国际财务管理第六版中文版第七章课后题

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管理经济学原书第六版课后答案7

Chapter 7: Answers to Questions and Problems1. The four-firm concentration ratio is,4$175,000$150,000$125,000$100,0000.55$1,000,000C +++==.2.a. The HHI is222$200,000$400,000$500,00010,000=3,719$1,100,000$1,100,000$1,100,000HHI ⎡⎤⎛⎞⎛⎞⎛⎞=++⎢⎥⎜⎟⎜⎟⎜⎟⎝⎠⎝⎠⎝⎠⎢⎥⎣⎦. b. The four-firm concentration ratio is 100 percent.c. If the firms with sales of $200,000 and $400,000 were allowed to merge, the resulting HHI would increase by 1,322 to 5,041. Since the pre-merger HHI exceeds that under the Guidelines (1,800) and the HHI increases by more than that permitted under the Guidelines (100), the merger is likely to be challenged.3. The elasticity of demand for a representative firm in the industry is –1.5, since.5.16.09.09.06.0−=−=⇒−=F F E E .4.a. $100. To see this, solve the Lerner index formula for P to obtain11$35$100110.65P MC L ⎛⎞⎛⎞===⎜⎟⎜⎟−−⎝⎠⎝⎠. b. Since 11P MC L ⎛⎞=⎜⎟−⎝⎠, it follows that the markup factor is 1 2.8610.65⎛⎞=⎜⎟−⎝⎠. That is, the price charged by the firm is 2.86 times the marginal cost of producing the product.c. The above calculations suggest price competition is not very rigorous and that the firm enjoys market power.5.Managers should not specialize in learning to manage a particular type of market structure. Market structure generally evolves over time, and managers must adapt to these changes.6. To the extent that the HHIs are based on too narrow a definition of the product (orgeographic) market or the impact of foreign competition, the merger might be allowed. It might also be allowed if one of the firms is in financial trouble, or if significant economies of scale exist in the industry.7. As shown in the text, the HHI is⎥⎥⎦⎤⎢⎢⎣⎡⎟⎟⎠⎞⎜⎜⎝⎛++⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛++⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛∑=222222112......000,10000,10T n T j T i T T n i T i S S S S S S S S S S S S . (1) When firms i and j merge, the HHI becomes ⎥⎥⎦⎤⎢⎢⎣⎡⎟⎟⎠⎞⎜⎜⎝⎛++⎟⎟⎠⎞⎜⎜⎝⎛+++⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛222221......000,10T n T j i T T S S S S S S S S S . (2) The difference between (2) and (1) is that 22⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛T j T i S S S S becomes 2⎟⎟⎠⎞⎜⎜⎝⎛+T j i S S S .Thus, we can calculate how a merger between firms i and j will change the HHI by knowing only those two firms’ market shares. In general, since()22222⎟⎟⎠⎞⎜⎜⎝⎛++⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛+T j T j i T i T j i S S S S S S S S S S , we know that a merger between firms i and j will cause the HHI to increase by 210,000i j w w ×, where w i and w j are the pre-merger market shares of the two merging firms. Using the information in the problem,()()()800000,102.2.2= represents the increase in the HHI due to the merger.8. No. The conditions for perfect competition include:a. There are many buyers and sellers of products.b. The products are homogenous.c. Consumers and producers have perfect information.d. There is free entry and exit.9. The four-firm concentration ratios in Table 7-2 are likely to overstate the level of concentration in the U.S. Imported beers account for much of the sales in the U.S. It is likely that the brewing industry is much less concentrated than Table 7-2 leads us to believe.10.This industry is most likely monopolistically competitive. Monopolistically competitive industries have concentration measures close to zero, but since eachfirm’s product is slightly differentiated, the Rothschild index will be greater than zero (unlike perfectly competitive markets).11.Monopolistically competitive. In a monopolistically competitive market, there aremany firms, but each firm produces a differentiated product. According to the causal view, the structure of differentiated products causes firms to capitalize on the absence of close substitutes by charging higher prices and earning higher profit. Thus,structure causes conduct resulting in performance. According to the feedback critique, the conduct of firms may determine the market structure. Firms’ products may bedifferentiated because of firms’ conduct in the industry. Examples of such conductinclude advertising and other behavioral tactics that feedback into demand, causingconsumers to view products as differentiated. Thus, it is not at all clear thatdifferentiated products are a structural variable. The willingness of consumers to pay for product variety gives firms an incentive to offer different products (thin-and-crispy pizza, pan pizza, pizza delivery, etc.).12.Merger (a) is the only horizontal merger, and therefore the only merger that would bescrutinized under the Guidelines for horizontal mergers. Merger (b) is a conglomerate merger, while merger (c) is a vertical merger.13.While the pre-merger four-firm concentration ratio is 72 percent, the pre-merger HHIis only 1,535. The merger would increase the HHI by only 100 to 1,635. The merger is unlikely to be blocked based on the merger guidelines.14.If approved, the merger would raise the HHI by ()()()702000,1013.27.2= points (see the solution to problem 7). Since the pre-merger HHI is 3,025, which is greater thanthe Guidelines (1,800), and the HHI increases by 702 (which is greater than the 100points permitted in the Guidelines), it is unlikely that the merger will receiveunconditional approval.15.See Table 7-1.O w n P rice Elasticity of M arket Dem andO w n P rice E lasticityof D em and forR epresentative Firm'sP roduct R othsc hild IndexA griculture-1.8-96.20.019C onstruction-1.0-5.20.192Du rable m anufacturing-1.4-3.50.400No ndu rable m anufacturing-1.3-3.40.382Transportation-1.0-1.90.526Com m unication and utilities-1.2-1.80.667W holesale trade-1.5-1.60.938R etail trade-1.2-1.80.667Finance-0.1-5.50.018S ervices-1.2-26.40.045Table 7-1Based on the Rothschild indices in Table 7-1, wholesale trade most closely resembles a monopoly, while finance most closely resembles perfect competition.16. The Lerner index is $3$0.300.9$3P MC L P −−===, which indicates the firm has considerable market power. This makes sense because the product that the firm sells is currently under patent protection, which essentially makes the firm a legal monopoly.17.Based on the information contained in Table 7-3 of the text, the food and apparel industries are most competitive and therefore probably represent the best match for the expertise of these managers.18. The market for color film in the U.S. is highly concentrated. The five-firmconcentration ratio is 100 percent and Kodak alone accounts for 67 percent of all rolls sold. Market demand for color film is relatively elastic at -1.75; indicating that a 10 percent increase in price leads to a 17.5 percent decline in quantity demand for color film. The Rothschild index indicates that market demand relative to the demand for Kodak color film is 875.0275.1=−−=R , indicating that Kodak’s demand is, roughly, as sensitive to price changes as is the entire market demand. The Lerner index for Kodak is 50.095.6$475.3$95.6$=−=L , indicating that Kodak’s markup factor is 2. For every $1 spent on color film, $0.50 is markup. Taken together, these things suggest that the color film industry in the U.S. closely resembles an oligopoly.19. Note first that a merger with Unilever or Tricor Braun is not a horizontal merger. Moreover, while a horizontal merger with either Dole or Goya is likely to enhance Del Monte’s profitability (profits as a percentage of sales are 8.7 and 7.1, respectively and the Lerner Indices are 0.14 and 0.32, respectively), the market for cannedtomatoes and canned pineapple are highly concentrated. The four-firm concentration ratio and HHI for the canned tomatoes market are, respectively, 86.3 percent and 3,297. Similarly, the four-firm concentration ratio and HHI in the canned pineapple industry are 94.2 percent and 5,457, respectively. This information suggests that potential mergers in these industries are likely to be scrutinized.20.On the surface the industry analysts’ suggestion would represent a merger tomonopoly and the HHI before and after the merger exceeds the threshold for raising antitrust concerns. However, there are several reasons why the merger might beallowed. First, satellite radio may not be its own industry, but rather a smaller part of a larger market that include MP3 players, AM and FM radios, and the like. Their market shares in this more broadly defined market are trivial, and therefore themerger would not impact the HHI in the more broadly defined market. Additionally, the merger might be allowed if the (1) firms could show significant cost savings; (2) rapidly changing technology in the portable music industry would prevent anti-competitive behavior; (3) government viewed the firms as financially unstable; or (4) barriers to entry were low enough to allow competition from new entrants after the merger.21.With number portability, the services of the various providers are now closersubstitutes to each other. One implication is that the cost to consumers of switchingservice providers is not lower, which increases the likelihood that consumers wouldswitch for small price reductions. These factors make the demand for the individualcellular service providers more elastic (increase the price elasticity of demand). Local number portability, however, is unlikely to affect the elasticity of demand for theindustry as a whole. If the elasticity of demand increases for individual firms, butremains constant for the industry, the Rothschild index will decrease.。

