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1、第16章 资本结构：债务运用的限制,16.1 财务困境成本16.2 成本的种类16.3 能够降低债务成本吗？16.4 税收和财务困境成本的综合影响16.5 怠工、在职消费与有害投资16.6 优序融资理论16.7 增长和负债比16.8 个人税16.9 公司如何确定资本结构16.10 小结,ppt课件,16.1 财务困境成本Costs of Financial Distress,破产风险或破产成本 Bankruptcy risk versus bankruptcy cost.例：某公司预测未来的现金流量为100美元或50美元，发生的概率均为50%.公司没有其他资产，需要支付的利息为60美元。不考虑
2、税收。假设：（1）债权人和股东是风险中立者；（2）利率（贴现率）为10%.试评估公司的价值。,ppt课件,单位：美元,ppt课件,以上忽略了破产费用，实际情况可能是：,单位：美元,公司价值现在是61.36元，低于前面计算的68.18元。,ppt课件,结论：破产的可能性对公司价值有负面影响 The possibility of bankruptcy has a negative effect on the value of the firm.然而，并不是破产风险本身降低了公司价值 However,it is not the risk of bankruptcy itself that lower
3、s value.而是与破产密切相关的成本降低了公司价值 Rather it is the costs associated with bankruptcy.股东承担了这些风险。破产成本损害了股东的利益。It is the stockholders who bear these costs.,ppt课件,16.2 成本的种类Description of Costs,财务困境的直接成本 Direct Costs清算和重组的法律成本和管理成本 Legal and administrative costs(tend to be a small percentage of firm value).在破产
4、和破产前期的所有阶段，自始自终都有律师的介入参与。费用通常是每小时几百美元计，而且快递增加。已有大量的学术研究在探讨如何衡量财务困境的直接成本。White、Altman和Weiss估计财务困境的直接成本大概是公司市值的3%,ppt课件,财务困境的间接成本 Indirect Costs经营受到影响 Impaired ability to conduct business(e.g.,lost sales)代理成本 Agency CostsSelfish strategy 1:冒高风险的动机 Incentive to take large risksSelfish strategy 2:投资不足的动
5、机Incentive toward underinvestmentSelfish Strategy 3:撇脂 Milking the property,ppt课件,例：Balance Sheet for a Company in Distress,AssetsBVMVLiabilitiesBVMVCash$200$200LT bonds$300Fixed Asset$400$0Equity$300Total$600$200Total$600$200What happens if the firm is liquidated（清算）today?,The bondholders get$200;t
6、he shareholders get nothing.,$200,$0,book value,maket value,ppt课件,Selfish Strategy 1:Take Large Risks投资高风险项目,The GambleProbabilityPayoffWin Big10%$1,000Lose Big90%$0Cost of investment is$200(all the firms cash)Required return is 50%Expected CF from the Gamble=$1000 0.10+$0=$100,ppt课件,Selfish Stockho
7、lders Accept Negative NPV Project with Large Risks,Expected CF from the GambleTo Bondholders=$300 0.10+$0=$30To Stockholders=($1000-$300)0.10+$0=$70PV of Bonds Without the Gamble=$200PV of Stocks Without the Gamble=$0PV of Bonds With the Gamble=$30/1.5=$20PV of Stocks With the Gamble=$70/1.5=$47,负债,
8、ppt课件,Selfish Strategy 2:Underinvestment投资不足,Consider a government-sponsored project that guarantees$350 in one periodCost of investment is$300(the firm only has$200 now)so the stockholders will have to supply an additional$100 to finance the projectRequired return is 10%,Should we accept or reject?
