STRUKTUR
PERMODALAN
0
Struktur Permodalan
Bagaimana kita
ingin mendanai
perusahaan?
Utang
Saham Preferens
Saham Biasa
Mengapa Struktur Permodalan Penting?
• 1) Leverage: pada tingkat imbalan investasi
sama, makin tinggi penggunaan utang makin
tinggi imbalan pemegang saham, tetapi berisiko
lebih tinggi dalam hal pembayaran bunga.
• 2) Biaya Modal: setiap sumber dana
membebankan biaya berbeda, maka struktur
permodalan mempengaruhi biaya modal.
• Struktur Modal Optimal: adalah komposisi yang
meminimumkan biaya modal dan
memaksimumkan nilai perusahaan.
2
Hipotesis
• Oleh karena nilai perusahaan didefinisikan sebagai
penjumlahan nilai utang dan modal perusahaan, atau
• V=B+S
Jika tujuan keuangan perusahaan
adalah memaksimumkan nilai
perusahaan, maka perusahaan
harus memilih rasio utang/modal
yang memaksimumkan besar
“kue” perusahaan.
S
B
Nilai Perusahaan, V
3
Utang, Laba dan Imbalan
Misalkan suatu perusahaan tak berutang
mempertimbangkan untuk berutang
Aktiva
Utang
Modal
Rasio Utang/Modal
Suku bunga
Saham beredar
Harga per lembar
Current
$20,000
$0
$20,000
0.00
n/a
400
$50
Usulan
$20,000
$8,000
$12,000
2/3
8%
240
$50
4
EPS dan ROE dibawah Struktur Modal
Sekarang
EBIT
Interest
Net income
EPS
ROA
ROE
Recession
$1,000
0
$1,000
$2.50
5%
5%
Normal
$2,000
0
$2,000
$5.00
10%
10%
Booming
$3,000
0
$3,000
$7.50
15%
15%
Current Shares Outstanding = 400 shares
5
EPS dan ROE dibawah Struktur Modal
Usulan
EBIT
Interest
Net income
EPS
ROA
ROE
Recession
$1,000
640
$360
$1.50
5%
3%
Normal
$2,000
640
$1,360
$5.67
10%
11%
Booming
$3,000
640
$2,360
$9.83
15%
20%
Proposed Shares Outstanding = 240 shares
6
Perbandingan EPS
and
ROE
All-Equity
Recession
Normal
EBIT
$1,000
$2,000
Interest
0
0
Net income
$1,000
$2,000
EPS
$2.50
$5.00
ROA
5%
10%
ROE
5%
10%
Current Shares Outstanding = 400 shares
EBIT
Interest
Net income
EPS
ROA
ROE
Levered
Recession
$1,000
640
$360
$1.50
5%
3%
Proposed Shares Outstanding = 240 shares
Normal
$2,000
640
$1,360
$5.67
10%
11%
Booming
$3,000
0
$3,000
$7.50
15%
15%
Booming
$3,000
640
$2,360
$9.83
15%
20%
7
Tingkat Utang dan EPS
12.00
Debt
10.00
EPS
8.00
6.00
4.00
No Debt
Advantage
to debt
Break-even
point
2.00
0.00
1,000
(2.00)
Disadvantage
to debt
2,000
3,000
EBIT
EBI in dollars, no taxes
8
Model Modigliani-Miller: Asumsi
•
•
•
•
Homogeneous Expectations
Homogeneous Business Risk Classes
Perpetual Cash Flows
Perfect Capital Markets:
–
–
–
–
–
Perfect competition
Firms and investors can borrow/lend at the same rate
Equal access to all relevant information
No transaction costs
No taxes
9
The MM Propositions I & II (No Taxes)
• Proposition I
– Firm value is not affected by leverage
VL = VU
• Proposition II
– Leverage increases the risk and return to stockholders
rs = r0 + (B / SL) (r0 - rB)
rB is the interest rate (cost of debt)
rs is the return on (levered) equity (cost of equity)
r0 is the return on unlevered equity (cost of capital)
B is the value of debt
SL is the value of levered equity
10
The MM Proposition I (No Taxes)
The derivation is straightforward:
Shareholde rs in a levered firm receive
Bondholder s receive
