杠桿企業(yè)的估價與資本預算講義課件

ProspectusRecallthattherearethreequestionsincorporatefinance.Thefirstregardswhatlong-terminvestmentsthefirmshouldmake(thecapitalbudgetingquestion).Thesecondregardstheuseofdebt(thecapitalstructurequestion).Thischapteristhenexusofthesequestions.ProspectusRecallthattherearChapterOutline17.1AdjustedPresentValueApproach17.2FlowstoEquityApproach17.3WeightedAverageCostofCapitalMethod17.4AComparisonoftheAPV,FTE,andWACCApproaches17.5CapitalBudgetingWhentheDiscountRateMustBeEstimated17.6APVExample17.7BetaandLeverage17.8SummaryandConclusionsChapterOutline17.1AdjustedP17.1AdjustedPresentValueApproachThevalueofaprojecttothefirmcanbethoughtofasthevalueoftheprojecttoanunleveredfirm(NPV)plusthepresentvalueofthefinancingsideeffects(NPVF):Therearefoursideeffectsoffinancing:TheTaxSubsidytoDebtTheCostsofIssuingNewSecuritiesTheCostsofFinancialDistressSubsidiestoDebtFinancing17.1AdjustedPresentValueApAPVExampleConsideraprojectofthePearsonCompany,thetimingandsizeoftheincrementalafter-taxcashflowsforanall-equityfirmare:0 1 2 3 4-$1,000 $125 $250 $375 $500Theunleveredcostofequityisr0=10%:Theprojectwouldberejectedbyanall-equityfirm:NPV<0.APVExampleConsideraprojectAPVExample(continued)Now,imaginethatthefirmfinancestheprojectwith$600ofdebtatrB=8%.Pearson’staxrateis40%,sotheyhaveaninteresttaxshieldworthTCBrB=.40×$600×.08=$19.20eachyear.Thenetpresentvalueoftheprojectunderleverageis:So,Pearsonshouldaccepttheprojectwithdebt.APVExample(continued)Now,imAPVExample(continued)NotethattherearetwowaystocalculatetheNPVoftheloan.Previously,wecalculatedthePVoftheinteresttaxshields.Now,let’scalculatetheactualNPVoftheloan:Whichisthesameanswerasbefore.APVExample(continued)Noteth17.2FlowstoEquityApproachDiscountthecashflowfromtheprojecttotheequityholdersoftheleveredfirmatthecostofleveredequitycapital,rS.TherearethreestepsintheFTEApproach:StepOne:CalculatetheleveredcashflowsStepTwo:CalculaterS.StepThree:ValuationoftheleveredcashflowsatrS.17.2FlowstoEquityApproachDStepOne:LeveredCashFlowsforPearsonSincethefirmisusing$600ofdebt,theequityholdersonlyhavetocomeupwith$400oftheinitial$1,000.Thus,CF0=-$400Eachperiod,theequityholdersmustpayinterestexpense.Theafter-taxcostoftheinterestisB×rB×(1-TC)=$600×.08×(1-.40)=$28.800 1 2 3 4-$400 $221.20CF2=$250-28.80$346.20CF3=$375-28.80-$128.80CF4=$500-28.80-600CF1=$125-28.80$96.20StepOne:LeveredCashFlowsfStepTwo:CalculaterSforPearsonTocalculatethedebttoequityratio,B/S,startwiththedebttovalueratio.NotethatthevalueoftheprojectisB=$600whenV=$1,007.09soS=$407.09.StepTwo:CalculaterSforPeaStepThree:ValuationforPearsonDiscountthecashflowstoequityholdersatrS=11.77%0 1 2 3 4-$400 $96.20 $221.20$346.20 -$128.80StepThree:ValuationforPear17.3WACCMethodforPearsonTofindthevalueoftheproject,discounttheunleveredcashflowsattheweightedaveragecostofcapital.SupposePearsonInc.targetdebttoequityratiois1.5017.3WACCMethodforPearsonToValuationforPearsonusingWACCTofindthevalueoftheproject,discounttheunleveredcashflowsattheweightedaveragecostofcapitalValuationforPearsonusingWA17.4AComparisonoftheAPV,FTE,andWACCApproachesAllthreeapproachesattemptthesametask:valuationinthepresenceofdebtfinancing.Guidelines:UseWACCorFTEifthefirm’stargetdebt-to-valueratioappliestotheprojectoverthelifeoftheproject.UsetheAPViftheproject’slevelofdebtisknownoverthelifeoftheproject.Intherealworld,theWACCisthemostwidelyusedbyfar.17.4AComparisonoftheAPV,Summary:APV,FTE,andWACC

