秋季在職研究生財(cái)務(wù)

財(cái)務(wù)管理江萍2010年秋季Handout3Outline1.RiskandReturn2.CAPM(資本資產(chǎn)定價(jià)模型)3.DiscountRates4.RaisingCapital(融資)5.CapitalStructure6.CapitalBudgetingwithDebt(有負(fù)債情況下的資本預(yù)算)1.RiskandreturnStatisticsreviewIntroductiontostockpricebehaviorExamplesInNovember1990,AT&TwasconsideringanofferforNCR,the5thlargestU.S.computermaker.HowcanAT&TmeasuretherisksofinvestinginNCR?WhatdiscountrateshouldAT&Tusetoevaluatetheinvestment? Underwriter承銷商 IPO首次公開發(fā)行 SEO新股增發(fā) Marketmaker做市商 Bidprice賣價(jià)Randomvariable隨機(jī)變量 Parameter參數(shù) Mean均值variance方差 Skewness曲度

observation觀察值Median中位數(shù)(樣本觀測(cè)值中小于其的數(shù)占50%)VaR風(fēng)險(xiǎn)價(jià)值(給定置信區(qū)間的一個(gè)持有期內(nèi)的最壞的預(yù)期損失) Normalrandomvariable正態(tài)分布隨機(jī)變量 Symmetricdistribution對(duì)稱分布confidenceinterval置信區(qū)間 Covary共同變化 Covariance協(xié)方差 Correlation相關(guān)系數(shù) Stdev.標(biāo)準(zhǔn)差Predict

return預(yù)測(cè)收益 Timeseries時(shí)間序列 Volatility波動(dòng)性Stocksarequiterisky.Individualstocks(私企股票)aremuchriskier.Stockstendtomovetogetherovertime:whenonestockgoesup,otherstocksarelikelytogoupaswell.Thecorrelationisfarfromperfect.Stockreturnsarenearlyunpredictable.Forexample,knowinghowastockdoesthismonthtellsyouverylittleaboutwhatwillhappennextmonth.Thegreatertherisk,thehigherthereturn.

IntroductiontostockpricebehaviorMarketvolatilitychangesovertime(市場(chǎng)價(jià)格波動(dòng)率隨時(shí)間變化)Pricesaresometimesquitevolatile.Thestandarddeviationofmonthlyreturns(月收益率)variesfromroughly2%to20%.Introductiontostockpricebehavior代表性的Size公司規(guī)模 Sorted分選，分類 decile十分位數(shù)代表性特征規(guī)模效應(yīng)小企業(yè)的表現(xiàn)通常好于大企業(yè)，尤其在一月。一月效應(yīng)各企業(yè)一月的平均收益均高于其他月份。市帳比(價(jià)值)效應(yīng)市場(chǎng)價(jià)值與賬面價(jià)值比值較低的公司績(jī)效較好。慣性效應(yīng)

過去3到12個(gè)月股票收益率較高的企業(yè)在未來一

段時(shí)間股票的表現(xiàn)依舊會(huì)好于收益率低的企業(yè)。

資本資產(chǎn)定價(jià)模型度量風(fēng)險(xiǎn)系統(tǒng)性和可分散風(fēng)險(xiǎn)風(fēng)險(xiǎn)收益之間的權(quán)衡取舍投資多元化(分散化)只要股票之間不是完全正相關(guān)，分散就投資可以降低風(fēng)險(xiǎn)。投資組合的方差主要取決于各股之間的協(xié)方差，而非個(gè)股方差。系統(tǒng)性風(fēng)險(xiǎn)不可分散。NumberofSecuritiesSt.DeviationMarketRisk市場(chǎng)風(fēng)險(xiǎn)或systematicrisk系統(tǒng)性風(fēng)險(xiǎn)UniqueRisk獨(dú)特風(fēng)險(xiǎn)或Diversifiablerisk可分散風(fēng)險(xiǎn)或Unsystematicrisk非系統(tǒng)性風(fēng)險(xiǎn)為什么分散化可以降低風(fēng)險(xiǎn)？資本資產(chǎn)定價(jià)模型股票價(jià)格取決于公司本身的經(jīng)營(yíng)狀況和整個(gè)市場(chǎng)

環(huán)境。但是投資者往往只關(guān)心不可分散風(fēng)險(xiǎn)，即系統(tǒng)性的市場(chǎng)風(fēng)險(xiǎn)。個(gè)股的不可分散風(fēng)險(xiǎn)可以通過beta來度量，即個(gè)

