金融学前沿-资本结构与股利政策.ppt

The Capital-Structure Question and The Pie Theory The value of a firm is defined to be the sum of the value of the firm’s debt and the firm’s equity. V = B + S Financial Leverage, EPS, and ROE Current Assets $8,000 Debt $0 Equity $8,000 Debt/Equity ratio 0.00 Interest rate n/a Shares outstanding 400 Share price $20 Assumptions of the Modigliani-Miller Model Homogeneous Expectations Homogeneous Business Risk Classes Perpetual Cash Flows Perfect Capital Markets: Perfect competition Firms and investors can borrow/lend at the same rate Equal access to all relevant information No transaction costs No taxes EPS and ROE Under Both Capital Structures Levered Recession Expected Expansion EBIT $400 $1,200 $2,000 Interest 400 400 400 Net income $0 $800 $1,600 EPS $0 $4.00 $8.00 ROA 5% 15% 25% ROE 0% 20% 40% Proposed Shares Outstanding = 200 shares The MM Propositions I II (No Taxes) Proposition I Firm value is not affected by leverage VL = VU Proposition II Leverage increases the risk and return to stockholders rS = r0 + (B / SL) (r0 - rB) rB is the interest rate (cost of debt) 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 debt SL is the value of levered equity The MM Proposition I (No Taxes) Suppose 2 firms with same level of business risk Unlevered firm: VU Levered firm: VL=SL+BL Suppose an investor holds a of the total shares of the levered firm, then his earnings YL: YL=a× (EBIT﹣rB×BL) = a ×EBIT﹣a×rB×BL Suppose the investor sells all his shares of the levered firms and borrow a × BL, and then purchases shares of the unlevered firm. His earnings YU: YU= If VLVU If VU VL The Cost of Equity, the Cost of Debt, and the Weighted Average Cost of Capital: MM Proposition II with No Corporate Taxes MM Propositions I II (with Corporate Taxes) Proposition I (with Corporate Taxes) Firm value increases with leverage VL = VU + tC D Proposition II (with Corporate Taxes) Some