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1. Phn tch cc loi ri ro h thng trong u t chng khon. Bnh lun ca Anh (Ch) v ri ro h
thng trn th trng chng khon Vit Nam ..........................................................................................5
Phn tch cc loi ri ro phi h thng trong u t chng khon. Bnh lun ca Anh (Ch) v ri ro
phi h thng trn th trng chng khon Vit Nam ...............................................................................7
Trnh by cc phng php o lng ri ro trong u t chng khon ................................................10
Trnh by cc phng thc u t chng khon. Nhn xt ca anh ch v hot ng u t chng
khon Vit Nam hin nay ....................................................................................................................12
Trnh by thu nhp v phng php xc nh thu nhp trong u t chng khon theo cc phng
thc u t hng li, u t nm quyn kim sot v to lp th trng ...........................................15
Phn tch mi quan h gia thu nhp v ri ro trong u t chng khon ............................................16
Trnh by thu nhp v ri ro trong u t chng khon theo phng thc u t hng li .............. 17
Trnh by thu nhp v ri ro trong u t chng khon theo phng thc u t nm quyn kim sot
.................................................................................................................................................................18
Trnh by thu nhp v ri ro trong u t chng khon theo phng thc to lp th trng ............. 19
Trnh by cc phng php xc nh ch s gi chng khon: Phng php Passcher; Phng phpLaspeyres; Phng php ch s gi bnh qun Fisher; Phng php s bnh qun gin n; Phng
php bnh qun nhn gin n ................................................................................................................19
Trnh by ni dung, ngha gi thuyt th trng hiu qu. Nhn xt ca Anh (Ch) v mc hiu
qu ca Th trng chng khon Vit Nam ...........................................................................................22
Trnh by cc gi thuyt trong m hnh Markowitz ...............................................................................23
Trnh by ni dung v ngha ca l thuyt qun l danh mc u t Markowitz ..............................24
Trnh by ngha v phng php xc nh ng bin hiu qu .......................................................32
Trnh by phng php xc nh v ngha ca ng CML ..............................................................34
Trnh by phng php xc nh v ngha ng SML .....................................................................36
Trnh by cc gi thuyt ca m hnh CAPM ........................................................................................39
Trnh by ni dung, ngha ca m hnh CAPM ..................................................................................40
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Trnh by ni dung, ngha ca m hnh APT ......................................................................................48
Trnh by ni dung, ngha ca cc bo co ti chnh ..........................................................................52
Trnh by ni dung, ngha, phng php xc nh cc t s ti chnh ...............................................55
Trnh by cc phng php xc nh gi c phiu: M hnh DDM; M hnh DCF; M hnh s dng
s nhn thu nhp; Cch cc nh dng tin FCFE, FCFF ......................................................................57
Trnh by ni dung, ngha ca phn tch th trng chng khon. Nhn xt ca anh ch v th
trng chng khon Vit Nam ...............................................................................................................60
Phn tch cc nhn t nh hng n th trng chng khon. Nhn xt ca Anh (Ch) v TTCK Vit
Nam hin nay ..........................................................................................................................................61
Phn tch nh hng ca cc yu t v m n th trng chng khon (Tnh hnh kinh t x hi; lut
php; Lm pht, li sut, t gi, cn cn thng mi, v.v) ................................................................65
Nhn xt ca Anh (Ch) v nh hng ca cc nhn t v m n th trng chng khon Vit Nam
.................................................................................................................................................................66
Trnh by ngha ca phn tch ngnh kinh t ......................................................................................67
Phn tch nh hng ca chu k kinh doanh ti cc ngnh kinh t .......................................................68
Phn tch tc ng ca thay i trong cu trc kinh t n ngnh kinh t ............................................71
Phn tch cc giai on trong chu k sng ca ngnh ............................................................................72
Phn tch 5 nhn t cnh tranh trong m hnh M. Porter .......................................................................74
p dng phn tch 5 nhn t cnh tranh cho 01 ngnh kinh t ..............................................................77
Trn c s l thuyt phn tch ngnh, la chn 01 ngnh u t trong giai on hin nay ............79
Phn tch s khc bit gia phn tch cng ty v phn tch c phiu ....................................................85
Phn tch cc chin lc cnh tranh ca doanh nghip ..........................................................................86
Trnh by khi nim, quy trnh, ni dung phn tch cng ty .............................................................87
Trnh by khi nim v cc chin lc qun l danh mc u t c phiu. Nhn xt ca Anh (Ch) v
hot ng qun l DMT c phiu Vit Nam hin nay .....................................................................88
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Trnh by khi nim v cc gii nh trong phn tch k thut ..............................................................91
Trnh by cc dng th c bn trong phn tch k thut ....................................................................93
Trnh by cc khi nim c bn trong phn tch k thut: Xu th v ng xu th; Knh; Mc hon
li; Khung giao dch; Mc khng c v h tr; im t ph..............................................................94
Trnh by cc hnh mu k thut c bn trong phn tch k thut .........................................................95
Trnh by cc ni dung c bn ca l thuyt DOW ...............................................................................97
Trnh by cc ni dung c bn ca l thuyt sng Elliott ....................................................................101
Trnh by nhng kh khn tr ngi trong phn tch k thut. Nhn xt v hot ng PTKT Vit
Nam .......................................................................................................................................................105
1.Phn tch cc phng php xc nh ri ro ti chnh ........................................................................108
2.Trnh by khi nim, phng php xc nh thu nhp ca ti sn ti chnh ....................................111
3.Trnh by ni dung, ngha, phng php xc nh t l yu cu ca nh u t ..........................113
4.Phn tch ni dung, ngha ca gi thuyt th trng hiu qu .......................................................113
5.Phn tch ni dung cc gi nh ca m hnh nh gi ti sn ti chnh (CAPM) ............................113
6.Phn tch ngha, phng php xc nh ng th trng vn (CML) v ng th trng chng
khon (SML) .........................................................................................................................................113
7.Phn tch ni dung c bn v ngha ca m hnh nh gi ti sn ti chnh (CAPM) ..................113
8.Trnh by khi nim, mc ch, ngha v phng php phn tch th trng chng khon .........113
9.Khi nim, mc ch, ngha v phng php phn tch ngnh ......................................................113
10.Trnh by khi nim, mc ch, ngha v phng php phn tch cng ty .................................117
11.Trnh by kt lun, ngha, ni dung phng php phn tch bo co ti chnh. Phn bit phn
tch ti chnh di gic DN v phn tch ti chnh di gic TTCK ........................................121
11.12.Trnh by khi nim, mc ch, ngha ca phn tch k thut. Phn tch cc iu kin ng
dng phn tch k thut trn TTCK Vit Nam .....................................................................................123
13.Phn tch cc gi nh trong phn tch k thut ..............................................................................124
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15.Phn tch c s l lun ca phn tch k thut ................................................................................136
16.Trnh by cc ni dung c bn m hnh DDM ................................................................................136
17.Trnh by cc ni dung c bn m hnh DCF .................................................................................138
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1. Phn tch cc loi ri ro h thng trong u t chng khon. Bnh lun ca Anh (Ch) v
ri ro h thng trn th trng chng khon Vit Nam
Ri ro c hiu l s bin ng tim n nhng kt qu, l kh nng xy ra nhng iu
khng mong mun v khi n xy ra th mang li nhng tn tht. Khc vi s khng chc chn, riro c th o lng c. Theo quan im truyn thng, ri ro mang li cc tn tht xu. Trong ti
chnh, ri ro c nh ngha l kh nng (hay xc sut) xy ra nhng kt qu u t ngoi d kin,
hay c th hn l kh nng lm cho mc sinh li thc t nhn c trong tng lai khc vi mc
sinh li d kin ban u.
Ri ro h thng (systematic risk) l cc yu t tc ng ln tt c cc cng ty trn th
trng, v tt c cc cng ty u b chi phi bi ri ro h thng, nh u t khng th a dng ho
gim thiu ri ro h thng. Do , ri ro ny cn c gi l ri ro khng th a dng ho (non-diversifiable risks).Ri ro h thng bao gm: ri ro th trng, ri ro li sut, ri ro sc mua v ri
ro chnh tr.
1) Ri ro th trng: l s bin ng gi chng khon do tm k ca cc nh u t. Ga
chng khon c th giao ng mnh trong mt khong thi gian ngn mc d thu nhp ca DN vn
khng thay i. Nguyn nhn ca hin tng ny khc nhau, ph thuc ch yu vo cch nhn nhn
ca cc nh u t v th trng ni chung v mt nhm c phiu ni ring. S nhn nhn khc
nhau ny s tc ng vo gi chng khon v lm mc sinh li ca chng khon thay i. Ri roth trng xut hin khi c nhng phn ng ca cc nh u t trc cc s kin c th l hu hnh
hoc v hnh nh cc s kin kinh t, chnh tr, x hi.
Cc s kin v hnh ny sinh do tm l ca nh u t trn th trng Yu t tm l lm th
trng phn ng vi mc vt qu tc ng ca cc s kin hu hnh. Phn ng dy chuyn
hay tm l by n lam cho th trng lun bin ng, thiu n nh. Nhiu nh u t li dng
yu t tm k ny thc hin hnh vi thao tng gi chng khon. S d c hin tng by n l
do trn th trng c s tham gia ca 3 nhm u t: nhm th nht l cc nh u t thn trng,th hai l cc nh u t free rider (ri ro th trng ln khi t trng ca nhm ny cao) v th ba
l cc nh u t v nhn.
Mc ri ro th trng cc nc khc nhau l khc nhau. cc th trng pht trin, th
trng l ni dnh cho cc nh u t ln, nh u t c t chc nn ri ro th trng s khng ln.
Ngc li nhng th trng mi ni v ang pht trin, th trng ch yu l cc nh u t c
nhn vi quy m nh, thiu kin thc v bn lnh u t, tm l n theo ln lm cho ri ro th
trng rt cao.
gim ri ro th trng, cc c quan qun l nh nc cn tng cng hot ng o
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pht trin hot ng t vn ca cc cng ty chng khon cng nh tng s lng v cht lng ca
cc nh u t c t chc nhm tng cht lng u t.
2) Ri ro li sut l s bin ng gi chng khon do s thay i ca li sut gy ra. Khi u t
vo cc chng khon c thu nhp c nh, nu li sut th trng tng ln, c hi u t vo cc ti
sn c mc li tc cao hn s mt i. Trong s tng ln ca li sut, gi th trng ca ti sn u t s b gim v nh u t s b thit v gi khi bn cc ti sn . Thi hn ca cc ti sn
u t cng ln, nh hng ca li sut ti gi th trng ca n s cng ln, mc tn tht gi tr
ca ch u t s cng cao. iu ny t xy ra vi cc chng khon c thu nhp bin i, chng
hn tri phiu c li sut th ni.
Li sut thay i lm cho chi ph v doanh thu ca doanh nghip thay i. S thay i ny ph
thuc vo c cu ti sn v c cu ngun vn ca DN. Nu DN s dng nhiu n, li sut tng ln
lm tng chi ph li vay phi tr v lm cho li nhun ca DN st gim, gi c phiu gim v ngcli.
hn ch ri ro li sut, nh u t cn nghin cu y cc nhn t nh hng n li sut
bao gm: chu k kinh t, lm pht, s thay i trong chnh sch tin t ca CPh, quan h cung cu
v vn trn th trng ti chnh. d bo c s thay i ca li sut trong tng lai; s
dng cc cng c dn sut nh hp ng k hn, hp ng quyn chn
3) Ri ro sc mua l s thay i gi tr thc ca chng khon do s thay i sc mua ca ng
tin. Nu lm pht vt qua t l lm pht d tnh, gi tr thc ca ng tin s b gim v lm chogi tr thc ca khon u t b gim gi tr.
