资本成本-公司财务和投资理论【外文翻译】

外文翻译THECOSTOFCAPITAL,CORPORATIONFINANCEANDTHETHEORYOFINVESTMIENTMaterialSource:AmericanEconomicsReview,Vol.48,No.3(Jun,1958),261-297Author:FrancoModiglianiandMertonH.MillerWhatisthe"costofcapital"toafirminaworldinwhichfundsareusedtoacquireassetswhoseyieldsareuncertain;andinwhichcapitalcanbeobtainedbymanydifferentmedia,rangingfrompuredebtinstruments,representingmoneyfixedclaims,topureequityissues,givingholdersonlytherighttoaproratashareintheuncertainventure.?Thisquestionhasvexedatleastthreeclassesofeconomists:(1)thecorporationfinancespecialistconcernedwiththetechniquesoffinancingfirmssoastoensuretheirsurvivalandgrowth;(2)themanagerialeconomistconcernedwithcapitalbudgeting;and(3)theeconomictheoristconcernedwithexplaininginvestmentbehavioratboththemicroandmacrolevels.Inmuchofhisformalanalysis,theeconomictheoristatleasthastendedtosidesteptheessenceofthiscostofcapitalproblembyproceedingasthoughphysicalassetslikebondscouldberegardedasyieldingknown,surestreams.Giventhisassumption,thetheoristhasconcludedthatthecostofcapitaltotheownersofafirmissimplytherateofinterestonbonds;andhasderivedthefamiliarpropositionthatthefirm,actingrationally,willtendtopushinvestmenttothepointwherethemarginalyieldonphysicalassetsisequaltothemarketrateofinterest.Thispropositioncanbeshowntofollowfromeitheroftwocriteriaofrationaldecisionmakingwhichareequivalentundercertainty,namely(1)themaximizationofprofitsand(2)themaximizationofmarketvalue.Accordingtothefirstcriterion,aphysicalassetisworthacquiringifitwillincreasethenetprofitoftheownersofthefirm.Butnetprofitwillincreaseonlyiftheexpectedrateofreturn,oryield,oftheassetexceedstherateofinterest.Accordingtothesecondcriterion,anassetisworthacquiringifitincreasesthevalueoftheowners'equity,i.e.,ifitaddsmoretothemarketvalueofthefirmthanthecostsofacquisition.Butwhattheassetaddsisgivenbycapitalizingthestreamitgeneratesatthemarketrateofinterest,andthiscapitalizedvaluewillexceeditscostifandonlyiftheyieldoftheassetexceedstherateofinterest.Notethat,undereitherformulation,thecostofcapitalisequaltotherateofinterestonbonds,regardlessofwhetherthefundsareacquiredthroughdebtinstrumentsorthroughnewissuesofcommonstock.Indeed,inaworldofsurereturns,thedistinctionbetweendebtandequityfundsreduceslargelytooneofterminology.Itmustbeacknowledgedthatsomeattemptisusuallymadeinthistypeofanalysistoallowfortheexistenceofuncertainty.Thisattempttypicallytakestheformofsuperimposingontheresultsofthecertaintyanalysisthenotionofa"riskdiscount"tobesubtractedfromtheexpectedyield(ora"riskpremium"tobeaddedtothemarketrateofinterest).Investmentdecisionsarethensupposedtobebasedonacomparisonofthis"riskadjusted"or"certaintyequivalent"yieldwiththemarketrateofinterest.Nosatisfactoryexplanationhasyetbeenprovided,however,astowhatdeterminesthesizeoftheriskdiscountandhowitvariesinresponsetochangesinothervariables.Consideredasaconvenientapproximation,themodelofthefirmconstructedviathiscertaintyorcertaintyequivalentapproachhasadmittedlybeenusefulindealingwithsomeofthegrosseraspectsoftheprocessesofcapitalaccumulationandeconomicfluctuations.Suchamodelunderlies,forexample,thefamiliarKeynesianaggregateinvestmentfunctioninwhichaggregateinvestmentiswrittenasafunctionoftherateofinterestthesamerisklessrateofinterestwhichappearslaterinthesystemintheliquiditypreferenceequation.Yetfewwouldmaintainthatthisapproximationisadequate.Atthemacroeconomiclevelthereareamplegroundsfordoubtingthattherateofinteresthasaslargeandasdirectaninfluenceontherateofinvestmentasthisanalysiswouldleadustobelieve.Atthemicroeconomiclevelthecertaintymodelhaslittledescriptivevalueandprovidesnorealguidancetothefinancespecialistormanagerialeconomistwhosemainproblemscannotbetreatedinaframeworkwhichdealssocavalierlywithuncertaintyandignoresallformsoffinancingotherthandebtissues.Onlyrecentlyhaveeconomistsbeguntofaceupseriouslytotheproblemofthecostofcapitalcumrisk.Intheprocesstheyhavefoundtheirinterestsandendeavorsmergingwiththoseofthefinancespecialistandthemanagerialeconomistwhohavelivedwiththeproblemlongerandmoreintimately.Inthisjointsearchtoestablishtheprincipleswhichgovernrationalinvestmentandfinancialpolicyinaworldofuncertaintytwomainlinesofattackcanbediscerned.Theselinesrepresent,ineffect,attemptstoextrapolatetotheworldofuncertaintyeachofthetwocriteriaprofitmaximizationandmarketvaluemaximizationwhichwereseentohaveequivalentimplicationsinthespecialcaseofcertainty.Withtherecognitionofuncertaintythisequivalencevanishes.Infact,theprofitmaximizationcriterionisnolongerevenwelldefined.Underuncertaintytherecorrespondstoeachdecisionofthefirmnotauniqueprofitoutcome,butapluralityofmutuallyexclusiveoutcomeswhichcanatbestbedescribedbyasubjectiveprobabilitydistribution.Theprofitoutcome,inshort,hasbecomearandomvariableandassuchitsmaximizationnolongerhasanoperationalmeaning.Norcanthisdifficultygenerallybedisposedofbyusingthemathematicalexpectationofprofitsasthevariabletobemaximized.Fordecisionswhichaffecttheexpectedvaluewillalsotendtoaffectthedispersionandothercharacteristicsofthedistributionofoutcomes.Inparticular,theuseofdebtratherthanequityfundstofinanceagivenventuremaywellincreasetheexpectedreturntotheowners,butonlyatthecostofincreaseddispersionoftheoutcomes.Undertheseconditionstheprofitoutcomesofalternativeinvestmentandfinancingdecisionscanbecomparedandrankedonlyintermsofasubjective"utilityfunction"oftheownerswhichweighstheexpectedyieldagainstothercharacteristicsofthedistribution.Accordingly,theextrapolationoftheprofitmaximizationcriterionofthecertaintymodelhastendedtoevolveintoutilitymaximization,sometimesexplicitly,morefrequentlyinaqualitativeandheuristicform.Theutilityapproachundoubtedlyrepresentsanadvanceoverthecertaintyorcertaintyequivalentapproach.Itdoesatleastpermitustoexplore(withinlimits)someoftheimplicationsofdifferentfinancingarrangements,anditdoesgivesomemeaningtothe"cost"ofdifferenttypesoffunds.However,becausethecostofcapitalhasbecomeanessentiallysubjectiveconcept,theutilityapproachhasseriousdrawbacksfornormativeaswellasanalyticalpurposes.How,forexample,ismanagementtoascertaintheriskpreferencesofitsstockholdersandtocompromiseamongtheirtastes?Andhowcantheeconomistbuildameaningfulinvestmentfunctioninthefaceofthefactthatanygiveninvestmentopportunitymightormightnotbeworthexploitingdependingonpreciselywhohappentobetheownersofthefirmatthemoment?Fortunately,thesequestionsdonothavetobeanswered;forthealternativeapproach,basedonmarketvaluemaximization,canprovidethebasisforanoperationaldefinitionofthecostofcapitalandaworkabletheoryofinvestment.Underthisapproachanyinvestmentprojectanditsconcomitantfinancingplanmustpassonlythefollowingtest:Willtheproject,asfinanced,raisethemarketvalueofthefirm'sshares?Ifso,itisworthundertaking;ifnot,itsreturnislessthanthemarginalcostofcapitaltothefirm.Notethatsuchatestisentirelyindependentofthetastesofthecurrentowners,sincemarketpriceswillreflectnotonlytheirpreferencesbutthoseofallpotentialownersaswell.Ifanycurrentstockholderdisagreeswithmanagementandthemarketoverthevaluationoftheproject,heisfreetoselloutandreinvestelsewhere,butwillstillbenefitfromthecapitalappreciationresultingfrommanagement'sdecision.Thepotentialadvantagesofthemarketvalueapproachhavelongbeenappreciated;yetanalyticalresultshavebeenmeager.Whatappearstobekeepingthislineofdevelopmentfromachievingitspromiseislargelythelackofanadequatetheoryoftheeffectoffinancialstructureonmarketvaluations,andofhowtheseeffectscanbeinferredfromobjectivemarketdata.OurprocedurewillbetodevelopinSectionIthebasictheoryitselfandtogivesomebriefaccountofitsempiricalrelevance.InSectionII,weshowhowthetheorycanbeusedtoanswerthecostofcapitalquestionandhowitpermitsustodevelopatheoryofinvestmentofthefirmunderconditionsofuncertainty.Throughoutthesesectionstheapproachisessentiallyapartialequilibriumonefocusingonthefirmand"industry."Accordingly,the"prices"ofcertainincomestreamswillbetreatedasconstantandgivenfromoutsidethemodel,justasinthestandardMarshalliananalysisofthefirmandindustrythepricesofallinputsandofallotherproductsaretakenasgiven.Wehavechosentofocusatthislevelratherthanontheeconomyasawholebecauseitisatthelevelofthefirmandtheindustrythattheinterestsofthevariousspecialistsconcernedwiththecost-of-capitalproblemcomemostcloselytogether.Althoughtheemphasishasthusbeenplacedonpartialequilibriumanalysis,theresultsobtainedalsoprovidetheessentialbuildingblocksforageneralequilibriummodelwhichshowshowthosepriceswhichareheretakenasgiven,arethemselvesdetermined.WiththedevelopmentofPropositionIIIthemainobjectivesweout-linedinourintroductorydiscussionhavebeenreached.WehaveinourPropositionsIandIIatleastthefoundationsofatheoryofthevaluationoffirmsandsharesinaworldofuncertainty.Wehaveshown,moreover,howthistheorycanleadtoanoperationaldefinitionofthecostofcapitalandhowthatconceptcanbeusedinturnasabasisforrationalinvestmentdecisionmakingwithinthefirm.Needlesstosay,however,muchremainstobedonebeforethecostofcapitalcanbeputawayontheshelfamongthesolvedproblems.Ourapproachhasbeenthatofstatic,partialequilibriumanalysis.Ithasassumedamongotherthingsastateofatomisticcompetitioninthecapitalmarketsandaneaseofaccesstothosemarketswhichonlyarelativelysmall(thoughimportant)groupoffirmsevencomeclosetopossessing.Theseandotherdrasticsimplificationshavebeennecessaryinordertocometogripswiththeproblematall.Havingservedtheirpurposetheycannowberelaxedinthedirectionofgreaterrealismandrelevance,ataskinwhichwehopeothersinterestedinthisareawillwishtoshare.译文资本成本，公司财务和投资理论资料来源:美国经济评论作者：弗兰克·莫迪格利尼和莫顿·米勒对于一个企业来说什么是资本成本？资金用于收购资产的收益是不确定的，资本可以通过许多不同的渠道获取，可以发行债券、要求代表固定资金、发行普通股；只在不确定性风险下给予持有者同比例增长的权利。这个问题至少困扰了三种类型的经济学家：（1）财务运营专家关注公司的财务技能以此来确保企业能够生存和发展；（2）管理经济学家关心的是资本预算；（3）经济理论学家关心的是在微观和宏观领域解释投资行为。在大部分正式的分析中，经济理论学家至少倾向于规避资本成本问题的实质，通过诸如有息证券等实物资本的收入可以看作是已知的收益、确定性的收入。考虑到这些假设，理论学家可以得出企业的所有者的资本成本仅仅是债券的利息率；还得出这样简单的命题：理性的企业，倾向于把投资投向实物资本的边际收益等同于市场利率的地方。这个命题可以显示出：遵从了在不确定性条件下以下两条等同的理性决策制定者的准则：（1）利润最大化；（2）市场价值的最大化。根据第一条标准，一项实物资产如果能够增加企业所有者的净收益的话是值得投资的；但净利润只有在预期收益率、产量、资产超过利率的情况下才能增加；根据第二条标准资产只有在增加了所有者权益时才是可取的，如果它增加的企业市场价值多于付出的成本。但是资产的增加是通过假设资本化产生的市场利息率，资本化的价值超过他的成本仅当资产的收益超过利息率的时候。注意：在任何一种陈述中，资本成本等于债券的利息率，不管资本是从发行债券还是发行普通股的行为中获得。事实上，在一个确定的回报世界中，在专业术语中债务和普通股收益之间的差别大大减小了。一定要承认的是有些学者在分析模型时允许不确定性的存在。这种试图典型的是他在不确定性的分析概念中添加了确定性的结果，在预期收益中减去了“风险折扣”。投资决策被认为是基于“风险调整”或是和市场利息率“确定性等价”的比较。到目前为止没有令人满意的解释出现。考虑一个适当的近似：通过确定性或者与确定性等同建立的公司模型——在处理资本积累和经济波动的过程中是非常有用的。例如，以这个模型为基础，熟悉的凯恩斯聚焦投资功能，投资被写成是由市场利息率起作用的——同样的无风险利率出现在之后的流动性偏好方程里面。但很少有人将坚持这种近似是适当的。在宏观经济层面，有充足的理由怀疑利息率更大更直接的影响投资利率的分析使我们开始相信。在微观经济水平，确定性模型缺少描述性的价值，没有为财务专家和管理经济学家提供真正的指导，这些财务专家和管理经济学的主要问题是不能在一个处理不确定性如此巧妙和忽略除发行债务以外的资本形式框架中被正确对待。最近，有经济学家开始面对资本成本及风险的严重问题。在这个过程中，他们发现自己的兴趣和努力和对这个问题容忍了更长时间和更精通的其他财务专家和管理经济学家紧密相连在一起。在这个建立合理的投资管理和财务政策原理的混合研究中两条主要路线的不同点才能得到辨别。实际上，这些线代表试图推测不确定性世界里的两条标准——利润最大化和市场价值最大化，在确定的特殊情况中，可以看做有相等的影响。随着不确定性认知这种想法就消失了。事实上，利润最大化的标准不再被精确地解释。在