Standards & Frameworks — Buổi 08: WACC & Cost of Capital

"Estimating cost of capital is the most critical — and most error-prone — step in valuation." — McKinsey & Company

Tổng quan các Frameworks

Buổi 08 tham chiếu 5 frameworks chuyên nghiệp cho WACC & Cost of Capital:

#	Framework	Tổ chức	Ứng dụng chính
1	CFA Level II — Cost of Capital	CFA Institute	Exam & Professional Practice
2	Damodaran Cost of Capital Framework	NYU Stern (Aswath Damodaran)	Academic & Practitioner
3	McKinsey WACC Estimation	McKinsey & Company	Consulting & Advisory
4	Fama-French Multi-Factor Models	Academic (Fama & French)	Research & Advanced Practice
5	Duff & Phelps / Kroll Cost of Capital	Kroll (formerly Duff & Phelps)	Litigation, Fair Value, Private

1. CFA Level II — Cost of Capital

1.1 Vị trí trong CFA Curriculum

Level	Topic	Weight	Focus
I	Corporate Issuers	8–12%	Basic WACC concept
II	Corporate Issuers — Cost of Capital	5–10%	CAPM, Beta, WACC estimation
III	Portfolio Management	5–10%	Multi-factor models in portfolio context

CFA Level II Reading "Cost of Capital" là required reading cho mọi candidate.

1.2 CFA — WACC Formula (Chính thức)

W A C C = w_{d} \times r_{d} \times (1 - t) + w_{p} \times r_{p} + w_{e} \times r_{e}

Trong đó:

$w_{d}, w_{p}, w_{e}$ = weights of debt, preferred equity, common equity
$r_{d}$ = before-tax cost of debt
$r_{p}$ = cost of preferred stock = $D_{p} / P_{p}$
$r_{e}$ = cost of common equity
$t$ = marginal tax rate

CFA yêu cầu dùng:

Target capital structure (not current) cho weights
Market values cho weights (not book values)
Marginal tax rate (not effective)

1.3 CFA — 3 phương pháp tính Cost of Equity

#	Phương pháp	Công thức	Khi nào dùng
1	CAPM	$r_{e} = R_{f} + β \times E R P$	Default method — dùng hầu hết
2	DDM (Bond Yield + Risk Premium)	$r_{e} = \frac{D_{1}}{P_{0}} + g$	Công ty trả dividend ổn định
3	Bond Yield Plus Risk Premium	$r_{e} = Y T M_{c o m p a n y b o n d} + Risk Premium$	Công ty có bonds, rough estimate

1.4 CFA — Beta Estimation Guidelines

CFA curriculum hướng dẫn:

Guideline	Chi tiết
Data	60 monthly returns (5 years), hoặc 2 years weekly
Market proxy	Broad equity index (S&P 500, MSCI)
Adjusted Beta	$β_{a d j u s t e d} = \frac{2}{3} \times β_{r a w} + \frac{1}{3} \times 1.0$ (Bloomberg adjustment)
Re-levering	Hamada equation: $β_{L} = β_{U} \times [1 + (1 - t) \times D / E]$
Beta for project	Use asset beta of comparable pure-play companies

1.5 CFA — Khi nào CAPM không phù hợp?

Tình huống	Vấn đề	Giải pháp CFA đề xuất
Private company	Không có stock price → không có β	Bottom-up β hoặc Build-up
Very small company	CAPM underestimates risk	Thêm Size Premium
Emerging market	US ERP không đủ	Thêm Country Risk Premium
Thinly traded stock	β bị biased downward	Adjust beta hoặc dùng comps

2. Damodaran Cost of Capital Framework

2.1 Triết lý Damodaran

Damodaran coi việc estimate cost of capital là exercise in balancing rigor with practicality. Ông phản đối:

"WACC from a textbook" — plug and play without thinking
"Identical WACC for all projects" — phải match risk của từng project

2.2 Damodaran — Risk-Free Rate Rules

Rule	Mô tả
Match currency	Cash flow in USD → $R_{f}$ = US Treasury. Cash flow in VND → $R_{f}$ = TPCP VN
Match duration	10-year projection → 10-year government bond
No default risk	Chỉ dùng sovereign bond của quốc gia rating AAA. Nếu không → adjust
Nominal vs Real	Cash flow nominal → Rf nominal. Cash flow real → Rf real (TIPS)

Vấn đề VN: TPCP VN (BB+ rating) không thực sự risk-free. Damodaran khuyên: dùng US 10Y Treasury + convert sang VND qua inflation differential, HOẶC dùng VN bond yield nhưng giảm ERP để tránh double-counting.

