Bi ging 16

C cu vn & nh hng l chn thu ca n vay

Phn tch ti chnh

Hc k xun MPP5- 2013
MPP 5
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Ni dung bi ging
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Khi nim: C cu vn n by ti chnh L chn thu ca n vay Chi ph vn ch s hu s.v Chi ph vn bnh qun trng s ng dng: nh hng ca c cu vn (v ca vic thay i c cu vn) ti: Gi tr doanh nghip Chi ph vn Chi ph vn ch s hu Tho lun Cch tip cn truyn thng Cch tip cn mi : Modigliani & Miller Cc l thuyt b sung

Khi nim
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C cu vn: t trng tng i ca vn ch s hu v n vay trong tng ngun vn Gi tr th trng ca doanh nghip = gi tr th trng ca vn ch s hu + Gi tr th trng ca cc khon n vay ( V = E + D) n by ti chnh: t l n so vi vn ch s hu ( D/E) rd : sut sinh li yu cu ca ch n re: sut sinh li yu cu ca CSH ROE: sut sinh li trn vn CSH

Gi nh ca Modigliani &Miller, 1958

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Th trng hon ho Thng tin cn xng Khng c chi ph giao dch Khng c thu thu nhp doanh nghip, khng c thu thu nhp c nhn Li sut vay v cho vay nh nhau, c hi tip cn ngun vn nh nhau (i vi c nhn hay doanh nghip) Khng c chi ph ph sn, chi ph khn kh ti chnh Ton b li nhun c chia cho ch s hu: Khng c ti u t (b=0) Khng c tng trng (g=0)

2 nh M & M
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nh M&M I: Trong th trng hon ho, gi tr doanh nghip khng b nh hng bi c cu vn. nh M&M II: Chi ph vn ch s hu ca doanh nghip c vay n tng ng bin vi t l n trn vn ch s hu.
Chi ph vn re

re = ru + (ru rd)*(D/E)

ru rd D/E

Chng minh M&M 1

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Hai doanh nghip U v L ging ht nhau, ngoi tr U khng c vay n v L c vay n. U v L c cng ngn lu t do hng nm FCF v cng li nhun trc li vay v thu EBIT.

Doanh nghip U:
Tng gi tr doanh nghip: VU Doanh nghip L: N vay: D (vi li sut rD) Vn ch s hu: E Tng gi tr doanh nghip: VL. Ta c: VL = D + E

Hai chin lc u t: (A) mua doanh nghip L bng vn t c; (B) vay n D vi li sut rD, cng thm vn t c mua ton b doanh nghip U

Chin lc u t A
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Tng s tin u t b ra: E = VL D Tng li nhun hng hng nm = Li nhun rng ca L: EBIT Li vay = EBIT rD*D

Chin lc A
Mua doanh nghip L bng vn t c

S tin u t b ra
E = VL D

Li nhun hng nm
EBIT rD*D

Chin lc u t B
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Tng s tin u t b ra: VU D Tng li nhun hng hng nm = Li nhun ca U Li vay phi tr cho khon vay n

EBIT rD*D
Chin lc B Mua doanh nghip U bng n vay v vn t c S tin u t b ra VU D Li nhun hng nm EBIT rD*D

So snh chin lc u t A v B
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Chin lc A Mua doanh nghip L bng vn t c

S tin u t b ra E = VL D S tin u t b ra VU D

Li nhun hng nm EBIT rD*D Li nhun hng nm EBIT rD*D

Chin lc B Mua doanh nghip U bng n vay v vn t c

A v B cho cng mc li nhun hng nm A v B i hi cng mt chi ph u t. E = VL D = VU D

VL = VU

Chi ph vn ca doanh nghip khng vay n

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Gi rU l chi ph vn ca doanh nghip U. Doanh nghip U c tng gi tr VU v to ra ngn lu t do hng nm l FCF. VU = FCF/rU

Hay
rU = FCF/VU

Chi ph vn ca doanh nghip c vay n

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Gi rL l chi ph vn ca doanh nghip L. Doanh nghip L c tng gi tr VL v to ra ngn lu t do hng nm l FCF. VL = FCF/rL hay rL = FCF/VL ( = FCF/VU = rU ) Doanh nghip L vay n D vi li sut rD. rD l chi ph n vay. Doanh nghip L c vn ch s hu E. rE l chi ph vn ch s hu.

