风险-资本-成本和资本预算讲义

风险,资本,成本和资本预算讲义2023/12/27风险,资本,成本和资本预算讲义KeyConceptsandSkillsKnowhowtodetermineafirm’scostofequitycapitalUnderstandtheimpactofbetaindeterminingthefirm’scostofequitycapitalKnowhowtodeterminethefirm’soverallcostofcapitalUnderstandhowtheliquidityofafirm’sstockaffectsitscostofcapital风险,资本,成本和资本预算讲义ChapterOutline12.1TheCostofEquityCapital12.2EstimationofBeta12.3DeterminantsofBeta12.4ExtensionsoftheBasicModel12.5EstimatingEastmanChemical’sCostofCapital12.6ReducingtheCostofCapital风险,资本,成本和资本预算讲义WhereDoWeStand?Earlierchaptersoncapitalbudgetingfocusedontheappropriatesizeandtimingofcashflows.Thischapterdiscussestheappropriatediscountratewhencashflowsarerisky.风险,资本,成本和资本预算讲义Investinproject12.1TheCostofEquityCapitalFirmwith

excesscashShareholder’sTerminalValuePaycashdividendShareholderinvestsinfinancialassetBecausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturnonacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.Afirmwithexcesscashcaneitherpayadividendormakeacapitalinvestment风险,资本,成本和资本预算讲义TheCostofEquityCapitalFromthefirm’sperspective,theexpectedreturnistheCostofEquityCapital:Toestimateafirm’scostofequitycapital,weneedtoknowthreethings:Therisk-freerate,RFThemarketriskpremium,Thecompanybeta,风险,资本,成本和资本预算讲义ExampleSupposethestockofStansfieldEnterprises,apublisherofPowerPointpresentations,hasabetaof2.5.Thefirmis100%equityfinanced.Assumearisk-freerateof5%andamarketriskpremiumof10%.Whatistheappropriatediscountrateforanexpansionofthisfirm?风险,资本,成本和资本预算讲义Example

SupposeStansfieldEnterprisesisevaluatingthefollowingindependentprojects.Eachcosts$100andlastsoneyear.ProjectProjectbProject’sEstimatedCashFlowsNextYearIRRNPVat30%A2.5$15050%$15.38B2.5$13030%$0C2.5$11010%-$15.38风险,资本,成本和资本预算讲义UsingtheSML

Anall-equityfirmshouldacceptprojectswhoseIRRsexceedthecostofequitycapitalandrejectprojectswhoseIRRsfallshortofthecostofcapital.ProjectIRRFirm’srisk(beta)5%GoodprojectBadproject30%2.5ABC风险,资本,成本和资本预算讲义

12.2EstimationofBetaMarketPortfolio-Portfolioofallassetsintheeconomy.Inpractice,abroadstockmarketindex,suchastheS&PComposite,isusedtorepresentthemarket.Beta-Sensitivityofastock’sreturntothereturnonthemarketportfolio.风险,资本,成本和资本预算讲义EstimationofBetaProblemsBetasmayvaryovertime.Thesamplesizemaybeinadequate.Betasareinfluencedbychangingfinancialleverageandbusinessrisk.SolutionsProblems1and2canbemoderatedbymoresophisticatedstatisticaltechniques.Problem3canbelessenedbyadjustingforchangesinbusinessandfinancialrisk.Lookataveragebetaestimatesofcomparablefirmsintheindustry.风险,资本,成本和资本预算讲义StabilityofBetaMostanalystsarguethatbetasaregenerallystableforfirmsremaininginthesameindustry.Thatisnottosaythatafirm’sbetacannotchange.ChangesinproductlineChangesintechnologyDeregulationChangesinfinancialleverage风险,资本,成本和资本预算讲义UsinganIndustryBetaItisfrequentlyarguedthatonecanbetterestimateafirm’sbetabyinvolvingthewholeindustry.Ifyoubelievethattheoperationsofthefirmaresimilartotheoperationsoftherestoftheindustry,youshouldusetheindustrybeta.Ifyoubelievethattheoperationsofthefirmarefundamentallydifferentfromtheoperationsoftherestoftheindustry,youshouldusethefirm’sbeta.Donotforgetaboutadjustmentsforfinancialleverage.风险,资本,成本和资本预算讲义12.3DeterminantsofBetaBusinessRiskCyclicalityofRevenuesOperatingLeverageFinancialRiskFinancialLeverage风险,资本,成本和资本预算讲义CyclicalityofRevenuesHighlycyclicalstockshavehigherbetas.Empiricalevidencesuggeststhatretailersandautomotivefirmsfluctuatewiththebusinesscycle.Transportationfirmsandutilitiesarelessdependentuponthebusinesscycle.Notethatcyclicalityisnotthesameasvariability—stockswithhighstandarddeviationsneednothavehighbetas.Moviestudioshaverevenuesthatarevariable,dependinguponwhethertheyproduce“hits”or“flops,”buttheirrevenuesmaynotbeespeciallydependentuponthebusinesscycle.风险,资本,成本和资本预算讲义OperatingLeverageThedegreeofoperatingleveragemeasureshowsensitiveafirm(orproject)istoitsfixedcosts.Operatingleverageincreasesasfixedcostsriseandvariablecostsfall.Operatingleveragemagnifiestheeffectofcyclicalityonbeta.Thedegreeofoperatingleverageisgivenby:DOL=EBITDSalesSalesDEBIT×风险,资本,成本和资本预算讲义OperatingLeverageSales$FixedcostsTotalcosts

