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1、Risk,CostofCapital,andCapitalBudgetingKeyConceptsandSkillsKnowhowtodetermineafirm’scostofequitycapitalUnderstandtheimpactofbetaindeterminingthefirm’scostofequitycapitalKnowhowtodeterminethefirm’soverallcostofcapitalUnderstandhowtheliquidityofafirm’sstockaffectsitscostofcapitalCha
2、pterOutline12.1TheCostofEquityCapital12.2EstimationofBeta12.3DeterminantsofBeta12.4ExtensionsoftheBasicModel12.5EstimatingEastmanChemical’sCostofCapital12.6ReducingtheCostofCapitalWhereDoWeStand?Earlierchaptersoncapitalbudgetingfocusedontheappropriatesizeandtimingofcashflows.This
3、chapterdiscussestheappropriatediscountratewhencashflowsarerisky.Investinproject12.1TheCostofEquityCapitalFirmwith excesscashShareholder’sTerminalValuePaycashdividendShareholderinvestsinfinancialassetBecausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturn
4、onacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.AfirmwithexcesscashcaneitherpayadividendormakeacapitalinvestmentTheCostofEquityCapitalFromthefirm’sperspective,theexpectedreturnistheCostofEquityCapital:Toestimateafirm’scostofeq
5、uitycapital,weneedtoknowthreethings:Therisk-freerate,RFThemarketriskpremium,Thecompanybeta,ExampleSupposethestockofStansfieldEnterprises,apublisherofPowerPointpresentations,hasabetaof2.5.Thefirmis100%equityfinanced.Assumearisk-freerateof5%andamarketriskpremiumof10%.Whatistheappro
6、priatediscountrateforanexpansionofthisfirm?ExampleSupposeStansfieldEnterprisesisevaluatingthefollowingindependentprojects.Eachcosts$100andlastsoneyear.ProjectProjectbProject’sEstimatedCashFlowsNextYearIRRNPVat30%A2.5$15050%$15.38B2.5$13030%$0C2.5$11010%-$15.38UsingtheSMLAnall-equ
7、ityfirmshouldacceptprojectswhoseIRRsexceedthecostofequitycapitalandrejectprojectswhoseIRRsfallshortofthecostofcapital.ProjectIRRFirm’srisk(beta)5%GoodprojectBadproject30%2.5ABC12.2EstimationofBetaMarketPortfolio-Portfolioofallassetsintheeconomy.Inpractice,abroadstockmarketindex,s
8、uchastheS&PComposite,isusedtorepresentth
