第8章资本结构理论

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1、第七章资本结构理论第一节现代资本结构理论AssumptionsoftheModigliani-MillerModelHomogeneousExpectations：共同期望假设HomogeneousBusinessRiskClasses：相同的风险类别PerpetualCashFlows:持续的现金流PerfectCapitalMarkets:完美市场假设Perfectcompetition：充分竞争Firmsandinvestorscanborrow/lendatthesamerate公司和投资者可以以同样利率借款Equalaccesstoallre

2、levantinformation同等条件获得所有相关信息Notransactioncosts无交易成本Notaxes无税收环境TheMMPropositionsI&II(NoTaxes)PropositionI：公司价值模型FirmvalueisnotaffectedbyleverageVL=VUPropositionII：公司权益成本模型Leverageincreasestheriskandreturntostockholdersrs=r0+(B/SL)(r0-rB)rBistheinterestrate(costofdebt)rsistheret

3、urnon(levered)equity(costofequity)r0isthereturnonunleveredequity(costofcapital)BisthevalueofdebtSListhevalueofleveredequityTheMMPropositionI(NoTaxes)ULVV=BrEBITB-receivefirmleveredainrsShareholdeBrBreceivesBondholderThederivationisstraightforward:BrBrEBITBB+-)(isrsstakeholdeall

4、toflowcashtotaltheThus,ThepresentvalueofthisstreamofcashflowsisVLEBITBrBrEBITBB=+-)(ClearlyThepresentvalueofthisstreamofcashflowsisVUP223无套利均衡分析方法。TheMMPropositionI(NoTaxes)Thederivationisstraightforward:SBWACCrSBSrSBBr´++´+=0setThenrrWACC=0rrSBSrSBBSB=´++´+SSB+bysidesbothmultip

5、ly0rSSBrSBSSSBrSBBSSBSB+=´+´++´+´+0rSSBrrSBSB+=+´00rrSBrrSBSB+=+´)(00BSrrSBrr-+=TheCostofEquity,theCostofDebt,andtheWeightedAverageCostofCapital:MMPropositionIIwithNoCorporateTaxesDebt-to-equityRatioCostofcapital:r(%)r0rBrBSBTheMMPropositionsI&II(withCorporateTaxes)PropositionI(

6、withCorporateTaxes)FirmvalueincreaseswithleverageVL=VU+TCBPropositionII(withCorporateTaxes)SomeoftheincreaseinequityriskandreturnisoffsetbyinteresttaxshieldrS=r0+(B/S)×(1-TC)×(r0-rB)rBistheinterestrate(costofdebt)rSisthereturnonequity(costofequity)r0isthereturnonunleveredequity(

7、costofcapital)BisthevalueofdebtSisthevalueofleveredequityTheMMPropositionII(Corp.Taxes)BTVVCUL+=)1()(receivefirmleveredainrsShareholdeCBTBrEBIT-´-BrBreceivesBondholderBrTBrEBITBCB+-´-)1()(isrsstakeholdealltoflowcashtotaltheThus,ThepresentvalueofthisstreamofcashflowsisVL=+-´-BrT

8、BrEBITBCB)1()(ClearlyThepresentvalueofthefirstt