MBA公司理財Chapter資本結構課件

1、第四篇 資本結構和股利政策第13章 資本成本第14章 杠桿利益與風險第15章 資本結構：基本概念第16章 資本結構：債務運用的限制第17章 杠桿企業(yè)的價值估價和資本預算第18章 股利政策第1頁，共53頁。第15章 資本結構：基本概念第2頁，共53頁。第15章 資本結構：基本概念第15章、16章研究公司的資本結構決策。從債務利息抵稅的角度看，有負債公司的價值可能高于無負債公司的價值；從債務將產生破產成本的角度看，有負債公司的價值可能低于無負債公司的價值。利息抵稅和破產成本的共同作用可能產生最佳資本結構。第3頁，共53頁。第15章 資本結構：基本概念Chapter Outline 15.1 The

2、 Capital-Structure Question and The Pie Theory15.2 Maximizing Firm Value versus Maximizing Stockholder Interests15.3 Financial Leverage and Firm Value: An Example15.4 Modigliani and Miller: Proposition II (No Taxes)15.5 Taxes15.6 Summary and Conclusions第4頁，共53頁。第15章 資本結構：基本概念債權與股權的比較（P299，達）： 債務 權益固

3、定索取權 剩余索取權可減免稅收 無稅收減免在財務困難時有較高優(yōu)先權 財務困難時優(yōu)先權最低固定期限 無限制無管理控制權 有管理控制權 債務 混合證券 股權 執(zhí)行債務 可轉換債券 所有者股權 商業(yè)票據(jù) 優(yōu)先股 風險資本 公司債券 與期權相聯(lián)系的債券 普通股 認股權證 第5頁，共53頁。第15章 資本結構：基本概念資本結構（capital structure）是長期籌資方式的組合。（P281，Z1） 資本結構理論要解決的問題是：能否通過改變企業(yè)的資本結構來提高企業(yè)的總價值同時降低企業(yè)的總資本成本。這個問題一直存在很多爭論。第6頁，共53頁。第15章 資本結構：基本概念15.1 資本結構問題與圓餅理論

4、(The Capital-Structure Question and The Pie Theory)圓餅模型-資產規(guī)模相同而負債權益比不同則公司價值就不同(P281)第7頁，共53頁。The Capital-Structure Question and The Pie TheoryThe value of a firm is defined to be the sum of the value of the firms debt and the firms equity.V = B + SValue of the FirmSB If the goal of the management of

5、 the firm is to make the firm as valuable as possible, the the firm should pick the debt-equity ratio that makes the pie as big as possible. 第8頁，共53頁。The Capital-Structure QuestionThere are really two important questions（P281，D1）:Why should the stockholders care about maximizing firm value? Perhaps

6、they should be interested in strategies that maximize shareholder value.What is the ratio of debt-to-equity that maximizes the shareholders value?As it turns out, changes in capital structure benefit the stockholders if and only if the value of the firm increases.第9頁，共53頁。第15章 資本結構：基本概念15.2 企業(yè)價值最大化和

7、股東利益最大化(Maximizing Firm Value versus Maximizing Stockholder Interests)(P282)例151(P282)-這個例子回答了前面提出第一個問題（Why should the stockholders care about maximizing firm value rather shareholder value?）該例說明股東所關心的是企業(yè)價值最大而不是所有者權益最大,因為只有在企業(yè)價值最大時,股東的凈收益才會達到最大，股東財富才會達到最大。管理者應選擇使企業(yè)價值最大的資本結構,因為其對股東是最有利的.第10頁，共53頁。第15

8、章 資本結構：基本概念15.3 財務杠桿和企業(yè)價值(Financial Leverage and Firm Value: An Example)杠桿作用和股東報酬債務和權益之間的選擇第11頁，共53頁。第15章 資本結構：基本概念15.3.1 杠桿作用和股東報酬財務杠桿的作用會使每股收益隨著息前收益增加以更大的幅度增加.(P283）例子（P283-284）第12頁，共53頁。Financial Leverage, EPS, and ROE CurrentAssets$20,000Debt$0Equity$20,000Debt/Equity ratio0.00Interest raten/aSh