股收益對(duì)市場(chǎng)收益做回歸所得斜率。預(yù)期收益率是betas的線性函數(shù)。（市場(chǎng)風(fēng)險(xiǎn)溢價(jià)）Beta

回歸斜率個(gè)股對(duì)于整個(gè)市場(chǎng)波動(dòng)的敏感程度如何？其他股票價(jià)格波動(dòng)是所研究股票的價(jià)格如何變化？à=企業(yè)本身經(jīng)營(yíng)帶來的不可風(fēng)散的、非系統(tǒng)性的風(fēng)險(xiǎn)。?=個(gè)股之于市場(chǎng)收益的敏感度。R2=擬合優(yōu)度，度量整個(gè)方差能被市場(chǎng)收益變化解釋的比例。無風(fēng)險(xiǎn)收益率=國(guó)庫券收益率(mutualfunds共同基金)CAPM應(yīng)用量化風(fēng)險(xiǎn)股票或投資所對(duì)應(yīng)的?越大，則投資風(fēng)險(xiǎn)越大。有效估值提供了估計(jì)企業(yè)資本成本(風(fēng)險(xiǎn)調(diào)整后的貼現(xiàn)率)

的有效手段。提供基準(zhǔn)

估計(jì)股票或投資基金考慮風(fēng)險(xiǎn)情況下的表現(xiàn)。

(美國(guó)有近74%的企業(yè)用CAPM模型估計(jì)資本成本)3.(growingstart-up成長(zhǎng)性企業(yè))如果是開辟新的生產(chǎn)線或多元化的企業(yè)，則用企業(yè)?來衡量項(xiàng)目的資本成本是不當(dāng)?shù)?。市?chǎng)收益率用市場(chǎng)指數(shù)如標(biāo)普500來衡量該企業(yè)的產(chǎn)品或服務(wù)要在不同的市場(chǎng)出售嗎？期限匹配，求長(zhǎng)期項(xiàng)目資本成本用長(zhǎng)期國(guó)債利率，短期項(xiàng)目用短期國(guó)債。(稅后加權(quán)資本成本)(權(quán)數(shù)為債務(wù)和權(quán)益在總資產(chǎn)或企業(yè)總價(jià)值中的占比，t為公司稅)(使行業(yè)?的使用復(fù)雜化)多因素模型?通常不能涵蓋所有的和重要的風(fēng)險(xiǎn)因素。風(fēng)險(xiǎn)度量將企業(yè)的預(yù)期收益對(duì)影響其的所有宏觀經(jīng)濟(jì)風(fēng)險(xiǎn)因子做回歸。預(yù)期收益與風(fēng)險(xiǎn)線性相關(guān)。4.4.1Overview融資內(nèi)部融資企業(yè)內(nèi)部產(chǎn)生的現(xiàn)金流，通常指留存收益舉借債務(wù)債券或商業(yè)票據(jù)、銀行貸款(貸款承諾或信貸限額等)、私募資金和租賃等權(quán)益性再融資普通股或優(yōu)先股、權(quán)證和私募資金等DifferencesBetweenDebtandEquityDebtNotanownershipinterestCreditorsdonothavevotingrightsInterestisconsideredacostofdoingbusinessandistax-deductibleCreditorshavelegalrecourseifinterestorprincipalpaymentsaremissedExcessdebtcanleadtofinancialdistressandbankruptcyEquityOwnershipinterestCommonstockholdersvotetoelecttheboardofdirectorsandonotherissuesDividendsarenotconsideredacostofdoingbusinessandarenottaxdeductibleDividendsarenotaliabilityofthefirmuntildeclared.StockholdershavenolegalrecourseifnodividendsaredeclaredAnall-equityfirmcannotgobankrupt債權(quán)和股權(quán)的區(qū)別債權(quán)非所有權(quán)利益?zhèn)鶛?quán)人無投票權(quán)利息作為經(jīng)營(yíng)成本在稅前扣除債務(wù)人違約不能正常支付利息和本金的時(shí)候，債權(quán)人可以訴諸法律舉債過多使企業(yè)陷入財(cái)務(wù)困境，增加代理成本股權(quán)所有權(quán)利益在選舉董事會(huì)成員或公司重大決策時(shí)普通股東有投票權(quán)股息在稅后扣除，無稅收屏蔽作用股息非強(qiáng)制發(fā)放，但是一旦公告即成法定債務(wù)全權(quán)益融資的公司不會(huì)走向破產(chǎn)術(shù)語可轉(zhuǎn)換、可贖回債券和優(yōu)先股優(yōu)先股零息債券、純貼現(xiàn)債權(quán)、附息債券垃圾債(信用評(píng)級(jí)公司發(fā)行的債券)Thedebtratingsdependon(1)thelikelihoodthatthefirmwilldefaultand(2)theprotectionaffordedbytheloancontractintheeventofdefault.債券評(píng)級(jí)取決于：(1)企業(yè)違約的可能性；(2)貸款合同所規(guī)定的企業(yè)違約時(shí)對(duì)債務(wù)的補(bǔ)救措施。Issuebond穆迪和標(biāo)準(zhǔn)普爾評(píng)級(jí)CreditAnalysis5C’sofCredit1.Character(借款人品德)Characterreferstoborrower’swillingnesstomeetcreditobligation.(借款人履行借款義務(wù)的意愿)Management’sintegrityandcommitmenttorepaytheloan(管理者正直誠實(shí)，歸還貸款的承諾)Management’sbusinessqualificationsandoperatingrecord(管理者的業(yè)務(wù)素養(yǎng)和經(jīng)營(yíng)業(yè)績(jī))Management’sabilitytoreactappropriatelytounexpectedevents(管理者有效應(yīng)對(duì)不可預(yù)知事件的能力)Corporategovernancestructure(公司的治理結(jié)構(gòu))CreditAnalysis---5C’sofCredit2.Collateral(擔(dān)保)Collateralincludestheassetsofferedassecurityforthedebtaswellasotherassetscontrolledbytheissuer.3.Capital(資本):thefirm’sfinancialreserves.4.Conditions(經(jīng)營(yíng)情況)Generaleconomicconditions,includingrecenttrendsintheindustryandhowchangingeconomicconditionsmightaffecttheloan.CreditAnalysis---5C’sofCredit5.Capacity(借款能力)Capacityreferstotheborrower’sabilitytomeetcreditobligationsoutofoperatingcashflows.Moody’susesthefollowingfactorsinassessingtheissuer’scapacitytopayindustrytrends,regulatoryenvironment,operatingandcompetitiveposition,financialpositionandsourcesofliquidity,parentcompanysupportagreementsandspecialeventrisk.穆迪評(píng)級(jí)公司分析企業(yè)借款能力所考慮的因素有：行業(yè)趨勢(shì)、監(jiān)管環(huán)境、經(jīng)營(yíng)和競(jìng)爭(zhēng)環(huán)境、財(cái)務(wù)狀況、流動(dòng)性來源、母公司的貸款保證、特定風(fēng)險(xiǎn)等。IssueEquity4.2FinancingPatternsFinancingPatterns4.3StockMarketReactionPriceImpact(信用貸款，無擔(dān)保的)(財(cái)務(wù)杠桿增大即債務(wù)融資增加)發(fā)行新股，股價(jià)下跌股價(jià)將隨著銀行貸款的增加而上升，但對(duì)公募債券發(fā)行反應(yīng)微小。稀釋效應(yīng)？(高估，即市帳比高于市場(chǎng)平均水平)(企業(yè)經(jīng)營(yíng)前景慘淡)5.

