......................................................................................................................................19 ............................................................................................................................................19 .........................................................................................................................19 ...............................................................................................20 .....................................................................................20 ........................................................................................................21 ....................................................................21 ...............................................................................................21 .........................................................21 - .................................................................21 ...............................................................................................................21 ......................................................................................................................21 FINCOACH FINCOACH.................21 Web- PHLIP/CW: Prentice Hall Internet (www.prenhall.com/bodie)...........................................................................21 Web- (www.prenhall.com/bodie).................................................................22 .........................................................................................................22 - " Prentice Hall"..........................................22 , ................................23 .....................................................................................................................................24 I................................................................................................................................................24 .....................................................................................................24 1...........................................................................................................................................24 ............................................................................................................24 .......................................................................................................................................24 .......................................................................................................................................25 1.1. ........................................................................................25 1.2. ...................................................................26 ..............................................................................................................................26 1.3. , ..............28 1.4. , ...................................29 1.8. : ..................................30 1.9. ......................................................................31 7. ..........................................................................31 ) .....................................................................31 ) ............31 ) ...........................................................................................................................................31 8. .......................................................................................................31 9. ..............................................................31 . Financial Executives Institute..........................................................................................32 ...............................................................................................................................................32 (finance), 38 ....................................................................................................................33 (financial system),38....................................................................................33 , . (net worth), 43..............33 (corporation), 46..........................................................................................................33 ...........................................................................................................................34 2...........................................................................................................................................36 .......................................................................................................36 .......................................................................................................................................36 .......................................................................................................................................36 2.1. .............................................................36 1

2.2. ..............................................................................................37 2.1..................................................................................................................38 5000 ., . , . 2.1...........................................38 2.3. ...................................38 2.3.1. 1. ...........................38 2.3.2. 2. ................................................................................39 2.3.3. 3. - ................................................................40 2.4..........................................................................................................40 2.3.4. 4. .........40 2.5..................................................................................................................41 2.3.5. 5. ................................................................41 2.6..........................................................................................................42 2.3.6. 6. ........................42 2.7..................................................................................................................43 2.8......................................................................................................44 2.9..................................................................................................................45 2.4. " " .........................45 2.5. .................................................................................................47 2.10................................................................................................................47 2.6. ..............................................................................47 2.6.1. ....................................................................................................48 .........................................................................................48 2.12................................................................................................................49 2.6.2. ...............................................................50 2.6.3. ....................................................51 iCyMMapHacQCTfcnu1! , 30 )111''':':1'" 1'/::1 |..................52 " 0,3% , ................................................................................................52 . Upper Analytical Services, Inc................................................52 ||||.|............................................................................................................................52 ..................................................52 . The Economist, 17 , 1999, . 111. 1999 The Economist Newspaper Group, Inc. . , www. economist. corn..................................................................................................................................52 2.6.4. ....................................................52 ......................................................................................................................................................53 ........................................................................................................................................................54 | 2.4. , C,1926-1997 (%)......................................................................................................................54 2.6.5. 1926-1997 ......................55 = - 1 + ............................................................................................................................56 -0,02857=2,857%...............................................................................................................................56 I Bond....................................................................................................................57 2.6.6. ...........................................................................58 2.6.7. , .............................58 ........................................................................59 .....................................................................................................................................59 ....................................................................................................59 ...............................................................................................................................59 ........................................................................................................................59 2

2.7. ....................................................................................59 2.7.1. ............................................................................................................................60 2.7.2. - .....................................................60 2.7.3. ..................................................................................................60 2.7.4. ....................................................................................................61 2.7.5. ........................................................................................................61 2.7.6. ..............................................................................................61 2.7.7. , .......................................62 2.7.8. , ...............................................................................62 2.7.9. , .............................................62 2.8. ................................................................................................................................62 2.8.1. .....................................................................63 2.9. ...........64 2.9.2. ........................................................................................64 2.9.3. .............................................................................65 ...............................................................................................................................................65 ...........................................................................................................................66 ...........................................................................................................................68 ............................................................................................................................68 2.1 .........................................................69 .............................................................................................................................69 .....................................................................................................69 3...............................................................................................................................................70 : ....................................................................................................................70 3.1. .......................................................................70 ...............................................................................................................71 3.1..................................................................................................................71 3.2. 0 ....................................................71 3.2.1. ......................................................................................................................................72 3.2.2. .........................................................................................73 3.3..................................................................................................................74 3.2.3. ...................................................................................74 ...............................75 .................................75 , , ..................................................77 . (, - : L1FO (last in, first out" " , ") FIFO ("first in, first out" " ")), , . , , , , , ..........................................................................................................................................77 . , ,..........................................................................78 . ................................................................78 3

. , ( ), ( ). . ............................................................................................................................................................78 . , , , , , , , ...........................................................................78 3.5..................................................................................................................78 ?........................................................................................78 (book value). , ( ), , .......................................................................78 . 3.1 , GPC 201 . 313,40 ., 187,50 . , GPC, ............................................................................................................................................................78 , ? , ? .................................................................................................................78 , .........................................................................................78 -................................78 , , , ,.................................................................................................................78 ....................................................78 -, , . , , . , , - , (intangible assets), , ...........78 , , - , . , , , - , , (goodwill). , , . , , , , ,...78 , , . , , 4