9、ares outstanding400Share price$50Proposed$20,000$8,000$12,0002/38%240$50Consider an all-equity firm that is considering going into debt. (Maybe some of the original shareholders want to cash out.)第13頁，共53頁。EPS and ROE Under Current Capital StructureRecessionExpectedExpansionEBIT$1,000$2,000$3,000Int

10、erest000Net income$1,000$2,000$3,000EPS$2.50$5.00$7.50ROA5%10%15%ROE5%10%15%Current Shares Outstanding = 400 shares第14頁，共53頁。EPS and ROE Under Proposed Capital StructureRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest640640640Net income$360$1,360$2,360EPS$1.50$5.67$9.83ROA5%10%15%ROE 3%11%20

11、%Proposed Shares Outstanding = 240 shares第15頁，共53頁。EPS and ROE Under Both Capital StructuresLeveredRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest640640640Net income$360$1,360$2,360EPS$1.50$5.67$9.83ROA5%10%15%ROE3%11%20%Proposed Shares Outstanding = 240 sharesAll-EquityRecessionExpectedExp

12、ansionEBIT$1,000$2,000$3,000Interest000Net income$1,000$2,000$3,000EPS$2.50$5.00$7.50ROA5%10%15%ROE5%10%15%Current Shares Outstanding = 400 shares第16頁，共53頁。Financial Leverage and EPS(2.00)0.002.004.006.008.0010.0012.001,0002,0003,000EPSDebtNo DebtBreak-even point EBI in dollars, no taxesAdvantage to

13、 debtDisadvantage to debtEBITFind EBIT where EPS is the same under both the current and proposed capital structures第17頁，共53頁。The EPS-EBIT graph illustrates the relationship between EBIT and EPS under the two capital structures. The line for the proposed structure has a steeper slope, implying that h

14、igher financial leverage increases the sensitivity (risk) of EPS to EBIT. EPS and ROE are higher when EBIT is high and lower when EBIT is low. At the break-even EBIT point, EPS and ROE are the same under both capital structures. 第18頁，共53頁。Since EPS = (EBIT I)/Shares when there is no tax,so (EBIT)/40

15、0 = (EBIT 640)/240 = Break-even EBIT = $1,600If EBIT is below the break-even point, then the current proposal (lower financial leverage) will result in a higher EPS and vice versa.But we have not answered a very important question: Which capital structure is better for stockholders?The answer to thi

16、s question is the focus of Modigliani and Miller articles.第19頁，共53頁。第15章 資本結構：基本概念15.3.2 債務和權益之間的選擇（P285）例:策略A-投資于杠桿企業(yè)（P285）策略B-自制財務杠桿投資于無杠桿企業(yè)（P285）策略A與策略B的比較（P286）：公司的資本結構調整即無助于也無損于公司的股東，投資者無法從公司的財務杠桿中獲利，也不可能從自制的財務杠桿中獲利。第20頁，共53頁。第15章 資本結構：基本概念Homemade Leverage: An ExampleHomemade (Un)Leverage: An

17、Example第21頁，共53頁。第15章 資本結構：基本概念Homemade Leverage: An ExampleInvestor A has $1,200. If the firm does not adopt the proposed capital structure, he can buy 24 shares using his own money and borrow $800 to buy another 16 shares, totaling 40 shares.第22頁，共53頁。Homemade Leverage: An ExampleRecessionExpected

18、ExpansionEPS of Unlevered Firm$2.50$5.00$7.50Earnings for 40 shares$100$200$300Less interest on $800 (8%)$64$64$64Net Profits$36$136$236ROE (Net Profits / $1,200)3%11%20%We are buying 40 shares of a $50 stock on margin. We get the same ROE as if we bought into a levered firm.Our personal debt equity

