资本成本、公司理财和投资理论
资本市场与企业理财理论及实务研究
资本市场与企业理财理论及实务研究资本市场与企业理财是现代经济中两个重要的领域，它们之间相互依存、相互影响。
资本市场提供了融资、升值、投资和利润分配的渠道，企业理财则是指企业在经营中进行资金收支管理、风险管理、财务决策等方面的活动。
本文将从理论和实务两个方面对这两个领域进行研究。
一、资本市场理论资本市场是指各种金融工具在投资者之间进行的买卖活动的总称。
其目的是为了提供融资、投资、风险管理和资金增值等服务，同时也为了协调社会资源的配置，提高社会效率。
资本市场理论主要研究资本市场的形成、发展和运作，并探究资本市场对经济发展的影响。
1. 资本市场的形成和发展资本市场最早起源于17世纪欧洲，逐渐发展成为全球性的金融体系。
资本市场的形成和发展受到多种因素的影响，例如政治、经济、法律和制度等方面的因素。
资本市场的主要发展阶段包括：发展初期阶段、规范发展阶段、市场化发展阶段和国际化阶段。
2. 资本市场的运作原理资本市场的运作主要有两种形式：股票市场和债券市场。
股票市场是指股票的买卖交易，股票是公司发行的一种证明股东持有公司部分所有权的证券。
债券市场是指债券的买卖交易，债券是指企业或政府发行的一种证明借款人应还借款和利息的证券。
资本市场运作的主要原理是价格发现、信息披露和投资者保护。
资本市场对经济发展的影响有多个方面，主要包括：提供融资、促进投资、调节资源配置、提高效率和促进国际经济交流。
企业理财是指企业在经营中进行资金收支管理、风险管理、财务决策等方面的活动。
企业理财理论主要研究企业资金管理的原则和方法，并提供具体的实践指导。
企业理财实务则是指企业在实际经营中进行资金管理、财务决策和风险管理等方面的具体操作。
1. 企业理财的原则和方法企业理财的原则和方法有多种，主要包括：资金成本最小化、现金流管理、风险管理、资产负债管理、融资决策和投资决策等。
企业在进行理财决策时，需要综合考虑多种因素，例如企业规模、资本结构、市场环境、经济周期和竞争状况等。
资本成本通俗解释
资本成本通俗解释资本成本是指企业应该付出的资金成本，这个成本要求企业面对市场价格按照“最优决策”把资金转化为最有利的利润机会。
它一般用来衡量资金的生产效率，以及企业的投资行为和风险承受能力。
从投资理论的角度来讲，资本成本是一个投资者在获得一定投资收益前，必须承受的投资成本。
它反映出资金投资可以获得的期望回报，也是投资者最终受益的比率。
资本成本的计算可以分为内部资本成本和外部资本成本两类。
内部资本成本是指一定投资费用，即财务费用、资本金成本等，它反映出企业在自由市场上获得资金所必须付出的成本。
外部资本成本则是指投资者在投资收益前所必须付出的资金成本，这种成本可以把市场上存在的风险加入考虑之中。
计算资本成本可以利用“资本资产定价模型”（CAPM），它是一种在财务理论中用来测算一定投资收益年化率的模型，而结果就是资本成本。
CAPM的核心思想是，投资者的投资收益（超额收益）与其预期的市场风险度有关，这种风险度反映在一定的投资收益率上，这就是资本成本的概念。
企业的投资行为通常依据几个原则，其中最重要的原则就是最大化投资回报即要使投资回报大于资本成本，使企业整体投资收益最大化。
这样一来，企业就可以按照自己的投资行为带来的收益与资本成本之间的关系，来分析各种投资行为所带来的投资效果。
资本成本是影响企业投资行为的重要参考基础，它可以帮助企业通过评估投资收益带来的财务风险而使投资效益最大化。
它可以为企业的财务管理提供一个客观的标准，以评估决策过程中所承受的经济收益和风险。
资本成本的计算不仅仅需要考虑企业内部因素，还要考虑外部环境因素，这样才能更准确地评估企业投资行为带来的收益。
此外，资本成本也与企业的财务目标密切相关，因此企业投资者应当结合自身的投资状况和长远目标，认真分析资本成本，以便为投资做出更好的决策。
总之，资本成本是投资者选择投资的重要参考标准之一，也是企业进行投资决策的重要依据。
很明显，正确计算准确的资本成本能帮助企业和投资者判断投资是否合算，并有助于投资决策的可行性，为企业实现最大投资回报提供了充足的帮助。
第七章 资本成本 《公司理财》ppt课件
第三节 个别资本成本
一、债务资本成本 （一）长期借款的资本成本
长期借款资本成本
利息（1-所得税率） 借款总额（1-筹资费率）
Kl I (1 T ) L(1 Fl)
考虑货币的时间价值
L(1 Fl)
n t 1
It (1 Kl)t
P (1 Kl)n
K' l
Kl(1T )
（二）长期债券的资本成本
二、边际资本成本的应用
第六节 WACC计算实例
（1）估算每个部门的股权资本成本和债务成 本；
（2）确定每个部门的目标资本结构； （3）用目标资本结构对债务、股权等单项资
本成本进行加权，从而确定每个部门的加权资 本成本； （4）利用各部门的资本成本计算整个公司的 加权资本成本。
混合证券Hybrid Securities 可转换债券 优先股
股权 Equity 普通股 认股权证
固定索取权 在财务困难时有较高的优先权 可减免税收 固定期限 无管理控制权
既有 债务 特征 又有 股权 特征
剩余索取权 在财务困难时优先权最低 无税收减免 无期限 有管理控制权
对现金流量的要求不同
第二节 资本成本概述
K' b
Kb(1 T )
二、权益资本成本 （一）优先股的资本成本
优先股资本成本
年股利率 发行价格（1-发行费率）
Kp Dp P(1 Fp)
（二）普通股的资本成本 1.股利增长模型法
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2.资本资产定价模பைடு நூலகம்法
Kc Rf (Rm Rf )
3.风险溢价法
第一节 企业的融资方式
债务性融资 权益性融资
Types of Financing
资本成本、公司理财和投资理论
读《资本成本、公司理财和投资理论》对于现代金融学来说，投资组合理论、MM定理、CAPM和APT是其赖以发展的基石.我们小组研读的这篇《资本成本、公司理财和投资理论》由莫迪格里尼和米勒于1958年发表于《美国经济评论》，在这篇文章中,作者提出：在一定的条件下，企业无论以负债筹资还是以权益资本筹资都不影响企业的市场总价值。
因为,如果企业偏好债务筹资,债务比例相应上升，企业的风险随之增大，股票价格就会下降。
企业从债务筹资上得到的好处会被股票价格的下跌所抹掉,从而导致企业的总价值（股票加上债务）不变。
企业以不同的方式筹资只是改变了企业的总价值在股权者和债权者之间分割的比例，却不改变企业价值的总额.这就是被誉为现代金融学benchmark之一的“MM定理”。
一、问题的提出本文开篇，作者就提出了“什么是资本成本”的问题。
从资本成本的角度出发考虑公司理性决策问题。
而这一问题的衡量标准有两个①利润最大化；②公司价值最大化。
作者首先详细分析了传统理论中关于资本成本影响理性公司投资决策的研究中，没有考虑风险因素而带来的种种不足：不考虑风险则两大衡量标准一致，都是在投资收益率高于等于利率时投资,债务融资和股权融资的资本成本都等于债券利率。
作者指出，传统分析方法如采用确定性等价的近似分析法——在期望收益中加上风险折现（或在市场利率的基础上加上风险溢价）——在微观层面上的价值很小。
考虑风险因素时，采用利润最大化标准的思路无法解决很多问题※，因而作者提出应当选用市场价值最大化作为衡量公司投资决策是否理性的标准。
由这个标准出发考虑资本成本,进一步研究公司的资本结构与公司价值之间的关系。
基于市场价值最大化,可以提供一个可以操作的资本成本的定义和可行的投资理论。
在这种方法下，任何投资项目和相关的融资计划仅需要考虑:该融资项目是否能增加公司股票的市场价值。
这种思路完全独立于当前所有者的偏好，很好的解决了利润最大化无法解决的问题。
二、本文的基本思路和前提假设论文的第一部分是基本理论本身（命题1和命题2)和相关经验性的简介。
《财务管理学》MM理论专题
中国药科大学国际商学院 常峰
MM理论-3
MM理论的文献的译文来源
弗兰科· 莫迪利亚尼（Modigliani, F.）著.莫迪利 亚尼文萃. 林少宫译.北京：首都经济贸易大学出 版社. 2001年.106-165.
中国药科大学国际商学院 常峰
MM理论-4
“弗兰克· 莫迪利亚尼的研究 的主要方向是家庭储蓄和金 融市场的运行。莫迪利亚尼 教授现在获奖的研究成果涉 及家庭储蓄生命周期假设的 建立与发展和用于企业和资 本成本计价的MM定理的系 统阐述。这两方面紧密相关 的成就都涉及家庭财产的管 理：一方面涉及总价值，另 一方面涉及总价值的构成。”
解读文献一：
资本成本、公司财务与投资理论
Modigliani, F. and Miller, MH. The Cost of Capital, Corporation Finance and the Theory of Investment. American Economic Review, 48(3), June 1958, pp2161~2197.
