Xác định giá trị doanh nghiệp khi có yếu tố rủi ro phá sản ( Chuyên đề tốt nghiệp TP.HCM Trường Đại Học Kinh Tế, 2013 )

GVHD: TS.Hay Sinh TR XÁC IÁ TR Y OANH NGHI R RO PHÁ S GVHD : TS HAY SINH SVTH : Lê Chu MSSV : 31091023716 Tp HCM, Trang-i- KHI CĨ GVHD: TS.Hay Sinh Trong tình hình kinh t y bi ng hi n nay, mà khơng cơng ty lâm vào tình tr ng kinh doanh thua l , th m chí phá s n, y u t r i ro phá s n m t y u t không th thi u vi c hi n t i th y r ng vi nh giá, xem xét giá tr công ty Bên nh giá tr doanh nghi p có y u t r i ro phá s n ng Vi t Nam cịn h n ch v thơng tin d li u th “XÁC ng c a y u t r i ro chi phí phá s n m t cách c th , chi ti nh giá tr cơng ty có y u t r i ro chi phí phá s APV FCFF (APV) FCFF FCFF hàng APV Trang-ii- GVHD: TS.Hay Sinh công ty giá (CAPM) (FCFF) P FCFF FCFF Trang-iii- GVHD: TS.Hay Sinh M CL C i v vii 1.1.1 1.1.2 1.2 CÁC MƠ HÌNH NGHIÊN 1.2.1 1.2.1.1 1.2.1.2 1.2.2 1.2.3 10 10 11 2.3 H 12 2.3.1 12 12 nh chi phí s d ng v n khơng n vay c a công ty 14 2.3.2 16 18 HÒA - PHR 18 18 18 18 18 28 Trang-iv- GVHD: TS.Hay Sinh DANH M C CÁC CH VI T T T APV: FCFF PHR c Hòa c(t): g(t): u: T (u > 1) m: (0 1) (0 < m < 1) (d = 0) u, m d : y ao : p : – Z 1.2 CÁC MƠ HÌNH NGHIÊN C U THAM KH O 1.2.1 Mơ hình chi t kh u dịng ti n t cơng ty (FCFF) 1.2.1.1 Mơ hình FCF L ng n nh c tính giá tr công ty v i t l Công th c tính: = P0 : FCFF1 = FCFF WACC: chi phí s d ng v n bình qn g: FCFF mãi Trang –PL/2- ng nh GVHD: TS.Hay Sinh 17 18 19 20 21 2028 2029 2030 2032 2033 7,510,223,333,636 8,302,187,849,490 9,155,036,433,508 10,070,540,076,859 11,077,594,084,545 35.14% 34.03% 32.92% 31.81% 31.81% 31% 31% 31% 31.44% 31.44% 5,632,667,500,227 6,226,640,887,117 6,866,277,325,131 7,552,905,057,644 8,308,195,563,409 3,898,790,100,563 4,297,211,266,936 4,723,681,159,918 5,178,438,348,619 5,696,282,183,481 Trang –PL/89- GVHD: TS.Hay Sinh STT EBIT NOPLAT 2011 1,026,602,334,168 769,951,750,626 Net PPEt - Net PPEt-1 FCFF(2) 2019 369,145,918,519.32 276,859,438,889 (19,861,637,446.32) (12,757,446,703.64) 309,478,523,039.45 2020 324,842,279,167.15 243,631,709,375 (18,035,305,786.83) (10,975,158,412.65) 272,642,173,574.85 < mt < 1) 2012 903,393,008,832.61 677,544,756,624 (37,755,547,270.69) (36,110,497,020.81) 751,410,800,915.96 10 2021 284,970,368,967.09 213,727,776,725 (23,374,546,873.12) (1,292,759,203.93) 238,395,082,802.36 2013 794,970,848,248.71 596,228,136,187 (34,588,339,672.02) (31,161,930,094.14) 661,978,405,952.69 11 2022 249,215,669,618.66 186,911,752,214 (20,523,220,227.12) (2,070,553,577.03) 209,505,526,018.15 2014 699,561,147,126.80 524,670,860,345 (31,637,536,729.45) (26,881,048,495.39) 583,189,445,569.94 12 2023 217,267,742,612.71 162,950,806,960 (17,949,578,343.65) (2,670,672,497.75) 183,571,057,800.93 Trang –PL/90- 2015 615,602,194,278.52 461,701,645,709 (28,896,814,550.50) (23,178,864,658.36) 513,777,324,917.75 13 2024 188,823,124,316.23 141,617,343,237 (15,637,427,041.00) (3,114,398,136.83) 160,369,168,415.01 2016 