Sermaye bütçeleme probleminin analizi ve kurumsal bir modelin geliştirilmesi
Başlık çevirisi mevcut değil.
- Tez No: 55620
- Danışmanlar: PROF.DR. M. NAHİT SERARSLAN
- Tez Türü: Doktora
- Konular: Endüstri ve Endüstri Mühendisliği, Industrial and Industrial Engineering
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1996
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 184
Özet
ÖZET İnsanoğlunun çevresini değiştirmesi, geliştirmesi ve yaşayabileceği, değişik ihtiyaçlarını karşılayabileceği mekanlar yaratması, bunun için farklı araç ve yöntemler kullanması yatırım kavramıyla eşdeğer bir olgu olarak karşımıza çıkmaktadır. Öyle ki, sade ce Sanayi Devrimi'nden günümüze kadar olan süreç incelenirse, sağlanan gelişmelerin yatırım yönünden bir izdüşümünü almak mümkün olabilecektir. Yatırım olgusunun bilimsel olarak incelenmesi ise 19'ncu yüzyılın sonunda gündeme gelmiş, esas olarak ise 20'nci yüzyılın birinci ve ikinci çeyreğinde bu konuda önemli gelişmeler kaydedilmiştir. Çalışmamızın amacı, toplumlar ve o toplumda yaşayan insanlar için bazen hayati öneme sahip dahi olan yatırım kavramım belirli bir yönüyle ele almak, incelemek, bu konuda yapılan çalışmaları eleştirisel bir bakış altında yorumlamak ve ortaya çıkan sonuç ışığında yeni bir takım çözümler üretebilmektir. Bu doktora çalışmasında Sermaye Bütçeleme Problemi ele alınmıştır. Sermaye Bütçeleme Problemi, Yatırım Analizleri Problemlerinin modellenebilmeleri ve çözülebilmeleri için bir araçtır. Söz konusu problem, özellikle değişik kısıtlan ihtiva eden, birden fazla yatırım seçeneğinin söz konusu olduğu nisbeten daha karmaşık problemler için uygundur. Çalışmamızda 6 bölüm yer almaktadır. Bu kapsamda öncelikle Yatırım Analizi ve Sermaye Bütçeleme Problemlerinin temel varsayımlarının anlaşılabilmesi ve tartışılabilmesi için birinci bölümde temel Mühendislik Ekonomisi kavramları üzerinde durulmuştur. Daha sonra ikinci ve üçüncü bölümlerde Deterministik ve Stokastik Yatırım Analizleri detaylı biçimde incelenmiştir. Dördüncü bölüm ise yatırım kavramının bir diğer boyutunu ele almakta olup, burada, Finansal Yapı ve Sermaye Maliyeti üzerinde durulmaktadır. Beşinci bölüm tezimizin konusunu teşkil eden Sermaye Bütçeleme Problemi'ne ayrılmıştır. Bu bölümde söz konusu problem çok değişik yönleriyle ele alınmış, çıkan sorunlar ve bunların çözüm şekilleri daha önceki bölümlerde ortaya konulan esaslara dayalı biçimde açıklanmıştır. Altıncı bölümde ise, Sermaye Bütçeleme Problemi için yeni bir model önerisinde bulunulmuştur. Bu model geliştirilirken bir yandan mevcut sorunlar ele alınmış, diğer yandan dünyadaki hızlı değişim değerlendirilmiş ve son olarak da ülkemiz için özellikle önemli olan risk faktörü modele dahil edilmeye çalışılmıştır. xıı
Özet (Çeviri)
SUMMARY THE ANALYSIS OF THE CAPITAL BUDGETING PROBLEM AND DEVELOPMENT OF AN THEORETICAL MODEL During the development process of countries or firms, investments play a central role. An investment is that it generally involves a current outlay of funds expected to yield a flow of benefits in future. These benefits may be monetary or non-monetary. Ex amples of investments are outlays on land, buildings, machinery, research and devel opment activity or training programs. Engineering economy is one of the most important and perhaps unique tool for the analysis of investments. Prior to about 1940, engineers were mainly concerned with physical aspects of engineering and less attention was given to the financial problems. But today engineers are expected not only to generate technical solutions but also to make financial analyses. Arthur M. Wellington, who is a civil engineer, is the pioneer of the engineering econ omy. He reasoned that the capitalized cost method should be used in selecting the preferred lengths of rail lines. In 1920s J.C.L. Fish formulated an investment model related to the bond market and O.B.Goldman proposed a compound interest proce dure. In 1930, Eugene L. Grant discussed the importance of judgment factors and short-term investment evaluation as well as conventional comparisons of long-run in vestments in capital goods based on compound interest calculations. His book can be evaluated as the first classical engineering economy text. Current developments are pushing the frontiers of engineering economics to encom pass new methods of risk, sensitivity and intangible analysis. In Chapter 1 the fundamental concepts of engineering economy are presented. First, perfect capital market conditions are discussed. i) Financial markets are perfectly competitive. ii) There are no transaction costs. iii) Information is complete, costless and available to all. iv) All individuals and firms are able to borrow and lend on the same terms. Using these conditions the definition of the interest is given. The elementary idea is that interest is money paid by a borrower for the use of money borrowed from a lender, but it has a deeper meaning. xiiiThe next topic is the time value of money. In accounting, money is characterized only with its value, but in engineering economy analyses time is the second charac terization parameter. It is not possible to ignore the effect of time. In Chapter 1, the history of interest is shortly presented and then simple interest and compound interest formulas are derived. In addition to this, the difference of nominal and effective in terest rates are emphasized. The classical net present value formula can be generalized for more then one period using different interest rates. The compounding process can be discrete or continuos. Continues compounding is a theoretical situation but it is useful especially in complex engineering economy calcu lations. After net present value equation has been derived, equivalence comparisons can be conducted. In Chapter 1, 5 different equivalence comparisons are presented. i) Net present value ii) Net future value iii) Uniform series of cash flows iv) Cash flows in arithmetic gradients v) Cash flows in geometric gradients Beyond the classical approach, there are several other ways to model the cash flows. These methods are as follows : i) Zeta transformation method ii) Difference equations method iii) Mellin transformation method iv) Linear systems approach In 1.7. price level changes are analyzed which is very important especially in developing countries. The measurement of inflation rates, price indices, the use of different indices in investment evaluations and the re-design of the net present value equation under the conditions of inflation are key concepts of this chapter. i) Current approach ii) Constant dollar approach are two main approaches in investment analyses and both of them are evaluated in 1.7. Depreciation analysis is another