STRUKTUR PERMODALAN Budi Purwanto 0 Struktur Permodalan Bagaimana

STRUKTUR PERMODALAN Budi Purwanto 0

Struktur Permodalan Bagaimana kita ingin mendanai perusahaan?

Mengapa Struktur Permodalan Penting? n n n 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 n n Oleh karena nilai perusahaan didefinisikan sebagai penjumlahan nilai utang dan modal perusahaan, atau V=B+S Jika tujuan keuangan perusahaan S B adalah memaksimumkan nilai perusahaan, maka perusahaan harus memilih rasio utang/modal yang memaksimumkan besar “kue” perusahaan. Nilai Perusahaan, V 3

Utang, Laba dan Imbalan Misalkan suatu perusahaan tak berutang mempertimbangkan untuk berutang Current Aktiva $20, 000 Utang $0 Modal $20, 000 Rasio Utang/Modal Suku bunga n/a Saham beredar Harga per lembar 0. 00 400 $50 Usulan $20, 000 $8, 000 $12, 000 2/3 8% 240 $50 4

EPS dan ROE dibawah Struktur Modal Sekarang Recession Normal Booming EBIT $1, 000 $2, 000 $3, 000 Interest 0 0 0 Net income $1, 000 $2, 000 $3, 000 EPS $2. 50 $5. 00 $7. 50 ROA 5% 10% 15% ROE 5% 10% 15% Current Shares Outstanding = 400 shares 5

EPS dan ROE dibawah Struktur Modal Usulan Recession Normal Booming EBIT $1, 000 $2, 000 $3, 000 Interest 640 640 Net income $360 $1, 360 $2, 360 EPS $1. 50 $5. 67 $9. 83 ROA 5% 10% 15% ROE 3% 11% 20% Proposed Shares Outstanding = 240 shares 6

Perbandingan All-Equity EPS and ROE 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 Levered Booming EBIT $1, 000 $2, 000 Interest 640 Net income $360 EPS $1. 50 $5. 67 ROA 5% 10% ROE 3% 11% Recession $3, 000 640 $1, 360 $2, 360 $9. 83 15% 20% Booming $3, 000 0 $3, 000 $7. 50 15% Normal 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 n n Homogeneous Expectations Homogeneous Business Risk Classes Perpetual Cash Flows Perfect Capital Markets: n n n Perfect competition Firms and investors can borrow/lend at the same rate Equal access to all relevant information No transaction costs No taxes 9

n The MM Propositions I & II (No Taxes) Proposition I n n Firm value is not affected by leverage VL = VU Proposition II n Leverage increases the risk and return to stockholders r s = r 0 + ( B / SL ) ( r 0 - r B ) r. B is the interest rate (cost of debt) rs is the return on (levered) equity (cost of equity) r 0 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: The present value of this stream of cash flows is VL The present value of this stream of cash flows is VU 11

The MM Proposition II (No Taxes) The derivation is straightforward: 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 r 0 r. B Debt-to-equity Ratio 13

Contoh Assume rassets is 9% and the cost of debt be 6%. 14

Example Assume rassets is 9% and the cost of debt be 6%. 15

Example IT’S IRRELEVANT Assume rassets is 9% and the cost of debt be 6%. 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) n Proposition I (with Corporate Taxes) n Firm value increases with leverage VL = V U + T C B n Proposition II (with Corporate Taxes) n Some of the increase in equity risk and return is offset by interest tax shield r. S = r 0 + (B/S)×(1 -TC)×(r 0 - r. B) r. B is the interest rate (cost of debt) r. S is the return on equity (cost of equity) r 0 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) The present value of this stream of cash flows is VL The present value of the first term is VU The present value of the second term is TCB 18

The MM Proposition II (Corp. Taxes) Start with M&M Proposition I with taxes: Since The cash flows from each side of the balance sheet must equal: Divide both sides by S Which quickly reduces to 19

The Effect of Financial Leverage on the Cost of Debt and Equity Capital Cost of capital: r (%) r 0 r. B 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 n n In a world of no taxes, the value of the firm is unaffected by capital structure. This is M&M Proposition I: VL = VU n n 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 leverage increases the risk and return to stockholders 22

