Quantitative corporate finance:
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
Springer
2007
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XV, 542 S. graph. Darst. |
| ISBN: | 1402070195 9781402070198 |
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MARC
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| 245 | 1 | 0 | |a Quantitative corporate finance |c John B. Guerard and Eli Schwartz |
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| 300 | |a XV, 542 S. |b graph. Darst. | ||
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| adam_text | CONTENTS
1
INTRODUCTION:
CAPITAL FORMATION,
RISK,
AND THE CORPORATION
................................................................1
1.
Financial Mathematics and Theory
.................................................1
2.
Growth and Survival of the Firm
....................................................2
3.
Risk and Uncertainty Inherent in Finance
.......................................2
4.
Types of Business Risk
...................................................................3
5.
Financial Risk
..................................................................................4
6.
Division of Risk, Income, and Control
............................................5
7.
Profitability Return, and Risk
..........................................................8
8.
Areas Covered in this Book
.............................................................9
2
THE CORPORATION AND OTHER FORMS OF BUSINESS
ORGANIZATION
..............................................................................11
1.
The Sole or Single Proprietorship
.................................................12
2.
The Partnership
.............................................................................13
3.
The Limited Partnership
................................................................15
4.
The Corporation, its Basic Characteristics
....................................16
5.
Chartering the Corporation
............................................................19
6.
Administrative Organization
.........................................................22
7.
Major Rights of the Shareholders
..................................................25
8.
The Advantages of the Corporate Form
........................................27
3
THE CORPORATION BALANCE SHEET
......................................31
1.
The Balance Sheet
.........................................................................31
2.
Assets
..........................................................................................32
3.
Liabilities and Stockholder Equity
................................................38
3.1
Current Liabilities
...................................................................38
3.2
Long-Term
Debt
.....................................................................39
3.3
Deferred Credits
......................................................................40
3.4
Common Equity
......................................................................41
4.
Book Value of Common Stock
.....................................................43
viii Contents
4
THE OPERATING STATEMENTS: THE INCOME
STATEMENT AND ANNUAL CASH FLOW STATEMENT
..........57
1.
Form and Content of the Income Statement
..................................57
2.
Retained Earnings vs. Dividends
...................................................63
3.
Annual Cash Flow Statement
........................................................64
5
FINANCING CURRENT OPERATIONS, RATIO
AND CREDIT ANALYSIS
................................................................79
1.
Working Capital Concepts
...........................................................79
2.
Quantitative Working Capital Models
-
Cash Management
........80
3.
Sources of Net Working Capital
...................................................83
4.
Ratio Analysis and Working Capital
............................................83
4.1
Current Analysis Ratios
.........................................................84
4.2
General Analysis Ratios
.........................................................87
4.3
Operating Ratios
....................................................................88
5.
Financial Ratios and the Perceived Financial Health
of Firms
.......................................................................................90
6.
The Time Series of Ratios in the US,
1963-2004........................93
7.
Limitations of Ratio Analysis
.......................................................93
8.
Working Capital Analysis and Granting Credit
...........................94
9.
A Summary of Ratio Analysis
......................................................96
6
FINANCING CURRENT OPERATIONS AND THE
CASH BUDGET
................................................................................105
1.
Sources of Short-Term Financing
..............................................107
1.1
Trade Credit
.........................................................................108
1.2
Bank Credit
..........................................................................109
1.3
Other Forms of Short-Term Financing
................................114
2.
The Cash Budget
........................................................................117
7
CAPITAL AND NEW ISSUE MARKETS
.......................................123
1.
The Secondary Markets
..............................................................123
1.1
The Primary Market
.............................................................126
2.
Investment Banking and New Issues Department
......................127
2.1
The Originating House
.........................................................128
2.2
The Underwriting Group
......................................................128
2.3
The Selling Group
................................................................128
Contents ix
3.
Other Aspects of Investment Banking
........................................129
3.1
Best Effort vs. Firm Commitment
or Underwriting Basis
...........................................................129
3.2
Initial Public Offerings (IPOs)
..............................................129
4.
Expansion of a Privately Held Firm into a Public
Corporation
..................................................................................130
5.
The Problem of Control
...............................................................131
6.
Promotion of a Subsidiary by Parent Corporations
.....................132
7.
Formation of a Joint Subsidiary by Two or More
Parent Companies
........................................................................134
8.
The Sec and the Flotation of New Issues
....................................134
8.1
Secondary Floatations
...........................................................136
8.2
Issuing Securities through Rights
.........................................137
8.3
Stock Tenders
.......................................................................138
9.
