公司理财 资本结构

• The value of a firm is defined to be the sum of the value of the firm’s debt and the firm’s equity. • V=B+S
• If the goal of the management of the
firm is to make the firm as valuable as possible, the firm should pick the debtequity ratio that makes the pie as big as possible. (企业管理的目标是使企业价 值最大化，应该选择使馅饼面积最大 的债务/权益比。)
关注企业价值最大化、而不是关注股东价值最大化？）
2. What is the ratio of debt-to-equity that maximizes the shareholder’s value?（使股东价值最大化的负债/权益比是多
少？）
对第一个问题的回答就是：当且仅当企业价值提高时，资本 结构的变化对股东有利。因此，管理者应当选择使企业 价值最大化的资本结构，从而实现股东财富最大化。 对第二个问题的回答就是最优资本结构决策问题。
Shares bought = $8,000/$50 = 160
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无杠杆时的情形
EBIT Interest Net income EPS ROA ROE Recession $1,000 0 $1,000 $2.50 5% 5% Expected $2,000 0 $2,000 $5.00 10% 10% Expansion $3,000 0 $3,000 $7.50 15% 15%
Merton Miller
(1923 – 2000) was an economist at the University of Chicago, and winner of the Nobel Memorial Prize in Economics in 1990, along with Harry Markowitz and William Sharpe, for their pioneering work in the theory of financial economics.
公司金融
武汉大学经济与管理学院
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第七章 资本结构
一、资本结构概述 二、资本结构无关论 三、资本结构的静态权衡理论 四、其他资本结构理论 五、杠杆与价值评估
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一、资本结构概述
• 财务结构与资本结构 • 现实中的资本结构 • 关于资本结构的馅饼理论
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财务结构与资本结构
• 财务结构：公司资产负债 表右边内容的组合结构。 • 资本结构：公司长期资本 的组合结构。
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自制财务杠杆
• 投资者为什么借 $800? – We were trying to replicate the proposed capital structure at the personal level. – The proposed capital structure has a D/E ratio of 2/3. – Hence, we need to borrow $800 to create a personal capital structure with a D/E ratio of 2/3 = $800/$1,200. – How much should we borrow to create a homemade leverage for the second firm if the investor has $2,000 invested in the firm?
– 使企业价值达到最大的资本结构 – 使企业资本成本（WACC）最小化的资本结构 – 此时的债务水平称为企业的借债能力（Debt Capacity）
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企业价值最大化与股东财富最大化
There are really two important questions: 1. Why should the stockholders care about maximizing firm value? Perhaps they should be interested in strategies that maximize shareholder value.（为什么股东
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Leverage Increases Risk
• The variability in both ROE and EPS increases when financial leverage is increased. Leverage increases the risk of holding equity!
– B为负债的市场价值 – S为股东权益的市场价值
S B
Value of the Firm
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资本结构、企业价值与资本成本
• Recall that WACC is the appropriate discount rate used to discount firm’s overall cash flows.（加权平均 资本成本是对企业总现金流进行折现的合理折现率） • Hence, the financial manager should choose the capital structure weights so that WACC is minimized. （企业应该选择使加权平均资本成本最小化的资本结 构） • 最优资本结构（Optimal Capital Structure）
• Hence, greater use of debt magnifies EPS and ROE in either direction (when the profitability is good or bad). • Using more debt makes EPS and ROE more risky since both EPS and ROE are more sensitive to changes in EBIT（财务杠杆度）。
Recession $1,000 640 $360 $1.50 5% 3% Expected $2,000 640 $1,360 $5.67 10% 11.3% Expansion $3,000 640 $2,360 $9.83 15% 19.7%
Proposed shares: 400 - 160 = 240 Interest = 8%$8,000 = $640 ROE = Net Income/Equity = Net Income/$12,000
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发行债务回购股票
Current Proposed Assets $20,000 $20,000 Debt $0 $8,000 Equity $20,000 $12,000 Debt/Equity ratio 0 2/3 Interest rate 8% 8% Shares outstanding 400 240 Share price $50 $50
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二、资本结构无关论
• 财务杠杆效应 • 自制杠杆 • MM 命题 I（无税） • MM 命题II（无税）
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Franco Modigliani
(1918 – 2003) was an Italian-American economist at the MIT Sloan School of Management and MIT Department of Economics, and winner of the Nobel Memorial Prize in Economics in 1985 for his pioneering analyses of saving and of financial markets.
财务杠杆效应
• 因为 RD < RE, 那么我们能否只通过增加债 务而使WACC最小?
– 当债务权益比增加时, RE 也增加(可能RD也增 加) –例
• Consider a firm that is currently financed with all equity, no debt in its capital structure. The total value of the firm is $20,000 and there are 400 shares outstanding. The firm is considering issuing debt to buy some of the equity back. The proposed debt issue would raise $8,000 at a rate of 8%. Assume no taxes.
财务结构-流动负债=资本结构
NWC 流动负债 流动资产 长期负债 固定资产 有形固定资产 股东权益 无形固定资产 资产总额 = 负债及所有者权益
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• 实践中，财务结构设计即 是指将融资成本最小化的 财务结构管理活动。
现实中的资本结构
• 但在对资本结构进行理论分析的场合，往往不作上述 区分，而是将公司资金来源中股权与债务之间的相对 比例称为资本结构，这是因为股权或债务中的优先等 级显得不是十分重要而被忽略，同时也避免了考虑一 些同时具备股权和债权性质的证券（如可转换债券）。 • 在公司金融理论中，资本结构理论是最基本、最重要 的一个研究领域，同时也是迄今公司金融领域内最为 成功的一个研究领域（尽管还有一些理论争论和不一 致的经验证据）。
Questions
• 资本结构的变化(采用财务杠杆)使公司权 益成本上升了多少? • 与无杠杆情形相比，采用杠杆使得公司资 本成本（WACC）上升了、还是下降了？
–换一个说法，与无杠杆情形相比，采用杠杆 使得公司价值下降了、还是使得公司价值上 升了？