Summary: Taxes n n In a world of taxes, but no bankruptcy costs, the value of the firm increases with leverage. This is M&M Proposition I: VL = V U + T C B n n 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 leverage increases the risk and return to stockholders. 23

Bankruptcy Costs n n n 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 n Tax advantage n n Disciplining device n n According to MM, the company should have as much debt as possible 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? n n Of course NO! Debt has its own costs! These costs depend on the amount of debt 25

Costs of debt n Direct Costs n n Legal and administrative costs (tend to be a small percentage of firm value) Indirect Costs Impaired ability to conduct business (e. g. , lost sales) n Agency Costs n Selfish strategy 1: Incentive to take large risks n Selfish strategy 2: Incentive toward underinvestment n Selfish Strategy 3: Milking the property n 26

Agency theory n n 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 n Shareholders and creditors n 27

Shareholders versus managers n n Managers are naturally inclined to act in their own best interests But the following factors affect managerial behavior: Managerial compensation plans n Direct intervention by shareholders n The threat of firing n The threat of takeover n n As a managers’ disciplining device debt is good! 28

Shareholders versus creditors n n n 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 n Distortions in investment strategies due to shareholders/debtholders conflict n Debt overhang problem: Pre-existing debt distorts the payoff from a new project to shareholders n Results in underinvestment, because existing debt precludes from undertaking a good project) n n Asset substitution problem n Results in investment into too risky projects Shortsighted investment n Reluctance to liquidate when liquidation is optimal n 30

Agency cost of debt n n 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 n Convertible debt gives creditors the right to convert debt into shares to reap the 31 benefits from a good outcome

Mitigating incentive problems n n Covenants Issuing more short-term than long-term debt n n n 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 D 1 D 2 D/V 33

% 15 Cost of capital and EPS ks WACC kd(1 – T) 0 . 25 . 50 . 75 D/V $ P 0 EPS. 25 . 50 D/V 34

Signaling n Signal is a message credibly conveying information from informed to uninformed players n It is credible if it is in the player’s interest to tell the truth n it is too costly to mimic (to lie) by others n 35

Capital structure and signaling n Assumptions: Managers have better information about a firm’s long-run value than outside investors n Managers act in the best interests of current stockholders n n Managers can be expected to: Issue stock if they think stock is overvalued n Issue debt if they think stock is undervalued n As a result, investors view a common stock offering as a negative signal -- managers 36 think stock is overvalued n

Capital structure and signaling (2) n n Signaling theory, suggests firms should use less debt than MM suggest This unused debt capacity helps avoid stock sales, which depress P 0 because of signaling effects 37

The Pecking-Order Theory n Theory stating that firms prefer to issue debt rather than equity if internal finance is insufficient Rule 1: Use internal financing first n Rule 2: Issue debt next, equity last n n According to the pecking-order theory: There is no target D/E ratio n Profitable firms use less debt (they use self -financing instead) n Companies like financial slack n 38

How Firms Establish Capital Structure? n n 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 n Another interpretation is that firms signal good news when they lever up n n n 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 n Taxes n n Types of assets n n The costs of financial distress depend on the types of assets the firm has Uncertainty of operating Income n n If corporate tax rates are higher than bondholder tax rates, there is an advantage to debt Even without debt, firms with uncertain operating income have high probability of experiencing financial distress Pecking order and financial slack n 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 Book Market 27. 4% 7. 34% Computers 24. 75% 7. 46% Steel 32. 88% 14. 61% Aerospace 46. 32% 23. 25% Airlines 71. 88% 32. 86% Electr. Utilities 61. 74%2005 (collected Source: Bloomberg, January by Aswath Damodaran 47. 71% (NYU)) Auto & Truck 81. 52% 41

Summary and Conclusions n Costs of financial distress cause firms to restrain their issuance of debt n Direct costs n n Indirect Costs n n n Lawyers’ and accountants’ fees 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: n n n Protective covenants Repurchase of debt prior to bankruptcy Consolidation of debt 42

Summary and Conclusions n Because costs of financial distress can be reduced but not eliminated, firms will not finance entirely with debt Value of firm under Value of firm (V) Present value of tax shield on debt Maximum firm value 0 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

n 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 under Value of firm (V) Present value of financial distress costs Present value of tax shield on debt 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