国际财务管理 chap11
国际财务管理 (11)
Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved
Slide 5
11.1 Factor Models: Announcements, Surprises, and Expected Returns
McGraw-Hill/Irwin
Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved
Slide 8
Risk: Systematic and Unsystematic
We can break down the total risk of holding a stock into two components: systematic risk and unsystematic risk: σ2 Total risk
• The return on any security consists of two parts.
– First, the expected returns – Second, the unexpected or risky returns
• A way to write the return on a stock in the coming month is:
McGraw-Hill/Irwin
Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved
Slide 4
Arbitrage Pricing Theory
Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit.
国际财务管理精选课件
(二)通货膨胀对财务状况的影响
1.东道国通货膨胀会对在该国经营的子公司 的财务状况造成一系列的影响:
实物资产重置成本增加 货币性资产贬值 货币性负债获得收益 收益虚增 2.国际企业难以设计转移定价
三、金融市场
储蓄 资金
金融机构：
商业银行 储蓄银行 信用合作社 保险公司 养老基金
贷款 资金
三、风险价值的计算
1、确定概率分布
概率：指某一事件可能发生的机会，用Pi表示。 Pi的条件：0≤Pi≤1 ；ΣPi=1 。 例：某公司有两个投资项目，大发银行与富商地产，其
基本情况如下：
经济情况 繁荣 一般 衰退
发生概率 0.2 0.6 0.2
银行报酬率 20% 15% 10%
地产报酬率 100% 15% -70%
宣言》 WTO有关规则 欧盟有关条约
第五节 国际财务管理与经济环 境
一、经济制度 国家对国民经济运行的干预程度和所有制的
不同，对会计规范具有重大影响。
二、通货膨胀/紧缩
(一)通货膨胀影响企业现金流 例.某国际企业子公司大量进口某种原材料用于生产 ,产品主要在东道国进行销售。假设东道国发生通货 膨胀，则该子公司的现金流入量可能会发生何种变 化？ ——假如东道国货币没有发生贬值，则现金流入增加 ——假如东道国货币贬值，现金流入不一定增加
普通法系和大陆法系的会计制度不同。
会计制度的实施方式也不同。
二、国内法对国际企业的管制
（一）专门针对国际企业 股权比例 分红原则 共同管理 当地成分要求 资本转移 信息披露
（二）并非专门针对国际企 业
税法 公司法 破产法
三、国际法对国际企业的管制
联合国《跨国公司行为准则》 经合组织《经合组织关于国际投资与多国企业的
国际财务管理课件
• 掌握国际财务管理的基本概念和特点 • 掌握外汇风险的种类、管理程序与避险方式 • 熟悉国际筹资渠道与方式 • 掌握国际企业资本结构的优化方法 • 掌握国际投资的方式及风险的防范 • 掌握国际营运资金的存量管理与流量管理 • 了解国际税收管理体制及其差异 • 掌握国际企业合理避税的方法
• 产品周期理论： 1.在国内生产阶段。2.在发达国 家设厂生产阶段。3.在发展中国家设厂生产阶段。
比较优势理论
• 已知下表条件，海尔、春兰分别具有怎样的比较
优势？
生产效率比较（台/人班）
海尔
春兰
冰箱
15
12
空调
10
9
• 比较优势（Comparative Advantage,也可译作 “相对优势”或“比较利益”）理论认为，如果 各国专门生产和出口其生产成本上最低的产品， 就会从贸易中获利。
• （2）货币/非货币折算法。所有金融产 资产及一切负债（包括流动负债和长期 负债）都按现行汇率折算，而物质资产 或非货币资产则按历史汇率折算。
• （3）现行汇率法。此法将国外子公司的 所有资产和负债都按现行汇率折算。
• （4）时态法。此法与货币/非货币折算 法唯一不同的地方，在于对存货和投资 项目的处理。
• 即期汇率（Spot Rate）。所谓即期外汇交易 是指外汇买卖成交后，买卖双方在当天或在两 个营业日内进行交割的交易。
• 远期汇率（Ｆorward Rate） ，所谓远期外 汇交易是指外汇买卖成交后，根据合同规定的 到期日，按约定的汇率，办理交割的外汇交易。
• 电汇汇率（Telegraphic Transfer Rate，T/T Rate）。电汇是指银行卖出外汇后，即以电报 电传委托其国外分支机构或代理行将汇率付给 收款人的一种汇兑方式。
国际财务管理(考试要点整理)
Chapt3 Balance of Payments 国际收支平衡表
9. The Balance of Payments
The Balance of Payments is the statistical record of a country ’s international transactions over a certain period of time presented in the form of double-entry bookkeeping. 特定时间区段内以复 式记账法对一国的国际交易的统计记录。 The Balance of Payments Identity 国际收支平衡恒等式 BCA + BKA + BRA = 0 Where: BCA = balance on current account BKA = balance on capital account BRA = balance on the reserves account Under a pure flexible exchange rate regime, BCA + BKA = 0
7. Incompatible trinity or macroeconomic trilemma
Impossible triangle refers to the economic, social and fiscal and monetary policy targeting faced many difficulties, difficult to get three goals simultaneously. In terms of monetary policies, free capital flow, exchange rate stability and monetary policy independence nor the three too. “不可 能三角” （Impossible triangle）是指经济社会和财政金融政策目标选择面临诸多困境，难以同 时获得三个方面的目标。在金融政策方面，资本自由流动、汇率稳定和货币政策独立性三者 也不可能兼得。
国际财务管理(PPT全部) 第(11)章
K w K j Wj
j 1
n
公式中：Kw—综合资金成本（加权平均资金成本）； K j —第j种个别资金成本； Wj —第j种个别资金占全部资金的比重（权数）。
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五、边际资金成本
边际资金成本是指资金每增加一个单位 而增加的成本。边际资金成本也是按加权 平均计算的，是追加筹资时所使用的加权 平均成本。
Ks Dc G Pc (1 Fc )
三、个别资金成本的计算(续)
公式中：Ks—普通股成本；Dc—预期年股利额；Pc—普通股筹资额； Fc—普通股筹资费用率； G—普通股利年增长率。
2、资本资产定价模型法 按照“资本资产定价模型法”（CAPM），普通股成本的计算公式则为：
Ks Rs RF ( Rm RF )
第十一章 资金成本与资金结构
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【本章学习目标】
通过本章学习，掌握资金成本的内涵、个别资 金成本和综合资金成本的估算方法，掌握经营 杠杆系数、财务杠杆系数、复合杠杆系数的计 算及各种杠杆作用，掌握资金结构优化决策的
方法；熟悉边际资金成本的测算；了解资金结