Nu coi khon u t l mt khon tiu dng ngay, mt ngi mua c phiu b l c hi
mua hng ha hoc dch v trong sut thi gian u t. Trong khong thi gian , nu gi c dch
v tng , nh u t s mt i mt phn sc mua. Thng thng cc nh u t d kin trc mc
mt gi ca ng tin qua t l lm pht d kin v h s ch chp nhn u t khi li tc thu
c b p cho h tn tht ny. Khi lm pht thc t khc vi t l lm pht d kin, ri ro sc
mua s pht sinh. Ni mt cch khc. C gim pht v lm pht u tc ng ti gi chng khon
do nh u t s yu cu t l li tc khc i.
4) Ri ro chnh tr l s bt n gi chng khon do s thay i v mi trng chnh tr x hi,
chng hn: chin tranh, bi cng, biu tnh, s thay i v th ch, chnh sch S thay i ny s
tc ng ti thu nhp v ri ro ca lung thu nhp ca cc DN, t thay i gi tr ca chng
khon. S thay i ca chnh tr cng tc ng n tm l ca cc nh u t, t nh hng n
hnh vi mua bn chng khon ca h.
Ri ro h thng trn th trng VN
i vi th trng chng khon c kh nng nh u t nc ngoi phi thu hi ngun vn
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Nhng tc ng chnh t cuc khng hong hin ti i vi h thng ti chnh Vit Nam
ch yu l yu t tm l. Thy Dow Jones sp th VN-Index cng xung theo, trong khi hai th
dng nh khng lin quan nhiu vi nhau.Nm 2008 l nm m VN chu nh hng nng n nht
ca cuc khng hong ti chnh th gii.Trong khi ch s cng nghip Dow Jones dn u v tt
gi, vi mc st gim hn 5% v xung di mc 10,000 im ln u tin trong vng 4 nm thch s VN-Index gim mnh.Nu tnh t s im ng ca ca phin giao dch u tin ca nm
(2/1/2008), ch s VN-Index l 921,07 im, th ng ca phin giao dch cui nm (31/12/2008) ,
ch s ny ch cn 315,62 im, tc mt i 605,45 im (gim 65,33%). Trong s 245 phin
giao dch ca sn HOSE, ch c 109 phin ch s VN-Index tng im, cn li 136 phin ch s ny
u lao dc. Hin nay, th trng CK dn phc hi, ch s VN Index u nm 2009 l 300,04
im, mc thp nht l 235,50 im(thng 2 nm 2009), mc ch s ngy 30/10/2009 l 587,12
im gp 2,49 ln so vi thi im thp nht v tng trng gn 100% so vi u nm 2009.Bncnh nhng tc ng t vic phc hi ca hu ht cc TTCK v kinh t th gii, nhng bin i
theo chiu hng i ln ca TTCK VN trong thi gian gn y phn nh nim tin ca nh u t
vo th trng, kt qu lc quan ca nn kinh t vi chnh sch kch cu ca CPh.
Chnh sch li sut ca NHNN c iu chnh mt cch linh hot vi mc tiu va kim ch
lm pht va tng trng kinh t. Trong nm 2008, li sut c bn c iu chnh 8 ln t 8,75%
(2/08), tng ln 12% (5/08); 14%(6/08); xung 13% (10/08); xung 12% (5/11/08); 11%
(21/11/08); 10%(5/12/08); 8,5% (22/12/08). n 2009 li sut c iu chnh gim xung cn
7,0% t 1/12/09 ln thnh 8,0% .Vic thay i li sut nhanh nh vy nh hng khng nh n
li nhun cng nh quyt inh u t ca cc nh u t.
TTCK VN gi c mc tng trng n nh, yu t pht trin bn vng cn c xem
xt v th ch ha bng cc quy phm php lut v chnh sch pht trin ca th trng trong di
hn.
Phn tch cc loi ri ro phi h thng trong u t chng khon. Bnh lun ca Anh (Ch) vri ro phi h thng trn th trng chng khon Vit Nam
Ri ro phi h thng (unsystematic risk) l nhng yu t tc ng gn lin vi tng cng ty
ring bit, nh ri ro kinh doan, ri ro ti chnh ca cng ty , m khng nh hng n cc cng
ty khc (tr cc cng ty ln). gim thiu ri ro loi ny, nh u t thng a dng ho danh
mc ca mnh. Do vy, ri ro phi h thng cn c gi l ri ro c th a dng ho (diversifiable
risks).
Ri ro phi h thng= Ri ro DN Ri ro h thng
http://saga.vn/dictview.aspx?id=2615http://saga.vn/dictview.aspx?id=26157/31/2019 Tai Lieu on Thi Pt & Dtck
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khu khc nhau trong qu trnh sn xut kinh doanh nh chi mua nguyn vt liu u vo, tiu th
sn phm.
Ri ro kinh doanh c o bng cc sai lch ca cc dng thu nhp thi gian qua.
RRKD= lch chun ca cc lung thu nhp hot ng/ Thu nhp hot ng trung bnh
BR=
=
n
ii
n
i
n
ni
OE
OEOE
1
1
2
/
/)(
Trong : OEi l thu nhp t hot ng kinh doanh ca cng ty nm th i v n l s nm
Bn cnh vic tnh RRKD tng th,ta cn phi tnh n 2 nhn t tc ng n s bin i thu
nhp hot ng l mc bin i sn lng v n by hot ng
RRKD c th xut hin do yu t ni sinh hoc ngoi sinh. Yu t ni dinh pht sinh trong qu
trnh vn hnh hot ng cuat DN nh:yu t qun l, c cu v cht lng ti sn. Yu t ngoi
sinh nm ngoi s kim sot ca DN ph thuc vo mi trng hot ng ca DN nh s thay i
ca chnh sch tn dng, chnh sch li sut, s phn b dn s, vn tng trng v n nh kinh
t Nhng DN c yu t ni sinh tt s d chng trc nhng thay i ca mi trng bn
ngoi v ngc li.
2) Ri ro ti chnh l loi ri ro m cng ty phi i mt khi huy ng vn t cc khon n ti
tr cho cc hot ng ca cng ty.RRTC lin quan n vic s dng n- n by ti chnh ca
DN. RR ny tim n trong cu trc vn ca DN. Mc ri ro ti chnh c th chp nhn c ca
cng ty ph thuc rt nhiu vo ri ro kinh doanh. Vi mt cng ty no c mc RRKD
thp(thu nhp t hot ng n nh) cc nh u t s chp nhn mt RRTC cao hn.
Trong phn tch RRTC, ta s dng 3 ch tiu
T l n vi VCSH=Tng n di hn/ Tng VCSH
Cc t l so snh gia thu nhp vi chi ph c nh v chi ph tr li.
Kh nng thanh ton li vay = EBIT/N phi tr
Cho bit cng ty s dng bao nhiu % trong tng s thu nhp ca mnh trang
tri cc gnh nng n nn.
Kh nng thanh ton n=(EBIT+Chi ph tr li thu d tnh)/(Tng chi ph tr li + chi ph
tr li thu d tnh)
Cc t l so snh dng tin i chi ph ti chnh hoc so snh cc dng tin i gi
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(1) T l trang tri chi ph ti chnh c nh bng tin mt= (lng tin mt rng thu v t
cc hot ng+ chi ph tr li+ chi ph tr li thu d tnh)/(chi ph tr li+ chi ph tr li
thu d tnh)
(2) T l dng tin mt trn cc khon n phi tr li = Lng tin mt rng thu v t cc
hot ng/(Tng n da hn+ N phi tr li hin hnh)
Vic s dng n s lm tng ngha v ti chnh i vi DN do phi tr vn v li, ng
thi do b rng buc v ngha v thanh ton, DN s phi i mt vi dng tin ra ln
khi phi thanh ton n gc v li. Khi DN k thanh ton n gc v li ng hn, DN s
gp kh khn v ti chnh do uy tn st gim, thm ch i mt vi nguy c ph sn.DN
k s dng n s k c RRTC.
3) Ri ro t gi l kh nng bin ng gi chng khon khi t gi thay i.Khi t gi thay i s lm cho gi tr ca chng khon mua bng ngoi t thay i, v thu
nhp ca DN xut- nhp khu thay i. C th: khi t gi thay i s lm cho gi vn ca DN nhp
khu thay i v chi ph li vay, kh nng tr n ca DN vay n bng ngoi t thay i.
hn ch v khc phc ri ro t gi cc nh u t c th s dng cc cng c phi sinh nh
hp ng k hn, hp ng quyn chn
4) Ri ro thanh khon l s bt n ca gi chng khon khi iu kin giao dch thay i. Cc
loi chng khon khc nhau s c thanh khon khc nhau. Nu s lng chng khon ln,
lng chng khon kh mi s nhiu. S lng c ng ln, c bit l c ng bn ngoi DN s
lm tnh thanh khon cao hn.
S thay i ca tnh thanh khon chng khon c th do tc ng ca nhng thay i trong
cu trc c ng; do s thay i v tm l nh u t; do s thay i v phng thc giao dch; s
thay i chnh sch; hoc do s thay i ca th trng. Nh vic gim thi gian thanh ton t T+3
xung T+1 s lm tng tnh thanh khon ca chng khon.
Bnh lun v RR phi h thng trn TTCK VN Bin ng ca c phiu trn th trng VN nhn chung l tng i ln Trong nm
2008, TTCK VN c ghi nhn l mt trong nhng th trng c mc st gim mnh nht th
gii khi ch s VN Index gim khong 65% v ch s HASTC Index gim ti 67,5% so vi thi
im cui nm 2007. C phiu ca nhiu DN kinh doanh hiu qu v gn mnh gi, gi tr th
trng ch bng khong 50-70% gi tr s sch Ti HOSE:Nu tnh t s im ng ca ca phin
giao dch u tin ca nm (2/1/2008), ch s VN-Index l 921,07 im, th ng ca phin giao
dch cui nm (31/12/2008), ch s ny ch cn 315,62 im, tc mt i 605,45 im (gim65,33%).Trong 10 c phiu c gi tr vn ha ln nht th trng, c 1 c phiu tng gi, 4 c
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66.000 ng/c phiu v 63.000 ng/c phiu. xt v mc tuyt i th DHG l c phiu tng gi
mnh nht khi tng 5.000 ng ln mc 119.000 ng/c phiu, vi tng khi lng giao dch
hn 31 nghn c phiu. Ngc li, SFC l c phiu gim gi mnh nht khi gim 2.400 ng
xung cn 47.600 ng/c phiu, vi 990 c phiu c giao dch.