Costs of Floating an Issue
...........................................................140
10.
Regulation of the Capital Markets
...............................................142
10.1
Securities Act of
1933.......................................................142
10.2
The Securities Exchange Act of
1934...............................143
10.3
Banking Act (Glass Steagle Act) of
1933..........................144
10.4
Glass Steagall Act Amended
.............................................145
10.5
Retail Brokerage Houses
...................................................145
10.6
Public Utility Act of
1935.................................................145
10.7
The Maloney Amendment,
1938.......................................146
10.8
The Investment Company Act of
1940..............................147
10.9
Sarbarmes-Oxley Act of
2002............................................147
11.
The Capital Market as a Source of Funds
...................................148
12.
The Debate on the Optimal Organization of the
Capital Market
.............................................................................151
13.
Capital Markets and Long Term Economic Growth
...................152
8
THE EQUITY OF THE CORPORATION: COMMON
AND PREFERRED STOCK
.............................................................157
1.
Common Stock
............................................................................157
1.1
Common Stock as Risk Capital
............................................157
2.
Rewards of Common Shareholders
.............................................159
3.
The Corporate Sector: A Net Exporter of Funds
.......................161
4.
Definitions of the Value of Common Shares
..............................163
5.
Stock Prices and Dividends: An Example
...................................168
6.
Non-Cash Paying Growth Shares
................................................170
7.
Valuing a Dividend Paying Growth Stock
..................................171
Contents
8.
Super-Growth Cannot be
Infinite................................................173
9.
The Paradox of the Low Current Return
on Growth Options
......................................................................174
10.
Risk and Returns to Growth Investments
....................................175
11.
The Cost of Capital to a Growth Firm
.........................................175
12.
The Cost of Common Stock Financing: The Norm
.....................176
13.
Preferred Stock
............................................................................177
13.1
Features of Preferred Stock
................................................177
14.
Rationale for Preferred Stock Financing
.....................................179
15.
Convertible Preferred
..................................................................179
16.
Protective Features on Preferred Shares
......................................182
17.
Floating New Common Equity Issues
.........................................182
18.
Advantage of New Share Financing
............................................183
9
LONG-TERM DEBT
.........................................................................189
1.
Bonds
...........................................................................................189
2.
Other Types of
Long-Term
Debt
.................................................191
3.
Long-Term Lease
........................................................................193
4.
The Cost of Debt Capital
.............................................................195
5.
Level and Structure of the Interest Rates
....................................198
5.1
The Liquidity Preference Theory of the Term Structure
........200
5.2
The Pure Expectations Theory of the Term Structure
..........200
5.3
The Market Segmentation Theory of the Term Structure
.........201
6.
Structure of Rates and Financial Strategy
...................................201
7.
The Call Feature on Bonds
..........................................................203
8.
Convertible Bonds and Bonds with Warrants Attached
..............205
9.
The Advantages and Disadvantages of
Long-Term
Debt
...........208
10.
Malkiel s Bond Theorems
...........................................................208
11.
Retirement of Debt
......................................................................210
10
DEBT, EQUITY, THE OPTIMAL FINANCIAL
STRUCTURE AND THE COST OF FUNDS
..................................223
1.
A Most Misleading Relationship
.................................................223
2.
Definition of Leverage
-
Profits and Financial Risk
...................224
3.
Illustrations of Leverage
-
Return and Risk
................................225
4.
Surrogate Evidence on the Development of Optimum
Financial Structure
......................................................................228
5.
The Pure Theory of the Optimal Financial Structure
..................230
6. Modigliani
and Miller
-
Constant Capital Costs
.........................232
Contents xi
7. The Optimal Capital
Structure and the
М&М
Hypothesis
..........237
8.
Empirical Factors Influencing Financial Structures
....................238
9.
Measures for Approximating Financial Risk
.............................239
11
INVESTING IN ASSETS: THEORY OF INVESTMENT
DECISION MAKING
.......................................................................247
1.
Net Present Value and the Internal Rate of Return
.....................248
2.
Mutually Exclusive Projects
........................................................249
2.1
Difference in Project Size
.....................................................252
2.2
Differing Duration of the Inflows
.........................................253
3.
Lowest Annualized Total Costs
..................................................255
4.
The Irrational Fixed Capital Budget
............................................255
5.
Operating Practice and the Internal Rate of Return
.....................256
6.
Account for Working Capital
......................................................256
7.
Real Investments and the Cost of Funds
.....................................258
8.
Applying Investment Theory
.......................................................258
8.1
CFO Practice
.........................................................................260
8.2
Current Costs of the Optimum Financial Mix
...................261
9.