构的理论。
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b b b
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DP （三）优先股成本 Kp Pp (1 Fp ) 优先股资金成本的计算公式为： 公式中：Kp—优先股成本； Dp—优先股年股息； Pp—优先股股金总额；Fp—优先股筹资费率。 （四）普通股成本 1、评价法 评价法又称股利增长模型法。按照此种方法，普通股资金成本的计算公式为：
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第二节 杠杆效应
一杠杆
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国际财务管理课后习题答案
C H A P T E R8M A N A G E M E N T O F T R A N S A C T I O N E X P O S U R ESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS ANDPROBLEMSQUESTIONS1. How would you define transaction exposure How is it different from economic exposureAnswer: Transaction exposure is the sensitivity of realized domestic currency values of the firm’s contractual cash flows denominated in foreign currencies to unexpected changes in exchange rates. Unlike economic exposure, transaction exposure is well-defined and short-term.2. Discuss and compare hedging transaction exposure using the forward contract vs. money market instruments. When do the alternative hedging approaches produce the same resultAnswer: Hedging transaction exposure by a forward contract is achieved by selling or buying foreign currency receivables or payables forward. On the other hand, money market hedge is achieved by borrowing or lending the present value of foreign currency receivables or payables, thereby creating offsetting foreign currency positions. If the interest rate parity is holding, the two hedging methods are equivalent.3. Discuss and compare the costs of hedging via the forward contract and the options contract. Answer: There is no up-front cost of hedging by forward contracts. In the case of options hedging, however, hedgers should pay the premiums for the contracts up-front. The cost of forward hedging, however, may be realized ex post when the hedger regrets his/her hedging decision.4. What are the advantages of a currency options contract as a hedging tool compared with the forward contractAnswer: The main advantage of using options contracts for hedging is that the hedger can decide whether to exercise options upon observing the realized future exchange rate. Options thus provide a hedge against ex post regret that forward hedger might have to suffer. Hedgers can only eliminate the downside risk while retaining the upside potential.5. Suppose your company has purchased a put option on the German mark to manage exchange exposure associated with an account receivable denominated in that currency. In this case, your company can be said to have an ‘insurance’ policy on its receivable. Explain in what sense this is so.Answer: Your company in this case knows in advance that it will receive a certain minimum dollar amount no matter what might happen to the $/€exchange rate. Furthermore, if the German mark appreciates, your company will benefit from the rising euro.6. Recent surveys of corporate exchange risk management practices indicate that many U.S. firms simply do not hedge. How would you explain this resultAnswer: There can be many possible reasons for this. First, many firms may feel that they are not really exposed to exchange risk due to product diversification, diversified markets for their products, etc. Second, firms may be using self-insurance against exchange risk. Third, firms may feel that shareholders can diversify exchange risk themselves, rendering corporate risk management unnecessary.7. Should a firm hedge Why or why notAnswer: In a perfect capital market, firms may not need to hedge exchange risk. But firms can add to their value by hedging if markets are imperfect. First, if management knows about the firm’s exposure better than shareholders, the firm, not its shareholders, should hedge. Second, firms