APV WACC FTEInitialInvestment All All EquityPortionCashFlows UCF UCF LCFDiscountRates r0 rWACC rSPVoffinancingeffects Yes No NoWhichapproachisbest?UseAPVwhenthelevelofdebtisconstantUseWACCandFTEwhenthedebtratioisconstantSummary:APV,FTE,andWACC AP17.5CapitalBudgetingWhentheDiscountRateMustBeEstimatedAscale-enhancingprojectisonewheretheprojectissimilartothoseoftheexistingfirm.Intherealworld,executiveswouldmaketheassumptionthatthebusinessriskofthenon-scale-enhancingprojectwouldbeaboutequaltothebusinessriskoffirmsalreadyinthebusiness.Noexactformulaexistsforthis.Someexecutivesmightselectadiscountrateslightlyhigherontheassumptionthatthenewprojectissomewhatriskiersinceitisanewentrant.17.5CapitalBudgetingWhenth17.6APVExample:

WorldwideTrousers,Inc.isconsideringa$5millionexpansionoftheirexistingbusiness.Theinitialexpensewillbedepreciatedstraight-lineover5yearstozerosalvagevalue;thepretaxsalvagevalueinyear5willbe$500,000.Theprojectwillgeneratepretaxearningsof$1,500,000peryear,andnotchangetherisklevelofthefirm.Thefirmcanobtaina5-year$3,000,000loanat12.5%topartiallyfinancetheproject.Iftheprojectwerefinancedwithallequity,thecostofcapitalwouldbe18%.Thecorporatetaxrateis34%,andtherisk-freerateis4%.Theprojectwillrequirea$100,000investmentinnetworkingcapital.

