MBA公司理财Chapter资本结构课件

1、第四篇 资本结构和股利政策第13章 资本成本第14章 杠杆利益与风险第15章 资本结构：基本概念第16章 资本结构：债务运用的限制第17章 杠杆企业的价值估价和资本预算第18章 股利政策第1页，共53页。第15章 资本结构：基本概念第2页，共53页。第15章 资本结构：基本概念第15章、16章研究公司的资本结构决策。从债务利息抵税的角度看，有负债公司的价值可能高于无负债公司的价值；从债务将产生破产成本的角度看，有负债公司的价值可能低于无负债公司的价值。利息抵税和破产成本的共同作用可能产生最佳资本结构。第3页，共53页。第15章 资本结构：基本概念Chapter Outline 15.1 The

2、 Capital-Structure Question and The Pie Theory15.2 Maximizing Firm Value versus Maximizing Stockholder Interests15.3 Financial Leverage and Firm Value: An Example15.4 Modigliani and Miller: Proposition II (No Taxes)15.5 Taxes15.6 Summary and Conclusions第4页，共53页。第15章 资本结构：基本概念债权与股权的比较（P299，达）： 债务 权益固

3、定索取权 剩余索取权可减免税收 无税收减免在财务困难时有较高优先权 财务困难时优先权最低固定期限 无限制无管理控制权 有管理控制权 债务 混合证券 股权 执行债务 可转换债券 所有者股权 商业票据 优先股 风险资本 公司债券 与期权相联系的债券 普通股 认股权证 第5页，共53页。第15章 资本结构：基本概念资本结构（capital structure）是长期筹资方式的组合。（P281，Z1） 资本结构理论要解决的问题是：能否通过改变企业的资本结构来提高企业的总价值同时降低企业的总资本成本。这个问题一直存在很多争论。第6页，共53页。第15章 资本结构：基本概念15.1 资本结构问题与圆饼理论

4、(The Capital-Structure Question and The Pie Theory)圆饼模型-资产规模相同而负债权益比不同则公司价值就不同(P281)第7页，共53页。The Capital-Structure Question and The Pie TheoryThe value of a firm is defined to be the sum of the value of the firms debt and the firms equity.V = B + SValue of the FirmSB If the goal of the management of

5、 the firm is to make the firm as valuable as possible, the the firm should pick the debt-equity ratio that makes the pie as big as possible. 第8页，共53页。The Capital-Structure QuestionThere are really two important questions（P281，D1）:Why should the stockholders care about maximizing firm value? Perhaps

6、they should be interested in strategies that maximize shareholder value.What is the ratio of debt-to-equity that maximizes the shareholders value?As it turns out, changes in capital structure benefit the stockholders if and only if the value of the firm increases.第9页，共53页。第15章 资本结构：基本概念15.2 企业价值最大化和

7、股东利益最大化(Maximizing Firm Value versus Maximizing Stockholder Interests)(P282)例151(P282)-这个例子回答了前面提出第一个问题（Why should the stockholders care about maximizing firm value rather shareholder value?）该例说明股东所关心的是企业价值最大而不是所有者权益最大,因为只有在企业价值最大时,股东的净收益才会达到最大，股东财富才会达到最大。管理者应选择使企业价值最大的资本结构,因为其对股东是最有利的.第10页，共53页。第15

8、章 资本结构：基本概念15.3 财务杠杆和企业价值(Financial Leverage and Firm Value: An Example)杠杆作用和股东报酬债务和权益之间的选择第11页，共53页。第15章 资本结构：基本概念15.3.1 杠杆作用和股东报酬财务杠杆的作用会使每股收益随着息前收益增加以更大的幅度增加.(P283）例子（P283-284）第12页，共53页。Financial Leverage, EPS, and ROE CurrentAssets$20,000Debt$0Equity$20,000Debt/Equity ratio0.00Interest raten/aSh

9、ares outstanding400Share price$50Proposed$20,000$8,000$12,0002/38%240$50Consider an all-equity firm that is considering going into debt. (Maybe some of the original shareholders want to cash out.)第13页，共53页。EPS and ROE Under Current Capital StructureRecessionExpectedExpansionEBIT$1,000$2,000$3,000Int

10、erest000Net income$1,000$2,000$3,000EPS$2.50$5.00$7.50ROA5%10%15%ROE5%10%15%Current Shares Outstanding = 400 shares第14页，共53页。EPS and ROE Under Proposed Capital StructureRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest640640640Net income$360$1,360$2,360EPS$1.50$5.67$9.83ROA5%10%15%ROE 3%11%20

11、%Proposed Shares Outstanding = 240 shares第15页，共53页。EPS and ROE Under Both Capital StructuresLeveredRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest640640640Net income$360$1,360$2,360EPS$1.50$5.67$9.83ROA5%10%15%ROE3%11%20%Proposed Shares Outstanding = 240 sharesAll-EquityRecessionExpectedExp