541,719,709,788.06 406,289,782,341 (26,358,250,097.43) (19,978,133,658.26) 452,626,166,096.73 14 2025 163,587,778,539.75 122,690,833,905 (13,569,806,845.94) (3,422,139,304.81) 139,682,780,055.57 2017 476,704,350,147.40 357,528,262,611 (24,012,796,124.44) (17,211,816,363.35) 398,752,875,098.34 15 2026 141,279,119,585.88 105,959,339,689 (11,729,339,103.94) (3,613,209,595.19) 121,301,888,388.54 2018 419,491,913,148.89 314,618,934,862 (21,850,665,148.32) (14,821,742,340.50) 351,291,342,350.49 16 2027 121,627,625,413.00 91,220,719,060 (10,098,532,199.88) (3,705,656,691.36) 105,024,907,950.99 GVHD: TS.Hay Sinh 17 2028 104,378,065,959 78,283,549,469 (8,660,047,203) (3,716,139,847) 90,659,736,519 18 2029 89,290,375,871 66,967,781,903 (7,396,923,263) (3,659,851,749) 78,024,556,916 19 2030 76,140,203,921 57,105,152,941 (6,292,763,950) (3,550,480,383) 66,948,397,274 Trang –PL/91- 20 2032 64,719,173,333.25 48,539,380,000 (5,331,886,459) (3,400,206,107) 57,271,472,567 21 2033 55,011,297,333 41,258,473,000 (3,859,047,370) (4,636,537,100) 49,754,057,470 GVHD: TS.Hay Sinh 15 t= 0) ng nhanh STT 2011 2,583,185,551,286 W Net PPEt FCFF(3) ( + ) r(t,D) 2019 0.4 928,862,492,610.76 19.84% 76,101,472,846 14,606,564,459.93 113,487,231,871.46 148,794,051,948.45 9.29% 17.50% 2012 2013 2014 2015 2016 2017 0.4 0.4 0.4 0.4 0.4 0.4 2,273,160,395,101.24 2,000,343,405,174.43 1,760,268,983,767.26 1,549,007,479,014.75 1,363,100,862,521.85 1,199,506,126,716.47 16.34% 16.84% 17.34% 17.84% 18.34% 18.84% 2018 0.4 1,055,545,475,459.84 19.34% 258,202,952,181 222,092,455,160 190,930,525,066 164,049,476,571 140,870,611,912 120,892,478,254 103,680,661,891 88,858,919,550 301,003,324,283.64 10.29% 17.50% 42,443,213,172.86 255,185,445,427.40 277,285,250,386.54 9.29% 17.50% 36,507,395,979.89 227,393,304,275.62 254,924,654,427.03 9.29% 17.50% 31,385,020,613.18 202,596,512,535.99 233,937,331,405.82 9.29% 17.50% 26,966,333,444.95 180,476,404,470.53 214,315,731,906.95 9.29% 17.50% 23,156,208,558.73 160,747,659,731.97 196,034,338,021.97 9.29% 17.50% 19,872,217,502.51 143,154,889,419.20 179,054,085,126.56 9.29% 17.50% 17,042,951,667.89 127,469,561,286.31 163,325,981,101.72 9.29% 17.50% 2020 0.4 817,383,571,089.83 20.34% 65,126,314,434 12,509,504,664.88 101,025,056,163.80 135,397,723,352.51 9.29% 17.50% 10 2021 0.4 717,055,976,944.57 19.93% 63,833,555,230 10,705,416,120.65 86,933,483,779.20 111,647,671,384.37 9.29% 17.50% 11 2022 0.4 627,088,304,289.45 19.52% 61,763,001,653 10,528,116,249.81 77,303,342,705.68 91,403,146,991.33 9.29% 17.50% 12 2023 0.4 546,699,413,003.51 19.10% 59,092,329,155 10,221,055,730.08 68,537,391,796.18 74,248,977,430.90 9.29% 17.50% Trang –PL/92- 13 2024 0.4 475,125,713,480.54 18.69% 55,977,931,018 9,812,403,012.06 60,585,651,325.94 59,803,272,303.12 9.29% 17.50% 14 2025 0.4 411,627,337,895.49 18.28% 52,555,791,713 9,327,156,157.87 53,397,345,515.47 47,717,266,258.87 9.29% 17.50% 15 2026 0.4 355,493,230,695.24 17.86% 48,942,582,118 8,787,238,198.62 