资本资产定价模型WACC.ppt

* 3 * 9 * * * 8 * * * WACC and Debt Policy Optimal Capital Structure? * ppt课件 M&M (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. The Value of the firm does not change with debt: VL = VU * ppt课件 Return on Assets (wacc)No Taxes Note: rA = WACC (with no taxes) * ppt课件 M&M Proposition II V = D + E These should be Market values! The cost of equity capital increases with financial leverage – due to the increase in Risk! * ppt课件 r D E rD rE M&M Proposition II rA = WACC Risk free debt Risky debt * ppt课件 Leverage and Returns Impact on Beta * ppt课件 Leverage and Returns 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). * ppt课件 WACC (no taxes) WACC is the traditional view of capital structure, risk and return. * ppt课件 Capital Structurewith taxes PV of Tax Shield = (assume perpetuity) 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 * ppt课件 MM Prop. I with Taxes Debt Market Value of The Firm Value of unlevered firm PV of interest tax shields Value of levered firm Optimal amount of debt * ppt课件 MM with Corporate Taxes MM Proposition II with Corporate Taxes r0 = the return on the all equity financed firm (the unlevered firm or the return on the assets of the firm) * ppt课件 Debt and Taxes Impact on Beta If the Beta of Debt is assumed to be Zero BD = 0 Remember, βL is the equity beta for a firm with leverage, and βU is the beta for the firm with NO debt * ppt课件 r D V rD rE WACC MM with Taxes: WACC r0 * ppt课件 * 3 * 9