Bài giảng Xác định giá trị doanh nghiệp: Chương 7 - TS. Nguyễn Ngọc Quang

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Bài giảng "Xác định giá trị doanh nghiệp: Chương 7 - Xác định giá trị doanh nghiệp bằng các phương pháp dựa trên thu nhập" trình bày những nội dung chính như sau: Phương pháp chiết khấu dòng tiền; chiết khấu dòng cổ tức (DDM) và chiết khấu dòng tiền FCF; phương pháp dòng tiền thặng dư;... Mời các bạn cùng tham khảo nội dung chi tiết bài giảng!

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Nội dung Text: Bài giảng Xác định giá trị doanh nghiệp: Chương 7 - TS. Nguyễn Ngọc Quang

CHƯƠNG 7 XÁC ĐỊNH GIÁ TRỊ DOANH NGHIỆP BẰNG CÁC PHƯƠNG PHÁP DỰA TRÊN THU NHẬP 1. Phương pháp chiết khấu dòng tiền (Discounted future economic income method) Chiết khấu dòng cổ tức (DDM) và chiết khấu dòng tiền FCF 2. Phương pháp dòng tiền thặng dư (capitalized excess earnings method)- doanh nghiệp tạo ra lợi thế thương mại, vốn hoá dòng tiền lợi thế thương mại này + tài sản hữu hình của doanh nghiệp 146
PHƯƠNG PHÁP DỰA TRÊN THU NHẬP – CÔNG THỨC TỔNG QUÁT Giá trị doanh nghiệp = Giá trị của tất cả các tài sản kinh tế = Giá trị các tài sản kinh doanh + giá trị các tài sản tài chính Công thức tính tổng quát n V = ∑ CFt (1 + k ) −t + VR(1 + k ) − n + V AF t =1 • V = Giá trị doanh nghiệp • CFt = Free cash flow của tài sản kinh doanh • VR = Giá trị bán lại tại thời điểm cuối chu kỳ • VAF = Giá trị hiện tại của tài sản tài chính • k = WACC, CAPM • n = Số năm dự tính của chu kỳ kinh doanh 147
DDM or FCF • DDM Model – Use the Dividend Discount Model • (a) For firms which pay dividends (and repurchase stock) which are close to the Free Cash Flow to Equity (over a extended period) • (b) For firms where FCFE are difficult to estimate (Example : Banks and Financial Service companies) • DCF Models – Use the FCFE Model • (a) For firms which pay dividends which are significantly higher or lower than the Free Cash Flow to Equity. (What is significant ? ... As a rule of thumb, if dividends are less than 80% of FCFE or dividends are greater than 110% of FCFE over a 5-year period, use the FCFE model) • (b) For firms where dividends are not available (Example : Private Companies, IPOs) 148
DDM Model • As with any other security, the first step in valuing common stocks is to determine the expected future cash flows. • Finding the present values of these cash flows and adding them together will give us the value : ∞ CFt VCS = ∑ t =1 (1 + r )t • For a stock, there are two cash flows : – Future dividend payments – The future selling price Assume that you are considering the purchase of a stock which will pay dividends of $2 (D1) next year, and $2.16 (D2) the following year. After receiving the second dividend, you plan on selling the stock for $33.33. What is the intrinsic value of this stock if your required return is 15%? 33.33 ? 2.00 2.16 2 .0 0 2 .1 6 + 3 3 .3 3 VCS = + = 2 8 .5 7 (1 + .1 5 )1 (1 + .1 5 ) 2
A. Gordon Constant DDM ∞ Dt l Stock pricing relationship : V0 = ∑ t =1 (1 + r )t D1 • If Dt is constant, then it is an ordinary perpetuity : V0 = r Example : Wal-Mart  The current (annual) dividend is: $0.28 $0.28  According to the constant dividend (zero growth) model : P0W M = = $2.41 0.1162 The price of Wal-Mart was actually $52.83 Can you explain the difference? 150
B. Gordon and Shapiro Growth DDM • Assumes a stylized pattern of growth, specifically constant growth : Dt = D0(1 + g)t PV of dividend stream is : D 0 (1 + g ) D 0 (1 + g ) 2 D 0 (1 + g ) n V0 = + 2 +L + +L (1 + r ) (1 + r ) (1 + r ) n Which can be simplified to : D (1 + g ) D1 Must have g
Estimating the DDM Inputs • The DDM requires us to estimate the dividend growth rate and the required rate of return. • The dividend growth rate can be estimated in three ways : – Use the historical growth rate and assume it will continue – Use the equation: g = b*ROE where b = Earnings retention rate (1 – payout ratio) – Generate your own forecast with whatever method seems appropriate • The required return is often estimated by using the CAPM: ri = rrf + βi(rm – rrf) or some other asset pricing model. g = 3.45% g = 3.70% g = 3.95% r = 5.95% $33.20 $36.89 $41.50 r = 6.20% $30.18 $33.20 $36.89 r = 6.45% $27.67 $30.18 $33.20 Valuations are very sensitive to inputs. Assuming D1 = 0.83, the value of a stock is :