Adjusting the Capital Mix and Costs for Individual Project
.........262
10.
Closing or Continuing Operations
...............................................262
11.
Stability of Forecasts-Risk of the Investment
.............................263
12.
The Theory of Dealing with Risk
................................................264
12.1
Risk-Adjusted Discount Rate
............................................264
12.2
Risk/Return Distribution
....................................................265
12.3
Certainty Equivalence
........................................................266
12.4
Maximum Loss and Reversibility
......................................266
12.5
Gross Uncertainty
..............................................................267
12.6
Market Risk
.......................................................................267
12.7
The Effect of Taxes on the Financial Structure
.................267
12.8
Costing the Components of the Financial Mix
..................268
12.9
Cost of Trade Credit
..........................................................269
12.10
Cost of Bank Credit
...........................................................269
12.11
Cost of
Long-Term
Debt
...................................................269
12.12
Cost of Preferred Stock
......................................................269
12.13
Cost of Common Stock
......................................................270
12.14
Internal Funds
....................................................................271
12.15
The Cost of Retained Earnings
..........................................271
12.16
Other Internal Funds-Depreciation, Depletion, etc
............272
13.
Summary
.....................................................................................273
xii Contents
12 REGRESSION
ANALYSIS AND FORECASTING MODELS
.......277
1.
Autocorrelation
............................................................................285
2.
Multiple Regression Analysis
.....................................................287
3.
The Conference Board Composite Index of Leading
Economic Indicators and Real US GDP Growth:
A Regression Example
................................................................293
13
TIME SERIES MODELING AND THE FORECASTING
EFFECTIVENESS OF THE U.S. LEADING ECONOMIC
INDICATORS
..................................................................................303
1. Basic Statistical Properties of Economic Series
..........................304
1.1
The
Autoregressive
and Moving Average Processes
............307
2.
ARMA
Model Identification in Practice
.....................................313
3.
Leading Economic Indicators (LEI) and Real GDP Analysis:
The Statistical Evidence,
1970-2002...........................................317
4.
Leading U.S. and G7 Post-Sample Real GDP
Forecasting Analysis
..................................................................319
5.
Quarterly Earnings per Share Modeling
......................................323
6.
SUEs
........................................................................................324
7.
Pro Forma Analysis
....................................................................327
8.
Forecasting with an Average Annual Growth Rate
.....................328
9.
Regression Forecasting of Sales
..................................................329
10.
Summary
.....................................................................................332
14
RISK AND RETURN OF EQUITY AND THE CAPITAL
ASSET PRICING MODEL
...............................................................337
1.
Calculating Holding Period Returns
............................................338
2.
Minimizing Risk
..........................................................................341
3.
The Three Asset Case
..................................................................343
4.
An Introduction to Modern Portfolio Theory
..............................346
5.
Expected Returns vs. Historic Mean Returns
..............................349
6.
Fundamental Analysis and Stock Selection
................................350
7.
Modem Portfolio Theory and GPRD: An Example
of
Markowitz
Analysis
................................................................352
8.
Further Estimations of a Composite Equity
Valuation Model
..........................................................................356
Contents xiii
15
MULTI-FACTOR RISK MODELS
..................................................365
1.
BARRA
Model Mathematics
......................................................367
2.
Risk Prediction with MFMS
........................................................368
3.
The
BARRA Multi
Factor Model and Analysts
Forecasts, Revisions, and Breadth
...............................................370
4.
Alternative Multi-Beta Risk Models
...........................................375
5.
Summary and Conclusions
..........................................................381
16
OPTIONS
...........................................................................................393
1.
The Malkiel-Quandt Notation
.....................................................398
2.
The Binominal Option Pricing Model
.........................................400
3.
The More Traditional Black and Scholes Option Pricing
Model Derivation
........................................................................402
4.
Black and Scholes Model Calculation
.........................................405
5.
The OPM and Corporate Liabilities
............................................409
17
REAL OPTIONS
...............................................................................415
1.
The Option to Delay a Project
.....................................................416
2.
Implications of Viewing the Right to Delay a Project
as an Option
.................................................................................417
3.
Abandonment Value
....................................................................418
4.
Options in Investment Analysis
/
Capital Budgeting
..................424
18
MERGERS AND ACQUISITIONS
..................................................425
1.
Noneconomic Motives for Combinations
...................................426
2.
Holding Companies
.....................................................................427
2.1
A Merger History of the US
..................................................427
3.
Using an Accounting Basis
.........................................................429
3.1
The Economic Basis for Acquisitions
...................................430
4.