CapitalstructureM&Mtheorem(M&M理論)Trade-offTheory(權(quán)衡理論)PeckingOrderTheory(優(yōu)序融資理論)Modigliani-MillerTheoremAssume假定Efficientmarketsandnoasymmetricinformation資本市場(chǎng)完全有效，信息完全對(duì)稱Notaxes無稅Notransactionorbankruptcycosts

無交易和破產(chǎn)成本MMPropositionIThevalueofthefirmisindependentof(與……無關(guān))itscapitalstructure.Financingchoicesareirrelevant!(不重要，無關(guān)的)M&M1:Arbitrageargument

——ThesetupTwofirmsidentical(相同的)ininvestmentsbutdifferentcapitalstructureCashflowsof$Cperperiodinperpetuity(永續(xù))Allcashflowspaidoutasdividends–nogrowthSinceidenticalrisk,alsohaveidenticalrequiredreturnsofr0iftheyareallequityfinancedBut,oneofthefirmsislevered(withvalueVL=BL+SL),theotherisunlevered(withvalueVU)M&M1:ArbitrageargumentM&M1:VL=VUShowarbitrageifthepropositiondoesn’tholdPortfolio1Composition:fractionaofequityintheleveredfirm.Initialcost:aSLReturns:perpetualcashflowsofa(C-rBBL)