, . ................................................................................................................78 , . . , , , IBM 3,9 ., 2,6 . 1,2 ....................................................................................................................................................79 , . ? , , , . , , , (1,2 .), , -.............................................................................................................................................79 - , 29000 ., 60000 . ? (29000 ,) , , 60000 . , , , 60000 ,. 79 . , , , , , , , - , , , , ...............................79 , , . , , , , . (marking to market)................79 . , , , - , , , , , , , . (John R. Hicks) " " (Value and Capital), , 6- (income, earnings, profits) , , , 5

................................................................................................................................................79 . , , , 100000 , , 60000 . , , , , , , , 60000 . , . , , 40000 .................................................................79 , , , , . , 2 , , 50 . 10%, 3 . (., 2 . - 50 . 0,10 = -3 .). , ............................................................................................................79 V, R. Hicks, Value and Capital, 2- (New York: Oxford University Press, 1946). c/np172......................................................................................................................................................79 , , (. 3-4)-...............................................................80 , (, , ), , , . . , . , -l- 2 :................................................................................................80 _ , , ____ ______ ...................................................................................................80 ........................................................................................................80 (total shareholder returns)................................................................................................................................................80 GPC. , , 201 , 200 . , , , 187,20 . . , , i0 . , GPC 1,4%. :..............................................80 - 187,20 .-200 -+10 . .,.,. = = ....................................................................80 200 .............................................................................................................................................80 , , / ) (ROE return on equity). ROE :....................................................80 ROE = . 23< 4 - - 0.078 7.8%..........................................................80 300 >............................................................................................80

6

, , ROE , ................................................................................................80 VGI Corporation, 207 , 5 ,, 3 . . 30 ., 40 . 32 . 35 > . ROE ....................................................80 3.6. ..............80 , , , ....................80 , : (profitability), (asset turnover), "" ( ) (financial leverage), (liquidity) (market value). , 3.5 GPC.....................................................................................80 (' ). (return on sales), (return on assets) (return on equity). (EBIT earnings before interest and taxes), - , , , ' , , , , ..........80 , , . , - ...81 "", . , ...........................81 .....................................................................................................................81 . , , , . ( ), : .....................81 , , 7

(/ price to earnings) (/ market to book).................................................................81 7 . . - -..........................................................................................................81 s , - Q. (James ), '......................................81 ..............................................................81 , :............................................................................................................................................81 : ; ............................................................................................................................................................81 , ;...............................................................................................81 ;.................81 ;............................................................................................................................................81 , , -...................................................................................................................81 , : (1) Dan & Sradstreet, (2) (Annual Statement Studies by Robert Morris Associates), (3) (the Commerce Department's Quarterly Financial Repo/i) (4) . , - Internet,..........81 3.6.1. .............................................81 (ROA) 1 ;..................................................................................81 _ ..............................................................................................................81 .................................................................................................81 = ROS ...........................................81 , ROA ROS , , , , . , , , , , . -...........................................................................81 , , 10%, , , . . 3,6, "" (2%) 10%- , "" . , () , , 0,5 , %-.............................................................81 ROE , . . 3.8 , (ROA) (ROE) , . 8

, Ifdebt 10% ................................................................................83 . , , (ROE) (1 - ) (ROA), , ,...............83 , - , , Moody's Standard & Poors Corporation, , . , , ,...................................................................83 3.6.3. ................83 , , . , , , . , , . , , . , , , , , - tjl , , .....................................................................................83 3.7. ...............................................................................83 : , . , , . , , , , .........................83 - 1995 1 Corporation . , , 1995 , . , 4....................83 . , , . , , , , , , , , , , , -..............................................83 ...............................................83 1. , 9

, , , , , , ............................................................................83 2. , , , . , , , . - , , , , . , , - ,........83 3- ,....................84 4. ( ), , , , , ...................................................................................................84 5. ( ) ,...................................................84 9 , ITT S&P 500 . 1991 1995 , , ITT .......................................84 3.8. ...................................84 , , . , . GPC , 20%, , , 204 . 345,6 ............................................................84 , , , , , . 55% , , , 204 . 190,8 . (0,55 345 .). , -..........................................................84 [ ' < - s-method). -............................................................85 , 204 . 1224,16 ...........................................................................................................85 ............................................................................................................................................................85 (.. , ). , 8%, 15%. , 8% 15% , 10

(.. 203 .). , 204 , 87,26 . , 40% , 6,57 . , 9,85 . 204 ., 3.11-....................................................................85 204 . GPC 30% , 6,9 . ( 333,24 340,14 .). 207 ., 10,37 , ( , ), ;..........................................................................................85 = - - .......................................85 -207,36 .-6,9 .-10,37 . ,=190,09.............................................85 , GPC 204 . 20%, 190,09 . - . : (, . 3.11), . , ..........................................................85 ...................................................................................................................................85 ......................85 , , . , , Web- Prentice-Hall'". ................................................85 . 3.1...........................................................................85 3.9.1. .................................................................85 .............................................................................................85 =0,12 12%...................................................................................................................................86 g=1 .....................................................................................................................................86 3.12................................................................................................................86 3.10. ...........................................................86 3.13................................................................................................................87 3.11. ...................................87 3.14................................................................................................................88 3.1. ?.......................................................................................................................................89 3.2. GPC, 50 . . ?...............89 3.3. .....89 GPC , 10 . ., ?.............................................................................................................................89 3.4. , GPC 10 . ., ?.............................................89 11

