资本结构

资 本 结 构

第一部分：完美市场下的资本结构 股权与债务融资

单纯以股权融资情形：

Consider an entrepreneur with the following investment opportunity. For an initial investment of $800 this year, a project will generate cash flows of either $1400 or $900 next year. The cash flows depend on whether the economy is strong or weak, respectively. Both scenarios are equally likely, and are shown in Table below.

完美市场下的资本结构 债务和税收

财务困境、管理者激励及信息 支付

第 1 页 共 22 页

资本结构

既有股权又有债务融资的情形：

能否成立？

如果E＝543，则企业价值为

V＝E+D=5435001043.根据套利原理,投

第 2 页 共 22 页

资本结构

资者可以复制投资组合，并获利。据无套利假设，两种情形下的企业价值将相等，于是：

Date 0 Date 1:Cash Flows Cash Flow Strong Economy Weak Economy Borrow $500 -$525 -$525 Sell levered equity $543 V＝E+D=5005001000 -$875 -$375 $1 400 $900 Buy unlevered equity -$1 000 Total cash flow $43 $0 $0 显然，套利活动将使得两公司的价值趋于相等，套利机会消失。意即，如果全权益公司的价值为1000的话，那么，根据上述分析，由于套利活动使得两家公司的价值相等，于是，杠杆公司的价值必为1000，其股权市值即为500。

复制杠杆：

第 3 页 共 22 页

资本结构

leverage increases the risk of equity even when there is no risk that the firm will default. Thus, while debt may be cheaper when considered on its own, it raises the cost of capital for equity.

第 4 页 共 22 页

资本结构

以上为MM1。

MM2：杠杆、风险与资本成本

第 5 页 共 22 页

资本结构

资本预算与加权平均资本成本

That is, with perfect capital markets, a firm’s WACC is independent of its capital structure and is equal to its equity cost of capital if it is unlevered, which matches the cost of capital of its assets. Therefore, if the risk of a project matches the risk of the assets of a firm, we can use the firm’s WACC to estimate the appropriate cost of capital for the project.

第 6 页 共 22 页

资本结构

说明：as the amount of debt increases, the debt becomes

more risky because there is a chance the firm will default; as a result, the debt cost of capital also rises. With 100% debt, the debt would be as risky as the assets themselves (similar to unlevered equity). But even though the debt and equity costs of capital both rise when leverage is high, because more weight is put on the lower-cost debt, the WACC remains constant.

第 7 页 共 22 页

资本结构

MM1、2的应用：

现金与净债务： 资本结构、每股收益与股票价格（澄清似是而非的结论）

Consider the following example. Levitron Industries (LVI) is currently an all-equity firm. It expects to generate earnings before interest and taxes (EBIT) of $10 million over the next year. Currently, LVI has 10 million shares outstanding, and its stock is trading for a price of $7.50 per share. LVI is considering changing its capital structure by borrowing $15 million at an interest rate of 8% and using the proceeds to repurchase 2 million shares at $7.50 per share.

考察上述交易事项的经济后果：

资本重整之前：

第 8 页 共 22 页

资本结构

资本重整之后：

每年的利息支付：

此即财务杠杆收益。那么股票价格又将如何变化？

As we can see, LVI’s expected earnings per share increases with leverage. This increase might appear to make shareholders better off and could potentially lead to an increase in the stock price. Yet we know from MM Proposition I that as long as the securities are fairly priced, these financial transactions have an NPV of zero and offer no benefit to shareholders. How can we reconcile these seemingly contradictory results?

根源：The answer is that the risk of earnings has changed. We have thus far

considered only expected earnings per share. We have not considered the consequences of this transaction on the risk of the earnings.To do so, we must determine the effect of the increase in leverage on earnings per share in a variety of scenarios.

假如息税前收益只有4 million，则无杠杆情况下的

第 9 页 共 22 页

资本结构

EPS410＝0.4，有杠杆情况下的

EPS(41.2)8＝0.35

So, when earnings are low, leverage will cause EPS to fall even further than it otherwise would have.

The sensitivity of EPS to EBIT is higher for a levered firm than

for an unlevered firm. Thus, given assets with the same risk, the EPS of a levered firm is more volatile.

第 10 页 共 22 页

资本结构

Because the firm’s earnings per share and price-earnings ratio are affected by leverage implies that we cannot reliably compare these measures across firms with different capital structures. For this reason, most analysts prefer to use performance measures and valuation multiples that are based on the firm’s earnings before interest has been deducted. For example, the ratio of enterprise value to EBIT (or EBITDA) is more useful when analyzing firms with very different capital structures than is comparing their P/E ratios.

