MBA2003,9《公司理财》Chapter15资本结构.ppt

第四篇 资本结构和股利政策,北京理工大学 管理与经济学院 肖淑芳 2004年3月,第四篇 资本结构和股利政策,第13章 资本成本 第14章 杠杆利益与风险 第15章 资本结构：基本概念 第16章 资本结构：债务运用的限制 第17章 杠杆企业的价值估价和资本预算 第18章 股利政策,第15章 资本结构：基本概念,第15章 资本结构：基本概念,第15章、16章研究公司的资本结构决策。 从债务利息抵税的角度看，有负债公司的价值可能高于无负债公司的价值；从债务将产生破产成本的角度看，有负债公司的价值可能低于无负债公司的价值。 利息抵税和破产成本的共同作用可能产生最佳资本结构。,第15章 资本结构：基本概念,Chapter Outline 15.1 The Capital-Structure Question and The Pie Theory 15.2 Maximizing Firm Value versus Maximizing Stockholder Interests 15.3 Financial Leverage and Firm Value: An Example 15.4 Modigliani and Miller: Proposition II (No Taxes) 15.5 Taxes 15.6 Summary and Conclusions,第15章 资本结构：基本概念,债权与股权的比较（P299，达）： 债务 权益 固定索取权 剩余索取权 可减免税收 无税收减免 在财务困难时有较高优先权 财务困难时优先权最低 固定期限 无限制 无管理控制权 有管理控制权 债务 混合证券 股权 执行债务 可转换债券 所有者股权 商业票据 优先股 风险资本 公司债券 与期权相联系的债券 普通股 认股权证,第15章 资本结构：基本概念,资本结构（capital structure）是长期筹资方式的组合。 （P281，Z1） 资本结构理论要解决的问题是： 能否通过改变企业的资本结构来提高企业的总价值同时降低企业的总资本成本。这个问题一直存在很多争论。,第15章 资本结构：基本概念,15.1 资本结构问题与圆饼理论(The Capital-Structure Question and The Pie Theory) 圆饼模型-资产规模相同而负债权益比不同则公司价值就不同(P281),The Capital-Structure Question and The Pie Theory,The value of a firm is defined to be the sum of the value of the firms debt and the firms equity. V = B + S,Value of the Firm,S,B,If the goal of the management of 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.,The Capital-Structure Question,There are really two important questions（P281，D1）: Why should the stockholders care about maximizing firm value? Perhaps 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15章 资本结构：基本概念,15.2 企业价值最大化和股东利益最大化(Maximizing Firm Value versus Maximizing Stockholder Interests)(P282) 例151(P282)-这个例子回答了前面提出第一个问题（Why should the stockholders care about maximizing firm value rather shareholder value?） 该例说明股东所关心的是企业价值最大而不是所有者权益最大,因为只有在企业价值最大时,股东的净收益才会达到最大，股东财富才会达到最大。 管理者应选择使企业价值最大的资本结构,因为其对股东是最有利的.,第15章 资本结构：基本概念,15.3 财务杠杆和企业价值(Financial Leverage and Firm Value: An Example) 杠杆作用和股东报酬 债务和权益之间的选择,第15章 资本结构：基本概念,15.3.1 杠杆作用和股东报酬 财务杠杆的作用会使每股收益随着息前收益增加以更大的幅度增加.(P283） 例子（P283-284）,Financial Leverage, EPS, and ROE,Current Assets $20,000 Debt $0 Equity $20,000 Debt/Equity ratio 0.00 Interest rate n/a Shares outstanding 400 Share price $50,Proposed $20,000 $8,000 $12,000 2/3 8% 240 $50,Consider an all-equity firm that is considering going into debt. (Maybe some of the original shareholders want to cash out.),EPS and ROE Under Current Capital Structure,Recession Expected Expansion EBIT $1,000 $2,000 $3,000 Interest 0 0 0 Net income $1,000 $2,000 $3,000 EPS $2.50 $5.00 $7.50 ROA 5% 10% 15% ROE 5% 10% 15% Current Shares Outstanding = 400 shares,EPS and ROE Under Proposed Capital Structure,Recession Expected Expansion EBIT $1,000 $2,000 $3,000 Interest 640 640 640 Net income $360 $1,360 $2,360 EPS $1.50 $5.67 $9.83 ROA 5% 10% 15% ROE 3% 11% 20% Proposed Shares Outstanding = 