Bi 10.

C cu vn
C cu vn v gi tr doanh nghip L thuyt MM Gi nh V d minh ha L thuyt MM trong trng hp khng c thu nh MM I. Gi tr cng ty nh MM II. Chi ph s dng vn
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Bi 9. C cu vn
Kt hp CAPM v MM L thuyt MM trong trng hp c thu Th trng khng hon ho nh MM I. Gi tr cng ty nh MM II. Chi ph s dng vn Kt hp CAPM v MM C cu vn khi c thu v chi ph khn kh ti chnh

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I. C cu vn v gi tr doanh nghip
Gi tr doanh nghip (DN) c b nh hng bi c cu vn? Nu DN khng th thay i gi tr ca mnh bng cch iu chnh c cu vn th hot ng u t c th c tin hnh mt cch c lp vi hot ng huy ng vn. Nu gi tr DN b tc ng bi c cu vn th hot ng u t v huy ng vn phi c xem xt mt cch ng thi. Ni mt cch khc, DN xc nh mt c cu vn sao cho gi tr ca mnh t mc ti a.

Nghin cu tnh hung

Cng ty Trans Am hin l cng ty khng c vay n. Cng ty ang xem xt pht hnh tri phiu mua li c phiu ca cng ty nhm thay i c cu vn. Tnh hnh ti sn v n ca cng ty ng vi c cu vn hin ti v c cu vn ngh nh sau:

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Nghin cu tnh hung

Kt qu hot ng kinh doanh ca cng ty ty thuc vo tnh hnh ca nn kinh t ng vi 3 tnh hung xy ra: suy thoi, k vng, tng trng. Kt qu hot ng ca cng ty ng vi c cu vn hin ti

Nghin cu tnh hung

Nu thay i c cu vn nh ngh, kt qu hot ng ca cng ty ng vi c cu vn xut

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II. L thuyt MM (Modigliani v Miller)

1. Gi nh: Th trng vn hon ho Khng c cc chi ph giao dch khi mua bn chng khon C s ngi mua v ngi bn trong th trng Thng tin cn xng Tt c cc nh u t c th vay hay cho vay vi cng li sut. Khng c thu thu nhp doanh nghip v thu thu nhp c nhn

2. V d minh ha: So snh hai chin lc u t ha:

Chin lc A: Mua 100 c phn ca cng ty c vay n (cng ty c s dng n by ti chnh) Chin lc B: Vay $2.000 t ngn hng cng vi $2.000 Vn ca ch (cho mc $4.000 nh cng ty i vay) mua 200 c phn ca cng ty khng c vay n mc gi $20.

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So snh hai chin lc u t

Li ch v chi ph ca c ng theo hai c cu vn v hai chin lc

III. L thuyt MM trong trng hp khng c thu

1. nh MM I. Gi tr cng ty Hai DN U v L ging ht nhau, ngoi tr U khng c vay n v L c vay n. U v L c cng dng tin t do hng nm FCF v cng li nhun trc li vay v thu EBIT.

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1. nh MM I. Gi tr cng ty
DN U: Tng gi tr DN: VU DN L: N vay: D (vi li sut rD) Vn ch s hu: E Tng gi tr DN: VL (VL= D + E)

Chin lc u t A
Chin lc u t A: Mua ton b DN L Tng s tin u t b ra:

E = VL D
Tng li nhun hng hng nm = Li nhun ca L:

EBIT Li vay = EBIT rD * D

Chin lc A Mua ton b DN L bng vn t c S tin u t b ra E = VL D
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Li nhun hng hng nm EBIT rD * D

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Chin lc u t B
Chin lc u t B: Vay n D vi li sut rD cng thm vi vn t c mua ton b doanh nghip U. 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 n vay:

So snh chin lc u t A v B
Chin lc A Mua ton b DN L bng vn t c Chin lc B Mua ton b DN U bng n vay v vn t c Li nhun hng nm EBIT rD * D 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

EBIT Li vay = EBIT rD * D

Chin lc B Mua ton b DN U bng n vay vn t c S tin u t b ra VU D

A v B c cng mc li nhun hng nm A v B i hi cng mt chi ph u t

E = VL D = VU D VL = VU
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2. nh MM II. Chi ph s dng vn Chi ph vn ca DN khng vay n