C. The DDM Extended • There is no reason that we can’t use the DDM at any point in time. • For example, we might want to calculate the price that a stock should sell for in two years. • To do this, we can simply generalize the DDM: DN (1 + g ) DN +1 VN = = r−g r−g In the earlier example, how did we know that the stock would be selling for $33.33 in two years? Note that the period 3 dividend must be 8% larger than the period 2 dividend, so: 2 .16(1+ .08 ) 2 .33 V2 = = = 33.33 .15− .08 0.15− .08 • Further, we can use the DDM to determine the value of the stock at some future period when growth is constant. If we calculate the present value of that price and the present value of the dividends up to that point, we will have the present value of all of the future cash flows.
What if Growth Isn’t Constant? • Let’s take our previous example, but assume that the dividend will grow at a rate of 15% per year for the next three years before settling down to a constant 8% per year. What’s the value of the stock now? (Recall that D0 = 1.85) 2.1275 2.4466 2.8136 3.0387 Á 0 1 2 3 4 Terminal g = 15% g = 8% Value First, note that we can calculate the value of the stock at the end of period 3 (using D4): 3 .0387 V3 = = 43 .41 .15 − .08 Now, find the present values of the future selling price and D1, D2, and D3: 2.1275 2.4466 2.8136 + 43.41 V0 = + 2 + 3 = 34.09 1.15 1.15 1.15 Note that $34.09 is higher than the original value because the average growth rate is higher.
Reformulation of the DDM • V = PV of futur dividends + Terminal Value n V(0) = ∑ Dt + TV(n) with : Dt Dividend per share in t, so : t=1 (1 + r)t (1 + r)n Dt = dE(0) (1 + g)t V(0) Firm value in t = 0 TV(n) Terminal value Using stylized growth patterns Handle the value of the remaining future Constant growth forever dividends either by Two-stage growth model) Assigning a stylized growth pattern to dividends Three-stage growth model) after the terminal point Estimate a stock price at the terminal point using some method such as P/E ratio 155
Two-Stage DDM • The previous example showed one way to value a stock with two (or more) growth rates. Typically, such a company can be expected to have a period of supra- normal growth followed by a slower growth rate that we can expect to last for a long time. • In these cases we can use the two-stage DDM: D0 (1 + g1 ) (1 + g 2 ) n D0 (1 + g1 )   1 + g1   n r − g2 V0 = 1−    + r − g1   1 + r     (1 + r )n PV of stock price at period N PV of the first N (stylized growth pattern to dividends dividends after the terminal point) So, the model is just a mathematical formulation of the methodology that was presented earlier
Using the Two-Stage DDM • Suppose MissMolly.com has a current dividend of D(0) = $5, which is expected to “shrink” at the rate g1 = 10% for 5 years, but grow at the rate g2 = 4% forever with a discount rate of k = 10%, what is the present value of the stock? The total value of $46.03 is the sum of a $14.25 present value of the first five dividends, plus a $31.78 present value of all subsequent dividends. 157
Which Growth Pattern Should I use ? • If your firm is – large and growing at a rate close to or less than growth rate of the economy, or constrained by regulation from growing at rate faster than the economy – has the characteristics of a stable firm (average risk & reinvestment rates) Use a Stable Growth Model • If your firm – is large & growing at a moderate rate (≤ Overall growth rate + 10%) or – has a single product & barriers to entry with a finite life (e.g. patents) Use a 2-Stage Growth Model • If your firm – is small and growing at a very high rate (> Overall growth rate + 10%) or – has significant barriers to entry into the business – has firm characteristics that are very different from the norm Use a 3-Stage or n-stage Model 158