中国药科大学国际商学院 常峰
MM理论-22
1.2 债务筹资及其对证券价格的影响
由（a）推知，除了相差一个数量因子外， 所有债券必有完全相同的售价。 由（b）推知，所有债券的每元价值的报酬 必有同一售价，记这一报酬率为r，并称利息率， 或等价地称为确定性流量的资本化率。
中国药科大学国际商学院 常峰
MM理论-23
中国药科大学国际商学院 常峰
MM理论-27
首先，V2大于V1的情况
考虑某投资者持有s2元价值的公司2股份， 占总股票S2的一个比例 ，在均匀性假设下， 两公司的总报酬X1和X2在任何情况下都是相同， 下面将使用共同的符号X表示。从而，该投资 者初始资产的报酬Y2为： （1.5） Y2 ( X rD2 )
资本成本,公司财务和投资理论【外文翻译】
外文翻译原文The Cost of Capital, Corporation Finance and Theory of InvestmentMaterial Source: http://ww.jstor.or Author: Franco Modigliani; Merton H. MillerA. Capital Structure and Investment PolicyOn the basis of our propositions with respect to cost of capital and financial structure (and for the moment neglecting tans), we can coercive the following simple rule for optimal investment policy by the firm:Proposition III. If a firm in class is acting in the best interest of the stockholders at the time of the decision, it will exploit an investment opportunity if and only if the rate of return on the investment, say , is as large as or larger than . That is, the cut-off point for investment in the firm will in all cases be and will be completely unaffected by the type of security used to finance the investment. Equivalently, we may say that regardless of the financing used, the marginal cost of capital to a firm is equal to the average cost of capital, which is in turn equal to the capitalization rate for an unlevered stream in the class to which the firm belongs.To establish this result we will consider the three major financing alternatives open to the firm-bonds, retained earnings, and common stock issues-and show that in each case an investment is worth undertaking if, and only if,.Consider first the case of an investment financed by the sale of bonds. We know from Proposition I that the market value of the firm before the investment was undertaken was:(20)And that the value of the common stock was:（21）If now the firm borrows I dollars to finance an investment yielding its market value will become:（22）And the value of its common stock will be:（23）Or using equation 21,（24）HenceTo illustrate, suppose the capitalization rate for uncertain streams in the class is 10 per cent and the rate of interest is 4 per cent. Then if a given company had an expected income of 1,000 and if it were financed entirely by common stock we know from Proposition I that the market value of its stock would be 10,000. Assume now that the managers of the firm discover an investment opportunity which will require an outlay of 100 and which is expected to yield 8 per cent. At first sight this might appear to be a profitable opportunity since the expected return is double the interest cost. If, however, the management borrows the necessary 100 at 4 per cent, the total expected income of the company rises to 1,008 and the market value of the firm to 10,080. But the firm now will have 100 of bonds in its capital structure so that, paradoxically, the market value of the stock must actually be reduced from 10,000 to 9,980 as a consequence of this apparently profitable investment. Or, to put it another way, the gains from being able to tap cheap, borrowed funds are more than offset for the stockholders by the market's discounting of the stock for the added leverage assumed.Consider next the case of retained earnings. Suppose that in the course of its operations the firm acquired I dollars of cash (without impairing the earning power of its assets). If the cash is distributed as a dividend to the stockholders their wealth , after the distribution will be:(25)Where represents the expected return from the assets exclusive of I in question. If however the funds are retained by the company and used to finance newassets whose expected rate of return is , then the stockholders' wealth would become:(26)Clearly as so that an investment financed by retained earnings raises the net worth of the owners if and only if .Consider finally, the case of common-stock financing. Let Po denote the current market price per share of stock and assume, for simplicity, that this price reflects currently expected earnings only, that is, it does not reflect any future increase in earnings as a result of the investment under consideration. Then if N is the original number of shares, the price per share is:(27)And the number of new shares, M, needed to finance an investment of I dollars is given by:(28)As a result of the investment the market value of the stock becomes:And the price per share:(29)Since by equation (28), I= M Po, we can add M Po and subtract from the quantity in bracket, obtaining:(30)and only if.Thus an investment financed by common stock is advantageous to the current stockholders if and only if its yield exceeds the capitalization rate .Once again a numerical example may help to illustrate the result and make it clear why the relevant cut-off rate is and not the current yield on common stock,i.e. Suppose that is 10 per cent, r is 4 per cent, that the original expected income of our company is 1,000 and that management has the opportunity of investing 100 having an expected yield of 12 per cent. If the original capital structure is 50 per cent debt and 50 per cent equity, and 1,000 shares of stock are initially outstanding, then, by Proposition I, the market value of the common stock must be 5,000 or 5 per share. Furthermore, since the interest bill is .045,000 =200, the yield on common stock is 800/5,000=16 per cent. It may then appear that financing the additional investment of 100 by issuing 20 shares to outsiders at 5 per share would dilute the equity of the original owners since the 100 promises to yield 12 per cent whereas the common stock is currently yielding 16 per cent. Actually, however, the income of the company would rise to 1,012; the value of the firm to 10,120; and the value of the common stock to 5,120. Since there are now 1,020 shares, each would be worth 5.02 and the wealth of the original stockholders would thus have been increased. What has happened is that the dilution in expected earnings per share (from .80 to .796) has been more than offset, in its effect upon the market price of the shares, by the decrease in leverage.Our conclusion is, once again, at variance with conventional views, so much so as to be easily misinterpreted. Read hastily, Proposition III seems to imply, that the capital structure of a firm is a matter of indifference; and that, consequently, one of the core problems of corporate finance-the problem of the optimal capital structure for a firm-is no problem at all. It may be helpful, therefore, to clear up such possible misunderstandings.B. Proposition III and Financial Planning by FirmsMisinterpretation of the scope of Proposition III can be avoided by remembering that this Proposition tells us only that the type of instrument used to finance an investment is irrelevant to the question of whether or not the investment is worth while. This does not mean that the owners (or the managers) have no grounds whatever for preferring one financing plan to another; or that there are no other policy or technical issues in finance at the level of the firm.That grounds for preferring one type of financial structure to another will still exist within the framework of our model can readily be seen for the case of common-stock financing. In general, except for something like a widely publicized oil-strike, we would expect the market to place very heavy weight on current and recent past earnings in forming expectations as to future returns. Hence, if the owners of a firm discovered a major investment opportunity which they feltwould yield much more than ,they might well prefer not to finance it via common stock at the then ruling price, because this price may fail to capitalize the new venture. A better course would be a pre-emptive issue of stock (and in this connection it should be remembered that stockholders are free to borrow and buy). Another possibility would be to finance the project initially with debt. Once the project had reflected itself in increased actual earnings, the debt could be retired either with a11 equity issue at much better prices or through retained earnings. Still another possibility along the same lines might be to combine the two steps by means of a convertible debenture or preferred stock, perhaps with a progressively declining conversion rate. Even such a double-stage financing plan may possibly be regarded as yielding too large a share to outsiders since the new stockholders are, in effect, being given an crest in any similar opportunities the firm may discover in the future. If there is a reasonable prospect that even larger opportunities may arise in the near future and if there is some danger that borrowing now would preclude more borrowing later, the owners might find their interests best protected by splitting off the current opportunity into a separate subsidiary with independent financing. Clearly the problems involved in making the crucial estimates and in planning the optimal financial strategy are by no means trivial, even though they should have no bearing on the basic decision to invest (as long as ) .Another reason why the alternatives in financial plans may not be matter of indifference arises from the fact that managers are concerned with more than simply furthering the interest of the