第06章-资本成本(武汉大学公司金融学)课件

1、第06章-资本成本(武汉大学公司金融学),1,公司金融,武汉大学经济与管理学院,第06章-资本成本(武汉大学公司金融学),2,第六章 资本成本,一、资本成本概念剖析 二、权益成本(Cost of Equity) 三、债务成本(Cost of Debt) 四、加权平均资本成本 (WACC),第06章-资本成本(武汉大学公司金融学),3,资本成本是公司使用资本所付出的代价。 站在投资者的角度，资本成本是投资者投资于某一项目或企业的机会成本，可以用投资者要求的必要报酬率（Required rate of Return）来度量。 公司金融中的基本假设是，投资者向企业提供资金，他们期望有一定的投资回报，

2、这种回报就构成了公司的融资成本。资本成本是投资与融资相沟通的桥梁。,一、资本成本概念剖析,第06章-资本成本(武汉大学公司金融学),4,资本成本直接影响公司价值，公司价值就是用资本成本折现的一系列现金流。对资本成本的研究形成公司股东价值最大化前提下公司金融学的基础内容：如何投资（资本预算）？如何融资（资本结构决策）？为投资者提供多少回报（股利政策决策）？ 资本成本如何估算还是投资学的核心内容。在有效资本市场中，投资者期望的回报率，就是投资者的机会成本，即公司资本成本。 资本成本同时也是宏观金融学研究的基础。宏观金融运行的目的是促使有效金融市场的形成，使公司和投资者之间的资源配置有序化，宏观金融

3、的目标归根到底是为了促使一个国家的资本成本最小化。,资本成本是金融学理论的核心,第06章-资本成本(武汉大学公司金融学),5,A Digest on Different Terminology,We have used different terminology such as required rate of return, the appropriate discount rate, the cost of capital and the opportunity cost of capital. They all mean essentially the same thing.,第06章-

4、资本成本(武汉大学公司金融学),6,Firms can raise capital for their projects either by issuing debt or issuing equity. These different sources of capital (equity or debt) will have different opportunity costs associated.（企业可以通过发行债券或股票为投资项目筹集资金，不同的资金来源具有不同的成本） One of the most important measures of cost of capital is

5、 Weighted Average Cost of Capital (WACC) which takes into account all the above.（衡量企业资金成本的一个重要指标是加权平均资本成本-WACC）,Equity and Debt,第06章-资本成本(武汉大学公司金融学),7,二、权益成本（Cost of Equity）,Calculating the cost of equity is more difficult than calculating the cost of debt.（权益成本的计算比债务成本的计算要更为困难） There is no way of d

6、irectly observing the return that the firms equity investors (shareholders) require on their investment. Hence, it must be somehow estimated.（权益成本的估计有不同的方法）,第06章-资本成本(武汉大学公司金融学),8,权益成本的估计方法,Source: Graham and Harvey (2001), The theory and practice of corporate finance: evidence from the field, Journ

7、al of Financial Economics 60, 187-243.,第06章-资本成本(武汉大学公司金融学),9,Gordon Growth Model Approach,For a publicly traded company, we can observe the market price and the recent dividend payment. However, the growth rate of dividend payments needs to be estimated. There are three possible ways of estimating

8、the growth rate: Use historical growth rates to predict the future growth rate Use analysts forecasts of future growth rates Use earnings retention： g = Retention Ratio x ROE （ Use historical ROE numbers to calculate ROE ）,第06章-资本成本(武汉大学公司金融学),10,Gordon Growth Model Approach,Advantages Easy to under

9、stand and easy to use Simplicity Disadvantages Mostly applicable to dividend paying firms Assumes that the dividend growth rate is constant Very sensitive to estimated growth rate Does not consider risk explicitly (No allowance for the uncertainty about the estimated growth rate),第06章-资本成本(武汉大学公司金融学

10、),11,The CAPM Approach,上式中， RE 为股东持有股票所期望获得的收益即权益成本； Rf为无风险收益率； RM 为市场收益率，实践中一般取大盘指数的收益率； RM Rf为市场风险溢价； E（beta ）表示股票相对于市场特有的风险。,资本资产定价模型（Capital Asset Pricing Model - CAPM）,第06章-资本成本(武汉大学公司金融学),12,Example,Suppose the stock of Stansfield Enterprises, a publisher of PowerPoint presentations, has a bet

11、a of 2.5. The firm is 100-percent equity financed. Assume a risk-free rate of 5-percent and a market risk premium of 10-percent. What is the appropriate discount rate for an expansion of this firm?,第06章-资本成本(武汉大学公司金融学),13,Example (continued),Suppose Stansfield Enterprises is evaluating the following

12、 non-mutually exclusive projects. Each costs $100 and lasts one year.,第06章-资本成本(武汉大学公司金融学),14,CAPM 方法的优缺点,Advantages Explicitly adjusts for risk Does not assume steady dividend growth Disadvantages Sensitive to estimates of the market risk premium and beta Uses past to predict the future,第06章-资本成本(武