第 11 页 共 22 页

资本结构

结论：

Thus, even though EPS is higher, due to the additional risk, shareholders will demand a higher return. These effects cancel out, so the price per share is unchanged.

In general, as long as the firm sells the new shares of equity at a fair price, there will be no gain or loss to shareholders associated with the equity issue itself. The money taken in by the firm as a result of the share issue exactly offsets the dilution of the shares. Any gain or loss associated with the

第 12 页 共 22 页

资本结构

transaction will result from the NPV of the investments the firm makes with the funds raised.

Since the publication of their original paper, Modigliani and Miller’s ideas have greatly influenced finance research and practice. Perhaps more important than the specific propositions themselves is the approach that MM took to derive them. Proposition I was one of the first arguments to show that the Law of One Price could have strong implications for security prices and firm values in a competitive market; it marks the beginning of the modern theory of corporate finance. Modigliani and Miller’s work formalized a new way of thinking about financial markets that was first put forth by John Burr Williams in his 1938 book, The Theory of Investment Value. In it Williams argues:

略去

价值守恒定律

the conservation of value principle for financial markets: With perfect capital markets, financial transactions neither add nor destroy value, but instead represent a repackaging of risk (and therefore return).

The conservation of value principle extends far beyond

第 13 页 共 22 页

资本结构

questions of debt versus equity or even capital structure. It implies that any financial transaction that appears to be a good deal in terms of adding value either is too good to be true or is exploiting some type of market imperfection. To make sure the value is not illusory, it is important to identify the market imperfection that is the source of value. In the next several chapters we will examine different types of market imperfections and the potential sources of value that they introduce for the firm’s capital structure choice and other financial transactions. 基准和标尺。

债务和税收

对税盾的估价：

The Cash Flows of the Unlevered and Levered Firm

By increasing the cash flows paid to debt holders through interest payments, a firm reduces the amount paid in taxes. The increase in total cash flows paid to investors is the interest tax shield. (Figure assumes a 40% marginal corporate tax rate.)

第 14 页 共 22 页

资本结构

结论：

Because the cash flows of the levered firm are equal to the sum of the cash flows from the unlevered firm plus the interest tax shield, by the Law of One Price the same must be true for the present values of these cash flows. Thus, letting

V

L

and

VUrepresent the value of the firm with

and without leverage, respectively, we have the following change to MM Proposition I in the presence of taxes:

第 15 页 共 22 页

资本结构

永久性债务的税盾：

或者：

在以前的章节里, we calculated the weighted average cost of capital, which is the average return that the firm must pay to its investors (equity holders and debt holders). The WACC represents the cost of capital for the free cash flow generated by the firm’s assets. Because the firm’s free cash flow is computed without considering the firm’s leverage, we account for the benefit of the interest tax shield by calculating

第 16 页 共 22 页

资本结构

the WACC using the after tax cost of debt。 回顾：FCFEBIT(1c)DepCapExNWC

鉴于这一现金流处于债务及债务利息支付之前，它通常被称作“非杠杆性现金流”。注意，公司的这种自由现金流并未包含利息支付的税盾收益，我们有意这样做，因为在加权平均资本成本中运用债务的税后成本时已经考虑到了税盾收益，若再把它包括在现金流中将会导致重复计算。

将上式用图像表达即为：

第 17 页 共 22 页

资本结构

资本重整recapitalization P468

第 18 页 共 22 页

资本结构

上述计算有没有问题？

解释：无套利定价（no arbitrage pricing） 套利过程分析：

第 19 页 共 22 页

资本结构

对资本重整过程的深入分析

接上例：

市 值 资 产 负 债 表

We can analyze the recapitalization using the market value balance sheet. It states that the total market value of a firm’s securities must equal the total market value of the firm’s assets. In the presence of corporate taxes, we must include

第 20 页 共 22 页

资本结构

the interest tax shield as one of the firm’s assets.

个人所得税效应分析（略去）

Net External Financing and Capital Expenditures by U.S. Corporations, 1975–2005

第 21 页 共 22 页

资本结构

In aggregate, firms have raised external capital primarily by issuing debt. These funds have been used to retire equity and fund investment, but the vast majority of capital expenditures are internally funded.

Source: Federal Reserve, Flow of Funds Accounts of the United States, 2005.

第 22 页 共 22 页