owners. Such other objectives of the management-which need not be necessarily in conflict with those of the owners-are much more likely to be served by some types of financing arrangements than others. In many forms of borrowing agreements, for example, creditors are able to stipulate terms which the current management may regard as infringing on its prerogatives or restricting its freedom to maneuver. The creditors might even be able to insist on having a direct voice in the formation of policy. To the extent, therefore, that financial policies have these implications for the management of the firm, something like the utility approach described in the introductory section becomes relevant to financial (as opposed to investment) decision-making. It is, however, the utility functions of the managers per se and not of the owners that are now involved.In summary, many of the specific considerations which bulk so large in traditional discussions of corporate finance can readily be superimposed on our simple framework without forcing any drastic (and certainly no systematic)alteration of the conclusion which is our principal concern, namely that for investment decisions, the marginal cost of capital isC. The Effect of the Corporate Income Tax on Investment DecisionsIn Section I it was shown that when an disintegrated corporate income tax is introduced, the original version of our Proposition I,Must be rewritten as:(11)Throughout Section I we found it convenient to refer to as the cost of capital. The appropriate measure of the cost of capital relevant to investment decisions, however, is the ratio of the expected return before taxes to the market value, i.e. , . From (11) above we find:（31）Which shows that the cost of capital now depends on the debt ratio, decreasing, as D/V rises, at the constant rate . Thus, with a corporate income tax under which interest is a deductible expense, gains can accrue to stockholders from having debt in the capital structure, even when capital markets are perfect. The gains however are small, as can be seen from (31), and as will be shown more explicitly below.From (31) we can develop the tax-adjusted counterpart of Proposition III by interpreting the term D/V in that equation as the proportion of debt used in any additional financing of V dollars. For example, in the case where the financing is entirely by new common stock, D=0 and the required rate of return S on a venture so financed becomes:（32）For the other extreme of pure debt financing D= V and the required rate of return, D, becomes:(33)For investments financed out of retained earnings, the problem of defining the required rate of return is more difficult since it involves a comparison of the tax consequences to the individual stockholder of receiving a dividend versus having a capital gain. Depending on the time of realization, a capital gain produced by retained earnings may be taxed either at ordinary income tax rates,50 per cent of these rates, 25 per cent, or zero, if held till death. The rate on any dividends received in the event of a distribution will also be a variable depending on the amount of other income received by the stockholder, and with the added complications introduced by the current dividend-credit provisions. If we assume that the managers proceed on the basis of reasonable estimates as to the average values of the relevant tax rates for the owners, then the required return for retained earnings R can be shown to be:（34）Where the assumed rate of personal income tax on dividends and is the assumed rate of tax on capital gains.A numerical illustration may perhaps be helpful in clarifying the relationship between these required rates of return. If we take the following round numbers as representative order-of-magnitude values under present conditions: an after-tax capitalization rate of 10 per cent, a rate of interest on bonds of 4 per cent, a corporate tax rate of 50 per cent, a marginal personal income tax rate on dividends of 40 per cent (corresponding to an income of about $25,000 on a joint return), and a capital gains rate of 20 per cent (one-half the marginal rate on dividends), then the required rates of return would be: (1) 20 per cent for investments financed entirely by issuance of new common shares; (2) 16 per cent for investments financed entirely by new debt; and (3) 15 per cent for investments financed wholly from internal funds.These results would seem to have considerable significance for current discussions of the effect of the corporate income tax on financial policy and on investment. Although we cannot explore the implications of the results in any detail here, we should at least like to call attention to the remarkably small difference between the "cost" of equity funds and debt funds. With the numerical valuesassumed, equity money turned out to be only 25 per cent more expensive than debt money, rather than something on the order of 5 times as expensive as is commonly supposed to be the case. The reason for the wide difference is that the traditional view starts from the position that debt funds are several times cheaper than equity funds even in the absence of taxes, with taxes serving simply to magnify the cost ratio in proportion to the corporate rate. By contrast, in our model in which the repercussions of debt financing on the value of shares are taken into account, the only difference in cost is that due to the tax effect, and its magnitude is simply the tax on the "grossed up" interest payment. Not only is this magnitude likely to be small but our analysis yields the further paradoxical implication that the stockholders' gain from, and hence incentive to use, debt financing is actually smaller the lower the rate of interest. In the extreme case where the firm could borrow for practically nothing, the advantage of debt financing would also be practically nothing.译文资本成本,公司财务和投资理论资料来源: / 作者：莫迪格利尼和米勒A 资本结构和投资政策在我们假设的基础上关于资本成本和财务结构，我们可以得出以下简单的关于企业最优投资政策的规律：命题Ⅲ：如果一个属于k 层级的企业在做决策的时候总是在股票持有者认为的最佳利率的行动，那么他将开发一个投资机会仅且仅当投资的期望回收利率*ρ大于或者等于k ρ时。
资本成本,公司财务和投资理论【外文翻译】
外文翻译THE COST OF CAPITAL, CORPORATION FINANCE AND THETHEORY OF INVESTMIENTMaterial Source: American Economics Review,V ol.48,No.3(Jun,1958),261-297 Author:Franco Modigliani and Merton H. MillerWhat is the "cost of capital" to a firm in a world in which funds are used to acquire assets whose yields are uncertain; and in which capital can be obtained by many different media, ranging from pure debt instruments, representing money fixed claims, to pure equity issues, giving holders only the right to a prorata share in the uncertain venture.? This question has vexed at least three classes of economists: (1) the corporation finance specialist concerned with the techniques of financing firms so as to ensure their survival and growth; (2) the managerial economist concerned with capital budgeting; and (3) the economic theorist concerned with explaining investment behavior at both the micro and macro levels.In much of his formal analysis, the economic theorist at least has tended to sidestep the essence of this cost of capital problem by proceeding as though physical assets like bonds could be regarded as yielding known, sure streams. Given this assumption, the theorist has concluded that the cost of capital to the owners of a firm is simply the rate of interest on bonds; and has derived the familiar proposition that the firm, acting rationally, will tend to push investment to the point where the marginal yield on physical assets is equal to the market rate of interest. This proposition can be shown to follow from either of two criteria of rational decision making which are equivalent under certainty, namely (1) the maximization of profits and (2) the maximization of market value.According to the first criterion, a physical asset is worth acquiring if it will increase the net profit of the owners of the firm. But net profit will increase only if the expected rate of return, or yield, of the asset exceeds the rate of interest. According to the second criterion, an asset is worth acquiring if it increases the value of the owners' equity, i.e., if it adds more to the market value of the firm than the costs of acquisition. But what the asset adds is given by capitalizing the stream it generates at the market rate of interest, and this capitalized value will exceed its costif and only if the yield of the asset exceeds the rate of interest. Note that, under either formulation, the cost of capital is equal to the rate of interest on bonds, regardless of whether the funds are acquired through debt instruments or through new issues of common stock. Indeed, in a world of sure returns, the distinction between debt and equity funds reduces largely to one of terminology.It must be acknowledged that some attempt is usually made in this type of analysis to allow for the existence of uncertainty. This attempt typically takes the form of superimposing on the results of the certainty analysis the notion of a "risk discount" to be subtracted from the expected yield (or a "risk premium" to be added to the market rate of interest). Investment decisions are then supposed to be based on a comparison of this "risk adjusted" or "certainty equivalent" yield with the market rate of interest. No satisfactory