of Finance*, Journal of Financial Economics*, Review
of Financial Studies*, Financial Management*).

.


1. :

.
,
, ,
.
,

_. ,
, .

, .
. ,
,
.
,
(

12

): ; ;
; ; ;
; .
2.

5.

) ,
, .
)
.
)
.
)
.
)
.

.
:
) ;
)
;
) ;
)
;
) .

3.

6.


, :
) ;
) ;
) ;
) ;
) ;
7.


.
?

8.

) ?
4.


?
) .
) .
)
.
)
.
) .

) ;
) ;


,
?


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

The Wall Street Journal*:


.
,
, .
, ,
,
- .

.
, .
, .


. ,

. ,
. ,
, ,
,
1
. ,

,
, ,
-
. ,

,
.
,
.


, .
:


?
,
,

,
. ,

,

.

. -,
,
.
, ,
, , 250 . .,
. -,
.

,

,
.
,

.

?
?

, ,
,
; ,
,
-, ,
.


:
.
,

,
, , .
13

14

, ,
,
,
. ,
,

2.1.

,
.

, . ,
- ,
, , .

,
50 . . 2 0 0 . .

3 0 0 . .; , ,

50 . .

4 0 0 . .

3 5 0 . . 4 0 0 . . .
, (PV*) ( 4 0 0 . .)
( 3 5 0 . .). ,
:

4 0 0 . .,

3 5 0 . .?.

4 0 0 . .,

4 0 0 . . , , , ,
, .


(DF), 1.

1, ,
. ) 1 ( )

CJ, :

(PV) = (DF) \.
- 1 .,
. ,

():
DF=

l+r


, : PV present value ( ),
NPV net present value ( ), DF discount factor (
), D debt (, ), equity (,
, ) . . ( ,
( )
.) . .

15

2.


, , 400 . . .

400 . .
1 . ,
7 % . ,
400 . . ? :
2
400 000./1,07 = 373 832 . , 7%
400 . ., , 373 832 .
, ,
, .
? .
400 . . ,
373 832 . , ,
400 . . , . ,
,
, ? 373 832 .
, , .
, .
,
,
.
, ( )
( ).
, ,
, - ,
. 7%.
400 . . 1,07:
= DFX C l = -

Cl = 0 0 0

= 373 8 3 2

373 832 ., , 373 832 . .


350 . . , , ,
(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
1,89

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 .

. ,
, , .

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

.
, / ,
, ,
, .
, ,
:

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

.)
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%? ,
.
) ,
, 1
. ,

16.
?
) 1
, 4.5.
22. 1 ,
,
10 .
.
. ,
,
1 100 . .

23. 4.1,

.
,
,
,
, 1
15 . .
, ,
.
4.1 ,

. ,

-
100 . ?


1.

2.

4.3 (
) 4.7 ( ).

,
. 11

: 3 ,
, .
, 11
?

.

,
:

:
_ 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
-
20042010 .
2 0 0 3 .,
2 0 1 0 ., 2003 .?
2.

-,
.
( )
-?

3.

4.

2 0 0 5 .
4,3 .
- 2 0 0 3 .?
.






.

.
,
.
,
.

,
.

,
. ,
,

.

,
,
.
. ,
.
,
NPV .


,
.
: ,
, ,

.
, ?
, ,
.

5 . 1 .
,
1 . ,
X. .
: -,
, . -,
.
, 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. .
.

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

.
, ,
, .

, , , .
,
. , ,

, .

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

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

, .
,
. , -

113

6.

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

. ,
, ,
.
.
. (
)
. ()
,
( ), .
(,
).
.
. , , ,
, .
.
.
,
(. . ) . , ,
,
100 . . :
, ,
,
.
, ,
.
. , ,
, , :

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 . .
, ,
, ? ,
: .
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
- 1 040
-2160
0
0
0

16 000
- 8 000
- 1 600
- 1 040
-2160
3 200
420
2 780

20062013 .

-1O4O0
- 2
- 4 000

- 2 000
0
- 1 6 400

40 000
- 2 0 000
- 4 000
- 1 040
- 2 160
12 800
4480
8 320

1. : 8 . 2,4 . .
, .
, .
2. : 1,82. 2002. 10%
. , 1,82 . 1,1 =2 .
3. : - .
4. : 2000 2004 ., 4000 2005 . 10 . 2006
2013 . , 4000 . .
5. : . ( , ,
, ) 200% . ,
( ) 2000 .
6. : 10% .
7. : 10 .
8. : , 15%.
9. : , , ,
.
10. : 35% . 2003 . .
2005 .
11. : .
12. : , 15%.

.

,
.
100 .
., ,
4% .
1,2 .
.

10 .

8
400 . . ,

350 . .
10%
1 7.

4,2 . 1 5%
( ).
, 90%
,
35%. 12%.

?
12. (. 6.2)
,


. ,


.
?
?
13. 6.8

.

. (
) 11%.
14.


,
.
,
.
50 . .
20 . .
,
, 20 . .

30 . . ,
10 5000 .

136
6.8
13




( )
:

6.1.


.

1.
2.
3.

4.
5.
(3 + 4)
6.
7.

8.
9.
10.
(6-7-8-9)
1 1 . , 4 0 %
12.
(10-11)


25 . . ,

20 . .
30 . . ,
5 5000 .

. 35%.

.
- 12%.
?
, .
15.
,
20 . .
2000 . ,
,

8000 . 8000 .,
3500 .

.

,
. 25 . .,

1000 . .

.

(.
. 6.4); 35%.
.
7%.
?
16. 6.3,
( )

11,9

23,9

35,8

47,7

59,6

71,6

83,5

71,6
4,4

59,6
7,6

47,7
6,9

35,8
5,3

23,9
3,2

11,9
2,5

0,0
0,0

76,0
27,0

67,2
51,3

54,6
89,1

41,1
81,0

27,1
62,1

14,4
37,8

0,0
29,7

9,2
15,5
11,9

17,4
15,5
11,9

30,3
5,2
11,9

27,5
5,2
11,9

21,1
5,2
11,9

12,9
5,2
11,9

10,1
5,2
11,9

-9,6
-3,8

6,4
2,6

41,7
16,7

36,3
14,5

23,9
9,5

7,8
3,1

2,5
1,0

4,8

-5,8

3,9

25,0

21,8

14,3

4,7

1,5

7,2

0
83,5

2,3
85,8

8
-12,0


( 400 .).
,

10-
(. . 6.4). ,
, 39%,
7%.
25 .
)
. :


.
)
,
? :

.
17. 500 ;
40 . .
,
. 1000
40 . .

140 . .
?
.

1-4
58
9-13
14


( %)
16
11
4
1

,
4% .

9%.
.

6.


100 . ,
. ,

4% .

18.
,
, .

( . .):

0
1

40
10
10
10 +

50
8
8
8
8 +

3
4

.
) ,
.


,
? ,
6%,
.
)
?
) ,
(),
;
.
,

137

.

8% ? (:
, (),
.

.)
19.
18. , ,

10%. 1 ,
10% ,
. 2
, 10%, . .

?
20.
. ,
,

20 . . ,

100 . . . ,
, -
,
. 1,1 .,
( )
. ,
.
.
8%.


?


1.

,
,

,
. ,
, /, .
/1,
( 1 )/,
.
, , :
/1-(\-)/1

/1

~ <-


.
) ,
6.2.
)
? ?

) ,

,
.
, ,
.
.

?
2.

,

.
,
.
.


,
.

28,37 . . (
), 21,00 . . ( ).

138

.
6%,
5%.
)
-
28,37 . 21,00 . .
. ,

. (:

.)
) ,
25%.
6%.
.
,
. ?

3.

. (. 6.2)
10 .
2 174 . = 7 826 .


.
)
?
?
)

, .
? ,

.
)
,

?
.

,
,
, :

()
1952 .
-
. 2002 .
, ,
.

. ,
,
,
( . .):
1.

2.

3.
4.

1.
2.
( )
3.
4.

405
70
90
985

,
,
. -
,

. ,
-- ,

, - ,
.

:

185
50
130
35
400



1 7 :
1.
2.
( )
3.
4.

420

450

1.
2.
( )
3.
4.

480
141
110
1181

,

30. .,

100 . .
40 . .

- , -
200 . . 1 8 -

370
330
70
74
844


,
50100 . .

,
, .

,
100 . .
. ,
: 20 .
, ,
15.
,
40 . .
--
2 . ,


. -
6% .

.
139

140
,
.
600 . .
510 . .
.
,
.
,
,
. , - ,

,
.
,
12,5% .

- ,
8%.

.
, 10

19 . - ,

.


: ;
- ;
.

.

.

2002 .
5%.

: -*
1
.
:
w wvv. caretr s - i n e t .
,
, ,
:
www.hankratq.cuBi
www.finaDcenter.com
www.financialplayerscenter.com
www.invest-fqq.cQin
com
www.unb.ca/web/transpo/niynet/mrw21b.htm

(,

Excel )
, ,
:
ww^.asMc.Balr.edu/fod/1518.htm
3 .
.:
www^bimdi^iillEifiOjn ( )
http://bonds.yahpo.com
www.finpipe.com ( , )
www.fuitools.net (
)
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

.
,
.
F i n a n c e .Yahoo:
http://finance.yabw.coni
www.<

KimbL-rR.com

http://hoovers.com
www.cbs.marketwatcli.com
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, ,
,
.
,
.
.
, .
,
,
.
. ?
?
.

, :

75 .


.

,
.
, ,
.

.
,
.


,
.
.
:

. ,
,

.

, 8
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) .
.
, , .
,
. , ,
, , ,
, .
, ,
, .
,
, . (
, , . )
,
(. . ) .
,
, .
7.1 , , 1926 .
1 ,
2
. 7.2
:
. .

. , ,
2

. ,
.

7. , :

147

10000

1000

659,6

266,5

S&P500

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 .
, (. .
) .
75 7.1.
1926 . :
3,9% 0,8% . ,
3% . .
9 , 1 %
.
.

7.1

,

,

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




(S&P 500)

(

)

3,9
5,7
6,0
13,0
17,3

0,8
2,7
3,0
9,7
13,8

0
1,8
2,1
9,1
13,4

148

.
,
. ,

. ,
3
.

, , 7.1, . , Ibbotson Associates

75 75.
. ,
4

S&P 500 75 11,0% .



,


.
.
,
100 . 90,
130 . , 10, +10 +30% (,
) . ,

7 ( - % + 10%+ 3 0 % ) = +10%.

, :
PV=

$110
1,10

100 .

, 10%
,
. ,
, , .
,
.
10% , + 1 0 %
+ 3 0 % .
:
- 1 0 % + 10%+ 30%
;
=+10%.

, .
,

.
. ,
2,3%. 95%
+2 9,1%. ,
, - 4,5 13,7%,
95%. ( :
,
. 20,2%,
, 20,2/ /75 = 2,3.)
75

(1 + ) = 2586,5, , = 0,11. :

. ,

2
0,20 ( 20%). , 0,20 , 0,04. ,
0,04/2 = 0,02, 2%, .

7. , :

149

,
:
(0,9 1,1 1,3)V3- 1 = 0,088, 8,8%,
.
8,8%,
10%.
:
$108,8
NPV= - $ 1 0 0 +

-Tjjj-

= - 1 , 1 .

:
, ,
.

, , S & P .
, , ,

,
. ?
,
, ,
, .
. ,
, ,
,
7.1. 1 3 % ,
.
, , . ,
. ,
. ,
. , 1981 .
15%. ,
13%.
,

7.1, 9 , 1 % . , 2 0 0 1 . ,
, 3,5%.
, , :

(2)

^(2001)

= 0,035 + 0,091 = 0,126, =12,5%.


,
,
.
75 ,
,
, ,
60 70 .
5
.
5

.

,
. , .

150

.
,
, ,
, . ,

6
.
,
8%,
7
4 7%. , 6% .
,
, , , ,

. ,
, .
1. 75
. ,
. 1926 2000 .
2% , .
? ,
, ,
. 7%.
2. 1926 . .
,
- .
,
. ,
,
8
.
7.3 .
15 1900
9
2000 ., , . (
.)
. -, , 101
7,5% ,
19262000 . (. . 7.1).
,
,
.
, ,
.
6

8
9

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

-, .
-
: .
:
4 , 3 % . 1 1 , 1 % . ,
. ,
, , ,
.
, .
, , ,
.
3 . 1990-
, 2 5 %
. ,
,
.
.
,
, . ,
1 3 % , 3 %
10% . ,
12%,
2%. ,
1
50%.
, . - ,
, . -, ,
, .
2000 ., ,
, -

152

.
. 1990- , , ,
10
.
:
, , , .
, ,
( ) , . , ,

, , , 6 8 , 5 % .

7 . 2 . ,
, .
.
, ,
. , :
(1) (2) .
7.4 7 5 ,
Ibbotson Associates S & P .
. (54,0%) 1933 .
19291932 .
2 5 % , 1931 . (43,3%).

. 7.5,
.



. , .
:
2

(7) = ( ) ,
,

12

(7) =

()

(),
2
.
10

11

12

2001 . .
, 1926 2001 . 8,7 0,4
, 7.1.
, . , ,
51 1983 1998 ., ,
, , 7,5%
. ,
1 . .: S. Kaplan and R. S. Ruback. The Valuation
on Cash Flow Forecasts: An Empirical Analysis // Journal of Finance. 50. 1995. September. P. 10591093.
.
, (N 1), N
. (N 1), N,
. :
1
^

(7) = - j y ~ ) ,
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

-50-40-30-20-10

10 20 30 40

50 60

(%)

, ,
. ,
. () 100 .
. 2 0 %
, 10%. ,
:

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

154

7 . 2
:


()

-
+40
+10
-20

+30
0
-30

2
(-)

900
0
900

0,25
0,5
0,25

225

225
2

= ( - ) = 450
= /

= V450 = 21

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

.
,
.
, , .
, , :
3 5 % ,
2 5 % . :

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

, , 10%,
4 2 % 2 1 % .
, .

: ,
, .
13

14

.
, ,
. , , - ,
.
8,
.

7. , :

155

? ;
.
:
. .
:
, , .

. , 20%
, . ...
, .
.
, , ,
, ,
.
19262000 .
2 15
() ( ) :




(S&P500)

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

2
10,1
88,7
75,5
406,9
1118,4

,
, .

16
.
,
.
13,0% 20,2%.
10 2 1 % ,
. ,
.
, ,
7 0 . , ,
1930- . , Ibbotson Associates, Inc., 2001 Yearbook. , , ,
,
.
, ; ,
, . , ,
.
, .
, Ibbotson Associates, .
, .
,
.
, ,
. . ,
, . ,
(. .
). . ,
, ,
, . ,
24, .

156

.
S & P
17
, 1926 . :

19261930
19311940
19411950
19511960
19611970
19711980
19811990
19912000

.
.
.
.
.
.
.
.

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


1980- 1990- .
.

. , 19 1987 .,
2 3 % . ,
, 8 9 % .
,
.

, . , 7 5 ,
, ,
, 1926 .
7.3
18
10 2001 .

? .
, 1990-
13%. Exxon Mobil
.
Amazon.com
.
7.4,
, ,
. , ,
, ,
.
:
,
?
:

.
.
, 17

18

.
.
12,
.
, .
,
. 13,
.
,
,
.
.

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
19,0
43,2
18,2
34,3

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

| -i

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
.
,
.

.
19
.
. 7.7 ,
,
( ) ,
20
.
, ,
21
() . ,
, , -
, , .
, .
22
.
, .
.
, ,
.
7.8
. , ;
2 0 ,
.
. ,
-,
.
7.3.
, ,
, ,
, .
19
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 % . ,
,

. ,
, 0 , 6 5 3 1 , 5 % + 0 , 3 5 *
5 8 , 5 % = 4 1 , 0 % . ,

.
.
7 . 9 ,
. , .
2
1 ( o j ) ,
2

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

; ,
. ,
, ,

, \ 2 .

,
:

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

7.10

, N ,
, ,
. ,
,
(,-2,2),
(/-)


( ),
25
. ,
.


. .
7 . 1 0 , .
,
26
.

, 7.10, ? ,
, ,
. ,
, . ,
.
N . ,
1/N. ,
25

26

Reebok 1,86
Coca-Cola, ,
Coca-Cola 1,86 .
:
NN
=

/=1=1

'

, i = j, ay I.

-1

"

163

7. , :

2
, , (1/N)2 ,

(1/N)

, ,
.
2
N (N N) .
:

<1

+

=N
2 N
=
+
(N

N)
'1\
[N
+ .
N
( _1_

1 ^

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

7.4.
1 0
. Amazon.com ,
Exxon Mobil . A m a z o n . c o m ,
,
Exxon Mobil. .
:
. ,
, .

, .
!

, ,
( ) ,

.
(|3).

7 . 5
,
1996 2001 .

