彼得罗斯公司理财Cap027A.pptVIP

27A-* Cash Management Chapter 27 Copyright ? 2010 by the McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Costs of Holding Cash Opportunity Costs Trading costs Total cost of holding cash C* Costs in dollars of holding cash Size of cash balance The investment income foregone when holding cash. Trading costs increase when the firm must sell securities to meet cash needs. The BAT Model F = The fixed cost of selling securities to raise cash T = The total amount of new cash needed R = The opportunity cost of holding cash, i.e., the interest rate. Time C 1 2 3 C 2 – If we start with $C, spend at a constant rate each period and replace our cash with $C when we run out of cash, our average cash balance will be C 2 – The opportunity cost of holding is C 2 – C 2 – ×R The BAT Model Time C As we transfer $C each period we incur a trading cost of F. 1 2 3 C 2 – The trading cost is × F – T C – T C If we need $T in total over the planning period we will pay $F times. The BAT Model C* Size of cash balance Opportunity Costs Trading costs The BAT Model Opportunity Costs = Trading Costs The optimal cash balance is found where the opportunity costs equals the trading costs. Multiply both sides by C The Miller-Orr Model The firm allows its cash balance to wander randomly between upper and lower control limits. $ Time U C L When the cash balance reaches the upper control limit U, cash is invested elsewhere to get us to the target cash balance C. When the cash balance reaches the lower control limit, L, investments are sold to raise cash to get us up to the target cash balance. The Miller-Orr Model Math Given L, which is set by the firm, the Miller-Orr model solves for C* and U where s2 is the variance of net daily cash flows. The average cash balance in the Miller-Orr model is: Implications of the Miller-Orr Model To use the Miller-Orr model, the manager must do four things: Set the lower control limit for the cash balance. Es