CapitalStructureandCostofEquity高級(jí)公司財(cái)務(wù)資本結(jié)構(gòu)與資金成本英文

會(huì)計(jì)學(xué)1CapitalStructureandCostofEquity高級(jí)公司財(cái)務(wù)資本結(jié)構(gòu)與資金成本英文2MMIrrelevanceArguments-Intuition

Thetotalmarketvalueofafirm(debtplusequity)equalsthePVofitscashflowstream.Capitalstructuredeterminesonlythedivision

ofthe‘pie’(firmvalue)amongdifferentclaimholdersbutnotthesize

ofthepie.第1頁(yè)/共39頁(yè)3AssumptionsoftheModigliani-Miller(MM)ModelHomogeneousExpectationsHomogeneousBusinessRiskClassesPerpetualCashFlowsPerfectCapitalMarkets:PerfectcompetitionFirmsandinvestorscanborrow/lendatthesamerateEqualaccesstoallrelevantinformationNotransactioncosts,nocostofbankruptcyNotaxes第2頁(yè)/共39頁(yè)4ArbitrageSupposetwo‘identical’securities(withthesameexpectedreturnandriskcharacteristics)tradeatdifferentmarketprices.Thentherewouldbeanarbitrageopportunity:intelligentarbitrageurswouldseektobuythecheapersecurityandsell(short)themoreexpensiveone.Tradingbyarbitrageursbidsupthepriceofthecheapersecurityanddepressesthepriceofthemoreexpensiveone.第3頁(yè)/共39頁(yè)5Arbitrage

Allarbitrageopportunitiesareexploited,whenthetwosecuritiestradeatthesameprice.

Arbitragepricingargumentsassumethatallarbitrageopportunitiesareexploited(almost)instantaneouslyandthatthemarketpricesoffinancialsecuritiesaresuchthattherearenoarbitrageopportunities.第4頁(yè)/共39頁(yè)6MM’sArbitragePricingArgument:Considertwofirmsinthesameriskclass,oneall-equityfinanced(‘unlevered’),theother‘levered’withbothdebt(D)andequity(E).Investment1:buy10%ofunleveredfirm.

InitialCostofInvestment(0.1)VuExpectedReturn (0.1)NOI

第5頁(yè)/共39頁(yè)7MM’sArbitragePricingArgument:Investment2:buy10%ofequityplus10%ofdebtofleveredfirm.InitialCostofInvestment

ExpectedReturnDebt:(0.1)D (0.1)rdDEquity:(0.1)E (0.1)(NOI-rdD)Total:(0.1)(D+E)=(0.1)VL(Initialcost)(0.1)rdD+(0.1)(NOI-rdD)=(0.1)NOI(ExpectedReturn)第6頁(yè)/共39頁(yè)8MM’sArbitragePricingArgument:

Sincebothinvestmentshavethesameexpectedreturn:

(0.1)NOI,

theymusthavethesameinitialcost,i.e.samevalueV,sothatnoarbitrageopportunitiesremaintobeexploited