(财务知识)财务管理学第六版课后答案完整版

财务管理课后答案第一章思考题1.答题要点：（1）股东财富最大化目标相比利润最大化目标具有三方面的优点：考虑现金流量的时间价值和风险因素、克服追求利润的短期行为、股东财富反映了资本与收益之间的关系；（2）通过企业投资工具模型分析，可以看出股东财富最大化目标是判断企业财务决策是否正确的标准；（3）股东财富最大化是以保证其他利益相关者利益为前提的。

2.答题要点：（1）激励，把管理层的报酬同其绩效挂钩，促使管理层更加自觉地采取满足股东财富最大化的措施；（2）股东直接干预，持股数量较多的机构投资者成为中小股东的代言人，通过与管理层进行协商，对企业的经营提出建议；（3）被解聘的威胁，如果管理层工作严重失误，可能会遭到股东的解聘；（4）被收购的威胁，如果企业被敌意收购，管理层通常会失去原有的工作岗位，因此管理层具有较强动力使企业股票价格最大化。

3.答题要点：（1）利益相关者的利益与股东利益在本质上是一致的，当企业满足股东财富最大化的同时，也会增加企业的整体财富，其他相关者的利益会得到更有效的满足：（2）股东的财务要求权是“剩余要求权”，是在其他利益相关者利益得到满足之后的剩余权益。

（3）企业是各种利益相关者之间的契约的组合。

（4）对股东财富最大化需要进行一定的约束。

4.答题要点：（1）财务经理负责投资、筹资、分配和营运资金的管理；（2）财务经理的价值创造方式主要有：一是通过投资活动创造超过成本的现金收入，二是通过发行债券、股票及其他方式筹集能够带来现金增量的资金。

5.答题要点：（1）为企业筹资和投资提供场所；（2）企业可通过金融市场实现长短期资金的互相转化；（3）金融市场为企业的理财提供相关信息。

6.答题要点：（1）利率由三部分构成：纯利率、通货膨胀补偿、风险收益；（2）纯利率是指没有风险和没有通货膨胀情况下的均衡点利率，通常以无通货膨胀情况下的无风险证券利率来代表纯利率；（3）通货膨胀情况下，资金的供应者必然要求提高利率水平来补偿购买力的损失，所以短期无风险证券利率＝纯利率＋通货膨胀补偿；（4）风险报酬要考虑违约风险、流动性风险、期限风险，他们都会导致利率的增加。

财务管理第6、7章课本习题及答案

公司所得税税率；Ｎ表示流通在外的普通股股数。
７．试说明联合杠杆的基本原理和联合杠杆系数的测算方法答：（１）联合杠杆原理。联合杠杆，亦称总杠杆，是指营业杠杆和财务杠杆的综合。营业杠杆是利用企业经营成本中固定成本的作用而影响息税前利润，财务杠杆是利用企业资本成本中债务资本固定利息的作用而影响税后利润或普通股每股收益。营业杠杆和财务杠杆两者最终都影响到企业税后利润或普通股每股收益。因此，联合杠杆综合了营业杠杆和财务杠杆的共同影响。一个企业同时利用营业杠杆和财务杠杆，这种影响作用会更大。（２）联合杠杆系数的测算。对于营业杠杆和财务杠杆的综合程度的大小，可以用联合杠杆系数来反映。联合杠杆系数，亦称总杠杆系数，是指普通股每股收益变动率相当于营业收入（或销售数量）变动率的倍数。它是营业杠杆系数与财务杠杆系数的乘积，用公式表示为：ＤＣＬ（或ＤＴＬ）＝ＤＯＬ·ＤＦＬ
即=
６
DP05b_205_215TC005 092-661 解决方案
或=
式中，ＤＣＬ（或ＤＴＬ）表示联合杠杆系数。８．试对企业资本结构决策的影响因素进行定性分析答：企业资本结构决策的影响因素很多，主要有企业财务目标、企业发展阶段、企业财务状况、投资者动机、债权人态度、经营者行为、税收政策、行业差别等。下面进行简要的定性分析。（１）企业财务目标的影响分析。企业组织类型的不同，其财务目标也有所不同。对企业财务目标的认识主要有三种观点：利润最大化、股东财富最大化和公司价值最大化。企业财务目标对资本结构决策具有重要的影响。
DP05b_205_215TC005 092-661 解决方案
第 6 章资本结构决策
教材习题解析
一、思考题
１．试分析广义资本结构与侠义资本机构的区别答：资本结构有广义和狭义之分。广义的资本结构是指企业全部资本的各种构成及其比例关系。企业一定时期的资本可分为债务资本和股权资本、短期资本和长期资本。一般而言，广义的资本结构包括：债务资本与股权资本的结构、长期资本与短期资本的结构，以及债务资本的内部结构、长期资本的内部结构和股权资本的内部结构等。狭义的资本结构是指企业各种长期资本的构成及其比例关系，尤其是指长期债务资本与（长期）股权资本之间的构成及其比例关系。２．试分析资本成本中用资费用和筹资费用的不同特征答：资本成本从绝对量的构成来看，包括用资费用和筹资费用两部分。

财务管理(第六版)课后习题word版 (10)[2页]

一、单项选择题1.下列证券中,能够更好地避免证券投资购买力风险的是( )。

A.普通股B.优先股C.公司债券D.国库券2.下列因素引起的风险中,投资者可以通过证券投资组合予以消减的是( )。

A.宏观经济状况变化B.世界能源状况变化C.发生经济危机D.被投资企业出现经营失误3.对证券持有人而言,证券发行人无法按期支付债券利息或偿付本金的风险是( )。

A.流动性风险B.系统风险C.违约风险D.购买力风险4.投资基金证券是由( )发行的。

A.投资者B.托管人C.管理人D.发起人5.股票投资与债券投资相比( )。

A.风险高B.收益小C.价格波动小D.变现能力差二、多项选择题1.与股票投资相比,债券投资的主要缺点有( )。

A.购买力风险大B.流动性风险大C.没有经营管理权D.投资收益不稳定2.根据证券投资的对象,可将证券分为( )。

A.债券投资B.组合投资C.基金投资D.股票投资3.由影响所有公司的因素引起的风险,可称为( )。

A.可分散风险B.非系统性风险C.不可分散风险D.系统性风险4.债券投资的优点主要有( )。

A.本金安全性高B.收入稳定性强C.投资收益较高D.市场流动性好5.股票投资的缺点有( )。

A.购买力风险高B.求偿权居后C.价格不稳定D.收入稳定性强三、简答题1.简述债券投资的优缺点。

2.简述股票投资的优缺点。

3.简述证券投资组合的目的和风险。

四、计算题1.华为公司购买面值为100000元、票面利率为5%、期限为10年的债券,每年1月1日付息,当时市场利率为7%。

要求:(1)计算该债券的价值。

(2)若该债券的市价是92000元,判断是否值得购买该债券。

(3)如果按债券价格买入了该债券,并一直持有至到期,计算此时购买债券的到期收益率。

2.黎明公司计划利用一笔长期资金投资购买股票,现有A公司股票和B公司股票可供选择。

黎明公司只准备投资一家公司股票。

已知A公司股票现行市价为每股8元,上年每股股利为0.14元,预计以后每年以6%的增长率增长。

【人大财务管理第六版】财务管理学练习答案(第七八章)