13、汉大学公司金融学),15,Estimation of Beta,Theoretically, the calculation of beta is straightforward:,回归方法（Regression techniques ）：Beta - Sensitivity of a stocks return to the return on the market portfolio.,第06章-资本成本(武汉大学公司金融学),16,影响高低的因素分析,Business Risk（经营风险） Cyclicity of Revenues（收入的周期性） Operating Leverage（

14、经营杠杆） Financial Risk（财务风险） Financial Leverage（财务杠杆）,第06章-资本成本(武汉大学公司金融学),17,收入的周期性,有些企业的收入具有明显的周期性，即这些企业在商业周期的扩张阶段经营得很好，而在商业周期的紧缩阶段经营得很差。 Empirical evidence suggests that retailers and automotive firms fluctuate with the business cycle.（经验证据表明零售企业和汽车企业随商业周期的波动大） Transportation firms and utilities ar

15、e less dependent upon the business cycle.（交通运输及公用事业类企业与商业周期相关性不大） 由于贝塔是股票收益率与市场收益率的标准协方差，所以周期性强的股票必然具有较高的贝塔系数。,第06章-资本成本(武汉大学公司金融学),18,Operating Leverage（经营杠杆）,企业收入的周期性对贝塔起决定性作用，而经营杠杆又将这种作用进一步放大。经营杠杆是公司EBIT对销售收入波动的反映程度。 The degree of operating leverage is given by:,例如，Piece Grain 固定成本为10万元，当销售收入由30万

16、元增加到36万元时(增加20%)，变动成本由18万元增加到21.6万元，则： EBIT由2万元增加到4.4万元(增加120%) 公司经营杠杆：DOL=120%/20%=6（倍）,第06章-资本成本(武汉大学公司金融学),19,经营杠杆与固定成本,当产品价格保持不变时，经营杠杆可以写成：,因此，只要TFC0，DOL就大于1；TFC越大，DOL就越大，表明企业经营风险越大。,第06章-资本成本(武汉大学公司金融学),20,销售收入变化对EBIT的影响,Volume,$,Fixed costs,Total costs, EBIT, Volume,Operating leverage increase

17、s as fixed costs rise and variable costs fall.,第06章-资本成本(武汉大学公司金融学),21,Financial Leverage （财务杠杆）,经营杠杆与企业固定成本有关，而财务杠杆与企业筹集资金所产生的利息费用有关。 财务杠杆是每股收益（EPS）相对于EBIT变动的反映程度，用公式表示为：,其中，Int.为利息支出。若公司没有负债，则Int. =0，财务杠杆就等于1；一般情况下，公司有负债， Int. 为正，所以财务杠杆大于1。,第06章-资本成本(武汉大学公司金融学),22,财务杠杆与贝塔,公司有负债的情况下财务杠杆大于1，表明EBIT10

18、0%的变化被放大为每股收益高于100%的变化，从而使股东面临了更大风险（财务风险）。 由于债务的使用增加了股东遭受的风险，因此股东需要有更高的回报，意味着权益成本增加。,第06章-资本成本(武汉大学公司金融学),23,资产贝塔与权益贝塔,有负债情况下，公司资产贝塔可以表示为债务贝塔与权益贝塔的加权平均，即：,一般情况下债务的贝塔很小，假定Debt 等于0，则权益贝塔可以写成：,因此，债务的使用使得权益贝塔大于资产贝塔。,第06章-资本成本(武汉大学公司金融学),24,Financial Leverage and Beta: Example,Consider Grand Sport, Inc.,

19、 which is currently all-equity and has a beta of 0.90. The firm has decided to lever up to a capital structure of 1 part debt to 1 part equity. Since the firm will remain in the same industry, its asset beta should remain 0.90. However, assuming a zero beta for its debt, its equity beta would become

20、 twice as large:,bEquity =,2 0.90 = 1.80,第06章-资本成本(武汉大学公司金融学),25,Using an Industry Beta（行业贝塔的运用）,根据企业自身历史数据估算贝塔系数是一种常用的方法，也可以运用整个行业的贝塔系数估算企业的贝塔系数（有人认为这种方法更好）。 运用行业贝塔的基本原则： 如果企业经营特点与所在行业其他企业的经营十分类似，可以考虑运用行业贝塔； 如果企业的经营特点与所在行业内其他企业的经营有根本性差异，则应该根据企业自身历史数据估算企业贝塔； 还要注意运用财务杠杆对行业贝塔进行调整。,第06章-资本成本(武汉大学公司金融学)

21、,26,Stability of Beta（贝塔的稳定性）,如果企业改变业务，贝塔系数一般随之改变。但如果企业不改变行业，贝塔系数会不会改变？ 大多数研究结果表明：一般情况下，当企业不改变业务时，其贝塔系数保持稳定。 但在一些特定情况下，即使企业不改变行业，其贝塔系数也会改变，如： 企业生产的产品系列发生了大的变化； 企业所采用的技术发生很大变迁； 政府的管制放松：如解除对航空业的管制会使航空公司贝塔系数变大； 财务杠杆的变化； 等等。,第06章-资本成本(武汉大学公司金融学),27,股票流动性与权益成本,The idea that the expected return on a stock