EBIT

SalesOperatingleverageincreasesasfixedcostsriseandvariablecostsfall.FixedcostsTotalcosts风险,资本,成本和资本预算讲义FinancialLeverageandBetaOperatingleveragereferstothesensitivitytothefirm’sfixedcostsofproduction.Financialleverageisthesensitivitytoafirm’sfixedcostsoffinancing.Therelationshipbetweenthebetasofthefirm’sdebt,equity,andassetsisgivenby:Financialleveragealwaysincreasestheequitybetarelativetotheassetbeta.bAsset=Debt+EquityDebt×bDebt+Debt+EquityEquity×bEquity风险,资本,成本和资本预算讲义ExampleConsiderGrandSport,Inc.,whichiscurrentlyall-equityfinancedandhasabetaof0.90.Thefirmhasdecidedtoleveruptoacapitalstructureof1partdebtto1partequity.Sincethefirmwillremaininthesameindustry,itsassetbetashouldremain0.90.However,assumingazerobetaforitsdebt,itsequitybetawouldbecometwiceaslarge:bAsset=0.90=1+11×bEquitybEquity=2×0.90=1.80风险,资本,成本和资本预算讲义12.4ExtensionsoftheBasicModelTheFirmversustheProjectTheCostofCapitalwithDebt风险,资本,成本和资本预算讲义TheFirmversustheProjectAnyproject’scostofcapitaldependsontheusetowhichthecapitalisbeingput—notthesource.Therefore,itdependsontheriskoftheprojectandnottheriskofthe

company.风险,资本,成本和资本预算讲义CapitalBudgeting&ProjectRiskAfirmthatusesonediscountrateforallprojectsmayovertimeincreasetheriskofthefirmwhiledecreasingitsvalue.ProjectIRRFirm’srisk(beta)rfbFIRMIncorrectlyrejectedpositiveNPVprojectsIncorrectlyacceptednegativeNPVprojectsHurdlerateTheSMLcantelluswhy:风险,资本,成本和资本预算讲义SupposetheConglomerateCompanyhasacostofcapital,basedontheCAPM,of17%.Therisk-freerateis4%,themarketriskpremiumis10%,andthefirm’sbetais1.3.17%=4%+1.3×10%Thisisabreakdownofthecompany’sinvestmentprojects:1/3AutomotiveRetailerb=2.01/3ComputerHardDriveManufacturerb=1.31/3ElectricUtilityb=0.6averagebofassets=1.3Whenevaluatinganewelectricalgenerationinvestment,whichcostofcapitalshouldbeused?CapitalBudgeting&ProjectRisk风险,资本,成本和资本预算讲义CapitalBudgeting&ProjectRiskProjectIRRProject’srisk(b)17%1.32.00.6r=4%+0.6×(14%–4%)=10%10%reflectstheopportunitycostofcapitalonaninvestmentinelectricalgeneration,giventheuniqueriskoftheproject.10%24%Investmentsinharddrivesorautoretailingshouldhavehigherdiscountrates.SML风险,资本,成本和资本预算讲义TheCostofCapitalwithDebtTheWeightedAverageCostofCapitalisgivenby:Becauseinterestexpenseistax-deductible,wemultiplythelasttermby(1–TC).rWACC=Equity+DebtEquity×rEquity+Equity+Debt