EBIT  rB B
rB B
Thus, the total cash flow to all stakeholde rs is
( EBIT  rB B)  rB B
The present value of this stream of cash flows is VL
Clearly
( EBIT  rB B)  rB B  EBIT
The present value of this stream of cash flows is VU
VL  VU
11
The MM Proposition II (No Taxes)
The derivation is straightforward:
B
S
rW ACC 
 rB 
 rS
BS
BS
B
S
 rB 
 rS  r0
BS
BS
Then set rWACC  r0
BS
multiply both sides by
S
BS
B
BS
S
BS

 rB 

 rS 
r0
S
BS
S
BS
S
B
BS
 rB  rS 
r0
S
S
B
B
 rB  rS  r0  r0
S
S
B
rS  r0  (r0  rB )
S
12
Cost of capital: r (%)
The Cost of Equity, the Cost of Debt, and the Weighted
Average Cost of Capital: MM Proposition II with No
Corporate Taxes
r0
rS  r0 
rW ACC 
B
 (r0  rB )
SL
B
S
 rB 
 rS
BS
BS
rB
rB
Debt-to-equity Ratio B
S
13
Contoh
Assume rassets is 9% and the cost of debt be 6%.
L = B/S
0.00
Equity
9.00
WACC
9.00
14
Example
Assume rassets is 9% and the cost of debt be 6%.
Cost of
L = B/S
0.00
0.50
Equity
9.00
10.50
WACC
9.00
9.00
15
Example
IT’S IRRELEVANT
Assume rassets is 9% and the cost of debt be 6%.
Cost of
L = B/S
0.00
0.50
1.00
1.50
2.00
3.00
Equity
9.00
10.50
12.00
13.50
15.00
18.00
WACC
9.00
9.00
9.00
9.00
9.00
9.00
With no taxes the WACC is the same regardless of
leverage. Since we assumed that operating cash flows
were also unaffected, firm value is unaffected by leverage
16
The MM Propositions I & II (with
Corporate Taxes)
• Proposition I (with Corporate Taxes)
– Firm value increases with leverage
VL = VU + TC B
• Proposition II (with Corporate Taxes)
– Some of the increase in equity risk and return is offset
by interest tax shield
rS = r0 + (B/S)×(1-TC)×(r0 - rB)
rB is the interest rate (cost of debt)
rS is the return on equity (cost of equity)
r0 is the return on unlevered equity (cost of capital)
B is the value of debt
S is the value of levered equity
17
The MM Proposition I (Corp. Taxes)
Shareholde rs in a levered firm receive Bondholder s receive
( EBIT  rB B)  (1  TC )
rB B
Thus, the total cash flow to all stakeholde rs is
( EBIT  rB B)  (1  TC )  rB B
The present value of this stream of cash flows is VL
Clearly ( EBIT  rB B)  (1  TC )  rB B 
 EBIT  (1  TC )  rB B  (1  TC )  rB B
 EBIT  (1  TC )  rB B  rB BTC  rB B
The present value of the first term is VU
The present value of the second term is TCB
VL  VU  TC B
18
The MM Proposition II (Corp. Taxes)
Start with M&M Proposition I with taxes:
Since
VL  VU  TC B
VL  S  B  S  B  VU  TC B
VU  S  B(1  TC )
The cash flows from each side of the balance sheet must equal:
SrS  BrB  VU r0  TC BrB
SrS  BrB  [S  B(1  TC )]r0  TC rB B
Divide both sides by S
rS 
B
B
B
rB  [1  (1  TC )]r0  TC rB
S
S
S
Which quickly reduces to
B
rS  r0   (1  TC )  (r0  rB )
19
S
The Effect of Financial Leverage on the Cost
of Debt and Equity Capital
Cost of capital: r
(%)
rS  r0 
B
 (1  TC )  (r0  rB )
SL
r0
rW ACC 
B
SL
 rB  (1  TC ) 
 rS
BSL
B  SL
rB
Debt-to-equity
ratio (B/S)
20
Total Cash Flow to Investors Under
Each Capital Structure with Corp. Taxes
All-equity firm
S
G
Levered firm
S
G
B
Perusahaan berutang membayar pajak kurang
dibandingkan dengan perusahaan tak berutang.
