......................................................................................................................................19
............................................................................................................................................19
.........................................................................................................................19
...............................................................................................20
.....................................................................................20
........................................................................................................21
....................................................................21
...............................................................................................21
.........................................................21 -
.................................................................21
...............................................................................................................21
......................................................................................................................21
FINCOACH FINCOACH.................21 Web- PHLIP/CW: Prentice Hall
Internet
(www.prenhall.com/bodie)...........................................................................21
Web-
(www.prenhall.com/bodie).................................................................22
.........................................................................................................22
- " Prentice Hall"..........................................22 ,
................................23
.....................................................................................................................................24
I................................................................................................................................................24
.....................................................................................................24
1...........................................................................................................................................24
............................................................................................................24
.......................................................................................................................................24
.......................................................................................................................................25
1.1.
........................................................................................25
1.2.
...................................................................26
..............................................................................................................................26
1.3. , ..............28 1.4. ,
...................................29 1.8. :
..................................30 1.9.
......................................................................31
7.
..........................................................................31
)
.....................................................................31
) ............31 )
...........................................................................................................................................31
8.
.......................................................................................................31
9. ..............................................................31
. Financial Executives
Institute..........................................................................................32
...............................................................................................................................................32
(finance), 38
....................................................................................................................33
(financial
system),38....................................................................................33
, . (net worth), 43..............33 (corporation),
46..........................................................................................................33
...........................................................................................................................34
2...........................................................................................................................................36
.......................................................................................................36
.......................................................................................................................................36
.......................................................................................................................................36
2.1.
.............................................................36
1
2.2.
..............................................................................................37
2.1..................................................................................................................38
5000 ., . , . 2.1...........................................38 2.3.
...................................38 2.3.1. 1.
...........................38 2.3.2. 2.
................................................................................39
2.3.3. 3. -
................................................................40
2.4..........................................................................................................40
2.3.4. 4. .........40
2.5..................................................................................................................41
2.3.5. 5.
................................................................41
2.6..........................................................................................................42
2.3.6. 6. ........................42
2.7..................................................................................................................43
2.8......................................................................................................44
2.9..................................................................................................................45
2.4. " " .........................45 2.5.
.................................................................................................47
2.10................................................................................................................47
2.6.
..............................................................................47
2.6.1.
....................................................................................................48
.........................................................................................48
2.12................................................................................................................49
2.6.2.
...............................................................50
2.6.3. ....................................................51
iCyMMapHacQCTfcnu1! , 30 )111''':':1'" 1'/::1 |..................52
" 0,3% ,
................................................................................................52
. Upper Analytical Services,
Inc................................................52
||||.|............................................................................................................................52
..................................................52 . The
Economist, 17 , 1999, . 111. 1999 The Economist Newspaper Group,
Inc. . , www. economist.
corn..................................................................................................................................52
2.6.4. ....................................................52
......................................................................................................................................................53
........................................................................................................................................................54
| 2.4. , C,1926-1997
(%)......................................................................................................................54
2.6.5. 1926-1997 ......................55 = - 1 +
............................................................................................................................56
-0,02857=2,857%...............................................................................................................................56
I
Bond....................................................................................................................57
2.6.6.
...........................................................................58
2.6.7. , .............................58
........................................................................59
.....................................................................................................................................59
....................................................................................................59
...............................................................................................................................59
........................................................................................................................59
2
2.7.
....................................................................................59
2.7.1.
............................................................................................................................60
2.7.2. - .....................................................60
2.7.3.
..................................................................................................60
2.7.4.
....................................................................................................61
2.7.5.
........................................................................................................61
2.7.6.
..............................................................................................61
2.7.7. , .......................................62 2.7.8. ,
...............................................................................62
2.7.9. , .............................................62 2.8.
................................................................................................................................62
2.8.1.
.....................................................................63
2.9. ...........64 2.9.2.
........................................................................................64
2.9.3.
.............................................................................65
...............................................................................................................................................65
...........................................................................................................................66
...........................................................................................................................68
............................................................................................................................68
2.1 .........................................................69
.............................................................................................................................69
.....................................................................................................69
3...............................................................................................................................................70
:
....................................................................................................................70
3.1.
.......................................................................70
...............................................................................................................71
3.1..................................................................................................................71
3.2. 0 ....................................................71
3.2.1.
......................................................................................................................................72
3.2.2.
.........................................................................................73
3.3..................................................................................................................74
3.2.3.
...................................................................................74
...............................75
.................................75 , ,
..................................................77 . (, - : L1FO
(last in, first out" " , ") FIFO ("first in, first out" " ")), , .
, , , , ,
..........................................................................................................................................77
. ,
,..........................................................................78
.
................................................................78
3
. , ( ), ( ). .
............................................................................................................................................................78
. , , , , , , ,
...........................................................................78
3.5..................................................................................................................78
?........................................................................................78
(book value). , ( ), ,
.......................................................................78
. 3.1 , GPC 201 . 313,40 ., 187,50 . , GPC,
............................................................................................................................................................78
, ? , ?
.................................................................................................................78
,
.........................................................................................78
-................................78 , , ,
,.................................................................................................................78
....................................................78 -, , . , , .
, , - , (intangible assets), , ...........78 , , - , . , , , - , ,
(goodwill). , , . , , , , ,...78 , , . , , 4
, .
