資本成本-公司財(cái)務(wù)和投資理論【外文翻譯】

外文翻譯THECOSTOFCAPITAL,CORPORATIONFINANCEANDTHETHEORYOFINVESTMIENTMaterialSource:AmericanEconomicsReview,Vol.48,No.3(Jun,1958),261-297Author:FrancoModiglianiandMertonH.MillerWhatisthe"costofcapital"toafirminaworldinwhichfundsareusedtoacquireassetswhoseyieldsareuncertain;andinwhichcapitalcanbeobtainedbymanydifferentmedia,rangingfrompuredebtinstruments,representingmoneyfixedclaims,topureequityissues,givingholdersonlytherighttoaproratashareintheuncertainventure.?Thisquestionhasvexedatleastthreeclassesofeconomists:(1)thecorporationfinancespecialistconcernedwiththetechniquesoffinancingfirmssoastoensuretheirsurvivalandgrowth;(2)themanagerialeconomistconcernedwithcapitalbudgeting;and(3)theeconomictheoristconcernedwithexplaininginvestmentbehavioratboththemicroandmacrolevels.Inmuchofhisformalanalysis,theeconomictheoristatleasthastendedtosidesteptheessenceofthiscostofcapitalproblembyproceedingasthoughphysicalassetslikebondscouldberegardedasyieldingknown,surestreams.Giventhisassumption,thetheoristhasconcludedthatthecostofcapitaltotheownersofafirmissimplytherateofinterestonbonds;andhasderivedthefamiliarpropositionthatthefirm,actingrationally,willtendtopushinvestmenttothepointwherethemarginalyieldonphysicalassetsisequaltothemarketrateofinterest.Thispropositioncanbeshowntofollowfromeitheroftwocriteriaofrationaldecisionmakingwhichareequivalentundercertainty,namely(1)themaximizationofprofitsand(2)themaximizationofmarketvalue.Accordingtothefirstcriterion,aphysicalassetisworthacquiringifitwillincreasethenetprofitoftheownersofthefirm.Butnetprofitwillincreaseonlyiftheexpectedrateofreturn,oryield,oftheassetexceedstherateofinterest.Accordingtothesecondcriterion,anassetisworthacquiringifitincreasesthevalueoftheowners'equity,i.e.,ifitaddsmoretothemarketvalueofthefirmthanthecostsofacquisition.Butwhattheassetaddsisgivenbycapitalizingthestreamitgeneratesatthemarketrateofinterest,andthiscapitalizedvaluewillexceeditscostifandonlyiftheyieldoftheassetexceedstherateofinterest.Notethat,undereitherformulation,thecostofcapitalisequaltotherateofinterestonbonds,regardlessofwhetherthefundsareacquiredthroughdebtinstrumentsorthroughnewissuesofcommonstock.Indeed,inaworldofsurereturns,thedistinctionbetweendebtandequityfundsreduceslargelytooneofterminology.Itmustbeacknowledgedthatsomeattemptisusuallymadeinthistypeofanalysistoallowfortheexistenceofuncertainty.Thisattempttypicallytakestheformofsuperimposingontheresultsofthecertaintyanalysisthenotionofa"riskdiscount"tobesubtractedfromtheexpectedyield(ora"riskpremium"tobeaddedtothemarketrateofinterest).Investmentdecisionsarethensupposedtobebasedonacomparisonofthis"riskadjusted"or"certaintyequivalent"yieldwiththemarketrateofinterest.Nosatisfactoryexplanationhasyetbeenprovided,however,astowhatdeterminesthesizeoftheriskdiscountandhowitvariesinresponsetochangesinothervariables.Consideredasaconvenientapproximation,themodelofthefirmconstructedviathiscertaintyorcertaintyequivalentapproachhasadmittedlybeenusefulindealingwithsomeofthegrosseraspectsoftheprocessesofcapitalaccumulationandeconomicfluctuations.Suchamodelunderlies,forexample,thefamiliarKeynesianaggregateinvestmentfunctioninwhichaggregateinvestmentiswrittenasafunctionoftherateofinterestthesamerisklessrateofinterestwhichappearslaterinthesystemintheliquiditypreferenceequation.Yetfewwouldmaintainthatthisapproximationisadequate.Atthemacroeconomiclevelthereareamplegroundsfordoubtingthattherateofinteresthasaslargeandasdirectaninfluenceontherateofinvestmentasthisanalysiswouldleadustobelieve.Atthemicroeconomiclevelthecertaintymodelhaslittledescriptivevalueandprovidesnorealguidancetothefinancespecialistormanagerialeconomistwhosemainproblemscannotbetreatedinaframeworkwhichdealssocavalierlywithuncertaintyandignoresallformsoffinancingotherthandebtissues.Onlyrecentlyhaveeconomistsbeguntofaceupseriouslytotheproblemofthecostofcapitalcumrisk.Intheprocesstheyhavefoundtheirinterestsandendeavorsmergingwiththoseofthefinancespecialistandthemanagerialeconomistwhohavelivedwiththeproblemlongerandmoreintimately.Inthisjointsearchtoestablishtheprincipleswhichgovernrationalinvestmentandfinancialpolicyinaworldofuncertaintytwomainlinesofattackcanbediscerned.Theselinesrepresent,ineffect,attemptstoextrapolatetotheworldofuncertaintyeachofthetwocriteriaprofitmaximizationandmarketvaluemaximizationwhichwereseentohaveequivalentimplicationsinthespecialcaseofcertainty.Withtherecognitionofuncertaintythisequivalencevanishes.Infact,theprofitmaximizationcriterionisnolongerevenwelldefined.Underuncertaintytherecorrespondstoeachdecisionofthefirmnotauniqueprofitoutcome,butapluralityofmutuallyexclusiveoutcomeswhichcanatbestbedescribedbyasubjectiveprobabilitydistribution.Theprofitoutcome,inshort,hasbecomearandomvariableandassuchitsmaximizationnolongerhasanoperationalmeaning.Norcanthisdifficultygenerallybedisposedofbyusingthemathematicalexpectationofprofitsasthevariabletobemaximized.Fordecisionswhichaffecttheexpectedvaluewillalsotendtoaffectthedispersionandothercharacteristicsofthedistributionofoutcomes.Inparticular,theuseofdebtratherthanequityfundstofinanceagivenventuremaywellincreasetheexpectedreturntotheowners,butonlyatthecostofincreaseddispersionoftheoutcomes.Undertheseconditionstheprofitoutcomesofalternativeinvestmentandfinancingdecisionscanbecomparedandrankedonlyintermsofasubjective"utilityfunction"oftheownerswhichweighstheexpectedyieldagainstothercharacteristicsofthedistribution.Accordingly,theextrapolationoftheprofitmaximizationcriterionofthecertaintymodelhastendedtoevolveintoutilitymaximization,sometimesexplicitly,morefrequentlyinaqualitativeandheuristicform.Theutilityapproachundoubtedlyrepresentsanadvanceoverthecertaintyorcertaintyequivalentapproach.Itdoesatleastpermitustoexplore(withinlimits)someoftheimplicationsofdifferentfinancingarrangements,anditdoesgivesomemeaningtothe"cost"ofdifferenttypesoffunds.However,becausethecostofcapitalhasbecomeanessentiallysubjectiveconcept,theutilityapproachhasseriousdrawbacksfornormativeaswellasanalyticalpurposes.How,forexample,ismanagementtoascertaintheriskpreferencesofitsstockholdersandtocompromiseamongtheirtastes?Andhowcantheeconomistbuildameaningfulinvestmentfunctioninthefaceofthefactthatanygiveninvestmentopportunitymightormightnotbeworthexploitingdependingonpreciselywhohappentobetheownersofthefirmatthemoment?Fortunately,thesequestionsdonothavetobeanswered;forthealternativeapproach,basedonmarketvaluemaximization,canprovidethebasisforanoperationaldefinitionofthecostofcapitalandaworkabletheoryofinvestment.Underthisapproachanyinvestmentprojectanditsconcomitantfinancingplanmustpassonlythefollowingtest:Willtheproject,asfinanced,raisethemarketvalueofthefirm'sshares?Ifso,itisworthundertaking;ifnot,itsreturnislessthanthemarginalcostofcapitaltothefirm.Notethatsuchatestisentirelyindependentofthetastesofthecurrentowners,sincemarketpriceswillreflectnotonlytheirpreferencesbutthoseofallpotentialownersaswell.Ifanycurrentstockholderdisagreeswithmanagementandthemarketoverthevaluationoftheproject,heisfreetoselloutandreinvestelsewhere,butwillstillbenefitfromthecapitalappreciationresultingfrommanagement'sdecision.Thepotentialadvantagesofthemarketvalueapproachhavelongbeenappreciated;yetanalyticalresultshavebeenmeager.Whatappearstobekeepingthislineofdevelopmentfromachievingitspromiseislargelythelackofanadequatetheoryoftheeffectoffinancialstructureonmarketvaluations,andofhowtheseeffectscanbeinferredfromobjectivemarketdata.OurprocedurewillbetodevelopinSectionIthebasictheoryitselfandtogivesomebriefaccountofitsempiricalrelevance.InSectionII,weshowhowthetheorycanbeusedtoanswerthecostofcapitalquestionandhowitpermitsustodevelopatheoryofinvestmentofthefirmunderconditionsofuncertainty.Throughoutthesesectionstheapproachisessentiallyapartialequilibriumonefocusingonthefirmand"industry."Accordingly,the"prices"ofcertainincomestreamswillbetreatedasconstantandgivenfromoutsidethemodel,justasinthestandardMarshalliananalysisofthefirmandindustrythepricesofallinputsandofallotherproductsaretakenasgiven.Wehavechosentofocusatthislevelratherthanontheeconomyasawholebecauseitisatthelevelofthefirmandtheindustrythattheinterestsofthevariousspecialistsconcernedwiththecost-of-capitalproblemcomemostcloselytogether.Althoughtheemphasishasthusbeenplacedonpartialequilibriumanalysis,theresultsobtainedalsoprovidetheessentialbuildingblocksforageneralequilibriummodelwhichshowshowthosepriceswhichareheretakenasgiven,arethemselvesdetermined.WiththedevelopmentofPropositionIIIthemainobjectivesweout-linedinourintroductorydiscussionhavebeenreached.WehaveinourPropositionsIandIIatleastthefoundationsofatheoryofthevaluationoffirmsandsharesinaworldofuncertainty.Wehaveshown,moreover,howthistheorycanleadtoanoperationaldefinitionofthecostofcapitalandhowthatconceptcanbeusedinturnasabasisforrationalinvestmentdecisionmakingwithinthefirm.Needlesstosay,however,muchremainstobedonebeforethecostofcapitalcanbeputawayontheshelfamongthesolvedproblems.Ourapproachhasbeenthatofstatic,partialequilibriumanalysis.Ithasassumedamongotherthingsastateofatomisticcompetitioninthecapitalmarketsandaneaseofaccesstothosemarketswhichonlyarelativelysmall(thoughimportant)groupoffirmsevencomeclosetopossessing.Theseandotherdrasticsimplificationshavebeennecessaryinordertocometogripswiththeproblematall.Havingservedtheirpurposetheycannowberelaxedinthedirectionofgreaterrealismandrelevance,ataskinwhichwehopeothersinterestedinthisareawillwishtoshare.譯文資本成本，公司財(cái)務(wù)和投資理論資料來(lái)源:美國(guó)經(jīng)濟(jì)評(píng)論作者：弗蘭克·莫迪格利尼和莫頓·米勒對(duì)于一個(gè)企業(yè)來(lái)說(shuō)什么是資本成本？資金用于收購(gòu)資產(chǎn)的收益是不確定的，資本可以通過(guò)許多不同的渠道獲取，可以發(fā)行債券、要求代表固定資金、發(fā)行普通股；只在不確定性風(fēng)險(xiǎn)下給予持有者同比例增長(zhǎng)的權(quán)利。這個(gè)問(wèn)題至少困擾了三種類(lèi)型的經(jīng)濟(jì)學(xué)家：（1）財(cái)務(wù)運(yùn)營(yíng)專(zhuān)家關(guān)注公司的財(cái)務(wù)技能以此來(lái)確保企業(yè)能夠生存和發(fā)展；（2）管理經(jīng)濟(jì)學(xué)家關(guān)心的是資本預(yù)算；（3）經(jīng)濟(jì)理論學(xué)家關(guān)心的是在微觀和宏觀領(lǐng)域解釋投資行為。在大部分正式的分析中，經(jīng)濟(jì)理論學(xué)家至少傾向于規(guī)避資本成本問(wèn)題的實(shí)質(zhì)，通過(guò)諸如有息證券等實(shí)物資本的收入可以看作是已知的收益、確定性的收入。考慮到這些假設(shè)，理論學(xué)家可以得出企業(yè)的所有者的資本成本僅僅是債券的利息率；還得出這樣簡(jiǎn)單的命題：理性的企業(yè)，傾向于把投資投向?qū)嵨镔Y本的邊際收益等同于市場(chǎng)利率的地方。這個(gè)命題可以顯示出：遵從了在不確定性條件下以下兩條等同的理性決策制定者的準(zhǔn)則：（1）利潤(rùn)最大化；（2）市場(chǎng)價(jià)值的最大化。根據(jù)第一條標(biāo)準(zhǔn)，一項(xiàng)實(shí)物資產(chǎn)如果能夠增加企業(yè)所有者的凈收益的話是值得投資的；但凈利潤(rùn)只有在預(yù)期收益率、產(chǎn)量、資產(chǎn)超過(guò)利率的情況下才能增加；根據(jù)第二條標(biāo)準(zhǔn)資產(chǎn)只有在增加了所有者權(quán)益時(shí)才是可取的，如果它增加的企業(yè)市場(chǎng)價(jià)值多于付出的成本。但是資產(chǎn)的增加是通過(guò)假設(shè)資本化產(chǎn)生的市場(chǎng)利息率，資本化的價(jià)值超過(guò)他的成本僅當(dāng)資產(chǎn)的收益超過(guò)利息率的時(shí)候。注意：在任何一種陳述中，資本成本等于債券的利息率，不管資本是從發(fā)行債券還是發(fā)行普通股的行為中獲得。事實(shí)上，在一個(gè)確定的回報(bào)世界中，在專(zhuān)業(yè)術(shù)語(yǔ)中債務(wù)和普通股收益之間的差別大大減小了。一定要承認(rèn)的是有些學(xué)者在分析模型時(shí)允許不確定性的存在。這種試圖典型的是他在不確定性的分析概念中添加了確定性的結(jié)果，在預(yù)期收益中減去了“風(fēng)險(xiǎn)折扣”。投資決策被認(rèn)為是基于“風(fēng)險(xiǎn)調(diào)整”或是和市場(chǎng)利息率“確定性等價(jià)”的比較。到目前為止沒(méi)有令人滿意的解釋出現(xiàn)。考慮一個(gè)適當(dāng)?shù)慕疲和ㄟ^(guò)確定性或者與確定性等同建立的公司模型——在處理資本積累和經(jīng)濟(jì)波動(dòng)的過(guò)程中是非常有用的。例如，以這個(gè)模型為基礎(chǔ)，熟悉的凱恩斯聚焦投資功能，投資被寫(xiě)成是由市場(chǎng)利息率起作用的——同樣的無(wú)風(fēng)險(xiǎn)利率出現(xiàn)在之后的流動(dòng)性偏好方程里面。但很少有人將堅(jiān)持這種近似是適當(dāng)?shù)摹Ｔ诤暧^經(jīng)濟(jì)層面，有充足的理由懷疑利息率更大更直接的影響投資利率的分析使我們開(kāi)始相信。在微觀經(jīng)濟(jì)水平，確定性模型缺少描述性的價(jià)值，沒(méi)有為財(cái)務(wù)專(zhuān)家和管理經(jīng)濟(jì)學(xué)家提供真正的指導(dǎo)，這些財(cái)務(wù)專(zhuān)家和管理經(jīng)濟(jì)學(xué)的主要問(wèn)題是不能在一個(gè)處理不確定性如此巧妙和忽略除發(fā)行債務(wù)以外的資本形式框架中被正確對(duì)待。最近，有經(jīng)濟(jì)學(xué)家開(kāi)始面對(duì)資本成本及風(fēng)險(xiǎn)的嚴(yán)重問(wèn)題。在這個(gè)過(guò)程中，他們發(fā)現(xiàn)自己的興趣和努力和對(duì)這個(gè)問(wèn)題容忍了更長(zhǎng)時(shí)間和更精通的其他財(cái)務(wù)專(zhuān)家和管理經(jīng)濟(jì)學(xué)家緊密相連在一起。在這個(gè)建立合理的投資管理和財(cái)務(wù)政策原理的混合研究中兩條主要路線的不同點(diǎn)才能得到辨別。實(shí)際上，這些線代表試圖推測(cè)不確定性世界里的兩條標(biāo)準(zhǔn)——利潤(rùn)最大化和市場(chǎng)價(jià)值最大化，在確定的特殊情況中，可以看做有相等的影響。隨著不確定性認(rèn)知這種想法就消失了。事實(shí)上，利潤(rùn)最大化的標(biāo)準(zhǔn)不再被精確地解釋。在