资本资产定价模型WACC剖析.pptVIP

WACC and Debt Policy Optimal Capital Structure? MM (Debt Policy Doesn’t Matter) Modigliani Miller (Proposition I) When there are no taxes and capital markets are perfect, the market value of a company does not depend on its capital structure. Return on Assets (wacc)No Taxes MM Proposition II MM Proposition II Leverage and Returns Leverage and Returns WACC (no taxes) Capital Structurewith taxes PV of Tax Shield = (assume perpetuity) MM Prop. I with Taxes MM with Corporate Taxes Debt and Taxes MM with Taxes: WACC Financial Distress Costs of Financial Distress - Costs arising from bankruptcy or distorted business decisions before bankruptcy. Market Value = Value if all Equity Financed + PV Tax Shield - PV Costs of Financial Distress Financial Distress WACC with Taxes Costs of Debt Financial Distress Costs Personal Tax Disadvantage of Debt Agency Costs Information Costs (or Benefits) of Debt The Pecking Order Theory * The Value of the firm does not change with debt: VL = VU Note: rA = WACC (with no taxes) V = D + E These should be Market values! The cost of equity capital increases with financial leverage – due to the increase in Risk! r D E rD rE rA = WACC Risk free debt Risky debt Impact on Beta Impact on Beta If the Beta of Debt is assumed to be Zero BD = 0 The Beta of the Levered Firm is Equal to the Beta of the Unlevered Firm (or Asset Beta) times One plus the Debt-to-Equity Ratio Note: Equity betas are levered betas and asset betas are unlevered betas (L=E and U=A). WACC is the traditional view of capital structure, risk and return. D x rD x Tc rD = D x Tc Firm Value = Value of All Equity Firm + PV Tax Shield VL = VU + TC x D MM Proposition I with Corporate Taxes Debt Market Value of The Firm Value of unlevered firm PV of interest tax shields Value of levered firm Optimal amount of debt MM Proposition II with Corporate Taxes r0 = the return on the all equi