风险,资本,成本和资本预算讲义(英文)--woshishenmaa

CHAPTER12资料下载大全KeyConceptsandSkills•Knowhowtodetermineafirm’scostofequitycapital•Understandtheimpactofbetaindeterminingthefirm’scostofequitycapital•Knowhowtodeterminethefirm’soverallcostofcapital•Understandhowtheliquidityofafirm’sstockaffectsitscostofcapitalSlide3’sCostofCapital12.6ReducingtheCostofCapitalSlide4•Earlierchaptersoncapitalbudgetingfocusedontheappropriatesizeandtimingofcashflows.•Thischapterdiscussestheappropriatediscountratewhencashflowsarerisky.Slide5’sTerminalValuePaycashdividendShareholderinvestsinfinancialassetBecausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturnonacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.AfirmwithexcesscashcaneitherpayadividendormakeacapitalinvestmentSlide6•Fromthefirm’sperspective,theexpectedreturnistheCostofEquityCapital:)(FMiFiRRβRR•Toestimateafirm’scostofequitycapital,weneedtoknowthreethings:1.Therisk-freerate,RFFMRR2.Themarketriskpremium,2,)(),(MMiMMiiσσRVarRRCovβ3.Thecompanybeta,Slide7•SupposethestockofStansfieldEnterprises,apublisherofPowerPointpresentations,hasabetaof2.5.Thefirmis100%equityfinanced.•Assumearisk-freerateof5%andamarketriskpremiumof10%.•Whatistheappropriatediscountrateforanexpansionofthisfirm?)(FMiFRRβRR%105.2%5R%30RSlide8’sEstimatedCashFlowsNextYearIRRNPVat30%A2.5$15050%$15.38B2.5$13030%$0C2.5$11010%-$15.38Slide9’srisk(beta)SML5%GoodprojectBadproject30%2.5ABCSlide10’sreturntothereturnonthemarketportfolio.Slide11)(),(MiMMiσσRVarRRCovβ•Problems1.Betasmayvaryovertime.2.Thesamplesizemaybeinadequate.3.Betasareinfluencedbychangingfinancialleverageandbusinessrisk.•Solutions–Problems1and2canbemoderatedbymoresophisticatedstatisticaltechniques.–Problem3canbelessenedbyadjustingforchangesinbusinessandfinancialrisk.–Lookataveragebetaestimatesofcomparablefirmsintheindustry.Slide12•Mostanalystsarguethatbetasaregenerallystableforfirmsremaininginthesameindustry.•Thatisnottosaythatafirm’sbetacannotchange.–Changesinproductline–Changesintechnology–Deregulation–ChangesinfinancialleverageSlide13•Itisfrequentlyarguedthatonecanbetterestimateafirm’sbetabyinvolvingthewholeindustry.•Ifyoubelievethattheoperationsofthefirmaresimilartotheoperationsoftherestoftheindustry,youshouldusetheindustrybeta.•Ifyoubelievethattheoperationsofthefirmarefundamentallydifferentfromtheoperationsoftherestoftheindustry,youshouldusethefirm’sbeta.•Donotforgetaboutadjustmentsforfinancialleverage.Slide14•BusinessRisk–CyclicalityofRevenues–OperatingLeverage•FinancialRisk–FinancialLeverageSlide15•Highlycyclicalstockshavehigherbetas.–Empiricalevidencesuggeststhatretailersandautomotivefirmsfluctuatewiththebusinesscycle.–Transportationfirmsandutilitiesarelessdependentuponthebusinesscycle.•Notethatcyclicalityisnotthesameasvariability—stockswithhighstandarddeviationsneednothavehighbetas.–Moviestudioshaverevenuesthatarevariable,dependinguponwhethertheyproduce“hits”or“flops,”buttheirrevenuesmaynotbeespeciallydependentuponthebusinesscycle.Slide16•Thedegreeofoperatingleveragemeasureshowsensitiveafirm(orproject)istoitsfixedcosts.•Operatingleverageincreasesasfixedcostsriseandvariablecostsfall.•Operatingleveragemagnifiestheeffectofcyclicalityonbeta.•Thedegreeofoperatingleverageisgivenby:DOL=EBITDSalesSalesDEBIT×Slide17资料下载大全FinancialLeverageandBeta•Operatingleveragereferstothesensitivitytothefirm’sfixedcostsofproduction.•Financialleverageisthesensitivitytoafirm’sfixedcostsoffinancing.•Therelationshipbetweenthebetasofthefirm’sdebt,equity,andassetsisgivenby:•Financialleveragealwaysincreasestheequitybetarelativetotheassetbeta.bAsset=Debt+EquityDebt×bDebt+Debt+EquityEquity×bEquitySlide19