国际企业资本成本与资本结构ppt课件

第四章 国际企业资本成本与资本结构 Multinational Cost of Capital & Capital Structure,第一节、资本成本的内涵 Cost of Capital 第二节、个别资本成本的估算 Calculation of Individual Cost of Capital 第三节、加权资本成本 WACC 第四节、国际企业资本结构 Capital Structure for MNC,1,2,第三章 外汇风险管理 Exchange Rate Risk Management,第一节 外汇风险的涵义 Definition of Exchange Rate Risk 第二节 交易风险及管理方法 Transaction Exposure Management 第三节 经济风险与折算风险 Economic and Translation Exposure 第四节 外汇风险管理策略 Strategy of Exchange Rate Risk Management 案例分析:Blades,inc.case P236,2,外汇风险的类型 Types of Foreign Exchange Exposure,Economic Exposure 经济风险 Exchange rate risk as applied to the firms competitive position. Transaction Exposure交易风险 Exchange rate risk as applied to the firms home currency cash flows. Translation Exposure折算风险 Exchange rate risk as applied to the firms consolidated financial statements.,3,交易风险管理方法 Techniques to Eliminate Transaction Exposure,Futures Hedge Forward Hedge Money Market Hedge Currency Option Hedge Calculating the Real Cost of Hedging Determining the Optimal Hedge Hedging Long-Term Transaction Exposure Long-Term Forward Contract Currency Swap Parallel Loan Alternative Hedging Techniques Leading and Lagging Cross-Hedging Currency Diversification,4,经济风险的管理 Proactive（主动的） Management of Economic Exposure,The six most commonly employed proactive policies are: Matching currency cash flows Risk-sharing agreements Back-to-back or parallel loans Currency swaps Leads and lags Reinvoicing center,5,6,折算、交易与经济风险之比较,n对换算风险而言，交易与责任、义务之清算早已完成，汇率变动只影响其帐面数据。 n对交易风险而言，汇率变动恰巧发生在交易达成，但尚未进行清算的期间，此外，该清算或必须以外币进行，如此对该公司才会形成交易风险。 n对经济风险而言，汇率变动乃是造公司预期的现金流量产生偏差。也就是说，交易尚未发生。,6,7,外汇风险管理策略,一、完全避免外汇风险的管理策略 二、消极的外汇风险管理策略 三、积极的外汇风险管理策略,7,International Financial Management Case Study:,Blades, Inc. Case Managing Transaction Exposure,8,1. Export Speedos to British Retailer 200,000 pairs at 80/pair for 2 years, may renew contract. 2. Continue export Speedos to Thailand Entertainment Products 180,000 pairs at Thai Baht 4594，2 years may renew contract 3. Imports from Thailand materials for Speedos enough to produce 72,000pairs. Prices not fixed, adjustable to market prices, now at Thai Baht 3,000. 4. Export quarterly each 50,000 to British Retailer, 45,000 to Thai Entertainment Products, payment made on first day of Jan. Apr. July. Oct. 5.Imports quarterly each 18,000 material from Thailand. Early payment, Beneficial, Why?,Identify The Hedging technique most appropriate for Blades.,9,10,11,1. Using a spreadsheet, compare the hedging alternatives for the Thai Baht with a scenario under which Blades remains unhedged. Do you think Blades should hedge or remain unhedged? If Blades should hedge, which hedge is most appropriate.,Based on the analysis, it appears that Blades should hedge its baht exposure. The money market hedge appears to be the most appropriate for Blades, because it results in the highest dollar value for the net baht inflows. There is only a 20 percent chance that remaining unhedged will result in a higher dollar amount to be received in 90days.,12,13,14,Forward Hedge: 3,283,695.00 Money Market Hedge: 3,448,614.03,15,Based on the analysis, it appears that Blades should hedge its pound exposure. The money market hedge appears to be the most appropriate for Blades, because it results in the highest dollar value for the