explanation has yet been provided, however, as to what determines the size of the risk discount and how it varies in response to changes in other variables.Considered as a convenient approximation, the model of the firm constructed via this certainty or certainty equivalent approach has admittedly been useful in dealing with some of the grosser aspects of the processes of capital accumulation and economic fluctuations. Such a model underlies, for example, the familiar Keynesian aggregate investment function in which aggregate investment is written as a function of the rate of interest the same riskless rate of interest which appears later in the system in the liquidity preference equation. Yet few would maintain that this approximation is adequate. At the macroeconomic level there are ample grounds for doubting that the rate of interest has as large and as direct an influence on the rate of investment as this analysis would lead us to believe. At the microeconomic level the certainty model has little descriptive value and provides no real guidance to the finance specialist or managerial economist whose main problems cannot be treated in a framework which deals so cavalierly with uncertainty and ignores all forms of financing other than debt issues.Only recently have economists begun to face up seriously to the problem of the cost of capital cum risk. In the process they have found their interests and endeavors merging with those of the finance specialist and the managerial economist who have lived with the problem longer and more intimately. In this joint search to establish the principles which govern rational investment and financial policy in a world of uncertainty two main lines of attack can be discerned. These lines represent, in effect, attempts to extrapolate to the world of uncertainty each of the two criteriaprofitmaximization and market value maximization which were seen to have equivalent implications in the special case of certainty. With the recognition of uncertainty this equivalence vanishes. In fact, the profit maximization criterion is no longer even well defined. Under uncertainty there corresponds to each decision of the firm not a unique profit outcome, but a plurality of mutually exclusive outcomes which can at best be described by a subjective probability distribution. The profit outcome, in short, has become a random variable and as such its maximization no longer has an operational meaning. Nor can this difficulty generally be disposed of by using the mathematical expectation of profits as the variable to be maximized. For decisions which affect the expected value will also tend to affect the dispersion and other characteristics of the distribution of outcomes. In particular, the use of debt rather than equity funds to finance a given venture may well increase the expected return to the owners, but only at the cost of increased dispersion of the outcomes.Under these conditions the profit outcomes of alternative investment and financing decisions can be compared and ranked only in terms of a subjective "utility function" of the owners which weighs the expected yield against other characteristics of the distribution. Accordingly, the extrapolation of the profit maximization criterion of the certainty model has tended to evolve into utility maximization, sometimes explicitly, more frequently in a qualitative and heuristic form.The utility approach undoubtedly represents an advance over the certainty or certainty equivalent approach. It does at least permit us to explore (within limits)some of the implications of different financing arrangements, and it does give some meaning to the "cost" of different types of funds. However, because the cost of capital has become an essentially subjective concept, the utility approach has serious drawbacks for normative as well as analytical purposes. How, for example, is management to ascertain the risk preferences of its stockholders and to compromise among their tastes? And how can the economist build a meaningful investment function in the face of the fact that any given investment opportunity might or might not be worth exploiting depending on precisely who happen to be the owners of the firm at the moment?Fortunately, these questions do not have to be answered; for the alternative approach, based on market value maximization, can provide the basis for an operational definition of the cost of capital and a workable theory of investment. Under this approach any investment project and its concomitant financing plan mustpass only the following test: Will the project, as financed, raise the market value of the firm's shares? If so, it is worth undertaking; if not, its return is less than the marginal cost of capital to the firm. Note that such a test is entirely independent of the tastes of the current owners, since market prices will reflect not only their preferences but those of all potential owners as well. If any current stockholder disagrees with management and the market over the valuation of the project, he is free to sell out and reinvest elsewhere, but will still benefit from the capital appreciation resulting from man agement's decision.The potential advantages of the marketvalue approach have long been appreciated; yet analytical results have been meager. What appears to be keeping this line of development from achieving its promise is largely the lack of an adequate theory of the effect of financial structure on market valuations, and of how these effects can be inferred from objective market data.Our procedure will be to develop in Section I the basic theory itself and to give some brief account of its empirical relevance. In Section II, we show how the theory can be used to answer the cost of capital question and how it permits us to develop a theory of investment of the firm under conditions of uncertainty. Throughout these sections the approach is essentially a partial equilibrium one focusing on the firm and "industry." Accordingly, the "prices" of certain income streams will be treated as constant and given from outside the model, just as in the standard Marshallian analysis of the firm and industry the prices of all inputs and of all other products are taken as given. We have chosen to focus at this level rather than on the economy as a whole because it is at the level of the firm and the industry that the interests of the various specialists concerned with the cost-of-capital problem come most closely together. Although the emphasis has thus been placed on partial equilibrium analysis, the results obtained also provide the essential building blocks for a general equilibrium model which shows how those prices which are here taken as given, are themselves determined.With the development of Proposition III the main objectives we out- lined in our introductory discussion have been reached. We have in our Propositions I and II at least the foundations of a theory of the valuation of firms and shares in a world of uncertainty. We have shown, moreover, how this theory can lead to an operational definition of the cost of capital and how that concept can be used in turn as a basis for rational investment decision making within the firm. Needless to say, however, much remains to be done before the cost of capital can be put away on the shelfamong the solved problems. Our approach has been that of static, partial equilibrium analysis. It has assumed among other things a state of atomistic competition in the capital markets and an ease of access to those markets which only a relatively small (though important) group of firms even come close to possessing. These and other drastic simplifications have been necessary in order to come to grips with the problem at all. Having served their purpose they can now be relaxed in the direction of greater realism and relevance, a task in which we hope others interested in this area will wish to share.译文资本成本，公司财务和投资理论资料来源:美国经济评论作者：弗兰克·莫迪格利尼和莫顿·米勒对于一个企业来说什么是资本成本？资金用于收购资产的收益是不确定的，资本可以通过许多不同的渠道获取，可以发行债券、要求代表固定资金、发行普通股；只在不确定性风险下给予持有者同比例增长的权利。
公司理财第六章资本成本
债务比例越高，权益比率越低，综合资本成本 越低。但高杠杆会带来更大的财务风险。
公式
综合资本成本=权益资本成本占比 x 权益资本成 本 + 债务资本成本占比 x 债务资本成本 x (1 税率)。
折现率
考虑到资本价值的时间价值，所以要使用 WACC来计算净现值和内部回报率。
资本成本在投资决策中的应用
资本预算决策
对于预算决策，确定资本成本是 一项重要的考虑因素，是实现盈 利增长的关键步骤。
资产投资决策
决策者必须考虑资本成本作为 CPI（投资回报率）的一部分， 以判断投资的一项资产是否具有 价值。决策者还必须考虑资本成 本以避免由于高成本而产生的低 回报。
资本组合决策
资本成本计算是资本结构决策的 一部分，是决定企业最适合的资 本结构的唯一方法。
资本成本的风险因素
1
市场风险
可由股票失败或不符合预期的收益率产生。
2
商业透明度
好的商业透明度提高了投资者对企业的信心，可能会降低权益资本成本。
3
信贷风险
商誉贷款或受评级限制的公司会减少银行借贷的机会。
4
业务风险
与经营业务相同，包括客户口碑，工程的状况等其他情况。
评估资本成本时需考虑借贷 利率、股本收益要求、税费、 风险溢价等因素。
资本成本的计算方法Fra bibliotek按资产组合加权平均法
按资本结构加权平均法
计算出企业各项资产所占比重， 再分别按各项资产权益比率、债 务利率等计算出相应的资本成本， 最后将各项资产的资本成本加总。
将企业债务和股权的权益成本分 别计算出来，按照各项资本占总 资产比例进行加权平均，得到综 合资本成本。
投资就是要赚钱！
资本成本公司财务和投资理论-主要内容
The Cost of Capital, Corporation Finance & The Theory of Investment
American Economic Review Miller & Modigliani, 1958
主要内容
1. 本文创新点 2. 模型概述 3. 命题Ⅰ&Ⅱ 4. 命题Ⅰ&Ⅱ的扩展 5. 命题Ⅲ 6. 结论
只要 V2 > V1, 就有 Y1 > Y2
=>杠杆企业并不能比非杠杆企业获得超额收益
注：关键假设是投资者借款利息率同公司一样
3.命题Ⅱ
含债务企业j 的权益资本成
本
K类无负债公 司权益资本成本Βιβλιοθήκη 风险补偿负债权益比
3.命题Ⅱ的证明
代数运算:
由期望收益率定义得 由命题Ⅰ得 带入化简得:
4.扩展
考虑 :
命题的证明无套利参数企业1全部是股权企业2有一定的债务假设进一步假设一个投资者拥有企业2的s2美元占总股票数量s2的比例为投资组合的收益用y2表示现假设投资者卖出2的股票s2同时获取1的数量为s1d2s2的股票s1xrd杠杆企业并不能比非杠杆企业获得超额收益注
资本成本，公司财务和投 资理论
莫迪格莱尼和米勒 美国经济评论,1958
