内容介绍06 part 2知识点4 risk adjusted wacc 4ruthcheng2019

Usingthe(original)WACCininvestmentappraisal

Theweightedaveragecostofcapitalcanbeusedininvestmentappraisalif:

Theprojectbeingappraisedissmallrelativetothe .

Theexistingcapitalstructurewillbemaintained(samefinancialrisk).

Theprojecthasthesamebusinessriskasthe .

Iffinancialriskand/orbusinessriskchange,ariskadjustedWACCmustbeappliedtonewproject.

2.Gearedbetasandungearedbetas

理解逻辑顺序

1st Shareholdersareonlyinterestedinsystematicriskbecausetheyholdwell-diversifiedportfolios.

2ndSystematicriskofaprojectismeasuredbyitsbeta.

3rdShareholdersinageared suffertwotypesofsystematicrisk

p Businessriskofa referstotheriskoftheoperatingcashflows.

p Financialriskisthe reasedvolatilityofdividendpaymentstoshareholdersasgearing reases.

4thTherearetwotypesofbeta:

p Ungearedindustrybeta/assetbeta/βa

Theassetbetaisth a(ameasureofrisk)whicharisesfromtheassetsorbusinessinthe withnodebtfinance

p Gearedbeta/equitybeta/βe

Theequitybetaisth awhichisrelevanttotheequityshareholders.Ittakesintoaccountthebusinessriskandthefinancial(gearing)riskbecauseequityshareholders’riskisaffectedbybothbusinessriskandfinancial(gearing)risk.

5thTheapplicationoftheCAPMformulatoth as

p Thecostofequityinageared :KegKeg=Rf+βe(Rm-Rf)

p Thecostofequityinanungeared :KeuKeu=Rf+βa(Rm-Rf)

3.AssetBetaFormula:

Ve

a (VV(1T))

e

(VVd

(1T)

T))

d

e d

V(1

e d

E

D(1t)

asset equity ED(1t) debt ED(1t)

Debtisoftenassumedtoberisk andthereforethe,theaboveformulareducesto:

asset

equity

E

ED(1t)

4.Developaprojectspecifycostofcapital

Step1:calculateth aasset(businessrisk)of bydegearingth a

equity

asset

equity

E

ED(1t)

Step2:calculatethenewbetaequitybyregearing,theformulaeissamebutth aequityisunknownvariable:

asset

equity

E

ED(1t)

Step3:calculatingthecostofequity(Ke)byusingCAPMmodel:

KeRf (RmRf)equity

4:Estimatecostofdebt(Kd)atnewgearingratio.Weshouldnotethatthecostofdebtmayriseifgearingratio rease,as ’screditratingmayfallunderahighergearingratioanddebtholdersrequirehigherreturn.

Step5:CalculatingtheWACCunderanewgearingratio

Example:WhenBusinessRiskChange

A 'sdebt:equityratio,bymarketvalues,is2:5.Thecorporatedebt,whichisassumedtoberisk-,yields11%beforetax.Thavalueofthe 'sequityiscurrently1.1.Theaveragereturnsonstockmarketequityare16%.

The isnowproposingtoinvestinaprojectwhichwouldinvolvediversificationintoanewindustry,andthefollowinginformationisavailableaboutthisindustry.

§ Averag acoefficientofequitycapital=1.59

§ Averagedebt:equityratiointheindustry=1:2(bymarketvalue)

§ Therateofcorporationtaxis30%.

Whatwouldbeasuitablecostofcapitaltoapplytotheproject?

Solution

Step1Convertthegearedbetavaluefortheindustrytoanungearedbeta(assetbeta)fortheindustry

1.59( 2 )1.18

a 2（（11-0.30））

Step2Convertthisungearedindustrybetabackintoagearedbeta,whichreflectthe'sowngearinglevelof2:5

1.18(5(2(10.3)))

e 5

1.51

Step3Thisisaproject-specificbetaforthefirm'sequitycapital,andsowecanestimatetheproject-specificcostofequityas:

keg=11%+（16%=11%）1.51=18.55%

Step4Findouttherevisedcostofdebt

Step5RevisedWACC

Theprojectwillpresumablybefinancedinagearingratioof2:5debttoequity,andsotheproject-specificcostofcapitaloughttobe:

(5/7x18.55)+(2/7x70%x11%）=15.45%

ExamTechniques:threesituations

Situation1 Situation2 Situation3

Businessriskchangesonly Financialriskchangesonly Bothfinancialriskand

(Theinvestsinnew (Theinvestsinsame businessriskchange(The

industry,gearingkeeps

unchanged)

industrybutgearingchanged)

investsinnew

industryandgearingchanged)

Step1:FindBetaAsset(未知数)

Step1:FindBetaAssetofour

Step1:FindBetaAsset(未知数)

ofneindustrybydegearing(用新行业的βe和新行业的gearing)

bydegearing

ofnewindustryby

degearing(用新行业的βe和新行业的gearing)

Step2:FindBetaEquityofnew

Step2:FindBetaEquityofnew

Step2:FindBetaEquity(未知

industry(用原公司的gearing)

gearing.(用融资后的新gearing)

数)ofnewgearing(融资后新

的gearing)

Step3FindKebyCAPMStep4:FindKd

Step5:RiskadjustedWACC

Mock1

Whichofthefollowingstatementsis/arecorrect?

Theassetbetareflectsbothbusinessriska