Akibatnya, jumlah nilai utang dan modal
perusahaan berutang menjadi lebih besar
daripada tak berutang.
21
Summary: No Taxes
• In a world of no taxes, the value of the firm is unaffected
by capital structure.
• This is M&M Proposition I:
VL = VU
• Prop I holds because shareholders can achieve any
pattern of payouts they desire with homemade leverage.
• In a world of no taxes, M&M Proposition II states that
B to stockholders
leverage increases the risk and return
rS  r0   (r0  rB )
SL
22
Summary: Taxes
• In a world of taxes, but no bankruptcy costs, the value of
the firm increases with leverage.
• This is M&M Proposition I:
VL = VU + TC B
• Prop I holds because shareholders can achieve any
pattern of payouts they desire with homemade leverage.
• In a world of taxes, M&M Proposition II states that
B to stockholders.
leverage increases the risk and return
rS  r0   (1  TC )  (r0  rB )
SL
23
Bankruptcy Costs
• So far, we have seen M&M suggest that financial
leverage does not matter, or imply that taxes cause
the optimal financial structure to be 100% debt.
• In the real world, most executives do not like a
capital structure of 100% debt because that is a state
known as “bankruptcy”.
• We will introduce the notion of a limit on the use of
debt: financial distress.
24
Review: Benefits of debt
• Tax advantage
– According to MM, the company should have as much
debt as possible
• Disciplining device
– If a company has a lot of cash, its managers become
complacent. They might start making wrong
investment decisions and divert cash flows to their
own benefits
• Should companies have near 100% of debt?
– Of course NO!
– Debt has its own costs! These costs depend on the
amount of debt
25
Costs of debt
• Direct Costs
– Legal and administrative costs (tend to be a small
percentage of firm value)
• Indirect Costs
– Impaired ability to conduct business (e.g., lost sales)
– Agency Costs
• Selfish strategy 1: Incentive to take large risks
• Selfish strategy 2: Incentive toward underinvestment
• Selfish Strategy 3: Milking the property
26
Agency theory
• An agency relationship exists whenever a
principal hires an agent to act on their
behalf
• Within a corporation, agency relationships
exist between:
– Shareholders and managers
– Shareholders and creditors
27
Shareholders versus managers
• Managers are naturally inclined to act in their
own best interests
• But the following factors affect managerial
behavior:
–
–
–
–
Managerial compensation plans
Direct intervention by shareholders
The threat of firing
The threat of takeover
• As a managers’ disciplining device debt is good!
28
Shareholders versus creditors
• Shareholders (through managers) could
take actions to maximize stock price that
are detrimental to creditors
• Creditors take this into account, when
lending money
• Therefore, In the long run, such actions will
raise the cost of debt and ultimately lower
stock price
29
Capital structure and agency costs
• Distortions in investment strategies due to
shareholders/debtholders conflict
– Debt overhang problem:
• Pre-existing debt distorts the payoff from a new
project to shareholders
• Results in underinvestment, because existing debt
precludes from undertaking a good project)
– Asset substitution problem
• Results in investment into too risky projects
– Shortsighted investment
– Reluctance to liquidate when liquidation is
optimal
30
Agency cost of debt
• Debtholders know about shareholders
opportunistic behavior
• They require higher interest rate
• Positive NPV projects are not undertaken this is called the “agency cost of debt”
• Possible remedy - convertible debt
– Convertible debt gives creditors the right to
convert debt into shares to reap the benefits
from a good outcome
31
Mitigating incentive problems
• Covenants
• Issuing more short-term than long-term
debt
– Potential problem - higher exposure to interest
rate risk
• Use of convertible bonds
• Giving right incentives to the managers
32
Value of Stock
MM result
Actual
No leverage
0
D1
D2
D/V
33
%
15
0
Cost of capital and EPS
ks
WACC
kd(1 – T)
.25
.50
.75
D/V
$
P0
EPS
.25
.50
D/V
34
Signaling
• Signal is a message credibly conveying
information from informed to uninformed
players
– It is credible
• if it is in the player’s interest to tell the truth
• it is too costly to mimic (to lie) by others
35
Capital structure and signaling
• Assumptions:
• Managers have better information about a firm’s
long-run value than outside investors
• Managers act in the best interests of current
stockholders
• Managers can be expected to:
– Issue stock if they think stock is overvalued
– Issue debt if they think stock is undervalued
– As a result, investors view a common stock
offering as a negative signal -- managers think
stock is overvalued
36
Capital structure and signaling (2)
• Signaling theory, suggests firms should use
less debt than MM suggest
• This unused debt capacity helps avoid stock
sales, which depress P0 because of signaling
effects
37
The Pecking-Order Theory
• Theory stating that firms prefer to issue
debt rather than equity if internal finance is
insufficient
– Rule 1: Use internal financing first
– Rule 2: Issue debt next, equity last
• According to the pecking-order theory:
– There is no target D/E ratio
– Profitable firms use less debt (they use selffinancing instead)
– Companies like financial slack
38
How Firms Establish Capital Structure?
