Bài giảng Xác định giá trị doanh nghiệp: Chương 6 - TS. Nguyễn Ngọc Quang

Bài giảng "Xác định giá trị doanh nghiệp: Chương 6 - Chi phí vốn" cung cấp cho sinh viên các nội dung kiến thức về: Chi phí vốn và giá trị được tạo ra; chi phí vốn bình quân (WACC); mô hình CAPM; mô hình ATP. Mời các bạn cùng tham khảo!
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Bài giảng Xác định giá trị doanh nghiệp: Chương 6 - TS. Nguyễn Ngọc Quang CHƯƠNG 6: CHI PHÍ VỐN1. Chi phí vốn và giá trị được tạo ra2. Chi phí vốn bình quân (WACC)4. Mô hình CAPM5. Mô hình ATP 861. Chi phí vốn và giá trị được tạo ra • A Risk must be rewarded • For usual claimants the hurdle rate on invested capital must exceed the return on capital employed 87 Capital Employed and Invested Capital ? Balance Sheet Liabilities & Operational Financing Assets Stockholder’s Equity (Capital employed) (Invested Capital)Current Assets : Current Liabilities : -Cash -Accounts Payable -Marketable Securities -Notes Payable Current Net cash -Accounts & Notes Receivable -Accrued Tax Working Capital [Long-term bank loans -Inventory - cash]Fixed Assets : Long-term Liabilities : -Equipment -Long-term bank loans -Building -Bonds Fixed Assets -Land Equity Stockholder’s Equity : Value Added when Return on Capital Employed > (Hurdle) Return on invested Capital 88 Hurdle Rate on Invested Capital = the Cost of CapitalCapital Employed Capital Invested CurrentWorking Capital Net cash Debt Cost kd Fixed Assets Equity Equity Cost ke Value is created when a company is able to get a return on its assets higher than its WACC2. Chi phí vốn bình quân - (WACC) The weighted average cost of capital• The weighted average cost of capital is the market-based weighted average of the after-tax cost of debt and cost of equity : WACC = D/V*kd (1 − Tm) + E/V*ke• where – D/V = Target level of debt to enterprise value using market-based values – E/V = Target level of equity to enterprise value using market-based values – kd = Cost of debt – ke = Cost of equity – Tm = Company’s marginal income tax rate 90 Value CreationValue Created = (Return On Investment - Cost of Capital) X Capital employed Dependent Upon : – Cost of Capital Spread – Duration oAmount of Capital Employed – f SpreadAlso called : Residual income Abnormal earnings (assuming that over the long term the firm is expected to earnits cost of capital (from all sources), any earnings in excess of the cost of capitalcan be termed abnormal earnings. An example of residual income• Axis Manufacturing Company (AMC) has total assets of €2,000,000 financed 50% with debt and 50% with equity capital. WACC = 12%. Net income for AMC can be determined as follows : EBIT € 200,000 Less : Interest Expense 70,000 Pre-Tax Income € 130,000 Income Tax Expense 39,000 Net Income € 91,000• What is it’s residual income ? One approach is to compute the cost of capital (in terms of currency), which we term a capital charge, and subtract this from net income, as follows : Capital Charge = Capital х Cost of Capital in % Cost of Capital = €2,000,000 х 12% = € 240,000 Net Income € 91,000 + €70,000 Capital Charge 240,000 Residual Income € (79,000) AMC did not earn enough to cover the cost of capital. As a result, it has negative residual income. ROCE (capital employed) and WACCOver the last 15 years, the largest European listed groups, registered spreads between0.1% (1994) and 3.9% (2006). In a nutshell, this is not impossible but very hard, even forthe most powerful groups, to achieve! 93 The Length of Value Creation PeriodSome companies have peak ROCEs that are very high but offer littlesustainability. Other companies have peak ROCEs near the cost of capital butcan generate excess returns over an extremely long period 94 Intel has twice sustained high ROCEs over the last 30 years ROCE measured as three- year rolling averageIn its early life, the company was a With a financial infusion from IBM, thepioneer in the computer chips (random company reinvented itself, creating the newaccess memory-RAM). Intel created value “brains” of the personal computer. Throughfor nearly 10 years, but the Japanese an informal partnershi ...