3.5. ?........................................89 3.6. , , , ?......................................................................89 3.7. VGI Corporation, 207. 5 ., 3 . . 30 ., 40 . 32 . 35 . . ROE TSR (total shareholder returns).....................................................................................89 3.8. ?...................................................................................................90 3.9. (ROS) , (ROA) , , ()?.........................................................90 3.10. "" (ROE), (ROA)?..................................................................................90 3.11. 204 . 345 . ., , 360 . ., ?........90 3.12. , ?...................................90 3.13. ?.......................................................................................................................90 3.14. ?.............................................................................................................................................90 3.1 3.8 . Ruffy Stuffed Toy 207 . (.);............................................................................................90 .........................................................................................................................91 II...............................................................................................................................................95 ..................................................................................................................................95 4...........................................................................................................................................95 .....................................................................................................................................95 4.1. .................................................................................................96 4.1.1. ........................................................................................98 4.1.2. ...........................................................................................100 4.1.3. .............................................101 4.1.4. ......................................................................................................101 4.2. ............................................102 4.3. ........................103 4.3.1. 100 100 ................105 4.4. ......................................................................................................105 4.4.1. ...............................................................109 4.4.2. ............................................................................................................109 4.5. ............................................................110 4.5.1. .................................................................................................111 4.5.2. .............................................111 4.5.3. .....................................112 4.5.4. .................112 4.6. ..................................................................................................................112 4.6.1. ................................................................................113 12

4.6.2. .........................................................................114 4.6.3. ......................................................................114 4.6.4. ..............................................................................115 4.7. ..............................................................................................116 4.7.1. .......................................................117 4.7.2. ..........................................................................117 4.8. .......................................................................................118 4.8.1. ....................................................................119 4.9. ..............................119 4.9.1. : ..................................120 4.10. ...............................................................................................................................120 4.10.1. ...........................................................................121 4.10.2. : 1.......................................................122 4.10.3. , ........123 4.10.4. ........123 4.10.5. ....................................................................123 4.10.6. : 2.......................................................124 4.10.7. ........................................................................................125 4.10.8. : 3.......................................................125 4.10.9. ................................................................126 6.........................................................................................................................................127 .......................................................................127 6.1. ..............................................128 6.2. ?...........................129 6.3. : ...........................................................................................130 6.4. ..................................................................................................................................................131 6.5. ...........................................................................................133 6.6. ...................................................................................................135 6.6.1. .............................................................................................139 6.6.2. NPV .................................................................139 6.7. ......139 6.8. ..............................................................142 6.9. .........................................143 6.10. ................................................144 III...........................................................................................................................................155 .......................................................................................................155 7.........................................................................................................................................155 ...............................................................155 .....................................................................................................................................155 .............................155 , , .............................................................................................................................................155 .................................................................................155 ............................................................................155 .....................................................................................................................................155 7.1. .................156 7.2. ..............................................................................................................................156 7.3. .....................................................................157 7.4. ...................158 13

7.5. ..............................................159 7.6. ......................................160 7.7. ....161 7.8. ....................................................162 7.8.1. .............................................................................................162 7.8.2. .........................................................................................163 7.9. ...........................................163 7.10. ....................................164 7.11. ...................................................................164 .............................................................................................................................................166 .........................................................................................................................166 ..................................................................................................166 .........................................................................................................................168 ..............................................................................................................................169 .....................................169 8.........................................................................................................................................171 : .................171 .....................................................................................................................................171 .....................................................................................................................................171 8.1. ............................................171 8.2. : ......173 8.1. ...................................................173 8.3. , ........................................................................................................................174 8.3.1. , "" ............................................................................................................177 8.4. .......................................................177 8.5. ...............................................................178 8.5.1. ...............................................................................179 8.5.2. .........................................................179 8.5.3. , .......................................180 8.6. ..............................................................180 8.6.1. ........................................................................................................180 8.6.2. .....................................................................................................181 8.6 ...............................................................................................................181 .............................................................................................................................................182 .........................................................................................................................182 ..................................................................................................182 .........................................................................................................................183 9.........................................................................................................................................186 ...................................................................................186 .....................................................................................................................................186 .....................................................................................................................................186 9.1. ..................................................................186 9.1. - .........................................................186 9.2. : ..................187 9.2.1. .......................................................................................................188 9.1................................................................................................................189 9.3. : ..........189 9.3. Nogrowth Co. Hormaiprofft Co..........................................................190 14