pound inflows. There is no chance that the option hedge will result in a higher dollar amount to be received in 90days than the money market hedge, Only a 5% chance that remaining unhedged will result in a higher dollar amount that the money market hedge.,2. Using a spreadsheet, compare the hedging alternatives for the British pound receivables with a scenario under which Blades remains unhedged. Do you think Blades should hedge or remain unhedged? If Blades should hedge, which hedge is most appropriate for Blades.,16,17,Purchase put option:,18,Forward Hedge: $5,960,000.00 Money Market Hedge: $6,005,882.35 Purchase put option: 5% $6,000,000.00 Remain unhedeged 5% $6,080,000.00,19,3. In general, do you think it is easier for Blades to hedge its inflows or its outflows denominated in foreign currencies? Why?,In general, it is easier for Blades to hedge its inflows denominated in foreign currencies. This is because Blades outflows are subject to two uncertain variables, the amount of the payables denominated in the foreign currency due to fluctuations in market prices and the future exchange rate. Since Blades has export agreement with its major customers, its dollar inflows are uncertain only because of exchange rate changes.,20,4.Would any of the hedges you compared in questions 2 for the British pounds to be received in 90days require Blades to overhedge? Given Bladess exporting arrangements, do you think it is subject to overhedging with a money market hedge?,In this case, none of the hedges would require Blades, Inc. to overhedge. Usually, the put option hedge would require Blades to overhedge, since Ben Holt wishes to hedge the entire exposure and there are 31,250pounds in a put option. In this case, however, Blades will receive 4,000,000 pounds in 90days and will need to purchase 128 put options in order to exactly cover this exposure.,21,5. Could Blades modify the timing of the Thai imports in order to reduce its transaction exposure? What is the tradeoff of such a modification?,Blades could import sufficient materials to completely offset the baht-denominated revenue of 45000*4594=THB206,730,000 this quarter, it could import materials sufficient to manufacture 206730000/3000=68,910 pairs of Speedos in the current quarter, It could then instruct its Thai customer to make payment directly to the Thai supplier. The tradeoff of accelerating the purchase from Thailand in order to reduce Blades transaction exposure this quarter is that the transaction exposure in subsequent quarters will be correspondingly higher. Further more, Blades inventory position will be very high this quarter, and it may incur additional expenses in order to accommodate the higher inventory.,22,6. Could Blades modify its payment practices for the Thai imports in order to reduce its transaction exposure? What is the tradeoff of such a modification?,Yes, Blades could modify its payment practices in order to reduce its transaction exposure in Thailand. Currently, Blades pays the Thai suppliers sixty days earlier than its competitors. If the Thai baht depreciates over these sixty days, lagging payment would result in a lower dollar cost for Blades. The tradeoff resulting from lagging payments to the Thai suppliers Is that Blades cannot use the Baht-denominated