1. 公司税与扣除利息支付 2. 多种类型的债券和利率 3. 市场不完全
4.扩展1：征税影响
应纳税所得额
结论:
命题1变成: 命题2变成:
平均企业税率
股东预期净收 入
4.扩展2：债券多元性
命题I不受影响 命题II必须修改
5.命题Ⅲ
命题Ⅲ： 如果一个属于k层级的企业在选择投资机会时， 仅当投资的回报率必须大于或者等于命题1中 的平均资本成本。即新的投资机会的截点不受 融资方式影响，独立于资本结构的安排。
公司理财[罗斯]第十章节
![公司理财[罗斯]第十章节](https://img.taocdn.com/s3/m/36f4e18d370cba1aa8114431b90d6c85ec3a888f.png)
二、 WACC举例
某企业账面反映的长期资金共2000万元，其 中长期借款额400万元，应付长期债券300万 元，普通股1100万元，保留盈余200万元， 其个别资本成本分别为7%、8%、9%、10% ，则该 企业的加权平均资本成本为多少？ WACC=400/2000×7%+300/2000×8%+1 100/2 000×9%+200/12000×10%=7.7%
总复习
第六章 贴现现金流量估价 1、区分四类不同种类年金的含义。 2、名义利率（报价利率）与实际年利率关系？ 第七章利率和债券估价 1、 债券价值的计算？ 2、区别特有风险与市场风险？ 3、债券的利率风险？ 4、公司负债融资与权益融资的主要特点？ 5、哪些融资形式属于直接融资或间接融资？ 6.货币市场与资本市场的类型？ 7、什么是公募？ 8、什么是可转换证券？
Chapter １０ 筹资管理：资本成本
本章主要内容
1、权益成本 2、债务成本 3.WACC
资本成本: 一些预备知识
1、什么是资本成本 有吸引力的投资方案期望报酬率高于金融市场上具有 相同系统风险的投资的期望报酬率。一项投资要吸引 人所必须提供的最低期望报酬率(或最低必要报酬率) 称为这个项目的资本成本。 2、资本成本、必要报酬率、适当贴现率可等同。 资 本成本主要取决于资金的运用风险，而不是资金的来 源。 投资决策（资本预算）→融资决策 3.金融市场决定的最低必要报酬率：对金融市场发行 证券的公司叫资本成本；对金融市场从证券上取得报 酬的投资者叫报酬率。在理想金融市场无发行成本的 情况下二者是相等的。通过观察金融市场上各种资产 要求的报酬率可以确定资本成本。
缺陷：没有考虑时间价值
2.到期收益率（1－税率）
第二节 加权平均资本成本 WACC
公司理财 教学大纲
公司理财教学大纲公司理财教学大纲在当今商业世界中，公司理财是一项至关重要的活动。
它涉及到管理和优化公司的财务资源，以实现长期的可持续发展。
为了培养具备良好理财技能的商业人才，公司理财教学大纲应该包含以下内容。
第一部分：财务分析与决策在这一部分，学生将学习如何分析和评估公司的财务状况，并基于这些信息做出明智的决策。
主要内容包括：1. 财务报表分析：学生将学习如何解读和分析财务报表，包括资产负债表、利润表和现金流量表。
他们将了解这些报表如何反映公司的财务状况和经营绩效。
2. 财务比率分析：学生将学习如何计算和解释各种财务比率，如偿债能力比率、盈利能力比率和运营效率比率。
他们将了解这些比率如何帮助评估公司的财务健康状况。
3. 资本预算决策：学生将学习如何评估和选择不同的投资项目。
他们将了解如何计算现金流量、折现率和投资回报率，以便做出明智的资本预算决策。
第二部分：资本结构与融资在这一部分，学生将学习如何管理公司的资本结构和融资需求。
主要内容包括：1. 资本结构决策：学生将学习如何选择适当的资本结构，即债务和股权的比例。
他们将了解不同的资本结构对公司的风险和回报有何影响。
2. 融资方式：学生将学习不同的融资方式，如股票发行、债券发行和银行贷款。
他们将了解每种融资方式的优缺点，并学习如何选择适当的融资方式。
3. 资本成本：学生将学习如何计算资本的成本，包括权益资本成本和债务资本成本。
他们将了解如何使用这些成本来评估不同融资方式的可行性。
第三部分：风险管理与投资组合在这一部分，学生将学习如何管理公司的风险，并构建适当的投资组合。
主要内容包括：1. 风险管理：学生将学习如何识别、评估和管理不同类型的风险，如市场风险、信用风险和操作风险。
他们将了解如何使用衍生品和保险来管理风险。
2. 投资组合理论：学生将学习现代投资组合理论，包括资本资产定价模型和有效前沿理论。
他们将了解如何构建风险和回报均衡的投资组合。
3. 经济环境分析：学生将学习如何分析和预测经济环境对公司投资组合的影响。
第九章 资本成本 公司理财
K K ( 1 T Bt B c)
( 1 )
I ( 1 T ) M t c P ( 1 f ) B t t t 1 ( 1 K ) ( 1 K ) B B
n
( 2 )
Pb — 债券的价格 f — 筹资费率 n — 债券的期限 I — 债券年利息 M —债券的面值 Tc — 所得税税率 Kb —债券的税前成本率 Kbt — 债券的税后成本率
2
66 )t
t 1 ( 1 Kbt
1000 ( 1 Kbt )2
试 错 法 求 出Kbt 6.6%
当考虑税时，筹资成本降低。
【例】假设BBC公司资产负债表中长期负债账面价值为3 810万元(每张债券面值为1 000元)，息票率为8%，期限6年， 每半年付息一次，假设同等期限政府债券收益率为7%，考 虑风险因素，投资者对公司债券要求的收益率为9%，则半 年为4.4%[ (1.09)1/2-1]。假设公司所得税税率为40%，税前 筹资费率为发行额的3%。
若公司某项投资所获得的收益率等于公司的资本成本, 则该公司普 通股的价值将不会由于该项投资而改变, 即公司的价值没有变化； 若公司某项投资的收益率高于 ( 低于 ) 公司的资金成本，则该公司 普通股的价值由于该项投资而发生了改变，即公司的价值产生了 增值(减值)。 资本成本应该是公司新资本投资所要求的最低收益率。
9.1 资本成本的概念
Concept about Capital Cost
资本成分 资本: 企业购置资产和支持运营所需流动资产而筹集的资金。通
常它表现为资产负债表的右栏各个科目。即长、短期负债、优先 股和普通股权益，它们构成了企业的全部资本。 一般来说，短期负债不列入资本预算的资本成分中。因为一些短 期负债是无息的，如：应付帐款、应交税金、应付工资等。而企 业购置资产，只需筹集总资产与无息负债的差额资金就可以了。
资本成本,公司财务和投资理论【外文翻译】
外文翻译原文The Cost of Capital, Corporation Finance and Theory of InvestmentMaterial Source: http://ww.jstor.or Author: Franco Modigliani; Merton H. MillerA. Capital Structure and Investment PolicyOn the basis of our propositions with respect to cost of capital and financial structure (and for the moment neglecting tans), we can coercive the following simple rule for optimal investment policy by the firm:Proposition III. If a firm in class is acting in the best interest of the stockholders at the time of the decision, it will exploit an investment opportunity if and only if the rate of return on the investment, say , is as large as or larger than . That is, the cut-off point for investment in the firm will in all cases be and will be completely unaffected by the type of security used to finance the investment. Equivalently, we may say that regardless of the financing used, the marginal cost of capital to a firm is equal to the average cost of capital, which is in turn equal to the capitalization rate for an unlevered stream in the class to which the firm belongs.To establish this result we will consider the three major financing alternatives open to the firm-bonds, retained earnings, and common stock issues-and show that in each case an investment is worth undertaking if, and only if,.Consider first the case of an investment financed by the sale of bonds. We know from Proposition I that the market value of the firm before the investment was undertaken was:(20)And that the value of the common stock was:（21）If now the firm borrows I dollars to finance an investment yielding its market value will become:（22）And the value of its common stock will be:（23）Or using equation 21,（24）HenceTo illustrate, suppose the capitalization rate for uncertain streams in the class is 10 per cent and the rate of interest is 4 per cent. Then if a given company had an expected income of 1,000 and if it were financed entirely by common stock we know from Proposition I that the market value of its stock would be 10,000. Assume now that the managers of the firm discover an investment opportunity which will require an outlay of 100 and which is expected to yield 8 per cent. At first sight this might appear to be a profitable opportunity since the expected return is double the interest cost. If, however, the management borrows the necessary 100 at 4 per cent, the total expected income of the company rises to 1,008 and the market value of the firm to 10,080. But the firm now will have 100 of bonds in its capital structure so that, paradoxically, the market value of the stock must actually be reduced from 10,000 to 9,980 as a consequence of this apparently profitable investment. Or, to put it another way, the gains from being able to tap cheap, borrowed funds are more than offset for the stockholders by the market's discounting of the stock for the added leverage assumed.Consider next the case of retained earnings. Suppose that in the course of its operations the firm acquired I dollars of cash (without impairing the earning power of its assets). If the cash is distributed as a dividend to the stockholders their wealth , after the distribution will be:(25)Where represents the expected return from the assets exclusive of I in question. If however the funds are retained by the company and used to finance newassets whose expected rate of return is , then the stockholders' wealth would become:(26)Clearly as so that an investment financed by retained earnings raises the net worth of the owners if and only if .Consider finally, the case of common-stock financing. Let Po denote the current market price per share of stock and assume, for simplicity, that this price reflects currently expected earnings only, that is, it does not reflect any future increase in earnings as a result of the investment under consideration. Then if N is the original number of shares, the price per share is:(27)And the number of new shares, M, needed to finance an investment of I dollars is given by:(28)As a result of the investment the market value of the stock becomes:And the price per share:(29)Since by equation (28), I= M Po, we can add M Po and subtract from the quantity in bracket, obtaining:(30)and only if.Thus an investment financed by common stock is advantageous to the current stockholders if and only if its yield exceeds the capitalization rate .Once again a numerical example may help to illustrate the result and make it clear why the relevant cut-off rate is and not the current yield on common stock,i.e. Suppose that is 10 per cent, r is 4 per cent, that the original expected income of our company is 1,000 and that management has the opportunity of investing 100 having an expected yield of 12 per cent. If the original capital structure is 50 per cent debt and 50 per cent equity, and 1,000 shares of stock are initially outstanding, then, by Proposition I, the market value of the common stock must be 5,000 or 5 per share. Furthermore, since the interest bill is .045,000 =200, the yield on common stock is 800/5,000=16 per cent. It may then appear that financing the additional investment of 100 by issuing 20 shares to outsiders at 5 per share would dilute the equity of the original owners since the 100 promises to yield 12 per cent whereas the common stock is currently yielding 16 per cent. Actually, however, the income of the company would rise to 1,012; the value of the firm to 10,120; and the value of the common stock to 5,120. Since there are now 1,020 shares, each would be worth 5.02 and the wealth of the original stockholders would thus have been increased. What has happened is that the dilution in expected earnings per share (from .80 to .796) has been more than offset, in its effect upon the market price of the shares, by the decrease in leverage.Our conclusion is, once again, at variance with conventional views, so much so as to be easily misinterpreted. Read hastily, Proposition III seems to imply, that the capital structure of a firm is a matter of indifference; and that, consequently, one of the core problems of corporate finance-the problem of the optimal capital structure for a firm-is no problem at all. It may be helpful, therefore, to clear up such possible misunderstandings.B. Proposition III and Financial Planning by FirmsMisinterpretation of the scope of Proposition III can be avoided by remembering that this Proposition tells us only that the type of instrument used to finance an investment is irrelevant to the question of whether or not the investment is worth while. This does