................................................................................................................78
, . . , , , IBM 3,9 ., 2,6 . 1,2
....................................................................................................................................................79
, . ? , , , . , , , (1,2 .), ,
-.............................................................................................................................................79
- , 29000 ., 60000 . ? (29000 ,) , , 60000 . , , , 60000 ,. 79 . ,
, , , , , , - , , , , ...............................79 , , . , , ,
, . (marking to market)................79 . , , , - , , , , , , , .
(John R. Hicks) " " (Value and Capital), , 6- (income, earnings,
profits) , , , 5
................................................................................................................................................79
. , , , 100000 , , 60000 . , , , , , , , 60000 . , . , , 40000
.................................................................79
, , , , . , 2 , , 50 . 10%, 3 . (., 2 . - 50 . 0,10 = -3 .). ,
............................................................................................................79
V, R. Hicks, Value and Capital, 2- (New York: Oxford University
Press, 1946).
c/np172......................................................................................................................................................79
, , (.
3-4)-...............................................................80
, (, , ), , , . . , . , -l- 2
:................................................................................................80
_ , , ____ ______
...................................................................................................80
........................................................................................................80
(total shareholder
returns)................................................................................................................................................80
GPC. , , 201 , 200 . , , , 187,20 . . , , i0 . , GPC 1,4%.
:..............................................80 - 187,20 .-200
-+10 . .,.,. = =
....................................................................80
200
.............................................................................................................................................80
, , / ) (ROE return on equity). ROE
:....................................................80 ROE = .
23< 4 - - 0.078
7.8%..........................................................80
300
>............................................................................................80
6
, , ROE ,
................................................................................................80
VGI Corporation, 207 , 5 ,, 3 . . 30 ., 40 . 32 . 35 > . ROE
....................................................80 3.6.
..............80 , , , ....................80 , : (profitability),
(asset turnover), "" ( ) (financial leverage), (liquidity) (market
value). , 3.5
GPC.....................................................................................80
(' ). (return on sales), (return on assets) (return on equity).
(EBIT earnings before interest and taxes), - , , , ' , , , ,
..........80 , , . , - ...81 "", . , ...........................81
.....................................................................................................................81
. , , , . ( ), : .....................81 , , 7
(/ price to earnings) (/ market to
book).................................................................81
7 . . -
-..........................................................................................................81
s , - Q. (James ), '......................................81
..............................................................81 ,
:............................................................................................................................................81
: ;
............................................................................................................................................................81
,
;...............................................................................................81
;.................81
;............................................................................................................................................81
, ,
-...................................................................................................................81
, : (1) Dan & Sradstreet, (2) (Annual Statement Studies by
Robert Morris Associates), (3) (the Commerce Department's Quarterly
Financial Repo/i) (4) . , - Internet,..........81 3.6.1.
.............................................81 (ROA) 1
;..................................................................................81
_
..............................................................................................................81
.................................................................................................81
= ROS ...........................................81 , ROA ROS , , ,
, . , , , , , .
-...........................................................................81
, , 10%, , , . . 3,6, "" (2%) 10%- , "" . , () , , 0,5 ,
%-.............................................................81
ROE , . . 3.8 , (ROA) (ROE) , . 8
, Ifdebt 10%
................................................................................83
. , , (ROE) (1 - ) (ROA), , ,...............83 , - , , Moody's
Standard & Poors Corporation, , . , ,
,...................................................................83
3.6.3. ................83 , , . , , , . , , . , , . , , , , , - tjl
, ,
.....................................................................................83
3.7.
...............................................................................83
: , . , , . , , , , .........................83 - 1995 1
Corporation . , , 1995 , . , 4....................83 . , , . , , ,
, , , , , , , , -..............................................83
...............................................83 1. , 9
, , , , , ,
............................................................................83
2. , , , . , , , . - , , , , . , , - ,........83 3-
,....................84 4. ( ), , , , ,
...................................................................................................84
5. ( ) ,...................................................84 9 ,
ITT S&P 500 . 1991 1995 , , ITT
.......................................84 3.8.
...................................84 , , . , . GPC , 20%, , , 204
. 345,6
............................................................84 , ,
, , , . 55% , , , 204 . 190,8 . (0,55 345 .). ,
-..........................................................84 [ '
< - s-method).
-............................................................85 ,
204 . 1224,16
...........................................................................................................85
............................................................................................................................................................85
(.. , ). , 8%, 15%. , 8% 15% , 10
(.. 203 .). , 204 , 87,26 . , 40% , 6,57 . , 9,85 . 204 .,
3.11-....................................................................85
204 . GPC 30% , 6,9 . ( 333,24 340,14 .). 207 ., 10,37 , ( , ),
;..........................................................................................85
= - - .......................................85 -207,36 .-6,9
.-10,37 . ,=190,09.............................................85 ,
GPC 204 . 20%, 190,09 . - . : (, . 3.11), . ,
..........................................................85
...................................................................................................................................85
......................85 , , . , , Web- Prentice-Hall'".
................................................85 .
3.1...........................................................................85
3.9.1.
.................................................................85
.............................................................................................85
=0,12
12%...................................................................................................................................86
g=1
.....................................................................................................................................86
3.12................................................................................................................86
3.10. ...........................................................86
3.13................................................................................................................87
3.11. ...................................87
3.14................................................................................................................88
3.1.
