资本成本、公司理财和投资理论
资本市场与企业理财理论及实务研究
资本市场与企业理财理论及实务研究资本市场与企业理财是现代经济中两个重要的领域，它们之间相互依存、相互影响。
资本市场提供了融资、升值、投资和利润分配的渠道，企业理财则是指企业在经营中进行资金收支管理、风险管理、财务决策等方面的活动。
本文将从理论和实务两个方面对这两个领域进行研究。
一、资本市场理论资本市场是指各种金融工具在投资者之间进行的买卖活动的总称。
其目的是为了提供融资、投资、风险管理和资金增值等服务，同时也为了协调社会资源的配置，提高社会效率。
资本市场理论主要研究资本市场的形成、发展和运作，并探究资本市场对经济发展的影响。
1. 资本市场的形成和发展资本市场最早起源于17世纪欧洲，逐渐发展成为全球性的金融体系。
资本市场的形成和发展受到多种因素的影响，例如政治、经济、法律和制度等方面的因素。
资本市场的主要发展阶段包括：发展初期阶段、规范发展阶段、市场化发展阶段和国际化阶段。
2. 资本市场的运作原理资本市场的运作主要有两种形式：股票市场和债券市场。
股票市场是指股票的买卖交易，股票是公司发行的一种证明股东持有公司部分所有权的证券。
债券市场是指债券的买卖交易，债券是指企业或政府发行的一种证明借款人应还借款和利息的证券。
资本市场运作的主要原理是价格发现、信息披露和投资者保护。
资本市场对经济发展的影响有多个方面，主要包括：提供融资、促进投资、调节资源配置、提高效率和促进国际经济交流。
企业理财是指企业在经营中进行资金收支管理、风险管理、财务决策等方面的活动。
企业理财理论主要研究企业资金管理的原则和方法，并提供具体的实践指导。
企业理财实务则是指企业在实际经营中进行资金管理、财务决策和风险管理等方面的具体操作。
1. 企业理财的原则和方法企业理财的原则和方法有多种，主要包括：资金成本最小化、现金流管理、风险管理、资产负债管理、融资决策和投资决策等。
企业在进行理财决策时，需要综合考虑多种因素，例如企业规模、资本结构、市场环境、经济周期和竞争状况等。
资本成本通俗解释
资本成本通俗解释资本成本是指企业应该付出的资金成本，这个成本要求企业面对市场价格按照“最优决策”把资金转化为最有利的利润机会。
它一般用来衡量资金的生产效率，以及企业的投资行为和风险承受能力。
从投资理论的角度来讲，资本成本是一个投资者在获得一定投资收益前，必须承受的投资成本。
它反映出资金投资可以获得的期望回报，也是投资者最终受益的比率。
资本成本的计算可以分为内部资本成本和外部资本成本两类。
内部资本成本是指一定投资费用，即财务费用、资本金成本等，它反映出企业在自由市场上获得资金所必须付出的成本。
外部资本成本则是指投资者在投资收益前所必须付出的资金成本，这种成本可以把市场上存在的风险加入考虑之中。
计算资本成本可以利用“资本资产定价模型”（CAPM），它是一种在财务理论中用来测算一定投资收益年化率的模型，而结果就是资本成本。
CAPM的核心思想是，投资者的投资收益（超额收益）与其预期的市场风险度有关，这种风险度反映在一定的投资收益率上，这就是资本成本的概念。
企业的投资行为通常依据几个原则，其中最重要的原则就是最大化投资回报即要使投资回报大于资本成本，使企业整体投资收益最大化。
这样一来，企业就可以按照自己的投资行为带来的收益与资本成本之间的关系，来分析各种投资行为所带来的投资效果。
资本成本是影响企业投资行为的重要参考基础，它可以帮助企业通过评估投资收益带来的财务风险而使投资效益最大化。
它可以为企业的财务管理提供一个客观的标准，以评估决策过程中所承受的经济收益和风险。
资本成本的计算不仅仅需要考虑企业内部因素，还要考虑外部环境因素，这样才能更准确地评估企业投资行为带来的收益。
此外，资本成本也与企业的财务目标密切相关，因此企业投资者应当结合自身的投资状况和长远目标，认真分析资本成本，以便为投资做出更好的决策。
总之，资本成本是投资者选择投资的重要参考标准之一，也是企业进行投资决策的重要依据。
很明显，正确计算准确的资本成本能帮助企业和投资者判断投资是否合算，并有助于投资决策的可行性，为企业实现最大投资回报提供了充足的帮助。
第七章 资本成本 《公司理财》ppt课件
第三节 个别资本成本
一、债务资本成本 （一）长期借款的资本成本
长期借款资本成本
利息（1-所得税率） 借款总额（1-筹资费率）
Kl I (1 T ) L(1 Fl)
考虑货币的时间价值
L(1 Fl)
n t 1
It (1 Kl)t
P (1 Kl)n
K' l
