資本結(jié)構(gòu)和MM定理PPT學(xué)習(xí)教案

1、會計學(xué)1 資本結(jié)構(gòu)和資本結(jié)構(gòu)和MM定理定理 第1頁/共38頁 If the goal of the management of the firm is to make the firm as valuable as possible, the the firm should pick the debt- equity ratio that makes the pie as big as possible. Value of the Firm S BS BS BS B 第2頁/共38頁 (2.00) 0.00 2.00 4.00 6.00 8.00 10.00 12.00 1,0002,0003

2、,000 EPS Debt No Debt Break-even point EBIT in dollars, no taxes Advantage to debt Disadvantage to debt 第3頁/共38頁 1 ROA Leverage NINIAssets ROE EquityAssetsEquity ED ROA E D ROEROA E 第4頁/共38頁 第5頁/共38頁 B is the value of debt SL is the value of levered equity 第6頁/共38頁 UL VV BrEBIT B - receive firm leve

3、red ain rsShareholde Br B receive sBondholder The derivation is straightforward: BrBrEBIT BB -)( is rsstakeholde all toflowcash total theThus, The present value of this stream of cash flows is VL EBITBrBrEBIT BB -)( Clearly The present value of this stream of cash flows is VU 第7頁/共38頁 The derivation

4、 is straightforward: SBWACC r SB S r SB B r. . 0 set Then rr WACC 0 rr SB S r SB B SB . . S S B by sidesboth multiply 0 r S SB r SB S S SB r SB B S SB SB . . . . 0 r S SB rr S B SB . 00 rr S B rr S B SB .)( 00BS rr S B rr- 第8頁/共38頁 ADE DE WACCrrr AA 第9頁/共38頁 Debt-to-equity Ratio Cost of capital: r (

5、%) r0 rB SBWACC r SB S r SB B r )( 00B L S rr S B rr- rB S B 第10頁/共38頁 第11頁/共38頁 BTVV CUL )1 ()( receive firm levered ain rsShareholde CB TBrEBIT-.-Br B receive sBondholder BrTBrEBIT BCB -.-)1 ()( is rsstakeholde all toflowcash total theThus, The present value of this stream of cash flows is VL -.-B

6、rTBrEBIT BCB )1 ()(Clearly The present value of the first term is VU The present value of the second term is TCB BrTBrTEBIT BCBC -.-.)1 ()1 ( BrBTrBrTEBIT BCBBC -.)1 ( 第12頁/共38頁 Start with M&M Proposition I with taxes: )()1 ( 00BCS rrT S B rr-.-. BTVV CUL Since BSVL The cash flows from each side of

7、the balance sheet must equal: BCUBS BrTrVBrSr 0 BrTrTBSBrSr BCCBS - 0 )1 ( Divide both sides by S BCCBS rT S B rT S B r S B r- 0 )1(1 BTVBS CU )1 ( CU TBSV- Which quickly reduces to 第13頁/共38頁 Debt-to-equity ratio (B/S) Cost of capital: r (%) r0 rB )()1 ( 00BC L S rrT S B rr- S L L CB L WACC r SB S T

8、r SB B r - )1 ( )( 00B L S rr S B rr- 第14頁/共38頁 All-Equity Recession ExpectedExpansion EBIT$1,000$2,000 $3,000 Interest00 0 EBT$1,000$2,000 $3,000 Taxes (Tc = 35%$350$700 $1,050 Total Cash Flow to S/H $650$1,300 $1,950 $874$1,524 $2,174 第15頁/共38頁 The levered firm pays less in taxes than does the all

9、-equity firm. Thus, the sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm. SGSG B All-equity firm Levered firm 第16頁/共38頁 The sum of the debt plus the equity of the levered firm is greater than the equity of the unlevered firm. This is how cutting th

10、e pie differently can make the pie larger: the government takes a smaller slice of the pie! SGSG B All-equity firm Levered firm 第17頁/共38頁 第18頁/共38頁 Debt (B) Value of firm (V) 0 Present value of tax shield on debt Present value of financial distress costs Value of firm under MM with corporate taxes a

11、nd debt VL = VU + TCB V = Actual value of firm VU = Value of firm with no debt B* Maximum firm value Optimal amount of debt 第19頁/共38頁 S G B L 第20頁/共38頁 第21頁/共38頁 第22頁/共38頁 第23頁/共38頁 第24頁/共38頁 第25頁/共38頁 B T TT VV B SC UL . - -.- - 1 )1 ()1 ( 1 Where: TS = personal tax rate on equity income TB = perso

12、nal tax rate on bond income TC = corporate tax rate 第26頁/共38頁 )1 ()1 ()( receive firm levered ain rsShareholde SCB TTBrEBIT-.-.- )1 ( receive sBondholder BB TBr-. )1 ()1 ()1 ()( is rsstakeholde all toflowcash total theThus, BBSCB TBrTTBrEBIT-.-.-.- - -.- -.-.-.-. B SC BBSC T TT TBrTTEBIT 1 )1 ()1 (

13、1)1 ()1 ()1 ( asrewritten becan This 第27頁/共38頁 - -.- -.-.-.-. B SC BBSC T TT TBrTTEBIT 1 )1 ()1 ( 1)1 ()1 ()1 ( The first term is the cash flow of 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: -

14、- - B SC T TT B 1 )1 ()1 ( 1 The value of the sum of these two terms must be VL B T TT VV B SC UL . - -.- - 1 )1 ()1 ( 1 第28頁/共38頁 B T TT VV B SC UL . - -.- - 1 )1 ()1 ( 1 BTVV CUL 第29頁/共38頁 Debt (B) Value of firm (V) VU VL = VU+TCB when TS =TB VL VU + TCB when TS (1-TC)(1-TS) VL =VU when (1-TB) = (1-TC)(1-TS) VL VU when (1-TB) (1-TC)(1-TS) B T TT VV B SC UL . - -.- - 1 )1 ()1 ( 1 第30頁/共38頁 Debt (B) Value of firm (V) 0 Present value of tax shield on debt Present value of financial distress costs Value of firm under MM with corporate taxes and debt VL = VU + TCB V = Actual