教授给的一道难题,哪位大哥能帮忙解决了 ~~~~~小弟感激不尽~~ A firm has assets of $100 and 5-year-to-maturity zero-coupon debt with a face value of $150. Assume that investment projects have the same volatility as existing assets. Also assume that the volatility of the assets is 30% and that the riskless rate is 8%. Finally, assume that the firm makes no payouts prior to the maturity date of the debt. a. The firm is considering an investment project costing $1. What is the amount by which the project’s value must exceed its cost in order for shareholders to be willing to pay for it? Repeat for project values of $10 and $25. b. Now suppose the firm finances the project by issuing debt that has lower priority than existing debt. How much must a $1, $10, or $25 project be worth if the shareholders are willing to fund it? (Hint for Problem : The equity holders will do a project if it increases their option value. They have a call with value now. If they do a project they give up this call and get another call.)
[此贴子已经被作者于2007-11-13 22:33:37编辑过] |