风险,资本,成本和资本预算讲义(英文)

CHAPTER12Risk,CostofCapital,andCapitalBudgetingSlide2KeyConceptsandSkills•Knowhowtodetermineafirm’scostofequitycapital•Understandtheimpactofbetaindeterminingthefirm’scostofequitycapital•Knowhowtodeterminethefirm’soverallcostofcapital•Understandhowtheliquidityofafirm’sstockaffectsitscostofcapitalSlide3ChapterOutline12.1TheCostofEquityCapital12.2EstimationofBeta12.3DeterminantsofBeta12.4ExtensionsoftheBasicModel12.5EstimatingEastmanChemical’sCostofCapital12.6ReducingtheCostofCapitalSlide4WhereDoWeStand?•Earlierchaptersoncapitalbudgetingfocusedontheappropriatesizeandtimingofcashflows.•Thischapterdiscussestheappropriatediscountratewhencashflowsarerisky.Slide5Investinproject12.1TheCostofEquityCapitalFirmwithexcesscashShareholder’sTerminalValuePaycashdividendShareholderinvestsinfinancialassetBecausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturnonacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.AfirmwithexcesscashcaneitherpayadividendormakeacapitalinvestmentSlide6TheCostofEquityCapital•Fromthefirm’sperspective,theexpectedreturnistheCostofEquityCapital:)(FMiFiRRβRR•Toestimateafirm’scostofequitycapital,weneedtoknowthreethings:1.Therisk-freerate,RFFMRR2.Themarketriskpremium,2,)(),(MMiMMiiσσRVarRRCovβ3.Thecompanybeta,Slide7Example•SupposethestockofStansfieldEnterprises,apublisherofPowerPointpresentations,hasabetaof2.5.Thefirmis100%equityfinanced.•Assumearisk-freerateof5%andamarketriskpremiumof10%.•Whatistheappropriatediscountrateforanexpansionofthisfirm?)(FMiFRRβRR%105.2%5R%30RSlide8ExampleSupposeStansfieldEnterprisesisevaluatingthefollowingindependentprojects.Eachcosts$100andlastsoneyear.ProjectProjectbProject’sEstimatedCashFlowsNextYearIRRNPVat30%A2.5$15050%$15.38B2.5$13030%$0C2.5$11010%-$15.38Slide9UsingtheSMLAnall-equityfirmshouldacceptprojectswhoseIRRsexceedthecostofequitycapitalandrejectprojectswhoseIRRsfallshortofthecostofcapital.ProjectIRRFirm’srisk(beta)SML5%GoodprojectBadproject30%2.5ABCSlide1012.2EstimationofBetaMarketPortfolio-Portfolioofallassetsintheeconomy.Inpractice,abroadstockmarketindex,suchastheS&PComposite,isusedtorepresentthemarket.Beta-Sensitivityofastock’sreturntothereturnonthemarketportfolio.Slide11EstimationofBeta22)(),(MiMMiσσRVarRRCovβ•Problems1.Betasmayvaryovertime.2.Thesamplesizemaybeinadequate.3.Betasareinfluencedbychangingfinancialleverageandbusinessrisk.•Solutions–Problems1and2canbemoderatedbymoresophisticatedstatisticaltechniques.–Problem3canbelessenedbyadjustingforchangesinbusinessandfinancialrisk.–Lookataveragebetaestimatesofcomparablefirmsintheindustry.Slide12StabilityofBeta•Mostanalystsarguethatbetasaregenerallystableforfirmsremaininginthesameindustry.•Thatisnottosaythatafirm’sbetacannotchange.–Changesinproductline–Changesintechnology–Deregulation–ChangesinfinancialleverageSlide13UsinganIndustryBeta•Itisfrequentlyarguedthatonecanbetterestimateafirm’sbetabyinvolvingthewholeindustry.•Ifyoubelievethattheoperationsofthefirmaresimilartotheoperationsoftherestoftheindustry,youshouldusetheindustrybeta.•Ifyoubelievethattheoperationsofthefirmarefundamentallydifferentfromtheoperationsoftherestoftheindustry,youshouldusethefirm’sbeta.•Donotforgetaboutadjustmentsforfinancialleverage.Slide1412.3DeterminantsofBeta•BusinessRisk–CyclicalityofRevenues–OperatingLeverage•FinancialRisk–FinancialLeverageSlide15CyclicalityofRevenues•Highlycyclicalstockshavehigherbetas.–Empiricalevidencesuggeststhatretailersandautomotivefirmsfluctuatewiththebusinesscycle.–Transportationfirmsandutilitiesarelessdependentuponthebusinesscycle.•Notethatcyclicalityisnotthesameasvariability—stockswithhighstandarddeviationsneednothavehighbetas.–Moviestudioshaverevenuesthatarevariable,dependinguponwhethertheyproduce“hits”or“flops,”buttheirrevenuesmaynotbeespeciallydependentuponthebusinesscycle.Slide16OperatingLeverage•Thedegreeofoperatingleveragemeasureshowsensitiveafirm(orproject)istoitsfixedcosts.•Operatingleverageincreasesasfixedcostsriseandvariablecostsfall.•Operatingleveragemagnifiestheeffectofcyclicalityonbeta.•Thedegreeofoperatingleverageisgivenby:DOL=EBITDSalesSalesDEBIT×Slide17OperatingLeverageSales$FixedcostsTotalcostsDEBITDSalesOperatingleverageincreasesasfixedcostsriseandvariablecostsfall.FixedcostsTotalcostsSlide18FinancialLeverageandBeta•Operatingleveragereferstothesensitivitytothefirm’sfixedcostsofproduction.•Financialleverageisthesensitivitytoafirm’sfixedcostsoffinancing.•Therelationshipbetweenthebetasofthefirm’sdebt,equity,andassetsisgivenby:•Financialleveragealwaysincreasestheequitybetarelativetotheassetbeta.bAsset=Debt+EquityDebt×bDebt+Debt+EquityEquity×bEquitySlide19ExampleConsiderGrandSport,Inc.,whichiscurrentlyall-equityfinancedandhasabetaof0.90.Thefirmhasdecidedtoleveruptoacapitalstructureof1partdebtto1partequity.Sincethefirmwillremaininthesameindustry,itsassetbetashouldremain0.90.However,assumingazerobetaforitsdebt,itsequitybetawouldbecometwiceaslarge:bAsset=0.90=1+11×bEquitybEquity=2×0.90=1.80Slide2012.4Extensionso