?.......................................................................................................................................89
3.2. GPC, 50 . . ?...............89 3.3. .....89 GPC , 10 . .,
?.............................................................................................................................89
3.4. , GPC 10 . ., ?.............................................89
11
3.5. ?........................................89 3.6. , , ,
?......................................................................89
3.7. VGI Corporation, 207. 5 ., 3 . . 30 ., 40 . 32 . 35 . . ROE
TSR (total shareholder
returns).....................................................................................89
3.8.
?...................................................................................................90
3.9. (ROS) , (ROA) , ,
()?.........................................................90
3.10. "" (ROE),
(ROA)?..................................................................................90
3.11. 204 . 345 . ., , 360 . ., ?........90 3.12. ,
?...................................90 3.13.
?.......................................................................................................................90
3.14.
?.............................................................................................................................................90
3.1 3.8 . Ruffy Stuffed Toy 207 .
(.);............................................................................................90
.........................................................................................................................91
II...............................................................................................................................................95
..................................................................................................................................95
4...........................................................................................................................................95
.....................................................................................................................................95
4.1.
.................................................................................................96
4.1.1.
........................................................................................98
4.1.2.
...........................................................................................100
4.1.3. .............................................101 4.1.4.
......................................................................................................101
4.2. ............................................102 4.3.
........................103 4.3.1. 100 100 ................105 4.4.
......................................................................................................105
4.4.1.
...............................................................109
4.4.2.
............................................................................................................109
4.5.
............................................................110
4.5.1.
.................................................................................................111
4.5.2. .............................................111 4.5.3.
.....................................112 4.5.4.
.................112 4.6.
..................................................................................................................112
4.6.1.
................................................................................113
12
4.6.2.
.........................................................................114
4.6.3.
......................................................................114
4.6.4.
..............................................................................115
4.7.
..............................................................................................116
4.7.1. .......................................................117
4.7.2.
..........................................................................117
4.8.
.......................................................................................118
4.8.1.
....................................................................119
4.9. ..............................119 4.9.1. :
..................................120 4.10.
...............................................................................................................................120
4.10.1.
...........................................................................121
4.10.2. :
1.......................................................122 4.10.3.
, ........123 4.10.4. ........123 4.10.5.
....................................................................123
4.10.6. :
2.......................................................124 4.10.7.
........................................................................................125
4.10.8. :
3.......................................................125 4.10.9.
................................................................126
6.........................................................................................................................................127
.......................................................................127
6.1. ..............................................128 6.2.
?...........................129 6.3. :
...........................................................................................130
6.4.
..................................................................................................................................................131
6.5.
...........................................................................................133
6.6.
...................................................................................................135
6.6.1.
.............................................................................................139
6.6.2. NPV
.................................................................139
6.7. ......139 6.8.
..............................................................142
6.9. .........................................143 6.10.
................................................144
III...........................................................................................................................................155
.......................................................................................................155
7.........................................................................................................................................155
...............................................................155
.....................................................................................................................................155
.............................155 , ,
.............................................................................................................................................155
.................................................................................155
............................................................................155
.....................................................................................................................................155
7.1. .................156 7.2.
..............................................................................................................................156
7.3.
.....................................................................157
7.4. ...................158 13
7.5. ..............................................159 7.6.
......................................160 7.7. ....161 7.8.
....................................................162 7.8.1.
.............................................................................................162
7.8.2.
.........................................................................................163
7.9. ...........................................163 7.10.
....................................164 7.11.
...................................................................164
.............................................................................................................................................166
.........................................................................................................................166
..................................................................................................166
.........................................................................................................................168
..............................................................................................................................169
.....................................169
8.........................................................................................................................................171
: .................171
.....................................................................................................................................171
.....................................................................................................................................171
8.1. ............................................171 8.2. :
......173 8.1.
...................................................173 8.3. ,
........................................................................................................................174
8.3.1. , ""
............................................................................................................177
8.4. .......................................................177
8.5.
...............................................................178
8.5.1.
...............................................................................179
8.5.2. .........................................................179
8.5.3. , .......................................180 8.6.
..............................................................180
8.6.1.
........................................................................................................180
8.6.2.
.....................................................................................................181
8.6
...............................................................................................................181
.............................................................................................................................................182
.........................................................................................................................182
..................................................................................................182
.........................................................................................................................183
9.........................................................................................................................................186
...................................................................................186
.....................................................................................................................................186
.....................................................................................................................................186
9.1.
..................................................................186
9.1. - .........................................................186
9.2. : ..................187 9.2.1.
.......................................................................................................188
9.1................................................................................................................189
9.3. : ..........189 9.3. Nogrowth Co. Hormaiprofft
Co..........................................................190
14
9.4. /:
.................................................................................................................................191
9.5.
?.....................................................................................................................192
9.5.1. ......................................................192
9.4. Cashrich
...................................................................................................................193
9.5.2. ,
........................................................................193
9.5. Cashrich .: ..................................194 9.5.3.
.......................................194 9.5.4.
...............................................................196
.............................................................................................................................................196
........................................................................................................................197
.........................................................................................................................197
..................................................................................................197
.........................................................................................................................198
IV...........................................................................................................................................200
..................................................................................200
10.......................................................................................................................................200
.................................................................................200
10.1.