Kl(1T )
（二）长期债券的资本成本
二、边际资本成本的应用
第六节 WACC计算实例
（1）估算每个部门的股权资本成本和债务成 本；
（2）确定每个部门的目标资本结构； （3）用目标资本结构对债务、股权等单项资
本成本进行加权，从而确定每个部门的加权资 本成本； （4）利用各部门的资本成本计算整个公司的 加权资本成本。
混合证券Hybrid Securities 可转换债券 优先股
股权 Equity 普通股 认股权证
固定索取权 在财务困难时有较高的优先权 可减免税收 固定期限 无管理控制权
既有 债务 特征 又有 股权 特征
剩余索取权 在财务困难时优先权最低 无税收减免 无期限 有管理控制权
对现金流量的要求不同
第二节 资本成本概述
K' b
Kb(1 T )
二、权益资本成本 （一）优先股的资本成本
优先股资本成本
年股利率 发行价格（1-发行费率）
Kp Dp P(1 Fp)
（二）普通股的资本成本 1.股利增长模型法
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2.资本资产定价模பைடு நூலகம்法
Kc Rf (Rm Rf )
3.风险溢价法
第一节 企业的融资方式
债务性融资 权益性融资
Types of Financing
资本成本、公司理财和投资理论
读《资本成本、公司理财和投资理论》对于现代金融学来说，投资组合理论、MM定理、CAPM和APT是其赖以发展的基石.我们小组研读的这篇《资本成本、公司理财和投资理论》由莫迪格里尼和米勒于1958年发表于《美国经济评论》，在这篇文章中,作者提出：在一定的条件下，企业无论以负债筹资还是以权益资本筹资都不影响企业的市场总价值。
因为,如果企业偏好债务筹资,债务比例相应上升，企业的风险随之增大，股票价格就会下降。
企业从债务筹资上得到的好处会被股票价格的下跌所抹掉,从而导致企业的总价值（股票加上债务）不变。
企业以不同的方式筹资只是改变了企业的总价值在股权者和债权者之间分割的比例，却不改变企业价值的总额.这就是被誉为现代金融学benchmark之一的“MM定理”。
一、问题的提出本文开篇，作者就提出了“什么是资本成本”的问题。
从资本成本的角度出发考虑公司理性决策问题。
而这一问题的衡量标准有两个①利润最大化；②公司价值最大化。
作者首先详细分析了传统理论中关于资本成本影响理性公司投资决策的研究中，没有考虑风险因素而带来的种种不足：不考虑风险则两大衡量标准一致，都是在投资收益率高于等于利率时投资,债务融资和股权融资的资本成本都等于债券利率。
作者指出，传统分析方法如采用确定性等价的近似分析法——在期望收益中加上风险折现（或在市场利率的基础上加上风险溢价）——在微观层面上的价值很小。
考虑风险因素时，采用利润最大化标准的思路无法解决很多问题※，因而作者提出应当选用市场价值最大化作为衡量公司投资决策是否理性的标准。
由这个标准出发考虑资本成本,进一步研究公司的资本结构与公司价值之间的关系。
基于市场价值最大化,可以提供一个可以操作的资本成本的定义和可行的投资理论。
在这种方法下，任何投资项目和相关的融资计划仅需要考虑:该融资项目是否能增加公司股票的市场价值。
这种思路完全独立于当前所有者的偏好，很好的解决了利润最大化无法解决的问题。
二、本文的基本思路和前提假设论文的第一部分是基本理论本身（命题1和命题2)和相关经验性的简介。
《财务管理学》MM理论专题
中国药科大学国际商学院 常峰
MM理论-3
MM理论的文献的译文来源
弗兰科· 莫迪利亚尼（Modigliani, F.）著.莫迪利 亚尼文萃. 林少宫译.北京：首都经济贸易大学出 版社. 2001年.106-165.
中国药科大学国际商学院 常峰
MM理论-4
“弗兰克· 莫迪利亚尼的研究 的主要方向是家庭储蓄和金 融市场的运行。莫迪利亚尼 教授现在获奖的研究成果涉 及家庭储蓄生命周期假设的 建立与发展和用于企业和资 本成本计价的MM定理的系 统阐述。这两方面紧密相关 的成就都涉及家庭财产的管 理：一方面涉及总价值，另 一方面涉及总价值的构成。”
解读文献一：
资本成本、公司财务与投资理论
Modigliani, F. and Miller, MH. The Cost of Capital, Corporation Finance and the Theory of Investment. American Economic Review, 48(3), June 1958, pp2161~2197.
