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Tututu · 2024年10月18日

AB分别错在哪里

  1. CFA I
  2. Corporate Issuers

NO.PZ2023090507000014

问题如下：

MM Proposition II without taxes differs from MM Proposition I without taxes since it concludes that:

选项：

A.

WACC is unaffected by capital structure.

B.

the value of the levered firm is equal to that of the unlevered firm.

C.

higher leverage raises the cost of equity, which exactly offsets the lower cost of debt.

解释：

C is correct.

MM Proposition II without taxes differs from MM Proposition I without taxes in that the cost of equity will rise with leverage and completely offset the lower cost of debt. Debt has a lower cost relative to equity because debtholders have a priority claim on the cash flow of the firm. So, one would expect WACC to decline with more debt. MM Proposition II without taxes argues that the cost of equity is a linear function of the debt-to-equity ratio. The addition of more low-cost debt to the capital structure will increase the debt-to-equity ratio and raise the cost of equity, offsetting the lower debt cost. As a result, the firm’s WACC is unchanged.

AB分别错在哪里

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1 个答案

Kiko_品职助教 · 2024年10月18日

嗨，努力学习的PZer你好：


这道题其实考查的是 MM 无税的两个推论的结论。题目问：在无税的前提下，MM 推论 2 与 推论 1 不同，其结论是什么？

推论 1 研究的是企业价值

推论 2 研究的是资本成本 cost of equity，也就是需要咱们掌握计算的 re 的公式

三个选项中，选项 C 可以看成是公式的定性表达


不选 A 是因为，其实两个推论，都可以推导出 WACC 不变的结论，所以选项 A 可以看成是两个推论，相同的部分。但是题目问的是，推论 2 相比推论 1 的不同之处，所以找到涉及关键词 cost of equity 的选项即可。


不选 B，是因为其讨论的主题，并不是资本成本 cost of equity，而是企业价值 VL = VU，这是推论 1 的结论，并不是推论 2 的结论哈

也请参考基础班讲义墨迹版 P346

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