1、1,Corporate Finance,第12章 风险、资本成本与资本预算,12.1 权益资本成本12.2 贝塔的估计12.3 贝塔的确定12.4 基本模型的扩展12.5 国际纸业公司的资本成本估计12.6 降低资本成本12.7 小结,2,Corporate Finance,引言Earlier chapters on capital budgeting focused on the appropriate size and timing of cash flows.This chapter discusses the appropriate discount rate when cash fl
2、ows are risky.,3,Corporate Finance,12.1 权益资本成本The Cost of Equity Capital,Firm withexcess cash,Shareholders Terminal Value,Shareholder invests in financial asset,Because stockholders can reinvest the dividend in risky financial assets, the expected return on a capital-budgeting project should be at l
3、east as great as the expected return on a financial asset of comparable risk.,A firm with excess cash can either pay a dividend or make a capital investment,4,Corporate Finance,The Cost of Equity,从公司的角度看，期望收益就是权益资本成本 From the firms perspective, the expected return is the Cost of Equity Capital:,为了估算
4、权益资本成本，需三个参数 To estimate a firms cost of equity capital, we need to know three things:,The risk-free rate, RF,The market risk premium,The company beta,5,Corporate Finance,例：Example,Suppose the stock of Stansfield Enterprises, a publisher of PowerPoint presentations, has a beta of 2.5. The firm is 10
5、0-percent equity financed. Assume a risk-free rate of 5-percent and a market risk premium of 10-percent.What is the appropriate discount rate for an expansion of this firm?,6,Corporate Finance,Suppose Stansfield Enterprises is evaluating（评估） the following non-mutually exclusive（非互斥） projects. Each c
6、osts $100 and lasts one year.,7,Corporate Finance,Using the SML to Estimate the Risk-Adjusted Discount Rate for Projects,An all-equity firm should accept a project whose IRR exceeds the cost of equity capital and reject projects whose IRRs fall short of the cost of capital.,Project IRR,Firms risk (b
7、eta),5%,Good projects,Bad projects,30%,2.5,A,B,C,证券市场线,8,Corporate Finance,12.2 贝塔的估计Estimation of Beta: Measuring Market Risk,市场组合 Market Portfolio - Portfolio of all assets in the economy. In practice a broad stock market index, such as the S&P Composite, is used to represent the market.贝塔 Beta Se
8、nsitivity（敏感）of a stocks return to the return on the market portfolio.,9,Corporate Finance,Theoretically, the calculation of beta is straightforward（直截了当）:,Problems贝塔可能随时间的推移而变化 Betas may vary over time.样本容量可能不足 The sample size may be inadequate.贝塔受财务杠杆和经营风险的影响 Betas are influenced by changing finan
9、cial leverage and business risk.Solutions第1、2问题可采用更复杂的统计技术解决（如回归分析） Problems 1 and 2 (above) can be moderated by more sophisticated statistical techniques.对第3个问题根据经营和财务风险进行调整 Problem 3 can be lessened by adjusting for changes in business and financial risk.注意同行业类似企业的平均贝塔估值 Look at average beta estim
10、ates of comparable firms in the industry.,10,Corporate Finance,贝塔的稳定性Stability of Beta,很多的分析家认为对那些在相同行业的企业而言（不改变业务范围），贝塔通常是稳定的。Most analysts argue that betas are generally stable for firms remaining in the same industry.Thats not to say that a firms beta cant change.Changes in product lineChanges in
11、 technologyDeregulation（违反常规）Changes in financial leverage,11,Corporate Finance,使用行业贝塔Using an Industry Beta,It is frequently argued that one can better estimate a firms beta by involving the whole industry.If you believe that the operations of the firm are similar to the operations of the rest of t
12、he industry, you should use the industry beta.If you believe that the operations of the firm are fundamentally different from the operations of the rest of the industry, you should use the firms beta.Dont forget about adjustments for financial leverage.,12,Corporate Finance,12.3 贝塔的确定Determinants of
13、 Beta,经营风险 Business Risk收入的周期性 Cyclicity of Revenues经营杠杆 Operating Leverage财务风险 Financial RiskFinancial Leverage,13,Corporate Finance,12.3.1 收入的周期性Cyclicality of Revenues,高周期性的股票有较高的贝塔 Highly cyclical stocks have high betas.Empirical evidence suggests that retailers and automotive firms fluctuate（波动
14、） with the business cycle.Transportation firms and utilities（公用事业） are less dependent upon the business cycle.,14,Corporate Finance,需要注意的是，周期性不等于变动性。拥有高SD的股票不必有高贝塔。Note that cyclicality is not the same as variabilitystocks with high standard deviations need not have high betas.Movie studios have rev