Gi rU l chi ph vn ca DN U DN U c tng gi tr VU v to ra dng tin t do hng nm l FCF VU = FCF/rU rU = FCF/VU

2. nh MM II. Chi ph s dng vn Chi ph vn ca DN c vay n

Gi rL l chi ph vn ca DN L DN L c tng gi tr VL v to ra dng tin t do hng nm l FCF

VL = FCF/rL r L= FCF/VL (= FCF/VU = rU)

DN L vay n D vi li sut rD. rD l chi ph n vay DN L c vn ch s hu E. rE l chi ph vn ch s hu Dng tin n vay hng nm

= Li vay DN phi tr = rD *D

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Chi ph vn ca DN c vay n
Dng tin ch s hu c hng Dng tin t do - Dng tin n vay = FCF - rD *D Gi tr vn ch s hu ca DN L:

Chi ph vn bnh qun trng s

CF n vay: rD *D CF Vn ch s hu: FCF rD *D = rE *E CF t do

E = VL D = (FCF - rD *D) /rE hay rE = (FCF - rD *D)/E

FCF = rE *E + rD *D FCL/VL = rE *E//VL + rD *D/VL rL = rE *(E//VL) + rD *(D/VL )

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Chi ph vn bnh qun trng s

Chi ph vn ca DN 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 MM II
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 = FCL/VL = FCL/VU
Chi ph vn bnh qun trng s

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

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2. nh MM II. Chi ph s dng vn

Trong : rE : Li nhun yu cu hay li nhun k vng trn vn c phn rD : Li sut vay hay chi ph s dng n rU : Chi ph s dng vn nu cng ty s dng 100% vn c phn D : Gi tr ca n E: Gi tr ca vn c phn ca cng ty
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2. nh MM II. Chi ph s dng vn

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 DN 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.

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N phi ri ro v n ri ro
Khi DN 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 DN 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.

N phi ri ro v n ri ro
T sut sinh li d kin t vn c phn rE tng theo tuyn tnh vi t l N/Vn c phn khi no m n khng c ri ro. Nu n by ti chnh lm tng ri ro ca n cc tri ch i hi mt t sut sinh li cao hn t n. iu ny lm t l gia tng trong rE chm li rE : t sut sinh li d kin t vn c phn rA : t sut sinh li d kin t ti sn rD : t sut sinh li d kin t n

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N phi ri ro v n ri ro
Chi ph vn (T sut sinh li)

V d
S dng s liu ca phn nghin cu tnh hung, tnh chi ph s dng vn trung bnh ca cng ty trong 2 trng hp: Cng ty c vay n v cng ty khng c vay n (ch xt tnh hung k vng). S dng nh MM II xc nh chi ph s dng vn ca c ng i vi cng ty Trans Am

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

rE rU rD

N phi ri ro
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N ri ro
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nh MM II khi khng c thu

3. Kt hp CAPM v MM
H s ca DN khng vay n U : U H s ca DN c vay n L : L CAPM N Vn CSH khi khng vay n M hnh MM
rD = r f ;
rU
D

rD = r f + D ( rM r f ) rU = r f + U ( rM r f )

= 0

Vn CSH khi rE = r f + L ( rM r f ) rE = rU + (rU rD ) * ( D / E) c vay n Chi ph vn rU rE E /( D + E ) + rD D /( D + E ) (WACC)

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3. Kt hp CAPM v MM
Chi ph vn ch s hu khi c vay n:

IV. L thuyt MM trong trng hp c thu

1. Th trng khng hon ho L thuyt MM 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: nh hng ca thu Chi ph ph sn hay chi ph khn kh ti chnh

rE = rf + L (rM rf ) L = U (1 + D / E)
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= rU + (rU rD )(D / E)

= rf + U (rM rf ) + (rU rD )(D / E)

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nh hng ca thu thu nhp doanh nghip

DN U khng c vay n Li nhun trc thu v li vay hng nm Li vay phi tr Li nhun chu thu Thu Li nhun sau thu DN L c vay n D vi li sut rD

Cng thc

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

EBIT rD*D EBIT - rD*D (EBIT - rD*D)*t EBIT*(1 - tC)+rD*D*tC

VL= VU + tC*D

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nh hng ca thu thu nhp doanh nghip