Ngn lu n vay hng nm

= Li vay doanh nghip phi tr = rDD Ngn lu ch s hu c hng = Ngn lu t do Ngn lu n vay = FCF rDD Gi tr vn ch s hu ca doanh nghip L: E = (FCF rDD)/rE hay rE = (FCF rDD)/E

Chi ph vn bnh qun trng s

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Ngn lu n vay: rDD Ngn lu vn ch s hu: FCF rDD = rEE

Ngn lu t do:
FCF = rEE + rDD FCF/VL = rEE/VL + rDD/VL rL = (E/VL)rE + (D/VL)rD

Chi ph vn ca doanh nghip c vay n bng bnh qun trng s ca chi ph n vay v chi ph vn ch s hu vi trng s bng t trng ca n vay v vn ch s hu trong tng ngun vn. rL c gi l chi ph vn bnh qun trng s (weighted average cost of capital WACC)

nh M&M II
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V FCF v VL (= VU) c lp vi c cu vn, nn chi ph vn rL (= rU) cng c lp vi c cu vn. rL = rU = FCF/VL = FCF/VU Chi ph vn bnh qun trng s: rU = rL = rDD/(D+E) + rEE/(D+E) rE = rU + (rU rD)*(D/E)

rU v rD khng i khi c cu vn thay i, nn rE tng ln khi (D/E) tng ln v ngc li.

ngha: khi doanh nghip vay n nhiu ln, ri ro s tng ln v nh u t s yu cu sut sinh li vn ch s hu cao hn.

N phi ri ro v n ri ro
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Khi doanh nghip vay n t, n c th c coi l phi ri ro. rD khng i. rE c quan h tuyn tnh vi (D/E).

Khi doanh nghip vay n nhiu, n tr nn c ri ro. rD tng ln khi (D/E) tng ln. rE khng cn tng ln theo quan h tuyn tnh khi (D/E) tng ln.
Chi ph vn rE

rE = rU + (rU rD)*(D/E)

rU rD

N phi ri ro

N ri ro

Kt hp CAPM v M&M
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H s beta ca doanh nghip khng vay n U: U H s beta ca doanh nghip c vay n L: L CAPM N Vn ch s hu khi khng vay n Vn ch s hu khi c vay n Chi ph vn (WACC) rD = rf + D(rM rf) rU = rf + U(rM rf) rE = rf + L(rM rf) rEE/(D + E) + rDD/(D + E) M&M rD = rf ; D = 0 rU rE = rU + (rU rD)(D/E) rU

Chi ph vn ch s hu khi c vay n: rE = rf + L(rM rf) = rU + (rU rD)(D/E) = rf + U(rM rf) + (rU rD)(D/E) L = U(1+ D/E)

Th trng khng hon ho

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L thuyt M&M d on rng vic gi tr doanh nghip ph thuc vo c cu vn trn thc t l do s khng hon ho ca th trng. Th trng c th khng hon ho do:

Thu

Chi ph ph sn hay chi ph khn kh ti chnh

Tc ng ca n vay ti hnh vi ca gim c qun l doanh nghip

L chn thu ca n vay

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Doanh nghip U khng vay n Li nhun trc thu v li vay hng nm - Li vay phi tr = Li nhun chu thu - Thu = Li nhun sau thu Tng li nhun sau thu

Doanh nghip L c vay n D, li sut rD EBIT

rDD

EBIT 0 EBIT EBIT*t EBIT*(1 tC) EBIT*(1 tC)

EBIT rDD (EBIT rDD)*tC EBIT*(1 tC) + rDDtC rDD EBIT*(1 tC) + rDDtC

Tng li nhun sau thu hng nm ca doanh nghip L ln hn U mt khon bng rDDtC. Hng nm, L to thm mt khon ngn lu so vi U l rDDtC. rDDtC c gi l l chn thu ca n vay (tax shield TS).

M&M I khi c thu

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Nu l chn thu l chc chn (tc l doanh nghip lun c li c khu tr li vay khi tnh thu), th sut chit khu p dng chnh l rD. Gi tr hin ti ca l chn thu: PV(rDDtC) = (rDDtC)/rD = tCD

Doanh nghip c vay n L to ngn lu t do hng nm ln hn doanh nghip khng vay n U mt khon bng l chn thu rDDtC.
nh M&M I iu chnh cho trng hp c thu: Gi tr ca doanh nghip c vay n L s ln hn gi tr ca doanh nghip khng vay n U mt khon bng gi tr hin ti ca l chn thu PV(rDDtC) = tCD. VL = VU + tCD

M&M II khi c thu

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Gi tr doanh nghip c vay n bng gi tr th trng ca n vay cng gi tr th trng ca vn ch s hu. VL = D + E Ngn lu t do ca doanh nghip c vay n bng ngn lu t do m ch n c hng (rDD) cng vi ngn lu t do m ch s hu c hng (rEE). Ngn lu t do ca doanh nghip c vay n bng ngn lu t do ca doanh nghip khng vay n cng vi ngn lu l chn thu: FCFL = FCFU + FCFT = rDD + rEE VUrU + rDDtC = rDD + rEE Ta c: rE = (VUrU + rDDtC rDD)/E

M&M II khi c thu

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Ta c: rE = (VUrU + rDDtC rDD)/E Bit rng: VU = VL tCD v VL = D + E VU = D + E tCD = (1 tC)D + E

rE = {[(1 tC)D + E]rU + rDDtC rDD}/E Chi ph vn ch s hu rE = rU + (1 tC)(rU rD)(D/E) Chi ph vn bnh qun trng s: WACC = (E/VL)rE + (1 tC)(D/VL)rD