may be able to hedge at a lower cost. Third, if default costs are significant, corporate hedging can be justifiable because it reduces the probability of default. Fourth, if the firm faces progressive taxes, it can reduce tax obligations by hedging which stabilizes corporate earnings.8. Using an example, discuss the possible effect of hedging on a firm’s tax obligations.Answer: One can use an example similar to the one presented in the chapter.9. Explain contingent exposure and discuss the advantages of using currency options to manage this type of currency exposure.Answer: Companies may encounter a situation where they may or may not face currency exposure. In this situation, companies need options, not obligations, to buy or sell a given amount of foreign exchange they may or may not receive or have to pay. If companies either hedge using forward contracts or do not hedge at all, they may face definite currency exposure.10. Explain cross-hedging and discuss the factors determining its effectiveness.Answer: Cross-hedging involves hedging a position in one asset by taking a position in another asset. The effectiveness of cross-hedging would depend on the strength and stability of the relationship between the two assets.PROBLEMS1. Cray Research sold a super computer to the Max Planck Institute in Germany on credit and invoiced €10 million payable in six months. Currently, the six-month forward exchange rate is $€ and the foreign exchange advisor for Cray Research predicts that the spot rate is likely to be $€ in six months.(a) What is the expected gain/loss from the forward hedging(b) If you were the financial manager of Cray Research, would you recommend hedging this euro receivable Why or why not(c) Suppose the foreign exchange advisor predicts that the future spot rate will be the same as the forward exchange rate quoted today. Would you recommend hedging in this case Why or why not Solution: (a) Expected gain($) = 10,000,000 –= 10,000,000(.05)= $500,000.(b) I would recommend hedging because Cray Research can increase the expected dollar receipt by $500,000 and also eliminate the exchange risk.(c) Since I eliminate risk without sacrificing dollar receipt, I still would recommend hedging.2. IBM purchased computer chips from NEC, a Japanese electronics concern, and was billed ￥250 million payable in three months. Currently, the spot exchange rate is ￥105/$ and the three-month forward rate is ￥100/$. The three-month money market interest rate is 8 percent per annum in the U.S. and 7 percent per annum in Japan. The management of IBM decided to use the money market hedge to deal with this yen account payable.(a) Explain the process of a money market hedge and compute the dollar cost of meeting the yen obligation.(b) Conduct the cash flow analysis of the money market hedge.Solution: (a). Let’s first compute the PV of ￥250 million, .,250m/ = ￥245,700,So if the above yen amount is invested today at the Japanese interest rate for three months, the maturity value will be exactly equal to ￥25 million which is the amount of payable.To buy the above yen amount today, it will cost:$2,340, = ￥250,000,000/105.The dollar cost of meeting this yen obligation is $2,340, as of today.(b)___________________________________________________________________Transaction CF0 CF1____________________________________________________________________1. Buy yens spot -$2,340,with dollars ￥245,700,2. Invest in Japan - ￥245,700, ￥250,000,0003. Pay yens - ￥250,000,000Net cash flow - $2,340,____________________________________________________________________3. You plan to visit Geneva, Switzerland in three months to attend an international business conference.You expect to incur the total cost of SF 5,000 for lodging, meals and transportation during your stay. As of today, the spot exchange rate is $SF and the three-month forward rate is $SF. You can buy the three-month call option on SF with the exercise rate of $SF for the premium of $ per SF. Assume that your expected future spot exchange rate is the same as the forward rate. The three-month interest rate is 6 percent per annum in the United States and 4 percent per annum in Switzerland.