资本成本与资本预算

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Chapter3资本成本与资本预算2资本成本的计算方法SectionTopicSummary1Risk-returnrelationshipTocalculateanNPV,acostofcapitalisneeded.Thehighertheriskfacedbytheinvestor,thehigherthereturntheywillexpecttobepaid.2Costofequity–thedividendgrowthmodel*3Costofequity-CAPM

4Costofirredeemabledebt*3资本成本的计算方法SectionTopicSummary5/6CostofredeemableorconvertibledebtKd=IRRofthecashflows7Costofpreferenceshares*8Costofaloan*Kd=interestx(1-t)9WACCThesecostsarethenputintotheWACCformula(given)tocalculatethecostsofcapitalforaproject.4ThedividendgrowthmodelThedividendgrowthmodelWeaknessofthedividendgrowthmodel–dosenotincorporaterisk–donotgrowthsmoothlyinreality–donottakecapitalgainsintoaccount–noallowanceismadefortheeffectsoftaxation–assumestherearenoissuefornewshares5Thecapitalassetpricingmodel(CAPM)Marketorsystematicrisknon-systematicorunsystematicriskSystematicriskandunsystematicrisk:implicationsSystematicriskandtheCAPMMarketriskandreturnsTheCAPMformula–E(ri)=Rf+βi(E(rm)-Rf)ProblemswithapplyingtheCAPMinpractice6%oftotalfinancethatisequity%oftotalfinancethatisdebtWACC=Ve

Ke+Vd

Kd

(1-T)Ve+VdVe+VdWACCformula7CAPMandMMcombined-gearedbetasTheconnectionbetweenMMtheoryandtheCAPMmeansthatitispossibletoestablishamathematicalrelationshipbetweentheβvalueofanungearedcompanyandtheβvalueofasimilar,butgeared,company.8Lectureexample

BPPhasadebt:equityratioof1:2.Itwishestoexpandintorecruitmentconsultancy.IthasidentifiedthattheBetaofahighlygearedrecruitmentconsultancycompany(companyX)is1.8-thisisitsequitybetaandisinfluencedbyitshighlevelofgearingof1:1debttoequity.Assumethatdebthasabetaof0.Riskfreerate=4%Marketrate=12%Tax=30%

Required:CalculatethecostofcapitalthatBPPshouldusetoappraisethisinvestment.

9Answertolectureexample

Step1

betaofrecruitmentcompany=1.8Step2

ungearBa=1.8*(1/1.7)=1.059regearBe=1.059/(2/2.7)=1.43010Answertolectureexample–cont’dStep3Ke=4+(8)1.43=15.44%.Thisreflectsthenewscenario–thatBPPdoeshavedebtfinance&thatitisinvestinginanewbusinessarea.Inotherwordsitreflectsthefinancialrisk&businessriskoftheinvestment.NB:theWACC=(15.44%x2/3)+(4%x0.7x1/3)=11.23%资本预算的基本方法常用的资本预算方法—投资回收期法—会计收益率法—净现值法—获利指数法—内含报酬率法11调整净现值法调整净现值(APV):APV=NPV+NPVF—一个项目为杠杆企业创造的价值(APV)等于一个无杠杆企业的项目净现值(NPV)加上筹资方式的副效应的净现值。☆债务的节税效应☆新债券的发行成本☆财务困境成本☆债务融资的利息补贴12权益现金流量法权益现金流量(FTE)—只对杠杆企业项目产生的属于权益所有者的现金流量进行折现,折现率为权益资本成本Rs。对于一项永久性的现金流入,计算公式为：

有杠杆企业项目的权益现金流量/

Rs计算步骤

—计算有杠杆的现金流量—计算Rs—估价13APV法、FTE法和WACC法的比较APV和WACC的比较—这两种方法的分子均为无杠杆现金流量(UCF)。但是,APV法用全权益资本成本Ro折现现金流量得到无杠杆项目的价值,然后加上负债的节税现值,得到有杠杆情况下的项目价值;WACC法则将UCF按RWACC折现,而RWACC低于Ro。估价的主体

—对于APV法和WACC法,在最后一步均扣减初始投资