中国药科大学国际商学院 常峰
MM理论-22
1.2 债务筹资及其对证券价格的影响
由（a）推知，除了相差一个数量因子外， 所有债券必有完全相同的售价。 由（b）推知，所有债券的每元价值的报酬 必有同一售价，记这一报酬率为r，并称利息率， 或等价地称为确定性流量的资本化率。
中国药科大学国际商学院 常峰
MM理论-23
中国药科大学国际商学院 常峰
MM理论-27
首先，V2大于V1的情况
考虑某投资者持有s2元价值的公司2股份， 占总股票S2的一个比例 ，在均匀性假设下， 两公司的总报酬X1和X2在任何情况下都是相同， 下面将使用共同的符号X表示。从而，该投资 者初始资产的报酬Y2为： （1.5） Y2 ( X rD2 )
资本成本,公司财务和投资理论【外文翻译】
外文翻译原文The Cost of Capital, Corporation Finance and Theory of InvestmentMaterial Source: http://ww.jstor.or Author: Franco Modigliani; Merton H. MillerA. Capital Structure and Investment PolicyOn the basis of our propositions with respect to cost of capital and financial structure (and for the moment neglecting tans), we can coercive the following simple rule for optimal investment policy by the firm:Proposition III. If a firm in class is acting in the best interest of the stockholders at the time of the decision, it will exploit an investment opportunity if and only if the rate of return on the investment, say , is as large as or larger than . That is, the cut-off point for investment in the firm will in all cases be and will be completely unaffected by the type of security used to finance the investment. Equivalently, we may say that regardless of the financing used, the marginal cost of capital to a firm is equal to the average cost of capital, which is in turn equal to the capitalization rate for an unlevered stream in the class to which the firm belongs.To establish this result we will consider the three major financing alternatives open to the firm-bonds, retained earnings, and common stock issues-and show that in each case an investment is worth undertaking if, and only if,.Consider first the case of an investment financed by the sale of bonds. We know from Proposition I that the market value of the firm before the investment was undertaken was:(20)And that the value of the common stock was:（21）If now the firm borrows I dollars to finance an investment yielding its market value will become:（22）And the value of its common stock will be:（23）Or using equation 21,（24）HenceTo illustrate, suppose the capitalization rate for uncertain streams in the class is 10 per cent and the rate of interest is 4 per cent. Then if a given company had an expected income of 1,000 and if it were financed entirely by common stock we know from Proposition I that the market value of its stock would be 10,000. Assume now that the managers of the firm discover an investment opportunity which will require an outlay of 100 and which is expected to yield 8 per cent. At first sight this might appear to be a profitable opportunity since the expected return is double the interest cost. If, however, the management borrows the necessary 100 at 4 per cent, the total expected income of the company rises to 1,008 and the market value of the firm to 10,080. But the firm now will have 100 of bonds in its capital structure so that, paradoxically, the market value of the stock must actually be reduced from 10,000 to 9,980 as a consequence of this apparently profitable investment. Or, to put it another way, the gains from being able to tap cheap, borrowed funds are more than offset for the stockholders by the market's discounting of the stock for the added leverage assumed.Consider next the case of retained earnings. Suppose that in the course of its operations the firm acquired I dollars of cash (without impairing the earning power of its assets). If the cash is distributed as a dividend to the stockholders their wealth , after the distribution will be:(25)Where represents the expected return from the assets exclusive of I in question. If however the funds are retained by the company and used to finance newassets whose expected rate of return is , then the stockholders' wealth would become:(26)Clearly as so that an investment financed by retained earnings raises the net worth of the owners if and only if .Consider finally, the case of common-stock financing. Let Po denote the current market price per share of stock and assume, for simplicity, that this price reflects currently expected earnings only, that is, it does not reflect any future increase in earnings as a result of the investment under consideration. Then if N is the original number of shares, the price per share is:(27)And the number of new shares, M, needed to finance an investment of I dollars is given by:(28)As a result of the investment the market value of the stock becomes:And the price per share:(29)Since by equation (28), I= M Po, we can add M Po and subtract from the quantity in bracket, obtaining:(30)and only if.Thus an investment financed by common stock is advantageous to the current stockholders if and only if its yield exceeds the capitalization rate .Once again a numerical example may help to illustrate the result and make it clear why the relevant cut-off rate is and not the current yield on common stock,i.e. Suppose that is 10 per cent, r is 4 per cent, that the original expected income of our company is 1,000 and that management has the opportunity of investing 100 having an expected yield of 12 per cent. If the original capital structure is 50 per cent debt and 50 per cent equity, and 1,000 shares of stock are initially outstanding, then, by Proposition I, the market value of the common stock must be 5,000 or 5 per share. Furthermore, since the interest bill is .045,000 =200, the yield on common stock is 800/5,000=16 per cent. It may then appear that financing the additional investment of 100 by issuing 20 shares to outsiders at 5 per share would dilute the equity of the original owners since the 100 promises to yield 12 per cent whereas the common stock is currently yielding 16 per cent. Actually, however, the income of the company would rise to 1,012; the value of the firm to 10,120; and the value of the common stock to 5,120. Since there are now 1,020 shares, each would be worth 5.02 and the wealth of the original stockholders would thus have been increased. What has happened is that the dilution in expected earnings per share (from .80 to .796) has been more than offset, in its effect upon the market price of the shares, by the decrease in leverage.Our conclusion is, once again, at variance with conventional views, so much so as to be easily misinterpreted. Read hastily, Proposition III seems to imply, that the capital structure of a firm is a matter of indifference; and that, consequently, one of the core problems of corporate finance-the problem of the optimal capital structure for a firm-is no problem at all. It may be helpful, therefore, to clear up such possible misunderstandings.B. Proposition III and Financial Planning by FirmsMisinterpretation of the scope of Proposition III can be avoided by remembering that this Proposition tells us only that the type of instrument used to finance an investment is irrelevant to the question of whether or not the investment is worth while. This does not mean that the owners (or the managers) have no grounds whatever for preferring one financing plan to another; or that there are no other policy or technical issues in finance at the level of the firm.That grounds for preferring one type of financial structure to another will still exist within the framework of our model can readily be seen for the case of common-stock financing. In general, except for something like a widely publicized oil-strike, we would expect the market to place very heavy weight on current and recent past earnings in forming expectations as to future returns. Hence, if the owners of a firm discovered a major investment opportunity which they feltwould yield much more than ,they might well prefer not to finance it via common stock at the then ruling price, because this price may fail to capitalize the new venture. A better course would be a pre-emptive issue of stock (and in this connection it should be remembered that stockholders are free to borrow and buy). Another possibility would be to finance the project initially with debt. Once the project had reflected itself in increased actual earnings, the debt could be retired either with a11 equity issue at much better prices or through retained earnings. Still another possibility along the same lines might be to combine the two steps by means of a convertible debenture or preferred stock, perhaps with a progressively declining conversion rate. Even such a double-stage financing plan may possibly be regarded as yielding too large a share to outsiders since the new stockholders are, in effect, being given an crest in any similar opportunities the firm may discover in the future. If there is a reasonable prospect that even larger opportunities may arise in the near future and if there is some danger that borrowing now would preclude more borrowing later, the owners might find their interests best protected by splitting off the current opportunity into a separate subsidiary with independent financing. Clearly the problems involved in making the crucial estimates and in planning the optimal financial strategy are by no means trivial, even though they should have no bearing on the basic decision to invest (as long as ) .Another reason why the alternatives in financial plans may not be matter of indifference arises from the fact that managers are concerned with more than simply furthering the interest of the owners. Such other objectives of the management-which need not be necessarily in conflict with those of the owners-are much more likely to be served by some types of financing arrangements than others. In many forms of borrowing agreements, for example, creditors are able to stipulate terms which the current management may regard as infringing on its prerogatives or restricting its freedom to maneuver. The creditors might even be able to insist on having a direct voice in the formation of policy. To the extent, therefore, that financial policies have these implications for the management of the firm, something like the utility approach described in the introductory section becomes relevant to financial (as opposed to investment) decision-making. It is, however, the utility functions of the managers per se and not of the owners that are now involved.In summary, many of the specific considerations which bulk so large in traditional discussions of corporate finance can readily be superimposed on our simple framework without forcing any drastic (and certainly no systematic)alteration of the conclusion which is our principal concern, namely that for investment decisions, the marginal cost of capital isC. The Effect of the Corporate Income Tax on Investment DecisionsIn Section I it was shown that when an disintegrated corporate income