Amazon.com*

3,25

General Electric

1,18

Boeing

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

( ;

1,0

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

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

, 1,0, , ,
. 0 1,0
, , . , ,
, 1,0. 7.5
10 , .
( 1996 2001 .) Dell Computer
2,21. ,
1% Dell 2 , 2 1 % , ,
, 2% Dell 2% 2,21 = 4,42% . . ,
Dell
2,21 (. . 7.11). , Dell
.
, ,
7.11. Dell ,
, .
1 0 , 7 . 5 , Dell .
Exxon Mobil.
: 0,40.
,
,
. 7.6 ?
.

,
:

165

7. , :

, :
. , ,
. .
1. ? 7.8,

. , ,
,
.
?
.
, , 500 ,
. ?

.
1,0, (1,0).
2 0 % (
19262000 .),
20%.

,
, 1,5. 500
, , ,
.

30%,
27
. = 1,5 50%
, 150% .

, ,
0,5, ,
. 7.12
.


, , .
, .
2. . i :

, i ,
.
,
. ,
, 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

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

1 0 % . . 5 0 %


()

( ) = 20%
( ) = 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
.
:



( )

,
j-.

7.5.
.
?
, ? ,
. ,

. ,
.
.
, , ,
.
, ,
.
28
. , .
,
. .
, ,
- ,
, ,
.
, , , .
,
, .
,
. ,
, ,
. .
,
. ,
, , .

168

,
. PVA,
, ,
, :
PVAB=PVA+PVE.

, , ,
^

=PVA+PVB+PVB,

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

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

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

S & P 20% .

, ,
.
.
, .

, .
(). , ,
,
29

, 33, .

169

7. , :

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

,

. ,
.
, ,
.

.



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

,

:

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 .
()?
)

?
)
?
)
?
)
,
?

,
(.
. ).
100 .,
100 .

( .)


( .)

0,10
0,50
0,40

500
100

400
0
-100


?
.

170
3.

.


.

1995
1996
1997
1998
1999

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

( % )

j
) .
) .

) .

'

) .
!
8. , - !
, 9 .

52,0
27,7
15,7
18,6
12,3

)
?
) .
4.

5.

:

,
.

,
. ,
,
.

; , ,

.

, 1996 2000 .
(

S&P 500
):

1996

1997

1998

1999

2000

-
S&P500

+16,1
+23,1

+28,4
+33,4

+25,1
+28,6

+14,3
+21,0

-6,0
-9,1

-
.
:
, S&P 500?
6.

?
)
,
.
)
,
.
)

.
)
2,0 ,
.
)
2,0 .

7.


,
?

,
: , 1
1, ,2 1 2, . .
.
9. ,
20%.
)

1,3?
)

0?
)
15%.
?
)


20%.
?

10. 10 .
1,2,
1,4. :
)

1,3;

) , 1,3,
;
) , 1,3,
?
1 1 . ?

,
:
-10%
+10%

-20
-30
+15
+10

+20
+20
0
+15
-10

12. :
. ,
,

? .

7. , :

171


1.

,

19962000 .

( %)

S&P 500 ( %)

1996
1997
1988
1999
2000

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

23,1
33,4
28,6
21,0
-9,1

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


-. ,

.
?
.

) ?

6.
42% ,
+0,10.
31% ,
+0,66. ,

.

) ?

7. .

)
S&P 500 ?

)
?
2.

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.

,
12.
,
7.3?

. .
)
.
)
,

.
)


5 10 .

4.

.

. , ,
?

5. ,
,

,
.

<iP\VCY. vi 1 VA > Vi ,.
, 10
20 ., .

)
, .
,
,
.
.
) .
)

, , ,
.

8. 60% ,
3.
10%,
3 20%.
:
) 1,0;
) 0,5;
) 0.
9. )
, ,
100 ?
) ,
30%,
0,4.

,
50 ?
)
,
?
10. ,
0,40 (
40%) ,
0,3.
)



,
10.

172

.
) , ,
7.8.
,
?
) ,
0.

1 1 . Monthly
Adjusted Prices* (www.mhhe.cum/edumarfcetinsighl
Coca-Cola, Citigroup Pfizer.
)


. STDEV
Excel
12.
) Excel CORREL,

.
)
,
.
12. 7.7

.
, 40%
BP, 40% KLM 20% Nestle.
13.
7.5 - Standard & Poor's
Market Insight (www.mhhe.com/dlumarfcetinsight |.
, ,
.
Monthly Adjusted Prices

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

14.
Alcan 50 . .
50 . . . ,

Alcan,
,
7.8.
?
15. , ,
, .
,
= -0,25.
)
5%?
5%?
) 1 .
.
20 . . .

?
(1) 20 . .
( = 0).
(2) 20 . . , = 1.
(3) 20 . . ,
= -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
LVMH
Nestle
Sony

Alcan

BP

Deutsche Bank

KLM

LVMH

Nestle

Sony

1,0

0,48
1,0

0,40
0,05
1,0

0,32
0,20
0,45
1,0

0,43
0,08
0,50
0,31
1,0

0,26
0,23
0,37
0,32
0,16
1,0

0,27
0,15
0,42
0,01
0,36
0,14
1,0

( % )
31,0
24,8
37,5
39,6
41,9
19,7
46,3

7. , :
) , () ()

.

, ,
Harley Davidson? ,
General Motors?

173

GM
? HDI?

17.
,

. ?


1.


, ,
Dell Computer Microsoft:
Dell


( %)

2,21
62,7

3.

)

;

Microsoft
1,81
50,7

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


15%.
) Dell
Microsoft 0,66.
,

?
)
,


Dell, '/
Microsoft '/ "

?
)
,
Dell Microsoft
50% ,
50% ,
?
)
, 100
2,21, Dell? 100 ,
Microsoft? (:
(), ,
.)
2. ,
6%
8,5%.

0, 20%.
,


. (:
,
.)

.

,
.
:

, .
:
40% ,
0,3. 20%
, 20% 60%

.

.
?
4.



. .
?


60 . (

- financ.&yahoiijritm.)

5.



60 . (
-
.> ill..,,, .)
)

.
)

,
. :

?

7 .
.
,
.

. ,
, .
( )
,
.
,

, .

.


.

. , 1,0,

,
,

, . ,
0,5,


,

.
,
, ,

, ,
,

.

(),
.

(),
. , 9, ,


.

8 . 1 .
, 7, ,
1
1952 .
,
,
, - . ,
.
,
.
8.1,
Microsoft 1990 2001 . 1

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


174

175

8.
8.1

Microsoft


.

1990 2001 .

( )

0,14
0,12
0,10 0,08 0,06 0.04 0,02
0,00

-3

( %)

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

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

, ,
C o c a - C o l a Reebok. , Reebok 20%, C o c a - C o l a 10%. ,
, ,
C o c a - C o l a 31,5%, R e e b o k 58,5%. Reebok
, .
,
. , 7.3 , ,
, , ,
. , ,
100%, 100%.
, , ,
. , ,
.

176
8.2

10%;


,
,
.

.



15%, 7,5%.

-40

-20

20

40

60

(<

60

[ .

-40

8.3



15%,
20%,

10%.

20

40

-40

...lllllllll...

-20

20

40

60

(%)

60

( .

vflfl I I B S .

-40

^ifllllm^
-20

20

40

177

8.
8.4
,



. ,
3 5 %
Reebok, Coca-Cola,

13,5%, 35%-

.
31,7%,
, 3 5 %


. ,

, ( %)

20

30

40

50

60

, (%)

6 5 % C o c a - C o l a 3 5 % Reebok.
, 13,5%,
. ?
, ,
. : ,
3
31,7% .
8.4 ,
. ?
.
, Reebok.
, Coca-Cola;
4
Reebok .

.
10, 100 1000 .
10. , ,
8.1. ,
, .
(
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

34,6
13,0
10,0
26,2
11,8
18,0
15,8
14,0
14,8
20,0

110,6
30,9
31,5
62,7
17,4
26,8
33,4
27,4
29,3
58,5

100

34,6
110,6

9,3
2,1

4,5
9,6

21,1

14,4
3,6
39,7

0,6
0,4

20,7

5,4
9,8
13,0

56,3
10,2
9,0
10,0
13,3

21,6
30,8

19,0
23,7

13,4
14,6

46,8

8.5.
, . ,
A m a z o n . c o m ,
.
.
,
: ,
8.5. (
) ?
? ? :
( ) (
) . , ,
, . -

8.5



10
,
8 . 1 .


,

.

, ,

,
,
.
.


(, , ),
8.1

8.

179

. , ,
, .
, ,
, , .
, 5.4.
,
.
,
.
.

;
,

, ,


.

8.5 ,
8.1. ;
A m a z o n . c o m .
; 8.1,
Exxon Mobil,
. , Boeing C o c a - C o l a
, G e n e r a l M o t o r s ,
. ? , ,
, Boeing C o c a - C o l a
.
8.1 ,
.

,
, ,
. 8.6 .
.
. , , ,
( ) .
(. .
),
, ,
6
, 8.6 .
,
,
, , .
. ,
15%, 16%.
(rfi 5%,
(. . 0).
,
:
= - J x f o j + \\ + I f c ^ p ^ o - j C ^ ) .
, , 2 , 2 = 0.

180

8.6


.


,
,
.

,

, (


, ( %)

, 5%,

:
=

V 2 X =

10%.



:
=
+

'/

'/2

8%.

, :
, ,
. , ,
. ,
:
= 2

1 =

25%.

:
>=

1 =

32%.

8.6 , , ,
/ ; ,
. ,

,
. , .
, , .
, ,
8.6, .
()
. .
,
.

8.

181

, . -,
7
, . -
, ,
,
. ,
8
.
? ,
, ,
, , , .
,
.
, ,
. ,
.
, , .

8.2.
7 .
.
, , .
, .
.
: 1,0.
.
.
, .

(

75

9% .

).



( )

8.7
. ,
9
, . 1,0,
( /).
. , 0 , 1 ?
1960- ,
10
.
( ) . , ,
.
. , 8.7
,
( ). , 7

8
9
10

.
( )
().
: /. 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

,

. ,


,


>

0,5

1,0

2,0

()

, 0,5,
; , 2,0,
.
:

r-rf=p-(rm-rf).

, , , .
: , / 7.5
1 0 .
2001 . 3,5%.
?
,
, , ,
9%,
. 8%.
8.2
.
Exxon Mobil. 6,7%.
A m a z o n . c o m . ,
29,5%, 2 6 % .

8.2
,
2001 .,
. = 3,5%
- = 8%

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

)
3,25
0,56
0,74
2,21
0,40
1,18
0,91
0,68
0,71
0,69


rt+Wm-r,)
(%)
29,5
8,0
9,4
21,2
6,7
12,9
10,8
8,9
9,2
9,0

8.

183

,
. , ,
Pfizer.
?
8.2, , Pfizer,
9,2%. ,
11
9,2% .
. (
, ,
.) , ,
, ,
, ,
. .
12
.

.
1.
. ,

2.
,
: ,
( . 8.6 ).
, ,
, . ,
, ,
, .
3. ,
,
. ,
?
-
, ; ,
.
.
4

,
.
.

. ,
.

,
, , ,
, , ,
.
, , .
, .
, , - ,
,
. ,
. 19 26.
9
.

184

8.8


. ,
,
,
.
,

0,5

1,0

i
1,5

()

, . -
.
,

, , 8.8.
13
? , : 0,5,
,
, .
, ,
,
.
8.8? ?
, .
, 5 0
. ,
, .
,
.
.
P(r m /),
. , ,
, P(r m ).
? ,
? , ,
8.8? ,
. , ,
. ,
. ,
, :
-,

8.3. :
.
, ,
. , .
13

, , .

8.

185

, . -,
, -
.
, .
,

, ? , , .

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

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

: 1931 .
-, .
, .
1 10% , -
, , 2 10%
10,
. ,
-
14
. ,
60 , ,
, .
1991 . , ,
. 8.9 , .
1 , ;
0,49. 1 9%
. 10:
1,52, ,
1. 10 ,
17% . ,
60- .
8.9,
15
14% , () 1,0.
,
14
15

,
60 .
8.9 .
, ,
, ,
. ,
8.9 (14%), , 7.1 (9,1%).

186

8.9
,

.

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

, 19311991 . ( % )
30

25
20
15
10

5
0,2

0,4

0,6

0,8

1,0

1,2

1,4

1,6

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


Management. 20. 1993. Fall. P. 818.

,
, 8.9.
14%, 1 0,49
7%, 10 1,52 2 1 % .
, ,
, ,
, .
8.9
, , ,
, . ,
8.10 , 1966
1991 . , :
1 10, - ,
25 .
, 1966 . . 8.10.
? . ,

. , ,
,
, ,
. -
, - ,
16
. ,
, .
8.9, ,
, ,
17
.
, -

,
: , , ,
.
. ., .: R. Roll. A Critique of the Asset Pricing Theory's Tests; Part 1: On Past
and Potential Testability of the Theory // Journal of Financial Economics. 4. 1977. March. P. 129176.
, ,

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

187

8.

8 . 1 0
1960-


(. . 8.9)
: F. Black. Beta and Return//
Journal of Portfolio Management. 20. 1993.
Fall. P. 818.

, 19311965 . ( % )

^^^

30
25

20

3 *J*\b

15

10

10

^ 7 * 8

0,2

0,4

0,6

0,8

1,0

1,2

1,4

1,6

, 19661991 . ( % )
30

25

20

15

10

4 5^6_^

-L
0,2

I
0,4

I
0,6

0,8

1,0

1,2

1,4

10

1,6

. , 8.11
.

,
. , ,
.
1928 .
3,1%.
8.11,
.
,
. , ,
. ,
18
, . 1928 .
4,4%.
8.11 , ,
. ,
18

1981 .; .: R. The Relationship


between Return and Market Values of Common Stock // Journal of Financial Economics. 9. 1981. March. P. 3
18. , ,
, / ;
.: E.F.Fama and . R. French. The Cross-Section of Expected Stock Returns// Journal of Financial
Economics. 47. 1992. June. P. 427465. ,
/ , ,
/ .

/ ( ) .
- (^..,./*^//\.1/1.9^).

188

.
( )
100


10

I I

1111


11II11 1 1 1 1 1
1932 1937 1942 1947 1952 1957 1962 1967 1972 1977 1982 1987 1992 1997

8 . 1 1

.

:

ce.n4*a.ttttk.dartmimth.edu;ca'jw/facuity/kenJrunoh/datajitwui*.

,
19
, , .
.
, ;
, . ,
, ,

20
.
, , .
, , .

/ , ,
, , ,
- ,
.
. ,

. , ,
. - .
8.11, ,
, .
:
, .
. , ,
.
.
.: /. . Cochrane. New Facts in Finance// Journal
of Economic Perspectives. 23. 1999. P. 3658.

8.

189

,

.

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

, .
, , .

,
.
- ,
. (
.)
-
,
21
.
, .
8.4.

, . . ,
? ,
.
, .
(Douglas Breeden) ,
.
,
. 8.12
-

.
;
, , .
.


. ,
( ) , .
.
, .
, , S & P
, .
.

? ,

? ,
.
, -

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

190

8 . 1 2
()

,


.

, ( )



. (

)

()

()

(
)

(
)

,
, .

. ,
. , -,
. ,
,
,
22
. , ,
,
. ,
.

, .
(Stephen Ross) . ,
.

,
, ,
. , ,
:

= + 1(1)+ 62(r<j>aKrop2) + *" ) + - + .

: ,
. .
,
.
- , .
Exxon Mobil, , , , ,
C o c a - C o l a . 1 ,
by Exxon Mobil.
.

. ,
.

22

.: R. Mehra and . . Prescott. The Equity Risk Premium: A Puzzle // Journal of Monetary Economics. 15.
1985. P. 145161.

191

8.

() ,
, .
,
, , .
(),
, ,
(b\, bj,
. . ) .
23
:
= $= ^i(^ aKTop i ) + ^ ( ^

f)

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

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

,
1, , .
, . ,
.
,


, .

, .
.

.

,
, ,
, .

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

192

.
, .
.
?
. , ,
24
, .
, , , ,
,
.
, - , - .
, ,
,


, : (1)
25
; (2)
; (3) .
, ,

26
- .
1: .
, , ,
,
, . :


30-



, ,
: ,
.
2: , .
, .
, ,
,
(, ).
8.3.
, ,
.
, - ,
,
. , ,
. ., .: P. J. Dhrymes, I. Friend, and N. . Gultekin. A Critical Reexamination
of the Empirical Evidence on the Arbitrage Pricing Theory // Journal of Finance. 39. 1984. June. P. 323346.
.: 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.
-.
4 ,
.

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.

*,
' - , ( %)

5,10
-0,61
-0,59
0,49
-0,83
6,36

*
,
.

, ,
,
. , ,
0,49% ,
. ,
, , ,
,
.
, 8.3,
0,83% , ,
. , ,
, (. . ,
) , ,
.
3: .

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

= >1( j - ) + 62</ 2~ f)

*6</ 6 ~~ )-

8.4
,
( . 8.3).
. , ,
, .
, :
=

= 8,53%.