财务管理学练习答案第七章项目投资决策解题一现金净流量=营业现金净流量＋终结现金流量(收回)－初始现金流量(投资)净现值=现金流入量现值－现金流出量(投资额)现值净现值A方案5.5×(P/A,6%,5)－20=5.5×4.2124－20=3.1682净现值B方案 6.35×(P/F,6%,1)＋6.2×(P/F,6%,2)＋6.05×(P/F,6%,3)＋5.9×(P/F,6%,4)＋10.75×(P/F,6%,5)－27=6.35×0.9434＋6.2×0.89＋6.05×0.8396＋5.9×0.7921＋10.75×0.7473－27=2.295现值指数A方案1＋3.1682÷20=1.1584 B方案1＋2.295÷27=1.085选A方案解题二固定资产投资效益测算现金净流量=营业现金净流量＋终结现金流量(收回)－初始现金流量(投资)营业现金净流量=净利润＋折旧甲方案现金流量年序 1 2 3 4 5 6 7 8 9 10 合计固定资产投资20 10 30垫支流动资金10 10销售收入35 34 33 32 31 30 29 28 252付现成本20 20 20 20 20 20 20 20 160折旧费 3.5 3.5 3.5 3.5 3.5 3.5 3.5 3.5 28营业利润11.5 10.5 9.5 8.5 7.5 6.5 5.5 4.5 64所得税 3.45 3.15 2.85 2.55 2.25 1.95 1.65 1.35 19.2净利润8.05 7.35 6.65 5.95 5.25 4.55 3.85 3.15 44.8固定资产残值 2 2收回流动资金10 10现金净流量-20 -20 11.55 10.85 10.15 9.45 8.75 8.05 7.35 18.65 44.8累计现金净量-20 -40 -28.45 -17.6 -7.45 2 10.75 18.8 26.15 44.8乙方案现金流量年序 1 2 3 4 5 6 7 8 9 合计固定资产投资 14 10 24 垫支流动资金 8 8 现金净流量 -14 -18 8.5 8.5 8.5 8.5 8.5 8.5 16 35 累计现金净量 -14 -32 -23.5 -15 -6.5 2 10.5 19 35方案投资利润率投资回收期现值指数甲: 4088.44÷=14% (6－1)＋45.95.74=5.79 1＋182.35742.13=1.39 乙: 32735÷=15.6% (6－1)＋5.85.6=5.76 1＋995.27465.11=1.41内含报酬率内含报酬率: 甲方案:17%＋643.0489.0489.0+=17.432%乙方案:18%＋665.0184.0184.0+=18.217%年均净回收额:甲方案: 1010%)91(%91%)91(742.13+⨯-+÷=13.742÷(P/A,9%,10)=13.742÷6.4177=2.141万元乙方案: 11.465÷(P/A,9%,9)=11.465÷5.9952=1.912万元选择甲方案解题三设备更新改造的选择1.不考虑资金时间价值旧设备:12425580059350030000=+--(元)改造设备: 1112945007360050000=+-(元)更新设备: 1246040009386080000=+-(元)计算结果，改造设备的年均成本低，应选择改造方案。

财务管理(第六版)课后习题word版 (1)[1页]

一、单项选择题1.财务的本质是( )。

A.企业经济活动的成本即利润方面B.企业经济活动的价值即资金方面C.企业经济活动的目标即财富方面D.企业经济活动的内容即实物方面2.现代财务管理的最优目标是( )。

A.产值最大化B.利润最大化C.每股盈余最大化D.企业价值最大化3.以下几类影响财务管理的因素中,( )起决定性作用。

A.政治和法律环境B.经济环境C.金融环境D.企业组织和内部环境4.财务管理所指的投资通常是指( )。

A.长期投资B.短期投资C.实物投资D.无形资产投资5.作为财务目标,每股盈余最大化较之利润最大化的优点在于( )。

A.考虑了资金时间价值因素B.反映了形成利润与投入资本的关系C.考虑了风险因素D.能够避免企业的短期行为二、多项选择题1.决定企业财务管理目标的两个最基本因素是( )。

A.政府B.资本提供者(企业所有者)C.劳动力提供者(企业职工)D.社会公众2.“利润最大化”目标的缺陷在于( )。

A.没有考虑资金时间价值B.没有考虑风险因素C.只考虑近期收益而没有考虑远期收益D.没有考虑投入资本和获利之间的关系3.财务管理的内容包括( )。

A.筹资管理B.投资管理C.利润分配管理D.营运资金管理4.金融市场的基本构成要素有( )。

A.交易对象B.交易主体C.交易工具D.交易价格5.一般而言,资金的利率的构成部分有( )。

A.纯利率B.通货膨胀补偿率C.风险报酬率D.名义利率6.下列财务关系中,属于债权债务关系的是( )。

A.企业与国家之间的财务关系B.企业与债权人之间的财务关系C.企业与受资者之间的财务关系D.企业与债务人之间的财务关系7.将企业价值最大化作为最优目标的优点表现在( )。

A.考虑了资金时间价值和风险价值B.反映了对企业资产保值增值的要求C.有利于克服企业的短期行为D.有利于社会资源的合理配置三、简答题:1.什么是财务管理? 财务管理的内容包括哪些?2.什么是企业价值? 企业价值最大化的优点有哪些?3.企业财务管理的环境有哪些?4.财务管理机构应如何设置?。