not mean that the owners (or the managers) have no grounds whatever for preferring one financing plan to another; or that there are no other policy or technical issues in finance at the level of the firm.That grounds for preferring one type of financial structure to another will still exist within the framework of our model can readily be seen for the case of common-stock financing. In general, except for something like a widely publicized oil-strike, we would expect the market to place very heavy weight on current and recent past earnings in forming expectations as to future returns. Hence, if the owners of a firm discovered a major investment opportunity which they feltwould yield much more than ,they might well prefer not to finance it via common stock at the then ruling price, because this price may fail to capitalize the new venture. A better course would be a pre-emptive issue of stock (and in this connection it should be remembered that stockholders are free to borrow and buy). Another possibility would be to finance the project initially with debt. Once the project had reflected itself in increased actual earnings, the debt could be retired either with a11 equity issue at much better prices or through retained earnings. Still another possibility along the same lines might be to combine the two steps by means of a convertible debenture or preferred stock, perhaps with a progressively declining conversion rate. Even such a double-stage financing plan may possibly be regarded as yielding too large a share to outsiders since the new stockholders are, in effect, being given an crest in any similar opportunities the firm may discover in the future. If there is a reasonable prospect that even larger opportunities may arise in the near future and if there is some danger that borrowing now would preclude more borrowing later, the owners might find their interests best protected by splitting off the current opportunity into a separate subsidiary with independent financing. Clearly the problems involved in making the crucial estimates and in planning the optimal financial strategy are by no means trivial, even though they should have no bearing on the basic decision to invest (as long as ) .Another reason why the alternatives in financial plans may not be matter of indifference arises from the fact that managers are concerned with more than simply furthering the interest of the owners. Such other objectives of the management-which need not be necessarily in conflict with those of the owners-are much more likely to be served by some types of financing arrangements than others. In many forms of borrowing agreements, for example, creditors are able to stipulate terms which the current management may regard as infringing on its prerogatives or restricting its freedom to maneuver. The creditors might even be able to insist on having a direct voice in the formation of policy. To the extent, therefore, that financial policies have these implications for the management of the firm, something like the utility approach described in the introductory section becomes relevant to financial (as opposed to investment) decision-making. It is, however, the utility functions of the managers per se and not of the owners that are now involved.In summary, many of the specific considerations which bulk so large in traditional discussions of corporate finance can readily be superimposed on our simple framework without forcing any drastic (and certainly no systematic)alteration of the conclusion which is our principal concern, namely that for investment decisions, the marginal cost of capital isC. The Effect of the Corporate Income Tax on Investment DecisionsIn Section I it was shown that when an disintegrated corporate income tax is introduced, the original version of our Proposition I,Must be rewritten as:(11)Throughout Section I we found it convenient to refer to as the cost of capital. The appropriate measure of the cost of capital relevant to investment decisions, however, is the ratio of the expected return before taxes to the market value, i.e. , . From (11) above we find:（31）Which shows that the cost of capital now depends on the debt ratio, decreasing, as D/V rises, at the constant rate . Thus, with a corporate income tax under which interest is a deductible expense, gains can accrue to stockholders from having debt in the capital structure, even when capital markets are perfect. The gains however are small, as can be seen from (31), and as will be shown more explicitly below.From (31) we can develop the tax-adjusted counterpart of Proposition III by interpreting the term D/V in that equation as the proportion of debt used in any additional financing of V dollars. For example, in the case where the financing is entirely by new common stock, D=0 and the required rate of return S on a venture so financed becomes:（32）For the other extreme of pure debt financing D= V and the required rate of return, D, becomes:(33)For investments financed out of retained earnings, the problem of defining the required rate of return is more difficult since it involves a comparison of the tax consequences to the individual stockholder of receiving a dividend versus having a capital gain. Depending on the time of realization, a capital gain produced by retained earnings may be taxed either at ordinary income tax rates,50 per cent of these rates, 25 per cent, or zero, if held till death. The rate on any dividends received in the event of a distribution will also be a variable depending on the amount of other income received by the stockholder, and with the added complications introduced by the current dividend-credit provisions. If we assume that the managers proceed on the basis of reasonable estimates as to the average values of the relevant tax rates for the owners, then the required return for retained earnings R can be shown to be:（34）Where the assumed rate of personal income tax on dividends and is the assumed rate of tax on capital gains.A numerical illustration may perhaps be helpful in clarifying the relationship between these required rates of return. If we take the following round numbers as representative order-of-magnitude values under present conditions: an after-tax capitalization rate of 10 per cent, a rate of interest on bonds of 4 per cent, a corporate tax rate of 50 per cent, a marginal personal income tax rate on dividends of 40 per cent (corresponding to an income of about $25,000 on a joint return), and a capital gains rate of 20 per cent (one-half the marginal rate on dividends), then the required rates of return would be: (1) 20 per cent for investments financed entirely by issuance of new common shares; (2) 16 per cent for investments financed entirely by new debt; and (3) 15 per cent for investments financed wholly from internal funds.These results would seem to have considerable significance for current discussions of the effect of the corporate income tax on financial policy and on investment. Although we cannot explore the implications of the results in any detail here, we should at least like to call attention to the remarkably small difference between the "cost" of equity funds and debt funds. With the numerical valuesassumed, equity money turned out to be only 25 per cent more expensive than debt money, rather than something on the order of 5 times as expensive as is commonly supposed to be the case. The reason for the wide difference is that the traditional view starts from the position that debt funds are several times cheaper than equity funds even in the absence of taxes, with taxes serving simply to magnify the cost ratio in proportion to the corporate rate. By contrast, in our model in which the repercussions of debt financing on the value of shares are taken into account, the only difference in cost is that due to the tax effect, and its magnitude is simply the tax on the "grossed up" interest payment. Not only is this magnitude likely to be small but our analysis yields the further paradoxical implication that the stockholders' gain from, and hence incentive to use, debt financing is actually smaller the lower the rate of interest. In the extreme case where the firm could borrow for practically nothing, the advantage of debt financing would also be practically nothing.译文资本成本,公司财务和投资理论资料来源: / 作者：莫迪格利尼和米勒A 资本结构和投资政策在我们假设的基础上关于资本成本和财务结构，我们可以得出以下简单的关于企业最优投资政策的规律：命题Ⅲ：如果一个属于k 层级的企业在做决策的时候总是在股票持有者认为的最佳利率的行动，那么他将开发一个投资机会仅且仅当投资的期望回收利率*ρ大于或者等于k ρ时。
资本成本 公司财务和投资理论 pdf
5
Two criteria
The cost of capital!
（1）the maximization of profits
firm !
the net profit!
increase!
physical asset!
worth acquiring!
If expected rate of return or yield >the rate of interest
uncertainty! ! the model of the firm constructed via this certainty or certainty-equivalent For example: Keynesian aggregate investment function Drawbacks: (1) macroeconomic level
Use!
Obtain!
! ! ! The holders' right to a pro-rata share! ! ! ! ! !
Acquire assets! !
Yields are uncertain! !
Pure debt instruments! !
Money-fixed claims! !
Байду номын сангаас
Pure equity issues! !
! ! !
The cost of capital!
2
?
!
to a firm
The cost of capital!
This question has vexed at least three classes of economists： （1）the corporation finance specialist （2） the managerial economist （3） the economic theorist! ! ! ! ! ! ! !