240 shares,EPS and ROE Under Both Capital Structures,Levered Recession Expected Expansion EBIT $1,000 $2,000 $3,000 Interest 640 640 640 Net income $360 $1,360 $2,360 EPS $1.50 $5.67 $9.83 ROA 5% 10% 15% ROE 3% 11% 20% Proposed Shares Outstanding = 240 shares,All-Equity Recession Expected Expansion EBIT $1,000 $2,000 $3,000 Interest 0 0 0 Net income $1,000 $2,000 $3,000 EPS $2.50 $5.00 $7.50 ROA 5% 10% 15% ROE 5% 10% 15% Current Shares Outstanding = 400 shares,Financial Leverage and EPS,(2.00),0.00,2.00,4.00,6.00,8.00,10.00,12.00,1,000,2,000,3,000,EPS,Debt,No Debt,Break-even point,EBI in dollars, no taxes,Advantage to debt,Disadvantage to debt,EBIT,Find EBIT where EPS is the same under both the current and proposed capital structures,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 higher 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.,Since EPS = (EBIT I)/Shares when there is no tax,so (EBIT)/400 = (EBIT 640)/240 = Break-even EBIT = $1,600 If 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 this question is the focus of Modigliani and Miller articles.,第15章 资本结构：基本概念,15.3.2 债务和权益之间的选择 （P285） 例: 策略A-投资于杠杆企业（P285） 策略B-自制财务杠杆投资于无杠杆企业（P285） 策略A与策略B的比较（P286）：公司的资本结构调整即无助于也无损于公司的股东，投资者无法从公司的财务杠杆中获利，也不可能从自制的财务杠杆中获利。,第15章 资本结构：基本概念,Homemade Leverage: An Example Homemade (Un)Leverage: An Example,第15章 资本结构：基本概念,Homemade Leverage: An Example Investor 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.,Homemade Leverage: An Example,Recession Expected Expansion EPS of Unlevered Firm $2.50 $5.00 $7.50 Earnings for 40 shares $100 $200 $300 Less interest on $800 (8%) $64 $64 $64 Net Profits $36 $136 $236 ROE (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 ratio is:,第15章 资本结构：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%.,Homemade (Un)Leverage: An Example,Recession Expected Expansion EPS of Levered Firm $1.50 $5.67 $9.83 Earnings for 24 shares $36 $136 $236 Plus interest on $800 (8%) $64 $64 $64 Net Profits $100 $200 $300 ROE (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 to the ROE of the unlevered firm. This is the fundamental insight of M&M,第15章 资本结构：基本概念,无税收的MM理论 1958年Madigliani 和 Miller提出了无税收时的MM理论（MM），又称为资本结构无关论，即在无政府税收时，增加公司债务并不能提高公司价值，因为负债带来的好处完全为其同时带来的风险所抵消。 MM理论是在若干假设条件下成立。,Assumptions of the Modigliani-Miller Model,Homogeneous Expectations Homogeneous Business Risk Classes Perpetual Cash Flows Perfect Capital Markets: Perfect competition Firms and investors can borrow/lend at the same rate（个人和公司的借贷利率相同） Equal access to all relevant information No transaction costs（市场没有交易成本） No taxes（没有税收）,第15章 资本结构：基本概念,无税收的MM理论的两个命题: 命题:企业总价值命题(Proposition I ) 命题:风险补偿命题(Proposition II) 附加命题:企业综合资本成本命题,第15章 资本结构：基本概念,命题-企业总价值命题-无税收时,杠杆企业价值等于无杠杆企业价值（P286） 即 若杠杆企业定价过高，理性投资者借款以买入非杠杆企业的股票，这称为自制财务杠杆。若个人借款的利率与公司的相同，他们就能独立地复制公司财务杠杆的影响。 该理论是现代公司理财的起点.