🏆 Tiêu chuẩn Buổi 7: Capital Structure & Dividend Policy Frameworks

📋 Bản đồ tiêu chuẩn

Tiêu chuẩn	Chủ đề	Áp dụng
M&M Theorem (1958, 1963)	Capital Structure Irrelevance/Relevance	Prop I & II, Tax Shield
Trade-off Theory	Optimal Capital Structure	Tax Shield vs Financial Distress
Pecking Order (1984)	Financing Hierarchy	Internal → Debt → Equity
CFA — Corporate Issuers	Leverage & Dividend Policy	DOL, DFL, DTL, Payout
Miller (1977)	Personal Taxes & Capital Structure	Đưa cả personal tax vào M&M

📗 Modigliani–Miller Theorem

Lịch sử

Franco Modigliani & Merton Miller công bố 1958 (The Cost of Capital, Corporation Finance and the Theory of Investment). Cả hai đều nhận giải Nobel (Modigliani 1985, Miller 1990). Đây là nền tảng lý thuyết toàn bộ Corporate Finance hiện đại.

Giả định M&M (Perfect Capital Markets)

#	Giả định	Ý nghĩa
1	Không thuế	No corporate or personal taxes
2	Không chi phí giao dịch	No transaction costs
3	Không chi phí phá sản	No bankruptcy/distress costs
4	Thông tin hoàn hảo	Symmetric information
5	Cá nhân và DN vay cùng lãi suất	Homogeneous borrowing rate
6	Không có agency costs	Managers act in shareholders' interest

Proposition I — Firm Value

No tax:

V_{L} = V_{U}

Giá trị doanh nghiệp không phụ thuộc vào capital structure. Firm value được quyết định bởi operating assets & cash flows.

With corporate tax (1963 correction):

V_{L} = V_{U} + t_{C} \times D

Tax Shield = $t_{C} \times D$ — present value của lá chắn thuế từ lãi vay (giả sử perpetual debt, discount at $K_{d}$ ).

Proposition II — Cost of Equity

No tax:

K_{e} = K_{0} + (K_{0} - K_{d}) \times \frac{D}{E}

With corporate tax:

K_{e} = K_{0} + (K_{0} - K_{d}) \times (1 - t_{C}) \times \frac{D}{E}

WACC under M&M

No tax:

WACC = K_{0} (constant, independent of leverage)

With corporate tax:

WACC = K_{0} \times (1 - t_{C} \times \frac{D}{V})

→ WACC giảm khi D tăng → hàm ý: vay 100% là optimal. Nhưng thực tế không ai làm vậy → cần thêm distress costs (Trade-off) hoặc information asymmetry (Pecking Order).

Miller (1977) — Extended with Personal Taxes

V_{L} = V_{U} + [1 - \frac{(1 - t_{C}) (1 - t_{E})}{(1 - t_{D})}] \times D

Ký hiệu	Ý nghĩa
$t_{C}$	Corporate tax rate
$t_{E}$	Personal tax on equity income (capital gains + dividends)
$t_{D}$	Personal tax on interest income (debt)

Nếu $t_{D} > t_{E}$ : Investors đòi higher pre-tax return on debt → giảm tax advantage of debt. Miller showed that in equilibrium, firm-level tax advantage of debt is partially offset by investor-level tax disadvantage.

📕 Trade-off Theory — Static & Dynamic

Static Trade-off

V_{L} = V_{U} + P V (Tax Shield) - P V (Financial Distress Costs) - P V (Agency Costs of Debt)

Financial Distress Costs (chi tiết)

Loại	Thành phần	% Firm Value (est.)
Direct	Legal fees, court costs, administrative	3–5%
Direct	Accounting, advisory, restructuring	1–2%
Indirect	Lost sales (customer concern)	5–10%
Indirect	Lost talent (key employees leave)	3–5%
Indirect	Supplier terms worsen (COD, price increase)	2–5%
Indirect	Fire-sale of assets (below fair value)	5–15%
Indirect	Underinvestment (Myers 1977 debt overhang)	3–8%
Total		20–40% of pre-distress value

Agency Costs of Debt

Problem	Mô tả	Solution
Asset substitution	Sau khi vay, shareholders chuyển sang dự án rủi ro hơn (upside cho equity, downside cho debt)	Covenants, collateral
Debt overhang	Firm bỏ qua NPV>0 projects vì payoff chủ yếu cho debt holders	Renegotiate or new equity
Underinvestment	Khi firm gần distress, không muốn đầu tư (benefit → creditors)	Protective covenants

Optimal Capital Structure

Tại điểm optimal:

\frac{\partial}{\partial D} [P V (Tax Shield)] = \frac{\partial}{\partial D} [P V (Distress) + P V (Agency)]

→ Marginal benefit of debt = Marginal cost of debt.