(a) Calculate your expected dollar cost of buying SF5,000 if you choose to hedge via call option on SF.(b) Calculate the future dollar cost of meeting this SF obligation if you decide to hedge using a forward contract.(c) At what future spot exchange rate will you be indifferent between the forward and option market hedges(d) Illustrate the future dollar costs of meeting the SF payable against the future spot exchange rate under both the options and forward market hedges.Solution: (a) Total option premium = (.05)(5000) = $250. In three months, $250 is worth $ = $250. At the expected future spot rate of $SF, which is less than the exercise price, you don’t expect to exercise options. Rather, you expect to buy Swiss franc at $SF. Since you are going to buy SF5,000, you expect to spend $3,150 (=.63x5,000). Thus, the total expected cost of buying SF5,000 will be the sum of $3,150 and $, ., $3,.(b) $3,150 = (.63)(5,000).(c) $3,150 = 5,000x + , where x represents the break-even future spot rate. Solving for x, we obtain x = $SF. Note that at the break-even future spot rate, options will not be exercised.(d) If the Swiss franc appreciates beyond $SF, which is the exercise price of call option, you will exercise the option and buy SF5,000 for $3,200. The total cost of buying SF5,000 will be $3, = $3,200 + $.This is the maximum you will pay.4. Boeing just signed a contract to sell a Boeing 737 aircraft to Air France. Air France will be billed €20million which is payable in one year. The current spot exchange rate is $€ and the one -year forward rateis $€. The annual interest rate is % in the U.S. and % in France. Boeing is concerned with the volatile exchange rate between the dollar and the euro and would like to hedge exchange exposure.(a) It is considering two hedging alternatives: sell the euro proceeds from the sale forward or borrow euros from the Credit Lyonnaise against the euro receivable. Which alternative would you recommend Why(b) Other things being equal, at what forward exchange rate would Boeing be indifferent between the two hedging methodsSolution: (a) In the case of forward hedge, the future dollar proceeds will be (20,000,000) = $22,000,000. In the case of money market hedge (MMH), the firm has to first borrow the PV of its euro receivable, ., 20,000,000/ =€19,047,619. Then the firm should exchange this euro amount into dollars at the current spot rate to receive: (€19,047,619)($€) = $20,000,000, which can be in vested at the dollar interest rate for one year to yield:$20,000,000 = $21,200,000.Clearly, the firm can receive $800,000 more by using forward hedging.(b) According to IRP, F = S(1+i $)/(1+i F ). Thus the “indifferent” forward rate will be: F = / = $€.5. Suppose that Baltimore Machinery sold a drilling machine to a Swiss firm and gave the Swiss client a choice of paying either $10,000 or SF 15,000 in three months.(a) In the above example, Baltimore Machinery effectively gave the Swiss client a free option to buy up to $10,000 dollars using Swiss franc. What is the ‘implied’ exercise exchange rate(b) If the spot exchange rate turns out to be $SF, which currency do you think the Swiss client will choose to use for payment What is the value of this free option for the Swiss client (c) What is the best way for Baltimore Machinery to deal with the exchange exposure Solution: (a) The implied exercise (price) rate is: 10,000/15,000 = $SF .