tax is introduced, the original version of our Proposition I,Must be rewritten as:(11)Throughout Section I we found it convenient to refer to as the cost of capital. The appropriate measure of the cost of capital relevant to investment decisions, however, is the ratio of the expected return before taxes to the market value, i.e. , . From (11) above we find:（31）Which shows that the cost of capital now depends on the debt ratio, decreasing, as D/V rises, at the constant rate . Thus, with a corporate income tax under which interest is a deductible expense, gains can accrue to stockholders from having debt in the capital structure, even when capital markets are perfect. The gains however are small, as can be seen from (31), and as will be shown more explicitly below.From (31) we can develop the tax-adjusted counterpart of Proposition III by interpreting the term D/V in that equation as the proportion of debt used in any additional financing of V dollars. For example, in the case where the financing is entirely by new common stock, D=0 and the required rate of return S on a venture so financed becomes:（32）For the other extreme of pure debt financing D= V and the required rate of return, D, becomes:(33)For investments financed out of retained earnings, the problem of defining the required rate of return is more difficult since it involves a comparison of the tax consequences to the individual stockholder of receiving a dividend versus having a capital gain. Depending on the time of realization, a capital gain produced by retained earnings may be taxed either at ordinary income tax rates,50 per cent of these rates, 25 per cent, or zero, if held till death. The rate on any dividends received in the event of a distribution will also be a variable depending on the amount of other income received by the stockholder, and with the added complications introduced by the current dividend-credit provisions. If we assume that the managers proceed on the basis of reasonable estimates as to the average values of the relevant tax rates for the owners, then the required return for retained earnings R can be shown to be:（34）Where the assumed rate of personal income tax on dividends and is the assumed rate of tax on capital gains.A numerical illustration may perhaps be helpful in clarifying the relationship between these required rates of return. If we take the following round numbers as representative order-of-magnitude values under present conditions: an after-tax capitalization rate of 10 per cent, a rate of interest on bonds of 4 per cent, a corporate tax rate of 50 per cent, a marginal personal income tax rate on dividends of 40 per cent (corresponding to an income of about $25,000 on a joint return), and a capital gains rate of 20 per cent (one-half the marginal rate on dividends), then the required rates of return would be: (1) 20 per cent for investments financed entirely by issuance of new common shares; (2) 16 per cent for investments financed entirely by new debt; and (3) 15 per cent for investments financed wholly from internal funds.These results would seem to have considerable significance for current discussions of the effect of the corporate income tax on financial policy and on investment. Although we cannot explore the implications of the results in any detail here, we should at least like to call attention to the remarkably small difference between the "cost" of equity funds and debt funds. With the numerical valuesassumed, equity money turned out to be only 25 per cent more expensive than debt money, rather than something on the order of 5 times as expensive as is commonly supposed to be the case. The reason for the wide difference is that the traditional view starts from the position that debt funds are several times cheaper than equity funds even in the absence of taxes, with taxes serving simply to magnify the cost ratio in proportion to the corporate rate. By contrast, in our model in which the repercussions of debt financing on the value of shares are taken into account, the only difference in cost is that due to the tax effect, and its magnitude is simply the tax on the "grossed up" interest payment. Not only is this magnitude likely to be small but our analysis yields the further paradoxical implication that the stockholders' gain from, and hence incentive to use, debt financing is actually smaller the lower the rate of interest. In the extreme case where the firm could borrow for practically nothing, the advantage of debt financing would also be practically nothing.译文资本成本,公司财务和投资理论资料来源: / 作者：莫迪格利尼和米勒A 资本结构和投资政策在我们假设的基础上关于资本成本和财务结构，我们可以得出以下简单的关于企业最优投资政策的规律：命题Ⅲ：如果一个属于k 层级的企业在做决策的时候总是在股票持有者认为的最佳利率的行动，那么他将开发一个投资机会仅且仅当投资的期望回收利率*ρ大于或者等于k ρ时。
资本成本,公司财务和投资理论【外文翻译】