9.4. /: .................................................................................................................................191 9.5. ?.....................................................................................................................192 9.5.1. ......................................................192 9.4. Cashrich ...................................................................................................................193 9.5.2. , ........................................................................193 9.5. Cashrich .: ..................................194 9.5.3. .......................................194 9.5.4. ...............................................................196 .............................................................................................................................................196 ........................................................................................................................197 .........................................................................................................................197 ..................................................................................................197 .........................................................................................................................198 IV...........................................................................................................................................200 ..................................................................................200 10.......................................................................................................................................200 .................................................................................200 10.1. .......................................................................................................200 10.1.1. ................................................................................................201 10.1.2. ..........................................................................................202 10.2. .................................................................202 10.2.1. , .....................................203 10.2.2. , ..............................................203 10.2.3. ...........................................................204 10.3. ............................................................................................204 10.3.1. ....................................................................................................204 10.3.2. ...........................................................................................................205 10.3.4. ...........................................................................206 10.3.5. ................................................................................................206 10.4. .............................................................................206 10.4.1. .........................................................................................................207 10.4.2. ............................................................................................................207 10.4.3. .....................................................................................................207 10.5. ...........................209 10.5.1. ...................................................209 10.5.2. ...........................................................................209 10.6. ..................................................................210 10.7. : ..................................................................212 10.8. ..........................................212 10.9. ...............214 11.......................................................................................................................................221 , .........................................221 11.1. .......................................................................................................................221 11.2. ....................225 11.3. : .......................................................226 11.4. .........................................226 11.5. ...............................................................227 11.6. ......................228 15

11.6.1 ...........................................................................................228 11.6.2 ................................................................................................................228 11.6.3 ................................................................................................229 11.7. ......................................................................................229 11.8. .............................229 11.9. ................................................230 11.9.1. "" ..........................................................................................230 11.9.2. "" ..................................................................................231 11.10. ............................................................................231 11.10.1. : ...........231 11.10.2. ...............................................................................232 11.11. ....................................234 12.......................................................................................................................................245 ....................................................245 12.1. ...................245 12.1.1. .........................................................................................245 12.1.2. .................................................................................246 12.1.3. ...........................................................................................248 12.1.4. ........................................248 12.2. : .............................................248 12.2.1. ..............................................................................248 12.2.2. . . .249 12.2.4. ...................................................................251 12.3. 1 ........................................................................252 12.3.1. .............................................................252 12.3.2. ................................................254 12.3.3. ......254 12.3.4. : 2..............................255 12.3.5. ..................................................256 V............................................................................................................................................261 ...............................................................................................................................261 13.......................................................................................................................................261 ...........................................................................262 13.1. ..........................................262 13.2. , .............................................................................................................................265 13.3. "" ....................................................................................................................................265 13.4. ..................................................................................................................................................267 13.5. ......................................................................................................................269 13.5.1. ................................................................................................................................269 3.5.2. .................................................................................................270 13.5.3. ...................................................................................................270 13.6. ......................271 14.......................................................................................................................................276 ....................276 14.1. ..................................................................................................................................................276 14.2. ................................278 16

14.3. .........................................................................279 14.4. - ' ..................................................................................................................................................280 14.5. ..................................................................................................................................................280 14.6. : -.................281 14.6.1. "" .......................................................282 14.7. ....................................................................................283 14.8. "" .................284 14.9 ........285 14.10. .....................................................285 14.11. "" ...............................................................286 14.12. ......................................286 14.13. .........................287 15.......................................................................................................................................293 ..........................................................................293 15.1. ........................................................................293 15.1.1. .............................................................................................295 15.2. ..........................................................................296 15.5. () ...................................................................................................................................304 ..........................................................................................................................................................306 S....................................................................................................................................................307 15.9. :....................................................................309 15.10. ........................................................................................311 15.10.1. : .................................................................................................312 15.11. .................................................................................................313 VI...........................................................................................................................................319 ...............................................................................................................319 16.......................................................................................................................................319 ........................................................................................................319 16.1. ........................................320 16.2. ............................................320 16.3. ..............321 16.3.1. ............................................................................................321 16.3.2. ..............................................................................................322 16.3.3. ....................................................................................322 16.4. ..................323 16.5. : ........327 16.6. ..................................................................................................327 16.6.1. .................................................................................................327 16.6.2. , .........................329 16.7. .....................................................330 16.7.1. : ...........330 16.7.2. ................................................331 16.8. ..................................................................................................................................................331 16.9. ...........................................................331 16.9.1. ........................................................................................................332 16.9.2. ...............................................................333 16.10. "".......................................................333 16.10.1. ...........................333 17

17.......................................................................................................................................341 .................................................................341 17.1. ....................................................................................341 17.2. ................................................................................................344 17.3. ...................................................345 17.3.1. .....................................................................................................................345 17.3.2. - ..............................................................................................................................347 ...........................................................................................351 2..................................................................................................................................351 3..................................................................................................................................351 4..................................................................................................................................351 5..................................................................................................................................351 6..................................................................................................................................351 7..................................................................................................................................351 8..................................................................................................................................352 9..................................................................................................................................352 10................................................................................................................................352 11................................................................................................................................352 12................................................................................................................................352 13................................................................................................................................352 14................................................................................................................................353 15................................................................................................................................353 16................................................................................................................................353 17................................................................................................................................353 .................................................................................................................354 , (index options) "" "" . (residual claim) , , ...............................................................................................357 I. 1. 2. 3. : II. 4. 5. 6. III. 7. 8. : 9. IV. 10. 18

11. , 12. V. 13. 14. 15. VI. 16. 17.

, , , . : " ". , , . , (Robert Merton) (Zvi Bodie), , , . : , , . , , , 1997 . , , . (). , , , . , , , . , , . , , . : ", , ?". , , . ! . (Paul A. Samuelson)

, " " (MBA). , , , , , . , 1997 , , , , .