9、,ppt课件,Selfish Stockholders Forego Positive NPV Project,Expected CF from the government sponsored project:To Bondholder=$300To Stockholder=($350-$300)=$50PV of Bonds Without the Project=$200PV of Stocks Without the Project=$0PV of Bonds With the Project=$300/1.1=$272.73PV of Stocks with the project=
10、$50/1.1-$100=-$54.55,自筹的100元,ppt课件,Selfish Strategy 3:Milking the Property撇脂,清算股利 Liquidating dividendsSuppose our firm paid out a$200 dividend to the shareholders.This leaves the firm insolvent（破产）,with nothing for the bondholders,but plenty for the former shareholders.Such tactics often violate bo
11、nd indentures.额外的津贴 Increase perquisites to shareholders and/or management,ppt课件,利己策略总结：仅当有破产或财务困境的可能性时，才发生上述的扭曲策略。这些扭曲策略不应影响象通用电气这样多元化经营的一流公司。由谁来支付利己投资策略的成本？最终由股东承担。因为，如果债权人知道危机逼近时，会要求提高债券利率保护自己。由于股东要负担这些利率，他们最终要负担利己的成本。因此，面临这些扭曲策略的公司难以获得债务且代价高昂，它们会拥有较低的财务杠杆比率。,ppt课件,16.3 能够降低债务成本吗？Can Costs of Deb
12、t Be Reduced?,保护性条款 Protective Covenants债务的合并 Debt Consolidation:If we minimize the number of parties,contracting costs fall.,ppt课件,Protective Covenants,Agreements to protect bondholders消极条款：你不能做：Negative covenant:Thou shalt not:支付超额股息 Pay dividends beyond specified amount.发行更高级别的债券 Sell more senior
13、 debt&amount of new debt is limited.用新债还旧债 Refund existing bond issue with new bonds paying lower interest rate.购买其他公司债券 Buy another companys bonds.,ppt课件,积极条款：你必须：Positive covenant:Thou shall:用出售资产收益来购置其他资产 Use proceedsfrom sale of assets for other assets.允许在合并或分拆时偿还 Allow redemption（赎回）in event of
14、 merger or spinoff.维持良好的资产状况 Maintain good condition of assets.提供经审计的财务信息 Provide audited financial information.,ppt课件,16.4 税收和财务困境成本的综合影响Integration of Tax Effects and Financial Distress Costs,There is a trade-off（平衡）between the tax advantage of debt and the costs of financial distress.It is diffic
15、ult to express this with a precise and rigorous（严格的）formula.,ppt课件,Debt(B),Value of firm(V),0,Present value of taxshield on debt,Present value offinancial distress costs,Value of firm underMM with corporatetaxes and debt,VL=VU+TCB,V=Actual value of firm,VU=Value of firm with no debt,B*,Maximumfirm v
16、alue,Optimal amount of debt,ppt课件,重提馅饼理论The Pie Model Revisited,Taxes and bankruptcy costs can be viewed as just another claim on the cash flows of the firm.Let G and L stand for payments to the government and bankruptcy lawyers,respectively.VT=S+B+G+LThe essence（本质）of the M capital structure just s
17、lices the pie.,S,G,B,L,ppt课件,16.5 怠工、在职消费与有害投资Shirking,Perquisites,and Bad Investments:The Agency Cost of Equity,An individual will work harder for a firm if he is one of the owners than if he is one of the“hired help”.Who bears the burden of these agency costs?While managers may have motive（动机）to p
18、artake in perquisites（特权）,they also need opportunity.Free cash flow（自由现金流量）provides this opportunity.,ppt课件,自由现金流假说认为，股利的增加能减弱管理层寻求浪费行为的能力。The free cash flow hypothesis says that an increase in dividends should benefit the stockholders by reducing the ability of managers to pursue wasteful activitie