外文翻译THE COST OF CAPITAL, CORPORATION FINANCE AND THETHEORY OF INVESTMIENTMaterial Source: American Economics Review,V ol.48,No.3(Jun,1958),261-297 Author:Franco Modigliani and Merton H. MillerWhat is the "cost of capital" to a firm in a world in which funds are used to acquire assets whose yields are uncertain; and in which capital can be obtained by many different media, ranging from pure debt instruments, representing money fixed claims, to pure equity issues, giving holders only the right to a prorata share in the uncertain venture.? This question has vexed at least three classes of economists: (1) the corporation finance specialist concerned with the techniques of financing firms so as to ensure their survival and growth; (2) the managerial economist concerned with capital budgeting; and (3) the economic theorist concerned with explaining investment behavior at both the micro and macro levels.In much of his formal analysis, the economic theorist at least has tended to sidestep the essence of this cost of capital problem by proceeding as though physical assets like bonds could be regarded as yielding known, sure streams. Given this assumption, the theorist has concluded that the cost of capital to the owners of a firm is simply the rate of interest on bonds; and has derived the familiar proposition that the firm, acting rationally, will tend to push investment to the point where the marginal yield on physical assets is equal to the market rate of interest. This proposition can be shown to follow from either of two criteria of rational decision making which are equivalent under certainty, namely (1) the maximization of profits and (2) the maximization of market value.According to the first criterion, a physical asset is worth acquiring if it will increase the net profit of the owners of the firm. But net profit will increase only if the expected rate of return, or yield, of the asset exceeds the rate of interest. According to the second criterion, an asset is worth acquiring if it increases the value of the owners' equity, i.e., if it adds more to the market value of the firm than the costs of acquisition. But what the asset adds is given by capitalizing the stream it generates at the market rate of interest, and this capitalized value will exceed its costif and only if the yield of the asset exceeds the rate of interest. Note that, under either formulation, the cost of capital is equal to the rate of interest on bonds, regardless of whether the funds are acquired through debt instruments or through new issues of common stock. Indeed, in a world of sure returns, the distinction between debt and equity funds reduces largely to one of terminology.It must be acknowledged that some attempt is usually made in this type of analysis to allow for the existence of uncertainty. This attempt typically takes the form of superimposing on the results of the certainty analysis the notion of a "risk discount" to be subtracted from the expected yield (or a "risk premium" to be added to the market rate of interest). Investment decisions are then supposed to be based on a comparison of this "risk adjusted" or "certainty equivalent" yield with the market rate of interest. No satisfactory explanation has yet been provided, however, as to what determines the size of the risk discount and how it varies in response to changes in other variables.Considered as a convenient approximation, the model of the firm constructed via this certainty or certainty equivalent approach has admittedly been useful in dealing with some of the grosser aspects of the processes of capital accumulation and economic fluctuations. Such a model underlies, for example, the familiar Keynesian aggregate investment function in which aggregate investment is written as a function of the rate of interest the same riskless rate of interest which appears later in the system in the liquidity preference equation. Yet few would maintain that this approximation is adequate. At the macroeconomic level there are ample grounds for doubting that the rate of interest has as large and as direct an influence on the rate of investment as this analysis would lead us to believe. At the microeconomic level the certainty model has little descriptive value and provides no real guidance to the finance specialist or managerial economist whose main problems cannot be treated in a framework which deals so cavalierly with uncertainty and ignores all forms of financing other than debt issues.Only recently have economists begun to face up seriously to the problem of the cost of capital cum risk. In the process they have found their interests and endeavors merging with those of the finance specialist and the managerial economist who have lived with the problem longer and more intimately. In this joint search to establish the principles which govern rational investment and financial policy in a world of uncertainty two main lines of attack can be discerned. These lines represent, in effect, attempts to extrapolate to the world of uncertainty each of the two criteriaprofitmaximization and market value maximization which were seen to have equivalent implications in the special case of certainty. With the recognition of uncertainty this equivalence vanishes. In fact, the profit maximization criterion is no longer even well defined. Under uncertainty there corresponds to each decision of the firm not a unique profit outcome, but a plurality of mutually exclusive outcomes which can at best be described by a subjective probability distribution. The profit outcome, in short, has become a random variable and as such its maximization no longer has an operational meaning. Nor can this difficulty generally be disposed of by using the mathematical expectation of profits as the variable to be maximized. For decisions which affect the expected value will also tend to affect the dispersion and other