第十五章资本结构：基本概念

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-0ChapterOutline15.1TheCapital-StructureQuestionandThePieTheory15.2MaximizingFirmValueversusMaximizingStockholderInterests15.3FinancialLeverageandFirmValue:AnExample15.4ModiglianiandMiller:PropositionII(NoTaxes)15.5Taxes15.6SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-1TheCapital-StructureQuestionandThePieTheory•Thevalueofafirmisdefinedtobethesumofthevalueofthefirm’sdebtandthefirm’sequity.•V=B+SValueoftheFirmSB•Ifthegoalofthemanagementofthefirmistomakethefirmasvaluableaspossible,thethefirmshouldpickthedebt-equityratiothatmakesthepieasbigaspossible.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-2TheCapital-StructureQuestionTherearereallytwoimportantquestions:1.Whyshouldthestockholderscareaboutmaximizingfirmvalue?Perhapstheyshouldbeinterestedinstrategiesthatmaximizeshareholdervalue.2.Whatistheratioofdebt-to-equitythatmaximizestheshareholder’svalue?Asitturnsout,changesincapitalstructurebenefitthestockholdersifandonlyifthevalueofthefirmincreases.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-3FinancialLeverage,EPS,andROECurrentAssets$20,000Debt$0Equity$20,000Debt/Equityratio0.00Interestraten/aSharesoutstanding400Shareprice$50Proposed$20,000$8,000$12,0002/38%240$50Consideranall-equityfirmthatisconsideringgoingintodebt.(Maybesomeoftheoriginalshareholderswanttocashout.)McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-4EPSandROEUnderCurrentCapitalStructureRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest000Netincome$1,000$2,000$3,000EPS$2.50$5.00$7.50ROA5%10%15%ROE5%10%15%CurrentSharesOutstanding=400sharesMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-5EPSandROEUnderProposedCapitalStructureRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest640640640Netincome$360$1,360$2,360EPS$1.50$5.67$9.83ROA5%10%15%ROE3%11%20%ProposedSharesOutstanding=240sharesMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-6EPSandROEUnderBothCapitalStructuresLeveredRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest640640640Netincome$360$1,360$2,360EPS$1.50$5.67$9.83ROA5%10%15%ROE3%11%20%ProposedSharesOutstanding=240sharesAll-EquityRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest000Netincome$1,000$2,000$3,000EPS$2.50$5.00$7.50ROA5%10%15%ROE5%10%15%CurrentSharesOutstanding=400sharesMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-7FinancialLeverageandEPS(2.00)0.002.004.006.008.0010.0012.001,0002,0003,000EPSDebtNoDebtBreak-evenpointEBIindollars,notaxesAdvantagetodebtDisadvantagetodebtEBITMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-8AssumptionsoftheModigliani-MillerModel•HomogeneousExpectations•HomogeneousBusinessRiskClasses•PerpetualCashFlows•PerfectCapitalMarkets:–Perfectcompetition–Firmsandinvestorscanborrow/lendatthesamerate–Equalaccesstoallrelevantinformation–Notransactioncosts–NotaxesMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-9HomemadeLeverage:AnExampleRecessionExpectedExpansionEPSofUnleveredFirm$2.50$5.00$7.50Earningsfor40shares$100$200$300Lessintereston$800(8%)$64$64$64NetProfits$36$136$236ROE(NetProfits/$1,200)3%11%20%Wearebuying40sharesofa$50stockonmargin.WegetthesameROEasifweboughtintoaleveredfirm.Ourpersonaldebtequityratiois:32200,1$800$SBMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-10Homemade(Un)Leverage:AnExampleRecessionExpectedExpansionEPSofLeveredFirm$1.50$5.67$9.83Earningsfor24shares$36$136$236Plusintereston$800(8%)$64$64$64NetProfits$100$200$300ROE(NetProfits/$2,000)5%10%15%Buying24sharesofanother-wiseidenticalleveredfirmalongwiththesomeofthefirm’sdebtgetsustotheROEoftheunleveredfirm.ThisisthefundamentalinsightofM&MMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-11TheMMPropositionsI&II(NoTaxes)•PropositionI–FirmvalueisnotaffectedbyleverageVL=VU•PropositionII–Leverageincreasestheriskandreturntostockholdersrs=r0+(B/SL)(r0-rB)rBistheinterestrate(costofdebt)rsisthereturnon(levered)equity(costofequity)r0isthereturnonunleveredequity(costofcapital)BisthevalueofdebtSListhevalueofleveredequityMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-12TheMMPropositionI(NoTaxes)ULVVBrEBITBreceivefirmleveredainrsShareholdeBrBreceivesBondholderThederivationisstraightforward:BrBrEBITBB)(isrsstakeholdealltoflowcashtotaltheThus,ThepresentvalueofthisstreamofcashflowsisVLEBITBrBrEBITBB)(ClearlyThepresentvalueofthisstreamofcashflowsisVUMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.15-13TheMMPropositionII(NoTaxes)Thederivationisstraightforward:SBWACCrSBSrSBBr0setThenrrWACC0rrSBSrSBBSBSSBbysidesbothmultiply0rSSBrSBSSSBrSBBSSBSB0rSSBrrSBSB00rrSBrrS