资本结构理论

第七章 资本结构理论,第一节 现代资本结构理论,Assumptions of the Modigliani-Miller Model,Homogeneous Expectations：共同期望假设 Homogeneous Business Risk Classes：相同的风险类别 Perpetual Cash Flows :持续的现金流 Perfect Capital Markets:完美市场假设 Perfect competition：充分竞争 Firms and investors can borrow/lend at the same rate 公司和投资者可以以同样利率借款 Equal access to all relevant information 同等条件获得所有相关信息 No transaction costs 无交易成本 No taxes无税收环境,The MM Propositions I & II (No Taxes),Proposition I：公司价值模型 Firm value is not affected by leverage VL = VU Proposition II：公司权益成本模型 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,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,P223 无套利均衡分析方法。,The MM Proposition I (No Taxes),The derivation is straightforward:,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,The MM Propositions I & II(with Corporate Taxes),Proposition I (with Corporate Taxes) Firm value increases with leverage VL = VU + TC B Proposition II (with Corporate Taxes) Some of the increase in equity risk and return is offset by interest tax shield rS = r0 + (B/S)(1-TC)(r0 - rB) rB is the interest rate (cost of debt) rS is the return on equity (cost of equity) r0 is the return on unlevered equity (cost of capital) B is the value of debt S is the value of levered equity,The MM Proposition II (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,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 S,Which quickly reduces to,The Effect of Financial Leverage on the Cost of Debt and Equity Capital with Corporate Taxes,Debt-to-equity ratio (B/S),Cost of capital: r (%),r0,rB,Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes,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,Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes,The sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm. This is how cutting the pie differently can make the pie larger: the government takes a smaller slice of the pie!,S,G,S,G,B,All-equity firm Levered firm,Summary: No Taxes,In a world of no taxes, the value of the firm is unaffected by capital structure. This is M&M Proposition I: VL = VU Prop I holds because shareholders can achieve any pattern of payouts they desire with homemade leverage. In a world of no taxes, M&M Proposition II states that leverage increases the risk and return to stockholders,In a world of taxes, but no bankruptcy costs, the value of the firm increases with leverage. This is M&M Proposition I: VL = VU + TC B Prop I holds because shareholders can achieve any pattern of payouts they desire with homemade leverage. In a world of taxes, M&M Proposition II states that leverage increases the risk and return to stockholders.,Personal Taxes: The Miller Model,The 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,Personal Taxes: The Miller Model,The derivation is straightforward:,Personal Taxes: The Miller Model (cont.),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 VL,Personal Taxes: The Miller Model (cont.),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&M with only corporate tax:,Effect of Financial Leverage on Firm Value with Both Corporate and Personal Taxes,Debt (B),Value of firm (V),VU,VL = VU+TCB when TS =TB,VL (1-TC)(1-TS),VL =VU when (1-TB) = (1-TC)(1-TS),VL VU when (1-TB) (1-TC)(1-TS),Integration of Tax Effects and Financial Distress Costs,Debt (B),Value of firm (V),0,Present value of tax shield on debt,Present value of financial distress costs,Value of firm under MM with corporate taxes and debt,VL = VU + TCB,V = Actual value of firm,VU = Value of firm with no debt,B*,Maximum firm value,Optimal amount of debt,The Pie Model Revisited,Taxes and bankruptcy costs can be viewed as just another claim on the cash flows of the firm. Let G and L stand for payments to the government and bankruptcy lawyers, respectively. VT = S + B + G + L The essence of the M capital structure just slices the pie.,S,G,B,L,Integration of Personal and Corporate Tax Effects and Financial Distress Costs and Agency Costs,Debt (B),Value of firm (V),0,Present value of tax shield on debt,Present value of financial distress costs,Value of firm under MM with corporate taxes and debt,VL = VU + TCB,V = Actual value of firm,VU = Value of firm with no debt,B*,Maximum firm value,Optimal amount of debt,VL (1-TC)(1-TS),二、破产成本理论 直接破产成本：破产程序中支付给律师、会计师、资产评估师等的费用；破产清算过程中存货的贬值、设备和建筑物的损耗。 间接破产成本：破产过程中及破产之后销售收入的损失，受到牵制的资本投资和研究与开发的花费。 VL=Vu-PVFD 杠杆公司价值等于无杠杆公司价值减去破产成本现值,三、均衡理论,根据均衡理论，公司市场价值为权益资本市场价值加上税盾效应的现值，再减去破产成本现值。用公式表示为： VL=Vu+PVTS-PVFD 根据后期权衡理论，企业市场价值可用以下公式表达： VL=Vu+PVTS-PVFD-PVDC PVDC 为代理成本现值,第二节 新资本结构理论,一、代理成本理论 1976年、Jensen and Meckling. 1、与外部股权资本相关的代理成本Aso(E) 委托人监控支出：约束经理人的行为，由外部股东向经理人提供的适当激励。 代理人管束支出：限制经理人行为而应付给经理人的消费资源。 剩余损失：经理的决策可能次优决策。,2、债务的代理成本Ab（E） 公司股东（代理人）和债权人（委托人）之间的冲突：如果投资成功，股东获利；投资失败，债权人承担大部分损失。 债务契约： 债务契约致使股东做出次优而非最优的投资决策。,外部股权代理成本和债务代理成本的均衡,ASO(E),Ab(E),At(E)=ASO(E)+Ab(E),E*,E=外部股权资本/债务资本,二、新优序理论,20世纪80年代 迈尔斯（Myers）、马吉夫（Majluf） 理论框架： 1、股利政策是黏性的 2、公司更喜欢从内部进行融资 3、外部融资的顺序：最安全的债券、有些风险的债券、可换转债券、优先股、普通股 4、公司经理人要比外部投资者更了解公司的盈利状况和投资情况。 5、公司管理者代表现有股东的利益 6、信息不对称，公司的经理人无法将“NPV大于0的投资机会”传递给外部股东。,在信息不对称条件下，内部人比外部人更了解企业的财务状况以及投资价值。 首先，在企业融资决策中，如果项目的NPV大于零，为了不让新股东分享新项目的利润，代表原有股东利益的企业管理者举债融资. 其次，即便新项目的NPV大于零，由于股票融资将使得股价被低估，投资者的收益水平将超过新项目的收益，使得原有股东利益发生损失。,三、信号理论,资本结构是管理者将内部信息向市场传递的一种工具。 财务杠杆提高是一个积极的信号，表明对未来有高预期，高质量