2.3 Damodaran — Equity Risk Premium (Updated Jan 2025)

Thành phần	Giá trị	Phương pháp
US Implied ERP	4.60%	Implied từ S&P 500 price + expected cash flows
Mature Market ERP	4.60%	Baseline cho tất cả quốc gia
VN Country Risk Premium	3.38%	Default spread × equity/bond volatility
VN Total ERP	7.98%	Mature ERP + CRP

2.4 Damodaran — Country Risk Premium Methodology

3 approaches:

Approach	Công thức	Ưu/Nhược
Default Spread	$C R P = Sovereign Spread$	Đơn giản nhưng underestimates equity risk
Relative Equity Volatility	$C R P = E R P_{U S} \times \frac{σ_{V N}}{σ_{U S}} - E R P_{U S}$	Volatile; VN market $σ$ rất biến động
Default Spread × Volatility	$C R P = Spread \times \frac{σ_{e q u i t y}}{σ_{b o n d}}$	Damodaran's preferred — balanced

2.5 Damodaran — Bottom-Up Beta Process

Step	Hành động	Tool
1	Identify business segments	Annual Report
2	Find pure-play comps	Damodaran Industry Beta dataset
3	Unlever each comp	$β_{U} = β_{L} / [1 + (1 - t) \times D / E]$
4	Average $β_{U}$ across comps	Median hoặc revenue-weighted
5	Re-lever at target D/E	$β_{L} = β_{U} \times [1 + (1 - t) \times D / E_{t a r g e t}]$
6	Multi-segment: weighted average	Revenue-weight $β_{U}$ of each segment

2.6 Damodaran — Synthetic Rating for Cost of Debt

Damodaran publish bảng Interest Coverage Ratio → Rating → Default Spread (updated annually):

Cho Large Companies (Market Cap > $5B):

ICR Range	Rating	Spread over $R_{f}$
> 12.5	AAA	0.63%
9.5–12.5	AA	0.78%
7.5–9.5	A+	1.00%
6.0–7.5	A	1.13%
4.5–6.0	A−	1.25%
4.0–4.5	BBB	1.75%
3.5–4.0	BB+	2.25%
3.0–3.5	BB	2.75%
2.5–3.0	B+	3.50%
2.0–2.5	B	4.25%
1.5–2.0	B−	5.50%
1.0–1.5	CCC	8.50%
< 1.0	D	12.00%

Cho Small Companies (Market Cap < $5B): Threshold ICR thấp hơn, spread cao hơn — phản ánh higher default probability.

3. McKinsey WACC Estimation

3.1 McKinsey's Approach (Valuation, 7th Ed.)

McKinsey chia WACC estimation thành 5 steps:

Step	Nội dung	Key Point
1	Target Capital Structure	Dùng industry median D/E, not current
2	Cost of Debt	YTM trên outstanding bonds + credit analysis
3	Cost of Equity (CAPM)	Risk-free + β × MRP
4	Beta: Levered vs Unlevered	Peer group unlevered β → re-lever
5	WACC Calculation & Sanity Check	Cross-check with implied WACC from trading multiples

3.2 McKinsey — Market Risk Premium

McKinsey khuyên dùng long-term geometric average của US equity vs. government bonds:

Period	MRP (Arithmetic)	MRP (Geometric)
1926–2024	7.5%	5.5%
McKinsey recommendation		5.0–6.0%

McKinsey sử dụng MRP cao hơn Damodaran implied ERP (~4.6%) → dẫn đến $K_{e}$ và WACC cao hơn.

