Cost of Capital
Cost of Capital
Nama Kelompok:
Matthew Victoria 37408003
Venny Dwiyanti 37408010
Inge Talia 37408018
Gentry DSG 37408039
Perhitungan cost of capital sangat penting karena:
1. Membantu perusahaan untuk melakukan bench mark
pada perusahaan lain yang cukup baik
2. Membantu membuat keputusan karena cost of capital
telah diestimasi
kd
= biaya hutang
kps
ks
ke
= pajak
K = Rf + (Rm
Rf)
Rf = Interest rate available on a risk free
bond
Rm = Return required to attract investors to hold the
broad market portfolio of risky assets
= The relative risk of the particular asset
Beta Estimates
Finance theory calls for a forward-looking beta, one
reflecting investors uncertainty about the future cash
flows to equity.
Rit = i + i (Rmt)
where:
Rit = Return on stock I in time period
Rmt = Return on the market portfolio in period t
i = Regression constant for stock I
i = Beta for stock i
Beta Estimates
Compromises underlying beta estimates and their effect on estimated betas
Of sample companies
Bloomberg
Value Line
Standard and
Poors
Number of
observations
Time interval
Market index
proxy
Sample mean
beta
Sample median
beta
102
260
60
Weekly over 2
years
S&P 500
1.03
1.00
Weekly over 5
years
NYSE composite
1.24
1.20
Monthly over 5
years
S&P 500
1.18
1.21
Over half of the corporations in our sample rely on published sources for their beta
estimates. Among financial advisers, 40% rely on published sources, 20% calculated
their own, and another 40% use what might be called fundamental beta estimates
The fact :
Earlier studies ( summarized in Gitman And Mercio
(
1982 )) reported that between a half of firms surveyed
did not adjust for risk differences among capital project
When asked about risk adjustment, these firms
responded as follows :
VI. Conclusions
The survey revealed broad acceptance of the WACC as the basis
for setting discount rates.
In summary, we believe that the following elements represent best
current practice in the estimation of WACC :
Weight should be based on market-value mixes of debt and
equity
The after-tax cost of debt should be estimated from marginal
pretax costs, combined with marginal tax rates
CAPM is currently the preferred model for estimating the cost of
equity
Betas are drawn substantially from published sources
Nike Inc.
Cost of capital
Background
Pada bulan Juli 2001 , Kimi Ford seorang manajer portofolio
dari North Point Group berencana untuk membeli saham
Nike yang merupakan manufaktur sepatu olahraga .
Harga Saham Nike sedang turun secara signifikan sejak
awal tahun dan Kimi berencana untuk menambah jumlah
saham dalam pengelolaanya yaitu NorthPoint Large-Cap
Fund , yang telah berinvestasi di 500 perusahaan besar
seperti ExxonMobil,GM,Mcdonald,dsb .
1995
1996
1997
1998
1999
2000
2001
Revenues
COGS
Gross Profit
Operating Income
685.7
975.3
1,379.8 863.8
856.8
984.9
1,014.2
Interest Expense
24.2
39.5
52.3
60.0
44.1
45.0
58.7
Other Exp.