19

, , , . , , , . , , . , . "": ( ), , . , . . I , . II, III IV . ( ), ( ). V . (Capital Asset Pricing Model), , , , (contingent claims), (risk corporate debt), , "" (levered equity). VI : , , . , , . , , , , . , "" . , , . , , . . , . , . , . , . (Craig Holden) (Indiana University) , . - " Prentice Hall", . "E-", (Spreadsheet Modeling Exercises Handbook). 19 , , Excel. , . , Excel, , , . , . - " Prentice Hall" (Spreadsheet Modeling Student Handbook).

20

. , , , , . , , : , , . , , . . , . , , 3, 6, 13, 16 17 , II VI . , , , , IV V. , . , . , . - -, " ", 2000 , , 40 , . PowerPoint. - Excel, . Excel , , . (Bonnie Buchanan) (Georgia State University) 1000 , , . 4.1 . , Excel , . FINCOACH FINCOACH Test Manager , FINCOACH (Financial Management Math Practice Program ). - " Prentice Hall", , . , FINCOACH Test Manager FINCOACH , FINCOACH Test Manager. Web- PHLIP/CW: Prentice Hall Internet (www.prenhall.com/bodie) Web- PHLIP/CW: Prentice Hall Internet , - Web- , , . Internet , ,

21

. Prentice Hall, . , , PowerPoint Excel , . , , Web- , (Student Page). Faculty Lounge, . Talk to Team Teaching Archive WWW Help with Computers Web- (www.prenhall.com/bodie) Web- . , Web- Syllabus ManagerTM on-line. Syllabus ManagerTM , Web- . Web-, . Web- , Syllabus ManagerTM. - " Prentice Hall" - " Prentice Hall". . , , ; , , Excel. , - , PHLIP (Prentice Hall Learning on the Internet Partnership). , - " Prentice Hall" . Careers Center ( ). . -, . , , , . , , . FINCOACH The Financial Math Practice Center ( ). 5 , . , . - . PHLIP Principles and Practice Web Center. Web- PHLIP -, http:/www.prenhall.com/bodie. , . 1. , . , , , . 2. . 3. , , , , . 4. , .

22

Spreadsheet Modeling Exercises ( ). . , , . - " Prentice Hall" . , . , 3060 . Excel , . . 1) " " 2) " ". , , . - , . , , . Companion Web Site ( Web-). Internet Web- , .

, 1997 Prentice Hall . , , . , , . , . , , , , . , 4 5. 5 " ", , . , , ( ). 3, . , , , 19. 3, " : ". , . , . , 3, . 6, , , . , , Excel. 16 , : (APV), (FTE) (WACC). , . , 16 ( ) . , , , . , , . , ,

23

. , 15, " ", , . , , 11 12, 11. ", ", , , . , . , , , , . , . , , zbodie@bu.edu rmerton@hbs.edu.

(Boston University's School of Management). (). (Sloan School) (Harvard Business School). , . , . (Pension Research Council) (Wharton School) (Financial Accounting Standards Board), (OECD) . . (Robert C. Merton) - (John and Natty McArthur University) . 1970 . 1988 . . (Chicago University), Hautes Etudes Commerciales (), (University of Lausanne), National Sun Yat-sen University University of ParisDauphine. (American Finance Association), , . , (National Academy of Science). 1997 . , . , , , , . , , , , . , , (National Bureau of Economic Research), . .

I

1 ... "" , , . 2

24

1.1. 1.2. 1.3. , 1.4. , 1.5. 1.6. 1.7. 1.8. : 1.9. . - ? , ? . ? . ? ? ? - . , . , , 3 . ., 1 . . ? , . . ? . , , , . , . , .

1.1. (finance) , . , 1) 2) , , - . , , , ( , , , ) (.. ), . , . (financial system) , , . , , ( ), , (, - ), , . . , , , . : , . , , , . ( , ) , .

25

1.2. , , . , . -, . - ? . , . : " ". , . : , , , .. .. , . ? , , , (. 1.1). 1.1 ? , 500 . . ( ), , . , , (, ). , , , , , . ? : ( ) , . ( ), , - , , , .. . , , . . , , , , , , . , , . . , , , , , , ( ). , , , . , , , , , , .

26

. , , (tax lien), , . , , - "" , , . . . , The Wad Street Journal, 22 , 1988 ., . 1. The Wall Street Journal, 1998 Dow Jones&Company, Inc. | . , , , . , , , , , . -, , , , , . ~ , . , , , . , . , . . -, , . , . , . , , , . , , ? -, . , . . , 1776 . , . , 1990 1997 . , (. 1.2). 1.2 1990 (Harry Markowitz), (Merton Miller) (William Sharpe) , . . ", . " " (Portfolio Selection), 1952 Journal of Finance, , , . . . , . , ,

27

, , ( "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of'Finance, 1964) (" ,; "). , , . . , (Franco Modigliani) ( ), . , "The Cost of Capital, Corporation Finance, and the Theory of Investment. ( , ), American Economic Review 1958 . , , . M&M ( -), . 1997 . . ( ) (Myron Scholes). , (Fisher Black), 57 1995 , . , . - (Black Scholes option pricing formula).

1.3. , , . , , . , . , , . . . , ? . ? . ? , . ? , , (pool of wealth), . , - . (assets). , . , , (asset allocation) , , . , , (liability) , , . , (net worth), - . , , 100000 . 20000 . . , 80000 . , (), 5000 . , 35000 .: (120000 .) (85000 .). , ( , ,

28

) , . . , , , 1. , , , . 1.1 , ? .

