null Chapter 3* Chapter 3资本成本与资本预算资本成本的计算方法*资本成本的计算方法资本成本的计算方法*资本成本的计算方法The dividend growth model*The dividend growth modelThe dividend growth model
Weakness of the dividend growth model
– dose not incorporate risk
– do not growth smoothly in reality
– do not take capital gains into account
– no allowance is made for the effects of taxation
– assumes there are no issue for new sharesThe capital asset pricing model (CAPM)*The capital asset pricing model (CAPM)Market or systematic risk
non-systematic or unsystematic risk
Systematic risk and unsystematic risk: implications
Systematic risk and the CAPM
Market risk and returns
The CAPM formula
– E(ri) = Rf + βi(E(rm)- Rf )
Problems with applying the CAPM in practiceWACC formula*% of total finance that is equity% of total finance that is debtWACC = Ve Ke + Vd Kd (1-T)
Ve+Vd Ve+VdWACC formulaCAPM and MM combined- geared betas*CAPM and MM combined- geared betasThe connection between MM theory and the CAPM means that it is possible to establish a mathematical relationship between the β value of an ungeared company and the β value of a similar, but geared, company. Lecture example *Lecture example BPP has a debt: equity ratio of 1:2. It wishes to expand into recruitment consultancy. It has identified that the Beta of a highly geared recruitment consultancy company (company X) is 1.8 - this is its equity beta and is influenced by its high level of gearing of 1:1 debt to equity. Assume that debt has a beta of 0.
Risk free rate = 4% Market rate = 12% Tax = 30% Required:
Calculate the cost of capital that BPP should use to appraise this investment.
Answer to lecture example *Answer to lecture example Step 1
beta of recruitment company = 1.8
Step 2
ungear
Ba = 1.8 * (1/1.7) = 1.059
regear
Be= 1.059/ (2/2.7) = 1.430Answer to lecture example – cont’d*Answer to lecture example – cont’dStep 3
Ke = 4 + (8)1.43 = 15.44%. This reflects the new scenario – that BPP does have debt finance & that it is investing in a new business area. In other words it reflects the financial risk & business risk of the
investment.
NB: the WACC = (15.44% x 2/3) + (4% x 0.7 x 1/3) = 11.23%
资本预算的基本方法资本预算的基本方法常用的资本预算方法
—投资回收期法
—会计收益率法
—净现值法
—获利指数法
—内含报酬率法
*调整净现值法调整净现值法调整净现值(APV): APV = NPV + NPVF
— 一个项目为杠杆企业创造的价值(APV)等于一个无杠杆企业的项目净现值(NPV)加上筹资方式的副效应的净现值。
☆债务的节税效应
☆新债券的发行成本
☆财务困境成本
☆债务融资的利息补贴
*权益现金流量法权益现金流量法权益现金流量(FTE)
— 只对杠杆企业项目产生的属于权益所有者的现金流量进行折现, 折现率为权益资本成本Rs。对于一项永久性的现金流入, 计算公式为：
有杠杆企业项目的权益现金流量/ Rs
计算步骤
— 计算有杠杆的现金流量
— 计算Rs
— 估价*APV法、FTE法和WACC法的比较APV法、FTE法和WACC法的比较APV和WACC的比较
— 这两种方法的分子均为无杠杆现金流量(UCF)。但是, APV法用全权益资本成本Ro折现现金流量得到无杠杆项目的价值, 然后加上负债的节税现值, 得到有杠杆情况下的项目价值; WACC法则将UCF按RWACC折现, 而RWACC低于Ro 。
估价的主体
— 对于APV法和WACC法, 在最后一步均扣减初始投资; 而在FTE法中, 只扣除公司自己投资的部分。*应用指南应用指南如果企业的目标负债—价值比适用于项目的整个寿命期, 用WACC法或FTE法。
如果项目寿命期没其负债绝对水平已知,用APV法。
WACC法是迄今在实践中运用得最广泛的一种方法。*null*null*null*null*null*null*null*null*null*null*
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