22、 and the firms cost of capital are positively related to risk is fundamental. Recently a number of academics have argued that the expected return on a stock and the firms cost of capital are negatively related to the liquidity of the firms shares as well.,第06章-资本成本(武汉大学公司金融学),28,Liquidity and the Co

23、st of Capital,Cost of Capital,Liquidity,An increase in liquidity, i.e. a reduction in trading costs, lowers a firms cost of capital.,第06章-资本成本(武汉大学公司金融学),29,What the Corporation Can Do,The corporation has an incentive to lower trading costs since this would result in a lower cost of capital. A stock

24、 split would increase the liquidity of the shares, but it would also reduce the adverse selection costs thereby lowering bid-ask spreads. Companies can also facilitate stock purchases through the Internet. Direct stock purchase plans and dividend reinvestment plans handles on-line allow small invest

25、ors the opportunity to buy securities cheaply. The companies can also disclose more information. Especially to security analysts, to narrow the gap between informed and uninformed traders. This should reduce spreads. This idea is a new one and empirical evidence is not yet in.,第06章-资本成本(武汉大学公司金融学),3

26、0,作业,选取一家上市公司，采取两种方法估计其贝塔系数。,第06章-资本成本(武汉大学公司金融学),31,三、债务成本,The cost of debt is the return that lenders require on a companys debt. One can use the YTM calculated using market prices for companys bonds as the cost of debt before taxes, RD.,第06章-资本成本(武汉大学公司金融学),32,税前成本与税后成本,However, we should incorpo

27、rate the tax into the cost of debt. Because of the tax shield of interest, the cost of debt after taxes: RD= RD（1Tc） 例如，投资者认购公司发行利率为10%的债券，公司所得税为33%，则债务税前成本为10%，税后成本为10% （1-33%）=6.7%。 投资者获得了10%的收益率，但公司资本成本只有6.7%。,第06章-资本成本(武汉大学公司金融学),33,债务成本与权益成本的讨论,会计方法上的处理 会计利润的核算扣除利息费用（EBITDA、EBIT、NOI、NI），但是没有考虑权

28、益成本； 经济增加值：EVA= EBIT（1-Tc）-WACC总资本 在金融学中的差异 债务成本高还是权益成本高？ 选择债务融资还是股权融资？ 增加债务融资对权益成本的影响,第06章-资本成本(武汉大学公司金融学),34,四、加权平均资本成本 (WACC),The cost of capital is the weighted average cost of capital using the current capital structure weights:,D is the market value of debt outstanding E is the market value of

29、 equity outstanding V is the total market value of the firm (=D + E) TC is the marginal corporate tax rate,第06章-资本成本(武汉大学公司金融学),35,Weighted Average Cost of Capital (WACC),WACC is the overall return that the firm must earn on its existing assets to maintain the value of its stock. So if we were evalu

30、ating the cash flows from a proposed investment by this firm, this is the discount rate we would use.,第06章-资本成本(武汉大学公司金融学),36,WACC - Example,Technology Spying Systems (TSS) is a company that monitors communications between suspected individuals for the government. It is currently considering develop

31、ing a new advanced system to monitor email exchanges more efficiently. The additional details about the firm are as follows: The common stock of the firm has a beta of 1.2. The marginal tax rates for the firm are 30%. The market risk premium and the risk free rate are 8% and 6%, respectively.,第06章-资

32、本成本(武汉大学公司金融学),37,WACC - Example,It currently has the following capital structure. 3,000 outstanding 8 percent semiannual-coupon bonds with par value of $1,000 and 20 years to maturity which sells for 103 percent of par. $2,000,000 in 9% APR bank loans with semiannual payments. 90,000 outstanding co

33、mmon shares of stock which sells for $45 per share. 13,000 shares of 7 percent preferred stock outstanding with a face value of $100 which currently sells for $108 per share. Should the firm accept the project if the IRR of the project is 10%?,第06章-资本成本(武汉大学公司金融学),38,Step 1a: Find The Costs of Debt,

34、The after tax YTM on the bond is the required rate of return on the debt of the firm from the issuance of this debenture. YTM = 7.703%(APR) Required Rate of Return = 7.85% (EAR) x (1-0.3) = 5.50% The after tax EAR on the bank loan is the required rate of return on the bank loan of the firm. EAR = 9.

35、200% Required Rate of Return = 9.200% x (1-0.3) = 6.442%,第06章-资本成本(武汉大学公司金融学),39,Step 1b: Find The Costs of Equity,The required rate of return on the common stock of the firm can be found using CAPM:,The required rate of return on the common stock of the firm is 15.600%. The required return on the p

36、referred stock of the firm can be found as follows:,第06章-资本成本(武汉大学公司金融学),40,Step 2a: Market Values of Debt,The market value of bonds can be found by multiplying the number of debentures outstanding by the price per bond. 3,000 x $1,030 = $3.090M The market value of the bank loan is given in the question. $2.000M,第06章-资本成本(武汉大学公司金融学),41,Step 2b: Market Values of Equity,The market value of common stocks can be found by multiplying the nu