سیاست تقسیم سود بهینه، سیاست بدهی و سطح سرمایه گذاری در چارچوب DCF چند دوره ای
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26160||2011||20 صفحه PDF||سفارش دهید||13660 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Pacific-Basin Finance Journal, Volume 19, Issue 1, January 2011, Pages 21–40
This paper simultaneously analyses optimal dividend, debt and investment policy within a conventional multi-period DCF framework, and takes account of differential personal taxation over both investors and types of income, the effect of dividends and interest on the level of share issues and hence share issue costs, and the effect of dividends and interest on the level of internally-financed investment. Application of the model to three distinct tax regimes reveals that the value benefit from debt is small at best whilst the value benefit from dividends is substantial even in a regime without dividend imputation.
Consideration of optimal dividend policy and capital structure commences with Modigliani and Miller, 1958, Modigliani and Miller, 1961 and Modigliani and Miller, 1963, who show (separately) that debt is desirable and that dividends are irrelevant to a firm's value if (inter alia) all forms of personal income are equally taxed. DeAngelo and Masulis (1980a) extend this analysis to recognise personal tax rates that vary over both investors and sources of income; they also simultaneously consider optimal debt policy, which is desirable because dividends and interest are alternative means for disbursing internally-generated cash flow to investors. They conclude that debt is irrelevant but dividends may be relevant to a firm's value. Fung and Theobald (1984) extend this analysis to dividend imputation systems. However, both of the latter two papers treat “internally-financed” investment (i.e., that which is internally-financed and would not otherwise have been undertaken) as having zero NPV, and they ignore the implications of dividends for the level of share issues with their associated issue costs. In addition, the analysis in both papers is single rather than multi-period, and invokes a state-preference approach rather than a risk-adjusted discount rate. Whilst these last two features are useful for the purpose of assessing issues at an abstract level, the first of them is considerably less realistic, and the second considerably more difficult to implement, than the multi-period DCF framework that is generally employed for capital budgeting decisions. Masulis and Trueman (1988) also recognise personal tax rates differing over both investors and types of income and, unlike the previous papers, recognise that “internally-financed” investment may not have zero NPV. Boyle (1996) extends this analysis to tax regimes with dividend imputation. However, the analysis in both papers does not simultaneously consider debt policy nor does it take account of the implications of dividends for the level of share issues with their associated issue costs. In addition, as with DeAngelo and Masulis, 1980a and Fung and Theobald, 1984, the analysis is single rather than multi-period, and invokes a state-preference approach rather than a risk-adjusted discount rate. In a related paper focusing upon the tax benefits of debt and recognising that the corporate tax deduction on interest is not always usable or immediately usable, Graham (2000) concludes that significant levels of debt appear to be optimal for tax reasons and add significantly to firm value. However, he does not simultaneously optimise dividend policy and he assumes that dividends are paid in the conventional form rather than in the tax-preferred form of share repurchases (ibid, p. 1912). Green and Hollifield (2003) overcome many of the limitations in this earlier work. In particular, they simultaneously optimise debt and dividend policy for a given level of “externally-financed” investment (investment that is viable even if it is externally-financed), they recognise differential personal taxation over different types of income (but not investors), they recognise that “internally-financed” investment may not have zero NPV, their model is of the multi-period DCF form, and they recognise the bankruptcy costs arising from debt.1 Furthermore, their model dynamically accounts for investors' exercise of the deferral option relating to the payment of capital gains tax and also dynamically accounts for the firm's exercise of the bankruptcy option (with associated bankruptcy costs). However these last two features of the model are inconsistent with the conventional DCF framework that is generally employed for evaluating “externally-financed” investment projects, in which bankruptcy costs are recognised ex-ante through the cost of debt, and there is typically no allowance for differential taxation of interest, dividends and capital gains, let alone allowance for the deferral option in respect of capital gains tax. 2 The use of one model of firm value for the purposes of optimising debt and dividend policy (and therefore the level of “internally-financed” investment), and a different model for optimising the level of “externally-financed” investment is unsatisfactory, because it effectively evaluates two types of investment using different methodologies and because the output from the first optimisation exercise ought to be incorporated into the second one. In view of these points, this paper seeks to develop a valuation model for the purposes of simultaneously optimising the level