风险,资本,成本和资本预算讲义.ppt

1、Risk, Cost of Capital, and Capital Budgeting,Key Concepts and Skills,Know how to determine a firms cost of equity capital Understand the impact of beta in determining the firms cost of equity capital Know how to determine the firms overall cost of capital Understand how the liquidity of a firms stoc

2、k affects its cost of capital,Chapter Outline,12.1 The Cost of Equity Capital 12.2 Estimation of Beta 12.3 Determinants of Beta 12.4 Extensions of the Basic Model 12.5 Estimating Eastman Chemicals Cost of Capital 12.6 Reducing the Cost of Capital,Where Do We Stand?,Earlier chapters on capital budget

3、ing focused on the appropriate size and timing of cash flows. This chapter discusses the appropriate discount rate when cash flows are risky.,Invest in project,12.1 The Cost of Equity Capital,Firm withexcess cash,Shareholders Terminal Value,Pay cash dividend,Shareholder invests in financial asset,Be

4、cause stockholders can reinvest the dividend in risky financial assets, the expected return on a capital-budgeting project should be at least as great as the expected return on a financial asset of comparable risk.,A firm with excess cash can either pay a dividend or make a capital investment,The Co

5、st of Equity Capital,From the firms perspective, the expected return is the Cost of Equity Capital:,To estimate a firms cost of equity capital, we need to know three things:,The risk-free rate, RF,The market risk premium,The company beta,Example,Suppose the stock of Stansfield Enterprises, a publish

6、er of PowerPoint presentations, has a beta of 2.5. The firm is 100% equity financed. Assume a risk-free rate of 5% and a market risk premium of 10%. What is the appropriate discount rate for an expansion of this firm?,Example,Suppose Stansfield Enterprises is evaluating the following independent pro

7、jects. Each costs $100 and lasts one year.,Using the SML,An all-equity firm should accept projects whose IRRs exceed the cost of equity capital and reject projects whose IRRs fall short of the cost of capital.,Project IRR,Firms risk (beta),5%,Good project,Bad project,12.2 Estimation of Beta,Market P

8、ortfolio - Portfolio of all assets in the economy. In practice, a broad stock market index, such as the S if not, we reject the project. After considering risk via the CAPM: EW = .05 + .60(.12 .05) = .0920 .16, so reject Z,15. We will begin by finding the market value of each type of financing. We w

9、ill use D1 to represent the coupon bond, and D2 to represent the zero coupon bond. So, the market value of the firms financing is: MVD1 = 50,000($1,000)(1.1980) = $59,900,000 MVD2 = 150,000($1,000)(.1385) = $20,775,000 MVP = 120,000($112) = $13,440,000 MVE = 2,000,000($65) = $130,000,000 And the tot

10、al market value of the firm is: V = $59,900,000 + 20,775,000 + 13,440,000 + 130,000,000 = $224,115,000,Now, we can find the cost of equity using the CAPM. The cost of equity is: RE = .04 + 1.10(.09) = .1390 or 13.90% The cost of debt is the YTM of the bonds, so: P0 = $1,198 = $40(PVIFAR%,50) + $1,00

11、0(PVIFR%,50) R = 3.20% YTM = 3.20% 2 = 6.40% And the aftertax cost of debt is: RD1 = (1 .40)(.0640) = .0384 or 3.84%,And the aftertax cost of the zero coupon bonds is: P0 = $138.50 = $1,000(PVIFR%,60) R = 3.35% YTM = 3.35% 2 = 6.70% RD2 = (1 .40)(.0670) = .0402 or 4.02%,To find the required return on preferred stock, we can use the preferred stock pricing equation, which is the level perpetuity equation, so the required return on the companys preferred stock is: RP = D1 / P0 RP = $6.50 / $112 RP = .0580 or 5.80%,No