金融经济学costofcapital课件(编辑修改稿)

金融经济学costofcapital课件(编辑修改稿)内容摘要：

9 279.21.)(. 8 41)(. 7 30 9 6.0 0 4.75.)(WMDCCUUUCorporate Finance 34 Marriot‟s OA‟s beta is then  We can average those three, to get  And its cost of capital (unlevered): . % .  MPrr Uf Corporate Finance 35 Cash flows (Free) cash flow is:  EBIT Taxes on EBIT (=NOPLAT)  + Depreciation  Changes in working capital  Capital Expenditures Corporate Finance 36 Interest?  We do not subtract interest because it is a financing cash flow: • depends on the way the project is financed • not on the project‟s assets themselves Corporate Finance 37 Example: evaluate this project • Cost of a new plant = 1,000 • New Sales (per year) = 50 • Save 100 in year expenses • Operating costs = 10 / year • Old plant fully depreciated, salvage value = 50 after tax • New plant‟s salvage value = 200 after 10 years。 linear depreciation • Taxes = 34%, discount rate 10% Corporate Finance 38 Cash Flows Ye a r 0 1 2 3 4Sa le s 50 50 50 50Sa ving s 100 100 100 100O. C o s ts 10 10 10 10C APEX 1000Ol d Pla n t 50D e p re c ia tio n 80 80 80 80EBIT 60 60 60 60Ta xes 20 20 20 20N e t Ca s h Flo w 950 120 120 120 1205 6 7 8 9 1050 50 50 50 50 50100 100 100 100 100 10010 10 10 10 10 1020080 80 80 80 80 8060 60 60 60 60 6020 20 20 20 20 20120 120 120 120 120 320NPV(10%)= Corporate Finance 39 APV approach  A project can have three sources of value to the shareholders: • NPV of the free cash flow from the real assets • NPV of subsidies etc • NPV of financing effects Corporate Finance 40 APV (b)  APV deposes the value in two parts: 1. NPV assuming all equity financing 2. PV of benefits and costs of debt  Discount rates: 1. DR for unlevered assets 2. DR for the firm‟s debt, .: rD = rf + D MP  Then: APV = NPV + B(D) C(D) where D is the „optimal‟ debt level Corporate Finance 41 Example  Investment = 100  FCF = 20 / year (for 10 years)  beta (OA) = 1  rf = 5%  the firm can borrow 80m on the asset  rD = 8%  No costs of financial distress  Tax = 30% Corporate Finance 42 Answer • NPV (13%) = • Yearly interest = .08 x 80 = • Yearly tax shield = .30 x = • If the spread over the riskfree rate reflects the default risk, there is some probability the firm will default (and not enjoy the tax shield). Say that prob is 25% • Then: expected yearly tax shield = .75 x = Corporate Finance 43 Answer  Discount rate = cost of debt = 8%  PVTS =  APV = NPV + B(D) = + = Corporate Finance 44 Assessing APV  Main problem: • How to estimate the „optimal‟ capital structure • More in general, how to estimate D, C(D) and B(D)  However, a capital structure must be chosen anyway  Using APV forces you to think about CS beforehand Corporate Finance 45 WACC approach • The wacc approach incorporates the tax shield into the discount rate • It is the most popular method because it is simpler, not necessarily better! • Downside: it is less flexible than APV  Caution: • use the firm‟s beta only if the project is in the same risk class。 otherwise find a project‟s beta Corporate Finance 46 WACC or APV?  Given that they are not equivalent the choice is relevant  Using WACC because it is easier is obviously a wrong argument  Criterion: • known debt level or known (or target) D/E ratio • other effects of debt are important (like subsidised debt)  use APV Corporate Finance 47 Practice  Calculate your pany‟s cost of capital • Use Thomson One Banker to get betas • Rf : newspapers • Market risk premium, 5% (unless you want to research yourself) • Take all forms of financing into account • Use market values! • Use parable panies (see Marriot example) MM, CAPM amp。 Black amp。 Scholes Corporate Liabilities as Options 19 September 2020 Corporate Finance 49 Debt and Equity as Options  Consider: • A firm with a zero coupon debt。