公司理財(cái)16 資本結(jié)構(gòu)：債務(wù)運(yùn)用的限制ppt課件.ppt

1、1,Corporate Finance,第16章 資本結(jié)構(gòu)：債務(wù)運(yùn)用的限制,16.1 財(cái)務(wù)困境成本 16.2 成本的種類 16.3 能夠降低債務(wù)成本嗎？ 16.4 稅收和財(cái)務(wù)困境成本的綜合影響 16.5 怠工、在職消費(fèi)與有害投資 16.6 優(yōu)序融資理論 16.7 增長(zhǎng)和負(fù)債比 16.8 個(gè)人稅 16.9 公司如何確定資本結(jié)構(gòu) 16.10 小結(jié),2,Corporate Finance,16.1 財(cái)務(wù)困境成本Costs of Financial Distress,破產(chǎn)風(fēng)險(xiǎn)或破產(chǎn)成本 Bankruptcy risk versus bankruptcy cost. 例：某公司預(yù)測(cè)未來(lái)的現(xiàn)金流量為100

2、美元或50美元，發(fā)生的概率均為50%. 公司沒(méi)有其他資產(chǎn)，需要支付的利息為60美元。不考慮稅收。 假設(shè)：（1）債權(quán)人和股東是風(fēng)險(xiǎn)中立者；（2）利率（貼現(xiàn)率）為10%. 試評(píng)估公司的價(jià)值。,3,Corporate Finance,單位：美元,4,Corporate Finance,以上忽略了破產(chǎn)費(fèi)用，實(shí)際情況可能是：,單位：美元,公司價(jià)值現(xiàn)在是61.36元，低于前面計(jì)算的68.18元。,5,Corporate Finance,結(jié)論： 破產(chǎn)的可能性對(duì)公司價(jià)值有負(fù)面影響 The possibility of bankruptcy has a negative effect on the value

3、of the firm. 然而，并不是破產(chǎn)風(fēng)險(xiǎn)本身降低了公司價(jià)值 However, it is not the risk of bankruptcy itself that lowers value. 而是與破產(chǎn)密切相關(guān)的成本降低了公司價(jià)值 Rather it is the costs associated with bankruptcy. 股東承擔(dān)了這些風(fēng)險(xiǎn)。破產(chǎn)成本損害了股東的利益。 It is the stockholders who bear these costs.,6,Corporate Finance,16.2 成本的種類Description of Costs,財(cái)務(wù)困境的直接成

4、本 Direct Costs 清算和重組的法律成本和管理成本 Legal and administrative costs (tend to be a small percentage of firm value). 在破產(chǎn)和破產(chǎn)前期的所有階段，自始自終都有律師的介入?yún)⑴c。費(fèi)用通常是每小時(shí)幾百美元計(jì)，而且快遞增加。 已有大量的學(xué)術(shù)研究在探討如何衡量財(cái)務(wù)困境的直接成本。White、Altman和Weiss估計(jì)財(cái)務(wù)困境的直接成本大概是公司市值的3%,7,Corporate Finance,財(cái)務(wù)困境的間接成本 Indirect Costs 經(jīng)營(yíng)受到影響 Impaired ability to con

5、duct business (e.g., lost sales) 代理成本 Agency Costs Selfish strategy 1: 冒高風(fēng)險(xiǎn)的動(dòng)機(jī) Incentive to take large risks Selfish strategy 2: 投資不足的動(dòng)機(jī)Incentive toward underinvestment Selfish Strategy 3: 撇脂 Milking the property,8,Corporate Finance,例：Balance Sheet for a Company in Distress,AssetsBVMVLiabilitiesBVMV

6、 Cash$200$200LT bonds$300 Fixed Asset$400$0Equity$300 Total$600$200Total$600$200 What happens if the firm is liquidated（清算） today?,The bondholders get $200; the shareholders get nothing.,$200,$0,book value,maket value,9,Corporate Finance,Selfish Strategy 1: Take Large Risks投資高風(fēng)險(xiǎn)項(xiàng)目,The GambleProbabil