1.4. , (, , ), . , . , , ; , Mitsubishi General Motors, , , -. , , , (business or corporate finance). , , , . , , , , . , , , . , , . , . - , , - , . , , , , . , . , . , , , . , , ITT Corporation (International Telephone and Telegraph), 1920 , . 70- ITT , , , , , , , , . 80- ITT . 1996 . , , , , , , , . (capital budgeting process). (investment project). , , . , , , . , , , . , , , . , .1

29

, . . , , -- , . (claims), , , . , . , , , , 1.6 ?

1.8. : ? , , . , , , , . , , . , , , 5. , . , , . (takeover). , , . , , , , . , , , . , , , . , , , . , . , , , . , , , - , , , . . , , . , . , ( ) . , , ( ), . , , "". , , , ,

5 " ". , . , , .

30

: . - . , , , , , . - , , . 1.7 ?

1.9. , , , . , , , , , . , " " (Financial Executive Institute) , , , . 1.1. 1.1 1. 5. , ) ) . - : ) ) 6. ) ) ) / ) ) ) ) 7. ) ) ) ) ) 2. ) , . 3. 8. ) ) ) , ) , 9. ) ) ) )

31

) ) 3. ) ) ) ) ) ) ) ) ) . . Financial Executives Institute. . . 1.1 . (chief executive officer (CEO)), . (chief financial officer ()) () -, . , -, . , . - : , . -. - , .. , , . , "" . (treasurer) . , . (controller) , , , . , .

, . , 1) 2) , , , - . , , ,

32

. ( , ) , . , , , . , , , , , . , , . , , . . . - , ? . ? . ? , . ? : , . , . , . . , , , . . . , , : , . , , . , ( ) . . , , , . , , . (finance), 38 (financial system),38 (assets), 42 , (assets allocation), 43 (liability), 43 , . (net worth), 43 (sole proprietorship), 45 (partnership), 45 (corporation), 46

33

1.1. , ? . . , , , . : , . : , . , : , . 1.2. , ? . . , , , . , , , . , , , , . 1.3. , , . ? . . 1.4. ? ? . . , . . , , , . . . " ", " ", : , . , , . , ( ) . 1.5. , ? . , . , ? , " ", ? 1.6. ? . , ( ), , , . 1.7. ? . , , , .

1. ? ? ?

34

2. ? ? , ? 3. , , , , ? -? 4. , , , , . 100000 . . , . , ? 5. ? 6. . , . - , ? . ? , , , , . ? 7. , . . , , . . , , . . , ? d. ? 8. , , , , . ? ? , .

35

2 ... , . , .

2.1. 2.2. 2.3. 2.4. " " 2.5. 2.6. 2.7. 2.8. 2.9. 1 , , . , , . , , , . , , , . ? , . , (, ) . , , . , . , , . . , , .

2.1. , , , , , , . . , , - (New York Stock Exchange) (Osaka Options and Futures Exchange), - () (). . , (over the counter markets) , , . , . , . , , , . . , . , , , , , , , , , - - . , .

36

2.2. . 2.1, . , ( ), , ( ). , , , , , , , . , , , , ; , , 1.

. 2.1 , ( ) ( ) , ( ). , , .. ( ). (flow of funds) , , - ( , ) , ( ). , , , , . ( ), , . , , , , , . 2.1. , , , . , , - . -. , . , , . , . , , . (.. ), , , . , . , , , . , , , , . , , . , , . , , , , , .1

37

( ), (), , , - ( ). , , , , ( ). , , , , , . , , , , , . 2.1 5000 ., . , . 2.1.

2.3. , . , , , . , . , . , 1928 1958 ., , , , . , , . , , . (functional perspective). . , . , . . . , , . , . . , .. . , . . , , ; () . , .

2.3.1. 1. , , . (. . 2.1) , , , . , , . ( intertemporal ) . , , , , , .

38

, , . , , . , -, , . , , , , , - . , . : , , ; , . . , . , . , , , . , , , , . 2% , 20%- . , , . 2.2 . - ?

2.3.2. 2. , . , , , . , , , . , , . 2.1, . . , 100000 . , . , - ( ) 70000 . 75% . , 30000 . 6% . . 2.1 100000 . , . ? , , , 70000 . . , . , , , 20000 . , 10000 . 30000 . , , , . ' , . , 30000 ., . , , - , . , , , . 30000 . , .

39

, . , , , , , . 2.3 .

2.3.3. 3. - , , . . , , , 5000 . . ? ? , , . , , , , . ? , ? , , , . , , , , , . , , , , . . ? : (, ), , . , , .. . , . , , , , . , , . , , . , , . ( ) , . , , , . : , .

2.4 " - " (I owe you) ? ?

2.3.4. 4. . , , .

40

(, ) , , , . , , . , , , 100000 ., 10000 . , , , , . , . , "" , . ( ) , 100000 . "" 10000 ., . , , , . , . , . 10000 ., 1000 . . 70- , . , . . , 11 ., 1000 ., 90,91 (1000/11). , , , , .

2.5 , , .