《公司理财》第5章-资本成本
2019年12月
第3页
第一节 资本的构成
按投资主体分 债权人投资
所有者投资
组成要素 长期负债 优先股股本 普通股股本 留存收益
按取得方向分 外源资金 内源资金
第一节 资本的构成
1. 资本成本的表达公式
资本成本=每年的用资费用/净筹资金额 =每年的用资费用/（筹资总额-筹资费用）
注：一种相对数的表示方式
2019年12月
第25页
第二节 权益成本
KS RS R f (Rm R f )
• β系数：系统风险的度量； • β=1市场上所有证券的平均风险系数； • β>1，代表该资产风险高于市场平均水平；
• β系数的计算： • 以代表整个市场回报率的指数为自变量，以要求的资产收益率为被解释变量，
9.375 %
第21页
第二节 权益成本
留存收益市公司缴纳所得税后，将一部分未分派的税后利润留存于公
司，实质上是对公司追加投资，与普通股成本相比，不同之处在于它
属于内部筹资，没有筹资费用，而发行普通股属于对外筹资，有筹资 费用；
1、股利固定政策下，每年留存收益D元，视为永续年金：
P0
D KS
KS
2019年12月
第15页
第二节 权益成本
• 权益成本计算的两种思路： • 1、公司的角度：预计未来支付给股东的股利和现
在的筹资费用，计算出权益成本；
• 计算方法：股利法 • 2、资本市场角度：遵循风险与收益对等原则，按
照股东承担风险的大小，计算其应得到的回报， 股东回报即为资本成本；
• 计算方法：资本资产定价模型和套利定价模型
在借款年内结息次数超过一次时，借款实际利率也会高于名义利率，从而资本成 本上升。此时，借款成本的计算公式：
读《资本成本、公司理财、投资政策有感》
金融经济学课程论文从假设开始建造的理论花园——读《资本成本、公司理财与投资政策》有感现代企业的经营与金融市场的运行已经紧密地联系在一起，而融资的方式和方法对于企业的经营可以说具有决定性的意义。
所以企业的筹资和资金管理自公司金融诞生以来就一直是人们研究的重点和热点。
我们小组所要宣讲的这篇米勒和莫迪利安尼的《The Cost of Capital, Corporation Finance and the Theory of Investment 》（译为《资本成本，公司理财与投资政策》）自1958年在《美国经济评论》上刊登以来，一直被奉为公司金融学的开创性理论，并且论文中总结的MM 定理被不断延伸和发展。
作为经典中的经典，这篇论文在论证内容、理论架构和研究方法上都有着独特之处，值得我们推敲和学习、应用。
无论是资本结构还是公司理财，围绕的中心都是融资。
因为融资是企业发展最初、也是最为关键的一个环节。
企业就是在融资、投资、收益、再融资、投资这样的循环中发展起来的。
论文以融资为主题，通过三个命题，分别阐释了资本结构与企业价值的关系，有负债公司的股票资本成本以及企业投资决策。
这篇论文中并没有使用高深难懂的数学公式，出现的都是简单的计算，却很恰当地说明了问题。
论文的可取之处有很多，先说论文的主题融资。
任何企业的发展都离不开资金的充分支持。
企业融资行为会使企业经营者、股东和债权人之间发生权力、利益、责任的再分配，从而对企业的财务管理产生影响。
①企业融资方式决定了投资者对企业的控制程度和干预方式。
股权投资者一般通过直接参与制定公司的发展战略和重大决策与来参与公司管理，而债权人一般通过主张债务权利对企业实施影响，也就是所说的执行权和代理权。
②融资方式的决策决定企业破产可能性的大小。
股票投资者拥有对企业的剩余收入索取权和企业正常经营的控制权，债权人则拥有固定收入索取权和企业不能偿还债务时的破产权。
通常负债率越高，破产率越大。
资本成本公司财务和投资理论
资本成本公司财务和投资理论莫迪格利尼和米勒（Franco Modigliant and Mertor H. Miller）对于一个企业来说什么是资本成本？资金的获取收益是不确定的，资本可以由多种渠道获取，可以发行债券、要求代表固定资金、发行普通股；仅仅在不确定性风险下给予持有者同比例增长的权利。
这个问题至少困扰了三种类型的经济学家：（1）财务运营专家关注公司的财务技能以此来确认企业能够生存和发展；（2）管理经济学家关注的是资本的预算；（3）经济理论学家关注的是在微观和宏观领域解释投资行为。
在正式的分析中，经济理论学家至少倾向于规避资本成本问题的实质，通过诸如有息证券等实物资本的收入可以看作是已知的收益、确定性的收入。
鉴于这些假设，理论学家可以得出企业的所有者的资本成本仅仅是债券的利息率；还得出这样简单的命题：理性的企业，倾向于把投资投向实物资本的边际收益等同于市场利率的地方。
这个命题可以显示出：遵从了在不确定性条件下以下两条等同的理性决策制定者的准则：（1）利润最大化；（2）市场价值最大化。
通过第一条标准，一项实物资产如果能够增加企业所有者的净收益的话是值得投资的；但是净利润只有在期望的利润或者收益超过利息率的时候才能增加；通过第二条标准资产只有在增加了所有者的普通股收益时才是可取的，如果它增加的企业市场价值多于付出的成本。
但是资产的增加是通过假设资本化它产生的市场利息率，资本化的价值超过他的成本仅当资产的收益超过利息率的时候。
我们注意到：在任何一种陈述中，资本成本等同于有息债券的利息率，不管资本是从发行债券还是发行普通股的行为中获得。
实际上，在一个确定性的收益的世界中，在专业术语中债务和普通股收益之间的差别大大减小了。
一定要承认的是有些学者在分析模型时允许不确定性的存在。
这种试图典型的是他在不确定性的分析概念中添加了确定性的结果，在预期收益中扣除了“风险折扣”。
投资决策被认为是基于“风险调整”或是和市场利息率“确定性等价”的比较。
财务管理 名词解析
利润表：又称为损益表，反映公司在一定期间生产和经营业绩的财务报表。
现金流量表：反映公司一定期间的经营活动、投资活动和筹资活动对现金及现金等价物产生的影响。
货币时间价值：或资金时间价值，是指货币经历一定时间的投资和再投资所增加的价值。
延期消费理论：相对于将来的消费而言，人们更喜欢当期的消费，因此，想要人们放弃当期的消费，必须在未来提供更多的补偿，这个对人们“耐心”的补偿就是货币的时间价值。
剩余价值理论。
关于货币时间价值产生的原因，从根本上讲，是因为货币资金投入企业的生产经营之后，经过一段时间的资本循环，会产生利润，这种利润就是货币的增值，终值（FV）：现在的货币资金在未来某一时刻的价值。
现值（PV）：未来某个时刻的货币资金在现在的价值。
贴现：把未来发生的现金流量折算成现值的过程。
年金：指在特定期限内每期都会发生的一系列等额现金流量。
永续年金：持续到永远的年金。
风险：是指在一定条件下和一定时期内可能发生的各种结果的概率。
风险的度量：风险指标是指资产的实际收益率围绕其期望收益率波动的程度。
投资组合：两种或两种以上的资产，按不同的比例构成的投资总体结构。
资本成本：是公司为了筹集和使用资金而付出的费用。
商业信用：是公司以赊销方式向买方销售商品时提供的信用。
免费商业信用：公司在折扣期内享受的商业信用；有偿商业信用是指放弃折扣时公司能享受的额外商业信用。
循环信贷额度贷款：即在一定时期内，银行为公司核定一个信用额度，在不超过限额的前提下，公司可以随时获得和偿还贷款。
补偿性余额：是指发放贷款时，一般要求借款人将贷款额中的一定比例（如10%—20%）留存银行，这种做法的目的主要是保证贷款的安全。
IPO（首次公开发行股票）：是指一家企业第一次将它的股份想公众出售。
风险资本：是由专业投资机构到新兴的、迅速发展的高科技企业的一种股权投资。
认股权证：是公司发行的，持有者可以按规定价格购买特定数额股票的权利证书。
可转换债券：由公司发行的，可以在规定的期限、按规定条件转换成本公司普通股票的债券。
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读《资本成本、公司理财和投资理论》对于现代金融学来说，投资组合理论、MM定理、CAPM和APT是其赖以发展的基石。
我们小组研读的这篇《资本成本、公司理财和投资理论》由莫迪格里尼和米勒于1958年发表于《美国经济评论》，在这篇文章中，作者提出：在一定的条件下，企业无论以负债筹资还是以权益资本筹资都不影响企业的市场总价值。
因为，如果企业偏好债务筹资，债务比例相应上升，企业的风险随之增大，股票价格就会下降。
企业从债务筹资上得到的好处会被股票价格的下跌所抹掉，从而导致企业的总价值（股票加上债务）不变。
企业以不同的方式筹资只是改变了企业的总价值在股权者和债权者之间分割的比例，却不改变企业价值的总额。
这就是被誉为现代金融学benchmark之一的“MM定理”。
一、问题的提出本文开篇，作者就提出了“什么是资本成本”的问题。
从资本成本的角度出发考虑公司理性决策问题。
而这一问题的衡量标准有两个①利润最大化；②公司价值最大化。
作者首先详细分析了传统理论中关于资本成本影响理性公司投资决策的研究中，没有考虑风险因素而带来的种种不足：不考虑风险则两大衡量标准一致，都是在投资收益率高于等于利率时投资，债务融资和股权融资的资本成本都等于债券利率。
作者指出，传统分析方法如采用确定性等价的近似分析法——在期望收益中加上风险折现（或在市场利率的基础上加上风险溢价）——在微观层面上的价值很小。
