Tải bản đầy đủ

Adjusted Present Value (APV) Approach Valuation

Adjusted Present Value (APV)
Approach
Valuation: 중앙대학교 경영학부 박창헌 교수


The Adjusted Present Value Approach
Firm Valuation: The Adjusted Present Value Approach
 The adjusted present value (APV) approach is the one to firm
valuation in which the entire firm is valued by adding the
marginal impact of debt on value to the unlevered firm value.
 In the process of looking at firm valuation, we also look at how
leverage may or may not affect firm value. We note that in the
presence of default risk, taxes, and agency costs, increasing
leverage can sometimes increase firm value and sometimes
decrease it. In fact, we argue that the optimal financing mix for a
firm is the one that maximizes firm value.

1


The Adjusted Present Value Approach


2


The Value of the Unlevered Firm

3


The Present Value of Tax Benefits

4


The Present Value of Expected Bankruptcy Costs

5


Credit Ratings by Agencies, Compared

6


Credit Ratings Explained

http:// www.interest.co.nz

7


Example: Sovereign Debt Ratings

Rating Agencies, c. Dec. 2014
http://blog.thomsonreuters.com/index.php/tag/credit-ratings/

8


Estimating the Probability of Bankruptcy

There are two basic ways in
which the probability of
bankruptcy can be estimated
indirectly. One is to estimate a
bond rating and use the
empirical estimates of default
probabilities for the rating.
For instance, Table 15.2,
extracted from a study by
Altman, summarizes the
probability of default over 10
years by bond rating class in
using the 1999 to 2008 time
period.6

9


(Supplement) Altman (1968)’s Original Z-Score

10


Estimating the Probability of Bankruptcy

*See next slides for Warner’s study.
※The direct costs are the legal and liquidation costs of dissolving or reorganizing a
business, such as costs to hire accountants, lawyers, investment bankers.
11


(Supplement) Bankruptcy Costs
Findings from Jerold B. Warner (1977). "Bankruptcy Costs:
Some Evidence," The Journal of Finance, 32 (May 1977)

12


(Supplement) Bankruptcy Costs

Source: Warner (1977)

13


(Supplement) Bankruptcy Costs

Source: Warner (1977)

14


(Supplement) Bankruptcy Costs

※The World Bank's Doing Business Report (2008) finds that in the United
States, the direct cost is approximately 7% of the assets of the firm. - Lee et al.
(2010)
Source: Warner (1977)

15


Example: Value of a Leveraged Deal

16


Example: Value of a Leveraged Deal

17


Example: Value of a Leveraged Deal

18


Example: Value of a Leveraged Deal

19


APV without Bankruptcy Costs

20


Cost of Capital [FCFF] vs. APV Approach

21


Cost of Capital [FCFF] vs. APV Approach

22


The Effect of Leverage on Firm Value

23


The Effect of Leverage on Firm Value

24


x

Tài liệu bạn tìm kiếm đã sẵn sàng tải về

Tải bản đầy đủ ngay

×