第16章資本結(jié)構(gòu)：債務(wù)運(yùn)用的限制16.1財(cái)務(wù)困境成本16.2成本的種類(lèi)16.3能夠降低債務(wù)成本嗎？16.4稅收和財(cái)務(wù)困境成本的綜合影響16.5怠工、在職消費(fèi)與有害投資16.6優(yōu)序融資理論16.7增長(zhǎng)和負(fù)債比16.8個(gè)人稅16.9公司如何確定資本結(jié)構(gòu)16.10小結(jié)ppt課件16.1財(cái)務(wù)困境成本

CostsofFinancialDistress破產(chǎn)風(fēng)險(xiǎn)或破產(chǎn)成本Bankruptcyriskversusbankruptcycost.例：某公司預(yù)測(cè)未來(lái)的現(xiàn)金流量為100美元或50美元，發(fā)生的概率均為50%.公司沒(méi)有其他資產(chǎn)，需要支付的利息為60美元。不考慮稅收。假設(shè)：（1）債權(quán)人和股東是風(fēng)險(xiǎn)中立者；（2）利率（貼現(xiàn)率）為10%.試評(píng)估公司的價(jià)值。ppt課件繁榮期（概率：50%）衰退期（概率：50%）現(xiàn)金流量債務(wù)支付股東剩余100604050500單位：美元ppt課件繁榮期（概率：50%）衰退期（概率：50%）現(xiàn)金流量債務(wù)支付股東剩余10060405035（假定扣除破產(chǎn)成本15元）0以上忽略了破產(chǎn)費(fèi)用，實(shí)際情況可能是：?jiǎn)挝唬好涝緝r(jià)值現(xiàn)在是61.36元，低于前面計(jì)算的68.18元。ppt課件結(jié)論：破產(chǎn)的可能性對(duì)公司價(jià)值有負(fù)面影響Thepossibilityofbankruptcyhasanegativeeffectonthevalueofthefirm.然而，并不是破產(chǎn)風(fēng)險(xiǎn)本身降低了公司價(jià)值However,itisnottheriskofbankruptcyitselfthatlowersvalue.而是與破產(chǎn)密切相關(guān)的成本降低了公司價(jià)值Ratheritisthecostsassociatedwithbankruptcy.股東承擔(dān)了這些風(fēng)險(xiǎn)。破產(chǎn)成本損害了股東的利益。Itisthestockholderswhobearthesecosts.ppt課件16.2成本的種類(lèi)

DescriptionofCosts財(cái)務(wù)困境的直接成本DirectCosts清算和重組的法律成本和管理成本Legalandadministrativecosts(tendtobeasmallpercentageoffirmvalue).在破產(chǎn)和破產(chǎn)前期的所有階段，自始自終都有律師的介入?yún)⑴c。費(fèi)用通常是每小時(shí)幾百美元計(jì)，而且快遞增加。已有大量的學(xué)術(shù)研究在探討如何衡量財(cái)務(wù)困境的直接成本。White、Altman和Weiss估計(jì)財(cái)務(wù)困境的直接成本大概是公司市值的3%ppt課件財(cái)務(wù)困境的間接成本IndirectCosts經(jīng)營(yíng)受到影響Impairedabilitytoconductbusiness(e.g.,lostsales)代理成本AgencyCostsSelfishstrategy1:冒高風(fēng)險(xiǎn)的動(dòng)機(jī)IncentivetotakelargerisksSelfishstrategy2:投資不足的動(dòng)機(jī)IncentivetowardunderinvestmentSelfishStrategy3:撇脂Milkingthepropertyppt課件例：BalanceSheetforaCompanyinDistressAssets BV MV Liabilities BV MVCash $200 $200 LTbonds $300 FixedAsset $400 $0 Equity $300 Total $600 $200 Total $600 $200Whathappensifthefirmisliquidated（清算）today?Thebondholdersget$200;theshareholdersgetnothing.$200$0bookvaluemaketvalueppt課件SelfishStrategy1:TakeLargeRisks