MMProposition1:Vu=VL=D+E.第7頁(yè)/共39頁(yè)9TheMMPropositionsI&II

(NoTaxes)PropositionIFirmvalueisnotaffectedbyleverageVL=VUPropositionIILeverageincreasestheriskandreturntostockholdersrL=rU+(D/EL)(rU-rD)rDistheinterestrate(costofdebt)rListhereturnon(levered)equity(costofequity)rUisthereturnonunleveredequity(costofcapital)DisthevalueofdebtEListhevalueofleveredequity第8頁(yè)/共39頁(yè)10TheMMPropositionsI&II(withCorporateTaxes)PropositionI(withCorporateTaxes)FirmvalueincreaseswithleverageVL=VU+TCDPropositionII(withCorporateTaxes)SomeoftheincreaseinequityriskandreturnisoffsetbyinteresttaxshieldrE=rU+(D/EL)(1-TC)(rU-rD)rDistheinterestrate(costofdebt)rEisthereturnonequity(costofequity)rUisthereturnonunleveredequity(costofcapital)DisthevalueofdebtEListhevalueofleveredequity第9頁(yè)/共39頁(yè)11FirmValuewithTaxes(Recap.)AssumenogrowthVU =PVofunleveredfirmE(FCF) =perpetualfreecashflowaftertaxes =discountrate第10頁(yè)/共39頁(yè)12FirmValuewithTaxesNOI=Rev–VC–FC-DepAftertaxcashflow:NOI–Tc(NOI)=(Rev–VC–FC-Dep)(1-Tc)Note:Depreciationisanoncash-fixed cost.Hence,CashFlow=(Rev–VC–FC-Dep)(1-Tc)+DepFreecashflow=(Rev–VC–FC-Dep)(1-Tc)+Dep–I=(Rev–VC–FC–Dep)(1-Tc)...Dep=I第11頁(yè)/共39頁(yè)13FirmValuewithTaxes Hence,whencashflowsareassumedtobeperpetuities: FCF=NOI(1-Tc)

FCFanddiscountrate(WACC)usedtodeterminefirmvalue.PerpetualFCFcase:第12頁(yè)/共39頁(yè)14FirmValuewithTaxes

Assumefirmissuesdebt:Shareholdersreceivenetcashflowsafterinterest,taxes,andreplacementinvestment (NOI+dep-I)Bondholdersreceiveinterestondebt(kdD)Totalpayment=NOI+Dep–I+kdD=(Rev–VC–FC–Dep-kdD)(1-Tc)+Dep–I+kdD Dep=INI+kdD=(Rev–VC–FC–Dep)(1-Tc)-kdD+kdDTc+kdD

=NOI(1-Tc)+kdDTc

第13頁(yè)/共39頁(yè)15FirmValuewithTaxes

WhereKb=before-taxcostofrisk-freedebt =Discountrate(forsamerisk)第14頁(yè)/共39頁(yè)16FirmValuewithTaxes

B=marketvalueofbond=KdD/kbTherefore,Taxshield(gainfromleverage)第15頁(yè)/共39頁(yè)17LeverageandReturns第16頁(yè)/共39頁(yè)18WACCWACCisthetraditionalviewofcapitalstructure,riskandreturn.第17頁(yè)/共39頁(yè)19WACCExample-Afirmhas￡2mofdebtand100,000ofoutstandingsharesat￡30each.Iftheycanborrowat8%andthestockholdersrequire15%returnwhatisthefirm’sWACC?D=￡2mE=100,000sharesX￡30per share=￡3mV=D+E=2+3=￡5m第18頁(yè)/共39頁(yè)20rEWACCrDDVWACC(traditionalview)r第19頁(yè)/共39頁(yè)21WACC(M&Mview)DVrDWACCrEr第20頁(yè)/共39頁(yè)22WACC-Implications:

Ifcorporatetaxrateiszero,thecostofcapitalisindependentoftheratioofdebttototalassets(capitalstructure)Ifcorporatetaxesarepaid,thecostofcapitaldeclinessteadilyastheproportionofnewinvestmentfinancedbydebtincreases(100%debtfinancingisgoodifdebtisriskfree)資本成本會(huì)隨著因?yàn)閭鶆?wù)增加而上升的新投資融資百分比逐漸下降第21頁(yè)/共39頁(yè)23CostofEquityTheopportunitycostofcapitaltoshareholdersincreaseslinearlywithchangesinthemarketvalueratioofdebttoequity隨著權(quán)益市場(chǎng)價(jià)值的比例變化，給股東的資本的機(jī)會(huì)成本呈線性增加Ifthefirmhasnodebtinitscapitalstructure,thecostofcapitalisequaltothecostofequityforanall-equityfirm,ρ.如果公司的資本結(jié)構(gòu)中沒(méi)有債券，那么資本成本等于一個(gè)全部投資股權(quán)的公司的權(quán)益成本第22頁(yè)/共39頁(yè)24CommonDefinitionofWACC第23頁(yè)/共39頁(yè)25RISK,M-MandtheCAPMCAPM:

=theexpectedrateofreturnonassetjRf =the(constant)risk-freerate =theexpectedrateofreturnonthemarket portfolioΒj =COV(Rj,Rm)/VAR(Rm)第24頁(yè)/共39頁(yè)26EstimatingSystematicRiskforanUnleveredEquity(βU)無(wú)杠桿股票的系統(tǒng)性風(fēng)險(xiǎn)Costofunleveredequitydependsonthesystematicriskofthefirm’safter-taxoperatingcashflows無(wú)杠桿股票的成本取決于公司的稅后營(yíng)業(yè)性現(xiàn)金流的系統(tǒng)性風(fēng)險(xiǎn)Unleveredbetaisnotdirectlyobservable無(wú)杠桿β是不能直接觀察的AssumerelationshipbetweenthetwobetasbyequatingtheM-MandCAPMdefinitionsofthecostofleveredequity:

第25頁(yè)/共39頁(yè)27EstimatingSystematicRiskforanUnleveredEquity(βU)Cntd.Assumekb=Rf

ReplaceρbytheCAPMdefn.forunleveredequity:第26頁(yè)/共39頁(yè)28EstimatingSystematicRiskforanUnleveredEquity(βU)Cntd.TheleveredbetacanbeobtainedfromthereturnsseriesobservedonstockmarketUsingthefunctionalrelationshippresentedonpp28,thesystematicriskofunleveredequityiscalculated第27頁(yè)/共39頁(yè)29EffectofRiskyDebtOnFirmValue(WithoutBankruptcyCosts)M–MGivencompleteandperfectcapitalmarkets,changeincapitalstructuredoesnotmakedifferencetothetotalvalueofafirm在完美資金市場(chǎng)資本結(jié)構(gòu)的變化并不影響公司總價(jià)值Hence,solongasbankruptcycosts破產(chǎn)成本(suchaspaymentstotrusteesandlawfirms)arenotincurred,riskydebt危險(xiǎn)債務(wù)alsodoesnotaffectthevalueofthefirmValueoffirmequalstothesumofdiscountedcashflowsfrominvestmentVL=VU+TCB第28頁(yè)/共39頁(yè)30PersonalTaxesandCapitalStructurePreferencesTax-exemptinvestor免稅投資者isindifferentregarding不關(guān)心themodeofcashinflowssuchas:interestondebt,dividendsonequity股息,andcapitalgainsonequityaslongastheamountsreceivedarethesame.Tax-exemptinvestorswillpreferfirmstohavehighgearing傳動(dòng)裝置？sincegearingincreasesthevalueofthefirmandtherebytheirsharetoo.

Ontheotherhand,investorswhopaypersonaltaxesprefercapitalgains資本收益(lessleverage):Deferraloptionforcapitalgains延遲期權(quán)的資本收益TE(taxonequityincome)<TD(taxondebtincome)inmostcountries.第29頁(yè)/共39頁(yè)31PersonalTaxes個(gè)人所得稅andDebtandEquityRatesofReturns

債券股票收益率Ifdebtincomeistaxedmoreheavilythanequityincome,tocompensatetaxableinvestorsforitsrelativetaxdisadvantage為了補(bǔ)償相對(duì)劣稅應(yīng)稅投資者,thepre-taxreturnondebtshouldexceedthepre-taxexpectedreturnonequity(bothsecuritiesassumedriskfree)債券的稅前收益應(yīng)該超過(guò)股票的稅前收益Forinvestorswhoareindifferentbetweenholdingdebtandequity,thepersonaltaxratesatisfiesthefollowingcondition:rD(1-TD)=rE(1-TE),

