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6.

.

,
..., ,
,

2014



.

?

?



?

(trade-off theory)
?

?

M&M
showing what doesnt matter can also show, by implications, what does
Merton Miller

=
-
=
(operating income, OI)
-
(interest expense, I)
=
(earnings before tax, EBT)
- (income tax)
= (net income, NI)


:
-

, ,


(tax shield)

TS = I tC
TS = i D tC

TS tax shield
I interest expense -
()
i interest rate
D debt ( )

t C Corporate income tax rate

,


:
-
-


:
-


:
-

-
-

TS = i D tC

(perpetuity)


?

( )

i D tC i D tC
VTS =
=
= D tC
rD
i

(perpetuity)

- Value of tax shield-

- Required return on debt -

:
&M I


, ,
,

,

VL = Vu + t C D
Value of levered firm ,

Value of unlevered firm ,

D
E
WACC =
rD (1 - tC ) +
rE
D+E
D+E


:
.

(1 tC )(1 t E )
VL = VU + 1
D
1 tD

(1 tC )(1 t E )
1
1 tD
:





,



,



, :

(1 t D ) > (1 tC ) * (1 t E )

rD ( 1 - t C ) = rE

rD (1 t D ) = rE (1 t E )


:
,

(Graham,2003)

87 643 1980
1994 ., COMPUSTAT
9,7 %
, 13,2% (
)

- 4-7%

.



:
-
-
( )

, :
-
0
- (
)


-


-
.

,
.
:

(COFD)



/


-
-

()

:
-
-
-
:

, ,
(financial distress tax)

VL

PVCOFD

D/E

VL = Vu + tC D - PVCOFD

- Value of levered firm ,

- Value of unlevered firm ,


:
- ,
- ,
.



:
- (debt overhang) -
,
(asset substitution);
-

-
.





( )


M&M II
,
,
.

rE = rEU

D
+ ( rEU - rD ) ( 1 - t C )
E

Bottom up beta

L
U

levered
( ) ,

Beta unlevered
( ) ,

Beta

D debt
E equity

:
Bloomberg:

L
0 ,72
=
= 0 ,64
=
1 + ( 1 - tC ) D / E
1 + ( 1 - 0 ,22 ) 0 ,15

ul

D/E

re

rd

WACC

0,94

0,1

1,02

11,8%

6%

11,3%

0,86

0,2

1,00

11,7%

8%

10,7%

0,57

0,4

0,75

10,4%

8%

9,3%

0,57

1,1

1,07

12,1%

9%

9,5%

: http://pages.stern.nyu.edu/, finam.ru, Bloomberg,



,
:
-

- ( )
- ,

-

(TRADE-OFF THEORY):

(TRADE-OFF THEORY)

:
,

, :
-

(
)


:
(R&D)/sales, (Selling&General administrative
expense)/sales)

WACC

WACC = Wd Kd + We Ke

Wd
We
Kd (%)
Ke (%)

: C

, :
,

,
,


, ,




, :
,

,

,

,

()


,


( ):
-
-

:
-

-

:
WACC
V



I.
()

2. (i)
3. ( t)
4.
5.
6.
7.

(Interest
coverage ratio)


(
)
)

> 9.65

AAA

9,30%

0,30%

6.85-9.65

AA

9,70%

0,70%

6,65-6,85

A+

10,00%

1,00%

4,49-5,65

10,25%

1,25%

3,29-4,49

A-

10,50%

1,50%

2,76-3,29

BBB

11,00%

2,00%

2,18-2,76

BB

11,50%

2,50%

1,87-2,18

B+

12,00%

3,00%

1,57-1,87

13,00%

4,00%

1,27-1,57

B-

14,00%

5,00%

0,87-1,57

CCC

15,00%

6,00%

0,67-0,87

CC

16,50%

7,50%

0,25-0,67

18,00%

9,00%

< 0,25

21,00%

12,00%



10%

20% 30%

40%

50%

60% 70% 80%


Times interest earned

8,69

4,02 2,44

1,51

1,12

0,85 0,67 0,59



Funds coverage

9,31

3,94 2,14

1,08

0,63

0,32 0,11 0,01

Funds / total debt

0,90

0,41 0,25

0,15

0,09

0,05 0,02 0,00


debt ratio

()



40%
35%
30%
25%
20%
15%
10%
5%
0%
2005

2006

2007

2008

2009

2010

2011

2012

:

Rajan, Zingales, 1995
+ + +

Leveragei = + 1 (Tangible assets ) i + 2 ( Market to Book ratio) i +


+ 3 ln(Salesi ) + 4 ( Return on assets ) i + i
Leverage -
Tangible assets
Market to Book ratio
ln(Sales)
Return on assets (ROA) (
)


(ln assets)


:
:




: ()
,

,

, ,

, .


?
:
. ,
()
:

(
),
,


?
:
:
:

.
-
.
:

: ,
.
: .

:

:


(ln assets)

(-
)

(- )


():

:
:



( )

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