投資高風(fēng)險(xiǎn)項(xiàng)目TheGamble Probability PayoffWinBig 10% $1,000LoseBig 90% $0Costofinvestmentis$200(allthefirm’scash)Requiredreturnis50%ExpectedCFfromtheGamble=$1000×0.10+$0=$100ppt課件SelfishStockholdersAcceptNegativeNPVProjectwithLargeRisksExpectedCFfromtheGambleToBondholders=$300×0.10+$0=$30ToStockholders=($1000-$300)×0.10+$0=$70PVofBondsWithouttheGamble=$200PVofStocksWithouttheGamble=$0PVofBondsWiththeGamble=$30/1.5=$20PVofStocksWiththeGamble=$70/1.5=$47負(fù)債ppt課件SelfishStrategy2:Underinvestment

投資不足Consideragovernment-sponsoredprojectthatguarantees$350inoneperiodCostofinvestmentis$300(thefirmonlyhas$200now)sothestockholderswillhavetosupplyanadditional$100tofinancetheprojectRequiredreturnis10%Shouldweacceptorreject?ppt課件SelfishStockholdersForegoPositiveNPVProjectExpectedCFfromthegovernmentsponsoredproject:ToBondholder=$300ToStockholder=($350-$300)=$50PVofBondsWithouttheProject=$200PVofStocksWithouttheProject=$0PVofBondsWiththeProject=$300/1.1=$272.73PVofStockswiththeproject=$50/1.1-$100=-$54.55自籌的100元ppt課件SelfishStrategy3:MilkingtheProperty

撇脂清算股利LiquidatingdividendsSupposeourfirmpaidouta$200dividendtotheshareholders.Thisleavesthefirminsolvent（破產(chǎn)）,withnothingforthebondholders,butplentyfortheformershareholders.Suchtacticsoftenviolatebondindentures.額外的津貼Increaseperquisitestoshareholdersand/ormanagementppt課件利己策略總結(jié)：僅當(dāng)有破產(chǎn)或財(cái)務(wù)困境的可能性時(shí)，才發(fā)生上述的扭曲策略。這些扭曲策略不應(yīng)影響象通用電氣這樣多元化經(jīng)營(yíng)的一流公司。由誰(shuí)來(lái)支付利己投資策略的成本？最終由股東承擔(dān)。因?yàn)?，如果債?quán)人知道危機(jī)逼近時(shí)，會(huì)要求提高債券利率保護(hù)自己。由于股東要負(fù)擔(dān)這些利率，他們最終要負(fù)擔(dān)利己的成本。因此，面臨這些扭曲策略的公司難以獲得債務(wù)且代價(jià)高昂，它們會(huì)擁有較低的財(cái)務(wù)杠桿比率。ppt課件16.3能夠降低債務(wù)成本嗎？

CanCostsofDebtBeReduced?保護(hù)性條款ProtectiveCovenants債務(wù)的合并DebtConsolidation:Ifweminimizethenumberofparties,contractingcostsfall.ppt課件ProtectiveCovenantsAgreementstoprotectbondholders消極條款：你不能做：Negativecovenant:Thoushaltnot:支付超額股息Paydividendsbeyondspecifiedamount.發(fā)行更高級(jí)別的債券Sellmoreseniordebt&amountofnewdebtislimited.用新債還舊債Refundexistingbondissuewithnewbondspayinglowerinterestrate.購(gòu)買(mǎi)其他公司債券Buyanothercompany’sbonds.ppt課件積極條款：你必須：Positivecovenant:Thoushall:用出售資產(chǎn)收益來(lái)購(gòu)置其他資產(chǎn)Useproceedsfromsaleofassetsforotherassets.允許在合并或分拆時(shí)償還Allowredemption（贖回）ineventofmergerorspinoff.維持良好的資產(chǎn)狀況Maintaingoodconditionofassets.提供經(jīng)審計(jì)的財(cái)務(wù)信息Provideauditedfinancialinformation.ppt課件16.4稅收和財(cái)務(wù)困境成本的綜合影響

