MM理论和无套利.ppt

CHAPTER ONE: MM Theory and No Arbitrage MM Theory Assets = Liabilities + Equity Accounting Equality: duel entity system Book value measurement Corporate Finance Assets Liabilities and Equity Asset 1 Asset 2 Liabilities Asset 3 . . Equity . Asset n Total Assets Total Liabilities and Equity Capital Structure Financial leverage: MM Theory MM assumptions: Frictionless assumptions No income taxes No transaction costs No information asymmetry No cost to resolve interest conflicts among stakeholders All liabilities are risk-free A mini – case: does capital structure matter? Two companies EBIT Capital structure Firm value MM Proposition 1 Proposition 1: Under MM Assumption, i.e., in the frictionless environment, the total market value of a firm is independent of its capital structure. Comparison of Stocks between A and B Implication of MM Theory Frictionless environment does not exist in the real world. Taxes Transaction costs Information asymmetry Costs resolving conflict of interest Liabilities are risk-bearing — Tax Shield Company A: P=E(mx) In complete market, there is a unique m that is consistent with market observable security prices In incomplete market, there are many m’s that are consistent with the market observable security prices. * Two measurements of value Accounting: book value — historic cost Finance: market value — net present value Fund use Fund source Finance Equality: Fund use = Fund source Market value measurement Accounting: Yes! Finance: No! Capital Market Real Economy NPV Firm Value + NPV Liabilities Value Equity Value Liabilities Value Assets Value or Has a change of financial leverage any impact on the firm value? Notes: $10 million p.a bonds: $40 million, 8% shares: 600,000 A’s share price: $100 per share expected return: 10% 1 million shares