Debt×rDebt×(1–TC)rWACC=S+BS×rS+S+BB×rB×(1–TC)风险,资本,成本和资本预算讲义Example:InternationalPaperFirst,weestimatethecostofequityandthecostofdebt.Weestimateanequitybetatoestimatethecostofequity.WecanoftenestimatethecostofdebtbyobservingtheYTMofthefirm’sdebt.Second,wedeterminetheWACCbyweightingthesetwocostsappropriately.风险,资本,成本和资本预算讲义Example:InternationalPaperTheindustryaveragebetais0.82,theriskfreerateis3%,andthemarketriskpremiumis8.4%.Thus,thecostofequitycapitalis:rS=RF+bi×(RM–RF)=3%+.82×8.4%=9.89%风险,资本,成本和资本预算讲义Example:InternationalPaperTheyieldonthecompany’sdebtis8%,andthefirmhasa37%marginaltaxrate.Thedebttovalueratiois32%8.34%isInternational’scostofcapital.Itshouldbeusedtodiscountanyprojectwhereonebelievesthattheproject’sriskisequaltotheriskofthefirmasawholeandtheprojecthasthesameleverageasthefirmasawhole.=0.68×9.89%+0.32×8%×(1–0.37)=8.34%rWACC=S+BS×rS+S+BB×rB×(1–TC)风险,资本,成本和资本预算讲义12.6ReducingtheCostofCapitalWhatisLiquidity?Liquidity,ExpectedReturnsandtheCostofCapitalLiquidityandAdverseSelectionWhattheCorporationCanDo风险,资本,成本和资本预算讲义WhatisLiquidity?Theideathattheexpectedreturnonastockandthefirm’scostofcapitalarepositivelyrelatedtoriskisfundamental.Recently,anumberofacademicshavearguedthattheexpectedreturnonastockandthefirm’scostofcapitalarenegativelyrelatedtotheliquidityofthefirm’ssharesaswell.Thetradingcostsofholdingafirm’ssharesincludebrokeragefees,thebid-askspreadandmarketimpactcosts.风险,资本,成本和资本预算讲义Liquidity,ExpectedReturnsandtheCostofCapitalThecostoftradinganilliquidstockreducesthetotalreturnthataninvestorreceives.Investorswillthusdemandahighexpectedreturnwheninvestinginstockswithhightradingcosts.Thishighexpectedreturnimpliesahighcostofcapitaltothefirm.风险,资本,成本和资本预算讲义LiquidityandtheCostofCapitalCostofCapitalLiquidityAnincreaseinliquidity(i.e.,areductionintradingcosts)lowersafirm’scostofcapital.风险,资本,成本和资本预算讲义LiquidityandAdverseSelectionThereareanumberoffactorsthatdeterminetheliquidityofastock.Oneofthesefactorsisadverseselection.Thisreferstothenotionthattraderswithbetterinformationcantakeadvantageofspecialistsandothertraderswhohavelessinformation.Thegreatertheheterogeneityofinformation,thewiderthebid-askspreads,andthehighertherequiredreturnonequity.风险,资本,成本和资本预算讲义WhattheCorporationCanDoThecorporationhasanincentivetolowertradingcostssincethiswouldresultinalowercostofcapital.Astocksplitwouldincreasetheliquidityoftheshares.Astocksplitwouldalsoreducetheadverseselectioncosts,therebyloweringbid-askspreads.Thisideaisanewone,andempiricalevidenceisnotyetavailable.