风险,资本,成本和资本预算讲义(英文).ppt

Risk,CostofCapital,andCapitalBudgeting,KeyConceptsandSkills,KnowhowtodetermineafirmscostofequitycapitalUnderstandtheimpactofbetaindeterminingthefirmscostofequitycapitalKnowhowtodeterminethefirmsoverallcostofcapitalUnderstandhowtheliquidityofafirmsstockaffectsitscostofcapital,ChapterOutline,12.1TheCostofEquityCapital12.2EstimationofBeta12.3DeterminantsofBeta12.4ExtensionsoftheBasicModel12.5EstimatingEastmanChemicalsCostofCapital12.6ReducingtheCostofCapital,WhereDoWeStand?,Earlierchaptersoncapitalbudgetingfocusedontheappropriatesizeandtimingofcashflows.Thischapterdiscussestheappropriatediscountratewhencashflowsarerisky.,Investinproject,12.1TheCostofEquityCapital,Firmwithexcesscash,ShareholdersTerminalValue,Paycashdividend,Shareholderinvestsinfinancialasset,Becausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturnonacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.,Afirmwithexcesscashcaneitherpayadividendormakeacapitalinvestment,TheCostofEquityCapital,Fromthefirmsperspective,theexpectedreturnistheCostofEquityCapital:,Toestimateafirmscostofequitycapital,weneedtoknowthreethings:,Therisk-freerate,RF,Themarketriskpremium,Thecompanybeta,Example,SupposethestockofStansfieldEnterprises,apublisherofPowerPointpresentations,hasabetaof2.5.Thefirmis100%equityfinanced.Assumearisk-freerateof5%andamarketriskpremiumof10%.Whatistheappropriatediscountrateforanexpansionofthisfirm?,Example,SupposeStansfieldEnterprisesisevaluatingthefollowingindependentprojects.Eachcosts$100andlastsoneyear.,UsingtheSML,Anall-equityfirmshouldacceptprojectswhoseIRRsexceedthecostofequitycapitalandrejectprojectswhoseIRRsfallshortofthecostofcapital.,ProjectIRR,Firmsrisk(beta),5%,Goodproject,Badproject,12.2EstimationofBeta,MarketPortfolio-Portfolioofallassetsintheeconomy.Inpractice,abroadstockmarketindex,suchastheSifnot,werejecttheproject.AfterconsideringriskviatheCAPM:EW=.05+.60(.12.05)=.0920.16,sorejectZ,15.Wewillbeginbyfindingthemarketvalueofeachtypeoffinancing.WewilluseD1torepresentthecouponbond,andD2torepresentthezerocouponbond.So,themarketvalueofthefirmsfinancingis:MVD1=50,000($1,000)(1.1980)=$59,900,000MVD2=150,000($1,000)(.1385)=$20,775,000MVP=120,000($112)=$13,440,000MVE=2,000,000($65)=$130,000,000Andthetotalmarketvalueofthefirmis:V=$59,900,000+20,775,000+13,440,000+130,000,000=$224,115,000,Now,wecanfindthecostofequityusingtheCAPM.Thecostofequityis:RE=.04+1.10(.09)=.1390or13.90%ThecostofdebtistheYTMofthebonds,so:P0=$1,198=$40(PVIFAR%,50)+$1,000(PVIFR%,50)R=3.20%YTM=3.20%2=6.40%Andtheaftertaxcostofdebtis:RD1=(1.40)(.0640)=.0384or3.84%,Andtheaftertaxcostofthezerocouponbondsis:P0=$138.50=$1,000(PVIFR%,60)R=3.35%YTM=3.35%2=6.70%RD2=(1.40)(.0670)=.0402or4.02%,Tofindtherequiredreturnonpreferredstock,wecanusethepreferredstockpricingequation,whichisthelevelperpetuityequation,sotherequiredreturnonthecompanyspreferredstockis:RP=D1/P0RP=$6.50/$112RP=.0580or5.80%,Nowweh