资本结构和MM定理ppt课件

第七章 资本结构和MM定理,MM定理及扩展 资本结构的经验证据,1,MM定理及扩展,无税的MM定理（1958） 有公司税的MM定理 trade-off Theory （权衡理论）等 加入个人税的MM定理（米勒定理1977） MM定理的其他用途,2,The Capital-Structure Question and The Pie Theory,The value of a firm is defined to be the sum of the value of the firms debt and the firms equity. V = B + S,If the goal of the management of 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.,Value of the Firm,S,B,S,B,3,Financial Leverage and EPS,(2.00),0.00,2.00,4.00,6.00,8.00,10.00,12.00,1,000,2,000,3,000,EPS,Debt,No Debt,Break-even point,EBIT in dollars, no taxes,Advantage to debt,Disadvantage to debt,4,杠杆增加了权益收益（return on equity, ROE）以及股票持有者的收益，然而也增加了股票风险 MM定理认为，两方面的效应恰好抵消,5,无税的MM定理,Assumptions of the Modigliani-Miller Model Homogeneous Expectations Homogeneous Business Risk Classes Perpetual Cash Flows Perfect Capital Markets: Perfect competition Firms and investors can borrow/lend at the same rate Equal access to all relevant information No transaction costs No taxes,6,The MM Propositions I & II (No Taxes),Proposition I Firm value is not affected by leverage VL = VU Proposition II Leverage increases the risk and return to stockholders rs = 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 of capital) B is the value of debt SL is the value of levered equity,7,The MM Proposition I (No Taxes),The derivation is straightforward:,The present value of this stream of cash flows is VL,The present value of this stream of cash flows is VU,8,The MM Proposition II (No Taxes),The derivation is straightforward:,9,杠杆率上升时，公司更多进行“低成本”的债务融资，然而其股本风险和成本也随之增大，根据MM，两项效应恰好抵消。 不考虑税收，资本结构的改变不影响加权资本成本（WACC） WACC仅为资产的风险决定,10,The Cost of Equity, the Cost of Debt, and WACC: MM Proposition II with No Corporate Taxes,Debt-to-equity Ratio,Cost of capital: r (%),r0,rB,rB,11,有公司税的MM定理 The MM Propositions I & II (with Corporate Taxes),Proposition I (with Corporate Taxes) Firm value increases with leverage VL = VU + TC B Proposition II (with Corporate Taxes) Some of the increase in equity risk and return is offset by interest tax shield rS = r0 + (B/S)(1-TC)(r0 - rB) rB is the interest rate (cost of debt) rS is the return on equity (cost of equity) r0 is the return on unlevered equity (cost of capital) B is the value of debt S is the value of levered equity,12,The MM Proposition I (Corp. Taxes),The present value of this stream of cash flows is VL,The present value of the first term is VU The present value of the second term is TCB,13,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 S,Which quickly reduces to,14,The Effect of Financial Leverage on the Cost of Debt and Equity Capital with Corporate Taxes,Debt-to-equity ratio (B/S),Cost of capital: r (%),r0,rB,15,Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes,Levered Recession Expected Expansion EBIT $1,000 $2,000 $3,000 Interest ($800 8% ) 640 640 640 EBT $360 $1,360 $2,360 Taxes (Tc = 35%) $126 $476 $826 Total Cash Flow $234+640 $468+$640 $1,534+$640 (to both S/H & B/H): $874 $1,524 $2,174 EBIT(1-Tc)+TCrBB $650+$224 $1,300+$224 $1,950+$224 $874 $1,524 $2,174,All-Equity Recession Expected Expansion EBIT $1,000 $2,000 $3,000 Interest 0 0 0 EBT $1,000 $2,000 $3,000 Taxes (Tc = 35% $350 $700 $1,050 Total Cash Flow to S/H $650 $1,300 $1,950,16,Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes,The levered firm pays less in taxes than does the all-equity firm. Thus, the sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm.,S,G,S,G,B,All-equity firm Levered firm,17,Total Cash Flow to Investors Under Each Capital Structure with Corp. Taxes,The sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm. This is how cutting the pie differently can make the pie larger: the government takes a smaller slice of the pie!,S,G,S,G,B,All-equity firm Levered firm,18,权衡理论trade-off Theory Integration of Tax Effects and Financial Distress Costs,M&M suggest that financial leverage does not matter, or imply that taxes cause the optimal financial structure to be 100% debt. In the real world, most executives do not like a capital structure of 100% debt because that is a state known as “bankruptcy”. There is a trade-off between the tax advantage of debt and the costs of financial distress. It is difficult to express this with a precise and rigorous formula.,19,Integration of Tax Effects and Financial Distress Costs,Debt (B),Value of firm (V),0,Present value of tax shield on debt,Present value of financial distress costs,Value of firm under MM with corporate taxes and debt,VL = VU + TCB,V = Actual value of firm,VU = Value of firm with no debt,B*,Maximum