公司理財英文版課件chap016(編輯修改稿)
2025-01-04 22:00 本頁面
【文章內(nèi)容簡介】 t of equity in the firm? E/V = 1 / 2.5 = 40%,1617,The CAPM, the SML and Proposition II,How does financial leverage affect systematic risk? CAPM: RA = Rf + ?A(RM – Rf) Where ??A is the firm’s asset beta and measures the systematic risk of the firm’s assets Proposition II Replace RA with the CAPM and assume that the debt is riskless (RD = Rf) RE = Rf + ?A(1+D/E)(RM – Rf),1618,Business Risk and Financial Risk,RE = Rf + ?A(1+D/E)(RM – Rf) CAPM: RE = Rf + ?E(RM – Rf) ?E = ?A(1 + D/E) Therefore, the systematic risk of the stock depends on: Systematic risk of the assets, ?A, (Business risk) Level of leverage, D/E, (Financial risk),1619,Case II – Cash Flow,Interest is tax deductible Therefore, when a firm adds debt, it reduces taxes, all else equal The reduction in taxes increases the cash flow of the firm How should an increase in cash flows affect the value of the firm?,1620,Case II Example,1621,Interest Tax Shield,Annual interest tax shield Tax rate times interest payment 6,250 in 8% debt = 500 in interest expense Annual tax shield = .34(500) = 170 Present value of annual interest tax shield Assume perpetual debt for simplicity PV = 170 / .08 = 2,125 PV = D(RD)(TC) / RD = DTC = 6,250(.34) = 2,125,1622,Case II – Proposition I,The value of the firm increases by the present value of the annual interest tax shield Value of a levered firm = value of an unlevered firm + PV of interest tax shield Value of equity = Value of the firm – Value of debt Assuming perpetual cash flows VU = EBIT(1T) / RU VL = VU + DTC,1623,Example: Case II – Proposition I,Data EBIT = 25 million。 Tax rate = 35%。 Debt = $75 million。 Cost of debt = 9%。 Unlevered cost of capital = 12% VU = 25(1.35) / .12 = $135.42 million VL = 135.42 + 75(.35) = $161.67 million E = 161.67 – 75 = $86.67 million,1624,Figure 16.4,1625,Case II – Proposition II,The WACC decreases as D/E increases because of the government subsidy on interest payments RA = (E/V)RE + (D/V)(RD)(1TC) RE = RU + (RU – RD)(D/E)(1TC) Example RE = 12 + (129)(75/86.67)(1.35) = 13.69% RA = (86.67/161.67)(13.69) + (75/161.67)(9)(1.35) RA = 10.05%,1626,Example: Case II – Proposition II,Suppose that the firm changes its capital structure so that the debttoequity ratio becomes 1. What will happen to the cost of equity under the new capital structure? RE = 12 + (12 9)(1)(1.35) = 13.95% What will happen to the weighted average cost of capital? RA = .5(13.95) + .5(9)(1.35) = 9.9%,1627,Figure 1
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