IntegrationofTaxEffectsandFinancialDistressCostsThereisatrade-off（平衡）betweenthetaxadvantageofdebtandthecostsoffinancialdistress.Itisdifficulttoexpressthiswithapreciseandrigorous（嚴(yán)格的）formula.ppt課件Debt(B)Valueoffirm(V)0Presentvalueoftax

shieldondebtPresentvalueof

financialdistresscostsValueoffirmunder

MMwithcorporate

taxesanddebtVL=VU+TCBV=ActualvalueoffirmVU=ValueoffirmwithnodebtB*Maximum

firmvalueOptimalamountofdebtppt課件重提餡餅理論

ThePieModelRevisitedTaxesandbankruptcycostscanbeviewedasjustanotherclaimonthecashflowsofthefirm.LetGandLstandforpaymentstothegovernmentandbankruptcylawyers,respectively.VT=S+B+G+LTheessence（本質(zhì)）oftheM&Mintuition（直覺(jué)）isthatVTdependsonthecashflowofthefirm;capitalstructurejustslicesthepie.SGBLppt課件16.5怠工、在職消費(fèi)與有害投資

Shirking,Perquisites,andBadInvestments:TheAgencyCostofEquityAnindividualwillworkharderforafirmifheisoneoftheownersthanifheisoneofthe“hiredhelp”.Whobearstheburdenoftheseagencycosts?Whilemanagersmayhavemotive（動(dòng)機(jī)）topartakeinperquisites（特權(quán)）,theyalsoneedopportunity.Freecashflow（自由現(xiàn)金流量）providesthisopportunity.ppt課件自由現(xiàn)金流假說(shuō)認(rèn)為，股利的增加能減弱管理層尋求浪費(fèi)行為的能力。Thefreecashflowhypothesissaysthatanincreaseindividendsshouldbenefitthestockholdersbyreducingtheabilityofmanagerstopursuewastefulactivities.自由現(xiàn)金流假說(shuō)也認(rèn)為，債務(wù)的增加比股利的增加更能減弱管理層尋求浪費(fèi)行為的能力。Thefreecashflowhypothesisalsoarguesthatanincreaseindebtwillreducetheabilityofmanagerstopursuewastefulactivitiesmoreeffectivelythandividendincreases.ppt課件16.6優(yōu)序融資理論

ThePecking-OrderTheoryTheorystatingthatfirmsprefertoissuedebtratherthanequityifinternalfinanceisinsufficient.法則1Rule1采用內(nèi)部融資Useinternalfinancingfirst.法則2Rule2發(fā)行債券，最后發(fā)行權(quán)益Issuedebtnext,equitylast.優(yōu)序理論與與權(quán)衡理論的不同：Thepecking-orderTheoryisatoddswiththetrade-offtheory:不存在財(cái)務(wù)杠桿目標(biāo)值ThereisnotargetD/Eratio.盈利的公司應(yīng)用較少的債務(wù)Profitablefirmsuselessdebt.公司偏好閑置財(cái)務(wù)資源Companieslikefinancialslackppt課件16.7增長(zhǎng)和負(fù)債權(quán)益比