VL=BL+SLVUPortfolio2Composition:InvestaVUdollarsintheequityoftheunleveredfirm,PartiallyfinancebyborrowingaBL

Initialnetcost:aVU-aBLReturns:perpetualcashflowsofaC(fromtheequity)–rBaBL(fromthedebt)Totalperpetualreturn:a(C-rBBL).M&M1:ArbitrageargumentM&M1:Arbitrageargument

(important)WhathappensifVU>VL?Theperpetualcashflowstoportfolio1areequaltotheperpetualreturnstoportfolio2.BuyP1,sellP2.Cashflowattimezero:(aVU-aBL)-aSL=(aVU-aBL)-a(VL-BL)=a(VU–VL)>0Obligationinthefuture:a(C-rBBL)-a(C-rBBL)=0Thisisarbitrage.M&M1:ArbitrageargumentWhathappensifVU<VL?ArbitrageintheotherdirectionConclusion:VU=VLwhichprovesMM1.Notetheimportanceofassumingthatinvestorscanborrowatsamerate(inP2)astherateatwhichfirmsborrow(inP1).M&MII(notaxes)Proposition:WACCisinvarianttocapitalstructureunderthepreviousassumptions.Proof(DirectimplicationofMM1).Thevalueofthefirm,V,iscashflowsdiscountedbyWACCConsidertheleveredandunleveredfirmsintheprevioussetupBothhadthesamecashflows.Bothhadthesamevalue(byMM1).ThereforetheymusthavethesameWACC.MMPropositionIILeverageExample(MMII)Assets=$10,000Returnondebt=5%AllstatesareequallylikelyAll-equityfirm:S=10,000&B=0StateABCDEROA0%5%10%15%20%Earnings0500100015002000Interest00000NI0500100015002000ROE0%5%10%15%20%Leveredfirm(D/V=.5)

S=5,000&B=5,000StateABCDEROA0%5%10%15%20%Earnings0500100015002000Interest250250250250250NI-25025075012501750ROE-5%5%15%25%35%IfthereistaxAssumecorporatetaxrateTC.Interestistaxdeductible.PropositionIchangesto:VL=VU+PV(taxshield)Interesttaxshield=rdebt*D*TaxRateProof:Showtherearearbitrageopportunitiesifthepropositiondoesn’tholdPortfolio1Composition:fractionaofequityintheleveredfirm.Initialcost:aSLReturns:perpetualcashflowsofa(C-rBBL)(1-TC).IfthereistaxPortfolio2Composition:InvestaVUdollarsintheequityoftheunleveredfirm,PartiallyfinancebyborrowingaBL(1-TC)Initialnetcost:aVU-aBL(1-TC)Returns:perpetualcashflowsofaC(1-TC)(fromtheequity)–rBaBL(1-TC)(fromthedebt)Totalperpetualreturn:a(C-rBBL)(1-TC).IfthereistaxIfthereistaxValueofleveredfirmValueofunleveredfirmPVofinteresttaxshieldsDebtMarketvalueofthefirmVofleveredfirm=Vifall-equity-financed+PVoftaxshieldIfthereistaxValueofleveredfirmDebt/EquityWACCrdebt*(1-t)requity127IfthereistaxImplicationsforCAPM:SML:r0=rF+

U(rM-rF)Assumedebtbetaiszero(i.e.,rB=rF),andsubstitute(替代)intoProp.II:ByCAPM,rSalsosatisfiesrS=rF+

L(rM-rF)Therefore

L=

U[1+(1-T)(B/S)]

FinancialDistressandAgencyCostsofDebtCostsoffinancialdistress(財(cái)務(wù)困境帶來的成本)DirectCosts-legal,administrativeandaccounting(about3%offirmvalueconditionaluponbankruptcy)直接成本包括法律、管理和會(huì)計(jì)成本，約為處于破產(chǎn)情況下企業(yè)價(jià)值3%。FinancialDistressandAgencyCostsofDebtPerhapsoneofthemostwell-publicizedbankruptciesinrecentyearsconcernedamunicipality,OrangeCounty,California,notacorporation.近年來最廣為人知的破產(chǎn)案例不是企業(yè)，而是市鎮(zhèn)，如加利福尼亞州破產(chǎn)Thisbankruptcyfollowedlargebond-tradinglossesinthecounty’sfinancialportfolio.