2.3.5. 5. , , . , . , , . , , , . , , , , . , , . , 30 , 100000 . 80000 . (.. 80% ) 8% , 20 % (.. 20000 .). 45- , . 6% . , . , , ""? , . , , 6% 8% (. 2.1). . 2.1 |

41

, . (roll over) 3% . : . , , . , , . , , . 6,75% , 30 . . 3% , 6%, 30- , 6,5% . . , . , , . , , . , . . Lynn Asinoff "Making Family Loans Can Be a Rewarding Experience", Wall Street Journal, 10 , 1993, Wall Street Journal, 1993 Dow j Jones & Company, Inc. . . , , , . , . ? , , , . , . , , , . , , 10 . . : , . , , , . . , , 1973 , . , .

2.6 , , .

2.3.6. 6. , , , , , . , , . , , , , . , . , . : " ", " " "-".

42

(moral hazard) , , , , . . , , , . , , . , . . , ( ) , . , , , , , . , . , . ? , . ? , . , , , , , , , . , , , , . , , . , - - , , , . , . , , , , , . , . , , : , . , , , , . , , , , . , . , , , , (, ), , . 2.7 , -. ? , (adverse selection). , , , , . (life annuities) , . , , , , , , . , , , , (.. 65 ). ( ): 10 , 15 , 20 . , 65 , 15 . , , , , , , , , .

43

, , , (, , ), , . , . , , , . 17,5 , 2,5 . , , , , . , . , , , .

2.8, . ? : , ? , , . , , . , , , , . ( ), , , , , . (principal-agent problem) , , , , , , . . . , , " ", .. , , . , , , , . , , , , (collateralization), , , . . , , , . , (, , ), , . , . , , , . , , , ("equity kicker"), . ( ), , . ; .

44

, . , , , , , . . "equity kicker", . , . 2.9 , ? ?

2.4. " " - , . , , , , . , " , . , , , , . . , , (invisible hand) , . , , "2. , , , 1965 ( ), , . , , . . , . . . , VISA, MasterCard American Express . , , , , . (.. , , , ). . , , . , , , . ( - ) . . , , . "" . ? , , . , , , . , , , , . . ( , ) , , - , . . , , Diners Club, . , American Express Carte Blanche, .2

Adam Smith, The Wealth of Nations (Chicago: University of Chicago Press, 1977), . 408.

45

, , , , ( , ), , ( ). , . 50- , , , . 60- . : VISA Master Card, Diners Club Carte Blanche (. 2.2). 2.2 BankAmericard , 1958 1966 ., Bank of America | . 1961 1966 . ; . | \ . 1 1966 Bank of America , ; . Master Charge. , - First National City Bank of New-York ( Citibank) Carte Blanche, . . First National City , ( ) , , Bank of America. , Bank of America . , . . , , , 60- . , " " , . , , , , , , Everything Cards, Town & Country Cards, Midwest Bank Cards, Interbank Cards . I 1966 1970 . . . I 60- , , , . | , . . , : . . Joseph Nocera, A Piece of the Action (New York: Simon and Schuster, 1994). International Creative Management, Inc. Copyright 1994 Joseph | Nocera , - . , , , , . . , , . , , , , ? , ? , 30 , . , , , .

46

2.5. (debt), (equity) (derivatives). , , . , , , , . (fixed-income instruments) . . (maturity). ( ) (money market), (capital market). , , (, ), ( ). (liquidity) , . , . , , (common stocks) (shares) . (stock market). ; ( ) . . , , . (residual claim) . , . , , , , , , ( - ) , . (limited liability) . , , . . , , , , - . , , . . , "" (call option) , . , "" (put option) , . , , . (forward contracts) , , . , , . 2.10 , ?

2.6. , Internet : , . .

47

2.6.1. (promised) ( ) . , . , , , , , (mortgage rate), , , (commercial loan rate). , (unit of account), (maturity) , (default risk). . , . , , : , , , .. - , , "" . . , . , . , - . , , , . , . , . . , , . , , , . , , , ? , : , . , , . . , . 3%, 9%. (exchange rate), , , 150 1 . , , - . , 3%- . , , . , 1UO . , 15000 , .. 15000 . 9%, 109 . , , , . , , , : () = (109 . . . - 15000 ) /15000 , 140 . ? , :

48

() =

(109 . . 140 /. . -15000 ) 15000

= 0,017333

, 1,73%, 3%, , . ; , , , , 3% ? , , . 2.2, (yield curve) 7 1999 . () , , . . 2.2 , 5,25% , 30 6%. . 2.2 , . , , . 2.12 , , | I , . .

. The Wall Street Journal, June 8, 1999, . 23. The Wall Street Journal, 1999 Dow Jones & Company, Inc. . . 2.2. , , . . 2.1 , , . , , . (yield spread) 10 , 6,21% , 7,56%. 1,35% . 2.1. (%) 5,70 1 10 6,21 10 1

49

10 6,45 6,94 10 7,09 7,56 Merrill Lynch Bond Indexes, . . The Wall Street Journal, June 8,1999, . 23. The Wall Street Journal, 1999 Dow Jones & Company, Inc. . 2.13 , , , .

