第07章 资本结构

EBIT Interest Net income EPS ROA ROE
Currently 400 shares outstanding EPS = Net Income/ Shares ROA = EBIT/Assets ROE = Net Income/Equity = Net Income/$20,000
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资本结构与企业价值：馅饼理论
• 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
– B为负债的市场价值 – S为股东权益的市场价值
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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？
• 投资者（股东）偏好杠杆公司、还是偏好 无杠杆公司？
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）
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采用杠杆时的情形
EBIT Interest Net income EPS ROA ROE
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%
– 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。
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二、不考虑公司所得税的MM模型
• • • • 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.
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财务杠杆效应：举例
• 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.
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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.
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财务杠杆效应
• Since RD < RE, can’t we minimize WACC simply by increasing debt?
– As Debt/Equity increases, so does RE (and possibly RD). – Increasing debt makes the remaining equity riskier.
Shares bought = $8,000/$50 = 160
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无杠杆时的情形
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%
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
• 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。
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资本结构理论研究现状
• 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）。
Proposed shares: 400 - 160 = 240 Interest = 8%$8,000 = $640 ROE = Net Income/Equity = Net Income/$12,000
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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! • 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）。
• 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。)
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自制财务杠杆
Suppose investor has $1,200. If the firm does not adopt the new capital structure she can buy 24 shares at $50/share and borrow $800 to buy another 16 shares. Recession Expected Expansion EPS of Unlevered Firm $2.50 $5.00 $7.50 Earnings for 40 shares $100 $200 $300 Less interest on $800 (8%) $64 $64 $64 Net Profits $36 $136 $236 ROE (Net Profits / $1,200) 3% 11.3% 19.7% Investor buys 40 shares and gets the same ROE as if she bought into a levered firm. Investor’s personal debt-equity ratio is D/E = $800/$1200 = 2/3.