Trong 4 chng ch qu ang nim yt trn HoSE, c 2 m tng gi, 1 m gim sn v 1 m
ng gi. C th, PRUBF1 gi nguyn mc gi tham chiu l 3.900 ng/chng ch qu. VFMVF1
tng 100 ng (tng ng 1,32%), t 7.700 ng/chng ch qu. VFMVF4 tng 100 ng
(tng ng 2,50%), t 4.100 ng/chng ch qu. MAFPF1 gim 100 ng (tng ng
2,70%), ch cn 3.600 ng/chng ch qu.
n nm 2009 Tnh t lc VN-Index to lp nh mi trong nm 2009 ny l 624 im
(trong phin c lc tng ln 633 im) vo ngy 22-10 cho n ngy 10-11, VN-Index gimxung cn 524 im, mt 100 im ch trong vng 13 phin giao dch. y l t gim su v c
dc ln nht ca biu VN-Index tnh t u nm n nay
Tnh thanh khon ca th trng b st gim mnh trong nhng thnh u nm 2009, gi tr
giao dch bnh qun/ ngy ch con 301 t ng/ngy, trong khi con s ny ca nm 2008 l 754
t ng. n cui nm 2009, t l thanh khon tng, t mc k lc vo ngy 23/10/09 vi 137
triu c phiu c chuyn nhng, t gi tr gdich 6453 t ng trn sn HOSE v 67 triu c
phiu vi gi tr gdich 3049 trn sn HASTC.
Nguyn nhn: v nn kinh t nc ta chnh thc m ca khong 23 nm,nn kinh t cn non
tr.Cc chnh sch iu hnh ca NNc cha thc s linh hot vi s bin ng bt thng ca
nn kinh t; hnh lang php l cn cha hon thin; nng lc hot ng ca cc DN trong nc
cha cao
Trnh by cc phng php o lng ri ro trong u t chng khon
Hai phng php o lng ri ro trong u t chng khon c bn l: dao ng v s dng
beta.
PP1 dao ng: s dng ch tiu phng sai v lch chun
1. lch chun: = PiRERi *))(( 2 vi i=1 n nTrong Pi: Xc sut ca tng trng thi
Ri: Doanh li k vng ng vi tng trng thi2. Phng sai ca danh mc u t
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E(Rp): Doanh li k vng ca danh mc
Ps: Xc sut xy ra ca cc tnh hung
Theo m hnh Markowit
+)danh mc c N ti sn vi t trng w=( www n;...;; 21 )
Vecto li sut k vng ca cc ti sn R= ( rrr n;...;; 21 )
Li sut danh mc Rp = rw kk*
Phng sai ca danh mc: ijji ww **2
=
+) Danh mc gm 2 chng khon: rwrwrp 2211 ** +=
)(***22
*21
*1 2121
22222
rrwwww Cov++=
Cov( rr ji ; )=N
rr rr jjii )(*)(
H s tng quan ji
ij
ij
COVr *
=
H s tng quan cng nh th kh nng gim thiu ri ro cng ln.
Nu r = +1 th khng gim c ri ro.
PP2 H s beta o lng s bin ng t sut li nhun ca tng c phiu so vi s bin ng
t sut li nhun ca ton b th trng
3.Xc nh chui return ca gi chng khon c c gi chng khon trong qu kh.
Rt=Pt
tPPt )1(
Pt= Png ca * h s tch tch ly + DPS* h s tch tch ly
4.Xc nh beta ca chng khon nim yt
B1: Xc nh chui li sut Ri v Rm
B2: Xc nh hip phng sai Cov(Ri,Rm)= 1
)(*)(
N
RmRmRiRi
Var (Rm) = 1
)( 2
N
RmRm
)( RmRiCov
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B1: Xc nh t trng u t theo ngnh ti DN
B2: Tnh beta ca cc ngh hoc DN in hnh
B3: Tnh theo cng thc : jji w *=
iu chnh h s beta khi tnh n tc ng ca n by v thuTNDN
E
DT
L
UL*)1(1 +
=
EDTEDTdebtuL
/)1()/*)1(1( +=
Ta nhn thy beta so snh s ng bin ng ca chng khon v th trng vi s bin
ng ring bit ca th trng. H s ny cng ln chng t s bin ng ca chng khon cng
ln so vi s bin ng ca th trng.
Beta c xc nh vi u vo l cc t sut li nhun, m t sut ny c tnh ton da
trn cc mc gi ca c phiu theo thi gian. Xt v mt ton hc, beta ch l mt cng c o lng
kh nng bin ng gi ca cc c phiu so vi s bin ng ca ch s th trng, nhng n l mt
i din cho ri ro ca doanh nghip. Ta c th gii thch vn ny bng EMH (Efficient Market
Hyppothesis - gi thuyt th trng hiu qu). Theo thuyt ny, gi c chng khon s phn nh tt
c mi hot ng ca doanh nghip. V nh vy, beta o lng ri ro trong s thay i mc gi
ca c phiu, cng chnh l o lng ri ro ca doanh nghip.
Trnh by cc phng thc u t chng khon. Nhn xt ca anh ch v hot ng u t
chng khon Vit Nam hin nay
u t chng khon l mt loi hnh u t ti chnh. Trong hot ng ny nh u t b tin
ra mua cc chng khon bao gm c phiu, tri phiu, chng khon phi sinh. Ga tri ca cc
chng khon ph thuc vo nng lc ti chnh ca nh pht hnh v quan h cung cu ca chng
khon trn th trng. Hot ng u t chng khon l hot ng phc tp, i hi cc nh u tphi c trinh chuyn mn cao, am hiu v th trng, ng thi phi c th trng chng khon
pht trin, to ra s sn c ca cc cng c u t c tnh thanh khon cao.
Cc phng thc u t chng khon:
1) Theo hnh thc u t:
u t trc tip l hnh thc u t do nh u t b vn u t v tham gia qun l hot ng
u t.
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u t gin tip l hnh thc u t thng qua vic mua c phn, c phiu, tri phiu, cc giy
t c gi khc, qu u t chng khon v thng qua cc nh ch ti chnh trung gian khc m nh
u t khng trc tip tham gia qun l hot ng u t.
Nh vy, u t trc tip b vn vo cc ti sn thc, do vy lm tng nng lc sn xut ca nnkinh t cn u t gin tip thi khng.
2) Theo thi hn u t:
u t ngn hn: thng c k hn t 1 nm tr xung, ch yu l hot ng ut t
ngn qu, hot ng u t hng li v hot ng u t phng v.
u t di hn: c k hn trn 1 nm thng tp trung hot ng u t nm quyn
kim sot, u t gp vn kinh doanh v hot ng gp vn ca cc nh u t chin lc.
3) Theo mc ch u t:
u t ngn qu: thng c thc hin bi cc t chc kinh t v cc nh u t ln.
Xut pht t nhu cu thanh ton chi tr, nhu cu d phng v d tr, thay v phi nm gi mt
lng tin kh ln, cc t chc kinh t v cc nh u t ln thng u t vo cc chng khon
ngn hn c tnh thanh khon cao nh: tn phiu kho bc, CDs, k phiu ngn hng, thngphiu
u t hng li: li nhun t hot ng u t c th c t li tc t ti sn u t
nh c tc c phn phi hng nm, hay li tc t tri phiu;chnh lch gi chng khon v cc
quyn li khc nu c. Hot ng u t hng li c th bao gm:
Kinh doanh chnh lch gi: l hot ng mua bn chng khon nhm tm kim li
nhun trong ngn hn t chnh lch gi chng khon.
Hot ng u c: l hot ng u t chng khon nhm tm kim li nhun t li
tc v chnh lch gi trong di hn. Hot ng u c lm cho chng khon tr nn khan him, gi
chng khon tng v nh u t c th tm kim c li ln t tng gi chng khon.
Kinh doanh gim gi: l hot ng u t hng li khi c hin tng gim gi
chng khon. Khi d bo gi chng khon gim, nh u t s bn chng khon ch h gi v
mua li. Phn chnh lch gi sau khi tr i chi ph giao dch s l thu nhp ca nh bn kinh doanh
gim gi.
To lp th trng: L trng hp nh u t, thng l cc cng ty chng khon,
cc NHTM m nhn th trng cho cc loi chng khon trn th trng OTC H c th thu c
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tin.Hot ng to lp th trng c vai tr quan trng trong vic m bo tnh thanh khon cho cc
chng khon.
u t phng v: cc cng c phng v nhm gip cc nh u t phng trnh ri
ro nh hp ng giao sau, hp ng k hn, hp ng quyn mua
u t nm quyn kim sot: C phiu cho php CSH c quyn kim sot cng typht hnh
thng qua quyn c nhn thng tin, quyn tham d v biu quyt ti i hi c
ng. S lng c phiu nm gi s quyt nh kh nng biu quyt, kim sot ca cc nh u t.
Thng qua hot ng u t vn, nh u t c th tham gia hi ng qun tr nhm thc hin hot
ng qun l.
Hot ng u t chng khon VN hin nay: cc nh u t ln , c t chc cnchim t l nh trong khi t trng ca cc nh u t c nhn chim t l ln.
Nm 2007 phn ln nh u t c nhn mua chng khon u c n chnh lch nn c tm l
nng vi, t quan tm xem cng ty mnh s hu CP hot ng th no m ch cn c vo tnh thanh
khon cao hay thp, c kh nng st hay khng. Nhiu nh u t cng th thc h khng th
gi i hc v kin thc nm bt nhng cng ty no li thc, li gi v qui lut giao dch ca th
trng m ch yu ra cc sn nghe hi ni ch, u t theo nhng ngi khc. Bi th vn c
nhng t tt dc ca nhng CP Vinamilk, Sacombank, TDH d cc cng ty ny vn ang kinhdoanh tt.
Tm l by n:Chng minh bng s liu v m hnh thng k ton cho thy Hiu ng
by n rt mnh Vit Nam, v theo s liu ca chng ti l mnh nht th gii. Hiu ng ny
c bit mnh khi gi th trng tng trong mt khong thi gian lin tip kh di.
H qu trc tip l ngi u t t b c k vng c nhn, theo ui mc k vng ca
m ng trn th trng, khin cho khong cch chin lc u t tin dn ti epsilon b t. Trongkhi , tnh thanh khon to ra do cc Delta >> epsilon, v con ngi c cc xu hng giao dch
tri chiu.
H qu th hai, cng trc tip, l tnh thanh khon gim dn. M tnh thanh khon chnh l
gi tr ln nht, duy nht ca TTCK (ch khng phi theo quan nim sai lm chung l tnh nng
huy ng vn) Khi tnh thanh khon tr nn m nht khng cn mang tnh quyt nh th th trng
bin thnh Casino. Thc s l Casino v mi ngi cho rng n l c my kim tin, xay ra tin,
nho ra tin, v u cng l tin... Chng ta bng s nhn nhn bnh thng s hiu rng iu nyqu sai lm v hon ton t huyn hoc.
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lc thng tin c phng hng, c ch ch v c phng php. Vic ch chm chm o bi cc
thng tin ngoi lung khng lm cc nh u t khn ngoan hn, c khi cn lm lon ht c
trong thi bui thng tin bng n. Chnh v khng b sung kin thc, nn th trng hn lon trong
cc dng chy thng tin. Mt mi vi thng tin cng khin cho ngi ta d t b cc k vng c
nhn, ho hng i theo s vy gi ca "hiu ng by n".Nm 2009 Mt yu t ng ch trn th trng chng khon Vit Nam t u nm ti
thi im ny l s khc bit tng i ln gia s ln xung ca gi cc c phiu. Dng nh,
cc nh u t Vit Nam cui cng la chn k hn khi mua c phiu, thay v mua theo cm
tnh nh trc y.Ngoi ra, nh gi c phiu tng, nhm c phiu c gi tr vn ha th trng
ln cc nh u t ngoi rt vn cng tng ln. Hin ang c 8 c phiu c gi tr vn ha t
500 triu USD tr ln, so vi 4 c phiu thi im cui thng 2.