15、enues that are variable, depending upon whether they produce “hits” or “flops”, but their revenues are not especially dependent upon the business cycle.,15,Corporate Finance,12.3.2 经营杠杆Operating Leverage,The degree of operating leverage（经营杠杆系数） measures how sensitive a firm (or project) is to its fi
16、xed costs. Operating leverage increases as fixed costs rise and variable costs fall.Operating leverage magnifies（放大） the effect of cyclicity on beta.The degree of operating leverage is given by:,16,Corporate Finance,Operating Leverage,Volume,$,Fixed costs,Total costs, EBIT, Volume,Operating leverage
17、 increases as fixed costs rise and variable costs fall.定性结论：如果收入的周期性强且经营杠杆高，则贝塔也高；反之，如果收入的周期性不明显且经营杠杆低则贝塔也低。,17,Corporate Finance,12.3.3 财务杠杆与贝塔Financial Leverage and Beta,Operating leverage refers to the sensitivity to the firms fixed costs of production.Financial leverage is the sensitivity of a f
18、irms fixed costs of financing.The relationship between the betas of the firms debt, equity, and assets is given by:,Financial leverage always increases the equity beta（权益贝塔） relative to the asset beta（资产贝塔）.,18,Corporate Finance,在实际中，负债的贝塔很低，设为零。那么：对于杠杆企业（有负债的企业），权益的贝塔一定大于资产的贝塔。,19,Corporate Finance
19、,例：Financial Leverage and Beta: Example,Consider Grand Sport, Inc., which is currently all-equity and has a beta of 0.90.The firm has decided to lever up（提高杠杆） to a capital structure of 1 part debt to 1 part equity.Since the firm will remain in the same industry, its asset beta should remain 0.90.Ho
20、wever, assuming a zero beta for its debt, its equity beta would become twice as large:,20,Corporate Finance,12.4 基本模型的扩展Extensions of the Basic Model,12.4.1 企业与项目 The Firm versus the Project12.4.2 有负债情况下的资本成本 The Cost of Capital with Debt,21,Corporate Finance,12.4.1 企业与项目The Firm versus the Project,
21、任何项目的资本成本取决于资本用于何处而不是来源于何处 Any projects cost of capital depends on the use to which the capital is being putnot the source. 因此，它取决于项目的风险而不是公司的风险 Therefore, it depends on the risk of the project and not the risk of the company.,22,Corporate Finance,资本预算与项目风险Capital Budgeting & Project Risk,A firm tha
22、t uses one discount rate for all projects may over time increase the risk of the firm while decreasing its value.,Project IRR,Firms risk (beta),Hurdle rate总资本成本,The SML can tell us why:,23,Corporate Finance,Suppose the Conglomerate Company has a cost of capital, based on the CAPM, of 17%. The risk-f
23、ree rate is 4%; the market risk premium is 10% and the firms beta is 1.3.17% = 4% + 1.3 14% 4% This is a breakdown（细目分类） of the companys investment projects:,1/3 Automotive retailer b = 2.01/3 Computer Hard Drive Mfr. b = 1.31/3 Electric Utility b = 0.6,average b of assets = 1.3,When evaluating a ne
24、w electrical generation investment, which cost of capital should be used?,24,Corporate Finance,Capital Budgeting & Project Risk,Project IRR,Firms risk (beta),r = 4% + 0.6(14% 4% ) = 10% 10% reflects the opportunity cost of capital on an investment in electrical generation, given the unique risk of t
25、he project.,Investments in hard drives or auto retailing should have higher discount rates.,25,Corporate Finance,12.4.2 有负债情况下的资本成本The Cost of Capital with Debt,The Weighted Average Cost of Capital is given by:,It is because interest expense is tax-deductible（可免税的） that we multiply the last term by
26、(1- TC),26,Corporate Finance,例：某企业债务的市场价值是4000万美元，股票的市场价值是6000万美元（股票数量300万股，每股20美元）。企业新借入的债务按15%计息，贝塔为1.41，公司所得税为34%。假定SML成立，且市场的风险溢价是9.5%，当时国库券利率是11%。求rwacc股票资本成本加权资本成本：,27,Corporate Finance,12.5 国际纸业公司的资本成本估计Estimating International Papers Cost of Capital,First, we estimate the cost of equity and
27、the cost of debt.We estimate an equity beta to estimate the cost of equity.We can often estimate the cost of debt by observing the YTM of the firms debt.Second, we determine the WACC by weighting these two costs appropriately.,28,Corporate Finance,The industry average beta is 0.82; the risk free rat
28、e is 8% and the market risk premium is 9.2%. Thus the cost of equity capital is,29,Corporate Finance,The yield on the companys debt is 8% and the firm is in the 37% marginal tax rate.The debt to value ratio is 32%,注意：12.18 percent is Internationals cost of capital. It should be used to discount any
