NH GI C PHIU

( P DNG CC M HNH
CHIT KHU DNG TIN)

M hnh chit khu dng tin t do (FCFE)

M hnh chit khu lung c tc (DDM)

C phiu

M hnh chit khu dng tin t do ton doanh nghip (FCFF)

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1.M hnh chit khu lung c tc (DDM)

Cng thc tng qut:

n =

Dt
P=
t
+ ks )
t =1 (1
Trong :

Dt : c tc nm va qua
g : tc tng trng c tc
ks : t l sinh li yu cu
Pn : gi bn nm th n

1.M hnh chit khu lung c tc (DDM)

M hnh khng tng trng

n =

Do
Dn
P=
=
t
+ ks )
ks
t =1 (1

C tc c chi tr l nh nhau qua cc nm.

T l li nhun yu cu l Ks.
Trong :

D0 : c tc nm va qua
g : tc tng trng c tc
ks : t l sinh li yu cu
Pn : gi bn nm th n

1.M hnh chit khu lung c tc (DDM)

Cng thc tng qut: cho m hnh c tng trng tc g

D1* (1+ g )
Pn
P=
+
t
n
+ ks )
(1+ k s )
t =1 (1
n

Trong :

D0 : c tc nm va qua
g : tc tng trng c tc
ks : t l sinh li yu cu
Pn : gi bn nm th n

1.M hnh chit khu lung c tc (DDM)

M hnh 1 giai on tng trng u_M hnh Gordon

Do * (1+ g )
P=
(K s g )
Gi thit:
C tc hng nm tng trng vi tc g.
T l tng trng u b hn li tc k vng (g<Ks).

1.M hnh chit khu lung c tc (DDM)

M hnh hai giai on
T

P=

t =1

D1* (1+ Ghg )t

(1+ k s )

Do * (1+ Ghg )T * (1+ g )

(k s g ) * (1+ k s )T

Gi thit : Giai on 1 c tc tng trng cao tc Ggh

Giai on 2 tng trng n nh tc g
Ks: li tc k vng, g : tc tng trng
Ghg: tc tng trng trong giai on tng trng cao
T: khong thi gian tng trng cao

1.M hnh chit khu lung c tc (DDM)

V d 1: M hnh 1 giai on

Cng ty ABC(ABC) cui nm nay s chi

tr c tc l 2000 VN, EPS = 5800VN.
ROE = 25%. Bit beta ca ABC l 0.8 v mc
li sut phi ri ro l 8.5%. Mc sinh li ca th
trng l 20%. Hy nh gi c phiu ABC.

1.M hnh chit khu lung c tc (DDM)

Hng dn:
p dng cng thc ca m hnh tng trng u

P=

Do * (1+ g )
(r g )

Tnh ton tc tng trng c tc:

g= (1 - b)*ROE = 16.38%
Xc nh mc sinh li yu cu:
Ks=r = rf +(rm rf ) = 18%
Tnh ton:

D1* (1+ g ) 1
1
1
1* (1+ 1
.1
1
1
1)
P=
=
=1
1
1,1
1
1
(k s g )
1
.1
1 1
.1
1
1
1

b: t l chi tr c tc = c tc /EPS

1.M hnh chit khu lung c tc (DDM)

V d 2: M hnh 2 giai on

Mt doanh nghip d bo c tc 3 nm sp

ti ln lt l 2000,3000,4000.
Sau nm th 3, doanh nghip d kin tr c
tc u hng nm 3500/ c phiu. t l li
nhun yu cu 25%. Tnh gi c phiu ti thi
im hin ti.

1.M hnh chit khu lung c tc (DDM)

D1
Dn
D1
D1
P1 =
+
+
+ .... +
1
1
n
1+ k s (1+ k s ) (1+ k s )
(1+ k s )
D1
D1
D1
1
D
=
+
+
+
*
1
1
1
1+ k s (1+ k s ) (1+ k s ) (1+ k s ) k s
=1
1
1
1
1.1
1

1.M hnh chit khu lung c tc (DDM)

u im
- D tnh ton
- D xc nh dng tin
Nhc im
- Khng thc hin c pp vi DN khng tr c tc
- DDM ch xt n dng c tc , nn khng phn nh c
gi tr doanh nghip
- Xc nh cc ch s g , Ks l kh chnh xc

2. M hnh FCFE
Xc nh FCFE:

FCFE
= FCFEt = LNST+ Khu hao Thay i
vn u t Thay i vn lu ng rng
FCFE
= thu nhp rng (chi ph TSC
khu hao)*(1 t l n) thay i vn lu
ng*(1 t l n).

2. M hnh FCFE
Cng thc tng qut:

FCFE1* (1+ g )
Pt
P1 =
+
t
t
(1+ k s )
(1+ k s )
t =1
t

Trong :

P0: gi tr ca C phiu.
FCFE0: FCFE ca nm u tin.
ks: chi ph vn ch s hu

g: tc tng trng ca FCFE.

