中级财务管理 Optimal leverage.pptVIP

最优资本结构 张志强 权衡成本与风险 债务融资 低成本 (包括节税收益) 高风险 (还本付息压力) 股权融资 高成本 地风险 最优组合 (资本结构)? 财务杠杆 财务杠杆 = 对债务资本的利用 为什么要利用债务资本? 增加股权收益 增加公司价值 何时利用? 总资产收益 债务资本成本 从MM模型到权衡理论 MM模型I (1958) MM模型II (1963) Miller and Modigliani 权衡理论 (Trade–off Theory,1970s) 其他 如融资顺序理论 (pecking order theory) 结果: 最优资本结构问题没有解决. MM模型I 也称为资本结构不相关理论，由 Modigliani和Miller在1958年创立。 MM模型I: 股权价值: VL=EBIT/WACC=EBIT/KSU=VU 股权成本: KSL=KSU+（KSU-Kd）D/S MM模型II 由 Modigliani和Miller在1963年创立 MM模型II: 股权价值: VL=VU +T×D 股权成本: KSL=KSU+(KSU-Kd)(1-T) D/S 债务融资的成本收益分析 收益 节税收益（tax shield） 成本 破产成本（bankruptcy cost） 更大的破产概率 也称为财务困境成本（distress cost） 权衡理论 权衡债务融资的成本与收益? 节税收益 破产成本或财务困境成本 权衡理论是一个不错的分析框架 VL=VU +TD - 破产成本 Trade-off Theory 最优资本结构 The debt (杠杆) ratio reach the point where the difference between the tax shield and the bankruptcy cost is maximized. Benefit vs. Cost Prior Findings Irrelevant ---- MM模型I 100% debt ---- MM模型II Pecking order Financial conservatism Other capital structure puzzles 100% debt? 100% equity? Perpetual tax shield implies time horizon… infinite time horizon implies bankruptcy is unavoidable So 100% equity rather than 100% debt Time Horizon Infinite time horizon? Far distance? Capital structure decision =融资决策 一轮融资 = Debt life 重新定义最优资本结构 The debt (杠杆) ratio maximizing the difference between the tax shield and the bankruptcy cost before the maturity (during the life) of the debt. Variables S = current value of the firm X = current debt value = book value b = annual interest rate of the debt f = corporation income tax rate r = annual risk–free interest rate ? = annual relative volatility of the firm’s value T= time to debt maturity (years). Debt and its interest current or short term debt long term debt average interest rate average maturity Debt and its tax shield perpetual tax shield of the debt is: Xbf/b=Xf (1) Present value of the perpetual tax shield at the maturity of the debt is: (Xbf/b)e-rT=Xfe-rT (2)