• Most corporations have low D/V Ratios
• Changes in leverage affect firm Value
– Stock price increases with increases in leverage and
vice-versa; this is consistent with M&M with taxes
– Another interpretation is that firms signal good
news when they lever up
• Capital structure varies across Industries
• There is some evidence that firms behave as if
they had a target D/E ratio
39
Factors in Target D/E Ratio
• Taxes
– If corporate tax rates are higher than bondholder tax
rates, there is an advantage to debt
• Types of assets
– The costs of financial distress depend on the types of
assets the firm has
• Uncertainty of operating Income
– Even without debt, firms with uncertain operating
income have high probability of experiencing financial
distress
• Pecking order and financial slack
– Theory stating that firms prefer to issue debt rather
than equity if internal finance is insufficient
40
Long-term debt ratios (D/V) for
selected industries
Industry
Pharmaceuticals
Computers
Steel
Aerospace
Airlines
Electr. Utilities
Auto & Truck
Internet
Educational services
Book
27.4%
24.75%
32.88%
46.32%
71.88%
61.74%
81.52%
18.57%
12.97%
Market
7.34%
7.46%
14.61%
23.25%
32.86%
47.71%
65.51%
2.18%
2.24%
Source: Bloomberg, January 2005 (collected
by Aswath Damodaran (NYU))
41
Summary and Conclusions
• Costs of financial distress cause firms to restrain
their issuance of debt
– Direct costs
• Lawyers’ and accountants’ fees
– Indirect Costs
•
•
•
•
Impaired ability to conduct business
Incentives to take on risky projects
Incentives to underinvest
Incentive to milk the property
• Three techniques to reduce these costs are:
– Protective covenants
– Repurchase of debt prior to bankruptcy
– Consolidation of debt
42
Summary and Conclusions
• Because costs of financial distress can be
reduced but not eliminated, firms will not
finance entirely with debt
Value of firm (V)
Present value of tax
shield on debt
Maximum
firm value
0
Value of firm under
MM with corporate
taxes and debt
VL = VU + TCB
Present value of
financial distress costs
V = Actual value of firm
VU = Value of firm with no debt
B*
Optimal amount of debt
Debt (B)
43
Summary and Conclusions
• If distributions to equity holders are taxed at a lower effective
personal tax rate than interest, the tax advantage to debt at
the corporate level is partially offset. In fact, the corporate
advantage to debt is eliminated if (1-TC) × (1-TS) = (1-TB)
Value of firm (V)
Present value of
financial distress costs
Present value of tax
shield on debt
Value of firm under
MM with corporate
taxes and debt
VL = VU + TCB
VL < VU + TCB when TS < TB
but (1-TB) > (1-TC)×(1-TS)
Maximum
firm value
VU = Value of firm with no debt
V = Actual value of firm
Agency Cost of Equity
0
Agency Cost of Debt
B*
Optimal amount of debt
Debt (B)
44