這樣的破產(chǎn)是伴隨地方政府大額的債券交易損失而產(chǎn)生的。TheLosAngelesTimesstated:FinancialDistressandAgencyCostsofDebtIndirectCosts-LossofSales,destructionofsupplier/employeerelationships,uncertaintyrestrictsinvestment,etc.間接成本包括銷售收入的下降、上下游供應(yīng)鏈的破壞、與員工關(guān)系的惡化、限制投資的不確定性等。Forexample,manyloyalChrysler(克萊斯勒)customersswitchedto(轉(zhuǎn)向)othermanufacturerswhenChryslerskirtedinsolvencyinthe1970s.ThesebuyersquestionedwhetherpartsandservicingwouldbeavailablewereChryslertofail.

FinancialDistressandAgencyCostsofDebtSometimesthetaintofimpendingbankruptcyisenoughtodrivecustomersaway.

有時(shí)候可能導(dǎo)致企業(yè)發(fā)生破產(chǎn)的跡象也會(huì)導(dǎo)致客戶流失。Forexample,gamblersavoidedAtlantiscasino(一家賭場(chǎng))inAtlanticCityafteritbecametechnicallyinsolvent(嚴(yán)格按照法律來講處于破產(chǎn)地位).Gamblersareasuperstitiousbunch(賭徒們是一群迷信的家伙).Manyreasoned,“Ifthecasinoitselfcannotmakemoney,howcanIexpecttomakemoneythere?”FinancialDistressandAgencyCostsofDebtAparticularlyoutrageousstoryconcernedtwounrelatedstoresbothnamedMitchellsinNewYorkCity.WhenoneMitchellsdeclaredbankruptcy,customersstayedawayfrombothstores.Intime,thesecondstorewasforcedtodeclarebankruptcyaswell.另一個(gè)讓人覺得好笑的故事是關(guān)于紐約兩家同名卻毫不相干的商店破產(chǎn)的例子。當(dāng)其中一家宣告破產(chǎn)時(shí)，兩家商店顧客都嚴(yán)重流失，最終，另一家商店也被迫宣告破產(chǎn)。FinancialDistressandAgencyCostsofDebtAgencyCostsofDebt(Thinkofacombinationowner/managerhere,tryingtotakeadvantageofbondholders)ExcessiveRiskTaking(采取高風(fēng)險(xiǎn)的經(jīng)營(yíng)決策)Underinvestment(投資不足)–stockholderswon’tpayincapitalOverpayDividends(支付高額股息)AgencyCostofDebtExampleI:IncentivetoTakeLargeRisksSupposeafirmhasassetswithamarketvalueof$200,and$300inbookvalueofdebtoutstanding(發(fā)行在外).Thebondsmature(到期)tomorrow.Whatwouldshareholdersgetiffirmisliquidated(被清算)today?Whatwouldbondholdersget?AgencyCostofDebtExampleI:IncentivetoTakeLargeRisksSupposenowtheowner/managerofthefirmhasanopportunitytomakeonelastinvestmentwithanimmediatestochasticpayoff(即刻得到的不確定支付).Theinvestmentcosts$200andhasadiscountrateof50%(veryriskyproject).AgencyCostofDebtExampleI:IncentivetoTakeLargeRisksThepossiblepayoffsandprobabilitiesareWhatshouldtheowner/managerdotomaximizethevalueofthefirm?NPV={.9*0+.1*1000}/1.5-200=-133.33PV[Firm|AcceptProject](接受此項(xiàng)目后企業(yè)的價(jià)值)=200-133.33=$66.67Aftertheinvestment,themarketvalueofthefirmwillfallto$66.7.

Prob. Payoff Win 10% $1000 Lose 90% $0AgencyCostofDebtExampleI:IncentivetoTakeLargeRisksWhatwillaself-interested(自私的)owner/managerdo?Inthecurrentsituationtheowner/managerwillreceivenothingwhenthebondsmaturetomorrow.Thus,shewillprefertoundertaketheproject,asthereis10%chanceofobtaining$700=$1000-$300.AgencyCostofDebtExampleI:IncentivetoTakeLargeRisksNoprojectWithprojectExpectedCFtobondholders$200.9x0+.1x300=$30ExpectedCFtoowner/manager$0.9x0+.1x700=$70PVbonds$200<$30PVstock$0>0FirmValue$200$67AgencyCostofDebtExampleI:IncentivetoTakeLargeRisksAstory,perhapsapocryphal(虛構(gòu)的),illustratesthisidea.ItseemsthatFederalExpress(聯(lián)邦快遞)wasnearfinancialcollapsewithinafewyearsofitsinception(開端、創(chuàng)始).Thefounder,FrederickSmith,took$20,000ofcorporatefundstoLasVegasindespair(絕望地).Hewonatthegamingtables,providingenoughcapitaltoallowthefirmtosurvive(生存).(如果)Hadhelost,thebankswouldsimplyhavereceived$20,000lesswhenthefirmreachedbankruptcy.AgencyCostofDebtExampleII:IncentivetoUnder-investTakethesamefirmaspreviously.Assetshaveamarketvalueof$200andthereis$300indebtoutstanding(發(fā)行在外的),whichmatures(到期)tomorrow.Thefirmhasanopportunitytoundertakeacompletelyrisklessprojectwithzerorequiredreturn(thepayoffisimmediate)thatcosts$300andhasapayoutof$350.However,thefirmcanonlymakethisinvestmentwithadditionalequitycapital.

