资本结构.ppt

capital structure: theory and practice 谢军会计学博士、教授 (xiejun@) 华南师范大学经济与管理学院会计系主任 佛山塑料集团股份有限公司独立董事 广东银禧科技股份有限公司独立董事 广东塑料交易所股份有限公司独立董事 参考文献 Theory of capital structure, Harris-Raviv(1991), JOF; A survey of corporate governance, Shleifer-Vishny(1997), JOF; In search of new foundation, Zingales(2000), JOF. Return to NPV NPV employs discount rates These discount rates are risk adjusted The risk adjustment is a byproduct of market established prices Adjustable discount rates change asset values Return to NPV Example The government is lending you $100,000 for 10 years at 3% and only requiring interest payments prior to maturity. Since 3% is obviously below market, what is the value of the below market rate loan? Return to NPV Example The government is lending you $100,000 for 10 years at 3% and only requiring interest payments prior to maturity. Since 3% is obviously below market, what is the value of the below market rate loan? Assume the market return on equivalent risk projects is 10%. 融资NPV 零和博弈：投资者之间的利益分配 发行价与发行承诺 股东与债权人之间的利益分配 旧股东与新股东之间的利益分配 信息不对称(Myers-Majluf, 1984) 融资NPV 例子：主银行对企业股东的租金剥削 银行对企业或股东的剥削 monopolist rent Bank-based financial system 日本主银行对企业利润的掠夺(Weinstein-Yafeh, 1998) 银行对创业企业的资本限制(Gilson-Black, 1998) 例子：借款NPV的计算 某公司发行面值为100000元的三年期零息债券，发行价格为81000元。该公司实际利率为8%，问该项债券的融资是否为股东带来了新价值？ 例子：借款NPV的计算 If financing NPV0, 公司支付的实际利率低于其市场利率（与其债券信用评级对称），该债务融资行为能够为股东创造新价值（剥削了债权人的利益）. If financing NPV0,公司支付的实际利率高于其市场利率（与其债券信用评级对称），该债务融资行为会损害股东价值（补贴了债权人） 该债务融资行为为股东创造了1620元的新价值 例子：新股东注入资产的利益分配 如果没有协同效应，发行新股后的股票价值等于发行前股票价格和新股发行价格的加权平均 新旧股东之间的利益分配 例子：新股东注入资产的利益分配 如果发行新股后股票价值提升则增加了旧股东财富：新股东对旧股东的补贴 反之，则减少了旧股东财富：旧股东对新股东的补贴 Win-win result: synergy effect 新股东注入资产的价值评估：公允性 新股的发行价格：是否合理(考虑旧股东利益) 协同效应：是否有正的协同效应 Theory of capital structure Capital structure puzzle (Myers, 1984) We don’t know about capital structure choice Optimal capital structure: theory and evidence Determinates of capital structure Financial instrument 证券的制度分析：利益和权利 债券(bond)：刚性合约(bonding contract) Fixed in