.......................................................................................................200
10.1.1.
................................................................................................201
10.1.2.
..........................................................................................202
10.2.
.................................................................202
10.2.1. , .....................................203 10.2.2. ,
..............................................203 10.2.3.
...........................................................204
10.3.
............................................................................................204
10.3.1.
....................................................................................................204
10.3.2.
...........................................................................................................205
10.3.4.
...........................................................................206
10.3.5.
................................................................................................206
10.4.
.............................................................................206
10.4.1.
.........................................................................................................207
10.4.2.
............................................................................................................207
10.4.3.
.....................................................................................................207
10.5. ...........................209 10.5.1.
...................................................209 10.5.2.
...........................................................................209
10.6.
..................................................................210
10.7. :
..................................................................212
10.8. ..........................................212 10.9.
...............214
11.......................................................................................................................................221
, .........................................221 11.1.
.......................................................................................................................221
11.2. ....................225 11.3. :
.......................................................226 11.4.
.........................................226 11.5.
...............................................................227
11.6. ......................228 15
11.6.1
...........................................................................................228
11.6.2
................................................................................................................228
11.6.3
................................................................................................229
11.7.
......................................................................................229
11.8. .............................229 11.9.
................................................230 11.9.1. ""
..........................................................................................230
11.9.2. ""
..................................................................................231
11.10.
............................................................................231
11.10.1. : ...........231 11.10.2.
...............................................................................232
11.11. ....................................234
12.......................................................................................................................................245
....................................................245 12.1.
...................245 12.1.1.
.........................................................................................245
12.1.2.
.................................................................................246
12.1.3.
...........................................................................................248
12.1.4. ........................................248 12.2. :
.............................................248 12.2.1.
..............................................................................248
12.2.2. . . .249 12.2.4.
...................................................................251
12.3. 1
........................................................................252
12.3.1.
.............................................................252
12.3.2. ................................................254 12.3.3.
......254 12.3.4. : 2..............................255 12.3.5.
..................................................256
V............................................................................................................................................261
...............................................................................................................................261
13.......................................................................................................................................261
...........................................................................262
13.1. ..........................................262 13.2. ,
.............................................................................................................................265
13.3. ""
....................................................................................................................................265
13.4.
..................................................................................................................................................267
13.5.
......................................................................................................................269
13.5.1.
................................................................................................................................269
3.5.2.
.................................................................................................270
13.5.3.
...................................................................................................270
13.6. ......................271
14.......................................................................................................................................276
....................276 14.1.
..................................................................................................................................................276
14.2. ................................278 16
14.3.
.........................................................................279
14.4. - '
..................................................................................................................................................280
14.5.
..................................................................................................................................................280
14.6. : -.................281 14.6.1. ""
.......................................................282 14.7.
....................................................................................283
14.8. "" .................284 14.9 ........285 14.10.
.....................................................285 14.11. ""
...............................................................286
14.12. ......................................286 14.13.
.........................287
15.......................................................................................................................................293
..........................................................................293
15.1.
........................................................................293
15.1.1.
.............................................................................................295
15.2.
..........................................................................296
15.5. ()
...................................................................................................................................304
..........................................................................................................................................................306
S....................................................................................................................................................307
15.9.
:....................................................................309
15.10.
........................................................................................311
15.10.1. :
.................................................................................................312
15.11.
.................................................................................................313
VI...........................................................................................................................................319
...............................................................................................................319
16.......................................................................................................................................319
........................................................................................................319
16.1. ........................................320 16.2.
............................................320 16.3.
..............321 16.3.1.
............................................................................................321
16.3.2.
..............................................................................................322
16.3.3.
....................................................................................322
16.4. ..................323 16.5. : ........327 16.6.
..................................................................................................327
16.6.1.
.................................................................................................327
16.6.2. , .........................329 16.7.
.....................................................330 16.7.1. :
...........330 16.7.2.
................................................331 16.8.
..................................................................................................................................................331
16.9.
...........................................................331
16.9.1.
........................................................................................................332
16.9.2.
...............................................................333
16.10. "".......................................................333
16.10.1. ...........................333 17
17.......................................................................................................................................341
.................................................................341
17.1.
....................................................................................341
17.2.
................................................................................................344
17.3. ...................................................345
17.3.1.
.....................................................................................................................345
17.3.2. -
..............................................................................................................................347
...........................................................................................351
2..................................................................................................................................351
3..................................................................................................................................351
4..................................................................................................................................351
5..................................................................................................................................351
6..................................................................................................................................351
7..................................................................................................................................351
8..................................................................................................................................352
9..................................................................................................................................352
10................................................................................................................................352
11................................................................................................................................352
12................................................................................................................................352
13................................................................................................................................352
14................................................................................................................................353
15................................................................................................................................353
16................................................................................................................................353
17................................................................................................................................353
.................................................................................................................354
, (index options) "" "" . (residual claim) , ,
...............................................................................................357
I. 1. 2. 3. : II. 4. 5. 6. III. 7. 8. : 9. IV. 10. 18
11. , 12. V. 13. 14. 15. VI. 16. 17.
