FCF-WACC
. . 5.3 , . 5.4 .
. (WACC), , , :
♦ (D/E , , ,
5.3. FCF-WACC
1
2
,
. ( . , , .)
4
(WACC). ( , WACC, 4.)
5
FCF, . ( , : ?)
6
♦ .
♦ .
♦
.
♦
, .
, WACC, , , ( , WA ), 1.
APV
, APV FCF, FCF-WACC-, , , . , APV , , , (PV , .).
|
|
APV = FCF, , , + PV , , + PV (, . .).
, APV , , .
. 5.5 , . 5.6 , . 5.4.
' WACC APV . Timothy A. Luehman, Using APV: a better tool for valuing operations, HBR, May-June 1997, What is worth? A general manager guide to valuation, HBR, May-June 1997.
5.4. FCF-WACC
2000 . Bidder Ltd. Target Co., Bidder Ltd. . Target . 1999 . 1,5 . Bidder Target Bidder. :
15%
10% (:
, )
10%
35000 2000 .
5000 2001 2002 . 2002 . 50000
20000 2000 .
10000 2001 . 2002 . 2002 . 50000
35%
(() 1,50
Target Co.
0,40 V = D +
Target Co.
(D/V)
) 0,75
Bidder Inc.
0,25 V = D +
Bidder Inc.
(D/V)
5,7%
7,00%
, , 600000 ,
7% , . 100000 (2000-2001 .). , , 400000 7% .
1 2
Target . (. ):
1999 2000 2001 2002 2003
1500 1725,0 1984,0 2281,0 2281,0
172,5 198,4 228,1 228,1
- (60,4) (69,4) (79,8)(79,8)
EBIAT 112,1 129,0 148,3 148,3
+ 20,0 30,0 40,0 50,0
-DNWC (22,5) (25,9) (29,8) 0
- (35,0)(40,0) (45,0) (50,0)
74,6 93,1 113,5 148,3
Target Co. 40%.
4
:
|
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ke=re+βex [ ]
=> ke = 5,7% + 1,5 [7%] = 16,2%.
kd = 7% => = (1 t) x kd = 0,65 [7%] - 4,55%
=*WACC = 40% 0,0455 + 60% 0,162 = 11,54%. 5
, 2003 . :
TV=148,3/0,1154=1285. 6
FCF WACC, :
V f = 74,6/1,1154 + 93,1/1,11542 +113,5/1,11543 + (148,3 + 1285)/1,11544 = 1150. 7
,
:
V f = V e+ V d => V e = V f V d => V e = 1150-600 = 550.
5.5. APV
1
2
, ,
. ( ,
rx Dn tc, tc .)
TV FCF
4
FCF, kc (
, kc, 4.)
5
V, r
6
, 4 5.
(APV)
7
,
NPV= (CF0) + FCF1 / (1 + kc) + FCF2 (1 + kc) 2 +... + (FCFn+ TVA) / (1 + kc)n
+ (tcxrxD1)/(1 + r) + (tcxrxD2)/(1+r) 2 +... + [(tcxrxDn)+ TVTS]/(1+r)n
kc = r{ + βa (rm - rf)
βa = E / V x βe
:
βe = ( ) βa = ( ) kc - rf =
5.6. APV
rm = ( )
r =
= ( = 1, 2, 3,...)
Dn =
=
V = ( )
tc =
CFo =
FCFn =
TVA =
TVTS =
- , . , , . , 7%, 5,7% 7%, 0,186 (7% = 5,7% + 0,186 7%)>.
, WACC , , , .
, WACC, , , , WACC . , APV : DCF, , , . ,
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1 βd , :
βe = [ βa - D/(D + ) βd / [E/(D + E)].
1 2
Target Co. ,
FCF-WACC (. . 5.4) ( . ):
2000 2001 2002 2003
74,6 93,1 113,5148,3
Target Co.:
1999 2000 2001 2002 2003
600 500 400 400400
42 35 28 28
14,7 12,25 9,8 9,8
kc = rf + βa [ ]
βa = βe / (D + ) (. 4)
βa = 1,50 0,60 = 0,90 kc = 5,70% + 0,90 [7%]= 12%.
, FCF
148,3/0,12=1235,8. 4
12%. , :
Vu = 74,6/1,12 + 93,1/(1,12)2+ 113,5/(1,12)3 +(148,3 +1235,8)/(1,12)4 = 1101. 5
TV 7%:
PVTS= 14,7/1,07+ 12,25/(1,07)2+ 9,8/(1,07)3+ (9,8+ 140*)/(1,07)4= 147. 6
, , :
Vl = Vu + PVTS => Vl = 1101 +147 = 1248. 7
:
Ve = Vf Vd => Ve = 1248 600 =648.
, APV , , . , , , , APV . , WACC, , , APVb DCF2.
(CCF) APV-,
APV ( APV). APV , . , , kd. APV , , , kc. , 3-5 . 5.5 .
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, , APV, :
APV = = + t x , FCF- WA APV, a t .
, (ECF ')
, , , , , . . , , . , .
5.7 , , FCF. . 5.8 V. 5.9 , . 5.4.
, FCF, , ,
5.7. , , FCF
, , , . , .
EBIT EBITx(1-t)
:
:
: :
: :
: NWC : NWC
:
:
: ,
: FCF
1 .
2 Note on adjusted present value, HBS, 9-293-092, p. 7.
1 ECF Equity Cash Flow. . .
5.9. ECF
, , . , , , , . . , .
, . 5.4, , , Target Co. (. ):
2000 2001 2002 2003
1725,0 1984,0 2281,0 2281,0
(1) 172,5 198,4 228,1 228,1
- (7% ) (42) (35) (28) (28)
EBIT ( ) 130,5 163,4 200,1 200,1
- (35%) (45,7) (57,2) (70) (70)
84,8 106,2 130,1 130,1
+ 20 30 40 50
-DNWC (22,5) (25,9) (29.8)
- (35) (40) (45) (50)
- (100) (100)
, (52,7) (29,7) 96,3 130,1
(. . 5.4) = 16,2%.
, 2003 .:
V= 130,1/0,162 = 803,1.
ECF , :
V e = (52,7)/((1,162) + (29,7))/(1,162)2 + 96,3/(1,162):3+(130,1+803,1)/(1,162)4 = 506.
, , 1. . 5.10 DCF.