7、ityPayoff Win Big10%$1,000 Lose Big90%$0 Cost of investment is $200 (all the firms cash) Required return is 50% Expected CF from the Gamble = $1000 0.10 + $0 = $100,10,Corporate Finance,Selfish Stockholders Accept Negative NPV Project with Large Risks,Expected CF from the Gamble To Bondholders = $30

8、0 0.10 + $0 = $30 To Stockholders = ($1000 - $300) 0.10 + $0 = $70 PV of Bonds Without the Gamble = $200 PV of Stocks Without the Gamble = $0 PV of Bonds With the Gamble = $30 / 1.5 = $20 PV of Stocks With the Gamble = $70 / 1.5 = $47,負(fù)債,11,Corporate Finance,Selfish Strategy 2: Underinvestment投資不足,C

9、onsider a government-sponsored project that guarantees $350 in one period Cost of investment is $300 (the firm only has $200 now) so the stockholders will have to supply an additional $100 to finance the project Required return is 10%,Should we accept or reject?,12,Corporate Finance,Selfish Stockhol

10、ders Forego Positive NPV Project,Expected CF from the government sponsored project: To Bondholder = $300 To Stockholder = ($350 - $300) = $50 PV of Bonds Without the Project = $200 PV of Stocks Without the Project = $0 PV of Bonds With the Project = $300 / 1.1 = $272.73 PV of Stocks with the project

11、 = $50 / 1.1 - $100 = -$54.55,自籌的100元,13,Corporate Finance,Selfish Strategy 3: Milking the Property撇脂,清算股利 Liquidating dividends Suppose our firm paid out a $200 dividend to the shareholders. This leaves the firm insolvent（破產(chǎn)）, with nothing for the bondholders, but plenty for the former shareholders

12、. Such tactics often violate bond indentures. 額外的津貼 Increase perquisites to shareholders and/or management,14,Corporate Finance,利己策略總結(jié)： 僅當(dāng)有破產(chǎn)或財(cái)務(wù)困境的可能性時(shí)，才發(fā)生上述的扭曲策略。這些扭曲策略不應(yīng)影響象通用電氣這樣多元化經(jīng)營(yíng)的一流公司。 由誰(shuí)來(lái)支付利己投資策略的成本？最終由股東承擔(dān)。因?yàn)椋绻麄鶛?quán)人知道危機(jī)逼近時(shí)，會(huì)要求提高債券利率保護(hù)自己。由于股東要負(fù)擔(dān)這些利率，他們最終要負(fù)擔(dān)利己的成本。 因此，面臨這些扭曲策略的公司難以獲得債務(wù)且代價(jià)高昂，它們會(huì)

13、擁有較低的財(cái)務(wù)杠桿比率。,15,Corporate Finance,16.3 能夠降低債務(wù)成本嗎？ Can Costs of Debt Be Reduced?,保護(hù)性條款 Protective Covenants 債務(wù)的合并 Debt Consolidation: If we minimize the number of parties, contracting costs fall.,16,Corporate Finance,Protective Covenants,Agreements to protect bondholders 消極條款：你不能做：Negative covenant:

14、Thou shalt not: 支付超額股息 Pay dividends beyond specified amount. 發(fā)行更高級(jí)別的債券 Sell more senior debt as a result, 100% debt financing is sub-optimal. 高增長(zhǎng)公司的負(fù)債比率將低于低增長(zhǎng)公司 Thus, high-growth firms will have lower debt ratios than low-growth firms.,27,Corporate Finance,16.8 個(gè)人稅Personal Taxes: The Miller Model,T

15、he Miller Model shows that the value of a levered firm can be expressed in terms of an unlevered firm as:,Where: TS = personal tax rate on equity income TB = personal tax rate on bond income TC = corporate tax rate,28,Corporate Finance,The derivation is straightforward:,Continued,29,Corporate Financ

16、e,The first term is the cash flow of an unlevered firm after all taxes. Its value = VU.,A bond is worth B. It promises to pay rBB(1- TB) after taxes. Thus the value of the second term is:,The total cash flow to all stakeholders in the levered firm is:,The value of the sum of these two terms must be