(Nomoredebtmaybeissuedbyprovisionsofexistingloancovenantsandfederalregulators按照現(xiàn)存的貸款契約和聯(lián)邦監(jiān)管機(jī)構(gòu)的相關(guān)規(guī)定不能再舉債)AgencyCostofDebtExampleII:IncentivetoUnder-investWhatshouldtheowner/managerdotomaximizethevalueofthefirm?NPV=$350/1–300=$50Toundertaketheproject,theowner/managershouldprovidetheadditional$100required.AgencyCostofDebtExampleII:IncentivetoUnder-investWhatwillaself-interestedowner/managerdo?NoprojectWithprojectExpectedCFtobondholders$200$300ExpectedCFtoowner/manager$0$50PVbonds$200$300PVstock$0$50FirmValue$200$350AgencyCostofDebtExampleII:IncentivetoUnder-investSincetheequityholdershadtopay$100fortheirstake(賭注)tostartwith,theylost$50,andwillnotundertaketheprojecteventhoughithaspositiveNPV.Inotherwords,owner/managerwillnotinvestthefundsbecausebondholderswouldcapturemostofthegain.AgencyCostofDebtExampleIII:Milking(壓榨)thepropertyShareholdersmayattempttocapturesomeofthefirm’svaluebypayingoutextradividendsorhighersalariestomanagementattimesoffinancialdistress(財(cái)務(wù)困境).Thisisanotherinstanceinwhichtheprotectivecovenants(inparticularlimitationofdividends)onbondscanbeimportanttothebondholders.Suchtacticsoftenviolatebondindentures.

在這種情況下，對(duì)債權(quán)人的保護(hù)性條款尤其是限制股利發(fā)放的規(guī)定顯得尤為重要。但這同樣也違背借款合同的一般規(guī)定。Toseehowthisworks,gotoourpreviousexample.Todaythemarketvalueofthefirmis$200,buttomorrowdebtmatures,thefirmwillgobankrupt,bondholdersseize(抓住，控制)thecompany’sassets,andshareholdersgetnothing.Somanagementcansellallofthefirm’sassets,andpayoutthecashtoexistingshareholdersthroughalargedividendbeforethefirmsgoesbankrupt.AgencyCostofDebtExampleIII:Milking(壓榨)thepropertyWhobears(擔(dān)負(fù))thecosts?Atfirstitlookslikebondholders,butifbondholdersareforward-looking(有遠(yuǎn)見的),theywillanticipatethesecostsanddemandahigherreturntocompensatefor(補(bǔ)償)it.Ultimately,theowner/managerpaysthesecosts.AgencyCostofDebtExampleIII:Milking(壓榨)thepropertyPuttingthisalltogether,wenowhaveatheoryofoptimalcapitalstructureVL=VU+PV(taxshield)-PV(costsoffinancialdistress)“Static(靜態(tài)的)”TheoryofOptimalCapitalStructure(最有資本結(jié)構(gòu))AgencyCostofDebtExampleIII:Milking(壓榨)thepropertyifthereisbankruptcycost

ThePeckingOrderHypothesis

(優(yōu)序融資理論)

Thisisthemainalternative(選擇方案)totheoptimalcapitalstructuretheoryKeyisasymmetricinformation(信息不完全):themanagermustknowmoreaboutthefirm’sprospectsthatdoesatypicalinvestor(就像普通投資者一樣).

Managerscanusetheirprivateinformationto“time(確定時(shí)間)”newequityissues:Issueequitywhenitisovervalued(高估)Donotissuewhenitisundervalued,ratherissuealow-riskbondthatthemarketwillpricecorrectly.