2. M hnh FCFE
p dng m hnh 1 giai on: khi Cty tng trng n

nh:

FCFEt
P 1=
(k s g n )

p dng m hnh FCFE 2 giai on:

P0 = PVFCFE + PVg n nh

FCFEt [ ( FCFE n +1) /( k s g n )]

P1=
+
t
n
(
1
+
k
)
(
1
+
k
)
t =1
s
s
t =n

2. M hnh FCFE
V d:
Cty A ang trong g tng trng n nh
S liu :
Thu nhp rng = 1,164
Thay i vn lu ng rng = 500
T l n = 6%
rf =6%,rm =12%, = 0.8
Ks= 6+0.8*(12 - 6) =10.8%
Chi ph TSC = 1,520
Khu hao = 1,220
T l tng trng k vng ca FCFE (gn) = 6.46%
S lng CF lu hnh = 100.000

2. M hnh FCFE
- Xc nh FCFE:

FCFE = 1,164 - (1,520 1,220)*(1 0.06)

- 500*(1 0.06) = 412
- g = 6.46%
- p dng cng thc:
P0 = 412(1+0.0646)/(0.108 0.0646)
= 10,105.341
Gi tr c phiu= P0/s c phiu
= 101.05

Bc 1:
FCFE = thu nhp rng
(chi ph TSC khu hao)*(1
t l n)
thay i vn lu ng*(1 t
l n).
Bc 2:
Xc nh tc tng trng FCFE
Bc 3:
p dng cng thc v tnh ton:

FCFEt
P 1=
(k s g n )

2.M hnh FCFE

u im
- Khc phc nhc im ca DDM
- Kt qu kh chnh xc

Nhc im
- Cha cp ht cc dng tin ca doanh nghip

3. M hnh FCFF
Xc nh FCFF:

FCFF = EBIT*(1 - T) +Khu hao +/- Thay i vn u t +/- thay

i vn lu ng
n

Cng thc tng qut:

FCFF t
P1 =
t
(
1
+
WACC
)
t =1

Trong : WACC: chi ph vn bnh qun.

3. M hnh FCFF
p dng m hnh 1 giai on:

g
VP
F=
1=
(WACC g )
p dng m hnh 2 giai on:

[
FCFFt
( FCFFn +1) /(WACC st g st )]
P1 =
+
t
n
(
1
+
WACC
)
(
1
+
WACC
)
t =1
hg
hg
t =n

3. M hnh FCFF
V d : Cng

ty A c cc thng tin nh trong bng cho

di y. T nm 2010 cng ty duy tr tc tng
trng l 8%/nm. Cng ty ang duy tr mt khon n
di hn l 20 t, pht hnh u nm 2003, tr li hng
nm vo cui mi nm vi li sut 8%/nm, thi gian
o hn 10 nm. Chi ph vn bnh qun ca doanh
nghip l WACC = 13,5%/nm. D bo li sut t nm
2006 s tng thm 2%. Cng ty pht hnh 1 triu c
phn.Xc nh gi tr cng ty v gi tr mi c
phn.Bit thu thu nhp doanh nghip 28%.

3. M hnh FCFF
Ch tiu

Nm 2006 Nm 2007

Nm 2008

Nm 2009 Nm 2010

EBIT

4320

5210

5420

5550

5650

Khu hao

920

980

1010

1220

1320

Nhu cu vn
lu ng

300

320

325

350

340

Ch tiu vn

1200

1250

1300

1350

1400

3. M hnh FCFF
Hng dn :

FCFF = EBIT(1-t) + Khu hao Thay i vn u

t Thay i vn lu ng rng
Ta c FCFF06 = 4320*(1- 0.28) + 920 -300 -1200=

=2530.4
Tng t ta tnh c FCFF07,08,09,10

3. M hnh FCFF
Ch tiu

Nm 2006 Nm 2007

Nm 2008

Nm 2009 Nm 2010

EBIT

4320

5210

5420

5550

5650

Khu hao

920

980

1010

1220

1320

Nhu cu vn
lu ng

300

320

325

350

340

Chi tiu vn

1200

1250

1300

1350

1400

FCFF

2530.4

3161.2

3287.4

3536.0

3648.0

M hnh FCFF
T 2011 cng ty duy tr tc tng trng l 8% nn ta c :
FCFF11(1+ g )
PV10= (WACC g )

VF =
+
= 49.030,09 triu ng

= 71633.46

M hnh FCFF
xc nh n tin li cng ty phi thanh ton hng nm l 160 triu ng.

n ngy o hn, cng ty phi thanh ton 20 t ng tin gc. Do li sut

th trng tng ln, cng ty c li hn do ang s dng ngun vn c chi
ph thp v nh vy, chi ph vn mi l 10%. Gi tr n s l :

VD

= 11.042,11 triu ng

3. M hnh FCFF
Gi tr ti sn ca ch s hu s l :
VE = VF - VD = 49.030,09 - 11.042,11 =
37.987,98 (triu ng)
Do cng ty pht hnh 1 triu c phiu nn gi

tr mi c phiu s l 37.987,98 ng/ c

phiu.

3.M hnh FCFF

u im
- c lng y cc dng tin trong doanh
nghip
- Tnh n cc khon n phi tr (chim phn
rt ln trong tng gi tr ca DN)
Nhc im
Do cc khon n pht sinh khng n nh nn
d dn ti c lng khng chnh xc.

Danh sch nhm

1. Nguyn Vn Dng
2. Phm Hng Qun
3. Trnh Anh Php

Cm n s ch theo di ca cc bn !