Dynamic Trade-off

Firms không luôn ở optimal D/E. Adjustment costs (transaction costs of issuing/retiring securities) khiến D/E dao động quanh target. Firms adjust toward target gradually — tốc độ điều chỉnh phụ thuộc vào adjustment costs vs deviation costs.

📕 Pecking Order Theory — Myers & Majluf (1984)

Foundations

Dựa trên Adverse Selection (George Akerlof, 1970 — Market for Lemons):

Managers có thông tin nội bộ về firm value
Khi phát hành equity → thị trường suy luận cổ phiếu overvalued
→ Share price drops on equity issuance announcement

Predictions

Prediction	Evidence
Firms prefer internal funding first	R&D-intensive firms hoard cash
Debt preferred over equity	SEO → price drop 2-3%, bond issue → near zero
Profitable firms have low leverage	Confirmed empirically (opposite of Trade-off!)
No "optimal" D/E target	D/E is historical artifact of cumulative financing needs

Pecking Order vs Trade-off — Key Differences

Feature	Trade-off	Pecking Order
Optimal D/E	Yes, target exists	No target
Profitable firms	High D/E (use tax shield)	Low D/E (sufficient internal funds)
Issuing equity	When D/E above target	Last resort
Empirical support	Industry-level patterns	Firm-level behavior
Cash holdings	Return excess cash	Hoard cash as buffer

Reconciliation

Most academic research (Fama & French, 2002; Frank & Goyal, 2009) suggests both theories explain different aspects:

Trade-off: explains cross-industry variation (utilities vs tech)
Pecking Order: explains within-industry variation & year-to-year changes

📗 Dividend Policy Theories

M&M Dividend Irrelevance (1961)

Trong perfect markets, dividend policy không ảnh hưởng firm value. Shareholders có thể tạo "homemade dividends" bằng cách bán cổ phiếu.

Bird-in-hand Theory (Gordon & Lintner)

K_{e} = \frac{D_{1}}{P_{0}} + g

Investors prefer certain dividends over uncertain capital gains → high payout = lower $K_{e}$ = higher value.

Tax Preference Theory (Litzenberger & Ramaswamy)

Income Type	Tax Treatment	Implication
Dividends	Ordinary income tax (higher)	Disadvantaged
Capital Gains	Lower rate + deferred until sale	Advantaged

→ Firms should retain earnings (low payout) to maximize after-tax return for shareholders.

Signaling Theory

Dividend changes convey information:

Dividend increase → management expects sustainable higher earnings → positive signal
Dividend cut → financial difficulty → very negative signal (stock drops 5-10%+)

Clientele Effect

Different investor groups prefer different payout policies:

Clientele	Preference	Lý do
Tax-exempt (pension funds)	High dividend	No tax disadvantage
High-income individuals	Low dividend / buyback	Tax preference
Retirees	High, stable dividend	Income needs
Growth investors	Zero dividend	Reinvest for compounding

📗 CFA Corporate Issuers — Leverage Measures

CFA Learning Outcomes (Level I)

Describe the use of financial leverage and its effects on net income and ROE
Calculate DOL, DFL, DTL given company data
Explain the effect of financial leverage on a company's net income and ROE
Describe the M&M propositions regarding capital structure
Describe target capital structure and factors affecting it
Describe theories of dividend policy

Leverage Formulas (CFA)

Measure	Formula	Interpretation
DOL	$\frac{Q (P - V)}{Q (P - V) - F}$	Sensitivity of EBIT to sales changes
DFL	$\frac{EBIT}{EBIT - I}$	Sensitivity of EPS to EBIT changes
DTL	$DOL \times DFL$	Total sensitivity: sales → EPS
ROE (levered)	$ROA + (ROA - K_{d}) \times \frac{D}{E}$	Leverage amplification of returns

Breakeven Leverage

Leverage adds value only when $ROA > K_{d}$ :

ROE = ROA + (ROA - K_{d}) \times \frac{D}{E}

If ROA > $K_{d}$ : higher D/E → higher ROE (positive leverage)
If ROA < $K_{d}$ : higher D/E → lower ROE (negative leverage)
If ROA = $K_{d}$ : D/E irrelevant for ROE

