【導(dǎo)讀】TheBigPicture..(high)operatingine.Itwilldependupon:. Thecostofequityis. Yes. No. Yes. No. 200(1.03)(Costofcapital-g). ThebetaforDisney?Disney?%45,193(16,682+45,193)?3.72%16,682(16,682+45,193)?7.51%. increase.

　　

【正文】 strategy, the regulatory capital ratios operate as a floor for established businesses, with the firm adding buffers for safety where needed.. Aswath Damodaran 54 Deutsche Bank’s Financing Mix ? Deutsche Bank has generally been much more conservative in its use of equity capital. In October 2020, it raised its Tier 1 Capital Ratio to 10%, well above the Basel 1 regulatory requirement of 6%. ? While its loss of billion Euros in the last quarter of 2020 did reduce equity capital, Deutsche Bank was confident (at least as of the first part of 2020) that it could survive without fresh equity infusions or government bailouts. In fact, Deutsche Bank reported ine of billion Euros for the first quarter of 2020 and a Tier 1 capital ratio of %. ? If the capital ratio had dropped below 10%, the firm would have had to raise fresh equity. Aswath Damodaran 55 Determinants of the Optimal Debt Ratio: 1. The marginal tax rate ? The primary benefit of debt is a tax benefit. The higher the marginal tax rate, the greater the benefit to borrowing: Aswath Damodaran 56 2. Pretax Cash flow Return ? Firms that have more in operating ine and cash flows, relative to firm value (in market terms), should have higher optimal debt ratios. We can measure operating ine with EBIT and operating cash flow with EBITDA. Cash flow potential = EBITDA/ (Market value of equity + Debt) ? Disney, for example, has operating ine of $6,829 million, which is 11% of the market value of the firm of $61,875 million in the base case, and an optimal debt ratio of 40%. Increasing the operating ine to 15% of the firm value will increase the optimal debt ratio to 60%. ? In general, growth firms will have lower cash flows, as a percent of firm value, and lower optimal debt ratios. Aswath Damodaran 57 3. Operating Risk ? Firms that face more risk or uncertainty in their operations (and more variable operating ine as a consequence) will have lower optimal debt ratios than firms that have more predictable operations. ? Operating risk enters the cost of capital approach in two places: ? Unlevered beta: Firms that face more operating risk will tend to have higher unlevered betas. As they borrow, debt will magnify this already large risk and push up costs of equity much more steeply. ? Bond ratings: For any given level of operating ine, firms that face more risk in operations will have lower ratings. The ratings are based upon normalized ine. Aswath Damodaran 58 4. The only macro determinant: Equity vs Debt Risk Premiums Aswath Damodaran 59 6 Application Test: Your firm’s optimal financing mix ? Using the optimal capital structure spreadsheet provided: ? Estimate the optimal debt ratio for your firm ? Estimate the new cost of capital at the optimal ? Estimate the effect of the change in the cost of capital on firm value ? Estimate the effect on the stock price ? In terms of the mechanics, what would you need to do to get to the optimal immediately? Aswath Damodaran 60 III. The APV Approach to Optimal Capital Structure ? In the adjusted present value approach, the value of the firm is written as the sum of the value of the firm without debt (the unlevered firm) and the effect of debt on firm value ? Firm Value = Unlevered Firm Value + (Tax Benefits of Debt Expected Bankruptcy Cost from the Debt) ? The optimal dollar debt level is the one that maximizes firm value Aswath Damodaran 61 Implementing the APV Approach ? Step 1: Estimate the unlevered firm value. This can be done in one of two ways: 1. Estimating the unlevered beta, a cost of equity based upon the unlevered beta and valuing the firm using this cost of equity (which will also be the cost of capital, with an unlevered firm) 2. Alternatively, Unlevered Firm Value = Current Market Value of Firm Tax Benefits of Debt (Current) + Expected Bankruptcy cost from Debt ? Step 2: Estimate the tax benefits at different levels of debt. The simplest assumption to make is that the savings are perpetual, in which case ? Tax benefits = Dollar Debt * Tax Rate ? Step 3: Estimate a probability of bankruptcy at each debt level, and multiply by the cost of bankruptcy (including both direct and indirect costs) to estimate the expected bankruptcy cost. Aswath Damodaran 62 Estimating Expected Bankruptcy Cost ? Probability of Bankruptcy ? Estimate the synthetic rating that the firm will have at each level of debt ? Estimate the probability that the firm will go bankrupt over time, at that level of debt (Use studies that have estimated the empirical probabilities of this occurring over time Altman does an update every year) ? Cost of Bankruptcy ? The direct bankruptcy cost is the easier ponent. It is generally between 510% of firm value, based upon empirical studies ? The indirect bankruptcy cost is much tougher. It should be higher for sectors where operating ine is affected significantly by default risk (like airlines) and lower for sectors where it is not (like groceries) Aswath Damodaran 63 Ratings and Default Probabilities: Results from Altman study of bonds Rating Likelihood of Default AAA % AA % A+ % A % A % BBB % BB % B+ % B % B % CCC % CC % C % D % Altman estimated these probabilities by looking at bonds in each ratings class ten years prior and then examining the proportion of these bonds that defaulted over the ten years. Aswath Damodaran 64 Disney: Estimating Unlevered Firm Value Current Market Value of the Firm = = $45,193 + $16,682 = $ 61,875 Tax Benefit on Current Debt = $16,682 * = $ 6,339 + Expected Bankruptcy Cost = % * ( * 61,875) = $ 102 Unlevered Value of Firm = = $ 55,638 Cost of Bankruptcy for Disney = 25% of firm value Probability of Bankruptcy = %, based on firm?s current rating o