of debt, the level and type of dividends, and the level of “externally-financed” investment. The model must recognise significant real-world features that are relevant to optimising each of these policies and must also be readily amenable to implementation. The essential features of the model are as follows. Firstly, consistent with standard practice in evaluating investment projects, the model is of the multi-period DCF form with a risk-adjusted discount rate of the WACC form, and therefore allows for bankruptcy costs ex-ante through the cost of debt.3 Secondly, consistent with the importance of personal taxes to optimal debt and dividend policy, the model recognises that tax rates on personal income differ across both investors and forms of income, allows for the deferral option on capital gains tax by reducing the effective tax rate, and considers both classical and dividend imputation tax systems.4 Thirdly, the model recognises that the level of dividends and interest affects the need for share issues, with their associated share issue costs (which discourages dividends and interest beyond the point at which share issues are induced). Fourthly, the model recognises that the level of dividends and interest affects the level of “internally-financed” investment, which may have negative NPV (and which encourages dividends and interest up to point at which such investment is avoided). Clearly, there are other aspects of debt and dividend policy that are not readily capable of being incorporated into this analysis, most particularly relating to agency issues and asymmetric information. So, our results are subject to that caveat. The paper commences by optimising dividend and debt policy for a given level of “externally-financed” investment, and then goes on to consider the implications of optimal debt and dividend policy for the level of such investment.
نتیجه گیری انگلیسی
This paper has simultaneously analysed optimal dividend policy, debt policy and the level of “externally-financed” investment within a multi-period DCF framework, and allows for differential personal taxation over both investors and types of income, the effect of dividends and interest on the level of share issues (and hence share issue costs), and the effect of dividends and interest on the level of “internally-financed” investment (with possibly negative NPV). Furthermore, examples of both classical and imputation tax regimes have been considered. In the classical tax regime considered here, corresponding to the US, debt generates a tax benefit and some level of it is optimal (depending upon the size of the debt premium and the tax benefit) in conjunction with residual dividends paid only in the form of share repurchases. Across a range of possible values for the debt premium and the average tax rate on interest, and relative to zero dividends and debt, the valuation gain from optimal debt and dividend policy is about 10% of firm value, with about 80% of this coming from optimal dividend policy. This significant value benefit from paying residual dividends arises from thereby avoiding “internally-financed” investments (with negative NPV). The small benefit from optimal debt policy occurs in spite of the fact that the optimal leverage averages 25% across the cases examined here. In the first of the imputation tax regimes considered here, corresponding to the current New Zealand regime, conventional unimputed dividends are not desirable and both fully imputed dividends and dividends in the form of share repurchases are neutral so long as they do not induce additional share issues. In addition, debt is no longer desirable because the net tax effect is now zero and the debt premium effect is adverse. In the second of the imputation tax regimes considered here, corresponding to New Zealand prior to the recent reduction in the corporate tax rate and the introduction of the PIE tax regime, conventional unimputed dividends are always undesirable, dividends in the form of share repurchases are irrelevant so long as they do not give rise to additional share issues, and the optimal policy involves a choice between debt and the maximum level of fully imputed dividends with debt preferred only if imputation credits are at or very close to zero. Furthermore, if imputation credits are present, the value gain from paying the maximum level of fully imputed dividends could be as much as about 13% of the firm's value, whilst the value gain from debt if it is optimal to borrow is close to zero. The value benefit from paying fully imputed dividends (rather than retaining and investing the funds in zero NPV assets) arises from the resulting passing of imputation credits to investors, and is sufficiently large per $1 of dividend paid to warrant simultaneously paying fully imputed dividends and making share issues. Across the three tax regimes considered, two points stand out: debt contributes little or nothing to firm value whilst dividends in the optimal form may raise firm value by as much as 13%. Having optimised debt and dividend policy for a given level of “externally-financed” investment, the paper also explores the implications of optimal dividend and debt policy for the level of “externally-financed” investment. The paper shows that substitution of optimal debt and dividend policy for any other policy assumed in evaluating such investments may significantly raise their present value, leading to acceptance rather than rejection of some such investment projects.