Restructuring
Charge,net
11.7
36.7
32.3
20.9
21.5
23.2
34.1
129.9
45.1
(2.5)
899.1
1,295.2 653.0
746.1
919.2
921.4
Income Taxes
250.2
345.9
499.4
253.4
294.7
340.1
331.7
Net Income
399.6
553.2
795.8
399.6
451.4
579.1
589.7
1996
1997
Revenue
35.9
42.0
4.0
Operating Income
42.2
41.5
Net Income
38.4
43.9
Margin(%)
1996
1997
(8.1)
2.5
5.5
(37.4) (0.8)
15.0
3.0
(49.8) 13.0
28.3
1.8
Gross Margin
39.6
40.1
36.5
37.4
39.9
39.0
Operating Margin
15.1
15.0
9.0
9.8
10.9
10.7
Net Margin
Tax Rate
(Statutory+State)
8.5
8.7
4.2
5.1
6.4
6.2
38.8
39.5
37.0
36.0
38.5
38.6
Assumptions (%)
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Rev. Grwoth
7.0
6.5
6.5
6.5
6.0
6.0
6.0
6.0
6.0
6.0
COGS/Sales
60.0
60.0
59.5
59.5
59.0
59.0
58.5
58.5
58.0
58.0
S&A/Sales
28.0
27.5
27.0
26.5
26.0
25.5
25.0
25.0
25.0
25.0
Tax Rate
38.0
38.0
38.0
38.0
38.0
38.0
38.0
38.0
38.0
38.0
CA/Sales
38.0
38.0
38.0
38.0
38.0
38.0
38.0
38.0
38.0
38.0
CL/Sales
11.5
11.5
11.5
11.5
11.5
11.5
11.5
11.5
11.5
11.5
Discounted Cash
Flow
Operating
Income
1,218.4 1,351.6 1,554.6 1,717.0 1,950.0 2,135.9 2,410.2 2,554.8 2,790.1 2,957.5
Taxes
463.0
NOPAT
8.8
513.6
590.8
652.5
741.0
811.7
915.9
970.8
1,060.2 1,123.9
Enterprise Value
Current Outstanding
Debt
11,415.54
Equity Value
Current Shares
Outstanding
10,118.94
8%
271.5
$
37.27
8.50%
1296.6
$
42.09
Sensitivity
Discount
Rate
9%
9.50%
10%
10.50%
11%
11.17%
11.50%
12%
Equity
Value
$
75.80
$
67.85
$
61.25
$
55.68
$
50.92
$
46.81
$
43.22
$
42.09
$
40.07
$
37.27
2000
Current Assets :
Cash
2001
2000
254.3
304.0
Curent Liabilities :
Current Long-term Debt
2001
50.1
5.4
Acc Recievable
1,569.4 1,621.4
Notes Payable
924.2
855.3
Inventories
1,446.0 1,424.1
Acc Payable
543.8
432.0
621.9
472.0
21.9
111.5
113.3
Accrued Liabilities
Prepaid Exp
215.2
162.5
266.2
178.2
5,856.9 5,819.6
2,140.0 1,786.6
470.3
435.9
110.3
102.2
0.3
0.3
Total Liabilities
2,720.9 2,325.0
Financial Information
Historical Equity
Risk Premium
(1926-2000)
Current Yield on US
Treasuries
3 Month
3.59%
Gemotric Mean
5.90%
6 Month
3.59%
Arithamtic Mean
7.50%
1 Year
3.59%
5 Year
4.88%
Current Yield on
Nike Debt
Maturity
Semi
6.75%Annual
7/15/1
996
7/15/2
021
Current Price
$ 95.6
10 Year
5.39%
Coupon
20 Year
5.74%
Issued
Nike Average
Historic Betas
1996-2000
0.8
Book
Values
5.4
855.3
435.9
1296.6
3494.5
4791.1
27%
73%
C. Cost of Debt
Cohen menggunakan Cost of Debt dengan perhitungan interest
expense / average debt balance sehingga menghasilkan Cost of Debt
sebesar 4.3%
D. Cost of Equity
CAPM = RF + B *RPM
= 5.74% + 0.8 * 5.9%
= 10.5%
E. WACC
WACC = Kd (1-t) * Wd + Ke * We
= 4.3 * (1-38%) * 27% + 10.5% * 73%
= 8.4%
99.03
90.69
86.6 86.79
81.1
81
75.75
68.46
56.24
55.02
41.99
53.65
53.49
64.24
58.29
66.07 67.55
59.61
51
51.78
44.47
368923704337226374083759137773379563813938322385043868738869390523923439417396003978339965401484033040483
Total Revenue
2010
2009
2008
2007
2006
19,014.0 19,176.1 18,627.0 16,325.9 14,954.9
0
0
0
0
0
10,213.6 10,571.7 10,239.6
0
0
0
9,165.40 8,367.90