(b) If the Swiss client chooses to pay $10,000, it will cost SF16,129 (=10,000/.62). Since the Swiss client has an option to pay SF15,000, it will choose to do so. The value of this option is obviously SF1,129 (=SF16,129-SF15,000).(c) Baltimore Machinery faces a contingent exposure in the sense that it may or may not receive SF15,000 in the future. The firm thus can hedge this exposure by buying a put option on SF15,000. 6. Princess Cruise Company (PCC) purchased a ship from Mitsubishi Heavy Industry. PCC owes Mitsubishi Heavy Industry 500 million yen in one year. The current spot rate is 124 yen per dollar and the one-year forward rate is 110 yen per dollar. The annual interest rate is 5% in Japan and 8% in the .$ Cost Options hedgeForward hedge$3,$3,1500 (strike price)$/SF$PCC can also buy a one-year call option on yen at the strike price of $.0081 per yen for a premium of .014 cents per yen.(a) Compute the future dollar costs of meeting this obligation using the money market hedge and the forward hedges.(b) Assuming that the forward exchange rate is the best predictor of the future spot rate, compute the expected future dollar cost of meeting this obligation when the option hedge is used.(c) At what future spot rate do you think PCC may be indifferent between the option and forward hedge Solution: (a) In the case of forward hedge, the dollar cost will be 500,000,000/110 = $4,545,455. In the case of money market hedge, the future dollar cost will be: 500,000,000/(124)= $4,147,465.(b) The option premium is: (.014/100)(500,000,000) = $70,000. Its future value will be $70,000 = $75,600.At the expected future spot rate of $.0091(=1/110), which is higher than the exercise of $.0081, PCC will exercise its call option and buy ￥500,000,000 for $4,050,000 (=500,000,.The total expected cost will thus be $4,125,600, which is the sum of $75,600 and $4,050,000.(c) When t he option hedge is used, PCC will spend “at most” $4,125,000. On the other hand, when the forward hedging is used, PCC will have to spend $4,545,455 regardless of the future spot rate. This means that the options hedge dominates the forward hedge. At no future spot rate, PCC will be indifferent between forward and options hedges.7. Airbus sold an aircraft, A400, to Delta Airlines, a U.S. company, and billed $30 million payable in six months. Airbus is concerned with the euro proceeds from international sales and would like to control exchange risk. The current spot exchange rate is $€ and six-month forward exchange rate is $€ at the moment. Airbus can buy a six-month put option on . dollars with a strike price of €$ for a premium of € per . dollar. Currently, six-month interest rate is % in the euro zone and % in the U.S.pute the guaranteed euro proceeds from the American sale if Airbus decides to hedge using aforward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbus need to takeWhat would be the guaranteed euro proceeds from the American sale in this casec.If Airbus decides to hedge using put options on . dollars, what would be the ‘expected’ europroceeds from the American sale Assume that Airbus regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.d.At what future spot exchange rate do you think Airbus will be indifferent between the option andmoney market hedgeSolution:a. Airbus will sell $30 million for ward for €27,272,727 = ($30,000,000) / ($€).b. Airbus will borrow the present value of the dollar receivable, ., $29,126,214 = $30,000,000/, and then sell the dollar proceeds spot for euros: €27,739,251. This is the euro amount that Airbus is going to ke ep.c. Since the expected future spot rate is