costs to offset the baht-denominated revenue. This is because baht will be received and needed at different times. Consequently, Blades may have to hedge its exposure more often.,23,7. Given Blades exporting agreements, are there any long-term hedging techniques Blades could benefit from? For this question only, assume that Blades incurs all of its costs in the United States,Blades has fixed-price exporting arrangements with both the Thai and British customers for the next two years. Furthermore, the timing of the resulting foreign currency inflows is known. Since long-tem hedging techniques are particularly appropriate for firms that can accurately estimate their foreign currency payables or receivables that will occur in the future, Blades could benefit from long term hedging techniques. For example, it could enter into long-term forward contacts for Thai baht and/or British pounds, swap currencies with another firm in the future, or agree to a parallel loan.,24,第四章 国际企业资本成本与资本结构 Multinational Cost of Capital & Capital Structure,第一节、资本成本的内涵 Cost of Capital 第二节、个别资本成本的估算 Calculation of Individual Cost of Capital 第三节、加权资本成本 WACC 第四节、国际企业资本结构 Capital Structure for MNC,25,Chapter Objectives,Cost of Capital WACC (The weighted average cost of capital) To explain how corporate and country characteristics influence an MNCs cost of capital; To explain why there are differences in the costs of capital among countries; and To explain how corporate and country characteristics are considered by an MNC when it establishes its capital structure.,26,第一节、资本成本的内涵,The cost of capital is the minimum rate of return an investment project must generate in order to pay its financing costs. 公司的资本成本:公司为取得所需资金而付出的代价，主要包括支付给股东的股利和支付给长期债权人的利息。 从投资人的角度看： 它表示与投资机会成本和投资风险相适应的回报率； 从筹资者的角度看： 它表示公司为取得资金必须支付的价格；,27,Cost of Capital,A firms capital consists of: Equity (retained earnings and funds obtained by issuing stock), reflects an opportunity cost Debt (borrowed funds). reflected in interest expenses. A companys capital structure refers to its debt level relative to equity on the balance sheet Firms attempt to use a capital structure that will minimize their cost of capital. Firms use debt rather than equity as capital： why? because the interest payments on debt are tax deductible To what level? why?,28,As interest expenses increase, the probability of bankruptcy will increase too. It is favorable to increase the use of debt financing until the point at which the bankruptcy probability becomes large enough to offset the tax advantage of using debt.,Cost of Capital,Debts Tradeoff,29,资本成本率的种类,在公司筹资实务中，通常运用资本成本的相对数，即资本成本率。资本成本率是指公司用资费用与有效筹资额之间的比率，通常用百分比来表示。一般而言，资本成本率有下列种类： 1个别资本成本率(cost of capital 是指公司各种长期资本的成本率。 2加权资本成本率(WACC) 是指公司全部长期资本的成本率。 3边际资本成本率(marginal cost of capital) 是指公司追加长期资本的成本率。,30,资本成本的作用,（1）资本成本是选择资金来源、确定筹资方案的重要依据。 个别资本成本是比较筹资方式优劣的一个尺度。 加权资本成本是企业进行资本结构决策的基本依据。 边际资本成本是比较选择追加筹资方案的重要依据。 （2）资本成本是评价投资项目、决定投资取舍的重要标准。 （3）资本成本是衡量企业经营成果的尺度。