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Kt hp CAPM v M&M
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CAPM N Vn ch s hu khi khng vay n Vn ch s hu khi c vay n Chi ph vn bnh qun trng s (WACC) rD = rf + D(rM rf) rU = rf + U(rM rf) rE = rf + L(rM rf) WACC = rEE/(D + E) + (1 tC)rDD/(D + E)

M&M rD = r f ; D = 0 rU rE = rU + (1 tC)(rU rD)(D/E) WACC = rU[1 tCD/(D + E)]

Chi ph vn ch s hu khi c vay n: rE = rf + L(rM rf) = rU + (1 tC)(rU rD)(D/E) = rf + U(rM rf) + (1 tC)(rU rD)(D/E) L = U[1+ (1 tC)(D/E)]

Nhc li mt vi khi nim

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WACC: chi ph vn, chi ph bnh qun trng s Sut sinh li yu cu ca ngi u t Chi ph ti chnh, sut sinh li ti thiu rd : sut sinh li yu cu ca ch n re: sut sinh li yu cu ca CSH ROE: sut sinh li trn vn CSH D/E : n by ti chnh V = E + D : gi tr doanh nghip tnh theo gi th trng ca vn CSH v n vay EBIT: Li nhun trc li vay v thu = tng li nhun ca CSH v ch n khi khng c thu rdDtc: L chn thu ca n vay rdD : ngn lu ca ch n reE = NI (Net Income) = (EBIT rdD)(1-tc): ngn lu ca CSH EBIT (1-tc) + rdDtc : Li nhun sau thu = tng li nhun ca CSH v ch n khi c thu

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Tm tt cng thc
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Khng c thu
Gi tr doanh nghip ( M&M I) Chi ph vn CSH (M&M II) Chi ph vn bnh qun trng s VU = VL re = ru + (ru rd)(D/E)

C thu
VL = VU + tcD re = ru + (1- tc)(ru rd)(D/E)

WACC = re (E/VL) + rd (D/VL) = ru L = U (1+D/E)

WACC = re (E/VL) + rd(1- tc)(D/VL) = ru (1- tcD/VL) L = U [1+(1-tc)(D/E)]

H s beta

Cc l thuyt b sung
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Chi ph ph sn, khn kh ti chnh Thu thu nhp c nhn : VL = VU + D[1- (1-tc)(1-tS )/(1-tB)] Thng tin bt cn xng - L thuyt Pecking order (Myers & Majluf, 1984) L thuyt ngi i din: Mi quan h CSH Ch n Mi quan h CSH Ban lnh o L thuyt pht tn hiu: thay i v cu trc vn pht tn hiu nh th no? Ti tr mua bn sp nhp cng ty LBO

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Quan im truyn thng

C cu trc vn ti u, ti a ho gi tr doanh nghip nh vic s dng n, n by ti chnh, ti thiu ho chi ph vn.

Chi ph vn

re

Gi nh 1: nh u t khng nhn bit, cho qua ri ro ca n vay khi t l n t, do khng yu cu sut sinh li VCSH cao nh cn thit. Gi nh 2: Th trng khng hon ho, chi ph n vay i vi doanh nghip thp hn nh u t t i vay.
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rA rd

T l n/vn CSH C cu vn ti u

Gi tr doanh nghip v c cu vn
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Theo M& M II: VL = EBIT (1- tc) / WACC = [ EBIT (1- tc) + rdDtc ] / WACC * B sung chi ph khn kh ti chnh:

VL = VU + PV(l chn thu) PV(chi ph khn kh ti chnh)

Gi tr DN
VL M & M khi c thu

PV(chi ph khn kh t/c) PV(l chn thu)

VL khi c thu v chi ph khn kh ti chnh

VU

C cu vn ti u

T l n/vn CSH

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Mt s l thuyt v thc nghim

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C cu vn khi n vay tc ng ti hnh vi ca i ng qun l doanh nghip Mu thun trong quan h gia ch s hu, ch n v ngi iu hnh doanh nghip (Agency Costs). Thng tin bt cn xng (Information Asymmetry).

L thuyt trnh t u tin khi huy ng vn (Pecking-order theory) Doanh nghip u tin huy ng vn t ngun t tch ly trc. Nu cn phi huy ng vn t bn ngoi, doanh nghip chn pht hnh chng khon an ton nht, sau n cc chng khon ri ro hn. N vay c chn trc. Ri n chng khon li gia n v vn c phn, v d nh tri phiu chuyn i. Sau cng l vn c phn.

Mt s l thuyt v thc nghim

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Rajan & Zingales (1995):

DN ln thng c t l n cao hn DN nh DN c h s ti sn c nh trn tng ti sn cao thng c t l n cao

DN c li nhun thng c t l n thp hn

DN c h s Gi tr th trng trn Gi tr s sch cao thng c t l n thp Gi c phiu tng khi c thng bo v pht hnh tri phiu hoc mua li c phiu. Ngc li, gi c phiu gim khi c thng bo pht hnh c phiu hoc chuyn i n thnh c phn.

Harris, Raviv (1990), Stulz (1990):

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