1990 .
, , ,
7%,
27
- :
= + =
= 7 + 8 , 5 3 = 15,53, =15,5%.
19781990 .,
. ,
, . .:
. 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
Utilities// Financial Markets, Institutions, and Instruments. 3. 1994. August. Tables3, 4.
,

1,04
-2,25
0,70
0,17
-0,18
0,32

,
r
' - f ( %)
5,10
-0,61
-0,59
0,49
-0,83
6,36

,
"(' - ,) (%)
5,30
1,37
-0,41
0,08
0,15
2,04
8,53

, ,

. ,
. ,
, , , ,
28
, .

,
:
r

f ~ ^('. )

^' )

^./. (' ./. )


.
29
, . .
1: . ,
, , .
:

2: , .
. ,
1963 1994 . , ,
5,2% ;
( ) 3,2% ; 28
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. , ,
, , ,
, .

195

8.
8.5
,

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

"

1,15
1,13
0,79
0,90
0,96
0,88
1,21
0,86
0,84
1,13

"
0,51
0,13
-0,20
0,17
-0,35
-0,07
0,21
-0,04
-0,25
-0,03

"./.
0,00
0,35
0,38
-0,49
0,21
-0,03
-0,09
0,24
-0,63
0,17


* ( %)


( %)

7,54
8,08
5,41
2,49
4,93
4,09
6,42
5,56
0,09
6,58

6,43
5,55
3,39
5,29
4,32
4,44
6,52
4,08
4,71
5,57

* ,
,
5 4
: 5,2% + b p a 3 M e p 3,2% + 6 / . . %-

/
30
5,4% .
3: .
, . ,
, , 8.5,

. , , 1% ,
/ ,

0,49%,

31
0,38% .
,
:
. ,
8.5 ,
: - rf= 0,90 5,2% + 0,17 3,2% - 0,49 5,4% = 2,49%.
, (
. 8.5).
, . ? ,
(0,49)
/ .


:
. ,

, , 1928 2000 .,
3,1%,
4,4%.
1% , / , ,
1% ,
.

196

,
. ,
,
,
.
, ,
, . ,

,

. ,
, , .

.

,
, ,
. ,
(

,


).


.
.
( ) , ,
:

=
-

rf=

P(r

).

,
.
, .
,
, , 1960-
, , , , .

, , , .
,
. , ,

.
.
( )
. ,

, :
= ^( i

f)

*2('2

f)


, ( ) , ,
.
.
,
. ,
:

197

8.
:


.

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


.:

. . 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.

8. 13 8.136

.

) ?

( % )

( % )

0
14
28
26

6
10
14,5
21,0

)
?
) ,
() .
)


.
) 50% , 50% .
) 50% ,
:

) ,
, 8.4,
, 0,5.
)
,
. ,

?
2.


,
( ,
).
)

= 18%
= 14%

= 15%

= 20%
= 18%

= 8%

= 14%

16%

= 14%

= 10%

13%

= 20%

( %)
, ( %)
10
23

12,5
21

15
25

16
29

17
18
18
20

29
32
35
45

) ,
. "?
) ,
12%.
?
)

,
25%.
,
,
?

) ,

12%
25%?
?

?
? -

8 . 1 3
3

8.

199

, ,

.
6.

,
4%,
10%.
8.2.
)
McDonald's.

( ,
). ?
9.
.
10.
:

)
,
,
.

+2

) ,
.
)
(. . 6 = 1 ) .

)
Exxon Mobil 6%?

) ,

( = 2)
.

?
) ,
,

.

)
,
,

( = 1,5). (
,
.)

) 2,0

.

8. ,
, .
,

-1


.
- 7%.

)
Dell Computer,
6,
4%?
10%.

)
, , .

)
.

7.

( %)

1 1 .
.
?


1. ?

.
)
.
) ,
.
) , 10 . .
20 . . ,
, 2,0.
)
,

.
)
,
.
2.

,
Coca-Cola Reebok 8.1.


1 2
, ]2 = 0.

, 8.4.
p J2 = +1 12 = 1.
3.


X Y. X
12%, 8%.
X 8%, a Y 5%.
0,2.
)
:

1
2
3

50
25
75

50
75
25

200

.
) ,
Y.

)
. (
Monthly Valuation Data
- Standard & Poor's Market Insight.

.)

) , -
5%.
,
. ,
,
X Y
?
4.

60% ,
.
:

( %)

15

20


( %)

20

22

) , 8.5.
Boeing Pfizer
?

?
7.

) 8.7,
,
.

0,5

) .

)
?

) ,
1,5.

)
0 0,5?

)
, ,
?
5.

- Standard & Poor's Market


Insight (w^n'.mhhe.com/cdumarketmsight)
Monthly Adjusted Prices* no General Motors
(GM) Harley Davidson ( H D I ) .
SLOPE Excel,
( .
. 7.13
. 7).

) 4%
S&P 500 11%.

.
6.

- Standard & Poor's Market In


sight (www.mhhe.ojm; edurriMrk<.linsiht:
Monthly Adjusted Prices* no Boeing Pfizer.
)


. STDEV Excel.
,

12.
) CORREL Excel,

.

0,8
9,8%,
?

) X
11,2%, ?
8.

8.2
- Standard & Poor's Market Insight
(w*Ty.mhhg,CQm/edunarketia^M).
SLOPE Excel

Monthly Adjusted Prices*.
,
( 60).


8%.

8.2?

9.

- Standard & Poor's Market Insight


(
, , Exxon Mobil
Kellogg). ,
, 1,0.

.
,
S&P500

( Excel
).

, 12%,
5%.

) , S&P500
5%. , ,
GM HDI?
)

? ?

4%,
12%.
,
.

) , 8.5,

,
,

201

8.
.
, 100%.

)
.

) ,
5%.
-

? ?
.

) , ,

; .
) ,
.

) ,
5 ,
,
().
() (),
.

) , , ,
,
.
14.
(. . 8.3 8.4):

)
( ) ()
() .
10. 10 .
.
9%,
10%.
, ,

, S&P 500.
14%,
16%.
) ,

.

,
? 6%.
) ,

?

+0,1.
11. ,

,
,


.
?
12. ?
)
, )

, )
.
13.
(
, ).
) , ,
.


( %)

6,4
-0,6
5,1


. / = 5%.

i>
>
)
2

-2,0
0
0,5

1,0
1,2
0,3

-0,2
0,3
1,0

15. .
, ,
2 3 .
)
?
) ?
16.
2001 .

, 3,5%;
8,8%;
, ,
3,1%; ,
/ , 4,4%.
(
19282000 .)

Coca-Cola

0,82
*
-0,29
/

** 0,24

Exxon M o b i l

Pfizer

Reebok

0,50
0,04

0,66
-0,56

1,17
0,73

0,27

-0,07

1,14

*
.
**

.

202


1.

4 ,
21,4% Reebok
78,6% Coca-Cola. . (:
.)

2.


, 8.1.
) 10%,
?
)
? : ,



.
) ()
(), 5%?

3.

4.

,
, ,
,
. .
,
.
? ,
.

. ,
.
X, Z
:

*>1
1,75
-1,00
2,00

0,25
2,00
1,00

1 4%,
2 8%. ,
, .
) , ,
?
) , 200 . X
50 . Y, 150 .
Z
?
?
) , 80 . X,
60 . 40 . Z.

?
?
) , ,
160 . X, 20 .
80 . Z
?
?
)
,
0,5 1.

.
) , X
8%, 14%, Z 16%.
,


.


,
, , .
,
, ,

.
;
,
. ,

. ,
Exxon Mobil
, , , Dell C o m p u t e r ,

.

,

,

. ,

, .


,
.

, .
,
,
,
(, ,
)

.
, ,

. ,

,
,
, ,


. ,
, ,
.



( ) .

.

;

,
, . ,
,

.
, , :
.
,
, .
, ?

.
,
,
?

,
, .

. -



1
. :
= = / + (3(rm /).

,
74%
; .: J. Graham and
. Harvey. The Theory and Practice of Corporate Finance:
Evidence from the Field // Journal of Financial Economics.
60. 2001. May/June. P. 187244.
203

204

, .
,

, , ,
, ().

9 . 1 .

.
, , . ,
8.2, Pfizer
9,2%. Pfizer ,
2
9,2% .
,
, ,
.
. ,
7. , , :

= PV^ = PVA + PV^ =

PVA - ,
.

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

, Pfizer ,
. , Pfizer
, ,
(. . 9.1). Pfizer
, .
,
,
. 9.1, , Pfizer
, ,
9,2%.
, Pfizer
, . Pfizer
,
2

0,3%
Pfizer. , ,
. ,
, .

205

9.
9.1



. Pfizer

9,2%.
,
0 , 7 1 .

. Pfizer
,

,

,

^^-""^

9,2

^ ^ " ^

1
1

3,5

= 0,71

. , -
' , Pfizer .
,
, ,
, .
.
, , :

( %)

30
20
15 ( )
10

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

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

. ,
, - ,
. ,
,


,
. -
.
,
,
.

: S. . Myers and L. S. Borucki. Discounted Cash Flow Estimates of


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

206

9 . 2 .
, .
, .
,
.
, ,
. 8
, :
= = rj-+ $( /).
) ,
. , ,
9.2.
Dell C o m p u t e r (
1988 . 1995 .)
. G e n e r a l
M o t o r s ( G M ) , Exxon Mobil.
.
4
. ,
.
,
, 1995 2001 .
, , Exxon
Mobil , Dell C o m p u t e r , G M
.
,
.

. ; 9.2
2
. Re (R )
,
2
. , 1995 2001 . R GM 0,25. ,
,
5
. G M 9 6 4 .
, , , ,
0,25 964 = 2 4 1 , 0,75 964 = 723.
, 9.2, , .
58 . ,
.
,
.
: 2 . ,
GM 0,20. ,
(1,00 2 0,20; 1,00 + 2 0,20). ,
GM 0,60 1,40,
9 5 % . ,
Exxon Mobil, Dell C o m p u t e r .
4

,
. ,
. ,
, , ,
.
; 12 (.
17 . 7). -J964 = 31,0%.

207

9.

Dell Computer ( %)

Exxon Mobil ( %)

1995 .

Dell Computer ( %)

Exxon Mobil ( %)

2001 .

9.2

1988 1995 . ( ) 1995 2001 . (
). . ,
Dell Computer , Exxon Mobil .
, .
, , ( 2 )

208

9.1


.
,
, ,


Burlington Northern & Santa Fe

0,64

0,20

CSX Transportation

0,46

0,24

Norfolk Southern

0,52

0,26

Union Pacific Corp.

0,40

0,21

0,50

0,17

( ,
) , . , Exxon Mobil
1, Dell C o m p u t e r
1 .
.

, ,
6 . .

9.1
.
0,2 ,
.
.
, .
.

Union
Pacific Corp.

, 2001 .
U n i o n Pacific C o r p . 9.1
U n i o n Pacific: (0,40)
7
(0,50). .
2001 . 3,5%.
, 8%, ,
8
U n i o n Pacific 7,5% :
= + P(rm rj)= 3,5 + 0,5 8,0 = 7,5%.

.
Union Pacific
, Union Pacific
.
, 9.1.
,
,
. , ,
,
, 10 20 ?
, : . 2001 .
5,8%, 2,3%
.

.
, , 7.1, 1,8%.
, :
=
= =
= 0,058 - 0,019 = 0,039, 3,9%.

,
. 2001 . rf> .

9.

209

U n i o n Pacific
.
. , 4

9
. ,

. 8.4 ,
.
9.3.
,
U n i o n Pacific.
? , U n i o n Pacific
, .
, .
U n i o n Pacific,
,
, .
,
. ,
;
, , .
100%
100% ,
. ; ,
, .
.
,
() ( ) :
= /* = =
_

+ .

+ .

. -

, :

100

100

(D)
()
(19

30
70
100

,
(D + = V) . (
, :
.)
7,5% 1 5 %
, :

'"'"

_ _30_
.

iqq

70
* 7,5% +

jqq

15%

12,75%.


.
19.

210

.
,
,
, , , 12,75%.
, 10
10 ?
:

100

(D)
( )

100

(V)

40
60
100

,
. ,
12,75% ,
.

,
. , ,
, ,
. ,
7,875%. :
D

'

'".

40
100

60
7 875% +

'

100

'".

12,75%

:
'.

16,0%.


( 7,5 7,875%). ,
,
( 15 16%).
12,75%.
'" = 0.4 X '" + 0.6

'". = 0,4 X 7,875% + 0,6

16% = 12,75%.

, , ,
.
. , , 12,75%,

'".
12,75%.

,
. , .
,
. ,
, ,
. , , ,
. 0,1
10
0,3 .
,
. ;
10

, 7.1
. 2000 .
0,17.

211

9.

. ,
.

:
D
~~ ~~ ~

. -

. 0 , 1 ,
1,1, :
= 0 , 3 x 0 , 1 + 0,7 1 , 1 = 0 , 8 .
? ,
, . ,
0,2. .

9.3

.





( %)

'.

15

^ ~~ 12,75
^

7,5

0 = 0,1

9.4

~ 0,8 .

( %)

'.

1^

~ 12,75

= 0,2

0,8 .

1 >2

212

_ D

0,8 = 0,4 X

^~

0,2 + 0,6

. ~

1,2-

, , ,
.
, .
.
9.3 .
,
.
9.4 , . ,
,
.
, .
, .
, , , (
), .
( ) 1,2.
( , 0,2), (D/V)
(E/V). 4 0 % , :
= 0,4

0,2 + 0,6

1,2 = 0,8.

, .
:

_ D

. -

,
, .
. , ,
,
.
,

( )

- .
,
, .

.

.
.
,
, , . , ,
1719. :

. ,
(1 ), .
,

9.

213

, .

(WACQ:
WACC =

.( 1

^)

'".

! 19.



Union Pacific

, U n i o n Pacific. U n i o n Pacific
, . 2001 .
6 0 % . 4 0 %
11
. , U n i o n Pacific
.
U n i o n Pacific 7,5%.
12
2001 . 5,5% . :
D

= = + =
40
60
= - 5,5% + jog 7,5% = 6,7%.
(WACQ U n i o n Pacific
,
.
9.4.
,


, , ,

,
.
?
.

:
S & P ? , ,
,
, .
,
, ?
9.2 , ,
. 23
, , 1.
. , 3,1
, S & P , 0,18.
, 3,1 0,18 = 0,55.

9.2 , ,
, .
.
.
11
12

Union Pacific .
14. .
, , ,
Union Pacific .
, . Union Pacific
, . ,
, .

214

9.2

;

1996 2001 .
,
1.

**

3,11
1,93
2,91
2,58

0,18
0,42
0,48
0,30

0,56
0,81
1,40
0,77


S&P.
.

, = |0|: = PimOiOmAW = Pim(i/m)>


, .

. , R o c h e .
, .
,
.
Roche. ,
,
. , Roche
.
,
, ( , )
1,1,
13
6% . , R o c h e

, 6,6% ( = 1 , 1
6%)
.

. , R o c h e
, .
. ,
R o c h e .

, ,
1,1. ?
,
14
, 0,36 .
- 6%, R o c h e

, 2,2% (= 0,36 6%) .

R o c h e
,
? 7.4, ,
;
.
,
, ,
, . ,
, .

13

14

7.3, .
, , , ,
, ,
. , ,
.
S&P,
1996 2001 .

9.

215

, ,
R o c h e , M e r c k Pfizer. R o c h e ,
, ,
15
.
Merck, ,
R o c h e , ,
, .
,
16
. ,
,
.
17
. , ,
. ,
, , . ,
, , -
: ,
.
, ,
.
,
,
.
, ,
, , .
,
, ,
, .
, ,
,
.
,
R o c h e , Merck, , , ,
, , .
, , . ,
,
? , 3%. ,
.
, , , .
, ,
. , 10 ,
3- . , 5

, ,
, .
,
, Roche
,
.
, .
, ,
. ,
.

.: /. 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

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

,
. ,
,
.
9.5. ,


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

.
.
2. , .
, .
.

, ,
.
.
, , . :

, , ,
;

,

;

217

9.


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

.
. Z 1 .
1. ,
, 10%:

PV=

$1000000

= 909 100 .

1,1

,
, ; , ,
. - 1 .
, ,
Z .

. 909 100 .,
. ?
(10% ), , ,
.

Z, 1 .
, ,
, .
, , .
, ,
.
ranaZ 1 . ,
,
.
.

. , ,
, 1 . (
,
.)

1,2
1,0
0,8

0,25
0,50
0,25

1,0, 1 .

218

.
Z . ,
, ,
10%, 900 . .:


1,2
1,0
0,8
0

0,225
0,45
0,225
0,10

0,27]
0,45 >
0,18 J
0

0,90,
900 000 .

PV=

$900000
j p j = 8 1 8 000 .

, ,
, ,
1 ., .
,
;

.

,
.
10.
,
.
, ,
.
,
. ,

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

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

,
.


:
. , -

9.