17、VL,30,Corporate Finance,Thus the Miller Model shows that the value of a levered firm can be expressed in terms of an unlevered firm as:,In the case where TB = TS, we return to M this is consistent（一致） with M&M with taxes. Another interpretation is that firms signal good news when they lever up. 不同行業(yè)

18、的資本結(jié)構(gòu)存在差異 There are Differences in Capital Structure Across Industries. 有證據(jù)表明一些公司有目標(biāo)債務(wù)權(quán)益比率There is evidence that firms behave as if they had a target Debt to Equity ratio.,34,Corporate Finance,影響目標(biāo)負(fù)債權(quán)益的因素Factors in Target D/E Ratio,稅收 Taxes If corporate tax rates are higher than bondholder tax rates

19、, there is an advantage to debt. 資產(chǎn)類型 Types of Assets The costs of financial distress depend on the types of assets the firm has. 比如土地的重置價(jià)值高于研發(fā)的重置價(jià)值 經(jīng)營(yíng)收入的 不確定性 Uncertainty of Operating Income Even without debt, firms with uncertain operating income have high probability of experiencing financial dis

20、tress. 優(yōu)序融資和財(cái)務(wù)資源閑置 Pecking Order and Financial Slack Theory stating that firms prefer to issue debt rather than equity if internal finance is insufficient.,35,Corporate Finance,16.10 小結(jié) Summary and Conclusions,1. 在上一章我們提到，根據(jù)理論，在資本征稅之下，公司應(yīng)建立完全債務(wù)的資本結(jié)構(gòu)。由于在現(xiàn)實(shí)世界中公司一般采取適中的債務(wù)額。在本章我們指出財(cái)務(wù)困境成本導(dǎo)致公司限制其債務(wù)的發(fā)行。這些成

21、本有兩種類型：直接的和間接的。 直接成本 Direct costs Lawyers and accountants fees 間接成本 Indirect Costs 削弱經(jīng)營(yíng)能力Impaired ability to conduct business 投資高風(fēng)險(xiǎn)項(xiàng)目的動(dòng)機(jī) Incentives to take on risky projects 投資不足的動(dòng)機(jī) Incentives to underinvest 撇脂 Incentive to milk the property,36,Corporate Finance,2. 由于上述成本很大且最終由股東承擔(dān)，公司有削減成本的動(dòng)機(jī)。我們建議三種

22、成本削減的技巧：Three techniques to reduce these costs are: 保護(hù)性條款 Protective covenants 先于破產(chǎn)前的債務(wù)回購(gòu) Repurchase of debt prior to bankruptcy 債務(wù)合并 Consolidation of debt 3. 因財(cái)務(wù)困境成本能被減少但不可被消除，公司不會(huì)全部用債務(wù)融資。公司選擇使其價(jià)值最大化的負(fù)債 -權(quán)益比。,37,Corporate Finance,Because costs of financial distress can be reduced but not eliminated

23、, firms will not finance entirely with debt.,Debt (B),Value of firm (V),0,Present value of taxshield on debt,Present value offinancial distress costs,Value of firm underMM with corporatetaxes and debt,VL = VU + TCB,V = Actual value of firm,VU = Value of firm with no debt,B*,Maximumfirm value,Optimal

24、 amount of debt,38,Corporate Finance,4 .優(yōu)序融資理論暗示了管理者偏好內(nèi)部融資勝于外部融資.如果需要外部融資,管理者傾向于選擇最安全的證券, 如債務(wù)。 5. 迄今為止的結(jié)論忽略了個(gè)人稅。如果給股東的分配以低于利息支付的實(shí)際個(gè)人稅率納稅，在公司水平上的債務(wù)稅收優(yōu)惠被部分抵消。事實(shí)上，債務(wù)的公司稅優(yōu)惠被消除，如果：If distributions to equity holders are taxed at a lower effective personal tax rate than interest, the tax advantage to debt at the corporate level is partially offset（抵消）. In fact, the corporate advantage to debt is eliminated（消除） if (1-TC) (1-TS) = (1-TB)