Theories of Conglomerate Mergers
.............................................431
5.
Combinations Correcting Economic or Financial
Imbalances
..................................................................................436
6.
Combinations Increasing Market Dominance
.............................438
7.
Combinations for Tax Advantages
..............................................439
8.
The Larson-Gonedes Exchange Ratio Model
..............................440
9.
Valuation of a Merger Candidate
................................................444
10.
Testing For Synergism
................................................................447
xiv Contents
11.
Do Mergers Enhance Shareholder Wealth?
................................448
12.
Divestment and Spinoff.
..............................................................450
13.
Summary and Conclusions
..........................................................451
19
LIQUIDATION, FAILURE, BANKRUPTCY,
AND REORGANIZATION
..............................................................457
1.
Voluntary Liquidation
.................................................................458
1.1
A Liquidation Example
.........................................................459
1.2
Remaining In Business
.........................................................460
2.
Failure
........................................................................................461
2.1
Informal Remedies
................................................................462
3.
Formal Procedure
........................................................................463
4.
Bankruptcy
..................................................................................463
4.1
The WorldCom Case
............................................................463
4.2
Bankruptcy Procedures
.........................................................464
4.3
Priorities in Liquidation
........................................................465
4.4
Reorganization
......................................................................467
5.
Summary
.....................................................................................472
20
CORPORATION GROWTH AND ECONOMIC GROWTH
AND STABILITY
.............................................................................477
1.
Factors in Economic Growth
.......................................................477
1.1
Savings and Real Investment
................................................478
1.2
Corporation Investment Spending and Economic
Stability
.................................................................................479
2.
Monetary Policy, the Cost of Capital,
and the Firm Investment Process
.................................................482
3.
Economic Growth and Firm Growth
...........................................483
4.
Firm Growth and Economic Growth
...........................................483
21
INTERNATIONAL BUSINESS FINANCE
.....................................489
1.
Currency Exchange Rates
...........................................................489
2.
International Diversification
........................................................493
3.
International Stock Selection
.......................................................496
4.
Efficient Portfolio Optimization Results
in the Pacific Region Markets
.....................................................506
5.
International Corporate Finance Decisions
.................................508
Contents xv
22 MANAGEMENT-STOCKHOLDER
RELATIONS.........................
513
1. General Agreement and Potential
Conflicts in
Management
and Control
..................................................................................514
2.
Areas of
Potential
Conflict
..........................................................515
2.1
Managerial and Board of Directors Compensation
...............515
3.
Executive Compensation
.............................................................516
4.
Board of Directors
.......................................................................518
5.
Stock Options
..............................................................................519
6.
Bonuses
.......................................................................................520
6.1
Dividends, Buy Backs, and Retained Earnings
....................521
6.2
Excessively Conservative Financial or Asset Structures
......522
6.3
Expansion
..............................................................................523
6.4
Liquidating or Selling the Firm
.............................................524
7.
Risky Acquisitions
......................................................................524
8.
Turning Agents into Owners
.......................................................525
9.
The Diseconomies of Financial Scams
........................................527
10.
Insider Trading
............................................................................527
10.1
Conflict of Interests
...........................................................528
11.
Stockholder Remedies
.................................................................529
12.
To Whom is Management Responsible?
.....................................530
APPENDIX
..............................................................................................534
INDEX
......................................................................................................537
Quantitative Corporate
Finance
presents a comprehensive treatment of the legal arrangement
of the corporation, the instruments and institutions through which capital can be raised, the
management of the flow of funds through the
individuai
firm, and the methods of dividing the risks
and returns among the various contributors of funds. Guerard and Schwartz cover a wide variety
of tools and techniques used to evaluate and manage financial performance, with particular
emphasis on the application of regression analysis, time series modeling, the
Capitai
Asset Pricing
Model (CAPM). and multi-factor risk models. Moreover, they address such timely topics as optimal
capital structure (in the United States and internationally), dividend policy, sales forecasting and
pro forma statement analysis, the regulatory environment, mergers and acquisitions, bankruptcy,
management-shareholder relations, and the
corporation as a
social and economic institution.
Featuring detailed worked examples and practical problems throughout, the book is designed to
serve as a graduate-level text and a practical reference for practitioners, analysts, and regulators.
|
| adam_txt |
CONTENTS
1
INTRODUCTION:
CAPITAL FORMATION,
RISK,
AND THE CORPORATION
.1
1.
Financial Mathematics and Theory
.1
2.
Growth and Survival of the Firm
.2
3.
Risk and Uncertainty Inherent in Finance
.2
4.
