Finance Case Uva 2012/2013

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Financiering 6012B0217 Financiering Case 2012/2013 Vraag 1 a) Excel regression (ongecorrigeerde beta) equity beta van ING: 1.972874 ASML: 1,002967 Ahold: 0,395736 b) We know that there is a linear relationship between the stock beta and its expected return. So, if there is fewer stock the security market line will be steeper so, the beta will be smaller. Vraag 2 ßu = ßa= (E/(D+E)) x ße Net debt: Interest Bearing Debt – Cash and Cash Equivalents ING: 47284/(1234038+47284) x 1,972874 = 0,07280 Debt: 1247110-13072=1234038 ASML: 2773908/(1456616+2773908) x 1,002967 = 0,65763 Debt: 3406450-1949834=1456616 Ahold: 5910/(6215+5910) x 0,395736 = 0,192891 Debt: 8815-2600=6215 Vraag 3 a) ASML has a higher asset beta because it participates in an market which develops faster, so it has a higher systematic risk. Ahold has a lot of more diversity on his business. Ahold can better spread his risk. b) ING has a high equity beta and a low asset beta. They had to have a lower asset beta because they can’t get customers if they have a big risk to fail. A bank has to be reliable. Vraag 4 a) Debt beta measures the sensitivity of the return on debt to the returns of the market. And an bank has to be sharp at this point. So the debt beta of ING can be zero. b) ßu = ßa= (E/(D+E)) x ße + (D/(D+E)) x ßd c) ING: 47284/(1234038+47284) x 1,972874 + 1234038/ (1234038+47284) x 0,1 = 0,16911 ASML: 2773908/(1456616+2773908) x 1,002967 + 1456616/ (1456616+2773908) x 0,1 = 0,6921 Ahold: 5910/(6215+5910) x 0,395736 + 6215/ (6215+5910) x 0,1 = 0,24415 d) ße=ßu + D/E (ßu-ßd), D/D+E = 0.5, D/E = 1 0,192891 + 1*(0,192891-0,1) = 0,285782. Ahold’s asset beta does not change there is no change in the riskiness of Ahold’s assets. Vraag 5 http://www.statistics.dnb.nl/index.cgi?lang=uk&todo=Rentes Table 1.2.1

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