Li nhun sau thu hng nm ca L ln hn U mt khon bng

1. nh MM I khi c thu
Nu l chn thu l chc chn (tc l DN 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

rD*D*tC
Hng nm, L to thm mt khon so vi U l rD*D*tC

rD*D*tC c gi l l chn thu ca n vay (Tax shield-TS)

PV(rD*D*tC) = (rD*D*tC)/ rD = tC*D

Doanh nghip c vay n L to CF t do hng nm ln hn DN khng vay n U mt khon bng l chn thu rD*D*tC

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2. nh MM I khi c thu
Gi tr ca DN c vay n L s ln hn gi tr ca DN khng vay n U mt khon bng gi tr hin ti ca l chn thu PV(rD*D*tC) =

V d
Cng ty WP c thu sut thu thu nhp cng ty =35% v EBIT hng nm =1 triu $. Ton b li nhun sau thu u c s dng tr c tc cho c ng. Cng ty ang xem xt 2 phng n c cu vn. Phng n 1: Khng s dng n Phng n 2: Cng ty vay $4 triu (D) vi li sut rD = 10%

tC*D

VL= VU + tC*D

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V d
CF dnh cho c ng v ch n

3. nh MM II khi c thu
Gi tr DN c vay n bng gi tr th trng ca n vay cng gi tr th trng ca vn ch s hu.

VL = D + E
CF t do ca DN c vay n bng CF t do m ch n c hng cng vi CF t do m ch s hu c hng. CF t do m ch n c hng: rD*D CF t do m ch s hu c hng: rE*E

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3. nh MM II khi c thu
CF t do ca DN c vay n bng CF t do ca DN khng vay n cng vi CF l chn thu

3. nh MM II khi c thu
rE = (VU * rU + rD*D*tC - rD*D )/E VU = VL - tC*D VL = D + E VU = D + E - tC*D = (1- tC)*D + E rE = {[(1- tC)*D + E]* rU +rD*D*tC - rD*D }/E

FCFL = FCFU + FCFT = rD*D + rE*E

VU * rU + rD*D*tC = rD*D + rE*E rE = (VU * rU + rD*D*tC - rD*D )/E

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3. nh MM II khi c thu

V d ng dng l thuyt MM

Chi ph vn ch s hu

rE = rU +(1tC )*(rU rD)*(D/ E)

Chi ph vn bnh qun trng s

WACC = ( E / VL ) rE + (1 tC )( D / VL ) rD
S dng nh MM I v II.

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Kt hp CAPM v MM
CAPM N Vn CSH khi khng vay n Vn CSH khi c vay n Chi ph vn (WACC) M hnh MM
rD = r f ;
D

4. Kt hp CAPM v MM
Chi ph vn ch s hu khi c vay n

rD = r f + D ( rM r f )

= 0

rU = r f + U (rM r f ) rE = r f + L ( rM r f )
rE E /( D + E ) + (1 t C ) * rD D /( D + E )
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rU
rE = rU + (1 tC ) * ( rU rD ) * ( D / E )

rE = rf + L (rM rf ) = rU +(1tC )*(rU rD)*(D/ E) = rf + U (rM rf )

+ (1 tC ) * (rU rD ) * ( D / E )

rU * [1 t C D ) /( D + E )]
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L = U [1 + (1 tC ) * ( D / E )]
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5. C cu vn khi c thu v chi ph khn kh ti chnh

Vay n: tng gi tr DN t l chn thu Vay n: tng ri ro DN gp kh khn ti chnh v nguy c ph sn, t lm gim gi tr DN.

5. C cu vn khi c thu v chi ph khn kh ti chnh

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

Gi tr DN t gi tr ti a khi DN t c c cu vn ti u li ch tng thm t l chn thu c cn bng vi chi ph tng thm ca tnh trng khn kh ti chnh khi huy ng thm n.

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Tm tt
Chi ph vn bnh qun trng s

WACC WACC

= rE E /( D + E ) + (1 t C ) * rD D /( D + E ) = ( E / V L ) rE + (1 t C ) * ( D / V L ) rD

Trng hp th trng hon ho: t = 0 ho:

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