firm value,Optimal amount of debt,20,The Pie Model Revisited,Taxes and bankruptcy costs can be viewed as just another claim on the cash flows of the firm. Let G and L stand for payments to the government and bankruptcy lawyers, respectively. VT = S + B + G + L The essence of the M capital structure just slices the pie.,S,G,B,L,21,其他相关理论,信号理论 代理成本理论 融资次序理论 动态权衡理论,22,Signaling,The firms capital structure is optimized where the marginal subsidy to debt equals the marginal cost. Investors view debt as a signal of firm value. Firms with low anticipated profits will take on a low level of debt. Firms with high anticipated profits will take on high levels of debt. A manager that takes on more debt than is optimal in order to fool investors will pay the cost in the long run.,23,Shirking, Perquisites, and Bad Investments: The Agency Cost of Equity,An individual will work harder for a firm if he is one of the owners than if he is one of the “hired help”. Who bears the burden of these agency costs? While managers may have motive to partake in perquisites, they also need opportunity. Free cash flow provides this opportunity. The free cash flow hypothesis says that an increase in dividends should benefit the stockholders by reducing the ability of managers to pursue wasteful activities. The free cash flow hypothesis also argues that an increase in debt will reduce the ability of managers to pursue wasteful activities more effectively than dividend increases.,24,The Pecking-Order Theory,Theory stating that firms prefer to issue debt rather than equity if internal finance is insufficient. Rule 1 Use internal financing first. Rule 2 Issue debt next, equity last. The pecking-order Theory is at odds with the trade-off theory: There is no target D/E ratio. Profitable firms use less debt. Companies like financial slack,25,Growth and the Debt-Equity Ratio,Growth implies significant equity financing, even in a world with low bankruptcy costs. Thus, high-growth firms will have lower debt ratios than low-growth firms. Growth is an essential feature of the real world; as a result, 100% debt financing is sub-optimal.,26,加入个人税的MM定理 米勒定理，The Miller Model,The 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,27,Personal Taxes: The Miller Model,The derivation is straightforward:,28,Personal Taxes: The Miller Model (cont.),The total cash flow to all stakeholders in the levered firm is:,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 value of the sum of these two terms must be VL,29,Personal Taxes: The Miller Model (cont.),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&M with only corporate tax:,30,Effect of Financial Leverage on Firm Value with Both Corporate and Personal Taxes,Debt (B),Value of firm (V),VU,VL = VU+TCB when TS =TB,VL (1-TC)(1-TS),VL =VU when (1-TB) = (1-TC)(1-TS),VL VU when (1-TB) (1-TC)(1-TS),31,Integration of Personal and Corporate Tax Effects and Financial Distress Costs and Agency Costs,Debt (B),Value of firm (V),0,Present value of tax shield on debt,Present value of financial distress costs,Value of firm under MM with corporate taxes and debt,VL = VU + TCB,V = Actual value of firm,VU = Value of firm with no debt,B*,Maximum firm value,Optimal amount of debt,VL (1-TC)(1-TS),32,MM定理的延伸,远期负债相对短期负债是无关重要 股息政策是无关重要 风险管理是无关重要,33,资本结构的实证问题,34,Costs of Financial Distress,Direct costs of bankruptcy the legal costs involved in invoking bankruptcy and liquidating the firm 2. Indirect costs of bankruptcy Impaired ability to conduct business 3. Agency costs of financial distress,35,Evidence on Direct Bankruptcy Costs,Warner (1977, Journal of Finance, pp. 337-347) reported legal and administrative costs for 11 railroad bankruptcies. The reason railroad bankruptcies are of particular interest is that they are notoriously complicated. There are railroad cases where the time in bankruptcy court exceeded 20 years. On average, Warner found the direct costs were $2M. On average, this was 5.3% of the overall market value of the railroads debt and equity estimated just before bankruptcy. The costs decline to 1.4% of overall market value estimated 5 years prior to bankruptcy when the railroads were in better health. These magnitudes are small relative to the tax advantage of debt.,36,最优资本结构实证,权衡理论下的实证 权衡理论的代表人物包括Robichek,1967)、Mayers,1984、Kraus,1973、Rubinmstein,1973、Scott,1976等 动态权衡理论的实证 Jensen和Mecking关于债权代理成本与股权代理成本权衡问题：最有外部负债与股权的组合使得代理成本最小化。在这种情况下，即使不存在税收或者破产成本，也可能存在最有资本结构。 行业效应、时间序列研究等，见金融理论与公司政策一书15.9节。,37,资本结构的实践,Ezra Solomon（1977）：行业之间有显著差异的资本结构，但同行业间有稳定的资本结构,38,