219


18
, , , .
, ,
, , .
, ,
.
. , ( ,
. .
) . (. .
)
. , .
, ,
, :

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

:
pv
= PV
- PV
- JPV

* ' * '
'.
',
:
PV

= PV
J

* '

'.

+ PV

' ' ,

+ PV

' '-

, , - ,

. , ,
,
.
,
. ,
:

.
.

PV

' .

1
'

PV
PV

R
' ,
j_
" 7
~7

'
'

,
. , :
, , .
,
. ,

.
-
, . = 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

. ,

'

' .

PV

* '

, (
)
.
,

.

. ,
, ,
19
.

,
20
.
.

- ,
, . ,

.
, , , \
21
.

9.6.

, , . ,

.
,
22
, . ,
, , ,
. ,
, .
.
, . ,
.: . 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

_

, ,
. , ,
,
2, .
,
400 . .
, 7%,
12%. 400 ./1,12 = 357 143 .
,
.
, . ,
, 400 . . ?
357 143 ., 7%, :
PV=

= 357 143 .;

1,07

= 382 143 .

,
, , 400 . .
382 143 .
,
400 000 . 357 143 . = 42 857 .
400 000 . 382 143 . =
= 17 857 .

.

1.
23
, / .
, .
, 9.5.

2.


/. , :

, ()
]?.

/- . ,
, .

222

.
24

CEQi . CEQ\
, .

. 9.5.
, :

+1+

, 2, 3 , :

PV=

'

&

(1 + )' (1 + /

:
()
.
. ,
100 . .
6%, 8%, 0,75.
:
r = rf+ B(rm - rf) = 6% + 0,75 8% = 12%.
12%
( . ) :

1
2
3

100
100
100

=12%

PV

89,3
79,7
71.2
240,2

.
, , , ;

.
( . ) :

1
2
3

= 6%

94,6
89,6
84,8
PV

89,3
79,7
71.2
240,2

1 100 .
, ,
94,6 . , 9 4 , 6 100.
24

CEQi .
, PV= (
fm)/l + rf. ( 1; fm) {
. (X) ; (rm rf)/a^.
, /v=0,08 am = 0,20,
2
X = 0,08/0,20 = 2. - (www.inhlic.rnm/lim7i'> ,
.

9.

223

,
5,4 .
( = 100 . 94,6 .), .
2 100,
89,6. . ,
2, 10,4
(= 100 89,6) . ,
15,2 (= 100 84,8) .
,
, , 12%. , , ,
. ,
( . ) :

1
2
3



100
100
100



94,6
89,6
84,8


5,4
10,4
15,2

, ,
.
, .
:

1
2
3


(,)
(CEQt)
100
100
100

94,6
89,6
84,8

CEQ, ,
0,946
0,896 = 0,946 2
0,848 = 0,946 3

,
,
. , ,
.
, ,
, .

:
, ,
. . ,


. , ,
. ,
.

,

. , . ,
.
,
,
. ,
,
-

224

.
. 125 . .

50%. 1 .,
250 . .
. .
( . .):
Q = -125;
Cj = (1000 50%) + (0 50%) =
= - 1 0 0 0 0,5 + 0 0,5 = - 5 0 0 ;
, t= 2, 3 ... = (250 50%) + (0 50%) =
= 250 0,5 + 0 0,5 = 125.

25
.
2 5 % , 10%:
500
+
>

NPV=-125-

"
125

= - 1 2 5 , - 1 2 5 000 .
/=2(1,25)'

, , .
,
. ,
. ,
. , 5 0 %
,
10%. ,
( 50%) 1 . ,
1,5 .
250

<

-> NPV = - 1 0 0 0 +

0,10

= +1500 ( 50%)

- NPV = 0 ( 50%)

, , 125 . . = 0
f = 1 0,5 1500 + 0,5 0 = 750 . .
, 750 . ., ,
, . ,
,
7%, 225 500 .:
NPV= 0 +

1 +

= -125 +

0 5

50

' *!
1,07

= 225,5, 225 500.

125 . .
,
2 5 % .
25

, 25 1 0 %
,
.

9.

225

8
. ,
. ,
, .
.
.
,
.
.
, ,
. ,
. ,
( ) .
, .
,
? , ,
. , , (
) . ,
,
. ,
.

.

, , .

. .
, ;
.
, .
,
. ,
,
.
, , ,
.
. , ,
, M e r c k ,
. , ,
, .
-
.
,
.
. ,
,
. ,
. ,
.
.
.
. ,
, . -,
-

226

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

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



:
. . 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.

,
.

?

2.

,


.

227

9.

?
5%,
6%.

. ?
.
3.
9.2. Dell
,
, , ?

?
?
4.

7.

)
,
.
)
(
), , 1.

40%
.
10%,
18%, 0,5.
?

5.

6 .,
4 . ,
1,5
9%.
8%.
,
.
)
?
)
?
) .
) ,

.
) ,
,
.
1,2.

.
6.
:

0
0,20
1,20


( .)
100
40
200

) (. .
)?
) ,

140 .

?
) ,
.
,

)
. ,
, ,
-
.
8.


, , ?
)
,
.
)
; .

9.


:
.

. [
;
.
: PV=[CEQt/'\ +//; CEQJ'l + )%
, CEQt,
[; ]
.
.
,
[//+pr m ; /+ ( - /); + ( - /)].
,


[ ;
;
].
, ,
.

10.
110 . 1 121 . 2.
5%,
10% 0,5.

, :
) ;
) 1
2;
)
1 2?

228


1.

,
.
.
?

2.

8.2.

- Standard &
Poor's Market Insight iwMrw.mhBtf.cwm/cdumarketinsi^t):
. Monthly Adjusted Prices.

S&P 500.
?
2
R RSQ
Excel.

3.

,
.
Monthly Adjusted Prices*

S&P 500 .
)
.
SLOPE Excel
.
?
) ,

.
?
) ,

Weekly Adjusted Prices*.
100
.

4.



2001 .:

British Petroleum (BP)


British Airways

( %)

25
38

0,25
0,25

0,90
1,37

0,17
0,22

)
,
?
) BP?
?
) British
Airways?
) ,
British Airways?
5%,
12%.
) ,
.
British Airways?


- Standard & Poor's
Market Insight (yyw.mhbg.cMm/eJuniarketinsitiht).
, , Campbell Soup (),
General Mills (GIS), Kellogg (), Kraft Foods (KFT),
Sara Lee (SLE).
2
) R

Monthly Adjusted Prices*. (
SLOPE RSQ Excel.)
) .
:

;
2
. R
2

?
)
(. )
.
(. 8
)
.
6. ,
.
)
(D/V)
. : V=D+E,
.

(market capitalization) . Monthly
Adjusted Prices*.
,

.
)
() ,
5(a). = 0,15.
)
.

5.

( = 5)-

7.

) ,
5(). :

?
)
?
(
, Campbell Soup)

? .

-:

( )



( 6 .)

300 000
8%
10 000
50
25
1
5%

9.
)
. .

) -

, -
25 .
.
8.

9.1.
Burlington Northern.
) Burlington

, .
3,5%
8%.
) ,
Burlington
?
)
Burlington ?
) Burlington
6%,
(D/V) 0,40.
?
.

9.


:
(

50
30
20


,
:

0,8
1,6
1,2

/( +
+ . )
0,3
0,2
0,4

, .
) ,
,
.
) (
)
0,4.
,
?
) 7%

15%.
.
)
,
,
0,2?

229
10. 9.2.

0,5? .
1 1 .
.

.
,
?
12.
,
9.2.

?
, , ?
.
1 3 . .

.
250 . . ,

. ,
,
.


40%,
, 12%.
) 40%
?
)
250 . .,
25%?
14.

. 20% .
,
,
: 40%
1000 ; 60%
5000 .
)
.
15 . .
)
30%,
.

10%.
? (
).
15. 9.6.
:
)
150 . ;
) 5%;
) 6%;
) 1,2.

230


,

.
16.
( . .):

CQ

CI

-100

+40

+60

+50

1,5.
/^ 16%,
7%.
)

(
).
)
?
)
?
) , .

17.
.

,
500 . .

- ,
.
60%.
5 .,

700 . .
.
,
.
,
, , ,

12% .

,
40% .

?


1.


( )
.
.
, .
:
, !
?

? .

2.


0,8.
,
0,8.
,
,
0,8. (
?) , .
)

?
) ,

, 9%,
12%.

.

.


?
)
.
,
13%;
,
1,0.

13%?

10 .
. ,
10
3 ., 15 2 .
. ( )
.
0,9.
8%,
6%, 4%.
,

. ,
20%
.
10 . .
. ,
,
)
?

3.

9.
)

20 ,
.

.
)
?
) - ,
,
,
? .
4.


(Data Analysis Tools) Excel,
regression,

231
(. 3 5)
(. 6).
)
3(a) 3()?
,
? (
,
.)

?
)
5(a)?
)
5(6)
.

6()?


,
:

,
;

;


.

.


. 9.3 ,
.
-
.
7 % , 1,5%
.
, - , 12
,
. ,

( )
1 2 % . ,
.
, - ( )
.

. ,
,
,

9.3



(
. .)

. .
,
,
<
.
]
-
, ,
. - '
,
.
,


; ,

. , , ,

. , :
.

. ,


.
( . . 9.4)
.



. : ()
; ()
;
()
.

47
792
839

373
561
934

168
1083
1251

1814
15

917
149

1271
227

9.

233

9 . 4
( ,
., . .)

374
1596
2436
4406

66
408
526
1000

21
377
868
1266

388
1276
2077
3740

340
1042
601
2423
4406

66
358
64
512
1000

81
225
396
564
1266

21
1273
178
2269
3740

( )
( . .)
( %)
/
()

1520
8,00
2,0
31,1
1,03

76
9,1
1,9
14,5
0,80

142
25,4
1,4
27,6
1,15

1299
28,25
0,6
46,6
0,96

: -


:
www.aida.econ.yale.edu
Y a h o o (

):
www.finance.yahoo.com



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

:
www mba tuck.tortmouth.edu/pagcs/faculty/kcn.fnnch
ValuePro
:

www.valuepro.net
, , . :
www.ibbotstm.com


Eurotunnel 15 .
, ,
14%. ,

.
, .
;
.
, , , -
,
. . 10
, ,
. , ,

.
,
?
11. NPV.
,
. -
? ?
? ,
Eurotunnel ,
.
, 12 ,

.

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

.
, ,

, ,

.

, ,
.
: ,
'
.

.
,
,
, -
. ,

.
,
,
-

.
,
. ,
.


, , ,
,
. ,

,
.
.

,
,
.

.

,
.


, , -
.
, ,
,
. ,

; ,
,
,
, , , ,
.

, ,

237

238

1 0 . 1 .
, ,
. ,
, , .
.
.
, 10.1.
10%
, , , (
, ) :

= +3,43, +3,43 .

NPV= - 1 5 + X

(1,10)'
,
, .
, :
= =
= 0,1 1 000 000 . = 100 000 .;
= =
= 100 000 375 000 = 37,5 .
(. .
) 300 . .
100 . ,
3 0 . 3 .
10 ,
50%.
, ,
. , , , ,
,
.
, ,
, .
( ,
! ) ,
, . .

. 10.2. -

10.1
_


( )

1. 10 .
2. 50%.

1.
2.
3

15
37,5
30

4
( 1 - 2 - 3 - 4 )
5
g
7. ( 5 - 6 )
8.
( 4 + 7 )

_
. ,
110

1,5
'
1 5
1,5

-15

3
+3

10.

239

1 0 . 2
,
,

(.)

( . )

( . )

( )

( )

0,9
0,04
350

1
0,1
375

1,1
0,16
380

+ 1,1
-10,4
-4,2

+3,4
+3,4
+3,4

+5,7
+ 17,3
+5,0

360

300

275

-15,0

+3,4

+11,1

+0,4

+3,4

+6,5

, ,
.
. ,
.
0,04 (
) , 10,4 .
360 . (
) , 15 .

, , -

, 15
. ,
,
, , ,
20 . .
1 10. ,
2 0 .
:

(1 ) =

= 100 000 20 000 0,50 = 1 .



( ) :

1
.. w
= 6 , 1 4 ,
/=1(1,11"
2,71 ( = + 3 , 4 3
6,14 ) .
, ,
10 , , ,
. , 1 0 ,
6,14 ,
10%. 604 (= 10 +
+ 0 , 1 0 6,14 ) .
,
.
, , ,
.

240

.

, .
, ,
,
.
,
. ,
?

- . ,
, , , , ,
, ; ,
, .
, .

1
.
, , ,
.
? , , ,
, , , .
?
, ,
.
,
.
. ,
,
10.2.

,
. ,
.

.
1970- ,
2 0 % 3 % . ,
,
.
0,8 , , 15%
. 10.3,

.
6,5 .
.
, .
,
.


, ,
, .
1

, . ,
, ,
.
, . , , . !

241

10.

1 0 . 3





( ) , 110


1.
2.
3.
4.
5.
6.
7.
8.

37,5
30,0
3,0
1,5
3,0
1,5

( 1 - 2 - 3 - 4 )

(5 - 6)
(4 + 7)

44,9
35,9
3,5
1,5
4,0
2,0

_L5

3,0

3,5

+18,4
+3,4

+21,5
+6,5


(.)

( . )
( . )
( )

1
0,1
375
300
3



0,8
0,13
431,3
345
3,5

:
, .
.
10.4

2
.
, (PV)
. , (NPV)
.
, ,
. ,
( ) 100 . ,
, 200 . ,
100 . .
10.1
,
. ,
85 . . ,
. 8 5 . .,
3
.
,
. 10.5
. 10.2
.
. 10.2,
, , 6 0 . , 2

, ,
.
.

,
. , , 85 . ,
.

242

.
10.4

( , , )

( . .)
0
100
200

110

0
37,5
75,0

15
15
15

110

10.1




.
,
85 . .

3
3
3

-2,25
1,5
5,25

0
30
60

P V

0
230,4
460,8

OTTOK

19,6
227,0
434,4

-19,6
3,4
26,4

PV ( )

400 -

/ ,

V / /
"''

NPV=0
200

19,6

200

85


( . .)

10.1, ,
85 . . ?
,
1,5 .
60 . , ,
15 .
15 .
, 15 -
10%,
4
1,5 , 2,44 .
,
(15 ) 10 (. . 6.3):

=

15
2,44 .
6,145
:

85 . 31,9 . ,
,
, 2,44 15
10% .

10.

243

10.5

( , , )

( . .)

0
37,5
75,0

0
100
200

1 0 . 2


.
,
60 .

0
30
60

3
3
3

2,25
36,0
69,75

-2,25
1,5
5,25

1,5
1,5
1,5

-2,25
1,5
5,25

( )

/.

60

S
40 - ^ ^ '
= 0

20

60

200


( . .)

,
,
5
. . 1971 .
L o c k h e e d
L-1011 TriStar.
,
TriStar ,
200 . Lockheed,
,
, 1 .
500 .
, , 10.1,

, , , , . 9.5, ,
,
.

3 37,5 . 5

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

244

10.6


,
,
(
). . . 10.1

1.
2.
3.
4.
5 . ( 1 - 2 - 3 - 4 )
6.
7. ( 5 - 6)
8.
(4 + 7)

15

-15

110
37,5
12,0
19,0
1,5
5,0
2,5
2,5
4,0
+4,0

4 4,0
NPV= - 1 5 + X
= + 9 , 6
,=i (1,1)*

10.3


,
. ,
88 . .
. . 10.1.

PV ( )

400

nv

:
NPV=0

PV
1

200

"

68,8

88

200


( . .)

, ,
120 . (
300 . ) ,
1 9 .
(12 + 19 = 31 33 ) ,
(. . 10.6 . 10.1).
9,6 .
10.3 .
88 . . ( ),
. ,

, .
, .
, ?
,

10.

245

, ,
6
.
10.2. -

.
,
. -
, , .

7
McKinsey.
, , , ,
- . ( -
) ,
. ,
, 2*/ 2 % 50
. , 5 0
5 5 % ; ,
5 0 % . , ? ,
, ,
50 . , 100
, .
,
.

. ,
, , ,
.
- .
,
, .
, , .
1: .
. ,

:
= ( ) (1 ) + ;
= ;
= +
+


, .
, , .
, , .
1 , ,
6
7

, 9.5,
, .
.: D. . Hertz. Investment Policies that Pay Off // Harvard Business Review. 46. 1968. JanuaryFebruary,
P. 96-108.

246

.
, , .
:

, 1 = ,
1

1 +

,
1

, ,
. , 1,1
. , 10%, + 0 , 1 :
, 1 = 1 (1 + 0,1) = 1,1 .
:

, 2 ,
2

1 +
,
2

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

,
1

1 +
, 2

3
2 . .
,
. . ,
, , .
,
, , 10%
3%.
:
, 1 =


I + Q

'
, 1

,
1

, ,
:

,
, 2 =
^

,
j

1 +

= , 1

0 3

'
, 2
1 + 0,3
, 2

,
( ) .
, . ,

10.

247

. , :
,
.

, , , .