财务管理课后答案第七章

Chapter 7Problems1. City Farm Insurance has collection centers across the country to speed up collections. The company alsomakes its disbursements from remote disbursement centers. The collection time has been reduced by two days and disbursement time increased by one day because of these policies. Excess funds are being invested in short-term instruments yielding 12 percent per annum.a. If City Farm has $5 million per day in collections and $3 million per day in disbursements, howmany dollars has the cash management system freed up?b. How much can City Farm earn in dollars per year on short-term investments made possible by thefreed-up cash?7-1. Solution:City Farm Insurancea. $5,000,000 daily collections× 2.0 days speed up = $10,000,000 additional collections$3,000,000 daily disbursements× 1.0 days slow down = $ 3,000,000 delayed disbursements$13,000,000 freed-up fundsb. $13,000,000 freed-up funds12% interest rate$1,560,000 interest on freed-up cash2. Nicholas Birdcage Company of Hollywood ships cages throughout the country. Nicholas has determined that through the establishment of local collection centers around the country, he can speed up the collection of payments by one and one-half days. Furthermore, the cash management department of his bank has indicated to him that he can defer his payments on his accounts by one-half day without affecting suppliers. The bank has a remote disbursement center in Florida.a. If the company has $4 million per day in collections and $2 million per day in disbursements, howmany dollars will the cash management system free up?b. If the company can earn 9 percent per annum on freed-up funds, how much will the income be?c. If the annual cost of the new system is $700,000, should it be implemented?7-2. Solution:Nicholas Birdcage Company of Hollywooda. $4,000,000 daily collections× 1.5 days speed up = $6,000,000 additional collections$2,000,000 daily disbursements× .5 days slow down = $1,000,000 delayed disbursements$7,000,000 freed-up fundsb.$7,000,000 freed-up funds9% interest rate$630,000 interest on freed-up cash⨯ c.No. The annual income of $630,000 is $70,000 less than the annual cost of $700,000 for the new system.3. Megahurtz International Car Rentals has rent-a-car outlets throughout the world. It also keeps funds for transactions purposes in many foreign countries. Assume in 2003, it held 100,000 reals in Brazil worth 35,000 dollars. It drew 12 percent interest, but the Brazilian real declined 20 percent against the dollar. a . What is the value of its holdings, based on U.S. dollars, at year-end (Hint: multiply $35,000 times 1.12 and then multiply the resulting value by 80 percent.)b .What is the value of its holdings, based on U.S. dollars, at year-end if it drew 9 percent interest and the real went up by 10 percent against the dollar? 7-3.Solution:Megahurtz International Car Rentala.$35,000 × 1.12 = $39,200$39,200 × 80% = $31,360 dollar value of real holdings b.$35,000 × 1.09 = $38,150$38,150 × 110% = $41,965 dollar value of real holdings4. Thompson Wood Products has credit sales of $2,160,000 and accounts receivable of $288,000. Computethe value of the average collection period. 7-4.Solution:Thompson Wood ProductsAccounts ReceivableAverage collection period Average daily credit sales$288,000$2,160,000/360$288,00048days $6,000====5. Lone Star Petroleum Co. has annual credit sales of $2,880,000 and accounts receivable of $272,000. Compute the value of the average collection period. 7-5.Solution:Lone Star Petroleum Co.Accounts ReceivableAverage collection period Average daily credit sales$272,000$2,288,000/360$272,0008,00034days====6. Knight Roundtable Co. has annual credit sales of $1,080,000 and an average collection period of 32 days in 2008. Assume a 360-day year. What is the company ’s average accounts receivable balance? Accounts receivable are equal to the average daily credit sales times the average collection period. 7-6.Solution:Knight Roundtable Co.$1,080,000annual credit sales$3,000credit sales a day 360days per year=$3,000 average 32 average $96,000 average accounts daily credit sales collection period receivable balance=⨯ 7. Darla ’s Cosmetics has annual credit sales of $1,440,000 and an average collection period of 45 days in 2008. Assume a 360-day year.What is the company ’s average accounts receivable balance? Accounts receivable are equal to the average daily credit sales times the average collection period. 7-7.Solution:Darla ’s Cosmetic Company$1,440,000 annual credit sales/360 = $4,000 per day credit sales$4,000 credit sales × 45 average collection period = $180,000 average accounts receivable balance8. In Problem 7, if accounts receivable change to $200,000 in the year 2009, while credit sales are$1,800,000, should we assume the firm has a more or a less lenient credit policy? 7-8.Solution:Darla ’s Cosmetics (Continued)To determine if there is a more lenient credit policy, compute the average collection period.Accounts ReceivableAverage collection period Average daily credit sales$200,000$1,800,000/360$200,00040 days $5,000====Since the firm has a shorter average collection period, it appears that the firm does not have a more lenient credit policy.9. Hubbell Electronic Wiring Company has an average collection period of 35 days. The accounts receivable balance is $105,000. What is the value of its credit sales? 7-9.Solution:Hubbell Electronic Wiring CompanyAccounts receivable Average collection period Average daily credit sales$105,00035 days credit sales 360$105,000Credit sales/36035 daysCredit sales/360$3,000 credit sales per dayCredit sales $3,==⎛⎫ ⎪⎝⎭===000360$1,080,000⨯=10.Marv ’s Women ’s Wear has the following schedule for aging of accounts receivable.Age of Receivables, April 30, 2004(1) (2)(3) (4)Month of SalesAge of AccountAmounts Percent of AmountDue April ....................................... 0–30 $ 88,000 ____ March .....................................31–6044,000____February ................................. 61–90 33,000 ____January ................................... 91–120 55,000 ____Total receivables ................. $220,000 100%a. Fill in column (4) for each month.b. If the firm had $960,000 in credit sales over the four-month period, compute the averagecollection period. Average daily sales should be based on a 120-day period.c. If the firm likes to see its bills collected in 30 days, should it be satisfied with the averagecollection period?d. Disregarding your answer to part c and considering the aging schedule for accounts receivable,should the company be satisfied?e. What additional information does the aging schedule bring to the company that the averagecollection period may not show?7-10. Solution:Marv’s Women’s WearAge of Receivables, April 30, 2004a.(1)(2)(3)(4)Month of Sales Age of Account Amounts Percent of AmountDueApril 0-30 $ 88,000 40% March 31-60 44,000 20% February 61-90 33,000 15% January 91-120 55,000 25% Total receivables $220,000 100%b.Accounts receivable Average Collection PeriodAverage daily credit sales$220,000$960,000/120$220,000$8,00027.5 days====c. Yes, the average collection of 27.5 days is less than 30 days.d. No. The aging schedule provides additional insight that 60 percent of the accounts receivableare over 30 days old.e. It goes beyond showing how many days of credit sales accounts receivables represent, toindicate the distribution of accounts receivable between various time frames.11. Nowlin Pipe & Steel has projected sales of 72,000 pipes this year, an ordering cost of $6 per order, and carrying costs of $2.40 per pipe. a . What is the economic ordering quantity?b . How many orders will be placed during the year?c .What will the average inventory be? 7-11.Solution:Nowlin Pipe and Steel Companya.EOQ 600 units=====b. 72,000 units/600 units = 120 ordersc.EOQ/2 = 600/2 = 300 units (average inventory)12.Howe Corporation is trying to improve its inventory control system and has installed an online computer at its retail stores. Howe anticipates sales of 126,000 units per year, an ordering cost of $4 per order, and carrying costs of $1.008 per unit. a . What is the economic ordering quantity?b . How many orders will be placed during the year?c . What will the average inventory be?d .What is the total cost of inventory expected to be? 7-12.Solution:Howe Corp.a.EOQ 1,000 units ===b.126,000 units/1,000 units = 126 orders7-12. (Continued)c. EOQ/2 = 1,000/2 = 500 units (average inventory)d.126 orders × $4 ordering cost = $ 504 500 units × $1.008 carrying cost per unit = 504 Total costs= $1,00813. (See Problem 12 for basic data.) In the second year, Howe Corporation finds it can reduce ordering costs to $1 per order but that carrying costs will stay the same at $1.008 per unit. a . Recompute a, b, c , and d in Problem 12 for the second year. b .Now compare years one and two and explain what happened. 7-13.Solution:Howe Corp. (Continued)a.EOQ 500 units=====126,000 units/500 units = 252 ordersEOQ/2 = 500/2 = 250 units (average inventory) 252 orders × $1 ordering cost = $252 250 units × $1.008 carrying cost per unit = 252 Total costs = $504b.The number of units ordered declines 50%, while the number of orders doubles. The average inventory and total costs both decline by one-half. Notice that the total cost did not decline in equal percentage to the decline in ordering costs. This is because the change in EOQ and other variables (½) is proportional to the square root of the change in ordering costs (¼).14. Higgins Athletic Wear has expected sales of 22,500 units a year, carrying costs of $1.50 per unit, and an ordering cost of $3 per order. a . What is the economic order quantity?b . What will be the average inventory? The total carrying cost?c .Assume an additional 30 units of inventory will be required as safety stock. What will the new average inventory be? What will the new total carrying cost be? 7-14.Solution:Higgins Athletic Weara. EOQ==300 units ===b. EOQ/2 = 300/2 = 150 units (average inventory)150 units × $1.50 carrying cost/unit = $225 total carrying costc.EOQAverage inventory Safety Stock230030150301802=+=+=+=180 inventory × $1.50 carrying cost per year= $270 total carrying cost15. Dimaggio Sports Equipment, Inc., is considering a switch to level production. Cost efficiencies would occur under level production, and aftertax costs would decline by $35,000, but inventory would increase by $400,000. Dimaggio would have to finance the extra inventory at a cost of 10.5 percent.a. Should the company go ahead and switch to level production?b. How low would interest rates need to fall before level production would be feasible?7-15. Solution:Dimaggio Sports Equipment, Inc.a. Inventory increases by $400,000× interest expense 10.5%Increased costs $ 42,000Less: Savings 35,000Loss ($ 7,000)Don’t switch to level production. Increased ROI is less than the interest cost of moreinventory.b. If interest rates fall to 8.75% or less, the switch would be feasible.$35,000 Savings8.75%$400,000 increased inventory=16. Johnson Electronics is considering extending trade credit to some customers previously considered poorrisks. Sales will increase by $100,000 if credit is extended to these new customers. Of the new accounts receivable generated, 10 percent will prove to be uncollectible. Additional collection costs will be 3 percent of sales, and production and selling costs will be 79 percent of sales. The firm is in the 40percent tax bracket.a. Compute the incremental income after taxes.b. What will Johnson’s incremental return on sales be if these new credit customers are accepted?c. If the receivable turnover ratio is 6 to 1, and no other asset buildup is needed to serve the newcustomers, what will Johnson’s incremental return on new average investment be?7-16. Solution:Johnson Electronicsa. Additional sales ............................................................................................ $100,000Accounts uncollectible (10% of new sales) .................................................. – 10,000Annual incremental revenue ......................................................................... $ 90,000Collection costs (3% of new sales) ............................................................... – 3,000Production and selling costs (79% of new sales) .......................................... – 79,000Annual income before taxes ......................................................................... $ 8,000Taxes (40%) .................................................................................................. – 3,200Incremental income after taxes ..................................................................... $ 4,800b.Incremental income Incremental return on salesIncremental sales$4,800/$100,000 4.8%===c. Receivable turnover = Sales/Receivable turnover = 6xReceivables = Sales/Receivable turnover= $100,000/6= $16,666.67Incremental return on new average investment = $4,800/$16,666.67 = 28.80%17. Collins Office Supplies is considering a more liberal credit policy to increase sales, but expects that 9 percent of the new accounts will be uncollectible. Collection costs are 5 percent of new sales, production and selling costs are 78 percent, and accounts receivable turnover is five times. Assume income taxes of 30 percent and an increase in sales of $80,000. No other asset buildup will be required to service the new accounts.a. What is the level of accounts receivable to support this sales expansion?b. What would be Collins’s incremental aftertax return on investment?c. Should Collins liberalize credit if a 15 percent aftertax return on investment is required?Assume Collins also needs to increase its level of inventory to support new sales and that inventory turnover is four times.d. What would be the total incremental investment in accounts receivable and inventory to support a$80,000 increase in sales?e. Given the income determined in part b and the investment determined in part d, should Collinsextend more liberal credit terms?7-17. Solution:Collins Office Suppliesa.