Tuy nhin, bo co ca HSBC cng cho thy, cc nh u t ngoi khng phi l i tng
cho li t phc hi ny ca th trng chng khon Vit Nam. Lng mua vo ca khi ngoi
co li ti mc gn nh khng c g. T u nm ti nay, lng mua rng c phiu Vit Nam ca
khi ngoi ch l 3 triu USD. Sau mt thi gian bn rng trong qu 4/2008, hot ng ca cc nh
u t nc ngoi trn th trng chng khon Vit Nam v c bn gn nh l trung tnh, vi cc
hot ng bn pha mua v pha bn cng t.
Theo s liu ca HSBC, hin khi ngoi vn chim khong 1/5 khi lng giao dch trn th
trng chng khon Vit Nam, nhng c v nh lng vn nc ngoi mi chy vo th trng
ny l rt hn ch. Trong , cc hot ng ca khi ngoi tp trung vo vic ti cn bng danh
mc u t ca cc qu quc gia ng.
Do s thiu minh bch trong vn cng b li nhun cng nh xc nh gi tr ca cc c
phiu, thi im hin ti, HSBC tip tc thn trng v trin vng th trng chng khon Vit
Nam. Cc chuyn gia ca ngn hng ny cho rng, th trng Vit Nam vn l mt th trng nhiu
bin ng v c minh bch thp nn ri ro cho cc nh u t ln.
Trnh by thu nhp v phng php xc nh thu nhp trong u t chng khon theo cc
phng thc u t hng li, u t nm quyn kim sot v to lp th trng
Thu nhp ca mt khon u t chng khon l phn chnh lch gia kt qu thu c sau
mt khong thi gian u t v vn gc m nh u t phi b ra ban u.
Khi u t vo c phiu, cc nh u t thng k vng vo hai loi thu nhp, l thu nhp
t c tc v t mc tng th gi c phiu. Thu nhp t c tc ty thuc vo tnh hnh kinh doanh
ca cng ty v quyt nh ca Hi ng qun tr. Thu nhp t mc tng th gi c phiu l biu
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Theo phng thc u t hng li: nh u t nhm mc ch li nhun bao gm c li
tc v chnh lch gi. Thu nhp t hot dng ny bao gm:
- Thu nhp t hot ng kinh doanh chnh lch gi: mua bn trong ngn hn tm
kim LN t chnh lch gi
- Thu nhp t h u c: tm kim li nhun t li tc v chnh lch gi trong dihn. Khi CK khan him, NT bn v thu li nhun.
- TN t h kinh doanh gim gi: Khi CK c du hiu gim gi NT bn CK ri ch
gi h v mua li, khon chnh lch tr i cphis giao dch s la TN ca NT. TH
c bit l bn khng: vay CK ca 1 cty bn i, i gi h s mua tr hng
chnh lch.
Theo hnh thc t nm quyn kim sot: cho php CSH c quyn kim sot cng ty PH
thng qua quyn dc nhn t.tin, q` tham d v biu quyt ti H c ng. S lng cp nmgi q kh nng kim sot, biu quyt ca NT. Thng qua nm q` kim sot cc NT
ln s t/hin ti cu trc qlis cty,thay i cng ngh, t nng cao hiu qu h v ci
thin h/a cty trong mt cng chng t thc hin bn CP trn TT tp trung or OTC khi cp
tng gi, chnh l thu nhp ca h.
To lp th trng: L cc NT,thng l cc cty CK,NHTM m nhn to th trng trn
tt OTC thc hin mua bn theo y/cu to tnh thanh khon cho CK. Thu nhp ca h dc to
ra t c tc,tri tc,chnh lch gi Ck,tin hoa hng khi thc hin mi gii cho cc NT.
Phn tch mi quan h gia thu nhp v ri ro trong u t chng khon
Khi u t vo c phiu, cc nh u t thng k vng vo hai loi thu nhp, l thu nhp
t c tc v t mc tng th gi c phiu. Thu nhp ca mt khon u t l phn chnh lch
gia kt qu thu c sau mt khong thi gian u t v vn gc m nh u t phi b ra
ban u.
Ri ro c nh ngha nh l mt s khc bit gia gi tr thc t v gi tr k vng.
Theo cc l thuyt c, ri ro l nhng yu t lm cho mc sinh li gim. hin nay ngi ta
cho rng c mi yu t lm cho thu nhp thay i so vi d tnh d l tng hay gim u coi l
ri ro.
u t vo c phiu cha ng nhiu loi ri ro bao gm c ri ro h thng v phi h thng:
- ri ro h thng bao gm: + ri ro t gi
+ ri ro th trng
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- Ri ro phi h thng bao gm: rui ro kinh doanh,ri ro ti chnh, ri ro qun l.
Cng nh cc lnh vc u t khc, trong u t chng khon tn ti mi quan h t l thun
gia mc thu nhp vi mc ri ro. Thu nhp cng cao th mc ri ro tim n cng ln.
ng SML m t li nhun k vng ca mt ti sn ring l nh l mt hm ri ro ca ti
sn (c o bng nhy cm ca chng khon trc nhng bin ng ca th trng).
Thc o ri ro ph hp i vi ti sn ring l nm trong mt danh mc c a dng ha tt
khng phi l lch chun hoc phng sai ca ti sn , m l phn ri ro ca ti sn ring l
ng gp vo ri ro tng th ca danh mc (c o bng h s beta ca ti sn ring l). S hu
dng ca SML nm kh nng nh gi ti sn ring l: mt ti sn c nh gi chnh xc s
nm ng trn ng SML
(v hnh)
1 im nm trn ng SML (anpha > 0) -> nh gi thp
Nu s dng m hnh CAPM phn tch thi ta cng c CT:
ks = Rrisk free + Beta * (Rmarket - Rrisk-free)
vi ks l li sut k vng trn c phiu.
Trong :
* Beta l ch s phn nh ri ro th trng ca mt c phiu. Beta c th c d on da trn cc
* Rrisk free l t l phi ri ro, v thng l li sut tri phiu chnh ph v loi li sut ny c c
ro thanh ton
* Rmarket l thu nhp th trng k vng qua thi gian
Qua cng thc trn ta cng thy rng Beta cng cao tc ri ro cng cao th ks tc thu nhp k vngcng ln.
Trnh by thu nhp v ri ro trong u t chng khon theo phng thc u t hng li
Theo phng thc u t hng li: nh u t nhm mc ch li nhun bao gm c li
tc v chnh lch gi. Thu nhp t hot dng ny bao gm:
- Thu nhp t hot ng kinh doanh chnh lch gi: mua bn trong ngn hn tmkim LN t chnh lch gi
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- TN t h kinh doanh gim gi: Khi CK c du hiu gim gi NT bn CK ri ch
gi h v mua li, khon chnh lch tr i cphis giao dch s la TN ca NT. TH
c bit l bn khng: vay CK ca 1 cty bn i, i gi h s mua tr hng
chnh lch.
Do c im ca thu nhp ca phng thc t hng li l ntren nn n s bao hm nhng ri ronsau: t theo pp hng li th nh t s phi gnh chu c ri ro h thng v phi h thng:
-RR h thng: V cc NT thc hin t theo pp ny ch yu tm kim LN t chnh lch gi nn
h phi chu ri ro rt ln bi nhng bin ng ca th trng, khi thi trng din bin ngc li so
vi d on ca NT th h s phi chu tn tht rt nng n: NT d on CP tng gi nhng sau
li gim gi hay khi NT thc hin bn CK ra nhug sc mua ca th trng li thp
- RR phi h thng: RR kinh doanh,ri ro ti chnh,RR qun l.
Khi 1 NT vay vn thc hin h t ca mnh th ngha c ti chnh vi h s tng ln do h
phi tr gc v li cho khon vay . Khi h u t ca h thua l nu h ko th tr n th rt d
dn n tnh trng ph sn
Trnh by thu nhp v ri ro trong u t chng khon theo phng thc u t nm quyn
kim sot
Phng thc u t nm quyn kim sot: l vic u t vo loai chng khon cho php NT c
quyn kim sot cng ty pht hnh thng qua quyn nhn thng tin, quyn tham d v biu quyt ti
HC. S lng c phiu nm gi thng quyt nh kh nng biu quyt, kim sot ca NT.
Mt s NT ln thng l NT t chc nh DN hoc ngn hng ln thng thc hin phng thc
u t nm quyn kim sot.
- Thu nhp:
+ NT ngoi c tc v chnh lch gi cn c quyn ch ng trong vic to lp thu nhp cho mnh
thng qua vic nm gi quyn kim sot DN pht hnh chng khon, tc ng n hot ng sn
xut kinh doanh ca DN.
+ Trong mt s trg hp, NT la chn phng thc u t nm quyn kim sot vo cc cng ty
cha pht trin, c bit yu km v cng ngh qun l. Thng qua nm quyn kim sot, h thc
hin ti cu trc cng ty, thay i qun l, cng ngh t nng cao hiu qu hot ng v ci thin
hnh nh trong cng chng u t v s thc hin bn c phiu trn th trng tp trung hoc th
trng OTC khi c phiu tng gi Phng thc ny c th em li khon li nhun k vng trong
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+ gi CK trong hnh thc u t ny thng cao, chi ph ln
+ NT chu tc ng ln trc nhng thay i trong hot ng kinh doanh ca DN pht hnh CK
hn cc phng thc u t thng thng khc.
Trnh by thu nhp v ri ro trong u t chng khon theo phng thc to lp th trng
u t theo phng thc to lp th trng thng do cc nh to lp th trng trung gi
chnh mua bn cc cng c ti chnh hot ng theo phng thc khp gi, thc hin chc nng
lnh cho mua, cho bn, m bo giao dch ca th trng lin tc.
- Thu nhp
+ NT to lp th trng vi hai mc tiu ch yu: m bo tnh thanh khon ca th trng v ki
nhun.
+ cc nh to lp th trng tm kim li nhun thng qua hai hnh thc sau
. Th nht, ng vai tr i tc trong giao dch, nu lnh t n l lnh mua NT s bn CK tn
nm gi. Nu lnh t n l lnh bn, th ngc li.
. Th hai, trong trng hp lnh t mua n nhng nh to lp th trng ko c s CK t mua
lnh t bn nhng ko kh nng mua ton b CK ca KH th s tm mt lnh i ng khc tha m
s nhn c mtkho
- Ri ro
+ Tham gia u t to lp th trng, NT thng phi i mt vi ri ro li sut v ri ro thanh kho
. i vi ri ro li sut: nu li sut th trng tng ln, c hi u t vo cc ti sn c mc li t
hn s mt i.
. i vi ri ro thanh khon: do u t to lp th trng thng phi nm gi mt lng CK ln nphi i mt vi ri ro thanh khon, nm gi CK trong tay nhng kh nng thanh khon ngy cn
hp.
+ phng nga ri ro cc nh u t to lp th trng thng s dng cc cng c phi sinh ho
cng c bo him khc, nh repos .....