46,921,509,645.99 37,674,678,935.04 9.16% 17.50% 16 2027 0.4 306,045,207,717.86 17.45% 45,236,925,427 8,211,630,974.57 41,107,533,867.05 29,390,672,098.31 9.16% 17.50% GVHD: TS.Hay Sinh 17 2028 0.4 262,641,046,959 17.04% 18 2029 0.4 224,676,684,576 16.62% 19 2030 0.4 191,587,597,354 16.21% 21 2032 0.4 162,849,457,751 15.80% 22 2033 0.4 138,422,039,088 15.80% 41,520,785,580 7,616,539,828.03 35,905,642,157.12 22,610,481,220 9.16% 17.50% 37,860,933,830 7,015,581,823 31,267,306,224 17,107,794,499 9.16% 17.50% 34,310,453,447 6,419,990,615 27,145,595,321 12,682,946,990 9.16% 17.50% 30,910,247,339 5,838,831,640 23,495,464,001 9,160,991,329 9.16% 17.50% 26,273,710,238 5,279,221,950 20,543,203,142 Trang –PL/93- GVHD: TS.Hay Sinh STT 2011 Giá t 2013 2014 2015 2016 638,680,225,104.60 684,145,553,867.96 739,986,316,402.30 807,020,137,111.92 886,234,054,146.04 978,799,034,256.75 1,086,087,266,652.49 535,042,487,317.43 FCFF=p*FCFF(1)+q*FCFF(2)+(1-pq)*FCFF(3) PV 2012 2017 2018 480,129,190,117.59 435,048,916,188.32 397,469,285,715.82 365,655,775,594.08 338,315,843,403.58 314,483,835,025.51 955,389,602,305.23 6,282,758,332,307 10 11 12 13 14 15 16 2019 2020 2021 2022 2023 2024 2025 2026 2027 1,209,692,491,005.54 1,351,453,660,544.44 1,506,894,852,090.71 1,679,613,717,924.46 1,870,111,989,353.04 2,079,316,565,488.83 2,308,110,421,527.02 2,557,314,187,733.65 2,827,665,627,995.81 293,435,997,646.36 274,627,716,132.65 256,525,744,204.65 239,531,271,955.91 223,421,633,574.37 208,105,243,304.74 193,519,080,441.96 179,620,581,709.62 166,381,434,334.95 17 18 19 2028 2029 2030 3,119,796,980,795.74 3,434,210,127,867.31 3,771,249,548,921.95 153,782,864,183.87 141,812,096,405.91 130,459,732,744.06 20 2032 4,131,073,000,156.11 21 2033 4,541,516,531,490.35 27,617,813,795,517.30 Trang –PL/94- GVHD: TS.Hay Sinh PH L C 17 c tính t l n vay bình quân ngành PHR TRC Doanh thu thu n Doanh thu thu n DPR TNC HRC bình quân ngành C TÍNH CHI PHÍ S D NG N VAY CƠNG TY n 2007 - 2011 2007 8,087,759,988 1,097,341,188,998 0.74% 52,592,156,397 491,893,912,054 3% 68,559,304,111 703,796,059,207 10% 1,183,611,852 165,706,086,735 0.71% 800,000,000 296,007,665,488 0.27% 2008 18,078,399,822 1,267,339,379,002 1.43% 39,277,096,895 549,115,314,787 7% 110,918,304,111 728,795,494,932 15% 1,183,611,852 181,764,539,322 0.65% 600,000,000 289,976,006,972 0.21% 2009 76,108,290,000 1,067,843,568,206 7.13% 46,351,887,553 440,353,171,017 11% 190,063,034,546 648,310,112,778 29% 1,183,611,852 171,590,040,969 0.69% 8,111,697,685 202,644,977,642 4.00% 5.15% Trang –PL/95- 2010 175,576,490,000 2,030,098,609,404 8.65% 34,758,155,155 757,981,620,063 5% 37,796,244,000 1,068,591,101,360 4% 1,183,611,852 181,155,603,460 0.65% 8,111,697,685 411,801,151,056 1.97% 2011 275,735,890,000 2,583,185,551,286 10.67% 13,116,242,363 1,195,284,314,294 1% 35,500,000,000 1,837,201,957,069 2% 247,426,902 144,665,812,472 0.17% 35,191,697,685 688,411,058,130 5.11% 5.72% 5.21% 11.95% 0.58% 2.31% GVHD: TS.Hay Sinh B c tính t l n chi phí n a cơng ty ng nhanh PHR ng t t N vay ng x u 2011 10.67% 275,735,890,000.00 10.67% 275,735,890,000.00 10.29% 2012 2013 11.17% 11.67% 326,171,761,422.11 385,060,538,298.77 11.17% 11.67% 254,008,806,983.01 233,525,249,724.96 2014 12.17% 453,747,546,838.54 12.17% 214,299,687,330.45 2015 12.67% 533,785,035,775.86 12.67% 196,325,204,111.96 2016 13.17% 626,963,239,150.88 13.17% 179,578,424,237.31 2017 13.67% 735,346,018,282.99 13.67% 164,023,562,324.46 10 11 12 13 14 15 2018 2019 2020 2021 2022 2023 2024 2025 2026 14.17% 14.67% 15.17% 14.26% 13.35% 12.44% 11.53% 10.62% 9.71% 861,311,748,549.61 1,007,600,212,249.87 1,177,366,368,125.65 1,247,515,534,867.19 1,313,268,625,597.32 1,372,716,298,654.73 1,423,693,826,427.16 1,463,772,862,004.36 1,490,256,523,836.41 14.17% 14.67% 15.17% 14.26% 13.35% 12.44% 11.53% 10.62% 9.71% 149,615,738,850.68 136,303,678,500.41 124,031,891,811.93 102,275,515,092.28 83,730,397,810.18 68,016,218,499.32 54,783,144,181.74 43,711,686,279.77 34,512,114,280.93 16 17 18 19 21 22 2027 2028 2029 2030 2032 2033 8.80% 7.89% 6.98% 6.06% 5.15% 5.15% 1,500,178,377,694.88 1,490,305,890,245.10 1,457,148,908,468.97 1,396,973,682,499.86 1,305,822,894,910.17 1,436,405,184,401.19 8.80% 7.89% 6.98% 6.06% 5.15% 5.15% 26,923,500,423.17 20,712,466,141.27 15,671,697,159.40 11,618,289,215.01 8,391,980,731.24 7,133,183,621.56 Trang –PL/96- GVHD: TS.Hay Sinh Áp d ng công th c: ( , ) = (1 ( + 1, ) ÷ 2( + 1, ( , )= Ta có r(t, D)l n l ) ( + , 3) , 3) < (1 + )( ( + 1, 3) ( + ) ) 2( ) ( ( + ) ) ( ) (1 + ) t b ng 9.29% Trang –PL/97- i phí GVHD: TS.Hay Sinh PH L C 18 C TÍNH SU T CHI T KH U GIÁ TR L I ÍCH T M CH N THU I V I LÃI VAY v i su t chi t kh u công ty khơng s d ng n vay, ta có su t chi t kh u giá tr t m ch n thu i v i n vay l t ( , ) ( , , ) ( , ) = ( + )/(1 V i = 2( ) )+ ( ) ) ( + 1,1,1) + × ( + 1,1,2) + ( + 1,1,3) + +1 1 ( + 1, +1 ( + 1, ( + 1, +1 , = + ( + 1) +1 , )= 1+ ( ) ( + 1, +1 +1 + ( + 1) +1 +1 , ( + 1, +1 +1 , ) ( )( )÷ ) ( , , ) ( + 1,1) +1 ( + 1,1) = ( , ) ( + 1) ( , ) ( + 1) c ( , ) = 21.05% Trang –PL/98- +1 , ) ( ) + (1 ( + 1,1) + GVHD: TS.Hay Sinh 2011 STT TXSH(1) TXSH(2) TXSH PV 2012 12,063,445,187.50 12,063,445,187.50 11,995,889,894.45 9,910,225,100.80 2013 14,270,014,562.22 11,112,885,305.51 13,562,212,614.09 9,256,198,191.45 2014 16,846,398,550.57 10,216,729,675.47 15,433,550,172.81 8,701,998,076.14 2015 19,851,455,174.19 9,375,611,320.71 17,656,851,199.63 8,224,650,465.07 2016 23,353,095,315.19 8,589,227,679.90 20,286,079,986.12 7,806,446,269.84 2017 27,429,641,712.85 7,856,556,060.38 23,383,340,444.70 7,433,833,716.36 2018 32,171,388,299.88 7,176,030,851.70 27,020,151,836.11 7,096,514,966.97 13,677,732,761.52 119,666,545,328 6,402,424,877,635 2019 37,682,388,999.05 6,545,688,574.72 31,278,900,640.26 6,786,718,981.56 2020 44,082,509,285.93 5,963,285,934.39 36,254,496,093.78 6,498,622,466.64 10 2021 51,509,778,605.50 5,426,395,266.77 42,056,260,566.90 6,227,892,928.90 