, , , . : " ". , , . , (Robert Merton) (Zvi Bodie), , , . : , ,
. , , , 1997 . , , . (). , , , . , , , . , , . , , . : ", , ?". , ,
. ! . (Paul A. Samuelson)
, " " (MBA). , , , , , . , 1997 , , , , .
19
, , , . , , , . , , . , . "": ( ), , . , . . I , . II, III IV .
( ), ( ). V . (Capital Asset Pricing Model), , , , (contingent
claims), (risk corporate debt), , "" (levered equity). VI : , , . ,
, . , , , , . , "" . , , . , , . . , . , . , . , . (Craig Holden)
(Indiana University) , . - " Prentice Hall", . "E-", (Spreadsheet
Modeling Exercises Handbook). 19 , , Excel. , . , Excel, , , . , .
- " Prentice Hall" (Spreadsheet Modeling Student Handbook).
20
. , , , , . , , : , , . , , . . , . , , 3, 6, 13, 16 17 , II VI
. , , , , IV V. , . , . , . - -, " ", 2000 , , 40 , . PowerPoint. -
Excel, . Excel , , . (Bonnie Buchanan) (Georgia State University)
1000 , , . 4.1 . , Excel , . FINCOACH FINCOACH Test Manager ,
FINCOACH (Financial Management Math Practice Program ). - "
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Test Manager. Web- PHLIP/CW: Prentice Hall Internet
(www.prenhall.com/bodie) Web- PHLIP/CW: Prentice Hall Internet , -
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Page). Faculty Lounge, . Talk to Team Teaching Archive WWW Help
with Computers Web- (www.prenhall.com/bodie) Web- . , Web- Syllabus
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Spreadsheet Modeling Exercises ( ). . , , . - " Prentice Hall" .
, . , 3060 . Excel , . . 1) " " 2) " ". , , . - , . , , . Companion
Web Site ( Web-). Internet Web- , .
, 1997 Prentice Hall . , , . , , . , . , , , , . , 4 5. 5 " ", ,
. , , ( ). 3, . , , , 19. 3, " : ". , . , . , 3, . 6, , , . , ,
Excel. 16 , : (APV), (FTE) (WACC). , . , 16 ( ) . , , , . , , . ,
,
23
. , 15, " ", , . , , 11 12, 11. ", ", , , . , . , , , , . , . ,
, [email protected] [email protected].
(Boston University's School of Management). (). (Sloan School)
(Harvard Business School). , . , . (Pension Research Council)
(Wharton School) (Financial Accounting Standards Board), (OECD) . .
(Robert C. Merton) - (John and Natty McArthur University) . 1970 .
1988 . . (Chicago University), Hautes Etudes Commerciales (),
(University of Lausanne), National Sun Yat-sen University
University of ParisDauphine. (American Finance Association), , . ,
(National Academy of Science). 1997 . , . , , , , . , , , , . , ,
(National Bureau of Economic Research), . .
I
1 ... "" , , . 2
24
1.1. 1.2. 1.3. , 1.4. , 1.5. 1.6. 1.7. 1.8. : 1.9. . - ? , ? . ?
. ? ? ? - . , . , , 3 . ., 1 . . ? , . . ? . , , , . , . , .
1.1. (finance) , . , 1) 2) , , - . , , , ( , , , ) (.. ), . , .
(financial system) , , . , , ( ), , (, - ), , . . , , , . : , . , ,
, . ( , ) , .
25
1.2. , , . , . -, . - ? . , . : " ". , . : , , , .. .. , . ? , ,
, (. 1.1). 1.1 ? , 500 . . ( ), , . , , (, ). , , , , , . ? : ( ) ,
. ( ), , - , , , .. . , , . . , , , , , , . , , . . , , , , , , (
). , , , . , , , , , , .
26
. , , (tax lien), , . , , - "" , , . . . , The Wad Street
Journal, 22 , 1988 ., . 1. The Wall Street Journal, 1998 Dow
Jones&Company, Inc. | . , , , . , , , , , . -, , , , , . ~ , .
, , , . , . , . . -, , . , . , . , , , . , , ? -, . , . . , 1776 .
, . , 1990 1997 . , (. 1.2). 1.2 1990 (Harry Markowitz), (Merton
Miller) (William Sharpe) , . . ", . " " (Portfolio Selection), 1952
Journal of Finance, , , . . . , . , ,
27
, , ( "Capital Asset Prices: A Theory of Market Equilibrium
under Conditions of Risk", Journal of'Finance, 1964) (" ,; "). , ,
. . , (Franco Modigliani) ( ), . , "The Cost of Capital,
Corporation Finance, and the Theory of Investment. ( , ), American
Economic Review 1958 . , , . M&M ( -), . 1997 . . ( ) (Myron
Scholes). , (Fisher Black), 57 1995 , . , . - (Black Scholes option
pricing formula).
1.3. , , . , , . , . , , . . . , ? . ? . ? , . ? , , (pool of
wealth), . , - . (assets). , . , , (asset allocation) , , . , ,
(liability) , , . , (net worth), - . , , 100000 . 20000 . . , 80000
. , (), 5000 . , 35000 .: (120000 .) (85000 .). , ( , ,
28
) , . . , , , 1. , , , . 1.1 , ? .
