金融经济学capitalstructure课件(编辑修改稿)

金融经济学capitalstructure课件(编辑修改稿)内容摘要：

or 16,000, w/p 50%  Which project will shareholders choose? Payoff Project 1 Low High Total 9,000 11,000 Shareholders 2,000 4,000 Bondholders 7,000 7,000 Project 2 Low High 2,000 16,000 0 9,000 2,000 7,000 Corporate Finance Risk Shifting  This is a serious problem only near default  Managers are risk averse, so they won‟t normally gamble  When a negative shock hits a pany, it may bee important Corporate Finance Underinvestment 10/11 1/11 M. rights: 150 M. rights: 500 Market unfavourable Market favourable Investment: 100 Investment: 100 Repay debt 110 Corporate Finance Underinvestment  Any new debt must be junior to old one (covenant)  Notice the project at T = 1 has always a positive NPV  However, it will not find financing for it: • It can only pay 40 back, and needs 100 financing Corporate Finance Some empirical regularities  Most corporations have low debt to asset ratios • In the sense that they leave tax shelters unused  Changes in capital structure affect stock prices: • Increases in leverage increase value and vice versa (in swaps) • Equity issues lead to negative price reactions (information asymmetry)  Capital structure varies across firms amp。 industries  Taxes (. nondebt tax shields), asset structure (through costs of financial distress and availability of collateral), risk (uncertainty of cash flows) are significant  Some evidence in favour of the pecking order theory Corporate Finance MM amp。 CAPM According to the CAPM, E[Ri] = r f + biE[Rm – rf] According to Mamp。 M II, rLE = r + (r – rD) (1Tc)D/EL Hence, it must be true that: r + (r – rD) (1Tc)D/EL = r f + biE[Rm – rf] where r = r f + bUE[Rm – rf ] Corporate Finance MM amp。 CAPM If we assume r D = r f, LCfmUfELDffmUffmUffmELfEDTRRErEDTrRRErRRErRREr))1(1)(()1)()(()()(bbbbAnd therefore:  LCUEL EDT )1(1bbCorporate Finance MM amp。 CAPM  This is the socalled Hamada model, used to calculate cost of equity for different capital structures  In practice, used to “unlever” and “relever” betas  LCUEL EDT )1(1bbCorporate Finance Reference  MM in 559564  MM amp。 CAPM in 575576  Bankruptcy costs in pp 588ff (formal treatment!)  Risk shifting in pp 594  Risk shifting amp。 underinvestment in pp 456460 (formal treatment!)  Signaling in pp 596598, a slightly more general version than in the slides  Pecking order theory (pp 598 ff) Cost of Capital and Investment decisions 18 September 2020 WACC Corporate Finance WACC  Under the assumptions of MM,  If the pany undertakes a new investment project with same risk as the rest of the pany, the change in value is: ( * ) )1( IBTIE B I TTIV CCL  rBTE B I TTBTVV CCCUL  r)1(Corporate Finance WACC  The new investment is financed with debt or equity or both  The change in value can also be seen from the liability side: nn BSI IBIBISISIV nonoLCorporate Finance WACC  If Bo = 0, and using the fact that I  Sn Bn  The project adds value for the shareholders if 1  ISI BSISIVonnoL( * * ) 1010  IVIVISIS LLooCorporate Finance WACC  Using (**) in (*):  If we assume that there is a target capital structure and therefore that B/I = D/(D+E), the term is the WACC IBTIE B I TTIBTIE B I TTIVCCCCL 1)1(1)1( rr  IBT C1rCorporate Finance Derivation: DEDTrMPEDDTMPrEDDTrMPEDDTMPEDDMPEDErEDDTrEDErEDDMPEDTEDEMPEDErEDErEDDTrEDDMPEDTrEDErTEDDMPrEDErTEDDrEDErTEDDw a c cUUUffUUUfffUUfffUffEffEf1)1()))1(1(()1()()1()1(bbbbbbbbbCorporate Finance WACC – lessons  Notice that the standard WACC is a by product of MM, and therefore is relies on the same assumptions  Notice also there is something intrinsically contradictory in the way it is often applied: • You start assuming a constant debt level • Then you assume a target debt ratio  When the debt ratio is assumed constant, the WACC formula ought to be different Corporate Finance MilesEzzel WACC: dynamic debt  If we assume the debt ratio is constant, the WACC formula is  And the formula for r。