fundamental part of investments. Different deprecia tion strategies and the comparison of these methods are highlighted. In Chapter 2, deterministic investment analyses are evaluated. As an introduction, we highlight the properties of capital expenditures process and then the investment alter natives are classified. According to the classification criteria XIVi) Dependent alternatives ii) Independent alternatives iii) Joint alternatives or i) Constrained alternatives ii) Unconstrained alternatives are presented. The main objective of this chapter is to discuss investment analysis criteria. In chapter 2 the differences of below mentioned methods are explained. i) Net present value criterion ii) Net future value criterion iii) Cost / benefit ratio criterion iv) Payback period criterion v) Internal rate of return criterion vi) External rate of return criterion vii) Revised rate of return criterion A further classification of investments is as follows : i) Investment a) Conventional b) Non-conventional ® Pure. Complex Especially for complex investments the calculation of the internal rate of return is not an easy task and for this purpose an algorithm is given. If we have more than one project it could be inconsistencies between different accep tance criteria. Two examples are given where the results of the net present value and the internal rate of return criterion are different. In order to discuss this problem a new concept is presented which is defined as rein vestment. Reinvestment is applied to the net present value and to the internal rate of return equation. In addition to this, Fisher intersection is explained and the existence and uniquness of this point is proved. In case of more than one project a very important procedure for the selection is the incremental analysis (Fleischer's approach). This and other important methods are given and clearly discussed. Break-even analysis is one of the oldest tools for decision making. This analysis can be constructed as linear or nonlinear. According to the parameters, break-even XVanalysis can be classified as deterministic or probabilistic. All these different alterna tives are explained and the necessary equations are derived. In Chapter 3 stochastic investment analyses are discussed. In deterministic modeling approach we have assumed that the decisions are made in a context of complete cer tainty. But if the decision is made under the conditions of uncertainty or risk we need stochastic models. As an introduction the fundamentals of the utility theory is given. After presenting the basic terminology and the concept of“expected utility”we have proved the following theorem : If a lottery L\ is preferred to another lottery L2 then the expected utility of Lj is greater than the expected utility of Iy>. The utility functions play an important role for reflecting the behavior of a decision maker. Therefore the types and the properties of these functions should be presented. There are different types of the utility functions. In Chapter 3 we have discussed the quadratic utility function and the equation of the indifference curve is derived. A very important utility function is known as the Freund utility function. We have derived the expected utility of this risk avoiding function assuming that the random variable distribution is normal. Following this analysis the definition of the stochastic dominance is given. The mathematical formulation of the first and the second order dominance is presented. Another type of the dominance is the time dominance and its basic principles are given. There are two different techniques for evaluating the investment projects under risk : i) Expected utility models ii) Portfolio approach Net present value approach, certainty equivalence approach, portfolio theory, capital market line approach and risk equivalence method are discussed in detail which are the basic methods for stochastic analysis. At the end of this chapter we have proved a very important theorem : If the reward-to- variability ratio of a project A is greater than the reward-to- variabil ity ratio of another project B than project A is selected. Originally proposed by Trey- nor and developed by Mossin the reward-to- volatility ratio is of similar form of the reward-to-variability criterion. XVIChapter 4 deals with the financial structure and the cost of capital of a company and the fundamental concept is the value. Several different definitions of value exist in the literature and are used in practice. i) Liquidating value ii) Going-concern value iii) Book value iv) Market value After we have defined the term“value”, short and long term bond valuation and common stock valuation is discussed. Here the capital market line is used in order to reflect the characteristics of the market and the interaction between the market and the firm. There are two types of leverages, which are used in the finance literature. i) Operating leverages ii) Financial leverages In the second part of this chapter the cost of capital is presented but first we have to define what we mean by the financial structure and the capital structure. Financial structure refers to the way the firm's assets are financed. Capital structure is the permanent financing of the firm. Thus a firm's capital structure is only a part of its fi nancial structure. Following this, the definition of the cost of capital is given and then the formulas for calculating the cost of different alternatives such as the debt, the bond and the com mon stock are derived. At he last part of this chapter two different approaches (the net income and the net operation income method) are clearly discussed and the Modigliani-Miller method is interpreted. The analysis of the capital budgeting decisions is performed in chapter 5. At he be ginning capital budgeting problem is defined and the capital budgeting process, the capital budgeting planning and the history of this problem is explained. The famous Weingartner formulation is presented and its problems are discussed. The main problem is the use of the external discount rates which cause inconsistencies. In order to overcome this difficulty there are several methods such as Baumol- Quandt formulation, Hayes formulation, time horizon models or Bernhard formula tion. xvnIn addition to the above mentioned formulations the case of incomplete information, the capital budgeting under risk and the multi-criteria decision making applications are presented, discussed and several examples are given. An original capital budgeting model is developed and presented in the last chapter. Also a numerical solution for the developed model is given. xviii
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