i资产的均衡预期报酬率

i资产的均衡预期报酬率 國財10-1 第十章 THE COST OF CAPITAL FOR FOREIGN INVESTMENTSShapiro 16 ( ) Whether the required rate of return on foreign projects should be higher, lower, or the same as that for domestic projects. Cost of capital = the minimum risk–adjusted return required by shareholders of the firm for undertaking that investment. A. THE COST OF EQUITY CAPITAL ( ) ―the minimum rate of return necessary to induce investors buy or hold the firm’s stock. 1. Capital Asset Pricing Model, CAPM ―an equilibrium relationship between on asset’s required return and its associated risk. r = r + β( r- r) ifi m f i資產的均衡預期報酬率 where r = i 無風險利率 r = f 市場資產組合(所有風險性資產)的預期報酬率 r = m , r) / var ( r) 系統性風險 cov( ri m m β = i B.THE WEIQHTED AVERAGE COST OF CAPITAL FOR FOREIGN PROJECTS 1. WACC for the parent and the project : k = (1–L) ×k +L×i ×(1–t) oed k where = cost of equity capital e L = the parent’s debt ratio ( debt to total assets ) I×(1-t) = the after-tax cost of debt d k used as the discount rate in evaluating project . o ex. 公司的資金結構一普通股,負債,特別股=60%,30%,10% 國財10-2 稅後的資金成本一普通股,負債,特別股=20%, 6%,14% 求WACC為何, 2.Costing Various sources of Funds ( ) 子公司 ( a foreign subsidiary ) 需資金 I P + Е + D = I ff where P = Funds from the parent company E = 子公司保留盈餘 f D = Foreign debt f 不同資金來源,不同成本。 a. Parent Company Funds 即母公司的邊際資金成本 marginal cost of capital k o b. Retained Earnings k is a function of dividend withholding taxes , tax s referral , and transfer costs . k = k (1-T) se ?若母公司的權益資金成本因新投資計劃而改變成k,則保留盈餘的資 e 金成本的計算公式修正為, ?k = k (1-T) s e where T = Incremental taxes owed on earnings repatriated to the Parent (將盈餘匯回母公司, 有額外Taxes ) k = 母公司要求的權益資金成本 e c. Local Currency Debt 當地負債成本r , 為稅後利息費用 + 預期的匯兌損(益) f ?預期的當地負債成本(以美元計價) expected after-tax dollar cost of foreign debt d. Computing the Weighted Average Cost of Capital a~c 整理之後,得: k= k– a (k–k) – b [ id (1-t) – i] ; where a = E/I , b = d/I I o esf ff (新投資沒有改變母公司的風險特質) 國財10-3 ??k= k+ (1-L)(k–k) +L (id?-id) (1-t) -a (k–k) – b [ id? (1-t) – i] I o eeesf (新投資改變母公司的風險特質) ex. 新海外投資需$100 million Parent ? $20 million ; 當地借款 ? $55 million , E ?$25 million f 母公司k = 14% , (1-t) id = 5% , L = 0.3 e 新投資風險很高k?= 16% , (1-t) id?= 6% e T = 8% , nominal LC rate of interest = 20% , anticipated average-annual devaluation of 7% , foreign tax rate = 40%, 求WACC為何, C.THE ALL-EQUITY COST OF CAPITAL FOR FOREIGN PROJECTS 以上將公司的WACC轉換成project 的WACC,煩。 另一種方法,假設所有的資金都是從權益資金而來,像計算權益資金成本方式 *來計算k 。 *all-equity cost of capital k — if it were all-equity financed-that is , with no debt. **k = r + β (r-r) fmf *where β is the all-equity beta *ex. β =1.15 , r = 13% , r =21% fm * 實際上,估計β很困難。參考公司的股價beta, β e βe乃此公司在當前資本結構(Current capital structure)的系統風險,所以 βe*β = 1+(1-t) D/E 此過程稱為「非槓桿化(unlevering)」,即將a levered equity beta 轉換成 國財10-4 unlevered 或all-equity value。 *ex. β =1.1 , D/E = 0.6 , t= 35% , β = ? e D. Establishing A Worldwide Capital Structure 子公司沒有獨立的資本結構,除非母公司允許子公司違約default 子公司的資本結構 I. 100% Parent Financed II. 100% Parent Financed $100 D = $50 $100 D = $100 E = $50 E = 0 D/E = 1:1 D/E = ? III. 100% Parent Financed . IV 100% Bank Financed $100 D = $ 0 $100 D = $100 E = $100 E = 0 D/E = 0 D/E = ? Consolidated Parent Balance Sheet Before Foreign Invest After Foreign Invest I. II. III IV $1000 D = $300 $1000 D = $400 $1000 D = $400 E = $700 $ 100 E = $700 $ 100 E = $700 D/E = 3:7 D/E = 4:7 D/E = 4:7 子公司的資本結構和資金來源有關 Equity Debt 子 母 本、利息 股利 國財10-5 本、利息 loan loan bank 本.利 國財10-6