第十七章 杠杆企业的估价与资本预算

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-0Prospectus•Recallthattherearethreequestionsincorporatefinance.•Thefirstregardswhatlong-terminvestmentsthefirmshouldmake(thecapitalbudgetingquestion).•Thesecondregardstheuseofdebt(thecapitalstructurequestion).•Thischapteristhenexusofthesequestions.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-1ChapterOutline17.1AdjustedPresentValueApproach17.2FlowstoEquityApproach17.3WeightedAverageCostofCapitalMethod17.4AComparisonoftheAPV,FTE,andWACCApproaches17.5CapitalBudgetingWhentheDiscountRateMustBeEstimated17.6APVExample17.7BetaandLeverage17.8SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-217.1AdjustedPresentValueApproach•Thevalueofaprojecttothefirmcanbethoughtofasthevalueoftheprojecttoanunleveredfirm(NPV)plusthepresentvalueofthefinancingsideeffects(NPVF):•Therearefoursideeffectsoffinancing:–TheTaxSubsidytoDebt–TheCostsofIssuingNewSecurities–TheCostsofFinancialDistress–SubsidiestoDebtFinancingNPVFNPVAPVMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-3APVExampleConsideraprojectofthePearsonCompany,thetimingandsizeoftheincrementalafter-taxcashflowsforanall-equityfirmare:01234-$1,000$125$250$375$50050.56$)10.1(500$)10.1(375$)10.1(250$)10.1(125$000,1$%10432%10NPVNPVTheunleveredcostofequityisr0=10%:Theprojectwouldberejectedbyanall-equityfirm:NPV0.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-4APVExample(continued)•Now,imaginethatthefirmfinancestheprojectwith$600ofdebtatrB=8%.•Pearson’staxrateis40%,sotheyhaveaninteresttaxshieldworthTCBrB=.40×$600×.08=$19.20eachyear.NPVFNPVAPVThenetpresentvalueoftheprojectunderleverageis:41)08.1(20.19$50.56$ttAPV09.7$59.6350.56$APVSo,Pearsonshouldaccepttheprojectwithdebt.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-5APVExample(continued)•NotethattherearetwowaystocalculatetheNPVoftheloan.Previously,wecalculatedthePVoftheinteresttaxshields.Now,let’scalculatetheactualNPVoftheloan:NPVFNPVAPV09.7$59.6350.56$APVWhichisthesameanswerasbefore.59.63$)08.1(600$)08.1()4.1(08.600$600$441loanttloanNPVNPVMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-617.2FlowstoEquityApproach•Discountthecashflowfromtheprojecttotheequityholdersoftheleveredfirmatthecostofleveredequitycapital,rS.•TherearethreestepsintheFTEApproach:–StepOne:Calculatetheleveredcashflows–StepTwo:CalculaterS.–StepThree:ValuationoftheleveredcashflowsatrS.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-7StepOne:LeveredCashFlowsforPearson•Sincethefirmisusing$600ofdebt,theequityholdersonlyhavetocomeupwith$400oftheinitial$1,000.•Thus,CF0=-$400•Eachperiod,theequityholdersmustpayinterestexpense.Theafter-taxcostoftheinterestisB×rB×(1-TC)=$600×.08×(1-.40)=$28.8001234-$400$221.20CF2=$250-28.80$346.20CF3=$375-28.80-$128.80CF4=$500-28.80-600CF1=$125-28.80$96.20McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-8StepTwo:CalculaterSforPearson•Tocalculatethedebttoequityratio,B/S,startwiththedebttovalueratio.Notethatthevalueoftheprojectis))(1(00BCSrrTSBrr41432)08.1(20.19)10.1(500$)10.1(375$)10.1(250$)10.1(125$ttPVB=$600whenV=$1,007.09soS=$407.09.%77.11)08.10)(.40.1(09.407$600$10.Sr09.007,1$59.6350.943$PVMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-9StepThree:ValuationforPearson•DiscountthecashflowstoequityholdersatrS=11.77%01234-$400$96.20$221.20$346.20-$128.8056.28$)1177.1(80.128$)1177.1(20.346$)1177.1(20.221$)1177.1(20.96$400$432PVPVMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-1017.3WACCMethodforPearson•Tofindthevalueoftheproject,discounttheunleveredcashflowsattheweightedaveragecostofcapital.•SupposePearsonInc.targetdebttoequityratiois1.50)1(CBSWACCTrBSBrBSSr%58.7)40.1(%)8()60.0(%)77.11()40.0(WACCWACCrrSB50.1BS5.160.05.25.15.15.1SSSBSB40.060.01BSSMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-11ValuationforPearsonusingWACC•Tofindthevalueoftheproject,discounttheunleveredcashflowsattheweightedaveragecostofcapital432)0758.1(500$)0758.1(375$)0758.1(250$)0758.1(125$000,1$NPV68.6$%88.6NPVMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-1217.4AComparisonoftheAPV,FTE,andWACCApproaches•Allthreeapproachesattemptthesametask:valuationinthepresenceofdebtfinancing.•Guidelines:–UseWACCorFTEifthefirm’stargetdebt-to-valueratioappliestotheprojectoverthelifeoftheproject.–UsetheAPViftheproject’slevelofdebtisknownoverthelifeoftheproject.•Intherealworld,theWACCisthemostwidelyusedbyfar.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.17-13Summary:APV,FTE,andWACCAPVWACCFTEInitialInvestmentAllAllEquityPortionCashFlowsUCFUCFLCFDiscountRatesr0rWA