Trnh by cc phng php xc nh ch s gi chng khon: Phng php Passcher;
Phng php Laspeyres; Phng php ch s gi bnh qun Fisher; Phng php sbnh qun gin n; Phng php bnh qun nhn gin n
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Hin nay cc nc trn th gii dng 5 phng php tnh ch s gi c phiu, l:
Phng php Passcher:
y l loi ch s gi c phiu thng dng nht v n l ch s gi bnh qun gia quyn gi tr viquyn s l s lng chng khon nim yt thi k tnh ton. Kt qu tnh s ph thuc vo c cu
quyn s thi k tnh ton:
Ngi ta dng cng thc sau tnh:
qt pt
Ip = -------------
qtpo
Trong : Ip : L ch s gi Passcher
pt : L gi thi k t
po : L gi thi k gc
qt : L khi lng (quyn s) thi im tnh ton ( t )
hoc c cu ca khi lng thi im tnh ton.
i: L c phiu i tham gia tnh ch s gi
n: l s lng c phiu a vo tnh ch s
Ch s gi bnh qun Passcher l ch s gi bnh qun gia quyn gi tr ly quyn s l quyn sthi k tnh ton, v vy kt qu tnh s ph thuc vo c cu quyn s (c cu chng khon nimyt) thi tnh ton.
Cc ch s KOSPI (Hn Quc); S&P500(M); FT-SE 100 (Anh) ; TOPIX (Nht) ; CAC (Php);TSE (i Loan); Hangseng (Hong Kong); cc ch s ca Thu S,.. v Vn- Index ca Vit Nam pdng phng php ny.
Phng php Laspeyres.
Ch s gi bnh qun Laspeyres l ch s gi bnh qun gia quyn gi tr, ly quyn s l s cphiu nim yt thi k gc. Nh vy kt qu tnh s ph thuc vo c cu quyn s thi k gc:
qo pt
I l = -------------
qo po
Trong : IL : L ch s gi bnh qun Laspeyres
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qo: L khi lng (quyn s) thi k gc hoc c cu ca khi lng c (s lng c phiu nimyt) thi k gc
i: L c phiu i tham gia tnh ch s gi
n: l s lng c phiu a vo tnh ch s
C t nc p dng phng php ny, l ch s FAZ, DAX ca c.
Ch s gi bnh qun Fisher
Ch s gi bnh qun Fisher l ch s gi bnh qun nhn gia ch s gi Passcher v ch s giLaspayres: Phng php ny trung ho c yu im ca hai phng php trn, tc l gi tr chs tnh ton ra ph thuc vo quyn s ca c 2 thi k: K gc v k tnh ton
I F = IP x I L
Trong :I F : L ch s gi Fisher
IP: L ch s gi Passcher
I L: L ch s gi bnh qun Laspeyres
V mt l lun c phng php ny, nhng trong thng k khng thy n p dng bt k mtquc gi no.
Phng php s bnh qun gin n:
Ngoi cc phng php trn, phng php tnh gi bnh qun gin n cng thng c p dng.Cng thc n gin l ly tng th gi ca chng khon chia cho s chng khon tham gia tnhton:
pi
Ip = -------------
n
Trong : Ip: l gi bnh qun;
Pi: l gi Chng khon i;
n: l s lng chng khon a vo tnh ton.
Cc ch s h Dow Jone ca M; Nikkei 225 ca Nht; MBI ca p dng phng php ny.Phng php ny s tt khi mc gi ca cc c phiu tham gia nim yt kh ng u, hay lchchun ) ca n thp.(
Phng php bnh qun nhn gin n
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Chng ta ch nn dng loi ch s ny khi lch chun kh cao. Cc ch s: Value line (M); FT-30 (Anh) p dng phng php bnh qun nhn gin n ny.
Tuy nhin v mt l lun, chng ta c th tnh theo phng php bnh qun cng hoc bnh qunnhn gia quyn vi quyn s l s chng khon nim yt.
Quyn s thng c dng trong tnh ton ch s gi c phiu l s chng khon nim yt. Ring i Loan th h dng s chng khon trong lu thng lm quyn s, bi v t l u t ca cngchng rt cao y (80 .. 90%).
Trnh by ni dung, ngha gi thuyt th trng hiu qu. Nhn xt ca Anh (Ch) v mc
hiu qu ca Th trng chng khon Vit Nam
Ni dung:
Th trng vn l hiu qu ngha l ch nh u t c cung cp thng tin y , chi ph
dch khng ng k, khng c nhng hn ch u t, v khng c nh u t no ln nh hn
gi c ca mt loi chng khon no . Ni khc i, gi nh th trng vn l th trng hiu q
hon ho.
u tin. Mt th trng hiu qu n i hi mt s lng ln cc i th cnh tranh tham gia th t
vi mc tiu ti a ho li nhun, h tin hnh phn tch v nh gi cc loi chng khon mt cch
ton c lp vi nhau.
Th hai l nhng thng tin mi v chng khon c cng b trn th trng mt cch ngu nhin
ng, v vic quyt nh v thi im cng b thng tin cng c lp ln nhau.
Th ba, c bit quan trng, l cc nh u t lun tm mi cch iu chnh gi chng khon tht n
nhm phn nh chnh xc nh hng ca thng tin. Gi chng khon c iu chnh mt cch n
chng l bi s lng ln cc nh u t vi mc tiu ti a ho li nhun cnh tranh vi nhau.
Cui cng, bi tt c cc thng tin s iu chnh gi chng khon, do nhng mc gi ny s ph
tt c cc thng tin c cng b cng khai ti bt k thi im no. V vy, gi chng khon no m
bin ti mi thi im c th l do kt qu phn nh sai thng tin v c th mang li ri ro vi ng
hu chng khon . V l ny, trong mt th trng hiu qu, thu nhp k vng n trong mc gi h
ca chng khon cng s phn nh ri ro ca n.
ngha:
Khi th trng tr nn km hiu qu, quy lut cung cu trn th trng do NT cnh tranh lnkhai thc cc hin tng c nhn bit kim li nhun. V chnh iu ny s a th gi t
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Khi tham gia vo mt th trng hiu qu, nh u t s t c c hi vt tri hn so vi n
ngi khc v hiu qu ca th trng chng khon s khin cho gi ca cc c phiu hin c tr
trng lun gn kt v cung cp cc thng tin tng thch. Cc chng khon s c mua/bn, tra
ngang gi trn cc sn giao dch chng khon. Ngi chi lun c tin tng rng th trng i x
bng vi tt c mi ngi.
Lin h:
Chng ta c th khng nh rng th trng chng khon ca Vit Nam cha thc s l th trng
qu. iu ny xut pht t cc l do
u tin. S lng cc nh u t chuyn nghip ca th trng cn t. i khi cc nh u t hnh
theo xu hng m ng gy nn nhng nh hng tiu cc ti th trng. V d: trong giai on 2007.
Th hai. Vic cng b thng tin ca cc doanh nghip cn hn ch. n hn np BCTC nhng c
DN tr hon hay np mun. Bn cnh , c nhiu c nhn bit trc cc thng tin quan trng hay c
tin n lin quan n th trng. Cc c quan chc nng cha gim st cht ch ti vic cng b th
ca DN. iu ny nh hng n s minh bch ca th trng v nh hng ti hnh ng ca N
nh hng ti gi chng khon trn th trng.
Th ba, Gi thit cc nh u t lun tm mi cch iu chnh gi chng khon tht nhanh nhm ph
chnh xc nh hng ca thng tin cha c m bo.
V vy, cc c quan qun l nh nc cn mnh tay hn na trong vic qun l th trng, c
li nhng thng tin sai lch, hn ch cc thng tin ni gin, nn u c lm lng on th trng, lm
gi chng khon bin ng bt thng. Vic cng b thng tin v tnh hnh ti chnh ca cc doanh n
cng cn phi c gim st mt cch cht ch trnh vic cng b thng tin khng chnh xc nh m
doanh nghip trong thi gian va qua lm nh hng ti gi chng khon trn th trng.
Trnh by cc gi thuyt trong m hnh Markowitz
M hnh Markowitz da trn nhng gi nh c s nh sau:
- Cc nh u t u l nhng nh u t ngi ri ro. Vi mt mc ri ro cho trc nh u
t s a thch phng n u t no c li nhun k vng cao hn. Tng t, vi mt mc linhun k vng cho trc nh u t s a thch nhng phng n u t c ri ro thp hn.
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- Vic la chn v quyt nh cc phng n u t ca nh u t ch da trn hai yu
t l thu nhp k vng v mc ri ro ca thu nhp. Mc hu dng ca nh u t ch ph
thuc vo 2 yu t ny.
- Cc quyt nh u t c a ra v kt thc trong mt khong thi gian nht nh.
- Tt c cc nh u t u c cng thi hn u t nh nhau.
- Nh u t xem mi s la chn u t nh mt phn phi xc sut ca t sut sinh li
k vng.
- Nh u t ti a ho hu dng k vng v ng cong hu dng ca h biu din gi
tr hu dng bin gim dn.
- Nh u t c lng ri ro da vo phng sai ca t sut sinh li.
- Cn c quyt nh ca nh u t ch da vo t sut sinh li k vng v ri ro, v vy
ng cong hu dng ca h l mt hm ca t sut sinh li k vng v lch chun ca t sut
sinh li.
Trnh by ni dung v ngha ca l thuyt qun l danh mc u t MarkowitzCng thc xc nh t sut sinh li:
Vi mt ti sn A, ta xc nh t sut sinh li thi im t nh sau:
P Div
R ln A t t
At
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PA,t 1
Trong : RAt
: T sut sinh li ca ti sn A thi im t, PAt
v PA,t-1
: Gi tr ti sn A
thi im t v thi im t-1, Divt: C tc (dng tin thu nhp) trong sut thi k t t-1 n t.
Vi gi nh t sut sinh li chng khon l mt i lng ngu nhin. Do vy, n c
y cc tham s c trng ca i lng ngu nhin nh: k vng ton, phng sai, lch
chun, gi tr tin chc nht, m men, h s bt i xng, h s nhn
T sut sinh li k vng ca danh mc:
T sut sinh li k vng ca danh mc. k hiuE(Rport) c tnh nh sau:
E(Rport)
n
WiE(Ri )
i 1
(1.1)
Trong , Wi = t trng ti sn th i trong danh mc
E(Ri) = t sut sinh li ca ti sn th i.
Phng sai ( lch chun) ca t sut sinh li ca mt ti sn.
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2
i
2
2
phng sai ( lch chun) ca mt ti sn, c xc nh nh sau:
n
Phng sai:2R
E(Ri ) Pi , trong :Pi l xc sut ca TSSL Ri.
i 1
n
lch chun: Ri E(Ri ) Pi
i
1
Phng sai ( lch chun) ca t sut sinh li ca danh mc u t:
Trc tin, ta xem xt nh ngha v hip phng sai. Hip phng sai ca hai t sut
sinh li ca hai chng khon i v j (k hiu Covij) c nh ngha:
Covij = E(RiRj) E(Ri)E(Rj)
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2 2
8
H s tng quan ca hai t sut sinh li o lng mc quan h tuyn tnh gia t
sut sinh li hai chng khon i v j, k hiu ij, c xc nh:
Covij
ij
i j
H s tng quan c tnh cht: -1 ij +1. Nu ij cng gn 0 th ta gi l tng
quan lng lo, cn nu ij cng gn 1 th c s tng quan cht. Nu hai chng khon c t
sut sinh li c lp th ij = 0. Tuy nhin, lu rng iu ngc li khng ng, tc l nu
hai t sut sinh li ca hai chng khon c h s tng quan bng 0 th cha chc chng l c
lp.