2.6.2. , . - . , , , . , . - , , (return) . , - . , , , . . , . (capital gain). , (capital loss). , . , , , 100 . . 101 ., . 1% (1 .), (100 .). , . 5 . 105 . , , r, : ( - + ) r= : (105 . -100 . + 5 .) = 0,10 = 10% 100 . , : : r= + r = + r = 5% +5% = 10% , ? : ( ) , . 5 . , 5 . , 105 . , , , , ( ), 10%3. r= . , 3

50

2.14 50 . 1 ., , 60 . ? 40 ., ?

2.6.3. , , . , , , . . 2.2 , , . 2.2. 0 Dow Jones Index, Standard & Poor's 500 Nikkei, Topix FT-30, FT-100 DAX CAC 40 Credit Suisse , , MSCI, EAFE , , () . : , , , . , , , . , , , , , . "" "" -. , , . , , . , , . " ". , , , . , , , , . 1926 12%. , , , . ( , ). ( ). , , ( ) 1,34%. , , . Upper Analytical Services, Inc., 76% . 0,5% 1% . . , , . . , .

51

, . , , , ( ), ( ). , . , . ( ), Wilshire 5000 ( ), , .

iCyMMapHacQCTfcnu1! Wilshire* 5000

, 30 )111''':':1'" 1'/::1 | +272,52% +237,63% +14,06% +12,94%

,

" 0,3% , . . Upper Analytical Services, Inc. . 2.3. . .

||||.| 1 (%) . ' ; .11 (% ) +7,5 4,80 +4,0 5,31 -11,2 4,88 -21,3 3,32 -2,1 0,07 -3,3 3,17 +1,4 1,29 +19,6 4,81 +6,2 3,04 +13,6

. 1 (%) 1,50 +6,0 0,60 1,7 :1,42 +7,0 6,96 -3,0 130,00 -9,2 7,95 +2,6 1,49 -2,7 0,93 -2,2

1 5,38 1,59 4,53 0,61 5,22 1,52 4,29 6,75 1,81 118,00 4,39 8,16 2,54 1,45 5,10 3,89 0,91

. The Economist, 17 , 1999, . 111. 1999 The Economist Newspaper Group, Inc. . , www. economist. corn, , . 2.3 , 1998 1999 19,6%, 2,1%. , . 85 9,2%. , , , , 1998 1 ., 1999 1,196 . 1998 130 (1,196 . 130 /), 1999 141,128 (1,196 . 118 /). , 8,56%. , . , 4.

2.6.4. . 2.3 . 2.4 (, ) 1927 1997 . , . . , .

52

1926 1931 1936 1941 1946 1951 1956 1961 1966 1971 1976 1981 1986 1991 1996

. (Center for Research in Security Prices) . 2.3. , search in Security () 4 Prices) Morgan Stanley Capital International Index (MSCI). 86 I.

53

. | 2.4. , C,19261997 (%)J - 1926 3,19 7,70 8,27 1927 3,13 8,93 30,91 1928 3,82 0,10 37,88 1929 4,74 3,42 -11,91 1930 2,35 4,66 -28,48 1931 1,02 -5,31 -47,07 1932 0,81 16,84 -15,15 1933 0,29 -0,08 46,59 1934 0,16 10.02 -5,94 1935 0,17 4,98 41,37 1936 0,18 7,51 27,92 1937 0,32 0,23 -38,59 1938 0,04 5,53 25,21 1939 0,01 5,94 -5,45 1940 -0,06 6,09 -15,29 1941 0,04 0,93 -17,86 1942 0,26 3,22 12,43 1943 0,34 2,08 19,45 1944 0,32 2,81 13,80 1945 0,32 10,73 30,72 1946 0,35 -0,10 -11,87 1947 0,46 -2,63 0,00 1948 0,98 3,40 -0,65 1949 1,11 6,45 10,26 1950 1,21 0,06 21,78 1951 1,48 -3,94 16,46 1952 1,64 1,16 11,78 1953 1,78 3,63 16,46 1954 0,86 7,19 45,02 1955 1,56 -0,69 26,40 1956 2,42 -fi,27 2,62 1957 3,13 8,22 -14,31 1958 1,42 -5,29 -? 38,06 1959 0 00 51 ,0 . ROE

3.6. , , , . , : (profitability), (asset turnover), "" ( ) (financial leverage), (liquidity) (market value). , 3.5 GPC. (' ). (return on sales), (return on assets) (return on equity). (EBIT earnings before interest and taxes), - , , , ' , , , , .

, , . , . "", . , . . , , , . ( ), : . , , (/ price to earnings) (/ market to book) 7 . . - s , - Q. (James ), '. . , : : ; , ; ; ; , , , : (1) Dan & Sradstreet, (2) (Annual Statement Studies by Robert Morris Associates), (3) (the Commerce Department's Quarterly Financial Repo/i) (4) . , - Internet,.

3.6.1. (ROA) 1 ; _ = ROS , ROA ROS , , , , . , , , , , . , , 10%, , , . . 3,6, "" (2%) 10%-

, "" . , () , , 0,5 , %-

ROE , . . 3.8 , (ROA) (ROE) , . , Ifdebt 10% . . , , (ROE) (1 - ) (ROA), , , , - , , Moody's Standard & Poors Corporation, , . , , ,

3.6.3. , , . , , , . , , . , , . , , , , , - TJL , , .

3.7. : , . , , . , , , , . - 1995 1 Corporation . , , 1995 , . , 4. . , , . , ,