characteristics of the distribution of outcomes. In particular, the use of debt rather than equity funds to finance a given venture may well increase the expected return to the owners, but only at the cost of increased dispersion of the outcomes.Under these conditions the profit outcomes of alternative investment and financing decisions can be compared and ranked only in terms of a subjective "utility function" of the owners which weighs the expected yield against other characteristics of the distribution. Accordingly, the extrapolation of the profit maximization criterion of the certainty model has tended to evolve into utility maximization, sometimes explicitly, more frequently in a qualitative and heuristic form.The utility approach undoubtedly represents an advance over the certainty or certainty equivalent approach. It does at least permit us to explore (within limits)some of the implications of different financing arrangements, and it does give some meaning to the "cost" of different types of funds. However, because the cost of capital has become an essentially subjective concept, the utility approach has serious drawbacks for normative as well as analytical purposes. How, for example, is management to ascertain the risk preferences of its stockholders and to compromise among their tastes? And how can the economist build a meaningful investment function in the face of the fact that any given investment opportunity might or might not be worth exploiting depending on precisely who happen to be the owners of the firm at the moment?Fortunately, these questions do not have to be answered; for the alternative approach, based on market value maximization, can provide the basis for an operational definition of the cost of capital and a workable theory of investment. Under this approach any investment project and its concomitant financing plan mustpass only the following test: Will the project, as financed, raise the market value of the firm's shares? If so, it is worth undertaking; if not, its return is less than the marginal cost of capital to the firm. Note that such a test is entirely independent of the tastes of the current owners, since market prices will reflect not only their preferences but those of all potential owners as well. If any current stockholder disagrees with management and the market over the valuation of the project, he is free to sell out and reinvest elsewhere, but will still benefit from the capital appreciation resulting from man agement's decision.The potential advantages of the marketvalue approach have long been appreciated; yet analytical results have been meager. What appears to be keeping this line of development from achieving its promise is largely the lack of an adequate theory of the effect of financial structure on market valuations, and of how these effects can be inferred from objective market data.Our procedure will be to develop in Section I the basic theory itself and to give some brief account of its empirical relevance. In Section II, we show how the theory can be used to answer the cost of capital question and how it permits us to develop a theory of investment of the firm under conditions of uncertainty. Throughout these sections the approach is essentially a partial equilibrium one focusing on the firm and "industry." Accordingly, the "prices" of certain income streams will be treated as constant and given from outside the model, just as in the standard Marshallian analysis of the firm and industry the prices of all inputs and of all other products are taken as given. We have chosen to focus at this level rather than on the economy as a whole because it is at the level of the firm and the industry that the interests of the various specialists concerned with the cost-of-capital problem come most closely together. Although the emphasis has thus been placed on partial equilibrium analysis, the results obtained also provide the essential building blocks for a general equilibrium model which shows how those prices which are here taken as given, are themselves determined.With the development of Proposition III the main objectives we out- lined in our introductory discussion have been reached. We have in our Propositions I and II at least the foundations of a theory of the valuation of firms and shares in a world of uncertainty. We have shown, moreover, how this theory can lead to an operational definition of the cost of capital and how that concept can be used in turn as a basis for rational investment decision making within the firm. Needless to say, however, much remains to be done before the cost of capital can be put away on the shelfamong the solved problems. Our approach has been that of static, partial equilibrium analysis. It has assumed among other things a state of atomistic competition in the capital markets and an ease of access to those markets which only a relatively small (though important) group of firms even come close to possessing. These and other drastic simplifications have been necessary in order to come to grips with the problem at all. Having served their purpose they can now be relaxed in the direction of greater realism and relevance, a task in which we hope others interested in this area will wish to share.译文资本成本，公司财务和投资理论资料来源:美国经济评论作者：弗兰克·莫迪格利尼和莫顿·米勒对于一个企业来说什么是资本成本？资金用于收购资产的收益是不确定的，资本可以通过许多不同的渠道获取，可以发行债券、要求代表固定资金、发行普通股；只在不确定性风险下给予持有者同比例增长的权利。