Khi , lch chun ca danh mc c xc nh:
n n n
port
wi i wi wjCovij
(1.2)
i 1
Trong :
i 1 j 1
i j
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wi : t trng ca ti sn i trong danh mc;
i2
: Phng sai ca t sut sinh li ca ti sn i.
Cng thc trn ch ra rng lch chun ca t sut sinh li ca danh mc l mt hm
ca trung bnh c trng s ca cc phng sai ring l ( y cc t trng c bnh phng),
cng vi hip phng sai c trng s ca cc ti sn trong danh mc. lch chun ca danh
mc khng ch bao hm phng sai ca cc ti sn n l m cn bao hm c hip phng sai
i mt gia cc ti sn trong danh mc. Hn na, n cn ch ra rng trong mt danh mc u t
vi mt lng ln cc chng khon, cng thc ny l bnh qun gia quyn ca cc hip phng
sai. n gin, ta quy c mt s k hiu nh sau: Hip phng sai ca hai ti sn i v j
l Cov(ri, rj), c k hiu l ij; phng sai ca ti sn i l
Var(ri) = i2, c k hiu l ii.
Do , cng thc 1.2 c vit li:
n n
port
wi wj ij
(1.3)
i 1 j 1
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9
Thnh lp mt danh mc u t
Danh mc u t vi hai ti sn:
Mt danh mc gm hai ti sn, vi mt h s tng quan cho trc, nu kt hp tt
c cc kh nng xy ra ca cc t trng trong danh mc th ta s c mt ng cong (hoc
ng thng nu h s tng quan bng +1).
S a dng ho ti sn u t s mang li hiu qu l gim ri ro danh mc, ngoi tr
trng hp cc ti sn c tng quan cng chiu hon ho. Vi mt mc ri ro cho trc,
nh u t s chn danh mc trn ng cong sao cho t t sut sinh li cao nht. Do vy, trn
th, vng ng cong t E n G l vng khng u t v n c thay th bng vng
ng cong t E n C c t sut sinh li cao hn.
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Danh mc u t vi n ti sn:
Vi danh mc gm n ti sn, ta s tnh t sut sinh li k vng v lch chun theo
cng thc 1.1 v 1.2. Sau , cng ging nh trng hp danh mc gm hai ti sn, nh u ts la chn cc trng hp khc nhau ca t trng cc ti sn sao cho ng vi mt mc TTSL
cho trc s t c mc ri ro ti thiu.
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10
Tuy nhin, vi mt s lng ln ti sn trong danh mc, chng hn 100 chng khon,
th s lng tnh ton rt ln, ta phi tnh n 4950 h s tng quan gia cc ti sn,
cha k cc php tnh v t sut sinh li k vng v phng sai ca cc t sut sinh li.
y chnh l nhc im c bn ca m hnh danh mc Markowitz. Nhng vi s pht trin
ca cng ngh thng tin ngy nay, chng ta c th tnh ton d dng nh cc mi trng tnh
ton cc mnh. Tuy nhin, vo nhng nm 1960, W. F. Sharpe xut m hnh th trng,
c lng ri ro bng m hnh hi qui, gim ng k khi lng tnh ton.
Markowitz cho rng cc nh u t khng nn chn cc DMTti a ho li
nhun k vng v bn thn tiu ch ny b qua nguyn tc a dng ho, m thay vo
xem xt phng sai ca li nhun la chn danh mc vn u t c li nhun k vng
cao nht vi phng sai cho trc.
Cac buoc:
1. Nh u t xc nh r tp hp cc ti sn ri ro v phi ri ro anh ta mun xem xt cng nhthi gian u t.
2. Th hai, thc hin vic phn tch chng khon, y c th l xc nh li nhun k vng,
mc ri ro v mi tng quan gia cc ti sn c xem xt.
3. Bc th ba l tnh ton tp hp u t hiu qu, s dng cc d liu c tnh ton
bc hai. Nu ti sn phi ri ro c s dng, tp hp hiu qu s l ng thng, nu khng
n s l ng cong.
4. Bc cui cng l xc nh DMTti u tha mn tng nh u t c th (da vo yu t ngi
ri ro ca h).
u im ca phng php ny l bc mt n bc ba c lp vi nh u t v
ch cn lm mt ln. Ch c bc bn phi xem xt cho tng nh u t.
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Trnh by ngha v phng php xc nh ng bin hiu qu
Tr li:
Danh mc u t gm mt ti sn ri ro v mt ti sn phi riro
Tp hp ca tt c cc phng n u t kh thi, trong trng hp ny tng ng vi ng
bin hiu qu, chnh l ng thng ni hai
im th hin hai dng ti sn u t ang c xem xt (1 ti sn phi ri ro v 1 ti sn ri ro).
ng ny chnh l ng phn b vn
(CAL)
ng phn b vn (CAL)
ng phn b vn CAL gm c 4 on:
1. F l im nh u t ch nm gi ti sn phi ri ro (x1=0), do vy, lch chun = 0.
2. on t F ti R1 l tp hp ca tt c cc danh mc u t vo c
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ti sn ri ro v phi ri ro (0 x1 1).
3. Ti im R1 tt c danh mc u u t vo ti sn ri ro (x1=1).
4. T R1 tr ln, phn ti sn ri ro vt qu 100% vn u t ca danh mc (c ngha l x1> 1, x2 < 0). iu ny c ngha cc nh
u t vay mn vi li sut phi ri ro mua ti sn ri ro.
dc ca ng CAL, nh nhn trn hnh v, th hin mc gia tng li nhun k vng ng
vi mi n v ri ro tng thm ca danh mc u t, hay ni cch khc, l thc o mc
li nhun vt tri b p cho mi n v ri ro tng thm. Chnh v vy dc ca
CAL cn c gi l h s li nhun b p ri ro (reward to variability ratio). Cng thc tnh
h s ny nh sau:
S= (E(Rp) RF)/ P
Danh mc u t gm N ti sn ri ro + mt ti sn phi ri ro
Trong trng hp ny nh u t c c hi u t mt phn ca ci ca anh ta vo mt ti
sn phi ri ro v s cn li u t vo mt tp hp cc ti sn ri ro. Nu chng ta nh li phng
thc xy dng danh mc u t gm nhiu ti sn ri ro phn trc, nh u t c th la chn
mt danh mc u t kt hp tuyn tnh gia mt ti sn ri ro v mt danh mc nhiu ti sn ri
ro nm trn ng bin hiu qu. Trong trng hp tng qut ny, ng hiu qu chnh l ng
tip tuyn t RF tip xc vi phn bao ngoi hnh chic (ng bin hiu qu ca danh mc
gm ton cc ti sn ri ro).
la chn danh mc u t ti u ca mnh, nh u t s chn mt danh mc u t
nm trn ng hiu qu tu theo tm l ngi ri ro ca anh ta. Mt nh u t hon ton ngi ri
ro s u t 100% vn vo RF. Lu rng khng ging nh trng hp vi N ti sn ri ro, u
ch c mt danh mc tip im, do vy h s li nhun b p ri ro (S) i vi tt c cc nh u
t l nh nhau
ng hiu qu c biu din nh sau:
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ng hiu qu ca danh mc u t gm N ti sn ri ro + mt ti sn phi ri ro
on gia RF v T, nh u t dnh mt phn vn u t vo ti sn phi ri ro v mt
phn vo danh mc ri ro ti tip im. Trng hp ny tng i ph bin i vi cc nh u t
thng thng: ch c mt phn ca danh mc l u t vo tri phiu v c phiu ri ro. Ti T,
chng ta u t tt c ca ci vo danh mc tip im.
Vy cc danh mc u t nm v pha bn phi im T, tng ng t trng u t vo
danh mc ri ro > 100% c ngha g? Trong trng hp ny, nh u t bt u s dng n byvn, c ngha l anh ta i vay vi mc li sut phi ri ro mua nhiu hn na ti sn ri ro. Lu
rng, cn phi c iu kin khng c hn ch giao dch bn khng cc danh mc u t nm
v pha bn phi im T l kh thi (v d nh im Q), v ti T nh u t u t ton b vn
vo N ti sn ri ro. Tuy nhin, trn thc t hu nh khng c kh nng mt nh u t c th mua
v bn cc tn phiu kho bc (T-bill) ti cng mt mc gi. Nhng vn ny c coi l mt
trong s nhng c im khng hon ho ca th trng.
Trnh by phng php xc nh v ngha ca ng CML
ng th trng vn (CML)
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Trn ng CML tp trung tt c cc danh mc u t kh thi kt hp gia danh mc
th trng v i sn phi ri ro. dc ca CML, c th hin theo cng thc sau:
(E(RM) RF)/ M
Ta c th thy dc ca ng CML th hin mc chnh lch gia li nhun th trng
k vng so vi mc li nhun phi ri ro v chia cho ri ro ca th trng, v vy n c coi l gi
ca mt n v ri ro .Phng trnh ca ng CML c th hin nh sau :
E(RP)= RF +(E(RM) RF)* P / M
ng th trng vn (CML)
c ngha l phn b ri ro i vi bt k danh mc u t hiu qu P no u l tch ca
gi th trng ca ri ro nhn vi (mt lng) ri ro ca danh mc u t ( o bng lch
chun).
dc ca ng CML c xc nh bng mc li nhun b p cho mt n v ri ro
m nh u t yu cu, v vy dc ca ng CML s thay i ph thuc vo mc ngi ri ro
ca nh u t, ngi ngi ri ro cao s i mc b ri ro cao hn v ngc li. Vic ny s khin
cho hnh dng ca tp hp hiu qu gm N ti sn ri ro cng thay i. V d, gi s rng cc nh
u t ngi ri ro cao v yu cu mc li nhun cao hn b li vic chu mt mc ri ro nht
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nh. iu ny s y ton b ng hiu qu cao ln pha trn. im tip xc, hay chnh l danh
mc th trng, s c h s li nhun b p ri ro cao hn v c cu danh mc cng s b thay
i. Khi ng CML s c dc ln hn (khi mc li sut phi ri ro thay i, dc ny c
th s gim xung)
Trnh by phng php xc nh v ngha ng SML
Tr li
ng th trng chng khon (SML)
ng CML m t mi quan h ri ro - li nhun p dng cho cc danh mc u t hiu
qu. N khng p dng c i vi cc ti sn ring l hay danh mc u t khng hiu qu. Do
danh mc u t mo him m mi nh u t nm gi l danh mc u t th trng, ri ro vmi tng quan ca mt ti sn ring l hoc ca mt danh mc u t khng hiu qu phi c
nh gi di gc phn ng gp ca chng vo ri ro ca danh mc u t th trng. Nh
u t c th mong mun mt ti sn no (v do vy ti sn ny c mc gi cao hn hoc mc
li nhun k vng thp hn) khng phi v ri ro tng th ca n thp m c th v n gip lm
gim ri ro ca danh mc u t th trng. Ngc li, cc chng khon c xu hng lm tng ri
ro ca danh mc u t th trng s phi chu mc gi thp hn hoc yu cu mt mc li nhun
k vng cao hn RM.
