金融經(jīng)濟(jì)學(xué)capitalstructure課件-閱讀頁
2024-09-19 06:16本頁面
【正文】 Increases in leverage increase value and vice versa (in swaps) ? Equity issues lead to negative price reactions (information asymmetry) ? Capital structure varies across firms amp。 CAPM According to the CAPM, E[Ri] = r f + biE[Rm – rf] According to Mamp。 CAPM If we assume r D = r f, LCfmUfELDffmUffmUffmELfEDTRRErEDTrRRErRRErRREr))1(1)(()1)()(()()(?????????????????bbbbAnd therefore: ???????? ???LCUEL EDT )1(1bbCorporate Finance MM amp。 CAPM in 575576 ? Bankruptcy costs in pp 588ff (formal treatment!) ? Risk shifting in pp 594 ? Risk shifting amp。s NPV 5 Corporate Finance Riskfree project: DCF ? % (%) is the yield on the 6month (12month) T Bill: 197100% ??DCF Discount rates % % PV cash flows 200 97 108 NPV 5 Corporate Finance Risky Projects ? The underlying principles are the same ? Replicating portfolio ? Discount rates (now riskadjusted) Corporate Finance CAPM ? Rewriting the CAPM formula we get: ? E(ri) = rf +bi(E(rm) rf) = rf (1 – bi) + bi E(rm) ? ie the expected return on the project equals the expected return on a portfolio consisting of: ? A fraction b of the investment in the market portfolio ? 1 – b in the riskfree asset which is the tracking portfolio for the investment. Corporate Finance Discount Rate for a Project ? In theory, a project?s discount rate: ? reflects the expected return investors require to hold financial assets (those in the ?replicating portfolio?) ? whose cash flows are thus in the same ?risk class? as the project?s ? Applying this principle: ? Estimate a beta for the project ? Use CAPM to estimate the cost of capital Corporate Finance DR for a project (c) ? Normally there is no ?history? to estimate beta (the project is yet to be undertaken) ? Way out: use the beta of a firm in the same line of business as the project Corporate Finance Betas and leverage ? Beta is a measure of risk, that reflects two types of it: ? Operational (asset) risk ? Financial risk ? We don?t want the second one (which is firmspecific) ? We need an “asset beta” of the beta of the firm?s assets ? We need the formulas mentioned earlier to go from one to the other Corporate Finance Example ? Marriot identified 3 parable firms for its restaurant division: ? Estimate the unlevered cost of capital for the restaurant division, assuming: rf = 4%, MP = 5%, Tc = 34%, parable?s debt is riskfree, and debt is a constant known amount Firm Eq. Beta D E Church39。s Wendy39。 linear depreciation ? Taxes = 34%, discount rate 10% Corporate Finance Cash Flows Ye a r 0 1 2 3 4Sa le s 50 50 50 50Sa ving s 100 100 100 100O. C o s ts 10 10 10 10C APEX 1000Ol d Pla n t 50D e p re c ia tio n 80 80 80 80EBIT 60 60 60 60Ta xes 20 20 20 20N e t Ca s h Flo w 950 120 120 120 1205 6 7 8 9 1050 50 50 50 50 50100 100 100 100 100 10010 10 10 10 10 1020080 80 80 80 80 8060 60 60 60 60 6020 20 20 20 20 20120 120 120 120 120 320NPV(10%)= Corporate Finance APV approach ? A project can have three sources of value to the shareholders: ? NPV of the free cash flow from the real assets ? NPV of subsidies etc ? NPV of financing effects Corporate Finance APV (b) ? APV deposes the value in two parts: 1. NPV assuming all equity financing 2. PV of benefits and costs of debt ? Discount rates: 1. DR for unlevered assets 2. DR for the firm?s debt, .: rD = rf + bD MP ? Then: APV = NPV + B(D) C(D) where D is the ?optimal? debt level Corporate Finance Example ? Investment = 100 ? FCF = 20 / year (for 10 years) ? beta (OA) = 1 ? rf = 5% ? the firm can borrow 80m on the asset ? rD = 8% ? No costs of financial distress ? Tax = 30% Corporate Finance Answer ? NPV (13%) = ? Yearly interest = .08 x 80 = ? Yearly tax shield = .30 x = ? If the spread over the riskfree rate reflects the default risk, there is some probability the firm will default (and not enjoy the tax shield). Say that prob is 25% ? Then: expected yearly tax shield = .75 x = Corporate Finance Answer ? Discount rate = cost of debt = 8% ? PVTS = ? APV = NPV + B(D) = + = Corporate Finance Assessing APV ? Main problem: ? How to estimate the ?optimal? capital structure ? More in general, how to estimate D, C(D) and B(D) ? However, a capital structure must be chosen anyway ? Using APV forces you to think about CS beforehand Corporate Finance WACC approach ? The wacc approach incorporates the tax shield into the discount rate ? It is the most popular method because it is simpler, not necessarily better! ? Downside: it is less flexible than APV ? Caution: ? use the firm?s beta only if the project is in the same risk c
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