,31,Cost of Capital for MNCs,Size of Firm. Because of their size, MNCs are often given preferential treatment by creditors. They can usually achieve smaller per unit flotation costs too. Acess to International Capital Markets. MNCs are normally able to obtain funds through international capital markets, where the cost of funds may be lower. International Diversification. MNCs may have more stable cash inflows due to international diversification, such that their probability of bankruptcy may be lower. Exposure to Exchange Rate Risk. MNCs may be more exposed to exchange rate fluctuations, such that their cash flows may be more uncertain and their probability of bankruptcy higher. Exposure to Country Risk. MNCs that have a higher percentage of assets invested in foreign countries are more exposed to country risk.,32,Cost of Capital for MNCs,Possible access to low-cost foreign financing,Preferential treatment from creditors,Larger size,International diversification,Exposure to exchange rate risk,Exposure to country risk,Cost of capital,Probability of bankruptcy,33,The Firms Investment Decision and the Cost of Capital,A firm that can reduce its cost of capital will increase the profitable capital expenditures that the firm can take on and increase the wealth of the shareholders. Internationalizing the firms cost of capital is one such policy.,cost of capital (%),Investment ($),IRR,K global,K local,Ilocal Iglobal,34,第二节、个别资本成本的估算 个别资本成本是指使用各种长期资金的成本。,35,一、长期负债成本Rd 1、长期借款成本Rd1,Rd1=Ri（1-T） Ri为借款利率，T表示公司所得税率 例设A公司向银行借了一笔长期贷款，年利率为8%，A公司的所得税率为34%，问A公司这笔长期借款的成本是多少？ Rd1=Ri（1-T） =8%（1-34%） = 5.28%,36,2、长期债券成本Rd2 第一种情况： 债券发行价格与债券面值相等 Rd2= Ri（1-T）/（1-F） 例某公司按面值发行年利率为7%的5年期债券2500万元，发行费率为2%，所得税率为33%，试计算该债券的资本成本。 Rd2= Ri（1-T）/（1-F） =7%（1-33%）/（1-2%） =4.79%,37,第二种情况： 债券发行价格与债券面值不等时 首先确定债券的收益率，债券收益率Ri由公式计算， 其中P0是发行净价格（等于发行价格扣除发行成本），It表示定期按票面利率支付的利息，Pn表示债券面值，n表示债券期限，t表示第t期。 再乘以（1-T），得出债券的资本成本： Rd2= Ri（1-T）,38,例某股份有限公司拟发行面值为1000元，年利率为8%，期限为2年的债券。试计算该债券在下列市场利率下的发行价格。 市场利率为：（i）10% （ii）8%（iii） 6%,（i）当市场利率为10%时， （ii）当市场利率为8%时， （iii）当市场利率为6%时,= 965.29 元,= 1000 元,= 1036.64 元,39,例某公司采用溢价20元发行为期2年、票面利率为7%、面值1000元的债券3000万元，发行费用为60万元，公司所得税率为33%，问该公司发行债券的成本是多少？,首先计算出按溢价发行债券的收益率： P0 =（1000+20）（1-60/3000） =999.6 元 由于 得 Ri=7.02% 故发行债券的成本为: Rd2= Ri（1-T） =7.02%(1-33%)=4.70%,40,二、优先股成本RP RP = 其中P0应为扣除发行费用之后的价格。 例公司计划发行1500万元优先股，每股股价100元，固定股利11元，发行费用率4%，问该优先股成本是多少？ RP = DP/P0 =11/100（1-4%） =11.46%,优先股股利DP,优先股发行净价格P0,41,三、普通股资本成本,按照资本成本率实质上是投资必要报酬率的思路，普通股的资本成本率就是普通股投资的必要报酬率。 一般有三种方法计算普通股的成本： 即股利折现模型、 资本资产定价法、 债券收益率加风险溢价法。,42,1、股利折现模型,股利折现模型的基本形式是： Po - 普通股用资净额，即发行价格扣除发行费用； Dt - 普通股第 t 年的股利； Kc - 普通股投资必要报酬率，即普通股资本成本率。 运用上列模型测算普通股资本成本率， 因具体的股利政策而有所不同： 剩余股利政策、固定股利支付率政策、 固定股利或稳定增长股利政策 低正常股利加额外股利政策）,43,如果公司采用固定股利政策，即每年分派现金股利D元，资本成本率可按下式测算：,例 ABC公司拟发行一批普通股，发行价格12元，每股发行费用2元，预定每年分派现股利每股1.2元。其资本成本率测算为：,44,如公司采用固定增长股利的政策，股利固定增长率为G，资本成本率需按下式测算：,例 XYZ公司准备增发普通股，每股发行价格15元，发行费用3元，预定第一年分派现金股利每股1.5元，以后每年股利增长2.5%。其资本成本率测算为：,45,2、资本资产定价模型法：,普通股票的预期收益率等于无风险利率加上风险补偿（或称风险溢价），用公式表示为： Re = Ri = Rf +（Rm- Rf）i Rf表示无风险利率， Rm表示市场所有股票或市场所有资产组合的预期收益率； Ri表示第i种股票或风险资产的预期收益率，也即等于普通股的资本成本Re i表示第i种股票或资产的预期收益率相对于市场平均预期收益率变动的适应程度 i等于1，表示与市场平均风险股票的变动程度相同； i大于1，表示其变动大于市场平均风险股票的变动程度； i小于1，表示其变动小于市场平均风险股票的变动程度。,46,The capital asset pricing model (CAPM) can be used to assess how the required rates of return of MNCs differ from those of purely domestic firms. According to CAPM, ke = Rf + b (Rm Rf ) where ke = the required return on a stock Rf = risk-free rate of return Rm = market return b = the beta of the stock A stocks beta represents the sensitivity of the stocks returns to market returns, just as a projects beta represents the sensitivity of the projects cash flows to market conditions. The lower a projects beta, the lower its systematic risk, and the lower its required rate of return, if its unsystematic risk can be diversified away.,Cost of Capital for MNCs,47,系統風險估計,48,i,m=1,Rf,Rm,SML,O,证券市场线,Ri,资本资产定价模型可以用图形表示。