$80,000 Investment in accounts receivable$16,0005==b. Added sales .................................................................................................. $ 80,000Accounts uncollectible (9% of new sales) .................................................... – 7,200Annual incremental revenue ......................................................................... $ 72,800Collection costs (5% of new sales) ............................................................... – 4,000Production and selling costs (78% of new sales) – 62,400Annual income before taxes ......................................................................... $ 6,400Taxes (30%) .................................................................................................. – 1,920Incremental income after taxes ..................................................................... $ 4,480Return on incremental investment = $4,480/$16,000 = 28%c. Yes! 28% exceeds the required return of 15%.7-17. (Continued)d.$80,000 Investment in inventory =$20,0004=Total incremental investmentInventory $20,000Accounts receivable 16,000Incremental investment $36,000 $4,480/$36,000 = 12.44% return on investmente. No! 12.44% is less than the required return of 15%.18. Curtis Toy Manufacturing Company is evaluating the extension of credit to a new group of customers.Although these customers will provide $240,000 in additional credit sales, 12 percent are likely to be uncollectible. The company will also incur $21,000 in additional collection expense. Production and marketing costs represent 72 percent of sales. The company is in a 30 percent tax bracket and has a receivables turnover of six times. No other asset buildup will be required to service the new customers.The firm has a 10 percent desired return on investment.a. Should Curtis extend credit to these customers?b. Should credit be extended if 14 percent of the new sales prove uncollectible?c .Should credit be extended if the receivables turnover drops to 1.5 and 12 percent of the accounts are uncollectible (as was the case in part a ). 7-18.Solution:Curtis Toy Manufacturing Companya.Added sales ...................................................................................................... $240,000 Accounts uncollectible (12% of new sales) ...................................................... 28,800 Annual incremental revenue ............................................................................. 211,200 Collection costs ................................................................................................ 21,000 Production and selling costs (72% of new sales) .............................................. 172,800 Annual income before taxes ............................................................................. 17,400 Taxes (30%) ...................................................................................................... 5,220 Incremental income after taxes .........................................................................$ 12,180$240,000Receivable turnover 6.0x6.040,000 in new receivables==$12,180Return on incremental investment 30.45%$40,000==b.Added sales .................................................................................................. $240,000 Accounts uncollectible (14% of new sales) .................................................. – 33,600 Annual incremental revenue ......................................................................... $206,400 Collection costs ............................................................................................ – 21,000 Production and selling costs (72% of new sales) .......................................... –172,800 Annual income before taxes ......................................................................... $ 12,600 Taxes (30%) .................................................................................................. – 3,780 Incremental income after taxes .....................................................................$ 8,820$8,820Return on incremental investment 22.05%$40,000==Yes, extend credit.7-18. (Continued)c.If receivable turnover drops to 1.5x, the investment in accounts receivable would equal $240,000/1.5 = $160,000. The return on incremental investment, assuming a 12% uncollectible rate, is 7.61%.$12,180==Return on incremental investment7.61%$160,000The credit should not be extended. 7.61% is less than the desired 10%.19. Reconsider problem 18. Assume the average collection period is 120 days. All other factors are the same(including 12 percent uncollectibles). Should credit be extended?7-19. Solution:Curtis Toy Manufacturing Company (Continued)First compute the new accounts receivable balance.Accounts receivable = average collection period × average daily sales240,000⨯=⨯=120 days120$667$80,040360 daysorAccounts receivable = sales/accounts receivable turnover360 days==Accounts receivable turnover3x120 days=$240,000/3$80,000Then compute return on incremental investment.$12,18015.23%=$80,000Yes, extend credit. 15.23% is greater than 10%.20. Apollo Data Systems is considering a promotional campaign that will increase annual credit sales by $600,000. The company will require investments in accounts receivable, inventory, and plant and equipment. The turnover for each is as follows:Accounts receivable (5x)Inventory (8x)Plant and equipment (2x)All $600,000 of the sales will be collectible. However, collection costs will be 3 percent of sales, and production and selling costs will be 77 percent of sales. The cost to carry inventory will be 6 percent of inventory. Depreciation expense on plant and equipment will be 7 percent of plant and equipment. The tax rate is 30 percent.a. Compute the investments in accounts receivable, inventory, and plant and equipment based on theturnover ratios. Add the three together.b. Compute the accounts receivable collection costs and production and selling costs and add thetwo figures together.c. Compute the costs of carrying inventory.d. Compute the depreciation expense on new plant and equipment.e. Add together all the costs in parts b, c, and d.f. Subtract the answer from part e from the sales figure of $600,000 to arrive at income before taxes.Subtract taxes at a rate of 30 percent to arrive at income after taxes.g. Divide the aftertax return figure in part f by the total investment figure in part a. If the firm has arequired return on investment of 12 percent, should it undertake the promotional campaigndescribed throughout this problem.7-20. Solution:Apollo Data Systemsa. Accounts receivable = sales/accounts receivable turnover=$120,000$600,000/5Inventory = sales/inventory turnover=$75,000$600,000/8Plant and equipment = sales/(plant and equipment turnover)=$600,000/2$300,000Total investment$495,0007-20. (Continued)b. Collection cost = 3% × $600,000 $ 18,000Production and selling costs = 77% × $600,000 = 462,000Total costs related to accounts receivable $480,000c. Cost of carrying inventory6% × inventory6% × $75,000 $4,500d. Depreciation expense7% × Plant and Equipment7% × $300,000 $21,000e. Total costs related to accounts receivable $480,000Cost of carrying inventory 4,500Depreciation expense 21,000Total costs $505,500f. Sales $600,000– total costs 505,500 Income before taxes 94,500 Taxes (30%) 28,350 Income after taxes $ 66,150g. Income after taxes$66,15013.36%Total investment495,000==Yes, it should undertake the campaignThe aftertax return of 13.36% exceeds the required rate of return of 12%21. In Problem 20, if inventory turnover had only been 4 times:a. What would be the new value for inventory investment?b. What would be the return on investment? You need to recompute the total investment and thetotal costs of the campaign to work toward computing income after taxes. Should the campaign beundertaken?7-21. Solution:Apollo Data Systems (Continued)a. Inventory = sales/inventory turnover$150,000 = $600,000/4b. New Total InvestmentAccounts receivable $120,000Inventory 150,000Plant and equipment 300,000$570,000Total Cost of the CampaignCost of carrying inventory6% × $150,000 = $9,000 ($4,500 more than previously)New Income After TaxesSales $600,000– total costs 510,000 ($505,500 + 4,500)Income before taxes 90,000Taxes (30%) 27,000Income after taxes $ 63,000Income after taxes$63,00011.05%Total investment570,000==No, the campaign should not be undertakenThe aftertax return of 11.05% is less than the required rate of return of 12%(Problems 22–25 are a series and should be taken in order.)22. Maddox Resources has credit sales of $180,000 yearly with credit terms of net 30 days, which is also theaverage collection period. Maddox does not offer a discount for early payment, so its customers take the full 30 days to pay.What is the average receivables balance? What is the receivables turnover?7-22. Solution:Maddox ResourcesSales/360 days = average daily sales$180,000/360 = $500Accounts receivable balance = $500 × 30 days = $15,000Receivable turnover =Sales$180,00012x Receivables$15,000==or360 days/30 = 12x23. If Maddox were to offer a 2 percent discount for payment in 10 days and every customer took advantageof the new terms, what would the new average receivables balance be? Use the full sales of $180,000 for your calculation of receivables.7-23. Solution:Maddox Resources (Continued)$500 × 10 days = $5,000 new receivable balance24. If Maddox reduces its bank loans, which cost 12 percent, by the cash generated from its reducedreceivables, what will be the net gain or loss to the firm?7-24. Solution:Maddox Resources (Continued)Old receivables – new receivables with discount = Funds freed by discount$15,000 – $5,000 .................................................................... = $10,000Savings on loan = 12% × $10,000 ............................................ = $ 1,200Discount on sales = 2% × $180,000 ......................................... = (3,600)Net change in income from discount ........................................ $(2,400) No! Don’t offer the discount since the income from reduced bank loans does not offset the loss onthe discount.25. Assume that the new trade terms of 2/10, net 30 will increase sales by 20 percent because the discountmakes the Maddox price competitive. If Maddox earns 16 percent on sales before discounts, should it offer the discount? (Consider the same variables as you did for problems 22 through 24.)7-25. Solution:Maddox Resources (Continued)New sales = $180,000 × 1.20 = $216,000 Sales per day = $216,000/360 = $600 Average receivables balance = $600 × 10 = $6,000 Savings in interest cost ($15,000 – $6,000) × 12% = 1,080Increase profit on new sales = 16% × $36,000* = $5,760Reduced profit because of discount = 2% × $216,000 = (4,320) Net change in income ................................................................................... $2,520 Yes, offer the discount because total profit increases.*New Sales $36,000 = $216,000 – $180,000COMPREHENSIVE PROBLEMBailey Distributing Company sells small appliances to hardware stores in the southern California area. Michael Bailey, the president of the company, is thinking about changing the credit policies offered by the firm to attract customers away from competitors. The current policy calls for a 1/10, net 30, and the new policy would call for a 3/10, net 50. Currently 40 percent of Bailey customers are taking the discount, and it is anticipated that this number would go up to 50 percent with the new discount policy. It is further anticipated that annual sales would increase from a level of $200,000 to $250,000 as a result of the change in the cash discount policy.The increased sales would also affect the inventory level. The average inventory carried by Bailey is based on a determination of an EOQ. Assume unit sales of small appliances will increase from 20,000 to 25,000 units. The ordering cost for each order is $100 and the carrying cost per unit is $1 (these values will not change with the discount). The average inventory is based on EOQ/2. Each unit in inventory has an average cost of $6.50.Cost of goods sold is equal to 65 percent of net sales; general and administrative expenses are 10 percentof net sales; and interest payments of 12 percent will be necessary only for the increase in the accounts receivable and inventory balances. Taxes will equal 25 percent of before-tax income.a. Compute the accounts receivable balance before and after the change in the cash discount policy.Use the net sales (Total sales – Cash discounts) to determine the average daily sales and theaccounts receivable balances.b. Determine EOQ before and after the change in the cash discount policy. Translate this intoaverage inventory (in units and dollars) before and after the change in the cash discount policy.c. Complete the income statement.Before Policy Change After Policy ChangeNet sales (Sales – Cash discounts)Cost of goods soldGross profitGeneral and administrativeexpenseOperating profitInterest on increase in accountsreceivable and inventory (12%)Income before taxesTaxesIncome after taxesd. Should the new cash discount policy be utilized? Briefly comment.CP 7-1. Solution:Bailey Distributing Companya. Accounts receivable = average collection × averageperiod daily sales Before Policy ChangeAverage collection period.40 × 10 days = 4.60 × 30 days = 1822 daysAverage daily sales。

