公司理财16资本结构：债务运用的限制.ppt

1、1,Corporate Finance,第16章 资本结构：债务运用的限制,16.1 财务困境成本 16.2 成本的种类 16.3 能够降低债务成本吗？ 16.4 税收和财务困境成本的综合影响 16.5 怠工、在职消费与有害投资 16.6 优序融资理论 16.7 增长和负债比 16.8 个人税 16.9 公司如何确定资本结构 16.10 小结,2,Corporate Finance,16.1 财务困境成本Costs of Financial Distress,破产风险或破产成本 Bankruptcy risk versus bankruptcy cost. 例：某公司预测未来的现金流量为100

2、美元或50美元，发生的概率均为50%. 公司没有其他资产，需要支付的利息为60美元。不考虑税收。 假设：（1）债权人和股东是风险中立者；（2）利率（贴现率）为10%. 试评估公司的价值。,3,Corporate Finance,单位：美元,4,Corporate Finance,以上忽略了破产费用，实际情况可能是：,单位：美元,公司价值现在是61.36元，低于前面计算的68.18元。,5,Corporate Finance,结论： 破产的可能性对公司价值有负面影响 The possibility of bankruptcy has a negative effect on the value

3、of the firm. 然而，并不是破产风险本身降低了公司价值 However, it is not the risk of bankruptcy itself that lowers value. 而是与破产密切相关的成本降低了公司价值 Rather it is the costs associated with bankruptcy. 股东承担了这些风险。破产成本损害了股东的利益。 It is the stockholders who bear these costs.,6,Corporate Finance,16.2 成本的种类Description of Costs,财务困境的直接成

4、本 Direct Costs 清算和重组的法律成本和管理成本 Legal and administrative costs (tend to be a small percentage of firm value). 在破产和破产前期的所有阶段，自始自终都有律师的介入参与。费用通常是每小时几百美元计，而且快递增加。 已有大量的学术研究在探讨如何衡量财务困境的直接成本。White、Altman和Weiss估计财务困境的直接成本大概是公司市值的3%,7,Corporate Finance,财务困境的间接成本 Indirect Costs 经营受到影响 Impaired ability to con

5、duct business (e.g., lost sales) 代理成本 Agency Costs Selfish strategy 1: 冒高风险的动机 Incentive to take large risks Selfish strategy 2: 投资不足的动机Incentive toward underinvestment Selfish Strategy 3: 撇脂 Milking the property,8,Corporate Finance,例：Balance Sheet for a Company in Distress,AssetsBVMVLiabilitiesBVMV

6、 Cash$200$200LT bonds$300 Fixed Asset$400$0Equity$300 Total$600$200Total$600$200 What happens if the firm is liquidated（清算） today?,The bondholders get $200; the shareholders get nothing.,$200,$0,book value,maket value,9,Corporate Finance,Selfish Strategy 1: Take Large Risks投资高风险项目,The GambleProbabil

7、ityPayoff Win Big10%$1,000 Lose Big90%$0 Cost of investment is $200 (all the firms cash) Required return is 50% Expected CF from the Gamble = $1000 0.10 + $0 = $100,10,Corporate Finance,Selfish Stockholders Accept Negative NPV Project with Large Risks,Expected CF from the Gamble To Bondholders = $30

8、0 0.10 + $0 = $30 To Stockholders = ($1000 - $300) 0.10 + $0 = $70 PV of Bonds Without the Gamble = $200 PV of Stocks Without the Gamble = $0 PV of Bonds With the Gamble = $30 / 1.5 = $20 PV of Stocks With the Gamble = $70 / 1.5 = $47,负债,11,Corporate Finance,Selfish Strategy 2: Underinvestment投资不足,C

9、onsider a government-sponsored project that guarantees $350 in one period Cost of investment is $300 (the firm only has $200 now) so the stockholders will have to supply an additional $100 to finance the project Required return is 10%,Should we accept or reject?,12,Corporate Finance,Selfish Stockhol

10、ders Forego Positive NPV Project,Expected CF from the government sponsored project: To Bondholder = $300 To Stockholder = ($350 - $300) = $50 PV of Bonds Without the Project = $200 PV of Stocks Without the Project = $0 PV of Bonds With the Project = $300 / 1.1 = $272.73 PV of Stocks with the project

11、 = $50 / 1.1 - $100 = -$54.55,自筹的100元,13,Corporate Finance,Selfish Strategy 3: Milking the Property撇脂,清算股利 Liquidating dividends Suppose our firm paid out a $200 dividend to the shareholders. This leaves the firm insolvent（破产）, with nothing for the bondholders, but plenty for the former shareholders

