第十二章 风险、资本成本和资本预算

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-0ChapterOutline12.1TheCostofEquityCapital12.2EstimationofBeta12.3DeterminantsofBeta12.4ExtensionsoftheBasicModel12.5EstimatingInternationalPaper’sCostofCapital12.6ReducingtheCostofCapital12.7SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-1What’stheBigIdea?•Earlierchaptersoncapitalbudgetingfocusedontheappropriatesizeandtimingofcashflows.•Thischapterdiscussestheappropriatediscountratewhencashflowsarerisky.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-2Investinproject12.1TheCostofEquityCapitalFirmwithexcesscashShareholder’sTerminalValuePaycashdividendShareholderinvestsinfinancialassetBecausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturnonacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.AfirmwithexcesscashcaneitherpayadividendormakeacapitalinvestmentMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-3TheCostofEquity•Fromthefirm’sperspective,theexpectedreturnistheCostofEquityCapital:)(FMiFiRRβRR•Toestimateafirm’scostofequitycapital,weneedtoknowthreethings:1.Therisk-freerate,RFFMRR2.Themarketriskpremium,2,)(),(MMiMMiiσσRVarRRCovβ3.Thecompanybeta,McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-4Example•SupposethestockofStansfieldEnterprises,apublisherofPowerPointpresentations,hasabetaof2.5.Thefirmis100-percentequityfinanced.•Assumearisk-freerateof5-percentandamarketriskpremiumof10-percent.•Whatistheappropriatediscountrateforanexpansionofthisfirm?)(FMiFRRβRR%105.2%5R%30RMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-5Example(continued)SupposeStansfieldEnterprisesisevaluatingthefollowingnon-mutuallyexclusiveprojects.Eachcosts$100andlastsoneyear.ProjectProjectbProject’sEstimatedCashFlowsNextYearIRRNPVat30%A2.5$15050%$15.38B2.5$13030%$0C2.5$11010%-$15.38McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-6UsingtheSMLtoEstimatetheRisk-AdjustedDiscountRateforProjectsAnall-equityfirmshouldacceptaprojectwhoseIRRexceedsthecostofequitycapitalandrejectprojectswhoseIRRsfallshortofthecostofcapital.ProjectIRRFirm’srisk(beta)SML5%GoodprojectsBadprojects30%2.5ABCMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-712.2EstimationofBeta:MeasuringMarketRiskMarketPortfolio-Portfolioofallassetsintheeconomy.Inpracticeabroadstockmarketindex,suchastheS&PComposite,isusedtorepresentthemarket.Beta-Sensitivityofastock’sreturntothereturnonthemarketportfolio.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-812.2EstimationofBeta•Theoretically,thecalculationofbetaisstraightforward:22)(),(MiMMiσσRVarRRCovβ•Problems1.Betasmayvaryovertime.2.Thesamplesizemaybeinadequate.3.Betasareinfluencedbychangingfinancialleverageandbusinessrisk.•Solutions–Problems1and2(above)canbemoderatedbymoresophisticatedstatisticaltechniques.–Problem3canbelessenedbyadjustingforchangesinbusinessandfinancialrisk.–Lookataveragebetaestimatesofcomparablefirmsintheindustry.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-9StabilityofBeta•Mostanalystsarguethatbetasaregenerallystableforfirmsremaininginthesameindustry.•That’snottosaythatafirm’sbetacan’tchange.–Changesinproductline–Changesintechnology–Deregulation–ChangesinfinancialleverageMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-10UsinganIndustryBeta•Itisfrequentlyarguedthatonecanbetterestimateafirm’sbetabyinvolvingthewholeindustry.•Ifyoubelievethattheoperationsofthefirmaresimilartotheoperationsoftherestoftheindustry,youshouldusetheindustrybeta.•Ifyoubelievethattheoperationsofthefirmarefundamentallydifferentfromtheoperationsoftherestoftheindustry,youshouldusethefirm’sbeta.•Don’tforgetaboutadjustmentsforfinancialleverage.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-1112.3DeterminantsofBeta•BusinessRisk–CyclicityofRevenues–OperatingLeverage•FinancialRisk–FinancialLeverageMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-12CyclicalityofRevenues•Highlycyclicalstockshavehighbetas.–Empiricalevidencesuggeststhatretailersandautomotivefirmsfluctuatewiththebusinesscycle.–Transportationfirmsandutilitiesarelessdependentuponthebusinesscycle.•Notethatcyclicalityisnotthesameasvariability—stockswithhighstandarddeviationsneednothavehighbetas.–Moviestudioshaverevenuesthatarevariable,dependinguponwhethertheyproduce“hits”or“flops”,buttheirrevenuesarenotespeciallydependentuponthebusinesscycle.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.12-13OperatingLeverage•Thedegreeofoperatingleveragemeasureshowsensitiveafirm(orproject)istoitsfixedcosts.•Operatingleverageincreasesasfixedcostsriseandvariablecostsfall.•Operatingleveragemagnifie