国际财务管理课后习题答案chapter 7doc资料

CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date. Futures contracts are marked-to-market daily to reflect changes in the settlement price. Delivery is seldom made in a futures market. Rather a reversing trade is made to close out a long or short position.2. In order for a derivatives market to function most efficiently, two types of economic agents are needed: hedgers and speculators. Explain.Answer: Two types of market participants are necessary for the efficient operation of a derivatives market: speculators and hedgers. A speculator attempts to profit from a change in the futures price. To do this, the speculator will take a long or short position in a futures contract depending upon his expectations of future price movement. A hedger, on-the-other-hand, desires to avoid price variation by locking in a purchase price of the underlying asset through a long position in a futures contract or a sales price through a short position. In effect, the hedger passes off the risk of price variation to the speculator who is better able, or at least more willing, to bear this risk.3. Why are most futures positions closed out through a reversing trade rather than held to delivery?Answer: In forward markets, approximately 90 percent of all contracts that are initially established result in the short making delivery to the long of the asset underlying the contract. This is natural because the terms of forward contracts are tailor-made between the long and short. By contrast, only about one percent of currency futures contracts result in delivery. While futures contracts are useful for speculation and hedging, their standardized delivery dates make them unlikely to correspond to the actual future dates when foreign exchange transactions will occur. Thus, they are generally closed out in a reversing trade. In fact, the commission thatbuyers and sellers pay to transact in the futures market is a single amount that covers the round-trip transactions of initiating and closing out the position.4. How can the FX futures market be used for price discovery?Answer: To the extent that FX forward prices are an unbiased predictor of future spot exchange rates, the market anticipates whether one currency will appreciate or depreciate versus another. Because FX futures contracts trade in an expiration cycle, different contracts expire at different periodic dates into the future. The pattern of the prices of these cont racts provides information as to the market’s current belief about the relative future value of one currency versus another at the scheduled expiration dates of the contracts. One will generally see a steadily appreciating or depreciating pattern; however, it may be mixed at times. Thus, the futures market is useful for price discovery, i.e., obtaining the market’s forecast of the spot exchange rate at different future dates.5. What is the major difference in the obligation of one with a long position in a futures (or forward) contract in comparison to an options contract?Answer: A futures (or forward) contract is a vehicle for buying or selling a stated amount of foreign exchange at a stated price per unit at a specified time in the future. If the long holds the contract to the delivery date, he pays the effective contractual futures (or forward) price, regardless of whether it is an advantageous price in comparison to the spot price at the delivery date. By contrast, an option is a contract giving the long the right to buy or sell a given quantity of an asset at a specified price at some time in the future, but not enforcing any obligation on him if the spot price is more favorable than the exercise price. Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium, whereas no price is paid at inception to enter into a futures (or forward) contract.6. What is meant by the terminology that an option is in-, at-, or out-of-the-money?Answer: A call (put) option with S t > E (E > S t) is referred to as trading in-the-money. If S t E the option is trading at-the-money. If S t< E (E < S t) the call (put) option is trading out-of-the-money.7. List the arguments (variables) of which an FX call or put option model price is a function. How does the call and put premium change with respect to a change in the arguments?Answer: Both call and put options are functions of only six variables: S t, E, r i, r$, T andσ. When all else remains the same, the price of a European FX call (put) option will increase:1. the larger (smaller) is S,2. the smaller (larger) is E,3. the smaller (larger) is r i,4. the larger (smaller) is r$,5. the larger (smaller) r$ is relative to r i, and6. the greater is σ.When r$ and r i are not too much different in size, a European FX call and put will increase in price when the option term-to-maturity increases. However, when r$ is very much larger than r i, a European FX call will increase in price, but the put premium will decrease, when the option term-to-maturity increases. The opposite is true when r i is very much greater than r$. For American FX options the analysis is less complicated. Since a longer term American option can be exercised on any date that a shorter term option can be exercised, or a some later date, it follows that the all else remaining the same, the longer term American option will sell at a price at least as large as the shorter term option.PROBLEMS1. Assume today’s settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three day s’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.Solution: $1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50,where EUR125,000 is the contractual size of one EUR contract.2. Do problem 1 again assuming you have a long position in the futures contract.Solution: $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50,where EUR125,000 is the contractual size of one EUR contract.With only $562.50 in your performance bond account, you would experience a margin call requesting that additional funds be added to your performance bond account to bring the balance back up to the initial performance bond level.3. Using the quotations in Exhibit 7.3, calculate the face value of the open interest in the June 2005 Swiss franc futures contract.Solution: 2,101 contracts x SF125,000 = SF262,625,000.where SF125,000 is the contractual size of one SF contract.4. Using the quotations in Exhibit 7.3, note that the June 2005 Mexican peso futures contract has a price of $0.08845. You believe the spot price in June will be $0.09500. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?Solution: If you expect the Mexican peso to rise from $0.08845 to $0.09500, you would take a long position in futures since the futures price of $0.08845 is less than your expected spot price.Your anticipated profit from a long position in three contracts is: 3 x ($0.09500 - $0.08845) x MP500,000 = $9,825.00, where MP500,000 is the contractual size of one MP contract.If the futures price is an unbiased predictor of the expected spot price, the expected spot price is the futures price of $0.08845/MP. If this spot price materializes, you will not have any profits or losses from your short position in three futures contracts: 3 x ($0.08845 - $0.08845) x MP500,000 = 0.5. Do problem 4 again assuming you believe the June 2005 spot price will be $0.08500.Solution: If you expect the Mexican peso to depreciate from $0.08845 to $0.07500, you would take a short position in futures since the futures price of $0.08845 is greater than your expected spot price.Your anticipated profit from a short position in three contracts is: 3 x ($0.08845 - $0.07500) x MP500,000 = $20,175.00.If the futures price is an unbiased predictor of the future spot price and this price materializes, you will not profit or lose from your long futures position.6. George Johnson is considering a possible six-month $100 million LIBOR-based, floating-rate bank loan to fund a project at terms shown in the table below. Johnson fears a possible rise in the LIBOR rate by December and wants to use the December Eurodollar futures contract to hedge this risk. The contract expires December 20, 1999, has a US$ 1 million contract size, and a discount yield of7.3 percent.Johnson will ignore the cash flow implications of marking to market, initial margin requirements, and any timing mismatch between exchange-traded futures contract cash flows and the interest payments due in March.Loan TermsSeptember 20, 1999 December 20, 1999 March 20, 2000 • Borrow $100 million at • Pay interest for first three • Pay back principal September 20 LIBOR + 200 months plus interestbasis points (bps) • Roll loan over at• September 20 LIBOR = 7% December 20 LIBOR +200 bpsLoan First loan payment (9%) Second paymentinitiated and futures contract expires and principal↓↓↓•••9/20/99 12/20/99 3/20/00a. Formulate Johnson’s September 20 floating-to-fixed-rate strategy using the Eurodollar future contracts discussed in the text above. Show that this strategy would result in a fixed-rate loan, assuming an increase in the LIBOR rate to 7.8 percent by December 20, which remains at 7.8 percent through March 20. Show all calculations.Johnson is considering a 12-month loan as an alternative. This approach will result in two additional uncertain cash flows, as follows:Loan First Second Third Fourth payment initiated payment (9%) payment payment and principal ↓↓↓↓↓•••••9/20/99 12/20/99 3/20/00 6/20/00 9/20/00 b. Describe the strip hedge that Johnson could use and explain how it hedges the 12-month loan (specify number of contracts). No calculations are needed.CFA Guideline Answera. The basis point value (BPV) of a Eurodollar futures contract can be found