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资本结构和MM定理.pptx
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1、第七章 资本结构和MM定理MM定理及扩展资本结构的经验证据 MM定理及扩展无税的MM定理(1958)有公司税的MM定理trade-off Theory(权衡理论)等加入个人税的MM定理(米勒定理1977)MM定理的其他用途The Capital-Structure Questionand The Pie TheoryThe value of a firm is defined to be the sum of the value of the firms debt and the firms equity.V=B+SIf the goal of the management of the fi
2、rm is to make the firm as valuable as possible,the the firm should pick the debt-equity ratio that makes the pie as big as possible.Value of the FirmS BS BS BS BFinancial Leverage and EPS(2.00)0.002.004.006.008.0010.0012.001,0002,0003,000EPSDebtNo DebtBreak-even point EBIT in dollars,no taxesAdvanta
3、ge to debtDisadvantage to debt杠杆增加了权益收益(return on equity,ROE)以及股票持有者的收益,然而也增加了股票风险MM定理认为,两方面的效应恰好抵消无税的MM定理Assumptions of the Modigliani-Miller ModelHomogeneous ExpectationsHomogeneous Business Risk ClassesPerpetual Cash FlowsPerfect Capital Markets:Perfect competitionFirms and investors can borrow/l
4、end at the same rateEqual access to all relevant informationNo transaction costsNo taxesThe MM Propositions I&II(No Taxes)Proposition IFirm value is not affected by leverageVL=VUProposition IILeverage increases the risk and return to stockholdersrs=r0+(B/SL)(r0-rB)rB is the interest rate(cost of deb
5、t)rs is the return on(levered)equity(cost of equity)r0 is the return on unlevered equity(cost of capital)B is the value of debtSL is the value of levered equityThe MM Proposition I(No Taxes)ULVV=BrEBITB-receive firm levered ain rsShareholdeBrBreceive sBondholderThe derivation is straightforward:BrBr
6、EBITBB+-)(is rsstakeholde all toflowcash total theThus,The present value of this stream of cash flows is VL EBITBrBrEBITBB=+-)(ClearlyThe present value of this stream of cash flows is VU The MM Proposition II(No Taxes)The derivation is straightforward:SBWACCrSBSrSBBr.+.+=0set Then rrWACC=0rrSBSrSBBS
7、B=.+.+SSB+by sidesboth multiply 0rSSBrSBSSSBrSBBSSBSB+=.+.+.+.+0rSSBrrSBSB+=+.00rrSBrrSBSB+=+.)(00BSrrSBrr-+=杠杆率上升时,公司更多进行“低成本”的债务融资,然而其股本风险和成本也随之增大,根据MM,两项效应恰好抵消。不考虑税收,资本结构的改变不影响加权资本成本(WACC)WACC仅为资产的风险决定 The Cost of Equity,the Cost of Debt,and WACC:MM Proposition II with No Corporate TaxesDebt-to-e
8、quity RatioCost of capital:r(%)r0rBrBSB有公司税的MM定理The MM Propositions I&II(with Corporate Taxes)Proposition I(with Corporate Taxes)Firm value increases with leverageVL=VU+TC BProposition II(with Corporate Taxes)Some of the increase in equity risk and return is offset by interest tax shieldrS=r0+(B/S)(
9、1-TC)(r0-rB)rB is the interest rate(cost of debt)rS is the return on equity(cost of equity)r0 is the return on unlevered equity(cost of capital)B is the value of debtS is the value of levered equityThe MM Proposition I(Corp.Taxes)BTVVCUL+=)1()(receive firm levered ain rsShareholdeCBTBrEBIT-.-BrBrece
10、ive sBondholderBrTBrEBITBCB+-.-)1()(is rsstakeholde all toflowcash total theThus,The present value of this stream of cash flows is VL =+-.-BrTBrEBITBCB)1()(Clearly The present value of the first term is VU The present value of the second term is TCB BrTBrTEBITBCBC+-.-.=)1()1(BrBTrBrTEBITBCBBC+-.=)1(
11、The MM Proposition II(Corp.Taxes)Start with M&M Proposition I with taxes:)()1(00BCSrrTSBrr-.-.+=BTVVCUL+=Since BSVL+=The cash flows from each side of the balance sheet must equal:BCUBSBrTrVBrSr+=+0BrTrTBSBrSrBCCBS+-+=+0)1(Divide both sides by SBCCBSrTSBrTSBrSBr+-+=+0)1(1 BTVBSCU+=+)1(CUTBSV-+=Which
12、quickly reduces toThe Effect of Financial Leverage on the Cost of Debt and Equity Capital with Corporate TaxesDebt-to-equityratio(B/S)Cost of capital:r(%)r0rBTotal Cash Flow to Investors Under Each Capital Structure with Corp.TaxesAll-EquityRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest000
13、EBT$1,000$2,000$3,000Taxes(Tc=35%$350$700$1,050Total Cash Flow to S/H$650$1,300$1,950LeveredRecessionExpectedExpansionEBIT$1,000$2,000$3,000Interest($800 8%)640640640EBT$360$1,360$2,360Taxes(Tc=35%)$126$476$826Total Cash Flow$234+640$468+$640$1,534+$640(to both S/H&B/H):$874$1,524$2,174EBIT(1-Tc)+TC
14、rBB$650+$224$1,300+$224$1,950+$224$874$1,524$2,174Total Cash Flow to Investors Under Each Capital Structure with Corp.TaxesThe levered firm pays less in taxes than does the all-equity firm.Thus,the sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm.S
15、GSGB All-equity firm Levered firmTotal Cash Flow to Investors Under Each Capital Structure with Corp.TaxesThe sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm.This is how cutting the pie differently can make the pie larger:the government takes a sm
16、aller slice of the pie!SGSGB All-equity firm Levered firm权衡理论trade-off TheoryIntegration of Tax Effects and Financial Distress CostsM&M suggest that financial leverage does not matter,or imply that taxes cause the optimal financial structure to be 100%debt.In the real world,most executives do not li
17、ke a capital structure of 100%debt because that is a state known as“bankruptcy”.There is a trade-off between the tax advantage of debt and the costs of financial distress.It is difficult to express this with a precise and rigorous formula.Integration of Tax Effectsand Financial Distress CostsDebt(B)
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- 资本 结构 MM 定理
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