19、 ratio is:第23頁，共53頁。第15章 資本結構：基本概念Homemade (Un)Leverage: An Example Investor B has $2,000. The firm adopts the proposed capital structure but investor B does not want any leverage. She can use $1,200 to buy 24 shares and invests the remaining $800 at 8%.第24頁，共53頁。Homemade (Un)Leverage: An ExampleRec

20、essionExpectedExpansionEPS of Levered Firm$1.50$5.67$9.83Earnings for 24 shares$36$136$236Plus interest on $800 (8%)$64$64$64Net Profits$100$200$300ROE (Net Profits / $2,000)5%10%15%Buying 24 shares of a $50 stock of an other-wise identical levered firm along with the some of the firms debt gets us

21、to the ROE of the unlevered firm.This is the fundamental insight of M&M第25頁，共53頁。第15章 資本結構：基本概念無稅收的MM理論1958年Madigliani 和 Miller提出了無稅收時的MM理論（MM），又稱為資本結構無關論，即在無政府稅收時，增加公司債務并不能提高公司價值，因為負債帶來的好處完全為其同時帶來的風險所抵消。MM理論是在若干假設條件下成立。第26頁，共53頁。Assumptions of the Modigliani-Miller ModelHomogeneous ExpectationsHomo

22、geneous Business Risk ClassesPerpetual Cash FlowsPerfect Capital Markets:Perfect competitionFirms and investors can borrow/lend at the same rate（個人和公司的借貸利率相同）Equal access to all relevant informationNo transaction costs（市場沒有交易成本）No taxes（沒有稅收）第27頁，共53頁。第15章 資本結構：基本概念無稅收的MM理論的兩個命題:命題:企業(yè)總價值命題(Propositi

23、on I )命題:風險補償命題(Proposition II)附加命題:企業(yè)綜合資本成本命題 第28頁，共53頁。第15章 資本結構：基本概念命題-企業(yè)總價值命題-無稅收時,杠桿企業(yè)價值等于無杠桿企業(yè)價值（P286） 即若杠桿企業(yè)定價過高，理性投資者借款以買入非杠桿企業(yè)的股票，這稱為自制財務杠桿。若個人借款的利率與公司的相同，他們就能獨立地復制公司財務杠桿的影響。該理論是現(xiàn)代公司理財?shù)钠瘘c.(P286,D6)第29頁，共53頁。The MM Proposition I (No Taxes)The derivation is straightforward:The present value o

24、f this stream of cash flows is VL The present value of this stream of cash flows is VU 第30頁，共53頁。第15章 資本結構：基本概念15.4 MM理論-命題（無稅）股東的風險隨著財務杠桿的使用而增加股東的期望收益率隨著財務杠桿上升第31頁，共53頁。第15章 資本結構：基本概念15.4.1 股東的風險隨著財務杠桿的使用而增加股東的每股收益或股東收益率都隨著財務杠桿的使用而增加.(P287)祥見下圖.第32頁，共53頁。Financial Leverage and EPS(2.00)0.002.004.00

25、6.008.0010.0012.001,0002,0003,000EPSDebtNo DebtBreak-even point EBI in dollars, no taxesAdvantage to debtDisadvantage to debtEBITFind EBIT where EPS is the same under both the current and proposed capital structures第33頁，共53頁。第15章 資本結構：基本概念15.4.2 股東的期望收益率隨著財務杠桿上升(P287,D2)命題：風險補償命題-無稅收時,杠桿企業(yè)的權益資本成本RS高

26、于無杠桿企業(yè)的權益資本成本R0 ,即 其中隱含著平均資本成本rWACC固定不變(P287).圖15-3(P288)第34頁，共53頁。The MM Proposition II (No Taxes)風險補償命題的推導第35頁，共53頁。The Cost of Equity, the Cost of Debt, and the Weighted Average Cost of Capital: MM Proposition II with No Corporate TaxesDebt-to-equity RatioCost of capital: r (%)r0rBrB第36頁，共53頁。第15

