資本成本與資本預(yù)算

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Chapter3資本成本與資本預(yù)算2資本成本的計算方法SectionTopicSummary1Risk-returnrelationshipTocalculateanNPV,acostofcapitalisneeded.Thehighertheriskfacedbytheinvestor,thehigherthereturntheywillexpecttobepaid.2Costofequity–thedividendgrowthmodel*3Costofequity-CAPM

4Costofirredeemabledebt*3資本成本的計算方法SectionTopicSummary5/6CostofredeemableorconvertibledebtKd=IRRofthecashflows7Costofpreferenceshares*8Costofaloan*Kd=interestx(1-t)9WACCThesecostsarethenputintotheWACCformula(given)tocalculatethecostsofcapitalforaproject.4ThedividendgrowthmodelThedividendgrowthmodelWeaknessofthedividendgrowthmodel–dosenotincorporaterisk–donotgrowthsmoothlyinreality–donottakecapitalgainsintoaccount–noallowanceismadefortheeffectsoftaxation–assumestherearenoissuefornewshares5Thecapitalassetpricingmodel(CAPM)Marketorsystematicrisknon-systematicorunsystematicriskSystematicriskandunsystematicrisk:implicationsSystematicriskandtheCAPMMarketriskandreturnsTheCAPMformula–E(ri)=Rf+βi(E(rm)-Rf)ProblemswithapplyingtheCAPMinpractice6%oftotalfinancethatisequity%oftotalfinancethatisdebtWACC=Ve

Ke+Vd

Kd

(1-T)Ve+VdVe+VdWACCformula7CAPMandMMcombined-gearedbetasTheconnectionbetweenMMtheoryandtheCAPMmeansthatitispossibletoestablishamathematicalrelationshipbetweentheβvalueofanungearedcompanyandtheβvalueofasimilar,butgeared,company.8Lectureexample

BPPhasadebt:equityratioof1:2.Itwishestoexpandintorecruitmentconsultancy.IthasidentifiedthattheBetaofahighlygearedrecruitmentconsultancycompany(companyX)is1.8-thisisitsequitybetaandisinfluencedbyitshighlevelofgearingof1:1debttoequity.Assumethatdebthasabetaof0.Riskfreerate=4%Marketrate=12%Tax=30%

Required:CalculatethecostofcapitalthatBPPshouldusetoappraisethisinvestment.

9Answertolectureexample

Step1

betaofrecruitmentcompany=1.8Step2

ungearBa=1.8*(1/1.7)=1.059regearBe=1.059/(2/2.7)=1.43010Answertolectureexample–cont’dStep3Ke=4+(8)1.43=15.44%.Thisreflectsthenewscenario–thatBPPdoeshavedebtfinance&thatitisinvestinginanewbusinessarea.Inotherwordsitreflectsthefinancialrisk&businessriskoftheinvestment.NB:theWACC=(15.44%x2/3)+(4%x0.7x1/3)=11.23%資本預(yù)算的基本方法常用的資本預(yù)算方法—投資回收期法—會計收益率法—凈現(xiàn)值法—獲利指數(shù)法—內(nèi)含報酬率法11調(diào)整凈現(xiàn)值法調(diào)整凈現(xiàn)值(APV):APV=NPV+NPVF—一個項目為杠桿企業(yè)創(chuàng)造的價值(APV)等于一個無杠桿企業(yè)的項目凈現(xiàn)值(NPV)加上籌資方式的副效應(yīng)的凈現(xiàn)值。☆債務(wù)的節(jié)稅效應(yīng)☆新債券的發(fā)行成本☆財務(wù)困境成本☆債務(wù)融資的利息補貼12權(quán)益現(xiàn)金流量法權(quán)益現(xiàn)金流量(FTE)—只對杠桿企業(yè)項目產(chǎn)生的屬于權(quán)益所有者的現(xiàn)金流量進行折現(xiàn),折現(xiàn)率為權(quán)益資本成本Rs。對于一項永久性的現(xiàn)金流入,計算公式為：

有杠桿企業(yè)項目的權(quán)益現(xiàn)金流量/

Rs計算步驟

—計算有杠桿的現(xiàn)金流量—計算Rs—估價13APV法、FTE法和WACC法的比較APV和WACC的比較—這兩種方法的分子均為無杠桿現(xiàn)金流量(UCF)。但是,APV法用全權(quán)益資本成本Ro折現(xiàn)現(xiàn)金流量得到無杠桿項目的價值,然后加上負(fù)債的節(jié)稅現(xiàn)值,得到有杠桿情況下的項目價值;WACC法則將UCF按RWACC折現(xiàn),而RWACC低于Ro。估價的主體

—對于APV法和WACC法,在最后一步均扣減初始投資