(P286,D6),The MM Proposition I (No Taxes),The derivation is straightforward:,The present value of this stream of cash flows is VL,The present value of this stream of cash flows is VU,第15章 资本结构：基本概念,15.4 MM理论-命题（无税） 股东的风险随着财务杠杆的使用而增加 股东的期望收益率随着财务杠杆上升,第15章 资本结构：基本概念,15.4.1 股东的风险随着财务杠杆的使用而增加 股东的每股收益或股东收益率都随着财务杠杆的使用而增加.(P287) 祥见下图.,Financial Leverage and EPS,(2.00),0.00,2.00,4.00,6.00,8.00,10.00,12.00,1,000,2,000,3,000,EPS,Debt,No Debt,Break-even point,EBI in dollars, no taxes,Advantage to debt,Disadvantage to debt,EBIT,Find EBIT where EPS is the same under both the current and proposed capital structures,第15章 资本结构：基本概念,15.4.2 股东的期望收益率随着财务杠杆上升 (P287,D2) 命题：风险补偿命题-无税收时,杠杆企业的权益资本成本RS高于无杠杆企业的权益资本成本R0 ,即,其中隐含着平均资本成本rWACC固定不变(P287). 图15-3(P288),The MM Proposition II (No Taxes),风险补偿命题的推导,The Cost of Equity, the Cost of Debt, and the Weighted Average Cost of Capital: MM Proposition II with No Corporate Taxes,Debt-to-equity Ratio,Cost of capital: r (%),r0,rB,rB,第15章 资本结构：基本概念,15.4.3 关于MM理论说明(P292)： MM认为用债务代替权益，企业的总资产成本不会降低，即使债务比权益便宜。 原因是当债务增加时，剩余权益风险的风险增加。随着剩余权益风险的风险增加，权益资本的成本也随之增加。剩余权益资本成本的增加抵消了更高比例的低成本债务筹资。 事实上，MM理论证明了这两种作用恰好相互抵消。因此，企业价值和企业总资本成本（rWACC）与财务杠杆无关。,第15章 资本结构：基本概念,无税时MM理论的总结： MM Proposition I Firm value is not affected by leverage. The cash flows of the firm do not change, therefore value doesnt change. VL = VU MM Proposition II Leverage increases the risk and return to stockholders rs = 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 of capital) B is the value of debt SL is the value of levered equity,第15章 资本结构：基本概念,15.5 有所得税下的MM理论 1963年二位M在考虑公司所得税情况下对MM理论进行了修订，即由于债务利息可以抵税（税收屏蔽，tax shield），使得流入投资者手中的现金流量增加，所以企业价值随着负债的增加而增加，企业可以无限制的负债，负债100%时企业价值达到最大。,The MM Propositions I & II (with Corporate Taxes),命题:企业价值命题(Proposition I ) 命题:股东报酬率命题(Proposition II) 附加命题:企业综合资本成本命题,第15章 资本结构：基本概念,15.5.1 基本观点(P292,D1) 无公司所得税时,企业价值与债务无关 存在公司所得税时，企业价值与债务正相关。 用圆饼理论来解释。,Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes （图15-4，P294）。,The levered firm pays less in taxes than does the all-equity firm. Thus, the sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm.,S,G,S,G,B,All-equity firm Levered firm,第15章 资本结构：基本概念,15.5.2 税法中玄机 例15-3(P295),The MM Proposition I (Corp. Taxes),The present value of this stream of cash flows is VL,The present value of the first term is VU The present value of the second term is TCB,第15章 资本结构：基本概念,15.5.3 利息减税的现值(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 B assuming that the cash flows are perpetual and has the same risk as the interest on the debt (the discount rate is rB.).,第15章 资本结构：基本概念,15.5.4 杠杆企业的价值(P296) 命题：企业总价值命题 杠杆企业价值大于无杠杆企业价值,即,例15-4(P296),第15章 资本结构：基本概念,第15章 资本结构：基本概念,15.5.5 有税收情况下的股东权益期望收益率(P297) 命题：风险补偿命题有税收时,杠杆企业权益资本随着负债率的上升而增加,但其速度低于无税收的情况,即,图15-6(297),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