8
, .
, , .
- : , ,
.
2: . ,
? -,
; -, ; -,
,
:

,
. ,
1 . , , ,
; , .
, .
0,85 , 1,15 . ,
0,
+ 1 5 % .
,
9
.
, ; :
,
.
8

.
,
.
, 99% .
, 3
. [
. : 0,997
3 .
. .]
, . ,
0,85 1,15 .
.

248


0,5

1,0

1,5

2,0

2,5

3,0

3,5

4,0

4,5

5,0

5,5

6,0

6,5

7,0

7,5

8,0

8,5

9,0

10.4
10

3 : . :
,

.
,
,
. : , *.
10.4
10
.
: , .
,
. -
,
11
.
4 : .
, , . ,

.
* : Garbage In, Garbage Out (
GIGO). . .

10

11

Crystal Ball
EXCEL. :
10 . .
.
,
( ) .
,
.
, 10.4, .

10.

249

fc

1:

(
^
)

2:

.'-

3:

(
)



FDA

FDA:

1 I

10.5

. FDA.
, ,
.


. ,..

, , .
- ,
.

( ).

' - (
- ) . 10.5

,

' ( F o o d a n d D r u g Administration, F D A ) . ' ,
.
1012
12
300 ., .
12

-.

300 . .
19701980- ,
1994 . .: S. . Myers and . Howe. A Life-Cycle Model of Pharmaceutical R&D. MIT Program on the
Pharmaceutical Industry, April 1997.
^..
;,<,

250

.
.
1. ! ?
FDA? ( - |
: 10 . j
- - . - .
, 9999 i
9998 .)
2. .
. ,
( ) . ,
.
.
( . 10.5).
- \
.
2530 ? ,
13
, .
, ,
: . ,
. , .

,
14
, .
:
, ,
, .
,
, . ,
,
.
,
,
- . , : ,
, .

10.3.
,

, .
,
, , .
,
, , ,
. . ,
, . ,
N. A. Nichols. Scientific Management at Merck: An Interview with CFO Judy Lewent // Harvard Business
Review. 72. 1994. JanuaryFebruary. P. 91.
, , .

,
.

10.
10.6
FedEx,

251

; - ,
. , ,
, .
, .
, : ,
15
- .
.
, .
,
.

. ;
, , ,
.
, ,
.

2000 . F e d E x 10 380 2008


2011 . 380 200 .
F e d E x ,
. F e d E x

,
. .
2000 . , F e d E x
,

.
, , .
10.6 F e d E x
. .
F e d E x , .
16
, 2007 . ,
, , F e d E x .
, . ,
,
.
, FedEx 2007 . ,
.

252

.
F e d E x : ,
380. :
,
. F e d E x ,
, , FedEx.
, ,
.
.

, ,

. ,
, .


,
,
.


, , ,
.

,
.
,
,
.
4 ,
(PVGO) . PVGO
.
PVGO
. . ,
, ,
, , . ,
,
, .

,
?

.
, ,
, .
,
17
.
, :
, .
, , ,
. , , ,
. , ,
,
, -
. ( , ,
; , : A. A. Robichek and J. . Van . Abandonment Value
in Capital Budgeting // Journal of Finance. 22. 1967. December. P. 577590.

10.

253

.
.)
. ,
. , ,

.
1.
,
.
, .
2. .
, , ,
10 .

,
. ,
( ?),
, .
,
. ,
.
18,5 .,
, 8,5 .
.

. 18 8 .
:
( .)

18,5
8,5


18
8

,
, ^ . ,
, 10 .
. ,
10 ., ,
8 .
10.7 .
,
. :
. :
_


18 .

_
-

10 .

:
,
1 0 . ,
10 .
,
, .
, .

254

10.7


.


10 .

18,5 .

<

8,5 .

<

18 .

10 .

8 .

10 .

. , , ,
. ,
, , .
() .
,
, . ,
, ,
. ,
,
.
. , 22,

.
( , ,
).

22,
20 21. ,
, .
, ,
, .
,
18
.
,
.
,
.
: J. Magee. How to Use Decision
Trees in Capital Investment // Harvard Business Review. 42. 1964. SeptemberOctober. P. 7996.
: S. . Myers. Determinants of Corporate Borrowing // Journal of Financial
Economics. 5. 1977. November. P. 146175.

255

10.


.
:


- , - . . , ,
,
. .
4 0 % . ,
6 0 % . ,
,
80%.
, .
550 . . 250 . .,
. ,
, , , .
- ,
150 . .
- :
, ?
150 . .
,
.
10.8 .
550 . .,
250 . . ,
. ,
,
.
, :
, .
. 2.
. ,
. ,
, 80% .
1, 2 0,6 0,8 = 0,48.

.

.
, - , . ,
, . ,
, ,
.
, - ,
,
. , 150 . .
800 . ., , 100 . .,
. , :
+
+ =
= 0,8 $800 000 + 0,2 $0 000 = +660 000 .

256

<
<
<
<
<

(0,8)

(0,6)
150

(0,2)

(0,4)

(0,4)
30

-550

(0,6)

(0,8)

-150

(0,6)
100

-250

(0,2)

(0,8)

960

220

930

140

800

100

410

(0,2)

(0,4)

(0,4)
50

(0,6)

180

220

100

10.8
.
? , ,
( , , . .)
19

10% ,
, 1, :
NPV= - $ 1 5 0 +

$660
= + 4 5 0 0 0 0

- , :
+
+ =
= 0,8 $410 000 + 0,2 $180 000 = +364 000 .
1 :
NPV=0+

$364 000
1,10

= +331 000 .

, .
19

, .
9, - ,
, . ,
, .

257

10.

, ,
, .
, 1 -
5 5 0 . . 185 . . :

(0,6)

|
^ 550

J/
100 .
' 1 450 000 .

250 000 .
(0,4)

185 000 .

50 .

0,4 $220 000 + 0,6 $100 000
= 135 .
1,10


117 . .:
NPV= - $ 2 5 0 +

0,6 $550 000 + 0 , 4 $185


~
= + 1 1 7 .

- ,
.
:

NPV= - $ 5 5 0 000 +

0,6 $150 000 + 0,4 $30 000

0,6 (0,8 $960 000 + 0,2 $220 000) + 0,4 (0,4 $930 000 + 0,6 $ 140 000) _
+

(1,)

$102 000
$670 000
10)2
= - $ 5 5 0 000 + 7 - J Q +

= + 9 6 000 .

,
117 . ., 96 . . ,
. , ,
.
117 . 52 . .:

NPV= - $ 2 5 0 000 +

0,6 $100 000 + 0 , 4 $50 000

j-jjp

0,6(0,8 $410 000 + 0,2 $180 000) + 0,4(0,4 $220 000 + 0,6 $100 000)

= + 5 2 000 .

, :
$117 000 - $52 000 = + 6 5 000 .
10.8 , -
, .
, ,
. 10.8 ,
- , ,
, .
. , , , -

258

.

. 10.8 ,
( ) ,
, .
- :
. ( )
, , , -
.


.
.
,
, .
, , ,

(
) . , ,
, , ? -


2. ,
.
,
. : -
, , .
, .
, .
,
. ,
.
, ,
.
,
10.8,
. : ,
.
, ,
.
.
, ,
. , ,
.
, , , ,
. !
,
. 20 2 1 ,
22.

,
-
. - ,
.
? .

10.

259

, , ,

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

, ,
.
, , . .,
.
, ,

.
.


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

.

260

.

; ,
. ,
,
, , -.
,
, .

.
, , ,
.
.
.
, ,
.
,
, ,
, .
.
, ; ,
, .
.
: , ,
, .
.

. ,
, ,
. , ,
, .

. ,
. ,

. 21
, 22 .


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

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


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

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

261

10.


1.
:
) ;


.
3.

4.

-

?

5.

,
,
,
10.2.
,
-.

6.

7.

) ;
) ;
) -;
) ;
) ;
) ;
) .
2. ?
)
, .
)
, .
)
,


.

)
.
)
.

)
,
,
.

)
.
)
,
.

) -
.
) -

8.

,
.


1.

:

1,1 .
0,1
400 000
360 000
2

2.

:


( )


( . )

( . )

( )

0,8
0,04

1.0
0,1

1,2
0,16

300

375

400

350

300

275

.
?
3.


.
15 ,
40 . .
, 10.1.
)
?
)
10.1.

)
.
,
,
,
10.1.
,

.

262
4.

.


. 10 .,

1 . ,
, ,
8 .
4 .
,
:
-

( )


(
.

)

()

0,4

0,5

0,7

10

13


, 12%.
.
5.


, ,

(. ).
450 . .
?

6.

,

(
. 10.2).
,
?

7.



1% .
)

100 . . (. . 10.1).
) , : 1 +
( )/
.
)
200 . ?

8.

,
- ?
, ,
, ?

, ?
.

9.


9.6.
,
,
; 1 .
75 . . .
.

10. ,
.
)

.
(

),

, .
) Western Telecom
,
.

,
,

.
) Western Telecom


( ).
,
,

(
).
)
,
,

.
) -

-
2000 .

, -
...

[]
[] .

2020 .
1 1 . ,
100 .,
,

140 .
50 . . ,
50%.
) ?
) ,
,
90 .
?
)
.

263

10.

) -
?

12. -
(cU. 10.3). :
, 0
,

) ,
10.8, ,
-
.

350 .
180 .
8%

)
.

.
.
- ?
13. - ,
:
(
), .
,
150 . ., 500 . .

)
,
?
?
14.

?

?


1.
,
100 . . ,
,
1000 .
.
500 . .
,
50 . .
460 . yri, 10%.
)

?
)
( )
?
2. ,
.
60% .
, 80%
.
, 60%
.

900 . . ; 700 . .
, , ,
. ,
,
500 . .

.
.

.


.
2 . -
. 10 ,

.

AT&T
.
40%
.
,
,
(. . ,
;
, ).
,
10%.
,
.
?
,
.
3.

,
,

.

-


, , ,
.
,
(
) .
-
.
! ! !
.
. -
90 .,


.
, ,
. ,
-.

.
10.7. ,
: ,
,
5% .
, , .

15 .
,

17.
, ,
.
, ,
,
, -,
, 2% .
3 5 % ,
9% .
,
.
, (
, ). , ,

10.7

( )


( .)

,
. ,
- ,
4 0 % . ,
?
,
, .
.
-
, , ,
, , 1 0 % .

,

- .
,
2 5 % ,
12 . ,
,
.
, ,
- , , ,
. ,
, -.
-,
. .
.
. ?
.
, -, ,
. - ,
.
,
- .

1. ,
10.7?
2.
.
?

30
20

30

2
2

4
2

5-17

10

4
3

12
24

12
24

12
24

10
4

10
4

10
4

,

,
? ,
,
.

,
,

,
, ,
.
,

.
, ,


.

(
),
,
? : ,
.
,

,
.


.
,

1
.
1

. ,

,
, ?
.

1 1 . 1 .
,
. , , , -
, .
, ,
.
, ,
, . , , ,
, ,
. , , ,
- , ,
, - , 265

266

.
.
,
, . ,
, ,
.

.
-
.
,
? .

. . 45 001 .
,
. ,
.
.
, , ,
, 46 . . ,
, 999 . .
, ,
45 . ., , 1 .
,
.
,
.
, . ,
, , ;
.
. .

.
, 45 . .,
,
, , -
. ,
.
, ,
,
, .

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

267

11.

? . :
, , .
. ,
2
100 . , ,
8 . 10 . ,
3% ,
10
10 100 . (1,03) = 134 . 10%
1 .:
= - $ 1 0 0 000 0 0 0 +

$8000000

$8000000

+ ... +

$8 000 0 0 0 + $134 000 000


^
=

= + 1 .
,
. ,
120 ., 5 .

, ,
, .
, ,
, .
,
. , ,
10 . .
, . ,
10 ., ,
8 .
, 7 . ,
, 1 .
(= 8 . 7 .) . ,
3
.
? , ;
, . ,
3% . ,
7 .
4
1,03 = 7,21 . 2, 7,21 . 1,03 = 7,43 . . .
11.1,
5.
,
; -
. , , 100 .
( ). , ,
, , ,
. .
,
.
10%.
7% 3% . 3%
, 10 134 .
( /"=0,10) :
PV=

$7 000000
r-g

$7 000000
= 100 .
= nin
0,10 - 0,03

268
11.1
6

.
10

10

, , ,
5
.
. ,
, , .
: ,
. . ,
,
.
, .
.
. ,
.
,
,
?, , .
:

,
. -
. , 200 .
10 0,1 (100 .)
, 200 . .
,
- . ,
5% 400 . .
10% 10 .:
NPV= - $ 2 0 0 000 000 +
100000 ( $ 4 4 1 - $ 2 0 0 )
(10)

+... +

100 000 ($420 - $200)


1,10

100 000 ( $ 6 5 2 - $ 2 0 0 )
= 10 .
(1,10)

, .
5

, , 3% , .
1
7 ., 100 . (. 4).
.

269

11.

, - , .
? ,
, ,
400 . . , ,
6
, 400 . .
, 1 ( 0,1
10 ), 1 .
7
400 . = 400 . , 1 0 %
. :
NPV= + ~ ^^

4 100 000 $200


= - $ 2 0 0 000 000 + $400 000 000 -
-f
= +77 .
t=\
(1,10)
8

, .
- .
.
6

,
: . 4.2,
, (0)
(DIVi) ({), ():

DIV\ = 0, :
Pi

.
, , \, . ,
DIV2 = 0,
>

1+
0 :
0 =

1+

1+

1+

(1 + )

:
,
(1 + /)'
, ,
.
.
, , ,
. . 27,
.
, . ,
-
, . ,
, (. . 21 22).
, - :
. ,
, .
, . ,
, . . .
27.

270

.
, - :
,
? :
- , ( - )
, ,
, , , .
, - .
, ,
,
9
, .
. ,

.
, ,
10
. 9,
:
1) ,
;
2) ,
, ;
.
,
. :

.
, : ,
. ,
, ? ,
,
,
. ( . 27).
,
. ,
. ;
, ,
.
, , .

( ) , , ,
,
,
. ,
; ,
.
, , ,
.
( ),
. .: S. Devarajan and . . Fisher. Hotelling's
'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.

271

. ,
, , , ,
11
.

:
,
.

11.2.
, , ,
, .
.
,

. ,

.

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

,
, -
.
.
, ,
, (
, ) .
,
,
. ,
,
(. . 11.3).
, ,
, ,
- .
,
.
, ,
, , - .
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



( ,
,
.)

( )*

( . )

**
***


NPV ( = 8%) = 63,6 .

100
0
1,20
0
0
0
0
-100

0
1,20
0
0
0
20
-20

310

40

80

1,20
48
30
4
20
-6

1,20
96
30

:
.

10.

20
+38

80 .

0,375 . ( 2 40 0,75 . ).
0,10 . .

11.2

?
0,95 . .
,

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


100 .

( )

( . )





NPV ( = 8 % ) = 0

100
0
0,95
0
0
0
0
-100

0
0,95
0
0
0
20
-20

40
0,95
38
30
0
20
-12

310

80
0,95
76
30
0
20
+26

, ,
,
, ,
12
. . 11.1
, . :
8 % 6 4 .
100 .?
. .
,
, .
-
. , ,
,
?
,
. , 11.1,
10 1,20 . .
: ,
, , ,
.
,
. ,
, , , 12

,
.

273

1 1 .
11.3

.
5 0,95 .,
- 1 0 , 3 . ( ,
, . ) . . . 11.1

( )

( . )

510

40

80

80

80

100
0
1,20

1,20

1,20
48
30
4
20
-6

1,20
96
30
20
+38

1,10
88
30
20
+30

0,95
76
30

0
0
0
20
-20

0
0
0
0
-100

20
+18

NPV ( = 8%) = -10,3 .

, .
11.2.
0,95 .
, .
?
, 0,95 .?
, .
11.3, 11.1 ,
, 5 0,95 .
.
,
1, 2 ,
. , ,
, ,
, 11.1.

. ,
- .

,
.
. ,
,
( )
.
11.3. :
,
,
13
( ) .

. 2023 .
13

(Stewart Hodges)
, gargle
blaster* [ . . ].

274

11.2

, 1 .
80 .

( .)
800

= 80 (10 - )

400
320
I-

240

'
'
'
I

- V

I
I

>.

'
'

^ \
^ \

N
10 (.)

1,68 . , , 240 .
10% ,
. ,

.
9 7 .,
. 11.2 ,
.
11.4
. , ,
2 0 % , ,
,
.
2019 ., .
, 2024 .
460 .
- , .
,
, ,
10 . 3 . .
, 1 .
,

11.4


: 7 . ; .

( .)


(2011 .)

(2019 .)

( .)

( .)

( .)

120

17,50

5,50

2,50

120

24

17,50

3,50

2,50

275

11.

100 .
12 .
,
.
:
1) 20%;
2) ;
3) ;
4) ;
5) ,
2014 ., .
- . , ,
, .
, ,
,
.
.
? , ,
? , -, ?
. .
, .
!
, ,

, .
.

