Principles of Finance with Excel (Основы финансов c Excel)
Подождите немного. Документ загружается.
PFE Chapter 21, Capital structure, empirical evidence page 18
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
ABC
2000 1999
Short-term debt 277,000,000 1,602,000,000
Long-term debt 169,503,000,000 158,150,000,000
Total debt 169,780,000,000 159,752,000,000
Interest expense 10,902,000,000
Implied interest rate 6.62% <-- =B7/AVERAGE(B5:C5)
Risk-free rate 4.80%
Market risk premium 5%
Debt beta 0.3633 <-- =(B8-B10)/B11
Debt/Equity, book values 12.45
Price/Book 2.45
Debt/Equity, market values 5.08 <-- =B14/B15
Debt/Assets, market values 0.8356 <-- =B16/(B16+1)
Equity/Assets, market values 0.1644 <-- =1-B18
Income Before Tax 8,234,000,000
Income Tax Expense 2,705,000,000
Tax rate 32.85% <-- =B22/B21
Equity beta 1.07
Asset beta 0.3798 <-- =B25*B19+B12*B18*(1-B23)
FORD MOTOR COMPANY
PFE Chapter 21, Capital structure, empirical evidence page 19
Ford’s income statements, as displayed on Yahoo
Ford’s balance sheets, as displayed on Yahoo
Figure 21.1: The Ford computations in section 21.?? are based on the Yahoo exhibits above for Ford’s balance sheets and income
statements.
PFE Chapter 21, Capital structure, empirical evidence page 20
Figure 21.2: Financial profile of Ford, from Yahoo
PFE Chapter 21, Capital structure, empirical evidence page 21
21.4. Repeating the asset
β
calculation for an industry
In the previous section we showed how to calculate the asset
β
Asset
for Ford. Suppose we
repeat this calculation for all American manufacturers of autos and trucks. The results are
displayed on a separate page. Here’s the graph which relates the firms’ debt/equity ratio and
their asset betas:
U.S. Auto-Truck Industry:
Asset Beta versus Debt/Equity
y = 0.0912x + 0.5444
R
2
= 0.2013
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2.00
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Debt/equity
Asset beta
The graph shows a slight upwards trend:
2
0.5444 0.0912* , 20.13%
Debt
Assetbeta for autos R
Equity
=+ =
Using this equation, we would conclude that the
β
for an unlevered auto firm is 0.54, and that
increased leverage adds to this
β
. A more careful analysis (not repeated here, but on the disk
with the book) reveals that the positive slope is not statistically significant. Meaning: At least
for this small sample, we can conclude that the asset
β
is not affected by the capital structure.
This is Miller’s position:
PFE Chapter 21, Capital structure, empirical evidence page 22
• If the Modigliani-Miller results are representative, then the WACC of will decrease when
the amount of debt increases. The effect on the
β
Assets
will be that
β
Assets
should decrease
as leverage increases.
•
If the Miller results are representative, then the WACC will be unaffected by the amount
of debt. The effect on the
β
Assets
will be that
β
Assets
should stay constant as leverage
increases.
In the event,
β
Assets
seems to increase slightly with leverage for auto firms. The effect is
not large and is statistically insignificant; if it were significant, it would be consistent with a tax
disadvantage to debt. So—at least for the auto industry, Miller’s theory seems to do better at
explaining things that the MM theory.
One more industry
The experiment we’ve performed on the auto industry in the first part of this section is
just that—a small experiment to see if we can find any effects of leverage on asset betas. To
show that this experiment is not a fluke, we repeat it for the grocery industry:
Grocery Industry:
Asset Beta versus Debt/Equity
y = 0.1714x + 0.4728
R
2
= 0.128
-1.6
-1.1
-0.6
-0.1
0.4
0.9
1.4
0.0 1.0 2.0 3.0 4.0 5.0 6.0
Debt/equity
Asset beta
PFE Chapter 21, Capital structure, empirical evidence page 23
As for the auto industry, there seems to be a slight upward trend in the asset beta as a
function of the debt/equity ratio of grocery firms. And, as for the auto industry, this upward
slope is not, when we subject it to more statistical scrutiny, significant. We conclude (again) that
there is little evidence that leverage affects the asset beta and the WACC.
Several further notes about the grocery industry:
•
The average equity
β
for grocery firms was 0.366 (with a standard deviation of 0.568—
meaning that the equity beta was very widely dispersed).
•
The average asset
β
for these firms was 0.594 (with a
σ
= 0.638).
•
In a period (1999-2000) where the risk-free rate of interest was around 5%, these firms
paid average interest rates of 16.75% (with
σ
= 4.39%). Thus, while shareholders
perceived these firms as having fairly low risk, lenders perceived them as having very
high risks—the average debt
β
D
= 2.39 (with
σ
= 0.88 ).