less than the strike price of the put option, ., €< €, Airbus expects to exercise the option and receive €28,500,000 = ($30,000,000)(€$). This is gross proceeds. Airbus spent €600,000 (=,000,000) upfront for the option and its future cost is equal to €615,000 = €600,000 x . Thus the net europroceeds from the American sale is €27,885,000, which is the difference between the gross proceeds and the option costs.d. At the indifferent future spot rate, the following will hold:€28,432,732 = S T (30,000,000) - €615,000.Solving for S T, we obtain the “indifference” future spot exchange rate, ., €$, or $€. Note that €28,432,732 is the future value of the proceeds under money market hedging:€28,432,732 = (€27,739,251) .Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreign currency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ exchange rate at which they convert those profits to rise above . They can hedge this exposure using DM put options with a strike price of . If the spot rate rises above , they can exercise the option, while if that rate falls they can enjoy additional profits from favorable exchange rate movements.To purchase the options would require an up-front premium of:DM 100,000,000 x = DM 1,640,000.With a strike price of DM/$, this would assure the U.S. company of receiving at least:DM 100,000,000 – DM 1,640,000 x (1 + x 272/360)= DM 98,254,544/ DM/$ = $57,796,791by exercising the option if the DM depreciated. Note that the proceeds from the repatriated profits are reduced by the premium paid, which is further adjusted by the interest foregone on this amount. However, if the DM were to appreciate relative to the dollar, the company would allow the option to expire, and enjoy greater dollar proceeds from this increase.Should forward contracts be used to hedge this exposure, the proceeds received would be:DM100,000,000/ DM/$ = $59,790,732,regardless of the movement of the DM/$ exchange rate. While this amount is almost $2 million more than that realized using option hedges above, there is no flexibility regarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM. If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price , the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between and . If the rate rises above , the company will exercise its put option, and if it fell below , the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/ DM/$ = $60,716,454andDM 100,000,000/ DM/$ = $58,823,529.This would allow the company some upside potential, while guaranteeing proceeds at least $1 million greater than the minimum for simply buying a put as above.Buy/Sell OptionsDM/$SpotPut Payoff “Put”Profits Call Payoff“Call”Profits Net Profit(1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 60,606,061 1,742,846 0 60,606,061 (1,742,846) 60,240,964 1,742,846 0 60,240,964 (1,742,846) 59,880,240 1,742,846 0 59,880,240 (1,742,846) 59,523,810 1,742,846 0 59,523,810 (1,742,846) 59,171,598 1,742,846 0 59,171,598 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529(1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529Since the firm believes that there is a good chance that the pound sterling will weaken, locking them into a forward contract would not be appropriate, because they would lose the opportunity to profit from this weakening. Their hedge strategy should follow for an upside potential to match their viewpoint. Therefore, they should purchase sterling call options, paying a premium of:5,000,000 STG x = 88,000 STG.If the dollar strengthens against the pound, the firm allows the option to expire, and buys sterling in the spot market at a cheaper price than they would have paid for a forward contract; otherwise, the sterling calls protect against unfavorable