資本結構最佳化理論：台積電個案研究

Abstract

財務理論下資本結構最佳化的探討重點在於公司管理當局能否在既定的成長、市占率，獲利能力下找到最適的財務指標來調整公司的資本結構，使公司未來的成長性及股東的財富極大化。然而在實務上個別公司欲找出最適資本結構並非易事。由於近來高科技業成長趨緩，以台積電為例，過去三年的盈收成長小於15%，其主要大股東飛利浦亦宣佈全面出清台積電的持股。此外，2008年員工分紅費用化及2009年促進產業升級條例取消，將使得台積電的營運成本增加且公司所得稅率上升。為提昇經營績效和維持股東權益報酬率，台積電管理階層面臨資本重置及資本結構的最佳化的問題，進而激發了本研究之動機形成。 因此本研究從傳統資本結構理論出發，以加權資金成本(Rwacc)、市價帳面價值比P/B ratio (market to book value ratio) 及成長機會現值PVGO(Present Value Growth Opportunity) 為公司的價值指標推導出PVGO資本結構模型(PVGO model)，並證明在PVGO極大化的情況下，個別公司應存在一最適資本結構，而且其最適資產負債比與市場無風險利率、公司的風險溢酬、舉債的資金成本率、未舉債的貝他值及盈餘保留再投資比例等決策變數相關。實務上，本研究使用此PVGO資本結構模型並且以蒙地卡羅實際模擬台積電之最適資本結構，同時探討台積電之資本結構及公司價值之關係。 依據本研究之模擬結果，現行台積電之最適財務槓桿與本模型之蒙地卡羅模擬結果一致，可見此模式對時況的描述具相當程度之適用性。面對未來員工分紅費用化及促進產業升級條例取消，將使得台積電的營運成本增加且公司所得稅率上升。本研究進一步預測台積電未來三年的財務模型，並依據本模型之蒙地卡羅模擬之結論為:台積電未來應當提高資產負債比以提昇公司價值，並建議台積電除了用保留盈餘來買回庫藏股外，應當融資並買回庫藏股，如此可以在公司總資產減少的情況下，調整最適資本結構。 最後，並希望藉本文之結論提供企業管理者調整資本結構及股權政策之參考。

In financial theories, the focus of Optimal Capital Structure is to examine whether the corporate management, subject to the existing growth rate, market share, and profitability, can identify the most appropriate financial indicators to adjust company’s capital structure so as to maximize the company’s future growth and the wealth of its shareholders. In practice, however, it is not an easy task for any organization to make out the most appropriate capital structure. Lately, high technology industries experienced a slowdown in growth rate. Take TSMC for example. The profit growth rate for the past 3 years has been lesser than 15%; its major shareholder, Philip, also cleared all the TSMC’s shares it held. Along with the implementation of employees’ bonus recognized as costs in 2008 and the cancellation of Statute for Upgrading Industries in 2009, all these factors will result in the increase of the operating cost and income tax of TSMC. To bolster business performance and maintain the return rate of common shareholders’ equity, TSMC is facing with the challenges of capital replacement and structuring. This has inspired me to probe into the problems of related studies. Based upon traditional capital structure theory, I use Rwacc, Market to book value ratio, and PVGO as the company’s value indexes to obtain the PVGO model of the capital structure. I also prove that when PVGO is maximized, a company should have a capital structure to fit itself the most, and the most appropriate Asset to Liability ratio is correlated with the decision variables such as market risk-free ratio, company’s risk premium, capital cost of leverage, unlevered Beta value, and the ratio of retained capital for investment. In practice, this research applies PVGO capital structure model and Monte Carlo Method to simulate the most appropriate capital structure for TSMC, and at the same time to explore the relation between the capital structure and the company value. According to the result of this study, I found TSMC’s existing Optimal Financial Leverage is consistent with the result of Monte Carlo Simulation, which testifies the feasibility of this model describing the present status. With the implementation of employees’ bonus recognized as costs in 2008 and the cancellation of Statute for Upgrading Industries in 2009, TSMC will have to face the impacts of increased operating costs and income tax. This study also speculates the financial model of TSMC in upcoming 3 years. Based upon Monte Carlo Simulation of this model, the conclusion of this study is as follows: In the future, TSMC should increase Asset to Liability Ratio so as to upgrade the company’s value. It is also proposed that in addition to retained earnings, TSMC should also finance funds to purchase treasury stocks. By reducing the company’s total asset, TSMC would come to the most appropriate capital structure. Finally, I hope this paper would serve as a reference for the management when adjusting capital structure and equity policy.