PFE Chapter 21, Capital structure, empirical evidence page 24
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
ABCDEFGHIJK
Equity
beta
Debt
beta
Tax rate
Market
value
of equity
Debt/Equity
book values
Price/Book
Debt/Equity
market values
Debt/Assets
market
values
Equity/Assets
market values
Asset beta
Collins Industries (COLL) 0.150 1.134 35.31% 28.1 0.62 1.05 0.59 0.3713 0.6287 0.3667
Featherlite (FTHR) 0.800 2.162 6.87% 7.51 2.56 0.38 6.74 0.8707 0.1293 1.8569
Ford (F) 1.070 0.363 37.98% 31.1 12.45 2.45 5.08 0.8356 0.1644 0.3642
General Motors (GM) 1.120 0.147 33.40% 34 8.44 1.73 4.88 0.8299 0.1701 0.2715
Miller Industries (MLR) 1.560 1.811 33.03% 24.9 0.98 0.24 4.08 0.8033 0.1967 1.2809
Navistar International (NAV) 1.490 0.233 29.02% 2.65 2.47 2.47 1.00 0.5000 0.5000 0.8275
Oshkosh Truck (OTRKB) 0.930 0.674 37.25% 987.6 0.94 2.82 0.33 0.2500 0.7500 0.8032
PACCAR (PCAR) 0.880 0.627 33.57% 5.82 0.06 2.58 0.02 0.0227 0.9773 0.8695
Rush Enterprises (RUSH) 0.520 2.133 39.99% 49.4 2.53 0.61 4.15 0.8057 0.1943 1.1325
Spartan Motors (SPAR) 0.360 0.199 30.37% 86.6 0.36 2.53 0.14 0.1246 0.8754 0.3324
Supreme Industries (STS) 0.390 0.793 39.00% 65.9 2.27 1.23 1.85 0.6486 0.3514 0.4509
Wabash National (WNC) 0.910 0.984 39.04% 240.5 1.22 0.9 1.36 0.5755 0.4245 0.7316
Average 0.848 0.938 32.90% 0.774
Standard deviation 0.437 0.733 0.089 0.473
ASSET BETAS FOR AMERICAN TRUCK AND AUTO COMPANIES
U.S. Auto-Truck Industry:
Asset Beta versus Debt/Equity
y = 0.0912x + 0.5444
R
2
= 0.2013
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2.00
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Debt/equity
Asset beta
PFE Chapter 21, Capital structure, empirical evidence page 25
21.5. Academic evidence
In the previous section we’ve looked at a specific example—the U.S. auto-truck
industry—to try to gauge whether capital structure affects the asset
β
Asset
of these firms. Our
conclusion is that, for this industry, they don’t: The asset
β
Asset
, and hence the WACC, is not
affected by the capital structure.
Recent academic research seems to come to the same conclusion.
3
•
When Eugene Fama and Kenneth French regress firm value on leverage, they conclude
that leverage doesn’t matter.
4
[graph?]
•
John Graham, in a survey published in 2001, concludes that “at the margin the tax costs
and tax benefits [of leverage] might be of similar magnitude.”
5
To show you how
confusing this is, Graham concludes that—using another method—the tax benefit of debt
is approximately 9% for the years 1995-1999.
6
This probably represents the costs of
bankruptcy.
•
Ivo Welch, in a paper written in 2002, finds no evidence whatsoever that firms look for
an optimal structure.
7
He finds that firms tend to make few changes in their debt, so that
the actual capital structure (i.e., the ratio of debt to the market value of equity) is largely
3
Be warned that this is still controversial. Every finance professor seems to have an opinion on this matter! If you
want a good grade in the course, disagree with the book and not with your professor.
4
“Taxes, Financing Decisions, and Firm Value,” Journal of Finance 1998, pp. 819-843.
5
“Taxes and Corporate Finance: A Review,” working paper. The quote is from page 25.
6
Ibid, page 26-27.
7
Ivo Welch, “Columbus’ Egg: The Real Determinants of Capital Structure,” Yale School of Management working
paper, 2002.
PFE Chapter 21, Capital structure, empirical evidence page 26
driven by the market prices of the firm’s shares. There is little evidence, according to
Welch, of any optimizing in the debt decision.
Summing up
The theory of capital structure suggests that the capital structure decision is largely driven
by the differential taxation of debt and equity. The empirics of capital structure suggest that it
doesn’t matter very much in determining the value of the firm.
For practical purposes:
•
You can assume that the weighted average cost of capital (WACC) of a firm is invariant
to the firm’s capital structure.
•
This means that the WACC of a firm can be measured by taking the average WACC of
the firm’s industry. It also means that the asset
β
of a firm’s industry is representative of
the industry’s overall risks and is not a function of the capital structure of the industry.
•
The best way to value a firm is to use the WACC to discount the firm’s anticipated future
free cash flows (recall that these are operating cash flows and do not include interest and
other financing). We have illustrated this approach in a number of chapters of this book:
Chapter 5, 7, 15.
PFE Chapter 22, Dividend policy and firm valuation Page 1
CHAPTER 22: DIVIDEND POLICY
*
This version: February 8, 2004
This chapter is incomplete!
Chapter contents
Overview..............................................................................................................................2
22.1. Dividends ...................................................................................................................3
22.2. Taxes!.........................................................................................................................7
22.3. Messages..................................................................................................................14
22.4. Dividends (satisfaction now) versus capital gains (enjoy later) ..............................14
*
This is a preliminary draft of a chapter of Principles of Finance with Excel. © 2001 – 2004 Simon Benninga
(benninga@wharton.upenn.edu
).