19、s.自由现金流假说也认为，债务的增加比股利的增加更能减弱管理层寻求浪费行为的能力。The free cash flow hypothesis also argues that an increase in debt will reduce the ability of managers to pursue wasteful activities more effectively than dividend increases.,ppt课件,16.6 优序融资理论The Pecking-Order Theory,Theory stating that firms prefer to issue
20、debt rather than equity if internal finance is insufficient.法则1 Rule 1采用内部融资 Use internal financing first.法则2 Rule 2发行债券，最后发行权益 Issue debt next,equity last.优序理论与与权衡理论的不同：The pecking-order Theory is at odds with the trade-off theory:不存在财务杠杆目标值 There is no target D/E ratio.盈利的公司应用较少的债务 Profitable firm
21、s use less debt.公司偏好闲置财务资源 Companies like financial slack,ppt课件,16.7 增长和负债权益比Growth and the Debt-Equity Ratio,增长意味着重大的权益融资，即使在低破产成本的世界中也是这样。Growth implies significant equity financing,even in a world with low bankruptcy costs.无增长的例子：设想在一个完全确定的世界中，一个公司的EBIT永远是100美元，另外，公司已发行利率为10%的债务1000美元，这样所有的EBIT都支
22、付利息。股东没有现金流量，因此权益没有价值。鉴于债务价值1000美元，对公司的估价也是1000美元。如发债低于1000美元，有应税收入，则交税；若发行多于1000美元的债务，利息就会超过EBIT，导致违约。因此，最优负债-价值比率是100%。,ppt课件,增长的例子：假设另一公司在时期1的EBIT是100美元，但每年增长5%。为了消除税金，公司也要发行足额的债务以使利息等于EBIT。,股东的价值（0时期）=公司价值-债务价值=200010001000美元，也可以把当年发行的新债务作为股利支付给股东，则,某一特定时期的利息总是前一期债务的10%.,ppt课件,如果时期0的债务大于1000美元，由
23、于破产成本会降低公司价值。因此，有增长时，最优的负债额低于100%。因此：增长是现实世界的一个基本特征，100%的债务筹资是次优方案。Growth is an essential feature of the real world;as a result,100%debt financing is sub-optimal.高增长公司的负债比率将低于低增长公司 Thus,high-growth firms will have lower debt ratios than low-growth firms.,ppt课件,16.8 个人税Personal Taxes:The Miller Model
24、,The Miller Model shows that the value of a levered firm can be expressed in terms of an unlevered firm as:,Where:TS=personal tax rate on equity incomeTB=personal tax rate on bond incomeTC=corporate tax rate,ppt课件,The derivation is straightforward:,Continued,ppt课件,The first term is the cash flow of
25、an unlevered firm after all taxes.Its value=VU.,A bond is worth B.It promises to pay rBB(1-TB)after taxes.Thus the value of the second term is:,The total cash flow to all stakeholders in the levered firm is:,The value of the sum of these two terms must be VL,ppt课件,Thus the Miller Model shows that th
26、e value of a levered firm can be expressed in terms of an unlevered firm as:,In the case where TB=TS,we return to M&M with only corporate tax:,ppt课件,Effect of Financial Leverage on Firm Value with Both Corporate and Personal Taxes,Debt(B),Value of firm(V),VU,VL=VU+TCB when TS=TB,VL(1-TC)(1-TS),VL=VU
27、 when(1-TB)=(1-TC)(1-TS),VL VU when(1-TB)(1-TC)(1-TS),ppt课件,Integration of Personal and Corporate Tax Effects and Financial Distress Costs and Agency Costs,Debt(B),Value of firm(V),0,Present value of taxshield on debt,Present value offinancial distress costs,Value of firm underMM with corporatetaxes
28、 and debt,VL=VU+TCB,V=Actual value of firm,VU=Value of firm with no debt,B*,Maximumfirm value,Optimal amount of debt,VL(1-TC)(1-TS),ppt课件,16.9 公司如何确定资本结构How Firms Establish Capital Structure,实证表明：大多数公司具有低负债资产比。许多公司不使用债务。Most Corporations Have Low Debt-Asset Ratios.财务杠杆的变化影响公司的价值 Changes in Financial