29、project where one believes that the projects risk is equal to the risk of the firm as a whole, and the project has the same leverage as the firm as a whole.,30,Corporate Finance,12.6 降低资本成本Reducing the Cost of Capital,12.6.1 什么是流动性 What is Liquidity?12.6.2 流动性、期望收益和资本成本 Liquidity, Expected Returns a
30、nd the Cost of Capital12.6.3 流动性与逆向选择 Liquidity and Adverse Selection12.6.4 公司能做什么 What the Corporation Can Do,31,Corporate Finance,12.6.1 什么是流动性What is Liquidity?,一般认为：股票的期望收益和公司的资本成本均与风险正相关。The idea that the expected return on a stock and the firms cost of capital are positively related to risk is
31、 fundamental.近来，许多文献都提出这样的观点：期望收益和资本成本均与公司股票的流动性负相关。Recently a number of academics have argued（认为） that the expected return on a stock and the firms cost of capital are negatively related to the liquidity of the firms shares as well.因此，可通过提升公司股票的流动性来降低公司的资本成本。,32,Corporate Finance,在股票市场上，流动性是指买卖股票的费
32、用。交易费用较高的股票比交易费用比较低的股票具有较低的流动性。交易成本包括三种类型：The trading costs of holding a firms shares include brokerage fees（佣金）, the bid-ask spread（差价） and market impact costs（引致成本）差价：卖盘报价与买盘报价的差异（专营商）。引致成本：大额销售导致股票下跌和大额购买导致价格上升。,33,Corporate Finance,12.6.2 流动性、收益与资本成本Liquidity, Expected Returns and the Cost of Ca
33、pital,流动性较差的股票的交易费用会降低投资者的总报酬。The cost of trading an illiquid stock reduces the total return that an investor receives.投资者投资高交易费用的股票需要较高的期望报酬率。Investors thus will demand a high expected return when investing in stocks with high trading costs.而较高的期望报酬率意味着公司较高的资本成本 This high expected return implies a
34、high cost of capital to the firm.,34,Corporate Finance,Liquidity and the Cost of Capital,Cost of Capital,Liquidity,An increase in liquidity, i.e. a reduction in trading costs, lowers a firms cost of capital.,35,Corporate Finance,12.6.3 流动性与逆向选择Liquidity and Adverse Selection,影响股票流动性的因素很多，这里只考虑逆向选择 T
35、here are a number of factors that determine the liquidity of a stock. One of these factors is adverse selection.如果投资者拥有专营商没有的信息，那么专营商就会遭受损失，或称遭受逆向选择。This refers to the notion that traders with better information can take advantage of specialists and other traders who have less information.,36,Corpor
36、ate Finance,专营商必须想办法改变这种局面，扩大买卖价差。这样就提高了交易成本。 信息不对称越大，则价差越大。知情者将提升权益的必要报酬率，从而提升资本成本。 The greater the heterogeneity（异质） of information, the wider the bid-ask spreads, and the higher the required return on equity.,37,Corporate Finance,12.6.4 公司能做什么What the Corporation Can Do,The corporation has an inc
37、entive（动机） to lower trading costs since this would result in a lower cost of capital.A stock split（股票分割） would increase the liquidity of the shares.A stock split would also reduce the adverse selection costs（逆向选择成本） thereby lowering bid-ask spreads（价差）.This idea is a new one and empirical evidence i
38、s not yet in.,38,Corporate Finance,What the Corporation Can Do,Companies can also facilitate（促进） stock purchases through the Internet.Direct stock purchase plans and dividend reinvestment plans handles on-line allow small investors the opportunity to buy securities cheaply.The companies can also dis
39、close（透露） more information. Especially to security analysts, to narrow the gap between informed and uninformed traders. This should reduce spreads.（缩小买卖差价）,39,Corporate Finance,12.7 小结 Summary and Conclusions,1. 一个资本预算项目的期望收益率至少与同等风险的金融资产收益率相等。否则股东宁愿分红。The expected return on any capital budgeting pr
40、oject should be at least as great as the expected return on a financial asset of comparable risk. Otherwise the shareholders would prefer the firm to pay a dividend.,40,Corporate Finance,2. 任何资产的期望收益率都取决于它的贝塔系数。对股票的贝塔系数可采用对历史收益率作回归分析。The expected return on any asset is dependent upon b.3. 一个项目的要求的收益
41、率取决于项目的贝塔系数。如果项目的贝塔与企业的贝塔相等，对无杠杆企业，项目的折现率等于：A projects required return depends on the projects b.,41,Corporate Finance,4. 如果项目的贝塔不同于企业的贝塔，应以此项目的贝塔为准。项目的贝塔可按所在行业的平均贝塔来估计。5. A projects b can be estimated by considering comparable industries or the cyclicality（周期性） of project revenues and the projects operating leverage（经营杠杆）.6. If the firm uses debt, the discount rate to use is the rWACC.7. In order to calculate rWACC, the cost of equity and the cost of debt applicable to a project must be estimated.,42,Corporate Finance,本章结束，谢谢!,