27、章 資本結構：基本概念15.4.3 關于MM理論說明(P292)：MM認為用債務代替權益，企業(yè)的總資產成本不會降低，即使債務比權益便宜。原因是當債務增加時，剩余權益風險的風險增加。隨著剩余權益風險的風險增加，權益資本的成本也隨之增加。剩余權益資本成本的增加抵消了更高比例的低成本債務籌資。事實上，MM理論證明了這兩種作用恰好相互抵消。因此，企業(yè)價值和企業(yè)總資本成本（rWACC）與財務杠桿無關。第37頁，共53頁。第15章 資本結構：基本概念無稅時MM理論的總結：MM Proposition IFirm value is not affected by leverage.The cash flow

28、s of the firm do not change, therefore value doesnt change.VL = VUMM Proposition IILeverage increases the risk and return to stockholdersrs = r0 + (B / SL) (r0 - rB)rB is the interest rate (cost of debt)rs is the return on (levered) equity (cost of equity)r0 is the return on unlevered equity (cost o

29、f capital)B is the value of debtSL is the value of levered equity 第38頁，共53頁。第15章 資本結構：基本概念15.5 有所得稅下的MM理論1963年二位M在考慮公司所得稅情況下對MM理論進行了修訂，即由于債務利息可以抵稅（稅收屏蔽，tax shield），使得流入投資者手中的現(xiàn)金流量增加，所以企業(yè)價值隨著負債的增加而增加，企業(yè)可以無限制的負債，負債100%時企業(yè)價值達到最大。第39頁，共53頁。The MM Propositions I & II (with Corporate Taxes)命題:企業(yè)價值命題(Propos

30、ition I )命題:股東報酬率命題(Proposition II)附加命題:企業(yè)綜合資本成本命題第40頁，共53頁。第15章 資本結構：基本概念15.5.1 基本觀點(P292,D1)無公司所得稅時,企業(yè)價值與債務無關存在公司所得稅時，企業(yè)價值與債務正相關。用圓餅理論來解釋。第41頁，共53頁。Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes （圖15-4，P294）。The levered firm pays less in taxes than does the all-equity f

31、irm.Thus, the sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm.SGSGB All-equity firm Levered firm第42頁，共53頁。第15章 資本結構：基本概念15.5.2 稅法中玄機例15-3(P295)第43頁，共53頁。The MM Proposition I (Corp. Taxes)The present value of this stream of cash flows is VL The pre

32、sent value of the first term is VU The present value of the second term is TCB 第44頁，共53頁。第15章 資本結構：基本概念15.5.3 利息減稅的現(xiàn)值(P295)Interest : rBB The reduction in corporate taxes(interest tax shield): rBB TC The present value of the rBB TC is rBB TC /rB=TC Bassuming that the cash flows are perpetual and has

33、 the same risk as the interest on the debt (the discount rate is rB.). 第45頁，共53頁。第15章 資本結構：基本概念15.5.4 杠桿企業(yè)的價值(P296)命題：企業(yè)總價值命題 杠桿企業(yè)價值大于無杠桿企業(yè)價值,即 例15-4(P296)第46頁，共53頁。第15章 資本結構：基本概念第47頁，共53頁。第15章 資本結構：基本概念15.5.5 有稅收情況下的股東權益期望收益率(P297)命題：風險補償命題有稅收時,杠桿企業(yè)權益資本隨著負債率的上升而增加,但其速度低于無稅收的情況,即 圖15-6(297)第48頁，共53頁。The MM Proposition II (Corp. Taxes)Start with M&M Proposition I with taxes:Since The cash flows from each side of the balance sheet must equal:Divide both sides by SWhich