12、. Such tactics often violate bond indentures. 额外的津贴 Increase perquisites to shareholders and/or management,14,Corporate Finance,利己策略总结： 仅当有破产或财务困境的可能性时，才发生上述的扭曲策略。这些扭曲策略不应影响象通用电气这样多元化经营的一流公司。 由谁来支付利己投资策略的成本？最终由股东承担。因为，如果债权人知道危机逼近时，会要求提高债券利率保护自己。由于股东要负担这些利率，他们最终要负担利己的成本。 因此，面临这些扭曲策略的公司难以获得债务且代价高昂，它们会

13、拥有较低的财务杠杆比率。,15,Corporate Finance,16.3 能够降低债务成本吗？ Can Costs of Debt Be Reduced?,保护性条款 Protective Covenants 债务的合并 Debt Consolidation: If we minimize the number of parties, contracting costs fall.,16,Corporate Finance,Protective Covenants,Agreements to protect bondholders 消极条款：你不能做：Negative covenant:

14、Thou shalt not: 支付超额股息 Pay dividends beyond specified amount. 发行更高级别的债券 Sell more senior debt as a result, 100% debt financing is sub-optimal. 高增长公司的负债比率将低于低增长公司 Thus, high-growth firms will have lower debt ratios than low-growth firms.,27,Corporate Finance,16.8 个人税Personal Taxes: The Miller Model,T

15、he Miller Model shows that the value of a levered firm can be expressed in terms of an unlevered firm as:,Where: TS = personal tax rate on equity income TB = personal tax rate on bond income TC = corporate tax rate,28,Corporate Finance,The derivation is straightforward:,Continued,29,Corporate Financ

16、e,The first term is the cash flow of an unlevered firm after all taxes. Its value = VU.,A bond is worth B. It promises to pay rBB(1- TB) after taxes. Thus the value of the second term is:,The total cash flow to all stakeholders in the levered firm is:,The value of the sum of these two terms must be

17、VL,30,Corporate Finance,Thus the Miller Model shows that the value of a levered firm can be expressed in terms of an unlevered firm as:,In the case where TB = TS, we return to M this is consistent（一致） with M&M with taxes. Another interpretation is that firms signal good news when they lever up. 不同行业

18、的资本结构存在差异 There are Differences in Capital Structure Across Industries. 有证据表明一些公司有目标债务权益比率There is evidence that firms behave as if they had a target Debt to Equity ratio.,34,Corporate Finance,影响目标负债权益的因素Factors in Target D/E Ratio,税收 Taxes If corporate tax rates are higher than bondholder tax rates

19、, there is an advantage to debt. 资产类型 Types of Assets The costs of financial distress depend on the types of assets the firm has. 比如土地的重置价值高于研发的重置价值 经营收入的 不确定性 Uncertainty of Operating Income Even without debt, firms with uncertain operating income have high probability of experiencing financial dis

20、tress. 优序融资和财务资源闲置 Pecking Order and Financial Slack Theory stating that firms prefer to issue debt rather than equity if internal finance is insufficient.,35,Corporate Finance,16.10 小结 Summary and Conclusions,1. 在上一章我们提到，根据理论，在资本征税之下，公司应建立完全债务的资本结构。由于在现实世界中公司一般采取适中的债务额。在本章我们指出财务困境成本导致公司限制其债务的发行。这些成

21、本有两种类型：直接的和间接的。 直接成本 Direct costs Lawyers and accountants fees 间接成本 Indirect Costs 削弱经营能力Impaired ability to conduct business 投资高风险项目的动机 Incentives to take on risky projects 投资不足的动机 Incentives to underinvest 撇脂 Incentive to milk the property,36,Corporate Finance,2. 由于上述成本很大且最终由股东承担，公司有削减成本的动机。我们建议三种

22、成本削减的技巧：Three techniques to reduce these costs are: 保护性条款 Protective covenants 先于破产前的债务回购 Repurchase of debt prior to bankruptcy 债务合并 Consolidation of debt 3. 因财务困境成本能被减少但不可被消除，公司不会全部用债务融资。公司选择使其价值最大化的负债 -权益比。,37,Corporate Finance,Because costs of financial distress can be reduced but not eliminated

23、, firms will not finance entirely with debt.,Debt (B),Value of firm (V),0,Present value of taxshield on debt,Present value offinancial distress costs,Value of firm underMM with corporatetaxes and debt,VL = VU + TCB,V = Actual value of firm,VU = Value of firm with no debt,B*,Maximumfirm value,Optimal

24、 amount of debt,38,Corporate Finance,4 .优序融资理论暗示了管理者偏好内部融资胜于外部融资.如果需要外部融资,管理者倾向于选择最安全的证券, 如债务。 5. 迄今为止的结论忽略了个人税。如果给股东的分配以低于利息支付的实际个人税率纳税，在公司水平上的债务税收优惠被部分抵消。事实上，债务的公司税优惠被消除，如果：If distributions to equity holders are taxed at a lower effective personal tax rate than interest, the tax advantage to debt at the corporate level is partially offset（抵消）. In fact, the corporate advantage to debt is eliminated（消除） if (1-TC) (1-TS) = (1-TB)