风险,资本,成本和资本预算讲义WhattheCorporationCanDoCompaniescanalsofacilitatestockpurchasesthroughtheInternet.Directstockpurchaseplansanddividendreinvestmentplanshandledon-lineallowsmallinvestorstheopportunitytobuysecuritiescheaply.Companiescanalsodisclosemoreinformation,especiallytosecurityanalyststonarrowthegapbetweeninformedanduninformedtraders.Thisshouldreducespreads.风险,资本,成本和资本预算讲义QuickQuizHowdowedeterminethecostofequitycapital?Howcanweestimateafirmorprojectbeta?Howdoesleverageaffectbeta?Howdowedeterminethecostofcapitalwithdebt?Howdoestheliquidityofafirm’sstockaffectthecostofcapital?风险,资本,成本和资本预算讲义1.Withtheinformationgiven,wecanfindthecostofequityusingtheCAPM.Thecostofequityis:RE=.045+1.30(.13–.045)=.1555or15.55%风险,资本,成本和资本预算讲义3.a.ThepretaxcostofdebtistheYTMofthecompany’sbonds,so:P0=$1,080=$50(PVIFAR%,46)+$1,000(PVIFR%,46)R=4.58%YTM=2×4.58%=9.16%b.Theaftertaxcostofdebtis:RD=.0916(1–.35)=.0595or5.95%c.Theaftertaxrateismorerelevantbecausethatistheactualcosttothecompany.风险,资本,成本和资本预算讲义5.UsingtheequationtocalculatetheWACC,wefind:WACC=.55(.16)+.45(.09)(1–.35)=.1143or11.43%风险,资本,成本和资本预算讲义8.a.Thebookvalueofequityisthebookvaluepersharetimesthenumberofshares,andthebookvalueofdebtisthefacevalueofthecompany’sdebt,so:BVE=9.5M($5)=$47.5MBVD=$75M+60M=$135MSo,thetotalvalueofthecompanyis:V=$47.5M+135M=$182.5MAndthebookvalueweightsofequityanddebtare:E/V=$47.5/$182.5=.2603D/V=1–E/V=.7397风险,资本,成本和资本预算讲义b.Themarketvalueofequityisthesharepricetimesthenumberofshares,so:MVE=9.5M($53)=$503.5MUsingtherelationshipthatthetotalmarketvalueofdebtisthepricequotetimestheparvalueofthebond,wefindthemarketvalueofdebtis:MVD=.93($75M)+.965($60M)=$127.65MThismakesthetotalmarketvalueofthecompany:V=$503.5M+127.65M=$631.15MAndthemarketvalueweightsofequityanddebtare:E/V=$503.5/$631.15=.7978D/V=1–E/V=.2022c.Themarketvalueweightsaremorerelevant.风险,资本,成本和资本预算讲义11.Wewillbeginbyfindingthemarketvalueofeachtypeoffinancing.Wefind:MVD=4,000($1,000)(1.03)=$4,120,000MVE=90,000($57)=$5,130,000Andthetotalmarketvalueofthefirmis:V=$4,120,000+5,130,000=$9,250,000风险,资本,成本和资本预算讲义Now,wecanfindthecostofequityusingtheCAPM.Thecostofequityis:RE=.06+1.10(.08)=.1480or14.80%ThecostofdebtistheYTMofthebonds,so:P0=$1,030=$35(PVIFAR%,40)+$1,000(PVIFR%,40)R=3.36%YTM=3.36%×2=6.72%Andtheaftertaxcostofdebtis:RD=(1–.35)(.0672)=.0437or4.37%NowwehaveallofthecomponentstocalculatetheWACC.TheWACCis:WACC=.0437(4.12/9.25)+.1480(5.13/9.25)=.1015or10.15%风险,资本,成本和资本预算讲义13.a.ProjectsX,YandZ.b.UsingtheCAPMtoconsidertheprojects,weneedtocalculatetheexpectedreturnofeachprojectgivenitslevelofrisk.Thisexpectedreturnshouldthenbecomparedtotheexpectedreturnoftheproject.IfthereturncalculatedusingtheCAPMishigherthantheprojectexpectedreturn,weshouldaccepttheproject;ifnot,werejecttheproject.AfterconsideringriskviatheCAPM:E[W]