12、ansionEBIT$1,000$2,000$3,000Interest000Net income$1,000$2,000$3,000EPS$2.50$5.00$7.50ROA5%10%15%ROE5%10%15%Current Shares Outstanding = 400 shares第16页，共53页。Financial Leverage and EPS(2.00)0.002.004.006.008.0010.0012.001,0002,0003,000EPSDebtNo DebtBreak-even point EBI in dollars, no taxesAdvantage to

13、 debtDisadvantage to debtEBITFind EBIT where EPS is the same under both the current and proposed capital structures第17页，共53页。The EPS-EBIT graph illustrates the relationship between EBIT and EPS under the two capital structures. The line for the proposed structure has a steeper slope, implying that h

14、igher financial leverage increases the sensitivity (risk) of EPS to EBIT. EPS and ROE are higher when EBIT is high and lower when EBIT is low. At the break-even EBIT point, EPS and ROE are the same under both capital structures. 第18页，共53页。Since EPS = (EBIT I)/Shares when there is no tax,so (EBIT)/40

15、0 = (EBIT 640)/240 = Break-even EBIT = $1,600If EBIT is below the break-even point, then the current proposal (lower financial leverage) will result in a higher EPS and vice versa.But we have not answered a very important question: Which capital structure is better for stockholders?The answer to thi

16、s question is the focus of Modigliani and Miller articles.第19页，共53页。第15章 资本结构：基本概念15.3.2 债务和权益之间的选择（P285）例:策略A-投资于杠杆企业（P285）策略B-自制财务杠杆投资于无杠杆企业（P285）策略A与策略B的比较（P286）：公司的资本结构调整即无助于也无损于公司的股东，投资者无法从公司的财务杠杆中获利，也不可能从自制的财务杠杆中获利。第20页，共53页。第15章 资本结构：基本概念Homemade Leverage: An ExampleHomemade (Un)Leverage: An

17、Example第21页，共53页。第15章 资本结构：基本概念Homemade Leverage: An ExampleInvestor A has $1,200. If the firm does not adopt the proposed capital structure, he can buy 24 shares using his own money and borrow $800 to buy another 16 shares, totaling 40 shares.第22页，共53页。Homemade Leverage: An ExampleRecessionExpected

18、ExpansionEPS of Unlevered Firm$2.50$5.00$7.50Earnings for 40 shares$100$200$300Less interest on $800 (8%)$64$64$64Net Profits$36$136$236ROE (Net Profits / $1,200)3%11%20%We are buying 40 shares of a $50 stock on margin. We get the same ROE as if we bought into a levered firm.Our personal debt equity

19、 ratio is:第23页，共53页。第15章 资本结构：基本概念Homemade (Un)Leverage: An Example Investor B has $2,000. The firm adopts the proposed capital structure but investor B does not want any leverage. She can use $1,200 to buy 24 shares and invests the remaining $800 at 8%.第24页，共53页。Homemade (Un)Leverage: An ExampleRec

20、essionExpectedExpansionEPS of Levered Firm$1.50$5.67$9.83Earnings for 24 shares$36$136$236Plus interest on $800 (8%)$64$64$64Net Profits$100$200$300ROE (Net Profits / $2,000)5%10%15%Buying 24 shares of a $50 stock of an other-wise identical levered firm along with the some of the firms debt gets us

21、to the ROE of the unlevered firm.This is the fundamental insight of M&M第25页，共53页。第15章 资本结构：基本概念无税收的MM理论1958年Madigliani 和 Miller提出了无税收时的MM理论（MM），又称为资本结构无关论，即在无政府税收时，增加公司债务并不能提高公司价值，因为负债带来的好处完全为其同时带来的风险所抵消。MM理论是在若干假设条件下成立。第26页，共53页。Assumptions of the Modigliani-Miller ModelHomogeneous ExpectationsHomo

22、geneous Business Risk ClassesPerpetual Cash FlowsPerfect Capital Markets:Perfect competitionFirms and investors can borrow/lend at the same rate（个人和公司的借贷利率相同）Equal access to all relevant informationNo transaction costs（市场没有交易成本）No taxes（没有税收）第27页，共53页。第15章 资本结构：基本概念无税收的MM理论的两个命题:命题:企业总价值命题(Propositi

23、on I )命题:风险补偿命题(Proposition II)附加命题:企业综合资本成本命题 第28页，共53页。第15章 资本结构：基本概念命题-企业总价值命题-无税收时,杠杆企业价值等于无杠杆企业价值（P286） 即若杠杆企业定价过高，理性投资者借款以买入非杠杆企业的股票，这称为自制财务杠杆。若个人借款的利率与公司的相同，他们就能独立地复制公司财务杠杆的影响。该理论是现代公司理财的起点.(P286,D6)第29页，共53页。The MM Proposition I (No Taxes)The derivation is straightforward:The present value o