ThePeckingOrderHypothesis

Ifafirmissuesequity,investorswillinfer(推測(cè))thatitisovervalued,andwouldonlypayverylowprices.Ifitissuesdebt,theywillinferitisundervalued.Thus,totheextentpossible(從某種程度上講),allfirmsneedingtoraiseexternalcapitalshouldissuedebt,ratherthanequity.

ThePeckingOrderHypothesis

Managersalsohavesomeprivateinformationaboutthefirm’sdebt(e.g.managersknowthetrueprobabilityofdefault實(shí)際違約的可能性).Soitislikelythatmanagersalsotendtoissuedebtwhentheythinkitisovervalued.Soinvestorswillrequirehigheryields(收益率)onbondissues.However,investorfearofmispricingismuchlessfordebtthanforequity.

但是，對(duì)于債券錯(cuò)誤定價(jià)擔(dān)心的投資者相比股票較少。

ThePeckingOrderHypothesis

Thetheorysaysthatmanagerspreferthefollowingorderingoffinancing:Retainedearnings(internalcash)DebtEquity

ThePeckingOrderHypothesis

Otherreasonsforthepeckingorder:DirectcostsofissuanceAgencycosts(managersdon’tlikemonitoring)

ThePeckingOrderHypothesis

ImplicationsThereisnotargetleverage(D/Edependsonfinancingneeds)Profitablefirmsuselessdebt(moreinternalcash,don’tneeddebt)Companieslikefinancialslack(havecashavailableforprojects流動(dòng)資金充裕)

ThePeckingOrderHypothesis

EmpiricalfactsRegardingCapitalStructureLowdebt/assetratios:<50%ingeneral.Pricesriseinresponsetodebtincreases,fallforequityincreases:Thisprobablyhasmoretodowithsignalingthananything.

價(jià)格變化的可能性較多與新信息的公布有關(guān)。EmpiricalfactsRegardingCapitalStructurePersistentinter-industrydifferencesLowdebtingrowthindustries(higherexpectedbankruptcycosts)Significanttangibleassetsgowithhighdebt(tangibleassetsreducecostsoffinancialdistress較多的無形資產(chǎn)可以使企業(yè)在舉債較多時(shí)也能勉強(qiáng)應(yīng)付，不至于陷入財(cái)務(wù)困境)Veryriskyenterpriseshavelowerdebtlevels:Notethatthisisonecasewhereitisthetotalriskofthecashflowsthatmatters,notthemarketrisk(重要的是現(xiàn)金流的總風(fēng)險(xiǎn)而不是市場(chǎng)風(fēng)險(xiǎn))EmpiricalfactsRegardingCapitalStructureProfitablefirmsissuelessdebtThisfitsbestwithpeckingorderhypothesis–managersliketokeeptheirfreecashflowSeemstocontradict(與……相悖)optimalcapitalstructuretheory:profitablefirmsneedtaxshelter(稅盾)fromdebtmore6.CapitalBudgetingwithDebtr0:theunleveredfirmorprojectdiscountrate,i.e.thecostofcapitalforanall-equityfirmrB:thecostofdebtrS=r0+(B/S)(1-TC)(r0-rB),thecost(requiredreturn)ofleveredequity,fromMMProp.IIwithtaxes(Chapter15oftheRossbook)SomethingstorememberbeforewestartWACC=wB.rB.

(1-T)+wS.rS,wherewB=B/(B+S)andwS=S/(B+S),whicharetargetratios(目標(biāo)比率)UCF:aftertax,unleveredcashflows(excludesaftertaxinterestpayments)LCF:aftertax,leveredcashflows(includesaftertaxinterestpayments)UCF–LCF=(1-TC).rB.BExampleSales$500,000,cashcosts$360,000,taxrate40%,interestexpense$11,666.WhatisUCF,LCF?UCF–LCF=7,000=84,000–77,000=.6x11,666sales500,000sales500,000costs360,000costs360,000op.income140,000interest-11,666taxes@40%-56,000incomeafterinterest128,334UCF84,000taxes@40%-51,334LCF77,000ExampleCapitalBudgetingwithLeverageThecapitalstructureandcapitalbudgetingdecisionsarerelated.Aprojectofanall-equityfirmmightberejected,whilethesameprojectmightbeacceptedforaleveredbutotherwiseidentical(其他情況相同)firm.Intuition:thecostofcapitalfrequentlydecreaseswithleverage,thereforeturningsomenegativeNPVprojectsintopositiveNPVprojects.(利息有稅收屏蔽作用，債務(wù)比重增加能降低資本成本，從而可能使一些項(xiàng)目負(fù)的NPV轉(zhuǎn)正)CapitalBudgetingwithLeverageForanunleveredfirmorproject,wejustdiscountbyr0(theunleveredfirmorprojectdiscountrate)Foraleveredfirm,wehavethreechoicesWACC(加權(quán)平均資本成本法)APV(AdjustedPresentValue調(diào)整凈現(xiàn)值法)FTE(FlowstoEquity權(quán)益現(xiàn)金流量法)CapitalBudgetingwithLeverageIntheory,thesethreecanbemadetogiveidenticalresults(殊途同歸)Inpractice,exactreconciliation(精確的解)isoftendifficult,butthethreemethodsshouldgiveapproximately(大約，大概)thesameresultsAPVismostusefulwhenleverageischangingsubstantially(大量地，實(shí)質(zhì)性地)overtimeTheothertwoworkbestwithfixedleverageratiosThismethodisprobablythemostfamiliartoyou.Discountthefirm’scashflowsbytheweightedaveragecostofcapital(WACC).Valuation:

DCFValuationI:WACC169DCFValuationI:WACCInputsDebt/equityratio(constant:itisthetargetleverageratio)CostsofleveredequityandcostofdebtTaxrateUnleveredcashflows(aftertax)ExampleI:WACCValuationConsiderthevaluationoftheSingerCompany,whichisforsalefor$475,000,andhasthefollowingcharacteristics:Cashsales:$500,000peryearfortheindefinitefuture Cashcosts:72%ofsales Corporatetaxrate(TC):34% Costofcapitalifunlevered(r0):20% InterestRate(rB):10% Targetdebttoequityratio(B/S):1/3(thusB=1,S=3,andB+S=4)

AnnualCFsifthefirmwereallequityfinanced(ignoreinterestpayments)are:Cashinflows $500,000 Cashcosts -360,000 OperatingIncome 140,000 CorporateTax(.34) -47,600 UCF

92,400ExampleI:WACCValuationThepresentvalueofSingeristhusPV=92,400/.183=504,918andtheNPVoftheacquisitionwouldbeNPV=504,918–475,000=$29,918ExampleI:WACCValuationUnderstandingWACCWhenusingWACC,thevalueofthedebttaxshieldisreflectedinthedenominator(分母discountrate),ratherthanthenumerator(分子cashflows)UnderstandingWACCWACC<r0.

Thusthevalueofaprojectwith

leverageisgreaterthanthevalueoftheprojectwithout

leverage.DCFValuationII:APVTheadjustedpresentvaluemethodbeginsbycalculatingthevalueofthefirmwithallequityfinancing.Wethenseparatelycalculatethevalueofthedebttaxshield(orothersideeffects連帶效應(yīng)),andaddthetwotogether.TheNPVoftheunleveredfirm(NPVU)iscalculatedbydiscountingtheunleveredcashflowsbyr0:

DCFValuationII:APVTheNPVofthefinancingsideeffects(NPVF)iscalculatedbydiscountingthedebttaxshieldsbythecostofdebt:OrforaperpetuityCostsoffinancialdistress,debtfinancingsubsidies,andissuancecostscanallbeincorporatedintothefinancingsideeffects連帶效應(yīng)有四種：債務(wù)融資的節(jié)稅效應(yīng)、發(fā)行成本、破產(chǎn)成本和非市場(chǎng)利率融資的收益。NoteThevalueofaprojectwithleverageisgreaterthanthevaluewithoutleverage(financingsideeffect).WACCmethodrequiredustogivethetargetcapitalstructure,whileAPVdoesnot.APVmethodrequiresustoforecasttheannualinterestexpense(andthustheannualdebtlevel)whileWACCdoesnot.ExampleII:APVValuationSingerCompanyexamplecontinued:

ThefirstpartoftheAPVcalculationiseasy.Recallthattheunleveredcashflows(UCF)are$92,400annually.Wecanthencalculatethepresentvalueoftheunleveredcompany(VU)byVU=92,400/0.2=462,000ExampleII:APVValuationSincethepriceforSingeris$475,000,NPVU=-475,000+462,000=-13,000.SowewouldnotpurchaseSingerifwewererequiredtomaintainanallequitycapitalstructure.ExampleII:APVValuationWenowwanttocalculatetheNPVofthetaxshieldfromthedebtfinancing(thefinancingsideeffect).Singer’sannualinterestexpensewillbeBxrB.Discountingtheresultingtaxshieldperpetuity(BxrBxTC)byrB,wearriveat:ExampleII:APVValuationWestillneedtocalculatehowmuchdebt