chapterRequiredReturnsandtheCostofCapital财务管理GregoryAKuhlemeyerPPT课件.ppt

Chapter15 RequiredReturnsandtheCostofCapital Question AssumeBasketWondersisconsideringanew 425 000automatedbasketweavingmachinethatwillsave 100 000peryearforthenext6years Therequiredrateis11 Howtomakeadecision Easy 讨论 波音777项目评价案例 1990年10月 波音公司对外公布了它的最新机型 波音777 波音777是一项巨大的工程 两年半前开始的研究开发将耗资40亿美元 50亿美元 生产设备和人员培训还需另外投资20亿美元 1996年还需要17亿美元的营运资本 下页表是1990年对波音777项目现金流量的预测 其他资料如下 波音公司b系数1 06负债比率0 02长期债务的利率9 75 无风险报酬率8 75 市场报酬率8 00 边际所得税率4 00 该公司是否应该继续进行777项目 单位 百万美元 RequiredReturnsandtheCostofCapital OverallCostofCapitaloftheFirmProject SpecificRequiredRatesGroup SpecificRequiredRatesTotalRiskEvaluation OverallCostofCapitaloftheFirm CostofCapitalistherequiredrateofreturnonthevarioustypesoffinancing Theoverallcostofcapitalisaweightedaverageoftheindividualrequiredratesofreturn costs TypeofFinancingMktValWeightLong TermDebt 35M35 PreferredStock 15M15 CommonStockEquity 50M50 100M100 MarketValueofLong TermFinancing 不考虑货币的时间价值考虑货币的时间价值例1 某企业取得5年长期借款200万元 年利率为11 每年支付利息一次 到期还本 筹资费用为0 5 企业所得税率为33 该项长期借款的资本成本是多少 7 41 7 48 CostofDebt 例2 某公司发行总面额为500万元的10年债券 票面利率为12 发行费用为5 公司所得税率为33 8 46 8 68 例3 上述例题的债券以600万元发行 7 05 6 54 例4 上述例题的债券以400万元发行 10 58 11 54 CostofDebtistherequiredrateofreturnoninvestmentofthelendersofacompany ki kd 1 T CostofDebt P0 Ij Pj 1 kd j S n j 1 AssumethatBasketWonders BW has 1 000parvaluezero couponbondsoutstanding BWbondsarecurrentlytradingat 385 54with10yearstomaturity BWtaxbracketis40 DeterminationoftheCostofDebt 385 54 0 1 000 1 kd 10 kd 1or10 ki 10 1 40 ki 6 DeterminationoftheCostofDebt CostofPreferredStockistherequiredrateofreturnoninvestmentofthepreferredshareholdersofthecompany kP DP P0 CostofPreferredStock AssumethatBasketWonders BW haspreferredstockoutstandingwithparvalueof 100 dividendpershareof 6 30 andacurrentmarketvalueof 70pershare kP 6 30 70kP 9 DeterminationoftheCostofPreferredStock DividendDiscountModelCapital AssetPricingModelBefore TaxCostofDebtplusRiskPremium CostofEquityApproaches DividendDiscountModel Thecostofequitycapital ke isthediscountratethatequatesthepresentvalueofallexpectedfuturedividendswiththecurrentmarketpriceofthestock D1D2D 1 ke 1 1 ke 2 1 ke P0 ConstantGrowthModel Theconstantdividendgrowthassumptionreducesthemodelto ke D1 P0 gAssumesthatdividendswillgrowattheconstantrate g forever AssumethatBasketWonders BW hascommonstockoutstandingwithacurrentmarketvalueof 64 80pershare currentdividendof 3pershare andadividendgrowthrateof8 forever ke D1 P0 gke 3 1 08 64 80 08ke 05 08 13or13 DeterminationoftheCostofEquityCapital CapitalAssetPricingModel Thecostofequitycapital ke isequatedtotherequiredrateofreturninmarketequilibrium Therisk returnrelationshipisdescribedbytheSecurityMarketLine SML ke Rj Rf Rm Rf bj AssumethatBasketWonders BW hasacompanybetaof1 25 ResearchbyJulieMillersuggeststhattherisk freerateis4 andtheexpectedreturnonthemarketis11 2 ke Rf Rm Rf bj 4 11 2 4 1 25ke 4 9 13 DeterminationoftheCostofEquity CAPM Before TaxCostofDebtPlusRiskPremium Thecostofequitycapital ke isthesumofthebefore taxcostofdebtandariskpremiuminexpectedreturnforcommonstockoverdebt ke kd RiskPremium RiskpremiumisnotthesameasCAPMriskpremium AssumethatBasketWonders