Types of Business Risk
.3
5.
Financial Risk
.4
6.
Division of Risk, Income, and Control
.5
7.
Profitability Return, and Risk
.8
8.
Areas Covered in this Book
.9
2
THE CORPORATION AND OTHER FORMS OF BUSINESS
ORGANIZATION
.11
1.
The Sole or Single Proprietorship
.12
2.
The Partnership
.13
3.
The Limited Partnership
.15
4.
The Corporation, its Basic Characteristics
.16
5.
Chartering the Corporation
.19
6.
Administrative Organization
.22
7.
Major Rights of the Shareholders
.25
8.
The Advantages of the Corporate Form
.27
3
THE CORPORATION BALANCE SHEET
.31
1.
The Balance Sheet
.31
2.
Assets
.32
3.
Liabilities and Stockholder Equity
.38
3.1
Current Liabilities
.38
3.2
Long-Term
Debt
.39
3.3
Deferred Credits
.40
3.4
Common Equity
.41
4.
Book Value of Common Stock
.43
viii Contents
4
THE OPERATING STATEMENTS: THE INCOME
STATEMENT AND ANNUAL CASH FLOW STATEMENT
.57
1.
Form and Content of the Income Statement
.57
2.
Retained Earnings vs. Dividends
.63
3.
Annual Cash Flow Statement
.64
5
FINANCING CURRENT OPERATIONS, RATIO
AND CREDIT ANALYSIS
.79
1.
Working Capital Concepts
.79
2.
Quantitative Working Capital Models
-
Cash Management
.80
3.
Sources of Net Working Capital
.83
4.
Ratio Analysis and Working Capital
.83
4.1
Current Analysis Ratios
.84
4.2
General Analysis Ratios
.87
4.3
Operating Ratios
.88
5.
Financial Ratios and the Perceived Financial Health
of Firms
.90
6.
The Time Series of Ratios in the US,
1963-2004.93
7.
Limitations of Ratio Analysis
.93
8.
Working Capital Analysis and Granting Credit
.94
9.
A Summary of Ratio Analysis
.96
6
FINANCING CURRENT OPERATIONS AND THE
CASH BUDGET
.105
1.
Sources of Short-Term Financing
.107
1.1
Trade Credit
.108
1.2
Bank Credit
.109
1.3
Other Forms of Short-Term Financing
.114
2.
The Cash Budget
.117
7
CAPITAL AND NEW ISSUE MARKETS
.123
1.
The Secondary Markets
.123
1.1
The Primary Market
.126
2.
Investment Banking and New Issues Department
.127
2.1
The Originating House
.128
2.2
The Underwriting Group
.128
2.3
The Selling Group
.128
Contents ix
3.
Other Aspects of Investment Banking
.129
3.1
Best Effort vs. Firm Commitment
or Underwriting Basis
.129
3.2
Initial Public Offerings (IPOs)
.129
4.
Expansion of a Privately Held Firm into a Public
Corporation
.130
5.
The Problem of Control
.131
6.
Promotion of a Subsidiary by Parent Corporations
.132
7.
Formation of a Joint Subsidiary by Two or More
Parent Companies
.134
8.
The Sec and the Flotation of New Issues
.134
8.1
Secondary Floatations
.136
8.2
Issuing Securities through Rights
.137
8.3
Stock Tenders
.138
9.
Costs of Floating an Issue
.140
10.
Regulation of the Capital Markets
.142
10.1
Securities Act of
1933.142
10.2
The Securities Exchange Act of
1934.143
10.3
Banking Act (Glass Steagle Act) of
1933.144
10.4
Glass Steagall Act Amended
.145
10.5
Retail Brokerage Houses
.145
10.6
Public Utility Act of
1935.145
10.7
The Maloney Amendment,
1938.146
10.8
The Investment Company Act of
1940.147
10.9
Sarbarmes-Oxley Act of
2002.147
11.
The Capital Market as a Source of Funds
.148
12.
The Debate on the Optimal Organization of the
Capital Market
.151
13.
Capital Markets and Long Term Economic Growth
.152
8
THE EQUITY OF THE CORPORATION: COMMON
AND PREFERRED STOCK
.157
1.
Common Stock
.157
1.1
Common Stock as Risk Capital
.157
2.
Rewards of Common Shareholders
.159
3.
The Corporate Sector: A Net Exporter of Funds
.161
4.
Definitions of the Value of Common Shares
.163
5.
Stock Prices and Dividends: An Example
.168
6.
Non-Cash Paying Growth Shares
.170
7.
Valuing a Dividend Paying Growth Stock
.171
Contents
8.