CalculatetheAPV.17.6APVExample:Worldw17.6APVExample:CostThecostoftheprojectisnot$5,000,000.Wemustincludetheroundtripinandoutofnetworkingcapitalandtheafter-taxsalvagevalue.Let’sworkourwaythroughthefourtermsinthisequation:NWCisriskless,sowediscountitatrf.Salvagevalueshouldhavethesameriskastherestofthefirm’sassets,soweuser0.17.6APVExample:CostThecost17.6APVExample:PVunleveredprojectThePVunleveredprojectisthepresentvalueoftheunleveredcashflowsdiscountedattheunleveredcostofcapital,18%.Turningourattentiontothesecondterm,17.6APVExample:PVunlevered17.6APVExample:PVdepreciationtaxshieldThePVdepreciationtaxshieldisthepresentvalueofthetaxsavingsduetodepreciationdiscountedattheriskfreerate,atrf=4%Turningourattentiontothethirdterm,17.6APVExample:PVdepreciat17.6APVExample:PVinteresttaxshieldThePVinteresttaxshieldisthepresentvalueofthetaxsavingsduetointerestexpensediscountedatthefirmsdebtrate,atrD=12.5%Turningourattentiontothelastterm,17.6APVExample:PVinterest17.6APVExample:AddingitallupSincetheprojecthasapositiveAPV,itlookslikeago.Let’saddthefourtermsinthisequation:17.6APVExample:Addingital17.7BetaandLeverageRecallthatanassetbetawouldbeoftheform:17.7BetaandLeverageRecallt17.7BetaandLeverage:NoCorp.TaxesInaworldwithoutcorporatetaxes,andwithrisklesscorporatedebt,itcanbeshownthattherelationshipbetweenthebetaoftheunleveredfirmandthebetaofleveredequityis:Inaworldwithoutcorporatetaxes,andwithriskycorporatedebt,itcanbeshownthattherelationshipbetweenthebetaoftheunleveredfirmandthebetaofleveredequityis:17.7BetaandLeverage:NoCor17.7BetaandLeverage:withCorp.TaxesInaworldwithcorporatetaxes,andrisklessdebt,itcanbeshownthattherelationshipbetweenthebetaoftheunleveredfirmandthebetaofleveredequityis:Since mustbemorethan1foraleveredfirm,itfollowsthat17.7BetaandLeverage:withC17.7BetaandLeverage:withCorp.TaxesIfthebetaofthedebtisnon-zero,then:17.7BetaandLeverage:withC17.8SummaryandConclusionsTheAPVformulacanbewrittenas:TheFTEformulacanbewrittenas:TheWACCformulacanbewrittenas17.8SummaryandConclusionsTh17.8SummaryandConclusionsUsetheWACCorFTEifthefirm'stargetdebttovalueratioappliestotheprojectoveritslife.TheAPVmethodisusedifthelevelofdebtisknownovertheproject’slife.Thebetaoftheequityofthefirmispositivelyrelatedtotheleverageofthefirm.17.8SummaryandConclusionsProspectusRecallthattherearethreequestionsincorporatefinance.Thefirstregardswhatlong-terminvestmentsthefirmshouldmake(thecapitalbudgetingquestion).Thesecondregardstheuseofdebt(thecapitalstructurequestion).Thischapteristhenexusofthesequestions.ProspectusRecallthattherearChapterOutline17.1AdjustedPresentValueApproach17.2FlowstoEquityApproach17.3WeightedAverageCostofCapitalMethod17.4AComparisonoftheAPV,FTE,andWACCApproaches17.5CapitalBudgetingWhentheDiscountRateMustBeEstimated17.6APVExample17.7BetaandLeverage17.8SummaryandConclusionsChapterOutline17.1AdjustedP17.1AdjustedPresentValueApproachThevalueofaprojecttothefirmcanbethoughtofasthevalueoftheprojecttoanunleveredfirm(NPV)plusthepresentvalueofthefinancingsideeffects(NPVF):Therearefoursideeffectsoffinancing:TheTaxSubsidytoDebtTheCostsofIssuingNewSecuritiesTheCostsofFinancialDistressSubsidiestoDebtFinancing17.1AdjustedPresentValueApAPVExampleConsideraprojectofthePearsonCompany,thetimingandsizeoftheincrementalafter-taxcashflowsforanall-equityfirmare:0 1 2 3 4-$1,000 $125 $250 $375 $500Theunleveredcostofequityisr0=10%:Theprojectwouldberejectedbyanall-equityfirm:NPV<0.APVExampleConsideraprojectAPVExample(continued)Now,imaginethatthefirmfinancestheprojectwith$600ofdebtatrB=8%.Pearson’staxrateis40%,sotheyhaveaninteresttaxshieldworthTCBrB=.40×$600×.08=$19.20eachyear.Thenetpresentvalueoftheprojectunderleverageis:So,Pearsonshouldaccepttheprojectwithdebt.APVExample(continued)Now,imAPVExample(continued)NotethattherearetwowaystocalculatetheNPVoftheloan.Previously,wecalculatedthePVoftheinteresttaxshields.Now,let’scalculatetheactualNPVoftheloan:Whichisthesameanswerasbefore.APVExample(continued)Noteth17.2FlowstoEquityApproachDiscountthecashflowfromtheprojecttotheequityholdersoftheleveredfirmatthecostofleveredequitycapital,rS.TherearethreestepsintheFTEApproach:StepOne:CalculatetheleveredcashflowsStepTwo:CalculaterS.StepThree:ValuationoftheleveredcashflowsatrS.17.2FlowstoEquityApproachDStepOne:LeveredCashFlowsforPearsonSincethefirmisusing$600ofdebt,theequityholdersonlyhavetocomeupwith$400oftheinitial$1,000.Thus,CF0=-$400Eachperiod,theequityholdersmustpayinterestexpense.Theafter-taxcostoftheinterestisB×rB×(1-TC)=$600×.08×(1-.40)=$28.800 1 2 3 4-$400 $221.20CF2=$250-28.80$346.20CF3=$375-28.80-$128.80CF4=$500-28.80-600CF1=$125-28.80$96.20StepOne:LeveredCashFlowsfStepTwo:CalculaterSforPearsonTocalculatethedebttoequityratio,B/S,startwiththedebttovalueratio.NotethatthevalueoftheprojectisB=$600whenV=$1,007.09soS=$407.09.StepTwo:CalculaterSforPeaStepThree:ValuationforPearsonDiscountthecashflowstoequityholdersatrS=11.77%0 1 2 3 4-$400 $96.20 $221.20$346.20 -$128.80StepThree:ValuationforPear17.3WACCMethodforPearsonTofindthevalueoftheproject,discounttheunleveredcashflowsattheweightedaveragecostofcapital.SupposePearsonInc.targetdebttoequityratiois1.5017.3WACCMethodforPearsonToValuationforPearsonusingWACCTofindthevalueoftheproject,discounttheunleveredcashflowsattheweightedaveragecostofcapitalValuationforPearsonusingWA17.4AComparisonoftheAPV,FTE,andWACCApproachesAllthreeapproachesattemptthesametask:valuationinthepresenceofdebtfinancing.Guidelines:UseWACCorFTEifthefirm’stargetdebt-to-valueratioappliestotheprojectoverthelifeoftheproject.UsetheAPViftheproject’slevelofdebtisknownoverthelifeoftheproject.Intherealworld,theWACCisthemostwidelyusedbyfar.17.4AComparisonoftheAPV,Summary:APV,FTE,andWACC