depreciation of the dollar.Because the fund manager is uncertain when he will sell the bonds, he requires a hedge which will allow flexibility as to the exercise date. Thus, options are the best instrument for him to use. He can buy A$ puts to lock in a floor of A$/$. Since he is willing to forego any further currency appreciation, he can sell A$ calls with a strike price of A$/$ to defray the cost of his hedge (in fact he earns a net premium of A$ 100,000,000 x –= A$ 2,300), while knowing that he can’t receive less than A$/$ when redeeming his investment, and can benefit from a small appreciation of the A$.Example #3:Problem: Hedge principal denominated in A$ into US$. Forgo upside potential to buy floor protection.I. Hedge by writing calls and buying puts1) Write calls for $/A$ @Buy puts for $/A$ @# contracts needed = Principal in A$/Contract size100,000,000A$/100,000 A$ = 1002) Revenue from sale of calls = (# contracts)(size of contract)(premium)$75,573 = (100)(100,000 A$)(.007234 $/A$)(1 + .0825 195/360)3) Total cost of puts = (# contracts)(size of contract)(premium)$75,332 = (100)(100,000 A$)(.007211 $/A$)(1 + .0825 195/360)4) Put payoffIf spot falls below , fund manager will exercise putIf spot rises above , fund manager will let put expire5) Call payoffIf spot rises above .8025, call will be exercised If spot falls below .8025, call will expire6) Net payoffSee following Table for net payoff Australian Dollar Bond HedgeStrikePrice Put Payoff “Put”Principal Call Payoff“Call”Principal Net Profit(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 73,000,000 75,573 0 73,000,241(75,332) 74,000,000 75,573 0 74,000,241(75,332) 75,000,000 75,573 0 75,000,241(75,332) 76,000,000 75,573 0 76,000,241(75,332) 77,000,000 75,573 0 77,000,241(75,332) 78,000,000 75,573 0 78,000,241(75,332) 79,000,000 75,573 0 79,000,241(75,332) 80,000,000 75,573 0 80,000,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241 4. The German company is bidding on a contract which they cannot be certain of winning. Thus, the need to execute a currency transaction is similarly uncertain, and using a forward or futures as a hedge is inappropriate, because it would force them to perform even if they do not win the contract.Using a sterling put option as a hedge for this transaction makes the most sense. For a premium of:12 million STG x = 193,200 STG,they can assure themselves that adverse movements in the pound sterling exchange rate will not diminish the profitability of the project (and hence the feasibility of their bid), while at the same time allowing the potential for gains from sterling appreciation.5. Since AMC in concerned about the adverse effects that a strengthening of the dollar would have on its business, we need to create a situation in which it will profit from such an appreciation. Purchasing a yen put or a dollar call will achieve this objective. The data in Exhibit 1, row 7 represent a 10 percent appreciation of the dollar strike vs. forward rate) and can be used to hedge against a similar appreciation of the dollar.For every million yen of hedging, the cost would be:Yen 100,000,000 x = 127 Yen.To determine the breakeven point, we need to compute the value of this option if the dollar appreciated 10 percent (spot rose to , and subtract from it the premium we paid. This profit would be compared with the profit earned on five to 10 percent of AMC’s sales (which would be lost as a result of the dollar appreciation). The number of options to be purchased which would equalize these two quantities would represent the breakeven point.Example #5:Hedge the economic cost of the depreciating Yen to AMC.If we assume that AMC sales fall in direct proportion to depreciation in the yen ., a 10 percent