3.3 McKinsey — Sanity Checks

Check	Mô tả
WACC vs Industry	WACC nên gần industry median (±1–2%)
Implied WACC	Từ current EV/FCFF multiple → reverse-engineer WACC
WACC vs Bond Yield	WACC phải > $K_{d}$ (after-tax) — nếu không, sai equity portion
WACC trend	Không nên thay đổi đột ngột year-over-year (trừ M&A hoặc restructuring)

4. Fama-French Multi-Factor Models

4.1 Lịch sử & Motivation

Eugene Fama và Kenneth French (1992, 1993) chứng minh rằng CAPM không giải thích đủ sự khác biệt return giữa các cổ phiếu. Cần thêm factors.

4.2 Three-Factor Model

E (R_{i}) = R_{f} + β_{1} \times (R_{m} - R_{f}) + β_{2} \times S M B + β_{3} \times H M L

Factor	Tên đầy đủ	Ý nghĩa
$R_{m} - R_{f}$	Market Risk Premium	Rủi ro thị trường (giống CAPM)
$S M B$	Small Minus Big	Small cap outperform large cap
$H M L$	High Minus Low (Book/Market)	Value stocks outperform growth

4.3 Five-Factor Model (2015)

E (R_{i}) = R_{f} + β_{1} (M K T) + β_{2} (S M B) + β_{3} (H M L) + β_{4} (R M W) + β_{5} (C M A)

Factor	Ý nghĩa
$R M W$	Robust Minus Weak — profitable firms outperform
$C M A$	Conservative Minus Aggressive — low investment firms outperform

4.4 Ứng dụng thực tế

Context	CAPM vs Fama-French
DCF Valuation	CAPM vẫn dominant (1 con số, dễ explain)
Portfolio Management	Fama-French 3–5 factor (better fit)
Academic Research	FF Five-Factor + Momentum (6-factor)
CFA Exam	CAPM primary, FF as alternative

Tại sao CAPM vẫn thắng trong practice?

Simple: 1 number ( $β$ ), dễ communicate
Transparent: client/board hiểu được
Sufficient: trong DCF, error từ cash flow projections >> error từ discount rate model

4.5 Carhart Four-Factor (Bonus)

E (R_{i}) = R_{f} + β_{1} (M K T) + β_{2} (S M B) + β_{3} (H M L) + β_{4} (W M L)

$W M L$ = Winners Minus Losers (Momentum factor) — stocks that went up continue to go up (short-term).

5. Duff & Phelps / Kroll Cost of Capital

5.1 Khi nào dùng?

Situation	Tại sao Duff & Phelps
Litigation / Fair Value	Court requires defensible methodology
Private company valuation	No market price → Build-up method
Tax / Estate planning	IRS accepts D&P data
Purchase Price Allocation	IFRS 3 / ASC 805 compliance

5.2 Build-Up Method

K_{e} = R_{f} + E R P + Size Premium + Industry Premium + Company-Specific Premium

Duff & Phelps Size Premium (US data, 2024):

Decile	Market Cap Range	Size Premium
1 (Largest)	> $50B	−0.35%
2	$15–50B	0.62%
3–5	$3–15B	1.0–1.5%
6–8	$500M–3B	1.8–2.5%
9	$100–500M	3.5%
10 (Smallest)	< $100M	5.6%

5.3 Ứng dụng cho VN Private Companies

Nhiều công ty VN chưa niêm yết (SMEs) cần valuation cho:

M&A: PE fund mua stake → cần fair value
Cổ phần hóa SOE: Nhà nước bán vốn → cần independent valuation
Shareholder dispute: Tòa án yêu cầu định giá → cần credible method

Build-Up cho VN private company (ví dụ):

Component	Value
$R_{f}$ (TPCP 10Y VN)	3.0%
ERP (VN Total)	8.0%
Size Premium (very small)	5.0%
Industry (manufacturing)	1.5%
Company-Specific (key person, customer concentration)	3.0%
Total $K_{e}$	20.5%

→ WACC cho VN private SME có thể lên 18–22% — rất cao, phản ánh rủi ro thực sự.