by substituting the contract specifications into the following money market relationship:BPV FUT = Change in Value = (face value) x (days to maturity / 360) x (change in yield)= ($1 million) x (90 / 360) x (.0001)= $25The number of contract, N, can be found by:N = (BPV spot) / (BPV futures)= ($2,500) / ($25)= 100ORN = (value of spot position) / (face value of each futures contract)= ($100 million) / ($1 million)= 100ORN = (value of spot position) / (value of futures position)= ($100,000,000) / ($981,750)where value of futures position = $1,000,000 x [1 – (0.073 / 4)]102 contractsTherefore on September 20, Johnson would sell 100 (or 102) December Eurodollar futures contracts at the 7.3 percent yield. The implied LIBOR rate in December is 7.3 percent as indicated by the December Eurofutures discount yield of 7.3 percent. Thus a borrowing rate of 9.3 percent (7.3 percent + 200 basis points) can be locked in if the hedge is correctly implemented.A rise in the rate to 7.8 percent represents a 50 basis point (bp) increase over the implied LIBOR rate. For a 50 basis point increase in LIBOR, the cash flow on the short futures position is:= ($25 per basis point per contract) x 50 bp x 100 contracts= $125,000.However, the cash flow on the floating rate liability is:= -0.098 x ($100,000,000 / 4)= - $2,450,000.Combining the cash flow from the hedge with the cash flow from the loan results in a net outflow of $2,325,000, which translates into an annual rate of 9.3 percent:= ($2,325,000 x 4) / $100,000,000 = 0.093This is precisely the implied borrowing rate that Johnson locked in on September 20. Regardless of the LIBOR rate on December 20, the net cash outflow will be $2,325,000, which translates into an annualized rate of 9.3 percent. Consequently, the floating rate liability has been converted to a fixed rate liability in the sense that the interest rate uncertainty associated with the March 20 payment (using the December 20 contract) has been removed as of September 20.b. In a strip hedge, Johnson would sell 100 December futures (for the March payment), 100 March futures (for the June payment), and 100 June futures (for the September payment). The objective is to hedge each interest rate payment separately using the appropriate number of contracts. The problem is the same as in Part A except here three cash flows are subject to rising rates and a strip of futures is used to hedge this interest rate risk. This problem is simplified somewhat because the cash flow mismatch between thefutures and the loan payment is ignored. Therefore, in order to hedge each cash flow, Johnson simply sells 100 contracts for each payment. The strip hedge transforms the floating rate loan into a strip of fixed rate payments. As was done in Part A, the fixed rates are found by adding 200 basis points to the implied forward LIBOR rate indicated by the discount yield of the three different Eurodollar futures contracts. The fixed payments will be equal when the LIBOR term structure is flat for the first year.7. Jacob Bower has a liability that:• has a principal balance of $100 million on June 30, 1998,• accrues interest quarterly starting on June 30, 1998,• pays interest quarterly,• has a one-year term to maturity, and• calculates interest due based on 90-day LIBOR (the London Interbank OfferedRate).Bower wishes to hedge his remaining interest payments against changes in interest rates.Bower has correctly calculated that he needs to sell (short) 300 Eurodollar futures contracts to accomplish the hedge. He is considering the alternative hedging strategies outlined in the following table.Initial Position (6/30/98) in90-Day LIBOR Eurodollar ContractsStrategy A Strategy BContract Month (contracts) (contracts)September 1998 300 100December 1998 0 100March 1999 0 100a. Explain why strategy B is a more effective hedge than strategy A when the yield curveundergoes an instantaneous nonparallel shift.b. Discuss an interest rate scenario in which strategy A would be superior to strategy B.CFA Guideline Answera. Strategy B’s SuperiorityStrategy B is a strip hedge that is constructed by selling (shorting) 100 futures contracts maturing in each of the next three quarters. With the strip hedge in place, each quarter of the coming year is hedged against shifts in interest rates for that quarter. The reason Strategy B will be a more effective hedge than Strategy A for Jacob Bower is that Strategy B is likely to work well whether a parallel shift or a nonparallel shift occurs over the one-year term of Bower’s liability. That is, regardless of what happens to the term structure, Strategy B structures the futures hedge so that the rates reflected by the Eurodollar futures cash price match the applicable rates for the underlying liability-the 90day LIBOR-based rate on Bower’s liability. The same is not true for Strategy A. Because Jacob Bower’s liability carries a floating interest rate that resets quarterly, he needs a strategy that provides a series of three-month hedges. Strategy A will need to be restructured when the three-month September contract expires. In particular, if the yield curve twists upward (futures yields rise more for distant expirations than for near expirations), Strategy A will produce inferior hedge results.b. Scenario in Which Strategy A is SuperiorStrategy A is a stack hedge strategy that initially involves selling (shorting) 300 September contracts. Strategy A is rarely better than Strategy B as a hedging or risk-reduction strategy. Only from the perspective of favorable cash flows is Strategy A better than Strategy B. Such cash flows occur only in certain interest rate scenarios. For example Strategy A will work as well as Strategy B for Bower’s liability if interest rates (instantaneously) change in parallel fashion. Another interest rate scenario where Strategy A outperforms Strategy B is one in which the yield curve rises but with a twist so that futures yields rise more for near expirations than for distant expirations. Upon expiration of the September contract, Bower will have to roll out his hedge by selling 200 December contracts to hedge the remaining interest payments. This action will have the effect that the cash flow from Strategy A will be larger than the cash flow from Strategy B because the appreciation on the 300 short September futures contracts will be larger than the cumulative appreciation in the 300 contracts shorted in Strategy B (i.e., 100 September, 100 December, and 100 March). Consequently, the cash flow from Strategy A will more than offset the increase in the interest payment on the liability, whereas the cash flow from Strategy B will exactly offset the increase in the interest payment on the liability.8. Use the quotations in Exhibit 7.7 to calculate the intrinsic value and the time value of the 97 September Japanese yen American call and put options.Solution: Premium - Intrinsic Value = Time Value97 Sep Call 2.08 - Max[95.80 – 97.00 = - 1.20, 0] = 2.08 cents per 100 yen97 Sep Put 2.47 - Max[97.00 – 95.80 = 1.20, 0] = 1.27 cents per 100 yen9. Assume spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3 ½ percent.Solution:Note to Instructor: A complete solution to this problem relies on the boundary expressions presented in footnote 3 of the text of Chapter 7.C a≥Max[(70 - 68), (69.50 - 68)/(1.0175), 0]≥Max[ 2, 1.47, 0] = 2 cents10. Do problem 9 again assuming an American put option instead of a call option.Solution: P a≥Max[(68 - 70), (68 - 69.50)/(1.0175), 0]≥Max[ -2, -1.47, 0] = 0 cents11. Use the European option-pricing models developed in the chapter to value the call of problem 9 and the put of problem 10. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet.Solution:d1 = [ln(69.50/68) + .5(.142)2(.50)]/(.142)√.50 = .2675d2 = d1 - .142√.50 = .2765 - .1004 = .1671N(d1) = .6055N(d2) = .5664N(-d1) = .3945N(-d2) = .4336C e = [69.50(.6055) - 68(.5664)]e-(.035)(.50) = 3.51 centsP e = [68(.4336) - 69.50(.3945)]e-(.035)(.50) = 2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9.The volatility of the Swiss franc is 14.2 percent.Solution: The spot rate at T will be either 77.39¢ = 70.00¢(1.1056) or 63.32¢ = 70.00¢(.9045), where u = e.142 .50 = 1.1056 and d = 1/u = .9045. At the exercise price of E = 68, the option will only be exercised at time T if the Swiss franc appreciates; its exercise value would be C uT= 9.39¢ = 77.39¢ - 68. If the Swiss franc depreciates it would not be rational to exercise the option; its value would be C dT = 0.The hedge ratio is h = (9.39 – 0)/(77.39 – 63.32) = .6674.Thus, the call premium is:C0 = Max{[69.50(.6674) – 68((70/68)(.6674 – 1) +1)]/(1.0175), 70 – 68}= Max[1.64, 2] = 2 cents per SF.MINI CASE: THE OPTIONS SPECULATORA speculator is considering the purchase of five three-month Japanese yen call options with a striking price of 96 cents per 100 yen. The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen and the 90-day forward rate is 95.71 cents. The speculator believes the yen will appreciate to $1.00 per 100 yen over the next three months. As the speculator’s assistant, you have been asked to prepare the following:1. Graph the call option cash flow schedule.2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen.3. Determine the speculator’s profit if the yen only appreciates to the forward rate.4. Determine the future spot price at which the speculator will only break even.Suggested Solution to the Options Speculator:1.-2. (5 x ¥6,250,000) x [(100 - 96) - 1.35]/10000 = $8,281.25.3. Since the option expires out-of-the-money, the speculator will let the option expire worthless. He will only lose the option premium.4. S T = E + C = 96 + 1.35 = 97.35 cents per 100 yen.。