公司理财第六章资本成本
债务比例越高，权益比率越低，综合资本成本 越低。但高杠杆会带来更大的财务风险。
公式
综合资本成本=权益资本成本占比 x 权益资本成 本 + 债务资本成本占比 x 债务资本成本 x (1 税率)。
折现率
考虑到资本价值的时间价值，所以要使用 WACC来计算净现值和内部回报率。
资本成本在投资决策中的应用
资本预算决策
对于预算决策，确定资本成本是 一项重要的考虑因素，是实现盈 利增长的关键步骤。
资产投资决策
决策者必须考虑资本成本作为 CPI（投资回报率）的一部分， 以判断投资的一项资产是否具有 价值。决策者还必须考虑资本成 本以避免由于高成本而产生的低 回报。
资本组合决策
资本成本计算是资本结构决策的 一部分，是决定企业最适合的资 本结构的唯一方法。
资本成本的风险因素
1
市场风险
可由股票失败或不符合预期的收益率产生。
2
商业透明度
好的商业透明度提高了投资者对企业的信心，可能会降低权益资本成本。
3
信贷风险
商誉贷款或受评级限制的公司会减少银行借贷的机会。
4
业务风险
与经营业务相同，包括客户口碑，工程的状况等其他情况。
评估资本成本时需考虑借贷 利率、股本收益要求、税费、 风险溢价等因素。
资本成本的计算方法Fra bibliotek按资产组合加权平均法
按资本结构加权平均法
计算出企业各项资产所占比重， 再分别按各项资产权益比率、债 务利率等计算出相应的资本成本， 最后将各项资产的资本成本加总。
将企业债务和股权的权益成本分 别计算出来，按照各项资本占总 资产比例进行加权平均，得到综 合资本成本。
投资就是要赚钱！
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读《资本成本、公司理财和投资理论》对于现代金融学来说，投资组合理论、MM定理、CAPM和APT是其赖以发展的基石。
我们小组研读的这篇《资本成本、公司理财和投资理论》由莫迪格里尼和米勒于1958年发表于《美国经济评论》，在这篇文章中，作者提出：在一定的条件下，企业无论以负债筹资还是以权益资本筹资都不影响企业的市场总价值。
因为，如果企业偏好债务筹资，债务比例相应上升，企业的风险随之增大，股票价格就会下降。
企业从债务筹资上得到的好处会被股票价格的下跌所抹掉，从而导致企业的总价值（股票加上债务）不变。
企业以不同的方式筹资只是改变了企业的总价值在股权者和债权者之间分割的比例，却不改变企业价值的总额。
这就是被誉为现代金融学benchmark之一的“MM定理”。
一、问题的提出本文开篇，作者就提出了“什么是资本成本”的问题。
从资本成本的角度出发考虑公司理性决策问题。
而这一问题的衡量标准有两个①利润最大化；②公司价值最大化。
作者首先详细分析了传统理论中关于资本成本影响理性公司投资决策的研究中，没有考虑风险因素而带来的种种不足：不考虑风险则两大衡量标准一致，都是在投资收益率高于等于利率时投资，债务融资和股权融资的资本成本都等于债券利率。
作者指出，传统分析方法如采用确定性等价的近似分析法——在期望收益中加上风险折现（或在市场利率的基础上加上风险溢价）——在微观层面上的价值很小。
考虑风险因素时，采用利润最大化标准的思路无法解决很多问题※，因而作者提出应当选用市场价值最大化作为衡量公司投资决策是否理性的标准。
由这个标准出发考虑资本成本，进一步研究公司的资本结构与公司价值之间的关系。
基于市场价值最大化，可以提供一个可以操作的资本成本的定义和可行的投资理论。
在这种方法下，任何投资项目和相关的融资计划仅需要考虑：该融资项目是否能增加公司股票的市场价值。
这种思路完全独立于当前所有者的偏好，很好的解决了利润最大化无法解决的问题。
二、本文的基本思路和前提假设论文的第一部分是基本理论本身（命题1和命题2）和相关经验性的简介。
第二部分在第一部分的基础商讨论有关资本成本的问题和不确定条件下公司投资理论的发展（命题3）。
作者采用局部均衡分析（不考虑税收、利率变化等），视确定收入现金流的价格连续的模型外生的量，在文中提出了三个命题。
其中，最重要的是命题1，命题2、3都是由命题1推导出来的。
MM定理的证明过程使用了套利均衡理论作为其主要的证明方法，最重要的假设前提是完美市场，在这个市场上无交易成本、无税收而且无套利。
这就保证了资本结构不影响公司现金流量，即在满足假定条件时分配给公司债权人和股东的所有未来现金流量之和不受资本结构影响。
MM定理的主要假设如下：1.公司拥有经济中的所有实物资产。
公司可以通过发行普通股和公司债的方式来筹集实物资产投资所需的资金。
先假定公司只能通过发行普通股来筹措资金，第一部分的下半部分再考虑公司发行债券或它们的等价物作为公司资金的来源。
2.假定一段时期后自然相应增加到某一股份的收益流的平均值是有限的、且对于概率分布而言是一个随机变量，取平均值的数学期望值作为这一股份的期望收益。
假设个人投资者关于期望收益的看法是一致的。
3.（战略性地位的假设）公司都可按一定的标准化为“等价收益类”，任一公司发行任何一类的股票的收益都可和其他公司发行的同类股票的收益成比例。
这一假设的重要性在于，可以把公司分成不同的组（类型），每一组里不同公司的股票都是“同类”的，即：彼此是可以替代的。
在任一类中，每一股的价格必须与其期望收益呈比例。
这个比例用连续变量ρk*表示。
4.资本市场为完全竞争市场，套利是自由的，交易成本忽略不计。
5.所有的债券（公司融资债券和个人的负债）均可获得一个稳定而固定的收益率。
公司利用公司融资时的利率与个人用股票担保借入资金时的利率均为一定并且相等。
同时，不考虑利率的期限结构。
6.公司投融资的目的是企业市场价值最大化，与股东利益最大化一致。
7.利率不随着杠杆经营而增长。
本文作者通过分析论证：在完全竞争的市场环境中，企业的价值与企业资本结构无关。
但在考虑公司税赋成本时，由于利息支出为税前列支项目，而股利为税后项目，因而债务融资成本低于股权融资，随着企业资本结构中的负债率的提高，企业价值也得以增加，最理想的企业资本结构是100%债务融资。
三、命题的提出及推导过程命题1：即：任何公司的市场价值独立于资本结构之外，是其期望收益与它的类相关的比率（资本化率）。
将上述恒等式变形为：。
即：任何公司的平均资本成本完全独立于它的资本结构，并等于它所属类的纯股票流的资本化率。
推导：要证明上述命题成立，只需证明如果时，套利将发生恢复这种相等关系。
证明如下：假定属同一类的两家公司1和公司2的预期收益相同，即预期收益；为债券利率，根据假设5有公司债券利率和个人信用借债利率相同。
公司1：完全普通股融资，资本结构为，：公司2：资本结构既含股又含债为，。
情形一：时，可构造如下投资组合：——投资者持有的公司2的股份，即：。
投资收益——投资者持有公司1的股份且，其中为投资者最初持有，部分是投资者个人信用借入；因为，则投资收益套利过程，最终使得；情形二：时，可构造如下投资组合：——投资者持有的公司1的股份，即：投资收益——投资者持有公司2的数量为的股份和数量为的债券，且。
其中，；投资收益套利过程，最终使得。
命题1证毕。
命题2：对于属于k类的任何公司j，其在股票上的期望收益或产出率i可用杠杆的线性函数表示成：。
其中，代表每股期望收益率，代表与融资风险相关的贴水，代表公司的杠杆，代表k类中每股纯股票流的资本化率。
推导：，将代入命题等式中的右边有：右边左边：；显然命题等式中左边=右边，命题2证毕。
仔细观察将其变形可得：这个公式与后来的CAPM定价公式极为相似。
可以看出二者之间关系紧密，且都使用套利均衡理论为主要证明方法。
命题3：公司投资的截止点在任何情况下都是，并且完全不受融资的证券类型的影响。
即不考虑公司所使用的融资方式，一个公司的边际资本成本等同于资本的平均成本，后者接着等于公司所属类的非杠杆经营流的资本化率。
命题3实际上基于前面两个命题成立的情况下（忽略税收不计）给出的投资政策——若k类中的一公司在决策时按照最有利于股东利益的行为进行，当且仅当投资收益率时才会利用投资机会。
推导：考虑三种融资方式——债券、留存收益和发行普通股——每一种情况下，当且仅当投资收益率时才会利用投资机会。
⑴发行债券融资；最有利于股东利益的目标——股票市场价值增加投资前：投资：则：显然，时，，根据目标，则只有时才会利用投资机会。
⑵利用留存收益；最有利于股东利益的目标：股东财富增加A：公司将留存收益（不损害其资产的盈利能力）作为股息分配到股东，分配后股东财富B：公司将留存收益用于筹措期望收益率为的新资产，投资后股东财富显然，时，，根据目标，则只有时才会利用投资机会。
⑶发行普通股融资；最有利于股东利益的目标：股票价格上升代表每股股票的当前市场价值（只反映当前的期望收益）代表原来股票数量代表发行的新股数量，有如下关系：，发行新股后，显然，时，，根据目标，则只有时才会利用投资机会。
命题3证毕。
根据命题3，似乎很容易得出一个结论，就是既然公司投资的标准是，那么不需要考虑选择哪项融资工具（债券、留存收益和发行普通股）。
作者指出，这样的结论是错误的。
虽然，根据命题3融资工具类型与投资无关，但是，所有者或者经理的偏好、选择将导致融资计划的不同。
由于经理的目标不一定等于增加所有者利益，或者经理人的其他目标（这些目标不一定与所有者的目标冲突）使得经理人更可能选择某一而不是其他类型的融资安排。
例如，许多借款协议中，债权人可以规定一些条件，而管理层会认为这些条件冒犯了它的特权或限制了它可操作的自由而不选择借款协议。
在现实中，经理人考虑到普通股可能会导致投资的资本化无效，首先不会选择普通股融资。
比较常见的融资方式选择是①发行优先购股权；②债务融资；③可转换债券或优先股。
而决定经理人的偏好就需要考察经理人的效用函数而不是所有者的效用函数。
对于这个问题，在本文中作者并没有深入讨论。
考虑税收的影响：此前的三大命题分析中并没有考虑税后的影响，作者在文章最后一部分考虑了税收以后的资本成本（股票、债券、留存收益）问题。
为了简化分析，作者使用的是平均税率，用表示公司所得税率。
考虑公司所得税以后，化简后有：，显然，当时，以下降。
作者得出的结论是：对利息作为扣除费用的公司所得税，股东可以从有债务的资本结构中获得累积的利得，这种利得很小。
当D=0，即全部发股融资时，利用股票融资的平均资本成本：；当D=V，即全部发债融资时，利用债券融资的平均资本成本：；当公司全部利用留存收益融资时，令代表股利个人所得税，代表资本利得税；则利用留存收益融资的平均资本成本为：作者最后还举了一个例子，当=10%，=4%，=50%，=40%，= =20%。
代入上述公式可得=20%；=16%；=15%。
可以看出三种融资方式的平均资本成本是逐渐下降的，这也暗含了优序融资（pecking order）的思想。
四、MM定理的实证分析基础命题的一些限制和扩展，现有的方法和结论可以衍生到很多有用的方面，在这里我们仅考虑3点：（1）允许税前的利息扣除（2）承认债券和利率的多样性存在（3）承认现实市场的不完善可能会影响套利行为在这一部份中前两个将要在这一部份给予简要的说明，在第二部分中将对税收问题作进一步的说明。
市场的不完善将要在1部分说明。
现代方法中公司税收的效应。
利息在计算公司利润中的扣除将会阻止套利行为，而套利行为使给定类型的所有企业的价值与其实物资产所产生的预期收益成比例。
相反，每一类型的企业的市场价值与其扣税以后的预期收益（也就是，所支付的利息和预期的股东净收入之和）成比例。
这也就是说我们将用扣税后的总收入来代替原来的，将原命题一盒命题二改写。
虽然改写后命题的形式没有受影响，但有一些解释必须改变。
特别是，税后资本化率不能再解释为资本的平均成本。
和真实的平均成本之间的差别，在我们看来与公司的投资计划有关。
为了描述市场行为，也就是我们所关心的，这种差别是不重要的。
虽然只有在不考虑税收的情况下两者才是严格一致的，但为了表达简单和标准论文中术语的连贯性，我们仍然把视为资本的平均成本。
债券和利率多样性的效果。
在现存的资本市场上，我们发现不是一个而是所有的利率都会根据期限，贷款技术规定，现实目的的相关性，和贷款者融资条件的不同而不同。
经济理论和市场经验都说明随着贷款企业（或个人）债务与股权比率的上升，借款人所要求的收益增加。
如果是这样，我们可以假设存在这样的一个收益曲线，不论其具体的形式是怎么样的，它对所有贷款者都是一样的，然后我们可以将我们的命题扩展成借款供给递增的曲线。