资本资产定价模型WACC.ppt

WACCandDebtPolicyOptimalCapitalStructure?

MM(DebtPolicyDoesn’tMatter)Whentherearenotaxesandcapitalmarketsareperfect,themarketvalueofacompanydoesnotdependonitscapitalstructure.ModiglianiMiller(PropositionI)TheValueofthefirmdoesnotchangewithdebt:VL=VU1234

ReturnonAssets(wacc)

NoTaxesNote:rA=WACC(withnotaxes)

V=D+ETheseshouldbeMarketvalues!Thecostofequitycapitalincreaseswithfinancialleverage–duetotheincreaseinRisk!MMPropositionII

r01DE02rD03rE04rA=WACC05Riskfreedebt06Riskydebt07MMPropositionII

LeverageandReturnsImpactonBeta

LeverageandReturnsImpactonBetaIftheBetaofDebtisassumedtobeZeroBD=0TheBetaoftheLeveredFirmisEqualtotheBetaoftheUnleveredFirm(orAssetBeta)timesOneplustheDebt-to-EquityRatioNote:Equitybetasareleveredbetasandassetbetasare unleveredbetas(L=EandU=A).

WACC(notaxes)WACCisthetraditionalviewofcapital structure,riskandreturn.

CapitalStructure

withtaxesPVofTaxShield=(assumeperpetuity)DxrDxTcrD=DxTcFirmValue=ValueofAllEquityFirm+PVTaxShieldVL=VU+TCxDMMPropositionIwithCorporateTaxes

MMProp.IwithTaxesPVofinteresttaxshields4Valueofleveredfirm5Debt1MarketValueofTheFirm2Valueofunleveredfirm3Optimalamountofdebt6

MMwithCorporateTaxesMMPropositionIIwithCorporateTaxesr0=thereturnontheallequityfinancedfirm(theunleveredfirmorthereturnontheassetsofthefirm)

ImpactonBetaIftheBetaofDebtisassumedtobeZeroBD=0Remember,βListheequitybetaforafirmwithleverage,andβUisthebetaforthefirmwithNOdebtDebtandTaxes

MMwithTaxes:WACCrErWACCDVr0rD

CostsofFinancialDistress-Costsarisingfrombankruptcyordistortedbusinessdecisionsbeforebankruptcy.MarketValue= ValueifallEquityFinanced+PVTaxShieldPVCostsofFinancialDistressFinancialDistress

FinancialDi