用Ri表示纵轴，系数表示横轴，就可以画出一条连接无风险收益率与市场组合收益率的直线，即是我们所说的证券市场线SML,49,例设C股票的系数等于0.4,D股票的系数等于2,如果无风险收益率为9%，市场期望的收益率为13%，那么C股票和D股票的预期收益率为多少？,由公式: Ri = Rf +（Rm- Rf）i Rc = 9% + （13%-9%）0.4 = 10.6% RD = 9% + （13%-9%）2 = 17%,50,3、债券收益率加风险溢价法：,Re=长期负债利率+风险溢价 相对债券的风险溢价：3%-5% 假定长期负债利率为10%，风险溢价为3% ke = kd + Risk Premium = 10% + 3% ke = 13%,51,四、保留盈余资本成本,公司的保留盈余是由公司税后利润形成的，属于权益资本。 从表面上看，公司保留盈余并不花费什么资本成本。 实际上，股东愿意将其留用于公司而不作为股利取出投资于别处，总是要求获得与普通股等价的报酬。 因此，保留盈余也有资本成本，不过是一种机会资本成本。 保留盈余资本成本率的测算方法与普通股基本相同，只是不考虑筹资费用。,52,第三节、加权资本成本,1、加权资本成本的概念 weighted average cost of capital (WACC) A firm normally finds its weighted average cost of capital (WACC) by combining the cost of equity with the cost of debt in proportion to the relative weight of each in the firms optimal long-term financial structure: 加权资本成本是各单项筹资方式资本成本的加权平均数。,53,对项目投资决策的作用在于：,贴现率； 基准收益率 对企业而言，可用于企业价值评估： 公式,54,2、加权资本成本的计量模型,三个基本步骤： 1、计算每项融资来源的资本成本； 2、确定债务、优先股和普通股分别在全部资本中的权重； 3、计算公司的资本加权成本。,55,A firms weighted average cost of capital kc = ( D ) kd ( 1 _ t ) + ( E ) ke D + E D + E where D is the amount of debt of the firm E is the equity of the firm kd is the before-tax cost of its debt t is the corporate tax rate ke is the cost of financing with equity,Cost of Capital,56,The weighted average cost of capital,57,The MNCs cost of capital,58,各种长期资本比例是指一个公司各种长期资本分别占公司全部长期资本的比例。,例如，ABC公司的全部长期资本总额为1000万元，其中长期借款200万元占20%，长期债券 300万元占30%，普通股400万元占40%，保留盈余100万元占10%。假设其个别资本成本率分别是6%，7%，9%，8%。该公司综合资本成本率是多少？ 综合资本成本率 6%20%7%30%9%40%8%10% 7.7%,59,美国企业之加权平均资本成本,資料來源：Who are the real wealth creators?, Fortune, December 9, 1996, p. 107.,60,例某公司拟筹资500万元,现有甲、乙两个备选方案如下表: 筹资方式 甲方案 乙方案 筹资金额 资本成本 筹资金额 资本成本 长期借款 80 7.0% 110 7.5% 公司债券 120 8.5% 40 8.0% 普通股 300 14.0% 350 14.0% 合 计 500 500 试确定哪一种方案较优?,61,甲方案的加权平均资本成本为： Ra1 = WdRd + WeRe + WbRb = 80/5007%+120/5008.5%+ +300/50014% =11.56% 乙方案的加权平均资本成本为： Ra2=110/5007.5%+40/5008% +350/50014% =12.09% 甲方案成本低于乙方案，故甲方案优于乙方案。,62,资本成本与风险,+ 公司的资本成本率等于在资本市场上投资者应得的与其风险程度相对应的均衡收益率。,63,64,65,Costs of Capital Across Countries,The cost of capital may vary across countries, because: MNCs based in some countries may have a competitive advantage over others; MNCs may be able to adjust their international operations and sources of funds to capitalize on the differences; MNCs based in some countries may have a more debt-intensive capital structure.,66,四、国际企业资本结构 The MNCs Capital Structure Decision,Capital Structure ： the proportion of long-term debt and equity capital and the particular forms of capital chosen to finance the assets of the firm The Financial Structure of Subsidiaries Conform to the parent companys norm. Conform to the local norm of the country where the subsidiary operates. Vary judiciously to capitalize on opportunities to lower taxes, reduce financing costs and risk, and take advantage of various market imperfections.,67,The MNCs Capital Structure Decision,The overall capital structure of an MNC is essentially a combination of the capital structures of the parent body