WACC и структура капитала

Средневзвешенная стоимость капитала WACC (Weighted Average Cost of Capital) — средневзвешенная стоимость всех источников капитала компании. WACC используется как ставка дисконтирования для оценки проектов и компании в целом. Понимание WACC и его компонентов критически важно для финансовых решений. WACC formula WACC = (E/V) × Re + (D/V) × Rd × (1-T). Где E = market value of equity, D = market value of debt, V = E + D (total capital), Re = cost of equity, Rd = cost of debt, T = tax rate. Intuition: WACC — это blended cost reflecting weights of each capital source. Debt cheaper (lower risk, tax shield), equity more expensive (residual claim, no tax benefit). Cost of debt (Rd) Observable: yield to maturity на company's bonds, или interest rate на bank loans. For rated companies, corporate bond yields of similar rating. Pre-tax vs after-tax: interest expense tax-deductible, creating tax shield. After-tax cost of debt = Rd × (1-T). This is the «true» cost после tax benefit. Example: company's bonds yield 6%, tax rate 25%. After-tax cost = 6% × (1-0.25) = 4.5%. Tax shield Tax shield = Interest × Tax Rate. Это reduction в taxes благодаря interest deductibility. Value of tax shield: present value of expected tax shields adds to firm value. This is benefit of debt financing. Limitations: tax shield valuable only if company has taxable income. Losses eliminate immediate benefit (though NOLs can carry forward). Weights: book vs market Market value weights: conceptually correct — reflects actual cost of raising new capital today. WACC should use market values. Book value weights: sometimes used когда market values unavailable или unstable. For debt, book often approximates market (если yields stable). Target weights: for forward-looking WACC, use target capital structure (management's intended mix), не current. WACC calculation example Company: Equity market value $800M, Debt market value $200M, Cost of equity 12%, Cost of debt 6%, Tax rate 25%. WACC = (800/1000) × 12% + (200/1000) × 6% × (1-0.25) = 0.80 × 12% + 0.20 × 4.5% = 9.6% + 0.9% = 10.5%. This 10.5% — discount rate for valuing firm's cash flows. Optimal capital structure Trade-off theory: optimal structure balances tax benefits of debt против costs of financial distress. Moderate leverage minimizes WACC, maximizes firm value. Tax benefit: more debt → lower WACC (debt cheaper). But excessive debt → increased probability of distress → higher costs. Financial distress costs: direct (legal, administrative) и indirect (lost sales, supplier reluctance, employee flight). These offset tax benefits at high leverage. Modigliani-Miller theorems MM Proposition I (no taxes): capital structure irrelevant для firm value. V = V_unlevered. Value depends on operating cash flows, not financing. MM Proposition II (no taxes): cost of equity increases with leverage (Re = Ru + (Ru - Rd) × D/E). Leverage creates risk for equity holders. With taxes: debt creates tax shield. V_levered = V_unlevered + PV(tax shield). Optimal structure → 100% debt (unrealistic). Practical implication: MM provides theoretical framework, но real-world factors (distress costs, agency costs, information asymmetry) create optimal interior solution. Pecking order theory Alternative view: companies prefer internal funds, then debt, then equity (last resort). Driven by information asymmetry — equity issuance signals overvaluation. Implication: no target capital structure. Financing follows needs. High leverage = limited internal funds, not optimization. Evidence: both theories have empirical support. Companies exhibit trade-off и pecking order behavior. Using WACC в valuation DCF: discount FCFF at WACC → Enterprise Value. Subtract debt, add cash → Equity Value. Consistency: FCFF available to all capital providers, WACC reflects cost of all capital. Match numerator и denominator. Project evaluation: use WACC as hurdle rate если project risk similar to company average. Adjust for project-specific risk если differs. WACC limitations Static assumption: WACC assumes constant capital structure. If structure changes, WACC changes. Single rate: WACC single discount rate для all cash flows. Но risk может vary by project, time period. Estimation uncertainty: cost of equity (CAPM inputs) uncertain. Small changes in assumptions → significant WACC changes. Practical tips Use target (not current) capital structure для forward-looking WACC. Sensitivity analysis: test valuation с different WACC assumptions. Present range of values. Cross-check: compare WACC to industry peers, historical returns. Outliers warrant investigation.