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1、,Corporate Finance Ross Westerfield Jaffe,Sixth Edition,Chapter Outline,12.1 The Cost of Equity Capital 12.2 Estimation of Beta 12.3 Determinants of Beta 12.4 Extensions of the Basic Model 12.5 Estimating Eastman ChemicalCost of Capital 12.6 Summary and Conclusions,Whats the Big Idea?,Earlier chapte
2、rs on capital budgeting focused on the appropriate size and timing of cash flows. This chapter discusses the appropriate discount rate when cash flows are risky.,12.1 The Cost of Equity Capital(权益资本成本),Firm with excess cash,Shareholders Terminal Value,Shareholder invests in financial asset,Because s
3、tockholders can reinvest the dividend in risky financial assets, the expected return on a capital-budgeting project should be at least as great as the expected return on a financial asset of comparable risk.,A firm with excess cash can either pay a dividend or make a capital investment,The Cost of E
4、quity,From the firms perspective, the expected return is the Cost of Equity Capital:,To estimate a firms cost of equity capital, we need to know three things:,The risk-free rate, RF（无风险利率）,The market risk premium,The company beta,Example,Suppose the stock of Stansfield Enterprises, a publisher of Po
5、werPoint presentations, has a beta of 2.5. The firm is 100-percent equity financed. Assume a risk-free rate of 5-percent and a market risk premium of 10-percent. What is the appropriate discount rate for an expansion of this firm?,Example (continued),Suppose Stansfield Enterprises is evaluating the
6、following non-mutually exclusive projects. Each costs $100 and lasts one year.,Using the SML to Estimate the Risk-Adjusted Discount Rate for Projects,An all-equity firm should accept a project whose IRR exceeds the cost of equity capital and reject projects whose IRRs fall short of the cost of capit
7、al.,Project IRR,Firms risk (beta),5%,Good projects,Bad projects,12.2 Estimation of Beta(贝塔的估计),Market Portfolio - Portfolio of all assets in the economy. In practice a broad stock market index, such as the S&P Composite, is used to represent the market. Beta - Sensitivity of a stocks return to the r
8、eturn on the market portfolio.,12.2 Estimation of Beta,Theoretically, the calculation of beta is straightforward:,Problems Betas may vary over time.（贝塔值可能随时间的推移发生变化。 ） The sample size may be inadequate.（样本容量可能太小） Betas are influenced by changing financial leverage and business risk.（贝塔受财务杠杆和经营风险变化的影
9、响。） Solutions Problems 1 and 2 (above) can be moderated by more sophisticated statistical techniques.（采用更加复杂的统计技术） Problem 3 can be lessened by adjusting for changes in business and financial risk.（对贝塔作相应的调整） Look at average beta estimates of comparable firms in the industry.（注意同行业类似企业的平均贝塔估计值）,Real
10、 World Betas(现实中的贝塔值),Security Returns,Return on market %,Ri = a i + biRm + ei,Real World Betas,Y=a+bx,Stability of Beta（贝塔系数的稳定性）,Most analysts argue that betas are generally stable for firms remaining in the same industry. Thats not to say that a firms beta cant change. Changes in product line Cha
11、nges in technology Deregulation Changes in financial leverage,Using an Industry Beta,It is frequently argued that one can better estimate a firms beta by involving the whole industry. If you believe that the operations of the firm are similar to the operations of the rest of the industry, you should
12、 use the industry beta. If you believe that the operations of the firm are fundamentally different from the operations of the rest of the industry, you should use the firms beta. Dont forget about adjustments for financial leverage.,12.3 Determinants of Beta（贝塔的确定）,Business Risk（商业风险） Cyclicity of R
13、evenues(收入的周期性) Operating Leverage（经营风险） Financial Risk（财务风险） Financial Leverage（财务杠杆）,Cyclicality of Revenues（收入的周期性）,Highly cyclical stocks have high betas. Empirical evidence suggests that retailers and automotive firms fluctuate with the business cycle. Transportation firms and utilities are les
14、s dependent upon the business cycle. Note that cyclicality is not the same as variabilitystocks with high standard deviations need not have high betas. Movie studios have revenues that are variable, depending upon whether they produce “hits” or “flops”, but their revenues are not especially dependen
15、t upon the business cycle.,Operating Leverage（经营杠杆）,The degree of operating leverage measures how sensitive a firm (or project) is to its fixed costs. Operating leverage increases as fixed costs rise and variable costs fall. Operating leverage magnifies the effect of cyclicity on beta. The degree of
16、 operating leverage is given by:,Operating Leverage,1、在固定成本不变的情况下，经营杠杆系数说明了销售额增长（或减少）所引起的EBIT增长（或减少）的幅度。 2、在固定成本不变的情况下，销售额越大，经营杠杆系数越小，经营风险也越小；反之，销售额越小，经营杠杆系数越大，经营风险也越大。 3、当销售额处于盈亏临界点时，经营杠杆系数趋近于无穷大，此时经营风险趋近于无穷大。 4、在销售收入一定的情况下，影响经营杠杆的因素主要是固定成本和变动成本的金额。固定成本加大或者变动成本变小都会引起经营杠杆系数增加。 结论：在固定成本一定的情况下，公司应采取多种方式增加销售额，这样，EBIT就会以经营杠杆系数的倍数增加。从而赢得“正杠杆利益”，反之，如果销售收入减少，则EBIT就会以经营杠杆系数成倍减少，形成“负杠杆效应”。,Operating Leverage,Volume,$,Fixed costs,Total costs,