Super-Growth Cannot be
Infinite.173
9.
The Paradox of the Low Current Return
on Growth Options
.174
10.
Risk and Returns to Growth Investments
.175
11.
The Cost of Capital to a Growth Firm
.175
12.
The Cost of Common Stock Financing: The Norm
.176
13.
Preferred Stock
.177
13.1
Features of Preferred Stock
.177
14.
Rationale for Preferred Stock Financing
.179
15.
Convertible Preferred
.179
16.
Protective Features on Preferred Shares
.182
17.
Floating New Common Equity Issues
.182
18.
Advantage of New Share Financing
.183
9
LONG-TERM DEBT
.189
1.
Bonds
.189
2.
Other Types of
Long-Term
Debt
.191
3.
Long-Term Lease
.193
4.
The Cost of Debt Capital
.195
5.
Level and Structure of the Interest Rates
.198
5.1
The Liquidity Preference Theory of the Term Structure
.200
5.2
The Pure Expectations Theory of the Term Structure
.200
5.3
The Market Segmentation Theory of the Term Structure
.201
6.
Structure of Rates and Financial Strategy
.201
7.
The Call Feature on Bonds
.203
8.
Convertible Bonds and Bonds with Warrants Attached
.205
9.
The Advantages and Disadvantages of
Long-Term
Debt
.208
10.
Malkiel's Bond Theorems
.208
11.
Retirement of Debt
.210
10
DEBT, EQUITY, THE OPTIMAL FINANCIAL
STRUCTURE AND THE COST OF FUNDS
.223
1.
A Most Misleading Relationship
.223
2.
Definition of Leverage
-
Profits and Financial Risk
.224
3.
Illustrations of Leverage
-
Return and Risk
.225
4.
Surrogate Evidence on the Development of "Optimum"
Financial Structure
.228
5.
The Pure Theory of the Optimal Financial Structure
.230
6. Modigliani
and Miller
-
Constant Capital Costs
.232
Contents xi
7. The Optimal Capital
Structure and the
М&М
Hypothesis
.237
8.
Empirical Factors Influencing Financial Structures
.238
9.
Measures for Approximating Financial Risk
.239
11
INVESTING IN ASSETS: THEORY OF INVESTMENT
DECISION MAKING
.247
1.
Net Present Value and the Internal Rate of Return
.248
2.
Mutually Exclusive Projects
.249
2.1
Difference in Project Size
.252
2.2
Differing Duration of the Inflows
.253
3.
Lowest Annualized Total Costs
.255
4.
The Irrational Fixed Capital Budget
.255
5.
Operating Practice and the Internal Rate of Return
.256
6.
Account for Working Capital
.256
7.
Real Investments and the Cost of Funds
.258
8.
Applying Investment Theory
.258
8.1
CFO Practice
.260
8.2
Current Costs of the "Optimum" Financial Mix
.261
9.
Adjusting the Capital Mix and Costs for Individual Project
.262
10.
Closing or Continuing Operations
.262
11.
Stability of Forecasts-Risk of the Investment
.263
12.
The Theory of Dealing with Risk
.264
12.1
Risk-Adjusted Discount Rate
.264
12.2
Risk/Return Distribution
.265
12.3
Certainty Equivalence
.266
12.4
Maximum Loss and Reversibility
.266
12.5
Gross Uncertainty
.267
12.6
Market Risk
.267
12.7
The Effect of Taxes on the Financial Structure
.267
12.8
Costing the Components of the Financial Mix
.268
12.9
Cost of Trade Credit
.269
12.10
Cost of Bank Credit
.269
12.11
Cost of
Long-Term
Debt
.269
12.12
Cost of Preferred Stock
.269
12.13
Cost of Common Stock
.270
12.14
Internal Funds
.271
12.15
The Cost of Retained Earnings
.271
12.16
Other Internal Funds-Depreciation, Depletion, etc
.272
13.
Summary
.273
xii Contents
12 REGRESSION
ANALYSIS AND FORECASTING MODELS
.277
1.
Autocorrelation
.285
2.
Multiple Regression Analysis
.287
3.
The Conference Board Composite Index of Leading
Economic Indicators and Real US GDP Growth:
A Regression Example
.293
13
TIME SERIES MODELING AND THE FORECASTING
EFFECTIVENESS OF THE U.S. LEADING ECONOMIC
INDICATORS
.303
1. Basic Statistical Properties of Economic Series
.304
1.1
The
Autoregressive
and Moving Average Processes
.307
2.
ARMA
Model Identification in Practice
.313
3.