8,800.40 8,604.40 8,387.40 7,160.50 6,587.00
Selling/General/Administrative Expenses,
Total
6,326.40
Research & Development
0
Depreciation/Amortization
0
Interest Expense (Income), Net Operating
0
Unusual Expense (Income)
0
Other Operating Expenses, Total
-12.8
Operating Income
2,516.90
Minority Interest
0
Equity In Affiliates
0
U.S. GAAP Adjustment
0
Net Income Before Extra. Items
1,906.70
6,149.60
0
0
0
596.3
-48.3
1,956.50
0
0
0
1,956.50
469.8
1,486.70
0
0
0
1,486.70
5,953.70
0
0
0
0
46.6
2,502.90
0
0
0
2,502.90
619.5
1,883.40
0
0
0
1,883.40
5,028.70
0
0
0
0
48.8
2,199.90
0
0
0
2,199.90
708.4
1,491.50
0
0
0
1,491.50
4,477.80
0
0
0
0
54.9
2,141.60
0
0
0
2,141.60
749.6
1,392.00
0
0
0
1,392.00
Assets
2010
2009
2008
2007
2006
5,145.90
3,079.10
2,066.80
3,455.10
2,291.10
1,164.00
2,776.10
2,133.90
642.2
2,847.00
1,856.70
990.3
2,303.00
954.2
1,348.80
2,649.80
2,883.90
2,795.30
2,494.70
2,382.90
2,649.80
2,883.90
2,795.30
2,494.70
2,382.90
2,766.50
2,994.70
2,873.70
2,566.20
2,450.50
-116.7
2,040.80
873.9
248.8
10,959.20
-110.8
2,357.00
765.6
272.4
9,734.00
-78.4
2,438.40
602.3
227.2
8,839.30
-71.5
2,121.90
393.2
219.7
8,076.50
-67.6
2,076.70
380.1
203.3
7,346.00
1,931.90
187.6
467
0
1,957.70
193.5
467.4
0
1,891.10
448.8
743.1
0
1,678.30
130.8
409.9
0
1,657.70
130.8
405.5
0
873.6
897
520.4
392.8
0
0
0
0
14,419.30 13,249.60 12,442.70 10,688.30
329.6
0
9,869.60
2010
2009
2008
2007
2006
1,254.50
0
1,610.10
1,031.90
0
1,593.60
1,287.60
0
1,089.30
1,040.30
0
876.9
952.2
0
968.8
138.6
342.9
177.7
100.8
43.4
7.4
32
6.3
30.5
255.3
353.6
276.6
760.6
535.5
392.7
3,364.20
445.8
445.8
855.3
3,277.00
437.2
437.2
842
3,321.50
441.1
441.1
854.5
2,584.00
409.9
409.9
668.7
2,612.40
410.7
410.7
561
Minority Interest
Other Liabilities, Total
Total Liabilities
0
0
4,665.30
0
0
4,556.20
0
0
4,617.10
0
0
3,662.60
0
0
3,584.10
0.3
0.3
0.3
0.3
0.3
0
2.8
3,440.60
0
2.8
2,871.40
0
2.8
2,497.80
0
2.8
1,960.00
0
2.8
1,447.30
6,095.50
214.8
9,754.00
5,451.40
367.5
8,693.40
5,073.30
251.4
7,825.60
4,885.20
177.4
7,025.70
4,713.40
121.7
6,285.50
14,419.30
13,249.60
12,442.70
10,688.30
9,869.60
Accounts Payable
Payable/Accrued
Accrued Expenses
Notes Payable/Short Term Debt
Current Port. of LT Debt/Capital Leases
Other Current Liabilities, Total
Cost of Capital
A. Methodology Perhitungan Weight
Capital Sources
Debt :
Current Long-term Debt
BV
7.40
Notes Payable
138.6
445.8
B. Cost ofEquity
Debt
591.80
9,754.0
0
10,345.
80
5.7%
94.3%
C. Cost of Equity
CAPM = RF + B *RPM
= 4.12% + 0.96 * (7.5%-4.12%)
= 7.3648%
D. WACC/Cost of Capital
WACC = Kd (1-t) * Wd + Ke * We
= 7.16% * (1-38%) * 5.7% + 7.36% * 94.3%
= 7.19%
2010
2,516.90
956.422
1,560.48
-49.2
1138
471.68
43101.61
Debt
Equity Value
Shares Outstanding
Stock Value
2009
1,956.50
743.47
1,213.03
443.2
939.2
-169.37
2008
2,502.90
951.102
1,551.80
340.4
25.3
1,186.10
2007
2,199.90
835.962
1,363.94
83.8
758.9
521.24
Current
Price
$81.1
591.8
42509.81
484
$87.83019
55072.29
591.8
54480.49
2006
2,141.60
813.808
1,327.79