29、 Leverage Affect Firm Value.Stock price increases with increases in leverage and vice-versa（反之亦然）;this is consistent（一致）with M&M with taxes.Another interpretation is that firms signal good news when they lever up.不同行业的资本结构存在差异 There are Differences in Capital Structure Across Industries.有证据表明一些公司有目标
30、债务权益比率There is evidence that firms behave as if they had a target Debt to Equity ratio.,ppt课件,影响目标负债权益的因素Factors in Target D/E Ratio,税收 TaxesIf corporate tax rates are higher than bondholder tax rates,there is an advantage to debt.资产类型 Types of AssetsThe costs of financial distress depend on the typ
31、es of assets the firm has.比如土地的重置价值高于研发的重置价值经营收入的 不确定性 Uncertainty of Operating IncomeEven without debt,firms with uncertain operating income have high probability of experiencing financial distress.优序融资和财务资源闲置 Pecking Order and Financial SlackTheory stating that firms prefer to issue debt rather th
32、an equity if internal finance is insufficient.,ppt课件,16.10 小结 Summary and Conclusions,1.在上一章我们提到，根据理论，在资本征税之下，公司应建立完全债务的资本结构。由于在现实世界中公司一般采取适中的债务额。在本章我们指出财务困境成本导致公司限制其债务的发行。这些成本有两种类型：直接的和间接的。直接成本 Direct costsLawyers and accountants fees间接成本 Indirect Costs削弱经营能力Impaired ability to conduct business投资高风
33、险项目的动机 Incentives to take on risky projects投资不足的动机 Incentives to underinvest撇脂 Incentive to milk the property,ppt课件,2.由于上述成本很大且最终由股东承担，公司有削减成本的动机。我们建议三种成本削减的技巧：Three techniques to reduce these costs are:保护性条款 Protective covenants先于破产前的债务回购 Repurchase of debt prior to bankruptcy债务合并 Consolidation of
34、debt3.因财务困境成本能被减少但不可被消除，公司不会全部用债务融资。公司选择使其价值最大化的负债-权益比。,ppt课件,Because costs of financial distress can be reduced but not eliminated,firms will not finance entirely with debt.,Debt(B),Value of firm(V),0,Present value of taxshield on debt,Present value offinancial distress costs,Value of firm underMM
35、with corporatetaxes and debt,VL=VU+TCB,V=Actual value of firm,VU=Value of firm with no debt,B*,Maximumfirm value,Optimal amount of debt,ppt课件,4.优序融资理论暗示了管理者偏好内部融资胜于外部融资.如果需要外部融资,管理者倾向于选择最安全的证券,如债务。5.迄今为止的结论忽略了个人税。如果给股东的分配以低于利息支付的实际个人税率纳税，在公司水平上的债务税收优惠被部分抵消。事实上，债务的公司税优惠被消除，如果：If distributions to equi
36、ty holders are taxed at a lower effective personal tax rate than interest,the tax advantage to debt at the corporate level is partially offset（抵消）.In fact,the corporate advantage to debt is eliminated（消除）if(1-TC)(1-TS)=(1-TB),ppt课件,Debt(B),Value of firm(V),0,Present value of taxshield on debt,Presen
37、t value offinancial distress costs,Value of firm underMM with corporatetaxes and debt,VL=VU+TCB,V=Actual value of firm,VU=Value of firm with no debt,B*,Maximumfirm value,Optimal amount of debt,VL(1-TC)(1-TS),ppt课件,6.不同行业间的负债-权益比不同，三个决定因素：Debt-to-equity ratios vary across industries.Factors in Target
38、 D/E Ratio 税收 TaxesIf corporate tax rates are higher than bondholder tax rates,there is an advantage to debt.资产类型 Types of AssetsThe costs of financial distress depend on the types of assets the firm has.营业收入的不确定性 Uncertainty of Operating IncomeEven without debt,firms with uncertain operating income have high probability of experiencing financial distress.,ppt课件,本章结束，谢谢!,ppt课件,