GrowthandtheDebt-EquityRatio增長(zhǎng)意味著重大的權(quán)益融資，即使在低破產(chǎn)成本的世界中也是這樣。Growthimpliessignificantequityfinancing,eveninaworldwithlowbankruptcycosts.無(wú)增長(zhǎng)的例子：設(shè)想在一個(gè)完全確定的世界中，一個(gè)公司的EBIT永遠(yuǎn)是100美元，另外，公司已發(fā)行利率為10%的債務(wù)1000美元，這樣所有的EBIT都支付利息。股東沒(méi)有現(xiàn)金流量，因此權(quán)益沒(méi)有價(jià)值。鑒于債務(wù)價(jià)值1000美元，對(duì)公司的估價(jià)也是1000美元。如發(fā)債低于1000美元，有應(yīng)稅收入，則交稅；若發(fā)行多于1000美元的債務(wù)，利息就會(huì)超過(guò)EBIT，導(dǎo)致違約。因此，最優(yōu)負(fù)債-價(jià)值比率是100%。ppt課件增長(zhǎng)的例子：假設(shè)另一公司在時(shí)期1的EBIT是100美元，但每年增長(zhǎng)5%。為了消除稅金，公司也要發(fā)行足額的債務(wù)以使利息等于EBIT。時(shí)期0123…債務(wù)新發(fā)債務(wù)EBIT利息應(yīng)稅所得1000105050100-10001102.552.50105-10501157.6355.13110.25-110.250……………股東的價(jià)值（0時(shí)期）=公司價(jià)值-債務(wù)價(jià)值=2000－1000＝1000美元，也可以把當(dāng)年發(fā)行的新債務(wù)作為股利支付給股東，則某一特定時(shí)期的利息總是前一期債務(wù)的10%.ppt課件如果時(shí)期0的債務(wù)大于1000美元，由于破產(chǎn)成本會(huì)降低公司價(jià)值。因此，有增長(zhǎng)時(shí)，最優(yōu)的負(fù)債額低于100%。因此：增長(zhǎng)是現(xiàn)實(shí)世界的一個(gè)基本特征，100%的債務(wù)籌資是次優(yōu)方案。Growthisanessentialfeatureoftherealworld;asaresult,100%debtfinancingissub-optimal.高增長(zhǎng)公司的負(fù)債比率將低于低增長(zhǎng)公司Thus,high-growthfirmswillhavelowerdebtratiosthanlow-growthfirms.ppt課件16.8個(gè)人稅

PersonalTaxes:TheMillerModelTheMillerModelshowsthatthevalueofaleveredfirmcanbeexpressedintermsofanunleveredfirmas:Where:TS=personaltaxrateonequityincomeTB=personaltaxrateonbondincomeTC=corporatetaxrateppt課件Thederivationisstraightforward:Continued…ppt課件Thefirsttermisthecashflowofanunleveredfirmafteralltaxes.Itsvalue=VU.AbondisworthB.ItpromisestopayrBB×(1-TB)aftertaxes.Thusthevalueofthesecondtermis:Thetotalcashflowtoallstakeholdersintheleveredfirmis:ThevalueofthesumofthesetwotermsmustbeVLppt課件ThustheMillerModelshowsthatthevalueofaleveredfirmcanbeexpressedintermsofanunleveredfirmas:InthecasewhereTB=TS,wereturntoM&Mwithonlycorporatetax:ppt課件EffectofFinancialLeverageonFirmValuewithBothCorporateandPersonalTaxesDebt(B)Valueoffirm(V)VUVL=VU+TCBwhenTS=TBVL<VU+TCB

whenTS<TB

but(1-TB)>(1-TC)×(1-TS)VL=VU

when(1-TB)=(1-TC)×(1-TS)VL<VUwhen(1-TB)<(1-TC)×(1-TS)ppt課件IntegrationofPersonalandCorporateTaxEffectsandFinancialDistressCostsandAgencyCostsDebt(B)Valueoffirm(V)0Presentvalueoftax

shieldondebtPresentvalueof

financialdistresscostsValueoffirmunder

MMwithcorporate

taxesanddebtVL=VU+TCBV=ActualvalueoffirmVU=ValueoffirmwithnodebtB*Maximum

firmvalueOptimalamountofdebtVL<VU+TCB

whenTS<TB

but(1-TB)>(1-TC)×(1-TS)AgencyCostofEquityAgencyCostofDebtppt課件16.9公司如何確定資本結(jié)構(gòu)

