哈佛MBA案例－资本管理系列(1)

DONOTCOPYHarvardBusinessSchool9-293-092Rev.October28,1994ProfessorTimothyA.Luehrmanpreparedthisnoteasthebasisforclassdiscussionratherthantoillustrateeithereffectiveorineffectivehandlingofanadministrativesituation.Copyright©1993bythePresidentandFellowsofHarvardCollege.Toordercopiesorrequestpermissiontoreproducematerials,call1-800-545-7685,writeHarvardBusinessSchoolPublishing,Boston,MA02163,orgoto—electronic,mechanical,photocopying,recording,orotherwise—withoutthepermissionofHarvardBusinessSchool.1NoteonAdjustedPresentValueAstandardprocedureforevaluatingaprojectistoforecastincrementalafter-taxcashflows,excludingpaymentstocapitalproviders,anddiscountthemataweightedaveragecostofcapital(WACC)toobtainanestimateoftheproject’snetpresentvalue(NPV).ThisnotepresentsanalternativeprocedureforestimatingNPV,namelytheadjustedpresentvalue(APV)technique.APVisnotasubstituteforNPVasacapitalbudgetingdecisioncriterion.Rather,itisanapproachtocomputingNPVthatissometimessimpler,moreaccurate,ormoreinformativethanusingtheWACC.APVissometimesreferredtoas“valuationinparts”or“valuationbycomponents.”1ManypractitionershavebeentrainedtousetheWACC,whichhasconsiderableintuitiveappeal.Accordingly,thisnotebeginsbyreconcilingavaluationbasedontheWACCwithonebasedonAPV.ItthenidentifiesconditionsnecessaryfortheWACCapproachtogivereasonableestimates.Whenthoseconditionsdonothold,APVwilloftenyieldabetterestimate.SometimesaWACC-basedapproachmightwork,butAPViseithersimplerormorecompatiblewiththewaymanagersthinkaboutexecutingacorporatefinancialprogram.ThenoteconcludeswithsomepracticalobservationsaboutusingAPVincommoncorporatevaluationproblems.ComparingAPVandWACCConsiderasimple,one-yearprojectwiththefollowingcharacteristics.Atthebeginningoftheyear,acashoutlayof$500isrequired,noneofwhichisdepreciableorotherwisedeductiblefortaxpurposes.Oneyearlatertheprojectproducesearningsbeforeinterestandtaxes(EBIT)ofeither$1,200or$550,withequalprobability.Hence,theexpectedEBITis$875.Assumetheproject’snetsalvagevalueattheendoftheyeariszeroandthecorporatetaxrateis34%(ignorepersonaltaxesforthemoment).Letthemarketreturnonaone-yearrisk-freebondbe6%.1APVwasfirstdevelopedandpresentedbyStewartC.Myersin“InteractionsofCorporateFinancingandInvestmentDecisions—ImplicationsforCapitalBudgeting,”JournalofFinance,vol.29,pp.1-25,March1974.FormoreonAPVandotheralternativestotheWACC,seeChapter19,pp.457-76inRichardA.BrealeyandStewartC.Myers,PrinciplesofCorporateFinance,4thed.,McGraw-Hill,Inc.,NewYork,1991.DONOTCOPY293-092NoteonAdjustedPresentValue2TheAPVApproachAPVseparatesprojectvalueintoonecomponentassociatedwiththeunleveredproject,andanotherassociatedwithitsfinancingprogram.Eachcomponentisevaluatedseparately.TheAPVissimplythesumofthetwocomponents.APV=Presentvalueoftheall-equity-financedproject+PresentvalueofthesideeffectsassociatedwiththefinancingprogramTheafter-taxcashflowsforthisprojectaresimply-$500atthebeginningoftheyearand$875x(1-0.34)=$578attheendoftheyear.Thepresentvalueoftheunleveredprojectdependsontheopportunitycostofcommittingfundstoit.Supposethemarketreturnonaone-yearinvestmentofcomparableriskis12%.Thenthevalueoftheprojectequals=($578/1.12)=$516,whichisgreaterthantherequiredinvestmentof$500.Theprojectisevenmorevaluablethanthiscalculationshows,however,becauseofitsdebtcapacity.Notethattheprojectownerscouldborrow$349attherisk-freerateof6%.Debtuptothisamountisrisk-freebecausetheworstpossibleoutcomeisEBIT=$550.Interestonthedebtwouldbe$349x0.06=$21,soworst-caseearningsbeforetaxeswouldbe$550-$21=$529.Taxesat34%cometo$180.Thisleavesworst-caseprofitafterinterestandtaxesof$529-$180=$349,enoughtopayoffthedebtattheendoftheyear.Supposetheprojectownersdecidetoundertaketheprojectandfinanceitwith$349ofdebtand$151ofequity.2Thedeductibilityofinterestcreatesataxshieldequaltotheexpectedinterestpaymenttimesthetaxrate($21x0.34=$7).Becausethedebtisrisk-free,thecostoffinancialdistressiszero.Therefore,theentire$7ofvaluefromtheinteresttaxshieldisrealizedbytheprojectownersattheendoftheyear.Thepresentvalueoftheshieldis$7/1.06=$6.6≈$7.3TheAPVoftheprojectissimplythevalueoftheprojectiffinancedentirelywithequityplusthevalueofthetaxshieldcreatedbydebtfinancing:APV=$516+$7=$523.Therefore,NPV=$523-$500=$23.TheWACCApproachNowcomputetheWACCforthesameprojectandcapitalstructure.Recallthat:WACC=(D/V)kd(1-t)+(E/V)ke,whereD,E,andVdenotethemarketvaluesofdebt,equity,andthewholeproject,respectively.Debtcomprises70%ofthefinancingandequity,30%.4Thetaxrate,t,is34%andthecostofdebt,kd,is6%.Thecostofleveredequity,ke,istherisk-freerateplusapremiumforthebusiness2Thisisnottosaythat$349ofdebtrepresentstheoptimalcapitalstructure.Itmightormightnot,dependingonthecostoffinancialdistressathigherlevelsofdebtand,inarichersetting,certainotherconsiderations.3Thetaxshieldisdiscountedhereattherisk-freeratebecauseitisriskless.Itequals$7attheendoftheyearnomatterwhichEBIToutcomeoccurs.Formostcompanies,deb