📊 Công thức tổng hợp

Metric	Công thức	Framework
M&M Prop I (no tax)	$V_{L} = V_{U}$	M&M (1958)
M&M Prop I (tax)	$V_{L} = V_{U} + t_{C} \times D$	M&M (1963)
M&M Prop II (tax)	$K_{e} = K_{0} + (K_{0} - K_{d}) (1 - t) \frac{D}{E}$	M&M (1963)
Trade-off	$V_{L} = V_{U} + P V (T S) - P V (F D C)$	Trade-off Theory
DOL	$\frac{Q (P - V)}{Q (P - V) - F}$	CFA Corporate Issuers
DFL	$\frac{EBIT}{EBIT - I}$	CFA Corporate Issuers
DTL	$DOL \times DFL$	CFA Corporate Issuers
ROE (leverage effect)	$ROA + (ROA - K_{d}) \frac{D}{E}$	DuPont / CFA
Payout Ratio	$\frac{Dividends}{NI}$	Dividend Policy
SGR	$ROE \times (1 - Payout)$	Sustainable Growth
Miller (1977)	$V_{L} = V_{U} + [1 - \frac{(1 - t_{C}) (1 - t_{E})}{(1 - t_{D})}] D$	Miller Extension

📚 Tài liệu tham khảo

Nguồn	Mô tả
📘 Modigliani, F. & Miller, M. (1958) — The Cost of Capital	Original M&M paper — nền tảng
📕 Modigliani, F. & Miller, M. (1963) — Corporate Income Taxes	Tax correction — Prop I with tax
📗 Miller, M. (1977) — Debt and Taxes	Personal taxes extension
📕 Myers, S. & Majluf, N. (1984) — Corporate Financing	Pecking Order Theory foundation
📘 CFA Institute — Corporate Issuers	Level I & II: Leverage, Capital Structure, Dividends
📗 Berk & DeMarzo — Corporate Finance Ch.14-17	Textbook: Capital Structure & Payout
📕 Graham, J. (2000) — How Big Are the Tax Benefits of Debt?	Empirical estimate: tax shield ~10% firm value
📘 Altman, E. (1984) — A Further Investigation of Bankruptcy Costs	Distress costs empirical evidence

🏆 Tiêu chuẩn Buổi 7: Capital Structure & Dividend Policy Frameworks ​

📋 Bản đồ tiêu chuẩn ​

📗 Modigliani–Miller Theorem ​

Lịch sử ​

Giả định M&M (Perfect Capital Markets) ​

Proposition I — Firm Value ​

Proposition II — Cost of Equity ​

WACC under M&M ​

Miller (1977) — Extended with Personal Taxes ​

📕 Trade-off Theory — Static & Dynamic ​

Static Trade-off ​

Financial Distress Costs (chi tiết) ​

Agency Costs of Debt ​

Optimal Capital Structure ​

Dynamic Trade-off ​

📕 Pecking Order Theory — Myers & Majluf (1984) ​

Foundations ​

Predictions ​

Pecking Order vs Trade-off — Key Differences ​

Reconciliation ​

📗 Dividend Policy Theories ​

M&M Dividend Irrelevance (1961) ​

Bird-in-hand Theory (Gordon & Lintner) ​

Tax Preference Theory (Litzenberger & Ramaswamy) ​

Signaling Theory ​

Clientele Effect ​

📗 CFA Corporate Issuers — Leverage Measures ​

CFA Learning Outcomes (Level I) ​

Leverage Formulas (CFA) ​

Breakeven Leverage ​

📊 Công thức tổng hợp ​

📚 Tài liệu tham khảo ​

🔗 Xem thêm Buổi 7 ​

🏆 Tiêu chuẩn Buổi 7: Capital Structure & Dividend Policy Frameworks

📋 Bản đồ tiêu chuẩn

📗 Modigliani–Miller Theorem

Lịch sử

Giả định M&M (Perfect Capital Markets)

Proposition I — Firm Value

Proposition II — Cost of Equity

WACC under M&M

Miller (1977) — Extended with Personal Taxes

📕 Trade-off Theory — Static & Dynamic

Static Trade-off

Financial Distress Costs (chi tiết)

Agency Costs of Debt

Optimal Capital Structure

Dynamic Trade-off

📕 Pecking Order Theory — Myers & Majluf (1984)

Foundations

Predictions

Pecking Order vs Trade-off — Key Differences

Reconciliation

📗 Dividend Policy Theories

M&M Dividend Irrelevance (1961)

Bird-in-hand Theory (Gordon & Lintner)

Tax Preference Theory (Litzenberger & Ramaswamy)

Signaling Theory

Clientele Effect

📗 CFA Corporate Issuers — Leverage Measures

CFA Learning Outcomes (Level I)

Leverage Formulas (CFA)

Breakeven Leverage

📊 Công thức tổng hợp

📚 Tài liệu tham khảo

🔗 Xem thêm Buổi 7