BW typicallyaddsa3 premiumtothebefore taxcostofdebt ke kd RiskPremium 10 3 ke 13 DeterminationoftheCostofEquity kd R P ConstantGrowthModel13 CapitalAssetPricingModel13 CostofDebt RiskPremium13 Generally thethreemethodswillnotagree ComparisonoftheCostofEquityMethods CostofCapital kx Wx WACC 35 6 15 9 50 13 WACC 021 0135 065 0995or9 95 WeightedAverageCostofCapital WACC S n x 1 1 WeightingSystemMarginalCapitalCostsCapitalRaisedinDifferentProportionsthanWACC LimitationsoftheWACC 某企业拥有长期资金400万元 其中长期借款60万元 资本成本3 长期债券100万元 资本成本10 普通股240万元 资本成本13 由于扩大经营规模 准备筹集新资金 经分析认为筹集资金后仍然保持目前的资本结构 并测算出随筹资的增加各种资本成本的变化 如下表 边际资本成本 MarginalCapitalCosts 计算边际资本成本 30000010 75 300000 50000011 05 500000 60000011 65 600000 80000011 95 800000 100000012 2 1000000 160000012 8 160000013 05 筹资总额范围 2 FlotationCostsarethecostsassociatedwithissuingsecuritiessuchasunderwriting legal listing andprintingfees a AdjustmenttoInitialOutlayb AdjustmenttoDiscountRate LimitationsoftheWACC AddFlotationCosts FC totheInitialCashOutlay ICO Impact ReducestheNPV AdjustmenttoInitialOutlay AIO NPV S n t 1 CFt 1 k t ICO FC SubtractFlotationCostsfromtheproceeds price ofthesecurityandrecalculateyieldfigures Impact Increasesthecostforanycapitalcomponentwithflotationcosts Result IncreasestheWACC whichdecreasestheNPV AdjustmenttoDiscountRate ADR Afterlearningtheknowledgeaboutcostofcapital doyouagreethataccountingprofitisnotperfect Why Howtoimproveit Question EVA NOPAT CostofCapitalxCapitalEmployed Sinceacostischargedforequitycapitalalso apositiveEVAgenerallyindicatesshareholdervalueisbeingcreated BasedonEconomicNOTAccountingProfit EconomicValueAdded Initiallyassumeall equityfinancing Determineprojectbeta Calculatetheexpectedreturn Adjustforcapitalstructureoffirm ComparecosttoIRRofproject DeterminingProject SpecificRequiredRatesofReturn UseofCAPMinProjectSelection ProjectAcceptanceand orRejection SML X X X X X X X O O O O O O O SYSTEMATICRISK Beta EXPECTEDRATEOFRETURN Rf Accept Reject AssumeacomputernetworkingprojectisbeingconsideredwithanIRRof19 Examinationoffirmsinthenetworkingindustryallowsustoestimateanall equitybetaof1 5 Ourfirmisfinancedwith70 Equityand30 Debtatki 6 Theexpectedreturnonthemarketis11 2 andtherisk freerateis4 Project SpecificRequiredRateofReturnExample ke Rf Rm Rf bj 4 11 2 4 1 5 14 8 WACC 30 6 70 14 8 1 8 10 36 12 16 IRR 19 WACC 12 16 DoYouAccepttheProject bj bju 1 B S 1 TC bj Betaofaleveredfirm bju Betaofanunleveredfirm anall equityfinancedfirm B S Debt to EquityratioinMarketValueterms TC Thecorporatetaxrate AdjustingBetaforFinancialLeverage CAPM M M Rsl Rf bju Rm Rf bju Rm Rf 1 T D S Rsl Rf bj Rm Rf bj bju 1 B S 1 TC AdjustingBetaforFinancialLeverage ComparingGroup SpecificRequiredRatesofReturn Group SpecificRequiredReturns CompanyCostofCapital SystematicRisk Beta ExpectedRateofReturn Risk AdjustedDiscountRateApproach RADR Therequiredreturnisincreased decreased relativetothefirm soverallcostofcapitalforprojectsorgroupsshowinggreater smaller than average risk ProjectEvaluationBasedonTotalRisk ProbabilityDistributionApproachAcceptanceofasingleprojectwithapositiveNPVdependsonthedispersionofNPVsandtheutilitypreferencesofmanagement ProjectEvaluationBasedonTotalRisk Firm