第七章资本结构和MM定理.ppt

第七章 资本结构和MM定理 MM定理及扩展 资本结构的经验证据 MM定理及扩展 无税的MM定理（1958） 有公司税的MM定理 trade-off Theory （权衡理论）等 加入个人税的MM定理（米勒定理1977） MM定理的其他用途 The Capital-Structure Questionand 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 and EPS 杠杆增加了权益收益（return on equity, ROE）以及股票持有者的收益，然而也增加了股票风险 MM定理认为，两方面的效应恰好抵消 无税的MM定理 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 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) The MM Proposition II (No Taxes) 杠杆率上升时，公司更多进行“低成本”的债务融资，然而其股本风险和成本也随之增大，根据MM，两项效应恰好抵消。 不考虑税收，资本结构的改变不影响加权资本成本（WACC） WACC仅为资产的风险决定 The Cost of Equity, the Cost of Debt, and WACC: MM Proposition II with No Corporate Taxes 有公司税的MM定理The MM Propositions I II (with Corporate Taxes) Proposition I (with Corporate Taxes) Firm value increases with leverage VL = VU + TC B Proposition II (with Corporate Taxes) Some of the increase in equity risk and return is offset by interest tax shield rS = r0 + (B/S)×(1-TC)×(r0 - rB) rB is the interest rate (cost of debt) rS is the return on equity (cost of equity) r0 is the return on unlevered equity (cost of capital) B is the value of debt S is the value of levered equity The MM Proposition I (Corp. Taxes) The MM Proposition II (Corp. Taxes) The Effect of Financial Leverage on the Cost of Debt and Equity Capital with Corporate Taxes