nh gi cc ri ro ca ti sn ring l v tc
ng ca chng ti ri ro tng ca danh mc
u t th trng, chng ta phi phn tch
lch chun ca DMT:
M = XiMXjM ij
trong xiM v xjM l t trng ca danh
mc u t th trng c u t trong ti
sn i v j. By gi, h s tch sai ca chng
khon i vi danh mc th trng c th hin
qua cng thc di y:
iM = XjM i
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Hoc c th c th hin li nh sau:
M= [X1M1M + .+ XNMNM]^0.5
thc o hp l ri ro ca mt ti sn ring l ng gp vo danh mc u t th trng l
h s tch sai ca ti sn vi danh mc th trng, v c th hin qua cng thc di y:
iM/ 2M
Nh vy, kt hp cc cng thc trn, ta c cng thc cn bn ca CAPM th hin mi
quan h gia li nhun k vng ca mt chng khon ring l hoc ca mt danh mc khng hiu
qu v ri ro tng ng ca chng nh sau:
E(RP)= RF +[(E(RM) RF) / M] * iM/ M (*)
Theo , gi ca mt n v ri ro c th hin bng: (E(RM) RF) / M
Cng thc (*) c vit li nh sau, y chnh l cng thc ca ng th trng chng khon
(SML):
E(RP)= RF +[(E(RM) RF) / M]*i
Theo , beta c xc nh theo cng thc: i = iM/ M = COV(Ri, RM)/VAR( RM)
ng SML c th hin trn hnh v nh sau:
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ng th trng chng khon (SML)
dc ca ng SML th hin mc ngi ri ro trong nn kinh t: mc ngi ri ro
trung bnh ca nh u t cng ln, ng SML cng c dc ln, mc b ri ro i vi bt k
chng khon no cng ln v mc li nhun k vng i vi cc chng khon cng cao. Chng tau bit mc li sut phi ri ro danh ngha bao gm mt mc li sut thc cng vi mt mc b
lm pht d kin, v vy nu lm pht d kin tng, th ng SML s tnh tin thng ln pha
trn.
Vic so snh gia ng th trng chng khon SML v ng th trng vn CML l
iu cn thit. ng CML m t li nhun k vng ca cc danh mc u t hiu qu l mt
hm ca mc dao ng ca danh mc (c tnh bng lch chun ca cc mc li nhun).
iu ny l hp l v lch chun l thc o ri ro ph hp i vi nhng danh mc u tc a dng ha hiu qu. Ngc li, ng SML m t li nhun k vng ca mt ti sn ring
l nh l mt hm ri ro ca ti sn (c o bng nhy cm ca chng khon trc nhng
bin ng ca th trng). Thc o ri ro ph hp i vi ti sn ring l nm trong mt danh
mc c a dng ha tt khng phi l lch chun hoc phng sai ca ti sn , m l phn
ri ro ca ti sn ring l ng gp vo ri ro tng th ca danh mc (c o bng h s beta ca
ti sn ring l). S hu dng ca SML nm kh nng nh gi ti sn ring l: mt ti sn c
nh gi chnh xc s nm ng trn ng SML.
Lu rng, tt c cc danh mc vn u t hiu qu ca ng CML cng nm trn
ng SML, nhng iu ngc li th khng ng. iu ny xut pht t thc t l mt danh mc
u t gm cc ti sn ri ro s c mc khon li nhun k vng t l vi beta ca danh mc (xc
nh thng qua ng SML). Tuy nhin, tr phi danh mc ny ging ht danh mc u t th
trng, nu khng bt k danh mc u t nm trn ng SML khng nht thit phi l hiu qu
v do khng nht thit nm trn ng CML. ng SML to ra mt mc chun nh gi
hiu qu hot ng ca mt loi chng khon. Vi mc ri ro xc nh ca mt ti sn u t(c o bng beta ca ti sn ), ng SML a ra mc li nhun k vng yu cu i vi ti
sn b p cho mc ri ro m nh u t chp nhn cng nh cho gi tr ca tin u t theo
thi gian. Trong iu kin cn bng gi c trn th trng, tt c cc chng khon u phi nm
trn ng SML. Khi , phn tch xem mt chng khon no c phi l mt khon u t
tt (b nh gi qu thp) hay khng, ta phi xc nh c chng khon em li mt mc li
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nhun k vng cao hn mc li nhun k vng cn bng xc nh theo m hnh CAPM. Nh vy,
cc chng khon b nh gi qu thp s nm pha trn ng SML. Ngc li cc chng khon b
nh gi qu cao s nm pha di ng SML. Khon chnh lch gia mc gi cn bng hp l
theo CAPM v mc li nhun thc ca chng khon c gi l h s alpha ca chng khon, k
hiu l . i vi bt k h s alpha no khc 0, nh u t s coi l chng khon ang cha
c nh gi ng. Anh ta s mua nhng chng khon no c alpha >0 v bn nhng chng
khon no c alpha
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u tin. Mt th trng hiu qu n i hi mt s lng ln cc i th cnh tranh tham gia th trng
vi mc tiu ti a ho li nhun, h tin hnh phn tch v nh gi cc loi chng khon mt cch hon
ton c lp vi nhau.
Th hai l nhng thng tin mi v chng khon c cng b trn th trng mt cch ngu nhin v tng, v vic quyt nh v thi im cng b thng tin cng c lp ln nhau.
Th ba, c bit quan trng, l cc nh u t lun tm mi cch iu chnh gi chng khon tht nhanh
nhm phn nh chnh xc nh hng ca thng tin. Gi chng khon c iu chnh mt cch nhanh
chng l bi s lng ln cc nh u t vi mc tiu ti a ho li nhun cnh tranh vi nhau.
Cui cng, bi tt c cc thng tin s iu chnh gi chng khon, do nhng mc gi ny s phn nh
tt c cc thng tin c cng b cng khai ti bt k thi im no. V vy, gi chng khon no m btbin ti mi thi im c th l do kt qu phn nh sai thng tin v c th mang li ri ro vi ngi s
hu chng khon . V l ny, trong mt th trng hiu qu, thu nhp k vng n trong mc gi hin ti
ca chng khon cng s phn nh ri ro ca n.
Gi nh 2:Nh u t k vng nm gi chng khon trong thi k 1 nm v c hai c hi u
t: u t vo chng khon khng ri ro v u t vo danh mc c phiu thng trn th trng.
Gi nh 3: Cc nh u t nm gi danh mc chng khon a dng ha hon ton. Do nhngi hi v t sut sinh li ca nh u t b tc ng ch yu bi ri ro h thng ca tng chng khon
ch khng phi l ri ro tng th.
Ngoi ra cn c cc gi nh:
- Khng c chi ph cho vic mua v bn chng khon.
- Khng c thu.
Trnh by ni dung, ngha ca m hnh CAPM
M hnh nh gi ti sn vn (Capital asset pricing model CAPM) l m hnh m t mi quan h
gia ri ro v li nhun k vng. Trong m hnh ny, li nhun k vng ca mt chng khon bng li
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ri
rf
RM
nhun khng ri ro (risk-free) cng vi mt khon b p ri ro da trn c s ri ro ton h thng ca
chng khon . Cn ri ro khng ton h thng khng c xem xt trong m hnh ny do nh u t c
th xy dng danh mc u t a dng ho loi b loi ri ro ny.
1) Ni dung ca m hnh
a) quan h gia li nhun c bit v li nhun th trng - ng c th chng khon (the
security characteristic line)
Hnh: mi quan h gia ri ro t sut sinh li vi bin hip phng sai h thng l thc o ri ro
Ta c: R = rf+ x (rM - rf)
Trong : rf : l li nhun khng ri ro,
rm l li nhun k vng ca danh mc th trng
l h s beta ca c phiu.
Cng thc trn hm rng t sut sinh li ca mt chng khon c mi tng quan xc nh vi
beta ca n. Beta l thc o chun ha ca ri ro v n thit lp quan h gia hip phng sai ny v
phng sai ca danh mc th trng. Danh mc th trng c = 1.
H s bta = 1,5 cho bit rng li nhun c phiu bin ng gp 1,5 ln li nhun th trng
ngha l khi nn kinh t tt thi li nhun c phiu tng nhanh hn li nhun th trng, nhng khi nn
ng th tr ng ch ng khon(SML)
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kinh t xu th li nhun c phiu gim nhanh hn li nhun th trng. Chng ta hc, ri ro c
nh ngha nh l s bin ng ca li nhun. y bta c nh ngha nh l h s o lng s bin
ng ca li nhun. Cho nn, bta c xem nh l h s o lng s ri ro ca chng khan.
B)c lng trn thc t
Nh ni l h s o lng ri ro ca chng khon. Trn thc t cc nh kinh doanh chng
khon s dng m hnh hi qui da trn s liu lch s c lng . cc nc c th trng ti chnh
pht trin c mt s cng ty chuyn xc nh v cung cp thng tin v h s . Chng hn M ngi ta
c th tm thy thng tin v t cc nh cung cp dch v l Value Line Investment Survey, Market Guide
v Standard & Poors Stock Reports. Canada thng tin v do Burns Fry Limited cung cp
c) T sut sinh li mong i ca mt ti sn ri ro
Li nhun k vng ca mt chng khon c quan h ng bin vi ri ro ca hng khon ,
ngha l nh u t k vng chng khon ri ro cao c li nhun cao v ngc li. Hay ni khc i, nh
u t gi chng khon c ri ro cao ch khi no li nhun k vng ln b p ri ro. Do , li
nhun k vng ca mt chng khon c quan h ng bin vi h s ca n.
Gi s rng th trng ti chnh hiu qu v nh u t a dng ho danh mc u t sao cho ri
ro khng ton h thng khng ng k. Nh vy, ch cn ri ro ton h thng nh hng n li nhun
ca c phiu. C phiu c beta cng ln th ri ro cng cao, do , i hi li nhun cao b p ri ro.
Theo m hnh CAPM mi quan h gia li nhun v ri ro c din t bi cng thc sau:
ffm r)rr(r +=
Hnh di y m t quan h gia li nhun k vng ca chng khon vi h s ca n.
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T chng ta c th rt ra mt s iu quan trng sau y:
- Beta bng 0 Li nhun k vng ca chng khon c beta bng 0 chnh l li nhun khng ri
ro, rf,
- Beta bng 1 Li nhun k vng ca chng khon c beta bng 1 chnh l li nhun th trng,
rm, bi v trong trng hp ny:
- Quan h tuyn tnh Quan h gia li nhun c phiu v h s ri ro beta ca n l quan h
tuyn tnh c din t bi ng thng SML c h s gc l rm - rf
- Danh mc u t cng nh chng khon c bit M hnh CAPM nh va tho lun ng dng
cho trng hp c phiu c bit. Liu m hnh ny cn ng trong trng hp danh mc u t hay
khng? C, m hnh ny vn ng trong trng hp danh mc u t.
2. ngha
a) u nhc im ca m hnh CAPM
Mo hnh CAPM co u iem la n gian va co the ng dungc tren thc te. Tuy nhien cung nh mo hnh khac, CAPM con tontai nhng van e can xem xet sau
rm
rf
L i nhu n k v ng c a c phi u
(%)
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Ch xac nh beta trong hien tai ma thoi. Da vao qua nhieu gia nh trong thc te khong co ay u
gia nh nh the. Cac c lng beta tng cho thay beta khong on nh theo
thi gian.