1.4. , (, , ), . , . , , ; , Mitsubishi General Motors, , , -. ,
, , (business or corporate finance). , , , . , , , , . , , , . , ,
. , . - , , - , . , , , , . , . , . , , , . , , ITT Corporation
(International Telephone and Telegraph), 1920 , . 70- ITT , , , , ,
, , , . 80- ITT . 1996 . , , , , , , , . (capital budgeting
process). (investment project). , , . , , , . , , , . , , , . ,
.1
29
, . . , , -- , . (claims), , , . , . , , , , 1.6 ?
1.8. : ? , , . , , , , . , , . , , , 5. , . , , . (takeover). ,
, . , , , , . , , , . , , , . , , , . , . , , , . , , , - , , , . .
, , . , . , ( ) . , , ( ), . , , "". , , , ,
5 " ". , . , , .
30
: . - . , , , , , . - , , . 1.7 ?
1.9. , , , . , , , , , . , " " (Financial Executive Institute) ,
, , . 1.1. 1.1 1. 5. , ) ) . - : ) ) 6. ) ) ) / ) ) ) ) 7. ) ) ) )
) 2. ) , . 3. 8. ) ) ) , ) , 9. ) ) ) )
31
) ) 3. ) ) ) ) ) ) ) ) ) . . Financial Executives Institute. . .
1.1 . (chief executive officer (CEO)), . (chief financial officer
()) () -, . , -, . , . - : , . -. - , .. , , . , "" . (treasurer) .
, . (controller) , , , . , .
, . , 1) 2) , , , - . , , ,
32
. ( , ) , . , , , . , , , , , . , , . , , . . . - , ? . ? . ? ,
. ? : , . , . , . . , , , . . . , , : , . , , . , ( ) . . , , , . ,
, . (finance), 38 (financial system),38 (assets), 42 , (assets
allocation), 43 (liability), 43 , . (net worth), 43 (sole
proprietorship), 45 (partnership), 45 (corporation), 46
33
1.1. , ? . . , , , . : , . : , . , : , . 1.2. , ? . . , , , . ,
, , . , , , , . 1.3. , , . ? . . 1.4. ? ? . . , . . , , , . . . "
", " ", : , . , , . , ( ) . 1.5. , ? . , . , ? , " ", ? 1.6. ? . ,
( ), , , . 1.7. ? . , , , .
1. ? ? ?
34
2. ? ? , ? 3. , , , , ? -? 4. , , , , . 100000 . . , . , ? 5. ?
6. . , . - , ? . ? , , , , . ? 7. , . . , , . . , , . . , ? d. ? 8.
, , , , . ? ? , .
35
2 ... , . , .
2.1. 2.2. 2.3. 2.4. " " 2.5. 2.6. 2.7. 2.8. 2.9. 1 , , . , , . ,
, , . , , , . ? , . , (, ) . , , . , . , , . . , , .
2.1. , , , , , , . . , , - (New York Stock Exchange) (Osaka
Options and Futures Exchange), - () (). . , (over the counter
markets) , , . , . , . , , , . . , . , , , , , , , , , - - . ,
.
36
2.2. . 2.1, . , ( ), , ( ). , , , , , , , . , , , , ; , , 1.
. 2.1 , ( ) ( ) , ( ). , , .. ( ). (flow of funds) , , - ( , ) ,
( ). , , , , . ( ), , . , , , , , . 2.1. , , , . , , - . -. , . , ,
. , . , , . (.. ), , , . , . , , , . , , , , . , , . , , . , , , ,
, .1
37
( ), (), , , - ( ). , , , , ( ). , , , , , . , , , , , . 2.1
5000 ., . , . 2.1.
2.3. , . , , , . , . , . , 1928 1958 ., , , , . , , . , , .
(functional perspective). . , . , . . . , , . , . . , .. . , . . ,
, ; () . , .
2.3.1. 1. , , . (. . 2.1) , , , . , , . ( intertemporal ) . , ,
, , , .
38
, , . , , . , -, , . , , , , , - . , . : , , ; , . . , . , . , ,
, . , , , , . 2% , 20%- . , , . 2.2 . - ?
2.3.2. 2. , . , , , . , , , . , , . 2.1, . . , 100000 . , . , -
( ) 70000 . 75% . , 30000 . 6% . . 2.1 100000 . , . ? , , , 70000 .
. , . , , , 20000 . , 10000 . 30000 . , , , . ' , . , 30000 ., . ,
, - , . , , , . 30000 . , .
39
, . , , , , , . 2.3 .
2.3.3. 3. - , , . . , , , 5000 . . ? ? , , . , , , , . ? , ? , ,
, . , , , , , . , , , , . . ? : (, ), , . , , .. . , . , , , , . ,
, . , , . , , . ( ) , . , , , . : , .
2.4 " - " (I owe you) ? ?
2.3.4. 4. . , , .
40
(, ) , , , . , , . , , , 100000 ., 10000 . , , , , . , . , "" ,
. ( ) , 100000 . "" 10000 ., . , , , . , . , . 10000 ., 1000 . .
70- , . , . . , 11 ., 1000 ., 90,91 (1000/11). , , , , .
2.5 , , .