Bảng so sánh tổng hợp 5 Frameworks

Tiêu chí	CFA	Damodaran	McKinsey	Fama-French	Duff & Phelps
Primary model	CAPM	CAPM + Bottom-up	CAPM	Multi-factor	Build-up
ERP	Historical or Implied	Implied (preferred)	Historical geometric	Factor loadings	ERP + premiums
Beta	Regression + adjusted	Bottom-up (preferred)	Peer group	Multi-β regression	N/A (Build-up)
Best for	Exam & standard practice	Public & unlisted	M&A advisory	Portfolio/research	Private & litigation
VN applicability	⭐⭐⭐	⭐⭐⭐⭐⭐	⭐⭐⭐⭐	⭐⭐	⭐⭐⭐⭐

Tài liệu tham khảo

Sách

CFA Institute — CFA Program Curriculum Level II: Corporate Issuers — Cost of Capital (2025 Edition)
McKinsey — Valuation: Measuring and Managing the Value of Companies, Tim Koller et al. (7th Ed.) — Ch. 13
Damodaran, A. — Investment Valuation: Tools and Techniques (3rd Ed., Wiley) — Ch. 7–9
Damodaran, A. — The Dark Side of Valuation (3rd Ed.) — Emerging Market chapters
Fama, E. & French, K. — The Cross-Section of Expected Stock Returns (Journal of Finance, 1992)
Fama, E. & French, K. — A Five-Factor Asset Pricing Model (Journal of Financial Economics, 2015)

Online Resources

Damodaran Online — pages.stern.nyu.edu/~adamodar/ — ERP, CRP, Industry Beta datasets
Kroll Cost of Capital Navigator — kroll.com/en/cost-of-capital
Kenneth French Data Library — mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
CFI — corporatefinanceinstitute.com/resources/valuation/wacc/

Điều hướng Buổi 08

Tài liệu	Mô tả
📖 Bài giảng chính	WACC, CAPM, Beta, Cost of Debt — lý thuyết đầy đủ
📝 Blog	WACC trong M&A · Beta Tesla vs VNM · Damodaran ERP
📊 Case Study	Tesla CAPM, FPT bottom-up Beta, VN Country Risk Premium
📚 Standards	CFA, Damodaran, McKinsey, Fama-French frameworks
🔧 Workshop	WACC Calculator — FPT: CAPM, Kd, Sensitivity β & Rf
🎮 Game	WACC Speed Run — 8 bài tính nhanh, 3 huy chương

Standards & Frameworks — Buổi 08: WACC & Cost of Capital ​

Tổng quan các Frameworks ​

1. CFA Level II — Cost of Capital ​

1.1 Vị trí trong CFA Curriculum ​

1.2 CFA — WACC Formula (Chính thức) ​

1.3 CFA — 3 phương pháp tính Cost of Equity ​

1.4 CFA — Beta Estimation Guidelines ​

1.5 CFA — Khi nào CAPM không phù hợp? ​

2. Damodaran Cost of Capital Framework ​

2.1 Triết lý Damodaran ​

2.2 Damodaran — Risk-Free Rate Rules ​

2.3 Damodaran — Equity Risk Premium (Updated Jan 2025) ​

2.4 Damodaran — Country Risk Premium Methodology ​

2.5 Damodaran — Bottom-Up Beta Process ​

2.6 Damodaran — Synthetic Rating for Cost of Debt ​

3. McKinsey WACC Estimation ​

3.1 McKinsey's Approach (Valuation, 7th Ed.) ​

3.2 McKinsey — Market Risk Premium ​

3.3 McKinsey — Sanity Checks ​

4. Fama-French Multi-Factor Models ​

4.1 Lịch sử & Motivation ​

4.2 Three-Factor Model ​

4.3 Five-Factor Model (2015) ​

4.4 Ứng dụng thực tế ​

4.5 Carhart Four-Factor (Bonus) ​

5. Duff & Phelps / Kroll Cost of Capital ​

5.1 Khi nào dùng? ​

5.2 Build-Up Method ​

5.3 Ứng dụng cho VN Private Companies ​

Bảng so sánh tổng hợp 5 Frameworks ​

Tài liệu tham khảo ​

Sách ​

Online Resources ​

Điều hướng Buổi 08 ​