i.e.(after-taxreturnsondebt&equity)第30頁(yè)/共39頁(yè)32PersonalTaxesandDebtandEquityRatesofReturnsAssumeEBIT>rDD...interestpayment(X-rDD)Tc…isthecorporatetax企業(yè)稅(X-rDD)(1-Tc)…amountduetoequityholdersbeforepersonaltax稅前應(yīng)付股東個(gè)人所得(X-rDD)(1-Tc)TE…personaltaxesonequityincome個(gè)人股票所得稅(X-rDD)(1-Tc)(1-TE)…aftertaxescashflowtoequityholders股權(quán)持有人稅后利潤(rùn)rDD(1-TD)…aftertaxcashflowtodebtholders債權(quán)人稅后利潤(rùn)第31頁(yè)/共39頁(yè)33PersonalTaxesandDebtandEquityRatesofReturnsLetC=totalafter-taxcashflowstreamflowingtodebtandequityholdersLetX=EBITC=(X-rDD)(1-Tc)(1-TE)+rDD(1-TD)=X(1-Tc)(1-TE)+rDD[(1-TD)-(1-Tc)(1-TE)]TheRHStermrepresentsthetaxgain稅后收益

fromleverageAssumingthelevelofdebt債務(wù)水平ispermanentlyfixed永久固定,thegainfromleveragecanbevaluedbydiscountingtheperpetuitypaymentsattheafter-(personal)taxrateofdebt,rD(1-TD)orequivalentlyattheafter-(personal)taxrateofequity,rE(1-TE).第32頁(yè)/共39頁(yè)34PersonalTaxesandDebtandEquityRatesofReturns{rDD[(1-TD)-(1-Tc)(1-TE)]}/rD(1-TD)=TgDWhere:Hence:IfTg>0…Firmsissueenoughdebttoeliminatetheirtaxliability消除應(yīng)納稅額IfTg<0…FirmsincludenodebtintheircapitalstructureIfTg=0…Firmswillbeindifferentabouttheirdebtlevel,i.e. (1-TD)=(1-Tc)(1-TE)第33頁(yè)/共39頁(yè)35FinancialLeverageandFinancialDistress

財(cái)務(wù)困境Financialdistressoccurswhenafirmhasdifficultyinmeetingitscontractualobligations合同義務(wù)BankruptcyisanextendedstateoffinancialdistressFirmswithgreaterlevelofgearingaremorelikelytoencounterfinancialdistress財(cái)務(wù)杠桿程度越高越容易陷入財(cái)務(wù)困境Theexpectedcostsoffinancialdistress-probabilityofdistresstimesactualcosts-willincreasewithgearing杠桿程度越高預(yù)期財(cái)務(wù)困境成本也會(huì)越高第34頁(yè)/共39頁(yè)36CostsofFinancialDistress

財(cái)務(wù)困境成本Thepresentvalueoftheexpectedcostsoffinancialdistressincreaseswithleverage.~隨著杠桿增加VL=VU+PV(taxshelter)-PV(Costsoffinancialdistress)Theinclusionoffinancialdistressintheanalysisleadstotheconclusionthatinitially,borrowingisbeneficialtothecompany,butthatanoptimalcapitalstructureexistsandplaceslimitsontheamountmanagersshouldtrytoborrow通過(guò)對(duì)財(cái)務(wù)困境的分析得出這樣的結(jié)論：借款有利于公司，但是只有當(dāng)借款額度適當(dāng)是才能達(dá)到最后資金結(jié)構(gòu)第35頁(yè)/共39頁(yè)37AgencyCostsandCapitalStructure

代理成本和資本結(jié)構(gòu)Stakeholdersofmoderncorporationsinclude:shareholders,creditors債權(quán)人,employees,managers,suppliers,distributorsandconsumersConflictsamongstakeholders(hecaseoffinancialdistress)canaffectthefirm’sfinancialstrategy股東之間的沖突會(huì)影響企業(yè)財(cái)政戰(zhàn)略Theagencyconflictbetweenmanagersandoutsideshareholderscanariseasaresultof:(a)management’stendencytoconsu