11 2022 54,578,804,650.44 4,474,553,785.29 44,308,429,932.34 5,420,606,631.76 17 2028 65,632,804,024.15 1,177,903,143.51 52,446,469,634.47 2,039,783,527.07 18 2029 65,200,882,698.22 906,170,393.68 52,048,825,371.99 1,672,360,116.92 19 2030 63,750,264,745.52 685,636,750.72 50,850,970,047.34 1,349,799,177.70 20 2032 61,117,598,609.37 508,300,153.16 48,721,362,780.18 12 2023 57,455,502,369.88 3,663,204,904.20 46,435,539,436.64 4,693,135,294.76 21 2033 57,129,751,652.32 367,149,156.99 45,520,878,658.80 292,909,582,422.56 Trang –PL/99- 13 2024 60,056,338,066.14 2,975,709,559.35 48,367,827,175.54 4,038,501,100.71 14 2025 62,286,604,906.19 2,396,762,557.95 50,026,908,072.50 3,450,788,466.45 15 2026 64,040,062,712.69 1,912,386,274.74 51,325,486,071.52 2,924,817,651.60 16 2027 65,198,722,917.84 1,509,904,999.79 52,167,177,961.96 2,455,919,435.98 GVHD: TS.Hay Sinh p = q 1= = = = (1-p-q) p p =0 = q q (1-p-q) = = 1 =0 (1-p-q) t=0 = t=1 =0 t=2 Các tình hu ng: ng t t v i t l ut > 1, t su t l i t c th ng t t m1 v i xác su t x y p Doanh thu s t gi m v i t l < mt < 1, t su t l i t c th ng x u m2 v i xác su t x y q Công ty phá s n v i doanh thu b ng 0, t su t l i t c th ng r t x u m3 v i xác su t x y (1 – q – p) T i th mb u, L.Peter Jennergren gi nh r ng giá tr V(2, u1u2S0 , ng th i nF), V(2, u1m2S0, nF), V (2, m1u2S0, nF), V(2, m1m2S0 , nF) Trang –PL/1- GVHD: TS.Hay Sinh giá tr V(2, udS0, nF), V (2,m1dS0, nF), V (1, dS0, nF) ng h tm ng t t, giá tr c a công ty không s d ng n vào nh thông qua chi t kh u dòng ti n t k v ng công ty t kh u giá tr dòng ti n c ng h p x y nh cu m ti (1, u b ng ) 1, 0, = p FCF(2, u1 S0 , 1) + V(2, u1 u2 S0 , nF) + q FCF(2, u1 S0 , 2) + V(2, u1 m2 S0 , nF) + (1 q)(FCF(2, u1 S0 , 3) + V(2, u1 dS0 )) p 1 + (1, ) V i t su t chi t kh u ký hi u (1, ), m cu ta ti n hành th c hi n chi t kh u, nF i di n cho giá tr công ty không s d ng n iv (1, ng h (2, + (1 + (2, Và cu 0, , 2) )( 0, + (2, + (2, (2, )) 0, ) 0, ) , 3) 1 + (1, ) ng h p công ty g p ph i s c phá s n, ta có: )=0 T (0, , 1) (2, + 0, ng x u, ta có: ) 0, = (1, tm c giá tr c a công ty không s d ng n t i th ) = ( (1, (1, + )( (1, , 1) , 2) + (1, + (1, , 3) + (1, 0, ) 0, ) + (1 0, Trang –PL/2- )) 1 + (0, ) m cu i GVHD: TS.Hay Sinh Tuy nhiên, cơng th c có th (0, 0, ) = { 0[ c vi t l i m (1,1,1) + + (1, , )} (1, ) (1,1,2) + (1 Trang –PL/3- ) (1,1,3)] ... cơng th c (2 . 3) vi t l ( , , 2) ( (1 = 1) ( ) )( 1 2.3.1.2 ) ( ) (1 1) (1 ( ( ) 1) ( 1) 1) 1) (1 (2 . 9) ng h p g p s c phá s n (dt = 0) t l c a dòng ti n doanh thu l i c s n Trong t ( , ( c) Dịng... ) (2 . 6) ( ) su t chi t kh u tính theo t ng ng doanh thu) ( ) = ( ) = 1 =0 1+ ( ) = 1+ ( ) ( 1) ( ) ( )> 0 n u ( )= Ta có giá tr tài s n c ( ) 1+ ( ) ( ) (1 nh ròng vào cu ) Trang –PL/13- ng: (2 . 7). .. tr ( + 1, +1 , ) nh ), vi t ti n hành xem xét dòng ti +1 , ng ( , )= , ( + 1, ( + 1, 1) ) ( + 1) ( , ( , )= 1+ ( ) +1 , ( +1, 1) = + ( + 1) ( , ) ( + 1) = ) , ( +1, 1) +1 ( , ) T (2 .1 2), (2 .1 3), (2 .1 4),