, .

340 . , 11.2,
, ,
5,75 . ( 80 = 80
):
= 80 ( - ) = 80 ($ - $5,75) = 340 .
5,75 ., ,
2011 .? :
2,50 .
. 2 0 %
:
NPV= - + PV(mHa _ . ) =
=

$5,75-$5,50
$2,50

=1,25 . .

, 2011.,
. ,
;
2,50 . ,
, 1,25 . .

( )
, . -

276

.
6,00 .
2011 . :
$6,00 - $5,50
= 0
0

"
-

NPV= - $ 2 , 5 0 +

,
6 .? , :
= 80 (10 - ) = 80 ($10 - $6) = 320 .
,
6 . ,
, 20 .

.
, ,
. 5 .
,
:

NPV= -$ 10 +

$5,00 - $3,00
0 2 Q = 0 . .

. , 5 .
400 :
= 80 (10 - ) = 80 ($ - $5) = 400 .
,
240 . 2023 . 400 . .
. 5 ,
,
.

, , ,
6 .
5 . .
:

. ( .)

100 . ( .)

15

6, 7, 8...

-10

6-3 = 3

5-3 = 2

600 - 300 = 300

500 - 300 = 200

-1000

20%, ( .):
5

iW=-$1000 +

$300

r=l(l,20)

77^5 ~ = +^99,
1

(1,2U)

$200
u,z

+ 2 9 9

. .
, .
-

11.
1 1 . 3


.

100 .

227 .:
{

=
+
+
= 299 . - 72 . = 227 .).

,
,
200 . .

280 .,
- 1 4 4 .

277

PV ( .)
600
v

'NPV
*^

/S .

\\

400

200

1
100

~" ~ _

1
200

\\ 2 1
80

( .)

/.

-144
-200

1 ^

_-_^_^

2019 .
, 7 . ,
. ,
1 .
2019 . ( 24 = 24 ) :
5

24

<
= 72 .

/, (1,20)'
, ,
299 .
72 . ,
299 . 72 . = 227 .

, ,
, ,
, .
,
.
.
:

11.3. ,

.
2029 . ,
14
280 . ,
11.3, . 14

2029 . 400 . 120


, 280 .

278

.
280 2024 .,

144 .
,
200 6 .,
, 2011 .
, ,
15
.

,
.
, 24 .
7 .
( 24 = 24 ) :
PV= 24

$7,00 - $3,50
' Q 2Q '
= 420 .

6 .,
5 . , :
PV= 24

' $6,00 -$3,50 | $5,00-$3,50"


\

(1,20/

0,20(1,20)

= 252 .


299 . (
.):
$ 2 5 2 + $299 = $551, 551 .

16

- , 4.
460 .

(PVGO) .
4 0 . , .
17
299 .
15

16

17

,
.
, , ,
. ,
. .
, , , ,
, .
, ,
. -
. ,
- ,
.
,
1000 . 1551 .
1000 . ,
551 .
, 551 .,
, . ,
-
. ,
.

11.

279

, , . Intel
Biogen
, , .
, ,
. ,
. ,
6 . ,
, 2029 .
. 1 .
? .

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

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

1990- . ,
. ,
,

. ,
, ,
.
, ,
. , ,
, .
, ,
,
.
, ,
.
, , ,
6.
, .
,
7 2 .
.

280


,
,

[ ] .
. :
7 0 - ,

, - . -

, .
.

2 ,
.

, :
.
1990-?

,
. ,

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

1900 .: 21
1998 .: 5

[ ] ,
, ; ,

.

, ,
19191939 . 3 0 0 ,
. ,
, ,
, ,

.
.
129 ,
20 . Continental
. 1992 . (
,
) ,
,
. .
, ,
1903 .,
*,

, . ,
,
.

, ,

. ?
:
,

, ,
, ,
.
,
, .

* ,
, 1903 . (
).

. . .
: . Loomis. Mr. Buffett on the Stock Market //Fortune.
1999. November 22. P. 110115.

.
,
.
2011 .
. ,
( ) 2011 .,
.
, :
, , ,
- .
,

. -

11.

281

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

, . ,
.

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

.

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




.:

S. P. Sobotka and . Schnabel. Linear Programming as a Device


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

282


1.

2.


250 .
,
1000 . .
75 .
. ,
.
?
12%.
?

,
?
6.



.

?

7.


1600 . .
: .
5%,
12%.

) ,
,
.
) ,

,
.
)
,
,

.
)

3.

4.

5.


,
.
50 .,

500 . .
5 . ,
.
,
10%.
: () 5 .; () 10 .;
() 15 .?
,
11.2. ,



.

.
(
).

,
, ,

. ,
10 .

) ,
100 .
?
.
) 1,2,
?
?
8.


.
,
, ,
,
? .

9.


? .
:

, .
.
)
,
.
) ,


.
)
,


.
)


- ( ,
) - ,
.

) ,


.

11.

283


1. ,
,
. ,
,
-757.

? , ,

? .
2.
(. . )
. ,

,
,

.

DC-11,

.
, ,
.

, .
,

. :

,


-.
?
,
. ,

. ,

?
3.

,
,
? ?

4.

, 380 .
.
12%
.
3% .
1 ,
? 0,
5,5%.

5.



()
.
, 200 . ,

25 .
65 . .
,
200 .
100 . ( ).
,
.
?
9%.
:

;


;

,

, 6;


,
12 , 1;


12 ;
.

6.

5, :


3% ?
, 1
25 . (1 0,03) =
= 24,25 .; 2 23,52 . . .

(65 . .).

7.


(. . 11.2)
.
, 11.3.

?
)
5,
1,10 . ,
6,
0,95 . .
)
40 1,
2.
)
,

25 .
.

8.



. -

284

.
-.
:

100 . .;
80 . . ;
10 ,

(. . 6.2);

5000 ;
20 . ;
10
4,5% ;
;
-
35% (
);

- 8%
.

?
.

,

,
,


,
.

1 .

-
-,
.
,
80 . . .

,
50 . . :

9.
,
2004 .:
20 ,
30 2005 .
.

S&P 30 2005 .
30 2005 ., 100 .
, 30 2005 . 1000,
30 2005 . 1200 ,
100 . (1200/1000) = 120 .
,
.
1 2005 .?
30 2005 .?
10% . ,

2005 .
.
.
,
S&P,
-?
10.
-.
.
.

180 000 .
50 000 .
50 000 .
80 000 .

,

,
.
1 200 . .
,

.
.

.
,

1 .
, ,
.


8%.
,

-
2% .

5%
.

.
.


1.


.
100 . .
0,90 . ,
1 . . 100 .

100 . .
.
60 . .,
, 57 900 .
.

11.

2.


X Y, 10
.
, .
5 , 10 10
.
:

( .)

X
1,5
2,5
4,5

V
1,5
2,0
3,5

,
1 .
,
.

,
.
.
10%.

)

?
)
,
10?
) ,
15?
) ,
20?

.
,

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

; ,
.

.

3.

0
1
2
3
1.
100
2.
100
100
100
3.
50
50
50
4.
33,33 33,33 33,33
5.
16,67 16,67 16,67
6. 4 0 %
6,67
6,67
6,67
7.
10
10
10


15
9.
(7 + 8 + 4 - 1 )
-100 +43,33 +43,33 +58,33
NPV ( 20%) = 0

1. .
2. 25 50
2.
3. 40%

.
4. 20%.


100 . . ,
,
. ,
,
0,85 . .
,
,

, .
, ,
,
.

10%.
)

,
.
?
)
3 ?
) ,
2?
, ,
, 40 .
80 . .?
)

.
2?
)
100 . .
10 . . .
2?
)
?

285

) ,
? ?
) ,

100% 1.
,
,

.
) ,
, ?
) ,
?

-
18

,
-
,
. 2 0 0 4 .
- . 2 0 0 4 .
20 .
.
(, )
3 . 2 0 0 3 .
200
, ,
4 - .

,

.

12 .
, 2 5 %

,
. 35
.
,
,
.
3 0 %
;

.
.
- ,
. -
,
124. ,
, ,
.
, , 8

(Anthony Neuberger)
.

286

12,5
2005 . 50 2007 . .
, - ,
.
,
,
- .

20 ,
, , .
- ,
- -
.
,
-, ,
-.
.
- -
?
? ,
-?
-
. , -
.
- ?
, -
, -
? ,
.

1.
.

?
2.
? : ,
-
? , -

-?



.

NPV ( ').,
.
?

,
. .

:
; vjrjifjx#HMR, ;, . .

.
:
,
.
:
,

.
:

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


,
.
,
,
? , ,
,


?
-^
, 1 2.
,
.

,
. , ,
,

.
,
.



. ,
,
.

,

. , ,
.

,
.

,


.

287

288

12.1.

,
.
,
, .
,

, -
. , ,
. , ,

.
. 1 2

.
.

.
.
, .

.
,
, ,
.
,
. ,
, , ,
.
,
,
. , - |
. , >
, , j
, . , - '
, ,
.


.
.

. ,

.
- ,
, , ,
.
,
. . , ,
400 ., ,
500 . . .

12. ,

289

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

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

1 . , G l a x o Smith Kline, ,
2000 . 4 . ,
,
1
300 .
. 1998 . Gillette
. 750 .
.
300 . ,
, ,
. ,
,
.
. ,
Gillette 160 30 .
( ).
.
. ,
- -
. , ,
.
, . (
, ) , .
1

1980 1990- .
, 1994 . 400 . .:
S. . Myers and . D. Howe. A Life-Cycle Model of Pharmaceutical R&D. MIT Program on the Pharmaceutical
Industry, 1997.

290

.
,
?
. ,
.

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


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

2
.

12.2. , ,
. , ,
,
. ,
.
, ,
, .

12. ,

291

. , ,
,
.

, .
,
.
.

,
( ) , ,
, ,
.
.

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

, ,
. ,
, - .

,
.
. ,
.
.
.
-
.
, .

.
, .

,
. .
, ,
, , .
. ,

292

( ,
) , .
:


? , , ,
. ,
.
-
.
,
.
, 12%.
.
,
, . : ,

3
, .
.
,
. -
.

. ,

8 5 % . , ,
.
, ,
. -,
.
, ,
, , ,
4
, . -,

,
, .

, .

. ,
- , ,
.

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

, . ,
. , , .
J. L. Bower. Managing the Resource Allocation Process: A Study of Corporate Planning and Investment. Boston:
Division of Research, Graduate School of Business Administration, Harvard University, 1970.

12. ,

293

.
,
, .
: .
12.3.
,
. , ,
.

, .
. , ,

, .

, , , . , , . ,
, . . . , ,
NPV. ,
, .
.
. -
.
.
. . . -
, ,
, . .
,
*.
.
. ,
, .
. ,
. ,
, , , .
.
, ? , ,
,
5
,
( , ,
).

, ,
. , ,
, ,
.
* (
perquisite). . .

A. Shleiferand R. W. Vishny. Management Entrenchment: The Case of Manager-Specific Investments //Journal


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

294

.
: ,
,
6
, .
.
, (
), ,
. NPV.

, .
.

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

. ,
. ( ) , ,
: (1)
; (2)
,
?
, ,
.
, ?!
? , ,
,
.
,
.
,
.
,
. ,
,
.
,
.
, ,
, ( , ,
),
, . , -
,
.
. . Jensen. Agency Costs of Free Cash Flow, Corporate Finance and Takeovers // American Economic
Review. 76. 1986. May. P. 323.

12. ,

295

, , ,
, ,
. , 15 1998 . C e n d a n t Corporation
.
7
C e n d a n t 46%, 14 . .
.
, , , ,
. ,
8
.
,
. , ,
, .
,
.
. ,
- , ;
, .
9
( ) .
, , ,
.
( ,
, , )
( ,
) . .
? .
, ,
, .
.

. ,
. ,
, ,
;
. , , , General Electric,
1 .
1 .,

. , .
.
, 7

Cendant 1997 . HFS, Inc. CUC International, Inc. ,


500 . CUC 19951997 . , 1997 .
60% . 1998 . CUC
, Cendant, CUC.
70 .
. .: . Nelson and J. S. Lubin. Buy the Numbers? How Whistle-Blowers Set Off a Fraud Probe That
Crushed Cendant // The Wall Street Journal. 1998. August 13. P. Al, A8.
8
(. . 18).
, , ,
, . .: . James. Some Evidence
on the Uniqueness of Bank Loans // Journal of Financial Economics. 19. 1987. December. P. 217235.
9
,
.
:
, , , , .
.

296

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

? ,
, ,
0,14% .

3,25 . . ,
,
, : ,
,
, ,
10
? .
,
.
.
. , Walt Disney C o m p a n y , ,
: 750 . .; 2%
Disney ; ,
2 1 4 . ,
. Disney
12 ., .
1,6% ,
11
190 .
. . Jensen and . Murphy. CEO Incentives It's Not How Much You Pay, But How // Harvard Business
Review. 68. 1990. MayJune. P. 138. 1983 .
,
; .:
. J. Hall and J. . Liebman. Are CEOs Really Paid Like Bureaucrats? // Harvard University, August 1997
[ ].
,
190 . , ,
:
. ,
, , ,
.
PGA . , ,
, ,
. , ,
. .: R. G. Ehrenberg and . L. Bognanno.
Do Tournaments Have Incentive Effects? // Journal of Political Economy. 6. 1990. December. P. 13071324.

12. ,

297


,
; . ,
,
, , ,
10% , 9 . ,
12
, 10% .
, , ,
, . ,
,
, ,
. ,
,
13
.

,
. :
,
(. .
) ?

.

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

12.4. :


, .

.
, .
:

, (. .
, );

,
.


. -,
. , , 12
13

.: . J. Hall and J. . Liebman. Are CEOs Really Paid Like Bureaucrats?


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

12.1



-
(
.)

550

**

*
,

275

_15

200

3 5 %

70

130

80

1170
360
810
110

1000

.
.

,
-
. ,

,
.
-,
. ,
.
-,
. ( 1 2%)
. ,
, , ,
12% ,
. ,
12%.
, . ,
, .
, .
,
.
12.1,
- . ,
.
.
? *
.
* , .
.
, :
( !
, ).
(,
, )
( ,
), ,
( ) . ,
( ),
, , , ,
, . .
/, . .
(
, ). . .

12. ,

299

12.1, -
14
1000 (1 ) .
130 .
15
, (ROI) 1 3 0 / 1 0 0 0 = 0,13, 13% .
10%,
. 13% 10% = 3%.
2 0 % , ,
1 . - .
: 13% - 20% = - 7 % .
16

, (EVA) .

?.
,
, , ,
, .
. , , ,
;
. 10, ,
, :
.
,
.
, , 12%. ( )
- 0,12 1000 . = 120 .
, 130 . 120 . = 10 .
, ( )
.
, ,
, (EVA).
:
EVA = = =
= .
( .):
EVA = = $ 1 3 0 - 0,12 $1000 = + $ 1 0 , +10 .
20% EVA 70 .

.
, , EVA .
,
14
15

16


(. . 29).
, ,
. ,
. (. . 6),
.
, ,
, . ,
, .
(WACC) 19.
economic value added (EVA) Stern-Stewart,
.
Stern-Stewart EVA .

300

.

.
EVA
17
. ,
.
Quaker Oats:
1991. Quaker Oats [EVA],
. ,
.
, ,
(Gatorade, Rice- -Roni, 100% Natural .).
,
.
(
), , ,

. ,
. ()
( ). ?
Quaker
, .
EVA.

Quaker Oats.
EVA
19
Stern-Stewart. ,
Stern-Stewart
.

. , M c K i n s e y & C o m p a n y
(), ,
. ,
. , 12%
- EVA ( .):
= = (ROI ) =
= ( 0 , 1 3 - 0,12) $1000 = +$10, +10 .


EVA

. ,

.
, ,
,
. EVA ,
, ,
, . ., .:
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. ,

301

.
, , ,
,
.
EVA :
,
. ,
, .
, EVA ,
, .
.
, EVA,
,
, . EVA
.
,
,
, . ,
EVA .
EVA .
EVA : (1) ; (2)
.
.
; , ,
Quaker Oats ( EVA)
. , - ,
,
.

-
, . , ,
H e r m a n Miller C o r p o r a t i o n :
[EVA] , ... , ,
, . ,
- , ? ,
? - .
, .
20
, [] .
EVA:
, ,
. , EVA . ,

, . ,
EVA ,
1012
,
. 1012 ,
.
,
, .
,
20

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

302

.
,
.
EVA ,
.
,
.
( ) ,
.
,
, ,
, ,
, .
, EVA
.
EVA (
21
) . .

EVA

EVA
.
. EVA
. 12.2
22
2000 . . ,

. , Philip Morris
,
, Microsoft.
, ,
,
. Eli Lilly
EVA. 1996 .
6 13 .
EVA Stern-Stewart
. ,
. , , ,
Microsoft 39%? ,
:
.
, ,
.