2.3.5. 5. , , . , . , , . , , , . , , , , . , , . , 30 , 100000
. 80000 . (.. 80% ) 8% , 20 % (.. 20000 .). 45- , . 6% . , . , ,
""? , . , , 6% 8% (. 2.1). . 2.1 |
41
, . (roll over) 3% . : . , , . , , . , , . 6,75% , 30 . . 3% ,
6%, 30- , 6,5% . . , . , , . , , . , . . Lynn Asinoff "Making
Family Loans Can Be a Rewarding Experience", Wall Street Journal,
10 , 1993, Wall Street Journal, 1993 Dow j Jones & Company,
Inc. . . , , , . , . ? , , , . , . , , , . , , 10 . . : , . , , , .
. , , 1973 , . , .
2.6 , , .
2.3.6. 6. , , , , , . , , . , , , , . , . , . : " ", " "
"-".
42
(moral hazard) , , , , . . , , , . , , . , . . , ( ) , . , , , ,
, . , . , . ? , . ? , . , , , , , , , . , , , , . , , . , - - , , ,
. , . , , , , , . , . , , : , . , , , , . , , , , . , . , , , , (,
), , . 2.7 , -. ? , (adverse selection). , , , , . (life annuities)
, . , , , , , , . , , , , (.. 65 ). ( ): 10 , 15 , 20 . , 65 , 15 .
, , , , , , , , .
43
, , , (, , ), , . , . , , , . 17,5 , 2,5 . , , , , . , . , , ,
.
2.8, . ? : , ? , , . , , . , , , , . ( ), , , , , .
(principal-agent problem) , , , , , , . . . , , " ", .. , , . , , ,
, . , , , , (collateralization), , , . . , , , . , (, , ), , . , .
, , , . , , , ("equity kicker"), . ( ), , . ; .
44
, . , , , , , . . "equity kicker", . , . 2.9 , ? ?
2.4. " " - , . , , , , . , " , . , , , , . . , , (invisible
hand) , . , , "2. , , , 1965 ( ), , . , , . . , . . . , VISA,
MasterCard American Express . , , , , . (.. , , , ). . , , . , , ,
. ( - ) . . , , . "" . ? , , . , , , . , , , , . . ( , ) , , - , .
. , , Diners Club, . , American Express Carte Blanche, .2
Adam Smith, The Wealth of Nations (Chicago: University of
Chicago Press, 1977), . 408.
45
, , , , ( , ), , ( ). , . 50- , , , . 60- . : VISA Master Card,
Diners Club Carte Blanche (. 2.2). 2.2 BankAmericard , 1958 1966 .,
Bank of America | . 1961 1966 . ; . | \ . 1 1966 Bank of America ,
; . Master Charge. , - First National City Bank of New-York (
Citibank) Carte Blanche, . . First National City , ( ) , , Bank of
America. , Bank of America . , . . , , , 60- . , " " , . , , , , ,
, Everything Cards, Town & Country Cards, Midwest Bank Cards,
Interbank Cards . I 1966 1970 . . . I 60- , , , . | , . . , : . .
Joseph Nocera, A Piece of the Action (New York: Simon and Schuster,
1994). International Creative Management, Inc. Copyright 1994
Joseph | Nocera , - . , , , , . . , , . , , , , ? , ? , 30 , . , ,
, .
46
2.5. (debt), (equity) (derivatives). , , . , , , , .
(fixed-income instruments) . . (maturity). ( ) (money market),
(capital market). , , (, ), ( ). (liquidity) , . , . , , (common
stocks) (shares) . (stock market). ; ( ) . . , , . (residual claim)
. , . , , , , , , ( - ) , . (limited liability) . , , . . , , , , -
. , , . . , "" (call option) , . , "" (put option) , . , , .
(forward contracts) , , . , , . 2.10 , ?
2.6. , Internet : , . .
47
2.6.1. (promised) ( ) . , . , , , , , (mortgage rate), , ,
(commercial loan rate). , (unit of account), (maturity) , (default
risk). . , . , , : , , , .. - , , "" . . , . , . , - . , , , . , .
, . . , , . , , , . , , , ? , : , . , , . . , . 3%, 9%. (exchange
rate), , , 150 1 . , , - . , 3%- . , , . , 1UO . , 15000 , .. 15000
. 9%, 109 . , , , . , , , : () = (109 . . . - 15000 ) /15000 , 140
. ? , :
48
() =
(109 . . 140 /. . -15000 ) 15000
= 0,017333
, 1,73%, 3%, , . ; , , , , 3% ? , , . 2.2, (yield curve) 7 1999
. () , , . . 2.2 , 5,25% , 30 6%. . 2.2 , . , , . 2.12 , , | I , .
.
. The Wall Street Journal, June 8, 1999, . 23. The Wall Street
Journal, 1999 Dow Jones & Company, Inc. . . 2.2. , , . . 2.1 ,
, . , , . (yield spread) 10 , 6,21% , 7,56%. 1,35% . 2.1. (%) 5,70
1 10 6,21 10 1
49
10 6,45 6,94 10 7,09 7,56 Merrill Lynch Bond Indexes, . . The
Wall Street Journal, June 8,1999, . 23. The Wall Street Journal,
1999 Dow Jones & Company, Inc. . 2.13 , , , .
2.6.2. , . - . , , , . , . - , , (return) . , - . , , , . . , .