APV WACC FTEInitialInvestment All All EquityPortionCashFlows UCF UCF LCFDiscountRates r0 rWACC rSPVoffinancingeffects Yes No NoWhichapproachisbest?UseAPVwhenthelevelofdebtisconstantUseWACCandFTEwhenthedebtratioisconstantSummary:APV,FTE,andWACC AP17.5CapitalBudgetingWhentheDiscountRateMustBeEstimatedAscale-enhancingprojectisonewheretheprojectissimilartothoseoftheexistingfirm.Intherealworld,executiveswouldmaketheassumptionthatthebusinessriskofthenon-scale-enhancingprojectwouldbeaboutequaltothebusinessriskoffirmsalreadyinthebusiness.Noexactformulaexistsforthis.Someexecutivesmightselectadiscountrateslightlyhigherontheassumptionthatthenewprojectissomewhatriskiersinceitisanewentrant.17.5CapitalBudgetingWhenth17.6APVExample:

WorldwideTrousers,Inc.isconsideringa$5millionexpansionoftheirexistingbusiness.Theinitialexpensewillbedepreciatedstraight-lineover5yearstozerosalvagevalue;thepretaxsalvagevalueinyear5willbe$500,000.Theprojectwillgeneratepretaxearningsof$1,500,000peryear,andnotchangetherisklevelofthefirm.Thefirmcanobtaina5-year$3,000,000loanat12.5%topartiallyfinancetheproject.Iftheprojectwerefinancedwithallequity,thecostofcapitalwouldbe18%.Thecorporatetaxrateis34%,andtherisk-freerateis4%.Theprojectwillrequirea$100,000investmentinnetworkingcapital.

CalculatetheAPV.17.6APVExample:Worldw17.6APVExample:CostThecostoftheprojectisnot$5,000,000.Wemustincludetheroundtripinandoutofnetworkingcapitalandtheafter-taxsalvagevalue.Let’sworkourwaythroughthefourtermsinthisequation:NWCisriskless,sowediscountitatrf.Salvagevalueshouldhavethesameriskastherestofthefirm’sassets,soweuser0.17.6APVExample:CostThecost17.6APVExample:PVunleveredprojectThePVunleveredprojectisthepresentvalueoftheunleveredcashflowsdiscountedattheunleveredcostofcapital,18%.Turningourattentiontothesecondterm,17.6APVExample:PVunlevered17.6APVExample:PVdepreciationtaxshieldThePVdepreciationtaxshieldisthepresentvalueofthetaxsavingsduetodepreciationdiscountedattheriskfreerate,atrf=4%Turningourattentiontothethirdterm,17.6APVExample:PVdepreciat17.6APVExample:PVinteresttaxshieldThePVinteresttaxshieldisthepresentvalueofthetaxsavingsduetointerestexpensediscount