12.2
EVA
, 2000 .
.
(EVA)

,
; ,
Coca-Cola ( .): EVA= (0,157-0,092) $19 523 = 1266 . [

,


EVA. .
.]
:
Stern-Stewart.

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

EVA
( .)

( .)

( %)

6 081
5 943
5919
5 357
4 646
1 266
94
- 1 065
- 4 370
- 9 972

57 220
71 421
23 890
181 344
73 890
19 523
40 651
110 111
52 045
206 700

17,4
20,4
39,1
10,5
19,0
15,7
8,0
5,7
2,0
4,5


(%)
6,7
12,1
14,3
7,6
12,7
9,2
7,8
6,7
10,4
9,3

303

12. ,
1 2 . 3


, 2000 . ( %)
: Datastream.

Abbot Laboratories
Bristol-Myers Squibb
Merck
Pfizer

19,2
24,0
19,7
14,9

Du Pont
Dow Chemical
Ethyl Corporation
Hercules Inc.

7,3
7,5
8,5
5,4

, Philip Morris ,
, Philip Morris Microsoft
.
12.5.


,
, ,
. , ,
.
, .

(ROI) .

(
) . 5
, , ,
.
.
.
12.3,
, .
? ,
. - ?
- ,
, . ,
, ,
,
.
12.4
. .
400 . ,
,
.
(100 .

12.4
,
. , ,
,
.
. (
.)

*

:


**

1000
500
500

1000
500
500

100
300
400
+100

300
100
400
+100

.
= - - .

304

12.5




,

12.4 (
.)

100
100
100
100
100
100
100
100
100
100

100
90
80
70
60
50
40
30
20
10

0
1
2
3
4
5
6
7
8
9

300
300
300
300
300
300
300
300
300
300

300
270
240
210
180
150
120
90
60
_

550

1650

100
300
400

300
100
400

10 ,
10 . . 10 10 . =
= 100. 10 30.= .

12.6

, 12.4.
.

,
. - ,

. ( ,
, .)

1000
500
300
100
100
550
18

1000
500
100
300
100
1650
6



*

*
ROI ( %)
. 12.5.

300 . ) ,
.
12.5 . ,
.
,
, , 12.6,
(18%) , .
(
),
. ROI.
: ,
.
, , , .

, , . 1 . . :

( . .)

1
100

2
200

3
250

4
298

5
298

6
298

12. ,

305

1 2 . 7
.
ROI (
, R O I , . . )


,

,



ROI

100

200

250

1000

833

667

833
-167
-67
-0,067
167

667
-167
+33
+0,04
167

500
-167
+83
+0,124
167

298

298

298

500

333

167

167
-167
+131
+0,393
167

333
-167
+131
+0,262
167

0
-167
+131
+0,784
167

, .
:
23 , , .
,
.
, 10%.
.
, ( . .):

10

(1,10)

(1,10)

(10)

(1,10)

(1,10)

NPV= 0 ( )
10%.
12.7
.
ROI
23
. :
.
:
. ,
. ,
.
, . . ,
.
, .
, , .
. , .
? ,
? . ,
, 40%. -
...
23

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

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

I
'

? .
EVA .
, 2:
EVA = $33 0 0 0 - 0,10 $833 0 0 0 = - 5 0 000 .

.
,
. ,
12.7, EVA 2 , , .
12.6.

,
. , ,
.
( ) ,
:
+
=

\ +(\ - PQ)

.

0
(
) :

= +

;

. :

. ()
, :
=

^
PVQ

PVQ PVy 0 1
.
(
) .
, ;
, ,

12. ,

307

12.8
.
.
, ( , , . . )
. - .



, 10%

, 10%

100

200

250

298

298

298

1000

1000

901

741

517

271

1000
0
100
0,10
0

900
-100
100
0,10
100

741
-160
90
0,10
160

517
-224
74
0,10
224

271
-246
52
0,10
246

0
-271
27
0,10
271

.
, - .
.
(BV),
, -
. (
) (ROI):
= =
=

Cx+(BVx-BVv).

,
,
ROI =

+(BV]-BV0)
j^z
.
BVQ


( ), ,
. ( ,
.
. ,
,
.)
. 12.8
.
.
.
() , .
, .
. 12.8 ,
10% .
,
24
.
, ,
,
. 2:
EVA= $100 0 0 0 - 0 , 1 0 $ 1 000 0 0 0 = 0.
. ,
.

308

.
EVA ,
. EVA ,
.

,

.

? ,
, ,
?
?
, , .
, ,
,
. 12.9
,
. ,

. , 10%. ,
12.9,
12,6%, . ,

.
, .
, .
, .
5%. 1000 .
, 1 0 5 0 . , 1102,50. . . ,
, , .
,
. 12.1 ,
, , . R 0 I
, ,
,
25
.
, ,
. , .
!,
?

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


,
.

,
10% (
, ROI,
. .)

309

-67

+33
-67

+83
+33

+131
+83
+33
-67

+131
+131
+83
+33
-67

+131
+131
+131
+83
+33
-67

-67

-34

+49

+180

+311

+442

1000

833
1000

667
833
1000

500
667
833
1000

333
500
667
833
1000

167
333
500
667
833
1000

1000

1833

2500

3000

3333

3500

-0,067

-0,019

+0,02

+0,06

+0,093


*:
1
2
3
4
5
6


:
1
2
3
4
5
6

ROI =

~

+0,126**

= + .
.


- ?

?.
: (1)
( 2 )
.

. , -

12.1
,
,



. ,
,
(. . 12.7),

( %)

12
11

10
9
8

10

15

20

25

1
(%)

310

.
- ,
. ?
,
. , ,
. ,

.
, ?
,
? ,
, 12.8.
26
.
.
, ,
27
.
, , . ,
,
. , , , ,
, . ,
? . ,
, . ,
, , -
, .
,
.

1. .

, , ,
?
.
2. ,
.
.
3. - , ,
, . , ,
, 1980 .,
1980 .
.

.
,
.
4. .

,
.
1960- 1990- .

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

311

12. ,


. .
,
, , , ,
. ,
4, 1 3, 2.
, 2 .

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

.
1. .
,
.
2.
.

3.
.
4. .
,
.
,
,
. ,
,
.
,
.
. -,
, .
. -,
,
. -,
.
, .
, ,
. .
: , ,
. ,
( ) .
,
( )
( ) . -

312

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

. .
, , .
, ,
.

, , . ,

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



.:


.:

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.

?
)

, .
)
,
.

.
)
.

5.

. .
6. ,
(EVA).
) EVA
( %)
( .)?
) EVA.

) ( )
.

) ( )

?

)
? EVA?

)
. ( ,
.)
)
.

)

?

) .

7.
1,6 . 20 .
11,5%.

.

)
.

8. ?
.

)

.

)
.

, .

2. ,

.

)
,
.
3.
? :
,


,
.
4. :
)
;
) ;
) ;
) ;
) ;
) .

) ,
,
.
9. :



.

,


.
10. :

0
-100

12
0

78,55

3
78,55

20%.

20% .

.


1.

.
? ?
?

?

2.





. , -

314

.
)
,
.
?
) ,
,

. ?
,
?
) ,
,
.
? .



.
,
:
?
?
?
?
,
40%
? ,
?
3.


() (
,
) ()
. ?
?

4.

,


.
) ,
-
.
)

?

5.

6.

7.

,
,
.
,
1,2 .


. ,

4 .

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

12.10

, .

8.


,
.

)
. 9%.
) 12.10,

48,32 .
,

95 .
EVA?

9.

,
Merrill Lynch Morgan Stanley Dean
Witter,
.
- (
,
),

(,
) .

?

?

,
,

.

12.10
5.

( .)

2001 .


35%

31 2001 .
56,66
18,72
21,09
4,50
12,35
4,32
8,03

7,08
69,33
21,01
48,32

55,40

12. ,
10. ?

?
11. ?
)

. ,

.

315



?
.
1 3 . ,
( . .):

-1000

+298

+298

+298

+138

+138

+138

)
,

,
. ,
-, .

) .
?

12.

, 11.

. 11.2.

14. S&P Market Insight


(www.mhhc.coni/eJuniarketinsight).
(EVA)
.
?

) 12.7 12.8 ,


.


1.
?
?
2. ,

.
EVA?
.
3. 12.9, ,
10% .

:
( ),

.
4. ,
( .):

-12

+5,20

2
+4,80

3
+4,40

.
,
4 . 1, 2 3.
10%.
) ,
.
) ,
.
) ,
.


' :

, ,
.

5.


,
.
, 2001 .


.
,
,

. ,
,
, , (
) .
.
200 . .
( ).
,
.
,
,
.
( . .):

( %)

0
40
-40

40
40
0

80
40
40

120
40
80

170
40
130

200

160

120

80

40

-20

33

100

325



. (
),

,
, 20%.

316
( .)
25

20

15

10

i
0

10

11

12

13

14

15

12.2
6. -737 1987 .


1
2

4
5
6
7

12.11
6. -737 1987 .
, ,
10% (
.)

9
10
11
12
13
14
15
16


25 . .
,
,
.
, 2001 .
,
,
.
, . .
,
.
, , ,

- .

40%. ,


19,69
17,99
16,79
15,78
14,89
14,09
13,36
12,68
12,05
11,46
10,91
10,39
9,91
9,44
9,01
8,59


3,67
3,00
2,69
2,47
2,29
2,14
2,02
1,90
1,80
1,70
1,61
1,52
1,46
1,37
1,32

,
.

.

?
? .
6.

28


.
. , 12.2 ,
-737
28
. 12.11

.

12. ,
,
10%. (, 1
-737 19,69 .,
, 17,99 . +
+ 3,67 . 19,69 . = 1,97 .,
10% .)

15
,
20% .

317

)
.
)
.
) ,
-737.


?

: -
.:
www.itpolicY.nsa.uov
:
www.decisioneering.com
www.kellogg.nwu.edu/faculty/myerson/ftp/addins.htm
EVA:
www.sternstewart.com
www.financeadvisor.com


. :
. . ,

, 15 .
-
.
200 ,
.

, , ,
. 13
:
,
?. ,
, ,
.
14 ,
, . ,

, .
,
,
, .



.
,
. ,
, ,
, .

. ,
,

.
. ,
,
.

.
, ,
.

, ,

.
:
.
,

. ,
,
. ,
,
.

' .

,
,
. , .


, ,

. -

.

.



?
,

?
''
?


(. . ,

)?
,
.
(
) ,

321



. -
.

,
.
.
,


.
? ,
.

.
,

,
.
,

,
. ,

322

,
.
,
, ,
.

13.2.

, .
13.3 13.4
.
,

.

.

13.1.
,
.
. ,
, , .
.

. , .

( ) 100 . .
3% . ,
3000 . 100 . . .
?

. ,
, :

/ _

3000

*
^ $
$100 000
= +$100 0 0 0 - - ~ 10
,=1(1 + ) ' (1 + )
,
. , ,
. .
: ,
3000 . 100 . .
.
? ,
, ,
, . ,
:
, ,
?.
10%. :
1" $3000
= + $ 1 0 0 0 0 0 - 7-,=1(1,10/

$100 000
= + $ 0 0 0 0 - $ 5 6 988 = +43 012.
10
(1,10)

13.

323

, , ,
3% , 10%.
,
1
(43 012 .) .
.

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

.

, , , ,
, , , - ,
. ,
, , :
.
, .
, .
,
, ,
.
.
,
. ,
,
NPV. 3%,
43 012 .
,

? . , ,
, , .
: .
. 18.

324

13.2. ?
,
: . 1953 .

, .

, , ,
. " ,
...
, . , ,
.
, ,
. 100 ., .
. , 3%
; , 2,5%. ,
103,00 ., 97,50 .
. :

106,09 .

100,43 .

100,43 .

95,06 .


3
0,25% . ,
,
,
.
,
? 13.1.
,
4
S & P . , ?
,
, , ,
. 13.2 .
Microsoft .
2

3
4

.: . G. Kendall. The Analysis of Economic Time Series, Part I. Prices // Journal of the Royal Statistical
Society. 96. 1953. P. 1125. .
53
.
,
. .: L. Bachelier. Theorie de la Speculation. Paris: Gaufhiers-Villars,
1990; ( A. J. Boness): P. . Cootner (ed.). The Random
Character of Stock Market Prices. Cambridge, MA: M.I.T. Press, 1964. P. 1778.

: '/ * 3% + '/2 (~2,5%) = 0,25%.


13.1 S&P 1980 1984 .,
. 50% ,
, .
: . V. Roberts. Stock Market 'Patterns' and Financial
Analysis: Methodological Suggestions // Journal of Finance. 14. 1959. March. P. 110.

325

13.
13.1


S&P
.


.
,
?

220

200

180

160

140 -

120

100

8 0

I I I I I

l L l

I I

160

8 0

I I I I

I I I I

I I

i i

i i i i i

, , ,
1 % 1%.
,
, . ,
, ,
.
,
, ,
0. +0,022
5
.
5


. +0,022 : Microsoft 1%
, 0,022%.

326

13.2

Microsoft
1990 2001 .
, ,
+ 1 % - 1 % .
-

....
<... .

...

1 '

fVv.

13

-3

-1

T ( %)

13.2 , Microsoft
.
, . ? , ,
Microsoft
. 13.3 .
, , Microsoft 50 .,
, , , 90 .
. , ?
. ( ) Microsoft
70 ., . ,
. ,
, .

13.3
,
.

Microsoft ( .'
90

,
*~(3

70

50

1I

13.

327

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

. ?
,
? , ,
, .

, .
( )
. .
,
.
.

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

:
.
, ,
. ,
, , ,
Microsoft. 13.4
. ,

.
, ,
,
, / ,
.
, , ,
. , ,
.
.
,
, .

328

FTSE1 = -0,09)

Nikkei 500
( = -0,03)

0)

.*.

...,/* >?. . .
* * ' "

i*V I 1
i

mm

I-

- 3 - 1
1
3
t ( %)

DAX300
( = -0,01)

S&P
( = -0,16)
5

3-

. .*.

.,

*. * * :

-5

*,

}%

ft

2
I 1
0)

'

: v

%
**

*

*,

0
4)

- 3 - 1
1
3
t ( %)

5
_

: .
s
#

. *.

t
- 3 - 1
1
3
t ( %)

<

- 3 - 1
1
3
t ( %)

1 3 . 4

1991 2001 .
-
. FTSE 100 (), Nikkei 500 (), DAX 300
() S&P ()

= .

, .
( ),
,

13.

329

, . ,
:
6

= + (J .
() ,
. ()
7
1 % . ,
, .
:
= =
= - ( + ).
,
8
.
13.5, , ,
. 194
, . -

; ,
. 13.5 ,
, (),
- .
: ,
9
, .
, ( )
.
,
10
. , ,
,
510 .

,
" .
7

, , ,
. ,
.
: ?
: S. J. Brown and J. . Warner. Measuring Security Performance // Journal of
Financial Economics. 8. 1980. P. 205-258.
, . 8.4
,
: , / .
:

10

+ ^('. )

^' ) + ^./. (' ./. )-

A. Keown and J. Pinkerton. Merger Announcements and Insider Trading Activity // Journal of Finance. 36.
1981. September. P. 855869. , , ,
.
. -
.
, , ,
.
.: J. . Patell and . A. Wolfson. The Intraday Speed of Adjustment of Stock Prices to Earnings and
Dividend Announcements // Journal of Financial Economics. 13. 1984. June. P. 223252.

330
13.5
,
,
.
-
,

.
,


: A. Keown and J. Pinkerton. Mer
ger Announcements and Insider Trading Ac
tivity// Journal ot Finance. 36. 1981. Sep
tember. P. 855869.

( %)
36
32
28 24
20
16
12
8
4

-4
-8
-12
-16
-135 - 1 2 0

-105

-90

-75
-60 -45 -30

-15

15

30

, , , .
,
,
. , , 13.6,
,
1,5 . . , -
, , .
13.6
, (
) ,
.
,
. ,
, , :
, ,
, .
, ,
; , ,
,
. ,
Forbes 1975 . ,
. ,
, Forbes ,
. ,
16 , -

13.

331

( %)

40 |

1962

I
1967

1972

|__|
1977

1982

I |-|
1987

1992

13.6
1493 , 19621992 .
,
: . . Carhart. On Persistence in Mutual Fund Performance // Journal of Finance. 52. 1997. March. P. 5782.

1 %
11
.

,
. ,

.
.
i<
13.3.

: ?
, , ,
.
,
. ; - -;
, i,;

11

.: . G. Malkiel. Returns from Investing in Equity Mutual Funds 1971 to 1991 // Journal of Finance. 50.
1995. June. P. 549572. , ,
. , ; .: . J. Elton, . J. Gruber, and
- i . R. Blake. The Persistence of Risk-Adjusted Mutual Fund Performance// Journal of Business. 69. 1996.
April. P. 133157. , , : . , , . .
.
,

332

.
. ,
- .
.
7 8 :
. , , 7.1,
1926 . . (
, . 7.1 .)
2000 . 1 . , , 6402 .,
12
2587 .

