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1、青岛大学专业文献翻译 题 目： 资本成本 公司财务和投资理论概论 学 院： 国际商学院 专 业： 2006级财务管理一班 姓 名： 刘东 指导教师： 李雪晖 2010年 4月 5 日 The cost of Capital ， Corporation finance and the theory of investment By FRANCO MODIGLIAN1 AND MERTON H。 MILLER* What is the cost of capital to a firm in a world in which funds are used to acquire assets who

2、se 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 pro-rata share in the uncertain venture。? This question has vexed at least three class

3、es 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

4、micro and macro levels。 In much of his formal analysis， the economic theorist at least has tended to side-step 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 con

5、cluded 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 investmnent to the point where the marginal yield on physical assets is equal to the market rate of interest。

6、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 incr

7、ease 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 t

8、o 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 cost if and only if the yield of the asset exceeds the rate of interest。 Note that， under

9、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

10、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

11、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 pro-vided， however， as to what deter

12、mines 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 t

13、he 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 syste

14、m 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。 A

15、t 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 deb

16、t 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 in

17、timately。 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 criteria-profit

18、maximization 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 t

19、o 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 meanin

20、g。 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 us

21、e of debt rather than equity funds to finance a given venture may well in-crease the expected return to the owners， but only at the cost of in-creased dispersion of the outcomes。 Under these conditions the profit outcomes of alternative investment and financing decisions can be compared and ranked o

22、nly 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 explicit

23、ly， 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 so

24、me 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 draw-backs for normative as well as analytical purposes。 How， for example， is management to ascertain the risk preferences of its st

25、ockholders 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? Fortuna

26、tely， these questions do not have to be answered； for the alter-native 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 financin

27、g plan must pass only the following test： Will the project， as financed， raise the market value of the firms 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 ow

28、ners， 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 a

29、ppreciation resulting from managements decision。The potential advantages of the market-value 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 e

30、ffect of financial structure on market valuations， and of how these effects can be inferred from objective market data。 It is with the development of such a theory and of its implications for the cost-of-capital problem that we shall be concerned in this paper。Our procedure will be to develop in Sec

31、tion 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 sec

32、tions 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 input

33、s 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。 Alt

34、hough 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。 For reasons of space， however， and because t

35、he material is of interest in its own right， the presentation of the general equilibrium model which rounds out the analysis must be deferred to a subsequent paper。 The Valuation of Securities， Leverage， and the Cost of Capital A。 The Capitalization Rate for Uncertain Streams As a starting point， co

36、nsider an economy in which all physical assets are owned by corporations。 For the moment， assume that these corporations can finance their assets by issuing common stock only； the introduction of bond issues， or their equivalent， as a source of corporate funds is postponed until the next part of thi

37、s section The physical assets held by each firm will yield to the owners of the firm-its stockholders-a stream of profits over time； but the elements of this series need not be constant and in any event are uncertain。 This stream of income， and hence the stream accruing to any share of common stock，

38、 will be regarded as extending indefinitely into the future。 We assume， however， that the mean value of the stream over time， or average profit per unit of time， is finite and represents a random variable subject to a (subjective) probability distribution。 We shall refer to the average value over ti

39、me of the stream accruing to a given share as the return of that share； and to the mathematical expectation of this average as the expected return of the share。 Although individual investors may have different views as to the shape of the probability distribution of the return of any share， we shall

40、 assume for simplicity that they are at least in agreement as to the expected return。 This way of characterizing uncertain streams merits brief comment。 Notice first that the stream is a stream of profits， not dividends。 As will become clear later， as long as management is presumed to be acting in t

41、he best interests of the stockholders， retained earnings can be regarded as equivalent to a fully subscribed， pre-emptive issue of common stock。 Hence， for present purposes， the division of the stream between cash dividends and retained earnings in any period is a mere detail。 Notice also that the u

42、ncertainty attaches to the mean value over time of the stream of profits and should not be confused with variability over time of the successive elements of the stream。 That variability and uncertainty are two totally different concepts should be clear from the fact that the elements of a stream can

43、 be variable even though known with certainty。 It can be shown， furthermore， that whether the elements of a stream are sure or uncertain， the effect of variability per se on the valuation of the stream is at best a second-order one which can safely be neglected for our purposes (and indeed most othe

44、rs too)。 The next assumption plays a strategic role in the rest of the analysis。 We shall assume that firms can be divided into equivalent return classes such that the return on the shares issued by any firm in any given class is proportional to (and hence perfectly correlated with) the return on th

45、e shares issued by any other firm in the same class。 This assumption implies that the various shares within the same class differ， at most， by a scale factor。 Accordingly， if we adjust for the difference in scale， by taking the ratio of the return to the expected return， the probability distribution

46、 of that ratio is identical for all shares in the class。 It follows that all relevant properties of a share are uniquely characterized by specifying (1) the class to which it belongs and (2) its expected return。The significance of this assumption is that it permits us to classify firms into groups w

47、ithin which the shares of different firms are homogeneous， that is， perfect substitutes for one another。 We have， thus， an analogue to the familiar concept of the industry in which it is the commodity produced by the firms that is taken as homogeneous。 To complete this analogy with Marshallian price

48、 theory， we shall assume in the analysis to follow that the shares concerned are traded in perfect markets under conditions of atomistic competition。 From our definition of homogeneous classes of stock it follows that in equilibrium in a perfect capital market the price per dollars worth of expected return must be the same for all shares of any given class。 Or， equivalently， in any given class the price of every share must be proportional to its expected return。 Let us denote this factor of proportionality for any class， say the kth class， by l/