mm理论和无套利ppt课件.ppt

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1、CHAPTERONE:MMTheoryandNoArbitrageMMTheoryTwomeasurementsofvalueAccounting:bookvalue—historiccostFinance:marketvalue—netpresentvalue1Assets=Liabilities+EquityAccountingEquality:duelentitysystemBookvaluemeasurementFunduseFundsourceFinanceEquality:Funduse=Fundsou

2、rceMarketvaluemeasurement2CorporateFinanceAssetsLiabilitiesandEquityAsset1Asset2LiabilitiesAsset3..Equity.AssetnTotalAssetsTotalLiabilitiesandEquityAccounting:Yes!Finance:No!CapitalMarketRealEconomyNPVFirmValue+NPV3LiabilitiesValueEquityValueLiabilitiesValueAs

3、setsValueCapitalStructureFinancialleverage:orHasachangeoffinancialleverageanyimpactonthefirmvalue?4M&MTheoryM&Massumptions:FrictionlessassumptionsNoincometaxesNotransactioncostsNoinformationasymmetryNocosttoresolveinterestconflictsamongstakeholdersAllliabiliti

4、esarerisk-free5Notes:Amini–case:doescapitalstructurematter?TwocompaniesEBITCapitalstructureFirmvalue$10millionp.abonds:$40million,8%shares:600,000A’sshareprice:$100pershareexpectedreturn:10%1millionshares$100millionB?AB’sbond:risk-freethesharenumberissupposeds

5、hareexpectedreturn:?6(Risk-free)NoPositionImmediateCashFlowCashFlowintheFutureReplicationofA’sStockUsingB’sStockandBondsB’sTotalPayments=B’sNetEarnings+InterestPayments=(EBIT-$3.2million)+$3.2million=EBITSupposepriceofB’sstock=$90pershareShortsell1%A’ssharesat

6、$100pershareBuy1%B’ssharesat$90pershareBuy1%B’sbonds+$1,000,0001%ofEBIT$540,0001%(EBIT$3,200,000)$400,0001%$3,200,000NetCashFlow$60,0000ArbitragePriceofB’sstock=$100pershare7M&MProposition1Proposition1:UnderM&MAssumption,i.e.,inthefrictionlessenvironment

7、,thetotalmarketvalueofafirmisindependentofitscapitalstructure.Thinkofthefirmasagiganticpizza,dividedintoquarters.Ifnow,youcuteachquarterinhalfintoeights,theM&Mpropositionsaysthatyouwillhavemorepieces,butnotmorepizza.—MertonMiller8Thecostofcapitaldependsonitsus

8、eandnotonitssource.Proposition!9ComparisonofStocksbetweenAandBStateoftheEconomyEBITCompanyACompanyBEPSNetEPS(1millionshares)Earnings(600,000shares)Badbusiness$5million$5$1.8million