考虑风险因素时，采用利润最大化标准的思路无法解决很多问题※，因而作者提出应当选用市场价值最大化作为衡量公司投资决策是否理性的标准。
由这个标准出发考虑资本成本，进一步研究公司的资本结构与公司价值之间的关系。
基于市场价值最大化，可以提供一个可以操作的资本成本的定义和可行的投资理论。
在这种方法下，任何投资项目和相关的融资计划仅需要考虑：该融资项目是否能增加公司股票的市场价值。
这种思路完全独立于当前所有者的偏好，很好的解决了利润最大化无法解决的问题。
二、本文的基本思路和前提假设论文的第一部分是基本理论本身（命题1和命题2）和相关经验性的简介。
第二部分在第一部分的基础商讨论有关资本成本的问题和不确定条件下公司投资理论的发展（命题3）。
作者采用局部均衡分析（不考虑税收、利率变化等），视确定收入现金流的价格连续的模型外生的量，在文中提出了三个命题。
其中，最重要的是命题1，命题2、3都是由命题1推导出来的。
MM定理的证明过程使用了套利均衡理论作为其主要的证明方法，最重要的假设前提是完美市场，在这个市场上无交易成本、无税收而且无套利。
这就保证了资本结构不影响公司现金流量，即在满足假定条件时分配给公司债权人和股东的所有未来现金流量之和不受资本结构影响。
MM定理的主要假设如下：1.公司拥有经济中的所有实物资产。
公司可以通过发行普通股和公司债的方式来筹集实物资产投资所需的资金。
先假定公司只能通过发行普通股来筹措资金，第一部分的下半部分再考虑公司发行债券或它们的等价物作为公司资金的来源。
2.假定一段时期后自然相应增加到某一股份的收益流的平均值是有限的、且对于概率分布而言是一个随机变量，取平均值的数学期望值作为这一股份的期望收益。
假设个人投资者关于期望收益的看法是一致的。
3.（战略性地位的假设）公司都可按一定的标准化为“等价收益类”，任一公司发行任何一类的股票的收益都可和其他公司发行的同类股票的收益成比例。
这一假设的重要性在于，可以把公司分成不同的组（类型），每一组里不同公司的股票都是“同类”的，即：彼此是可以替代的。
在任一类中，每一股的价格必须与其期望收益呈比例。
这个比例用连续变量ρk*表示。
4.资本市场为完全竞争市场，套利是自由的，交易成本忽略不计。
5.所有的债券（公司融资债券和个人的负债）均可获得一个稳定而固定的收益率。
公司利用公司融资时的利率与个人用股票担保借入资金时的利率均为一定并且相等。
同时，不考虑利率的期限结构。
6.公司投融资的目的是企业市场价值最大化，与股东利益最大化一致。
7.利率不随着杠杆经营而增长。
本文作者通过分析论证：在完全竞争的市场环境中，企业的价值与企业资本结构无关。
但在考虑公司税赋成本时，由于利息支出为税前列支项目，而股利为税后项目，因而债务融资成本低于股权融资，随着企业资本结构中的负债率的提高，企业价值也得以增加，最理想的企业资本结构是100%债务融资。
三、命题的提出及推导过程命题1：即：任何公司的市场价值独立于资本结构之外，是其期望收益与它的类相关的比率（资本化率）。
将上述恒等式变形为：。
即：任何公司的平均资本成本完全独立于它的资本结构，并等于它所属类的纯股票流的资本化率。
推导：要证明上述命题成立，只需证明如果时，套利将发生恢复这种相等关系。
证明如下：假定属同一类的两家公司1和公司2的预期收益相同，即预期收益；为债券利率，根据假设5有公司债券利率和个人信用借债利率相同。
公司1：完全普通股融资，资本结构为，：公司2：资本结构既含股又含债为，。
情形一：时，可构造如下投资组合：——投资者持有的公司2的股份，即：。
投资收益——投资者持有公司1的股份且，其中为投资者最初持有，部分是投资者个人信用借入；因为，则投资收益套利过程，最终使得；情形二：时，可构造如下投资组合：——投资者持有的公司1的股份，即：投资收益——投资者持有公司2的数量为的股份和数量为的债券，且。
其中，；投资收益套利过程，最终使得。
命题1证毕。
命题2：对于属于k类的任何公司j，其在股票上的期望收益或产出率i可用杠杆的线性函数表示成：。
其中，代表每股期望收益率，代表与融资风险相关的贴水，代表公司的杠杆，代表k类中每股纯股票流的资本化率。
推导：，将代入命题等式中的右边有：右边左边：；显然命题等式中左边=右边，命题2证毕。
仔细观察将其变形可得：这个公式与后来的CAPM定价公式极为相似。
可以看出二者之间关系紧密，且都使用套利均衡理论为主要证明方法。
命题3：公司投资的截止点在任何情况下都是，并且完全不受融资的证券类型的影响。
即不考虑公司所使用的融资方式，一个公司的边际资本成本等同于资本的平均成本，后者接着等于公司所属类的非杠杆经营流的资本化率。
命题3实际上基于前面两个命题成立的情况下（忽略税收不计）给出的投资政策——若k类中的一公司在决策时按照最有利于股东利益的行为进行，当且仅当投资收益率时才会利用投资机会。
推导：考虑三种融资方式——债券、留存收益和发行普通股——每一种情况下，当且仅当投资收益率时才会利用投资机会。
⑴发行债券融资；最有利于股东利益的目标——股票市场价值增加投资前：投资：则：显然，时，，根据目标，则只有时才会利用投资机会。
⑵利用留存收益；最有利于股东利益的目标：股东财富增加A：公司将留存收益（不损害其资产的盈利能力）作为股息分配到股东，分配后股东财富B：公司将留存收益用于筹措期望收益率为的新资产，投资后股东财富显然，时，，根据目标，则只有时才会利用投资机会。
⑶发行普通股融资；最有利于股东利益的目标：股票价格上升代表每股股票的当前市场价值（只反映当前的期望收益）代表原来股票数量代表发行的新股数量，有如下关系：，发行新股后，显然，时，，根据目标，则只有时才会利用投资机会。
命题3证毕。
根据命题3，似乎很容易得出一个结论，就是既然公司投资的标准是，那么不需要考虑选择哪项融资工具（债券、留存收益和发行普通股）。
作者指出，这样的结论是错误的。
虽然，根据命题3融资工具类型与投资无关，但是，所有者或者经理的偏好、选择将导致融资计划的不同。
由于经理的目标不一定等于增加所有者利益，或者经理人的其他目标（这些目标不一定与所有者的目标冲突）使得经理人更可能选择某一而不是其他类型的融资安排。
例如，许多借款协议中，债权人可以规定一些条件，而管理层会认为这些条件冒犯了它的特权或限制了它可操作的自由而不选择借款协议。
在现实中，经理人考虑到普通股可能会导致投资的资本化无效，首先不会选择普通股融资。
比较常见的融资方式选择是①发行优先购股权；②债务融资；③可转换债券或优先股。
而决定经理人的偏好就需要考察经理人的效用函数而不是所有者的效用函数。
对于这个问题，在本文中作者并没有深入讨论。
考虑税收的影响：此前的三大命题分析中并没有考虑税后的影响，作者在文章最后一部分考虑了税收以后的资本成本（股票、债券、留存收益）问题。
为了简化分析，作者使用的是平均税率，用表示公司所得税率。
考虑公司所得税以后，化简后有：，显然，当时，以下降。
作者得出的结论是：对利息作为扣除费用的公司所得税，股东可以从有债务的资本结构中获得累积的利得，这种利得很小。
当D=0，即全部发股融资时，利用股票融资的平均资本成本：；当D=V，即全部发债融资时，利用债券融资的平均资本成本：；当公司全部利用留存收益融资时，令代表股利个人所得税，代表资本利得税；则利用留存收益融资的平均资本成本为：作者最后还举了一个例子，当=10%，=4%，=50%，=40%，= =20%。
代入上述公式可得=20%；=16%；=15%。
可以看出三种融资方式的平均资本成本是逐渐下降的，这也暗含了优序融资（pecking order）的思想。
四、MM定理的实证分析基础命题的一些限制和扩展，现有的方法和结论可以衍生到很多有用的方面，在这里我们仅考虑3点：（1）允许税前的利息扣除（2）承认债券和利率的多样性存在（3）承认现实市场的不完善可能会影响套利行为在这一部份中前两个将要在这一部份给予简要的说明，在第二部分中将对税收问题作进一步的说明。
市场的不完善将要在1部分说明。
现代方法中公司税收的效应。
利息在计算公司利润中的扣除将会阻止套利行为，而套利行为使给定类型的所有企业的价值与其实物资产所产生的预期收益成比例。
相反，每一类型的企业的市场价值与其扣税以后的预期收益（也就是，所支付的利息和预期的股东净收入之和）成比例。
这也就是说我们将用扣税后的总收入来代替原来的，将原命题一盒命题二改写。
虽然改写后命题的形式没有受影响，但有一些解释必须改变。
特别是，税后资本化率不能再解释为资本的平均成本。
和真实的平均成本之间的差别，在我们看来与公司的投资计划有关。
为了描述市场行为，也就是我们所关心的，这种差别是不重要的。
虽然只有在不考虑税收的情况下两者才是严格一致的，但为了表达简单和标准论文中术语的连贯性，我们仍然把视为资本的平均成本。
债券和利率多样性的效果。
在现存的资本市场上，我们发现不是一个而是所有的利率都会根据期限，贷款技术规定，现实目的的相关性，和贷款者融资条件的不同而不同。
经济理论和市场经验都说明随着贷款企业（或个人）债务与股权比率的上升，借款人所要求的收益增加。
如果是这样，我们可以假设存在这样的一个收益曲线，不论其具体的形式是怎么样的，它对所有贷款者都是一样的，然后我们可以将我们的命题扩展成借款供给递增的曲线。