and its subsidiaries. The capital structure decision involves the choice of debt versus equity financing, and is influenced by both corporate and country characteristics.,68,Corporate Characteristics,Stability of cash flows：MNCs with more stable cash flows can handle more debt. Credit risk： MNCs that have lower credit risk have more access to credit. Access to retained earnings： Profitable MNCs and MNCs with less growth may be able to finance most of their investment with retained earnings. Guarantees on debt.：If the parent backs the subsidiarys debt, the subsidiary may be able to borrow more. Agency problems：Host country shareholders may monitor a subsidiary, though not from the parents perspective.,69,Stock restrictions：MNCs in countries where investors have less investment opportunities may be able to raise equity at a lower cost. Interest rates：MNCs may be able to obtain loanable funds (debt) at a lower cost in some countries. Strength of currencies：MNCs tend to borrow the host country currency if they expect it to weaken, so as to reduce their exposure to exchange rate risk. Country risk：If the host government is likely to block funds or confiscate assets, the subsidiary may prefer debt financing. Tax laws： MNCs may use more local debt financing if the local tax rates (corporate tax rate, withholding tax rate, etc.) are higher.,Country Characteristics,70,These variables include: Availability of capital Diversification of cash flows Foreign exchange risk Expectations of international portfolio investors,The domestic theory of optimal financial structures needs to be modified by four more variables in order to accommodate the case of the MNE.,71,Availability of capital:,A multinational firms marginal cost of capital is constant for considerable ranges of its capital budget This statement is not true for most small domestic firms (as they do not have equal access to capital markets), nor for MNEs located in countries that have illiquid capital markets (unless they have gained a global cost and availability of capital),72,Diversification of cash flows:,The theoretical possibility exists that multinational firms are in a better position than domestic firms to support higher debt ratios because their cash flows are diversified internationally As returns are not perfectly correlated between countries, an MNE might be able to achieve a reduction in cash flow variability (much in the same way as portfolio investors who diversify their security holdings globally),73,Foreign exchange risk:,When a firm issues foreign currency denominated debt, its effective cost equals the after-tax cost of repaying the principal and interest in terms of the firms own currency This amount includes the nominal cost of principal and interest in foreign currency terms, adjusted for any foreign exchange gains or losses,74,Expectations of International Portfolio Investors:,The key to gaining a global cost and availability of capital is attracting and retaining international portfolio investors If a firm wants to raise capital in global markets, it must adopt global norms that are close to the US and UK norms as these markets represent the most liquid and unsegmented markets,75,Using the Cost of Capital for Assessing Foreign Projects,Foreign projects may