Leading Economic Indicators (LEI) and Real GDP Analysis:
The Statistical Evidence,
1970-2002.317
4.
Leading U.S. and G7 Post-Sample Real GDP
Forecasting Analysis
.319
5.
Quarterly Earnings per Share Modeling
.323
6.
SUEs
.324
7.
Pro Forma Analysis
.327
8.
Forecasting with an Average Annual Growth Rate
.328
9.
Regression Forecasting of Sales
.329
10.
Summary
.332
14
RISK AND RETURN OF EQUITY AND THE CAPITAL
ASSET PRICING MODEL
.337
1.
Calculating Holding Period Returns
.338
2.
Minimizing Risk
.341
3.
The Three Asset Case
.343
4.
An Introduction to Modern Portfolio Theory
.346
5.
Expected Returns vs. Historic Mean Returns
.349
6.
Fundamental Analysis and Stock Selection
.350
7.
Modem Portfolio Theory and GPRD: An Example
of
Markowitz
Analysis
.352
8.
Further Estimations of a Composite Equity
Valuation Model
.356
Contents xiii
15
MULTI-FACTOR RISK MODELS
.365
1.
BARRA
Model Mathematics
.367
2.
Risk Prediction with MFMS
.368
3.
The
BARRA Multi
Factor Model and Analysts'
Forecasts, Revisions, and Breadth
.370
4.
Alternative Multi-Beta Risk Models
.375
5.
Summary and Conclusions
.381
16
OPTIONS
.393
1.
The Malkiel-Quandt Notation
.398
2.
The Binominal Option Pricing Model
.400
3.
The More Traditional Black and Scholes Option Pricing
Model Derivation
.402
4.
Black and Scholes Model Calculation
.405
5.
The OPM and Corporate Liabilities
.409
17
REAL OPTIONS
.415
1.
The Option to Delay a Project
.416
2.
Implications of Viewing the Right to Delay a Project
as an Option
.417
3.
Abandonment Value
.418
4.
Options in Investment Analysis
/
Capital Budgeting
.424
18
MERGERS AND ACQUISITIONS
.425
1.
Noneconomic Motives for Combinations
.426
2.
Holding Companies
.427
2.1
A Merger History of the US
.427
3.
Using an Accounting Basis
.429
3.1
The Economic Basis for Acquisitions
.430
4.
Theories of Conglomerate Mergers
.431
5.
Combinations Correcting Economic or Financial
Imbalances
.436
6.
Combinations Increasing Market Dominance
.438
7.
Combinations for Tax Advantages
.439
8.
The Larson-Gonedes Exchange Ratio Model
.440
9.
Valuation of a Merger Candidate
.444
10.
Testing For Synergism
.447
xiv Contents
11.
Do Mergers Enhance Shareholder Wealth?
.448
12.
Divestment and Spinoff.
.450
13.
Summary and Conclusions
.451
19
LIQUIDATION, FAILURE, BANKRUPTCY,
AND REORGANIZATION
.457
1.
Voluntary Liquidation
.458
1.1
A Liquidation Example
.459
1.2
Remaining In Business
.460
2.
Failure
.461
2.1
Informal Remedies
.462
3.
Formal Procedure
.463
4.
Bankruptcy
.463
4.1
The WorldCom Case
.463
4.2
Bankruptcy Procedures
.464
4.3
Priorities in Liquidation
.465
4.4
Reorganization
.467
5.
Summary
.472
20
CORPORATION GROWTH AND ECONOMIC GROWTH
AND STABILITY
.477
1.
Factors in Economic Growth
.477
1.1
Savings and Real Investment
.478
1.2
Corporation Investment Spending and Economic
Stability
.479
2.
Monetary Policy, the Cost of Capital,
and the Firm Investment Process
.482
3.
Economic Growth and Firm Growth
.483
4.
Firm Growth and Economic Growth
.483
21
INTERNATIONAL BUSINESS FINANCE
.489
1.
Currency Exchange Rates
.489
2.
International Diversification
.493
3.
International Stock Selection
.496
4.
Efficient Portfolio Optimization Results
in the Pacific Region Markets
.506
5.
International Corporate Finance Decisions
.508
Contents xv
22 MANAGEMENT-STOCKHOLDER
RELATIONS.
513
1. General Agreement and Potential
Conflicts in
Management
and Control
.514
2.
Areas of
Potential
Conflict
.515
2.1
Managerial and Board of Directors Compensation
.515
3.
Executive Compensation
.516
4.
Board of Directors
.518
5.
Stock Options
.519
6.
