资本资产定价模型WACCppt课件

.,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,FinancialDist