HowFirmsEstablishCapitalStructure實(shí)證表明：大多數(shù)公司具有低負(fù)債資產(chǎn)比。許多公司不使用債務(wù)。MostCorporationsHaveLowDebt-AssetRatios.財(cái)務(wù)杠桿的變化影響公司的價(jià)值ChangesinFinancialLeverageAffectFirmValue.Stockpriceincreaseswithincreasesinleverageandvice-versa（反之亦然）;thisisconsistent（一致）withM&Mwithtaxes.Anotherinterpretationisthatfirmssignalgoodnewswhentheyleverup.不同行業(yè)的資本結(jié)構(gòu)存在差異ThereareDifferencesinCapitalStructureAcrossIndustries.有證據(jù)表明一些公司有目標(biāo)債務(wù)權(quán)益比率ThereisevidencethatfirmsbehaveasiftheyhadatargetDebttoEquityratio.ppt課件影響目標(biāo)負(fù)債權(quán)益的因素

FactorsinTargetD/ERatio稅收TaxesIfcorporatetaxratesarehigherthanbondholdertaxrates,thereisanadvantagetodebt.資產(chǎn)類(lèi)型TypesofAssetsThecostsoffinancialdistressdependonthetypesofassetsthefirmhas.比如土地的重置價(jià)值高于研發(fā)的重置價(jià)值經(jīng)營(yíng)收入的不確定性UncertaintyofOperatingIncomeEvenwithoutdebt,firmswithuncertainoperatingincomehavehighprobabilityofexperiencingfinancialdistress.優(yōu)序融資和財(cái)務(wù)資源閑置PeckingOrderandFinancialSlackTheorystatingthatfirmsprefertoissuedebtratherthanequityifinternalfinanceisinsufficient.ppt課件16.10小結(jié)SummaryandConclusions1.在上一章我們提到，根據(jù)理論，在資本征稅之下，公司應(yīng)建立完全債務(wù)的資本結(jié)構(gòu)。由于在現(xiàn)實(shí)世界中公司一般采取適中的債務(wù)額。在本章我們指出財(cái)務(wù)困境成本導(dǎo)致公司限制其債務(wù)的發(fā)行。這些成本有兩種類(lèi)型：直接的和間接的。直接成本DirectcostsLawyers’andaccountants’fees間接成本IndirectCosts削弱經(jīng)營(yíng)能力Impairedabilitytoconductbusiness投資高風(fēng)險(xiǎn)項(xiàng)目的動(dòng)機(jī)Incentivestotakeonriskyprojects投資不足的動(dòng)機(jī)Incentivestounderinvest撇脂Incentivetomilkthepropertyppt課件2.由于上述成本很大且最終由股東承擔(dān)，公司有削減成本的動(dòng)機(jī)。我們建議三種成本削減的技巧：Threetechniquestoreducethesecostsare:保護(hù)性條款Protectivecovenants先于破產(chǎn)前的債務(wù)回購(gòu)Repurchaseofdebtpriortobankruptcy債務(wù)合并Consolidationofdebt3.因財(cái)務(wù)困境成本能被減少但不可被消除，公司不會(huì)全部用債務(wù)融資。公司選擇使其價(jià)值最大化的負(fù)債-權(quán)益比。ppt課件Becausecostsoffinancialdistresscanbereducedbutnoteliminated,firmswillnotfinanceentirelywithdebt.Debt(B)Valueoffirm(V)0Presentvalueoftax

shieldondebtPresentvalueof

financialdistresscostsValueoffirmunder

MMwithcorporate

taxesanddebtVL=VU+TCBV=ActualvalueoffirmVU=ValueoffirmwithnodebtB*Maximum

firmvalueOptimalamountofdebtppt課件4.優(yōu)序融資理論暗示了管理者偏好內(nèi)部融資勝于外部融資.如果需要外部融資,管