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第七章外汇期货与外汇期权
1.
$1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)
+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50,
2. $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50,
因为保证金账户余额只有562.50，将会经历追加保证金要求，增加保证金账户余额至最初的水平
3.
3496 x SF125,000 =62000000
4. 因为未来即期价格高于期货合约价格，因此多头方有利。

3个合同多头方的预期利润为 3 x ($0.083800 - $0.077275) x MP500,000 = $9787.5
如果期货的价格与未来的即期价格相同，则没有获利。

5. 空头
3 x ($0.077275- $0.07500) x MP500,000 = 3412.5
如果期货的价格与未来的即期价格相同，则没有获利。

6.
若到期的即期价格低于或等于108.5，看涨期权的净到期价值为0,；
若到期的即期价格高于108.5的，看涨期权的净到期价值为St-E。

因此，若即期价格为110美分，则净到期价值=110-108.5=1.5美分。

若即期价格为112美分，则净到期价值=110-108.5=3.5美分。

7.
若到期的即期价格高于或等于108.5，看跌期权的净到期价值为0；
若到期的即期价格低于108.5的，看涨期权的净到期价值为E-St。

因此，若即期价格为106美分，则净到期价值=108.5-106=2.5美分。

若即期价格为108美分，则净到期价值=108.5-108=0.5美分。

若即期价格为大于等于108.5美分，则净到期价值为0.。