Bonuses
.520
6.1
Dividends, Buy Backs, and Retained Earnings
.521
6.2
Excessively Conservative Financial or Asset Structures
.522
6.3
Expansion
.523
6.4
Liquidating or Selling the Firm
.524
7.
Risky Acquisitions
.524
8.
Turning Agents into Owners
.525
9.
The Diseconomies of Financial Scams
.527
10.
Insider Trading
.527
10.1
Conflict of Interests
.528
11.
Stockholder Remedies
.529
12.
To Whom is Management Responsible?
.530
APPENDIX
.534
INDEX
.537
Quantitative Corporate
Finance
presents a comprehensive treatment of the legal arrangement
of the corporation, the instruments and institutions through which capital can be raised, the
management of the flow of funds through the
individuai
firm, and the methods of dividing the risks
and returns among the various contributors of funds. Guerard and Schwartz cover a wide variety
of tools and techniques used to evaluate and manage financial performance, with particular
emphasis on the application of regression analysis, time series modeling, the
Capitai
Asset Pricing
Model (CAPM). and multi-factor risk models. Moreover, they address such timely topics as optimal
capital structure (in the United States and internationally), dividend policy, sales forecasting and
pro forma statement analysis, the regulatory environment, mergers and acquisitions, bankruptcy,
management-shareholder relations, and the
corporation as a
social and economic institution.
Featuring detailed worked examples and practical problems throughout, the book is designed to
serve as a graduate-level text and a practical reference for practitioners, analysts, and regulators. |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Guerard, John Baynard Schwartz, Eli 1921-2010 |
| author_GND | (DE-588)170085600 (DE-588)17096082X |
| author_facet | Guerard, John Baynard Schwartz, Eli 1921-2010 |
| author_role | aut aut |
| author_sort | Guerard, John Baynard |
| author_variant | j b g jb jbg e s es |
| building | Verbundindex |
| bvnumber | BV021638285 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4026 |
| callnumber-raw | HG4026 |
| callnumber-search | HG4026 |
| callnumber-sort | HG 44026 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 700 |
| classification_tum | WIR 680f |
| ctrlnum | (OCoLC)144519673 (DE-599)BVBBV021638285 |
| dewey-full | 658.15 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15 |
| dewey-search | 658.15 |
| dewey-sort | 3658.15 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV021638285 |
| illustrated | Illustrated |
| index_date | 2024-07-02T14:59:10Z |
| indexdate | 2024-07-09T20:40:31Z |
| institution | BVB |
| isbn | 1402070195 9781402070198 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014853106 |
| oclc_num | 144519673 |
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| physical | XV, 542 S. graph. Darst. |
| publishDate | 2007 |
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| publisher | Springer |
| record_format | marc |
| spelling | Guerard, John Baynard Verfasser (DE-588)170085600 aut Quantitative corporate finance John B. Guerard and Eli Schwartz New York, NY Springer 2007 XV, 542 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Corporations Finance Finanzierung (DE-588)4017182-6 gnd rswk-swf Corporate Finance (DE-588)4269795-5 gnd rswk-swf Statistische Analyse (DE-588)4116599-8 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Corporate Finance (DE-588)4269795-5 s Statistische Analyse (DE-588)4116599-8 s b DE-604 Schwartz, Eli 1921-2010 Verfasser (DE-588)17096082X aut Erscheint auch als Online-Ausgabe 978-0-387-34465-2 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014853106&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014853106&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Guerard, John Baynard Schwartz, Eli 1921-2010 Quantitative corporate finance Corporations Finance Finanzierung (DE-588)4017182-6 gnd Corporate Finance (DE-588)4269795-5 gnd Statistische Analyse (DE-588)4116599-8 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4269795-5 (DE-588)4116599-8 |
| title | Quantitative corporate finance |
| title_auth | Quantitative corporate finance |
| title_exact_search | Quantitative corporate finance |
| title_exact_search_txtP | Quantitative corporate finance |
| title_full | Quantitative corporate finance John B. Guerard and Eli Schwartz |
| title_fullStr | Quantitative corporate finance John B. Guerard and Eli Schwartz |
| title_full_unstemmed | Quantitative corporate finance John B. Guerard and Eli Schwartz |
| title_short | Quantitative corporate finance |
| title_sort | quantitative corporate finance |
| topic | Corporations Finance Finanzierung (DE-588)4017182-6 gnd Corporate Finance (DE-588)4269795-5 gnd Statistische Analyse (DE-588)4116599-8 gnd |
| topic_facet | Corporations Finance Finanzierung Corporate Finance Statistische Analyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014853106&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014853106&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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