(capital gain). , (capital loss). , . , , , 100 . . 101 ., . 1% (1
.), (100 .). , . 5 . 105 . , , r, : ( - + ) r= : (105 . -100 . + 5
.) = 0,10 = 10% 100 . , : : r= + r = + r = 5% +5% = 10% , ? : ( ) ,
. 5 . , 5 . , 105 . , , , , ( ), 10%3. r= . , 3
50
2.14 50 . 1 ., , 60 . ? 40 ., ?
2.6.3. , , . , , , . . 2.2 , , . 2.2. 0 Dow Jones Index,
Standard & Poor's 500 Nikkei, Topix FT-30, FT-100 DAX CAC 40
Credit Suisse , , MSCI, EAFE , , () . : , , , . , , , . , , , , , .
"" "" -. , , . , , . , , . " ". , , , . , , , , . 1926 12%. , , , .
( , ). ( ). , , ( ) 1,34%. , , . Upper Analytical Services, Inc.,
76% . 0,5% 1% . . , , . . , .
51
, . , , , ( ), ( ). , . , . ( ), Wilshire 5000 ( ), , .
iCyMMapHacQCTfcnu1! Wilshire* 5000
, 30 )111''':':1'" 1'/::1 | +272,52% +237,63% +14,06%
+12,94%
,
" 0,3% , . . Upper Analytical Services, Inc. . 2.3. . .
||||.| 1 (%) . ' ; .11 (% ) +7,5 4,80 +4,0 5,31 -11,2 4,88 -21,3
3,32 -2,1 0,07 -3,3 3,17 +1,4 1,29 +19,6 4,81 +6,2 3,04 +13,6
. 1 (%) 1,50 +6,0 0,60 1,7 :1,42 +7,0 6,96 -3,0 130,00 -9,2 7,95
+2,6 1,49 -2,7 0,93 -2,2
1 5,38 1,59 4,53 0,61 5,22 1,52 4,29 6,75 1,81 118,00 4,39 8,16
2,54 1,45 5,10 3,89 0,91
. The Economist, 17 , 1999, . 111. 1999 The Economist Newspaper
Group, Inc. . , www. economist. corn, , . 2.3 , 1998 1999 19,6%,
2,1%. , . 85 9,2%. , , , , 1998 1 ., 1999 1,196 . 1998 130 (1,196 .
130 /), 1999 141,128 (1,196 . 118 /). , 8,56%. , . , 4.
2.6.4. . 2.3 . 2.4 (, ) 1927 1997 . , . . , .
52
1926 1931 1936 1941 1946 1951 1956 1961 1966 1971 1976 1981 1986
1991 1996
. (Center for Research in Security Prices) . 2.3. , search in
Security () 4 Prices) Morgan Stanley Capital International Index
(MSCI). 86 I.
53
. | 2.4. , C,19261997 (%)J - 1926 3,19 7,70 8,27 1927 3,13 8,93
30,91 1928 3,82 0,10 37,88 1929 4,74 3,42 -11,91 1930 2,35 4,66
-28,48 1931 1,02 -5,31 -47,07 1932 0,81 16,84 -15,15 1933 0,29
-0,08 46,59 1934 0,16 10.02 -5,94 1935 0,17 4,98 41,37 1936 0,18
7,51 27,92 1937 0,32 0,23 -38,59 1938 0,04 5,53 25,21 1939 0,01
5,94 -5,45 1940 -0,06 6,09 -15,29 1941 0,04 0,93 -17,86 1942 0,26
3,22 12,43 1943 0,34 2,08 19,45 1944 0,32 2,81 13,80 1945 0,32
10,73 30,72 1946 0,35 -0,10 -11,87 1947 0,46 -2,63 0,00 1948 0,98
3,40 -0,65 1949 1,11 6,45 10,26 1950 1,21 0,06 21,78 1951 1,48
-3,94 16,46 1952 1,64 1,16 11,78 1953 1,78 3,63 16,46 1954 0,86
7,19 45,02 1955 1,56 -0,69 26,40 1956 2,42 -fi,27 2,62 1957 3,13
8,22 -14,31 1958 1,42 -5,29 -? 38,06 1959 0 00 51 ,0 . ROE
3.6. , , , . , : (profitability), (asset turnover), "" ( )
(financial leverage), (liquidity) (market value). , 3.5 GPC. (' ).
(return on sales), (return on assets) (return on equity). (EBIT
earnings before interest and taxes), - , , , ' , , , , .
, , . , . "", . , . . , , , . ( ), : . , , (/ price to earnings)
(/ market to book) 7 . . - s , - Q. (James ), '. . , : : ; , ; ; ;
, , , : (1) Dan & Sradstreet, (2) (Annual Statement Studies by
Robert Morris Associates), (3) (the Commerce Department's Quarterly
Financial Repo/i) (4) . , - Internet,.
3.6.1. (ROA) 1 ; _ = ROS , ROA ROS , , , , . , , , , , . , ,
10%, , , . . 3,6, "" (2%) 10%-
, "" . , () , , 0,5 , %-
ROE , . . 3.8 , (ROA) (ROE) , . , Ifdebt 10% . . , , (ROE) (1 -
) (ROA), , , , - , , Moody's Standard & Poors Corporation, , .
, , ,
3.6.3. , , . , , , . , , . , , . , , , , , - TJL , , .
3.7. : , . , , . , , , , . - 1995 1 Corporation . , , 1995 , . ,
4. . , , . , ,