资本资产定价模型WACC.ppt

WACCandDebtPolicy,OptimalCapitalStructure?,M&M(DebtPolicyDoesntMatter),Modigliani&Miller(PropositionI)Whentherearenotaxesandcapitalmarketsareperfect,themarketvalueofacompanydoesnotdependonitscapitalstructure.,TheValueofthefirmdoesnotchangewithdebt:VL=VU,ReturnonAssets(wacc)NoTaxes,Note:rA=WACC(withnotaxes),M&MPropositionII,V=D+E,TheseshouldbeMarketvalues!,ThecostofequitycapitalincreaseswithfinancialleverageduetotheincreaseinRisk!,r,DE,rD,rE,M&MPropositionII,rA=WACC,Riskfreedebt,Riskydebt,LeverageandReturns,ImpactonBeta,LeverageandReturns,ImpactonBeta,IftheBetaofDebtisassumedtobeZeroBD=0TheBetaoftheLeveredFirmisEqualtotheBetaoftheUnleveredFirm(orAssetBeta)timesOneplustheDebt-to-EquityRatio,Note:Equitybetasareleveredbetasandassetbetasareunleveredbetas(L=EandU=A).,WACC(notaxes),WACCisthetraditionalviewofcapitalstructure,riskandreturn.,CapitalStructurewithtaxes,PVofTaxShield=(assumeperpetuity),DxrDxTcrD,=DxTc,FirmValue=ValueofAllEquityFirm+PVTaxShield,VL=VU+TCxD,MMPropositionIwithCorporateTaxes,MMProp.IwithTaxes,Debt,MarketValueofTheFirm,Valueofunleveredfirm,PVofinteresttaxshields,Valueofleveredfirm,Optimalamountofdebt,MMwithCorporateTaxes,MMPropositionIIwithCorporateTaxes,r0=thereturnontheallequityfinancedfirm(theunleveredfirmorthereturnontheassetsofthefirm),DebtandTaxes,ImpactonBeta,IftheBetaofDebtisassumedtobeZeroBD=0,Remember,Listheequitybetaforafirmwithleverage,andUisthebetaforthefirmwithNOdebt,r,DV,rD,rE,WACC,MMwithTaxes:WACC,r0,FinancialDistress,CostsofFinancialDistress-Costsarisingfrombankruptcyordistortedbusinessdecisionsbeforebankruptcy.MarketValue=ValueifallEquityFinanced+PVTaxShield-PVCostsofFinancialDistress,FinancialDistress,Debt,MarketValueofTheFirm,Valueofunleveredfirm,PVofinteresttaxshields,Costsoffinancialdistress,Valueofleveredfirm,Optimalamountofdebt,Maximumvalueoffirm,WACCwithTaxes,Important:TheWACCFormula,WeightedAverageCostofCapital(withcostsoffinancialdistress),r,DV,rD,rE,WACC,Optimalamountofdebt,CostsofDebt,FinancialDistr