24、f this stream of cash flows is VL The present value of this stream of cash flows is VU 第30页，共53页。第15章 资本结构：基本概念15.4 MM理论-命题（无税）股东的风险随着财务杠杆的使用而增加股东的期望收益率随着财务杠杆上升第31页，共53页。第15章 资本结构：基本概念15.4.1 股东的风险随着财务杠杆的使用而增加股东的每股收益或股东收益率都随着财务杠杆的使用而增加.(P287)祥见下图.第32页，共53页。Financial Leverage and EPS(2.00)0.002.004.00

25、6.008.0010.0012.001,0002,0003,000EPSDebtNo DebtBreak-even point EBI in dollars, no taxesAdvantage to debtDisadvantage to debtEBITFind EBIT where EPS is the same under both the current and proposed capital structures第33页，共53页。第15章 资本结构：基本概念15.4.2 股东的期望收益率随着财务杠杆上升(P287,D2)命题：风险补偿命题-无税收时,杠杆企业的权益资本成本RS高

26、于无杠杆企业的权益资本成本R0 ,即 其中隐含着平均资本成本rWACC固定不变(P287).图15-3(P288)第34页，共53页。The MM Proposition II (No Taxes)风险补偿命题的推导第35页，共53页。The Cost of Equity, the Cost of Debt, and the Weighted Average Cost of Capital: MM Proposition II with No Corporate TaxesDebt-to-equity RatioCost of capital: r (%)r0rBrB第36页，共53页。第15

27、章 资本结构：基本概念15.4.3 关于MM理论说明(P292)：MM认为用债务代替权益，企业的总资产成本不会降低，即使债务比权益便宜。原因是当债务增加时，剩余权益风险的风险增加。随着剩余权益风险的风险增加，权益资本的成本也随之增加。剩余权益资本成本的增加抵消了更高比例的低成本债务筹资。事实上，MM理论证明了这两种作用恰好相互抵消。因此，企业价值和企业总资本成本（rWACC）与财务杠杆无关。第37页，共53页。第15章 资本结构：基本概念无税时MM理论的总结：MM Proposition IFirm value is not affected by leverage.The cash flow

28、s of the firm do not change, therefore value doesnt change.VL = VUMM Proposition IILeverage increases the risk and return to stockholdersrs = r0 + (B / SL) (r0 - rB)rB is the interest rate (cost of debt)rs is the return on (levered) equity (cost of equity)r0 is the return on unlevered equity (cost o

29、f capital)B is the value of debtSL is the value of levered equity 第38页，共53页。第15章 资本结构：基本概念15.5 有所得税下的MM理论1963年二位M在考虑公司所得税情况下对MM理论进行了修订，即由于债务利息可以抵税（税收屏蔽，tax shield），使得流入投资者手中的现金流量增加，所以企业价值随着负债的增加而增加，企业可以无限制的负债，负债100%时企业价值达到最大。第39页，共53页。The MM Propositions I & II (with Corporate Taxes)命题:企业价值命题(Propos

30、ition I )命题:股东报酬率命题(Proposition II)附加命题:企业综合资本成本命题第40页，共53页。第15章 资本结构：基本概念15.5.1 基本观点(P292,D1)无公司所得税时,企业价值与债务无关存在公司所得税时，企业价值与债务正相关。用圆饼理论来解释。第41页，共53页。Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes （图15-4，P294）。The levered firm pays less in taxes than does the all-equity f

31、irm.Thus, the sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm.SGSGB All-equity firm Levered firm第42页，共53页。第15章 资本结构：基本概念15.5.2 税法中玄机例15-3(P295)第43页，共53页。The MM Proposition I (Corp. Taxes)The present value of this stream of cash flows is VL The pre

32、sent value of the first term is VU The present value of the second term is TCB 第44页，共53页。第15章 资本结构：基本概念15.5.3 利息减税的现值(P295)Interest : rBB The reduction in corporate taxes(interest tax shield): rBB TC The present value of the rBB TC is rBB TC /rB=TC Bassuming that the cash flows are perpetual and has

33、 the same risk as the interest on the debt (the discount rate is rB.). 第45页，共53页。第15章 资本结构：基本概念15.5.4 杠杆企业的价值(P296)命题：企业总价值命题 杠杆企业价值大于无杠杆企业价值,即 例15-4(P296)第46页，共53页。第15章 资本结构：基本概念第47页，共53页。第15章 资本结构：基本概念15.5.5 有税收情况下的股东权益期望收益率(P297)命题：风险补偿命题有税收时,杠杆企业权益资本随着负债率的上升而增加,但其速度低于无税收的情况,即 图15-6(297)第48页，共53页。The MM Proposition II (Corp. Taxes)Start with M&M Proposition I with taxes:Since The cash flows from each side of the balance sheet must equal:Divide both sides by SWhich