decline in yen and 10 percent decline in sales), then we can hedge the full value of AMC’s sales. I have assumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ￥/$ Rate / Contract size9600 = ($100,000,000)(120￥/$) / ￥1,250,0002) Total Cost = (# contracts)(contract size)(premium)$1,524,000 = (9600)( ￥1,250,000)($￥)3) Floor rate = Exercise – Premium￥/$ = ￥/$ - $1,524,000/12,000,000,000￥4) The payoff changes depending on the level of the ￥/$ rate. The following table summarizes thepayoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit120 (1,524,990) 100,000,000 98,475,010121 (1,524,990) 99,173,664 97,648,564122 (1,524,990) 98,360,656 96,835,666123 (1,524,990) 97,560,976 86,035,986124 (1,524,990) 96,774,194 95,249,204125 (1,524,990) 96,000,000 94,475,010126 (1,524,990) 95,238,095 93,713,105127 (847,829) 94,488,189 93,640,360128 (109,640) 93,750,000 93,640,360129 617,104 93,023,256 93,640,360130 1,332,668 92,307,692 93,640,360131 2,037,307 91,603,053 93,640,360132 2,731,269 90,909,091 93,640,360133 3,414,796 90,225,664 93,640,360134 4,088,122 89,552,239 93,640,360135 4,751,431 88,888,889 93,640,360136 5,405,066 88,235,294 93,640,360137 6,049,118 87,591,241 93,640,360138 6,683,839 86,966,522 93,640,360139 7,308,425 86,330,936 93,640,360140 7,926,075 85,714,286 93,640,360141 8,533,977 85,106,383 93,640,360142 9,133,318 84,507,042 93,640,360143 9,724,276 83,916,084 93,640,360144 10,307,027 83,333,333 93,640,360145 10,881,740 82,758,621 93,640,360146 11,448,579 82,191,781 93,640,360147 12,007,707 81,632,653 93,640,360148 12,569,279 81,081,081 93,640,360149 13,103,448 80,536,913 93,640,360150 13,640,360 80,000,000 93,640,360The parent has a DM payable, and Lira receivable. It has several ways to cover its exposure; forwards, options, or swaps.The forward would be acceptable for the DM loan, because it has a known quantity and maturity, but the Lira exposure would retain some of its uncertainty because these factors are not assured.The parent could buy DM calls and Lira puts. This would allow them to take advantage of favorable。
第一章 课件 国际财务管理
按投资方式：直接投资（FDI） 间接投资（FII）
按时间长短：中长期投资 短期投资
投资前准备工作：① 认真分析国外投资环境；② 合理选择投资方式； ③ 对投资项目进行财务的可行性分析 （5）国际营运资金管理* * 存量管理：着眼于各类资金处置，使先进、应收账款和存货处于最 佳的持有水平。 流量管理：着眼于资金从异地向另一地的转移，使资金得到合理的 安置，确定最佳的地点和最佳的持有币种，避免风险和损失。 （6）国际税收管理* 实现目标：① 避免国际企业出现双重税收；② 利用优惠政策，实现 最多的纳税减免；③ 利用“避税港”减少所得税；④ 利润转至低税国家 和地区，减少纳税额。 （7）其他内容 ① 国际性财务分析；② 国际性的企业并购；③ 国际价格转移等
② 从国际比较来看 美日财务管理的目标存在很大差异，但他们都属于成功的财务管理。
本书认为，中国采取日本的模式可能更为适合。
③ 从实际调查中看 尽管现在又55%的企业采取利润最大化，但是，企业价值最大化是财 务管理目标发展的方向。
§3 国际财务管理的发展
一 企业财务管理的发展过程* *
主要职能：预测公司资金的需要量和筹集公司需要的资金。 （2）资产管理理财阶段（内部控制财务管理阶段） 主要职能：进行企业日常的资金周转和内部控制，计量模型应用 （3）投资管理理财阶段 主要职能：研究投资组合，进行投资行为，规避风险 （4）通货膨胀理财阶段 20世纪70年代末——80年代初期，欧美出现严重的通货膨胀。西 方财务管理提出了许多治理的方法。
* * 定义： 国际财务管理视财务管理的一个新领域，它是按照国际 惯例和国际经济法的有关条款，根据国际企业财务收支的特 点，组织国际企业的财务活动，处理国际财务关系的一项经 济管理活动。
第七章国际财务管理
4、国际财务管理的整体性
国际财务管理具有境内外的整体性，切不可 只关注境外或境内业务，必须把国际企业的整体 业务纳入研究对象，从而充分发挥境内与境外业 务的互补效应、协同效应与相机决策效应。
国际财务管理必须强调国际业绩评价，完善 国际财务治理，加强全球运营控制，以保证财务 系统的资源控制能力与调动能力，有效保障企业 战略的实现。
（二）政治环境
1、东道国政府对待国外企业的政策态度
国际企业对东道国的产品市场、劳动力市场、资 金市场产生影响； 国际企业的文化、道德观念、政治观点与东道国 可能相冲突。 因此，东道国可能采取不同的政策态度：一视同 仁政策；严格限制政策；鼓励和限制与干预相结 合政策。
2、东道国政治的稳定性
什么是国际企业？
国际企业：超越国界从事商业活动的企业。 国内生产、国际销售是国际企业最简单的国 际业务。 跨国公司是国际企业发展的较高阶段和典型 代表。 跨国公司：一个在两个或更多的国家经营业 务的工商企业，它有一个反映企业全球战略 经营政策的中央决策体系ห้องสมุดไป่ตู้其内部的各个实 体分享资源、信息，并分担责任。
（四）社会人文环境
1. 东道国的文化状况 所谓文化并非是个体的特征，而是一个社会许多人 共有的心理程序。在从事国际经营的过程中，出现 文化冲突是不可避免的，但如果处理不当，就会侵 蚀企业的发展，最终导致企业国际经营的失败。而 要避免这一尴尬局面，提高企业国际经营的竞争力 ，首先必须深刻认识自身的文化特点，其次要充分 认识东道国的文化状况。 2. 东道国的观念与信仰 3. 东道国的教育水平
人民币的可兑换问题
1994年实行外汇管理体制改革，汇率并轨、银行 结售汇、取消外汇计划审批等，实现了人民币经 常项目下有条件的可兑换 1996年7月1日起，对外商投资企业实行银行结汇 和售汇，取消对其经常项目用汇的限制，提高了 居民个人用汇供汇标准，扩大了供汇范围，于 1996年底实现了人民币经常项目的完全可兑换 正在积极创造条件，逐步放松对资本项目的外汇 限制，开放资本市场，以实行人民币资本项目的 可兑换，达到人民币完全自由兑换的要求。