参考答案
设附认股权证债券的税前资本成本(即投资者要求的税前收益率)为K,则有:
NPV=1000×4%×(P/A,K,10)+[20×(F/P,10%,4)-22.5)]×15×(P/F,K,4)+1000×(P/F,K,10)-1000
当K=6%时,NPV=1000×4%×(P/A,6%,10)+101.7×(P/F,6%,4)+1000×(P/F,6%,10)-1000=40×7.3601+101.7×0.7921+1000×0.5584-1000=-66.64(元)
当K=5%时,NPV=1000×4%×(P/A,5%,10)+101.7×(P/F,5%,4)+1000×(P/F,5%,10)-1000=40×7.7217+101.7×0.8227+1000×0.6139-1000=6.44(元)
(K-5%)/(6%-5%)=(0-6.44)/(-66.64-6.44)
求得:K=5.09%。