, , ,
.
( ) . -,

- ,
. 8 ,
.
-,
, ,
.
. ,
, ,
. , 7.1
,
. 1960-
.
, 1980- , ,
. , , ,
.
, ,
,

.
, , ,
. ,
, ,
. , , , ,
, :
, ,
, ,
, ... ,
,
13
, -- .

, -
. .
, , ;
, ;
.

, ,
12
13

,
.
R. Roll. What Every CFO Should Know about Scientific Progress in Financial Economics: What Is Known
and What Remains to be Resolved // Financial Management. 23. 1994. Summer. P. 6975.

13.
1 3 . 7

60
.
10% ,
( 10),
( 1 ) 4 %

333

( '
4

: V. L. Bernard and J. . Thomas. PostEarnings-Announcement Drift: Delayed Price


Response or Risk Premium? // Journal of Accounting
Research. 27. 1989. Supplement. P. 136.

-2

20
40

60

,
. ,
, ,
: ,
.
,
,
. ,
, .
.
.
13.7, ,
14
, 19741986 .

10%
4% . ,

.
. ,
. , ,
( ) .
,
. , ,
.
19701998 . 3 3 % ,
, .

. .
14

V. L. Bernard and J. . Thomas. Post-Earnings-Announcement Drift: Delayed Price Response or Risk


Premium? // Journal of Accounting Research. 27. 1989. Supplement. P. 136.

334

.
30
.
,
, / ,
15
. ,
/ .

,
. - ,
. 100% 100% .
:
().
1. . , ,
, ,
6
' . , ,
. ,
, .
, ,
. , , ,
. ,
, , ,
, ,
17
.
, , .
79 ,
,
. ,
, , ,
, , ,
, .
2. .
,
.
, :
, ,
.
.
, ,
,
, ,
.
.
,
. ,
, :
.: R. Loughran and J. R. Ritter.
The New Issues Puzzle // Journal of Finance. 50. 1995. P. 2351. - (http://
bear,cba.ufl.fOu.Titter)
.
., .: D. Kahneman and A. Tversky. Prospect Theory: An Analysis of Decision under Risk//
Econometrica. 47. 1979. P. 263291.
: R. H. Thaler and E. J. Johnson. Gambling with the House Money and Trying to Break
Even: The Effects of Prior Outcomes on Risky Choice // Management Science. 36. 1990. P. 643660.
.: N. Barberis, . Huang, and . Santos. Prospect Theory and
Asset Prices// Quarterly Journal of Economics. 116. 2001. February. P. 153.

13.

335

. ,
, , ,
- .
,
,
. ,
, . , , , ,
18
.
,
. , , ,
, ,
.
, .
, ,
,
, .

.
, ,
, ,
, ,
19
, .
, ,
.
, ,
.
, ,
20
. ,
;
,
,
. , , ,
, -
.

dot.com

1990-
. Nasdaq,
, 1995 .
2000 . ( ) 580%.
, . 2001 . N a s d a q
64%.

( dot.com). , Yahoo!,
1996 ., 1400%.
.: . Odean. Are Investors Reluctant to Realize their Losses? // Journal of Finance. 53. 1998. October.
P. 17751798; T. Odean. Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment//
Quarterly Journal of Economics. 116. 2001. February. P. 261292.
: E. F. Fama. Market Efficiency, Long-Term Returns, and Behavioral Finance // Journal
of Financial Economics. 49. 1998. September. P. 283306. ,
, ; .:
N. Barberis, A. Shleifer, and R. Vishny. A Model of Investor Sentiment // Journal of Financial Economics. 49.
1998. September. P. 307343.
,
.

336

.
Y a h o o ! 124 .
, G M , H e i n z Boeing, . ;
Y a h o o ! 6 .
? ,
,
,
21
. Irrational Exuberance*
(
) ,
22
.
, ,
.
.
, , ,
, ,
,
? ?
,
, ( ) ?


19 1987 . -
1987 .
2 3 % . : ? ?,

,
, .
,
23
-
, ,
.
, ,
, .
24
. ,
,
, . ,
- .
, -
, ,
.
,
.
21

22

23

24

.: R. J. Shiller. Irrational Exuberance. Broadway Books, 2001. ,


: R. J. Shiller. Bubbles, Human Judgment, and
Expert Opinion. Cowles Foundation Discussion Paper 1303, Cowles Foundation for Research in
Economics, Yale University, New Haven, CT, May, 2001.
, :
, ,
. , , , ,
- . .: The
Journal of Economic Perspectives. 4. 1990. Spring. [ Irrational
Exuberance* : ...
, ,
,
. . .]
. ,
, ,
. 27.
( . . 27).
.

337

13.



. ,
, , ,
, .
19 1,7 . ,

, .
, ,
,
25
,
? ,
,
,
, .
?
,
. ,
( ) , , .
, ,
.
?
1987 . ,
. , , 2001 .
, .
,
4. ,
S&P, 18,7.
10%
11,7%, :

'

DIV =
r-g
_

18,7
'-

0,117-0,10
111
in

LINN

11

>

2001 .
? ,
9,5% ?
2 3 % - 1100 850!
=

r-g

18.7
'0,117-0,095

=8
50

, , ,
,
0,5 .
, ,
. -,

. ,
,
25

, . ,
46%, 42, 35%.
.: , Roll. The International Crash of October 1987 // R. Kamphuis (ed.).
Black Monday and the Future of Financial Markets. Homewood, IL: Richard D. Irwin, Inc., 1989.

338

.
. ,
,
. ,
,
, ,
.
-, , ,
,
. ,
.
,
. , , Hershey,
2001 . 66 . , 66 .
? ,
, Hershey Smucker
(33 . ) , Hershey ,
. , , ,
,
. ,
.
, ,
.

,
, . . -, 100%,
, . ,
, , . ,
,
.
:
! . ,
X.
, , , X.
. ,
,
.
, ,
, .
.
:
.
.
? , ,
. ,
, ,
. , , ,

, .
, ,
,
. -

13.

339

,
. 15
, , ,
.
13.4.
, ,
, , :
,
. ,
,
. ,
- .

,
.
.
1:

,
.
: . ,
, . ,
,

26
.
, .
, , . - , ,
, , , ,
27
.
,
, . ,
, , .
, .
, ,
.
, ,
.
.
,
, - .
.

2:
,
. ,
1
.
26

27

A. Taggart. A Model of Corporate Financing Decisions // Journal of Finance. 32. 1977. December. P. 1467
1484; P. Asquith and D. W. Mullins, Jr. Equity Issues and Offering Dilution // Journal of Financial Economics.
15. 1986. JanuaryFebruary. P. 1689; P. R. Marsh. The Choice between Debt and Equity: An Empirical
Study//Journal of Finance. 37. 1982. March. P. 121144.
, ,
, ,
,
. ,
, .

340

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

. ,
,
.
. .
, - (
).
: . 1994 . , ,
1,7 .
- ,
,
28
.
.
, ,
,
, .

. ,
, ,
.
,
, ,
.
, , ,
,
,
29
. ,
, ,
30
, .

, .

3:

, . ,
,
. , 29 ,
28

29
30

. ,

. , , .
, :
,
. .
31.
, ,
.
, ;
, .

13.
13.8

Hewlett Packard Compaq
3
2001 .
.
Hewlett Packard
6 , ,

341

1,2
/

Vy\

Compaq

1,1
1
Hewlett Packard

0,9 0,8
0,7
0,6

t
3

I t 1 1 1

M I I I M

t
6

.
. ,
, , , ,
.
. , ,
.
, ,
, .
, , .
- ,
31
.
: Hewlett Packard Compaq. 3 2001 .
, Hewlett Packard C o m p a q , .
Hewlett Packard :
,
,
.
. 13.8,
Hewlett Packard 2 1 % , C o m p a q 16%.
,
13 . 6 ,
, , Hewlett Packard
32
16% . ,
. , -
, . ,
,
.

24. ,
- ,
.
Compaq, , ,
, , .

342
4 :

.
. ,
.
: .
,
.
,
.
,
. , , Chase M a n h a t t a n Bank
210 . 3 1
. Chase ,
.
, 210 ./3 = 70 .
1
, / 3
.
13.9
33
1926 1960 .

,
34
.
. , ,
- . ,
.
, , : ,
, .
, ,
. , ,
, ,
. , ,
,

, , .
, ,
. , , , ,
. , , 35
, .
, ,
. ,
, ,
.
: . ,
, . ,
33

34
35

.: . F. Fama, L. Fisher, . Jensen, and R. Roll. The Adjustment of Stock Prices to New Information //
International Economic Review. 10. 1969. February. P. 121. ,
,
, , .
. ., .: . S. Grinblatt,
R. W. Masulis, and S. Titman. The Valuation Effects of Stock Splits and Stock Dividends // Journal of Financial
Economics. 13. 1984. December. P. 461490.
, .
Chase 210 70 . .
.: P. Asquith, P. Healy, and . Palepu. Earnings and Stock Splits // Accounting Review. 64.1989. July. P. 387403.

13.
13.9

. (
.)


: . Fama, L. Fisher, M.Jensen, and R.FIoll. The Adjustment
of Stock Prices to New Information // International Economic Review.
10. 1969. February. P. 13. Fig. 2b.

343

( %)

+33

+22

+11

'

-20

+20

, .
,
. ,
- ,
36
.
, ,
- . * (
, ),
(. . ,
) . * ( ,
), (. .
, ) .
, , , ,
. , , , ,
.
, ,
.
, ,
. ,
, .
,
. , ,
,
37
. ,
.
5:

,
. ,
:
36

, , .: R. Watts. Does It
Pay to Manipulate EPS? // J. M. Stern and D. H. Chew, Jr. (eds.). The Revolution in Corporate Finance.
Oxford: Basil Blackwell, 1986.

* : FIFO (first in, first out), LIFO (last in,


first out). . .

37

G. . Biddle and F. W. Lindahl. Stock Price Reactions to LIFO Adoptions: The Association between Excess
Returns and LIFO Tax Savings // Journal of Accounting Research. 20. 1982. Autumn. Part 2. P. 551588.

344

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

6 :


.
, ,
. ,
, , 0,2. ,
5% 0,2 0,05 = 0,01;
, 5% 1%. ,
, ,
, , 2,0.
Maxwell H o u s e 5% Folgers
10%.
- ,
. ,
, ,
. ,
.
, .
.
, . ,
, - ,
. , .
, ,
, -, .
. ,
. ,
- ; ,
, ,
, .
. 1977 .
(Bank of E n g l a n d ) British Petroleum
( B P ) 845 . 6 7 B P
564 . ., 970 . ,
, .
B P .
B P
912 . 898 ,
. ,
, , 6%.
,
, B P ,

13.

345

,
BP.
Maxwell H o u s e 6%, ,
. BP ,
4,6 ., 4,7 .
, ,
, ,
.
,
. ,
3000. , ,
, ,
38
. , - , :
, ,
, - .
. ,
, ,
,
. ,
,
, ,

. ,
, .
, ,
,
39
0,9% . ,
15.

( )
N u e s t r a Senora de la Esperanza .
, , - ,
. .
,
. , , ,
, , ,
, ,
.
.
, ,
. ,
- ,
, .
, .
, ,
, . .
38

39

., .: W. . Mikkelson and . . Partch. Stock Price Effects and Costs of Secondary Distributions //
Journal of Financial Economics. 14. 1985. June. P. 165194. :
. S. Scholes. The Market for Securities: Substitution versus Price Pressure and the Effects of Information
on Share Prices//Journal of Business. 45. 1972. April. P. 179211.
P. Asquith and D. W. Mullins. Equity Issues and Offering Dilution // Journal of Financial Economics. 15. 1986.
JanuaryFebruary. P. 6189.

346

, .
, ,
, ,
. , ,
, ,
N u e s t r a Senora, .
, , ,
: .
30 ,
, .
,
.
, ,
. ,
, , .
, .
.
. 14.


:
. F. Fama. Efficient Capital Markets: A Review of Theory and
Empirical Work//Journal of Finance. 25: 383417. 1970. May.
E. F. Fama. Efficient Capital Markets: II // Journal of Finance.
46: 15751617. 1991. December.

:
G. Hawawini and D. . Keim. On the Predictability of Common
Stock Returns: World-Wide Evidence // R. A. Jarrow,
V. Maksimovic, and W. T. Ziemba (eds.). Finance. Amsterdam,
Netherlands: North-Holland, 1994.


:

.
,
.

.
A Shleifer. Inefficient Markets: An Introduction to Behavioral
Finance. Oxford: Oxford University Press, 2000.
R. J. Shiller. Human Behavior and the Efficiency of the Financial
System // /. B. Taylor and M. Woodford (eds.). Handbook of
Macroeconomics. Amsterdam: North-Holland, 1999.
R. H. Thaler (ed.). Advances in Behavioral Finance. New York:
Russell Sage Foundation, 1993.
E. F. Fama. Market Efficiency, Long-Term Returns, and
Behavioral Finance // Journal of Financial Economics. 49:
283306. 1998. September.

. Gruber. Another Puzzle: The Growth in Actively Managed


Mutual Funds//Journal of Finance. 51: 783810. 1996. July.


1987 .:

R. W. Kamphuis, Jr., etal. (eds.). Black Monday and the Future


of Financial Markets. Homewood, IL: Dow-Jones Irwin,
Inc., 1989.


1.

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

2.

:
.

.


, -

13.
-"

-"
. "
.

, -"
.
, -"
; , "

. -"
-"
,
. /
; '

.
\.

)
,
, .
) ,

.
)
,
.
)
.
) ,
, ,
.
6.

SSJGSFI. 4 5 . <*KL&*4SFIL 4S&SJYSS*T ^5"55?. ^"*

"
, :
) ;

7.

) !

) ,
.
) ,

,
.

) .
4.
400 ., "
2%. "
2 1.
8.


:
20%.
25%.
?

9.


. ,
,
.

) , ^
,
?
) , "

( )
, "

?
5. ?
)
, .

) , ,
,
.

) ;
) ;


60 ,
= 1,45 = 0,2 ( ).
C
; - J5O, " " - WO.
?
)
.

) ;

)
?

347

) .
) .
) .
) .
) .
) .


1.

"
?
) , ! "

,
.

) ? !
,
.
) ,
.

348

.
)

2.


, ,

. ,
,
.

:
) ,

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

3.


? ,

, .
)

,
.
)
.
)

.
) ,
,
,
.
)
.
)
, ,

.
)
,
.

4.

13.9.
)

?

5.

6.
Intel Conagra 60
2001 .
.
Intel
Conagra

0,77
0,17

1,61
0,47

,
.
7. ,
/ .
, .
.
8. ,
,
. . ?
9. ,

. ,
.
10. 13.1
S&P 500 .
, - - ,
.
-
.
.
. ,
.

.
. - ; ,
.
,
. .
?
11. ,
?
) ,
1% .
.
) ,
, .
, .

) , , ,

?

12.
: ,
;
; .

.


. -
,
?

13. ,
,
, ,
. .

13.
14. () 13.1

FTSE 100 1999 2001 .
() ()
.
--
2000 ., - 2000 .

.
15. 15 1997 .
170 BP
2 . Goldman Sachs

,
.
710,5 (11,59 .) ,
. Goldman Sachs
.
500
716
(11,70 .).
.
40
Goldman Sachs 15 .

? .
40

Goldman Sachs Earns a Quick $15 Million Sale of BP


Shares // The Wall Street Journal. 1997. May 16. P. A4.

349

13.1
14. %

()

()

--

()

1999 .

0,2
-3,5
3,7
5,5
5,0

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

-0,5
-6,1
9,8
16,5
6,7

2000 .

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

-5,3
5,7
-9,7
"4,7
-10,0
-2,7
0,1
3,4
5,6
-2,2
-6,5
-0,2

-11,1
-7,3
4,5
-14,8
-1,1
-1,2
-2,6
12,4
-7,9
11,5
-14,4
3,4

2001 .

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

-3,7
-9,0
7,3
4,7
"7,1
0,5
-0,5

4,1
-14,1
-6,5
12,6
-0,7
-14,5
-11,4


1.
(). ,
, .

.

?
2.

,
,


. ,
,
. ?
3. S&P Market Insight ( w w w . m h h e . c o m /
edumarketinsigbt) (www
finance.vatKw.com)


12 .

13.2.
.
-
?


,
26.
.
,
.



. ,

, ,
. ,

,
, ,
.

.

,

.

,
.
.

.

,
?


?
?




.

. ,

,
.

. ,
- ,

, -
. . . .
,

.



.
,
.
,

. ,

350

14.

351

14.1.
( ,
) . 14.1 ,
. ,
. , ,
, (. . ,
1
) . ,
,
,
.
, ,
,
. ( ) .
, .
, :
,
? ,
?
( . 16),
( . 17 18).
,
.
, , . (

/ . . 16,
. 33.)
1990- .
,
1991 . , 1991 1993 .
. 1994 . :
, .
, , .

. ,
2
.
, ,

(
) . , (
). - ,
, . , ,
?
,
, ;
.