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1、EstimatingtheCostofRiskyDebtbyIanA.Cooper,LondonBusinessSchool,andSergeiA.Davydenko,UniversityofToronto*hisarticleproposesaneasilyimplementedthereisnomodelinaformthatcanbeappliedeasilytomethodforestimatingtheexpectedreturnonestimatethecostofdebtforanindividualfirm.ThemostTriskydebt,whic
2、hisanintegralpartofcalculat-commonapproachistousethepromisedyieldonthenewlyingtheweightedaveragecostofcapital(WACC).issueddebtofthefirmasanestimateofthecostofdebtinTheWACCistherequiredreturnontheoperatingassetsoftheWACC.3Intheory,however,theexpectedreturnondebtafirm.Itisusedinvaluation,c
3、apitalbudgeting,goalsetting,shouldreflectthepromisedyieldnetofanyexpecteddefaultperformancemeasurement,andregulation.Itsvalueisoneloss,whichinturnisafunctionoftheexpectedprobabilityofofthemostimportantissuesincorporatefinance.Yetlittledefault.AsKaplanandSteinpointedout,“Becauseofdefaultr
4、esearchattentionthusfarhasfocusedonestimatingoneriskexpectedreturns[onhighlyleveragedcorporatedebt]are[onhighlyleveragedcorporatedebt]areofitskeyinputs—thecostofdebt.Existingmethodsoftenundoubtedlylowerthanthepromisedreturns.”4Thus,atleastoverlookacrucialfactorforthecostofdebt—thepossi
5、bilityforacompanywithamaterialprobabilityofdefault,theuseofdefault—andthustheuseofsuchmethodsmayresultinofthepromisedyieldcouldsignificantlyoverstateboththesignificanterrorsinWACCestimates.costofdebtandtheWACC.Inextremecases,theuseoftheTheWACCcannotbeobserveddirectlyandthereforepromisedy
6、ieldasthecostofdebtcouldevenresultinthemustbeestimated.Thestandardestimationmethodtakesaestimatedcostofdebtexceedingthecostofequity.weightedaverageoftheestimatedexpectedreturnsondebtIfthepromisedyieldisnotusedasthecostofdebt,andequity:analternativeistoassumethatthebetaofthedebtiszero,i
7、mplyingthatthedebthasazeroriskpremium.5However,WACC=pr(1–T)+(1–p)r,(1)thismethodalsodefieseconomiclogic,becausethedebtriskDDDEpremiummustbegreaterthanzerounlessthedefaultriskiswherepisthemarket-valueproportionofthedebtoftheentirelydiversifiablebyinvestors,whichisunlikely.Dfirm(marketlev