D. DDM and The P/E Approach • As a rule of thumb, or simplified model, analysts often assume that a stock is worth some “justified” P/E ratio times the firm’s expected earnings. • This justified P/E may be based on the industry average P/E, the company’s own historical P/E, or some other P/E that the analyst feels is justified. • To calculate the value of the stock, we merely multiply its next years’ earnings by this justified P/E : VCS = P × EPS1 E Industry Industry
Using a P/E for terminal value The terminal value at the beginning of the second stage was found above with a Gordon growth model, assuming a long-term sustainable growth rate The terminal value can be found using a P/E ratio, applied to estimated earnings at t = n DDM TV(n) = P/E (n) x EPS(0) (1 + g)n = Industry P/E (0) x EPS(0) (1 + g)n Important for IPO Gordon Model & P/E ratios • If E is next year’s earnings (leading P/E): − P D /E (1 b) 0 = 1 1 = E1 r− g r− g • If E is this year’s earnings (trailing P/E): P0 D0 (1 + g ) / E0 (1 − b)(1 + g ) = = E0 r−g r−g
Using a P/E for terminal value • For DuPont, assume – D0 = 1.40 – gS = 9.3% for four years – Payout ratio = 40% – r = 11.5% (40.88=35.55+13724+ Á..) – P/E for t = 4 is 11.0 • Forecasted EPS for year 4 is – E4 = 1.40(1.093)4 / 0.40 = 1.9981 = 4.9952 Present Values Time Value Calculation Dt or Vt Dt/(1.115)t or Vt/(1.115)t 1 D1 1.40(1.093)1 1.5302 1.3724 2 D2 1.40(1.093)2 1.6725 1.3453 3 D3 1.40(1.093)3 1.8281 1.3188 4 D4 1.40(1.093)4 1.9981 1.2927 4 V4 11 × [1.40(1.093)4 / 0.40] 54.9472 35.5505 = 11 × [1.9981 / 0.40] = 11 × 4.9952 Total 40.88
Strengths and Weakness of multistage DDMs • Strengths of multistage DDMs – Can accommodate a variety of patterns of future dividend streams. – Even though they may not replicate the future dividends exactly, they can be a useful approximation. • Weaknesses of multistage DDMs – If the inputs are not economically meaningful, the outputs from the model will be of questionable value. – Analysts sometimes employ models that they do not understand fully. – Valuations are very sensitive to the inputs to the models.
Discounted Cash Flow Valuation • Dividends are the cash flows actually paid to stockholders • Free cash flows are the cash flows available for shareholders (and debtholders) • Some analysts assume that the earnings of a firm represent its potential dividends. This cannot be true for several reasons : – Earnings are not cash flows, since there are both non-cash revenues and non-cash expenses in the earnings calculation – Even if earnings were cash flows, a firm that paid its earnings out as dividends would not be investing in new assets and thus could not grow – Valuation models, where earnings are discounted back to the present, will over estimate the value of the equity in the firm • The potential dividends of a firm are the cash flows left over after the firm has made any “investments” it needs to make to create future growth and net debt repayments (debt repayments - new debt issues) 163
Difference between earnings and cash flows Cash Flows at different growth rates In a first view, diminushing Inv. (and Growth Rate) enhance CF In a second view, when ROCE > WACC, Inv. enhance CF 164
Valuation: Back to First Principles • Value of the firm = value of fixed claims (debt) + value of equity • How do managers add to equity value ? – By taking on projects with positive net present value (NPV) • Equity value = equity capital provided + NPV of future projects • Note: Market to book ratio (or “Tobin’s Q” ratio) >1 if market expects firm to take on positive NPV projects (i.e. firm has significant “growth opportunities”) • Total value of the firm = debt capital provided + equity capital provided + NPV of all future projects for the firm = uninvested capital + present value of cash flows from all future projects for the firm