PortfolioApproach B C A IndifferenceCurves STANDARDDEVIATION EXPECTEDVALUEOFNPV Curvesshow HIGH RiskAversion Firm PortfolioApproach B C A IndifferenceCurves STANDARDDEVIATION EXPECTEDVALUEOFNPV Curvesshow MODERATE RiskAversion Firm PortfolioApproach B C A IndifferenceCurves STANDARDDEVIATION EXPECTEDVALUEOFNPV Curvesshow LOW RiskAversion AdjustedPresentValue APV isthesumofthediscountedvalueofaproject soperatingcashflowsplusthevalueofanytax shieldbenefitsofinterestassociatedwiththeproject sfinancingminusanyflotationcosts AdjustedPresentValue APV UnleveredProjectValue ValueofProjectFinancing AssumeBasketWondersisconsideringanew 425 000automatedbasketweavingmachinethatwillsave 100 000peryearforthenext6years Therequiredrateonunleveredequityis11 BWcanborrow 180 000at7 with 10 000after taxflotationcosts Principalisrepaidat 30 000peryear interest Thefirmisinthe40 taxbracket NPVandAPVExample WhatistheNPVtoanall equity financedfirm NPV 100 000 PVIFA11 6 425 000NPV 423 054 425 000NPV 1 946 BasketWondersNPVSolution WhatistheAPV First determinetheinterestexpense IntYr1 180 000 7 12 600IntYr2 150 000 7 10 500IntYr3 120 000 7 8 400IntYr4 90 000 7 6 300IntYr5 60 000 7 4 200IntYr6 30 000 7 2 100 BasketWondersAPVSolution Second calculatethetax shieldbenefits TSBYr1 12 600 40 5 040TSBYr2 10 500 40 4 200TSBYr3 8 400 40 3 360TSBYr4 6 300 40 2 520TSBYr5 4 200 40 1 680TSBYr6 2 100 40 840 BasketWondersAPVSolution Third findthePVofthetax shieldbenefits TSBYr1 5 040 935 4712TSBYr2 4 200 873 3667TSBYr3 3 360 816 2742TSBYr4 2 520 763 1923TSBYr5 1 680 713 1198TSBYr6 840 666 559PV 14 801 BasketWondersAPVSolution WhatistheAPV APV NPV PVofTS FlotationCostAPV 1 946 14 801 10 000APV 2 855 BasketWondersNPVSolution Quiz FelshamIndustriesplansonfinancingallofitsnewcapitalbudgetingprojectsthisyearwithlong termdebt Therefore itscostofcapitalthisyearshouldbetheafter taxcostofitsnewdebt Right 百事可乐公司资本加权成本计算 用公司的资本成本来评估每个部门的项目很可能会导致抛弃低风险 部门好的投资计划而接受高风险 部门差的投资计划的情形 为避免出现这种情形 百事可乐公司对所属的快餐 饮料 餐馆三个经营部门分别计算部门的资本成本 以便更好地反映各部门的风险 同时也有助于公司更好地评估投资机会 百事可乐公司所采用的资本加权成本的计算过程如下 1 估算每个部门的股权资本成本和债务成本 2 确定每个部门的目标资本结构 3 用目标资本结构对债务 股权等单项资本成本进行加权 从而确定每个部门的资本加权成本 4 利用各部门的资本成本计算整个公司的资本加权成本 计算单项资本成本 普通股资本成本百事可乐公司采用资本资产定价模型CAPM计算公司的普通股资本成本Kcs Kcs Krf Km Krf 无风险收益率百事可乐公司采用30年期国债的到期收益率7 28 作为无风险收益率 市场预期收益率芝加哥一家咨询公司为百事可乐公司提供的市场预期收益率的季度估计值为11 48 部门的 值百事可乐公司所属的三个经营部门都没有在股票市场上交易 因此 它们的 值均不能直接计算 为此 百事可乐公司采用两种方法来估算部门的 值 同业公司 值类比法 即通过一个或若干个经营业务与百事可乐公司所属业务部门相同的上市公司来估计该部门的 值 会计 值法 即利用每个经营门的会计数据来估计该部门的 值 百事可乐公司用这两种方法所求得的 值的平均值为计算所属部门的股权资本成本 同业公司的 值1 选择与百事可乐公司下属部门业务同类的上市公司 见表1餐馆业快餐业饮料业BobEvansBorden可口可乐公司CarlKarcherCampbell sSoupAnheuserBuschDairyQueenCPCInternationalA WBrandsJB sRestaurantsGeneralMills可口可乐企业Luby sCafeteriasGerberMcDonald sHeinzNationalPizzHersheyPiccadillyKelloggRyan sFamilyQuakerOatsVicorpRalstonPurinaWendy sSaraLee 2 确定每组上市公司 值 3 调整 值以反映不同的资本结构 因为即使公司的经营风险相近 但财务风险因资本结构的差异而不同 公司在其融资组合中使用的债务越多 公司股票的系统风险也会越大 其 值也就越高 所以 为使业务相同的上市公司的 值与百事可乐公司的各部门具有可比性 每个业务相同的上市公司的 值必须进行调整 以使消除由于财务风险的不同而造成的差异 调整结果见表2 该表列出了业务同类的上市公司的 值及其 值的平均值 表2两种方法所获得的 值及 的平均值餐馆业快餐业饮料业 同业类比法BobEvans1 08Borden1 00AnheuserBusch1 05CarlKarcher0 71Campbell sSoup1 06A WBrands1 69DairyQueen1 11CPCInternational1 04可口可乐1 14JB sRestaurants0 54General