Co cac nhan to khac ngoai lai suat phi rui ro va rui ro hethong c s dung e xac nh ty suat sinh li mong i cuahau het cac chng khoan.
Cac nha au t khong hoan toan bo qua rui ro khong hethong
B, Tam quan trong cua CAPM oi vi quan tr tai chnh
Giup cho cac nha au t co cai nhn sau sac, hieu ro verui ro
Mo hnh CAPM cho phep nha au t xem xet rui ro trong pham vi
mot danh muc au t a c a dang hoa tot. He so o lng beta. Mac du la CAPM khong mo ta hoan
toan chnh xac, nhng co the noi rang he so beta la motthanh phan quan trong mo ta ro rang ve rui ro cua cophieu va la mot yeu to quyet nh quan trong cua ty le sinhli can thiet
Mo hnh CAPM la mot cong cu hu hieu e c tnh ty lesinh li.
mo ta ro rang ve rui ro cua co phieu va la mot yeu to quyet nh quan trong cua
ty le sinh li can thiet
Mo hnh CAPM la mot cong cu hu hieu e c tnh ty le sinh li.
Trnh by ni dung, ngha, phng php xc nh h s
Tr li
nh gi cc ri ro ca ti sn ring l v tc
ng ca chng ti ri ro tng ca danh mc
u t th trng, chng ta phi phn tch
lch chun ca DMT:
M = XiMXjM ij
trong xiM v xjM l t trng ca danh
mc u t th trng c u t trong ti
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sn i v j. By gi, h s tch sai ca chng
khon i vi danh mc th trng c th hin
qua cng thc di y:
iM =
XjM i
Hoc c th c th hin li nh sau:
M= [X1M1M+ .+ XNMNM]^0.5
thc o hp l ri ro ca mt ti sn ring l ng gp vo danh mc u t th trng l h s
tch sai ca ti sn vi danh mc th trng, v c th hin qua cng thc di y: iM/ 2M
Nh vy, kt hp cc cng thc trn, ta c cng thc cn bn ca CAPM th hin mi quan h
gia li nhun k vng ca mt chng khon ring l hoc ca mt danh mc khng hiu qu v
ri ro tng ng ca chng nh sau:
E(RP)= RF +[(E(RM) RF) / M] * iM/ M (*)
Theo , gi ca mt n v ri ro c th hin bng: (E(RM) RF) / M
Cng thc (*) c vit li nh sau, y chnh l cng thc ca ng th trng chng
khon (SML):
E(RP)= RF +[(E(RM) RF) / M]*i
Theo , beta c xc nh theo cng thc: i = iM/ M = COV(Ri, RM)/VAR( RM)
Nh vy beta ca mt chng khon l thc o hp l phn ri ro ca chng khon ny
trong danh mc th trng, v beta chnh l t trng ri ro m chng khon ny ng gp vo danh
mc th trng. Beta >1 c ngha l li nhun ca chng khon ring l dao ng mnh hn li
nhun ca danh mc th trng. Mt khc, beta < 1 c ngha l li nhun ca chng khon dao
ng t hn so vi li nhun ca th trng.
Theo m hnh CAPM, mc li nhun ti im cn bng ca mt ti sn khng ph thuc
vo ri ro tng th ca ti sn (tnh theo lch chun hay phng sai) m ph thuc vo
h s tch sai gia ti sn v danh mc th trng. Do , mt chng khon ri ro khng c mi
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tng quan ti th trng (ngha l SD=0) s khng c k vng mang li li nhun cao hn RF.
Ngc li, mt chng khon c mc bin ng gi tng i thp ( < 1) c th to ra mc li
nhun k vng cao, n gin v h s tch sai ca n ln hn th trng.
Cn lu rng:
Theo nh ngha, beta ca danh mc u t th trng = 1. Ngc li, mt chng khon
vi beta = 1 s c mc li nhun k vng tng ng vi li nhun k vng ca danh mc th
trng E(RM).
Theo nh ngha, chng khon phi ri ro c beta=0. Ngc li, li nhun k vng ca mt
chng khon c beta=0 chnh bng li sut phi ri ro RF.
Nh chng ta s xem xt sau, mt doanh nghip c th tc ng ti h s beta ca cng ty bngcch c cu li ti sn ca cng ty hoc bng hnh thc vay n (debt financing).
Cc chng khon c beta m (nu c loi chng khon y tn ti!) c th c coi nh mt
cng c phng nga ri ro; dng chng khon ny c k vng s hot ng tt khi th trng i
xung v ngc li.
Beta ca mt danh mc u t l bnh qun gia quyn ca tt c cc beta ca tng ti sn ring
l.
p = wi . i
Trnh by ni dung c bn ca m hnh CAPM m rng
CAPM vi trng hp c chi ph giao dch
Vi gi nh l khng c chi ph giao dch, nh u t s mua hoc bn chng khon cho
n khi chng quay tr v trn SML. Chng hn, mt c phiu nm bn trn SML, c nh
gi thp, v vy nh u t s mua vo cho n khi n nm trn SML. Tuy nhin, trong trng
hp c chi ph giao dch, nh u t c th khng ko mt chng khon nm ngoi SML v
SML v chi ph giao dch chng khon s b p cho nhng li nhun tim nng. Do , cc
chng khon s nm gn SML v SML s l mt di cc chng khon. rng ca di ny s
l mt hm ca chi ph giao dch.
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E(Rx)
Hnh 1.12:ng th trng chng khon vi chi ph giao dch
E(R)
RM
CAPM trong trng hp c thu
T sut sinh li s dng trong m hnh l li nhun trc thu. Vy nn li nhun thc
ca nh u t s c iu chnh nh sau:
E(RiAT) = [(Pe Pb)(1-Tcg) + DIV(1-Ti)]/Pb
Trong :RiAT
: t sut sinh li sau thu, Pe: Gi ng ca,Pb: Gi m ca,
Tcg: Thu trn li nhun ca vn,Div: C tc ca c thi k, Ti: Thu thu nhp.
R rng, thu sut s khc nhau ng vi mi th ch kinh t. Trong trng hp khng
phi ng thu th Tcg v Ti bng 0. Nhng thc t cc nh u t c gnh nng thu ln, y
c th l nguyn nhn ch yu ca s khc nhau gia CML v SML. Mt s nghin cu gn
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y kim nh tc ng ca thu khc nhau trn c tc i nghch vi li nhun trn vn
nhng kt qu cha ng nht.
Trnh by ni dung, ngha ca m hnh APT
APT ni rng t sut sinh li k vng ca ti sn ti chnh c th c o lng thng qua cc
yu t kinh t v m khc nhau hoc l yu t th trng. S nhy cm ca ti sn vi s thay i
trong mi yu t c i din bng i lng xc nh gi l h s beta. Xut pht t l thuyt
ny, m hnh xc nh t sut sinh li cho cc chng khon c s dng nh gi ti sn
mt cch chnh xc. Gi ca ti sn phi bng vi mc k vng vo cui giai on u t chit
khu v hin ti vi mc chit khu c tnh ton trong m hnh. Nu gi khc nhau, c hi kinh
doanh chnh lch s a n v li ng ng thng nh m hnh.
* Ni dung:
APT i hi bn gi nh
- T sut sinh li c th c m t bng mt m hnh nhn t.
- Khng c cc c hi kinh doanh chnh lch.
- Tn ti mt s lng chng khon ln c th xy dng mt danh mc u t c kh nng
a dng ha ri ro c th ca cng ty ca tng loi chng khon ring l. Gi nh ny cho phpchng ta xc nhn rng ri ro c th ca cng ty khng tn ti.
- Th trng ti chnh khng c cc bt hon ho.
Thc cht th APT khng hn l mt m hnh m l mt l thuyt tng qut v li nhun
k vng ca ti sn ti chnh. Li nhun k vng E(Ri) ca mt chng khon i c xem l mt
hm s ca nhiu yu t th hin ri ro h thng v ri ro phi h thng.
E(Ri) = Rf+ 1if1 + 2if2 + 3if3 + + kifk
Trong :
Rf l mc li nhun c tm coi l phi ri ro, thng ly l li nhun ca tri
phiu chnh ph,
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ki l nhy ca chng khon i i vi yu t k,
fkl mc n b ri ro cho mi n v ca yu t k,
Cc h s beta c xc nh qua hi qui a bin.
Hoc:
rj = E (rj) + bj1F1 + bj1F1 + + j
Trong :
E (rj) l t sut sinh li k vng ca ti sn c ri ro
bikl mc nhy cm ca ti sn vi nhn t k (gi l bta nhn t)
j l bin ng ngu nhin ring c ca ti sn ri ro, c trung bnh bng 0. Thm vo , mi nhn
t cng c xem l bin ngu nhin c gi tr trung bnh bng zero.
Ri ro phi h thng c th c trit tiu gn ht thng qua vic a dng ha danh mc u
t, nn cc yu t n b ri ro xt y ch p dng cho cc ri ro h thng. Nhng yu t ri ro
h thng thng c nhc n trong l thuyt APT bao gm:
Lm pht,
Chu k kinh doanh (ri ro suy thoi),
Tng trng kinh t GNP,
Chnh lch gia li sut ngn hn v li sut di hn,
Chnh lch li sut gia tri phiu chnh ph v tri phiu cng ty,
T gi hi oi.
Tnh Beta nhn t v thit lp danh mc:
- Beta nhn t ca cc CK cho thy t sut sinh li ca cc CK thay i nh th no theo
cc nhn t ph bin
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- Cch tnh: beta danh mc l bnh qun gia quyn ca beta CK trong danh mc
- Thit lp danh mc:
+ Xc nh s lng cc nhn t thch hp
+ Nhn din cc nhn t v tnh beta nhn t
+ Thit lp phng trnh cho mi beta nhn t. V tri l beta nhn t ca danh mc m
phng nh l 1 hm ca trng lng danh mc v bn phi l beta nhn t mc tiu.
+ Gii phng trnh tm ra t trng danh mc (tng cc t trng bng 1)
(Trong m hinh k nhn t cn c k+1 chng khon).
Mt s nguyn tc v chn bin c lp (cc nhn t) cho APT
- nh hng ca chng ln cc thay i khng mong i trong gi ti sn l r rng
- Chng nn i din cho cc nh hng khng a dng ha ( l ; r rng, cp n cc yu t
kinh t v m hn l cc yu t ring c ca cng ty)
- i hi tnh u n v thng tin chnh xc ca cc bin
- Mi quan h nn c xem xt trn nn tng kinh t
- S lng cc yu t khng c qu ln, mt phn lm cho m hnh phc tp, mt phn khc
l bn thn cc bin s li c s tc ng qua li ln nhau nn mt tnh c lp.
- Tng hp cc bin c lp phi gii thch c hu ht cc dao ng ca bin ph thuc. Nu
trn 10% dao ng khng c gii thch, cn phi xem li c th mt s yu t ri ro h thng
b b st.
- Cc yu t phi th hin gn ton b mc n b ri ro ca tp hp chng khon. (Trong ktqu hi qui, phi gn bng 0 vi tin cy thng k tha ng).
u im ca APT ( ngha):
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- Trong khi m hnh CAPM ch a xt mt bin duy nht l mc n b ri ro cho tp
hp chng khon th trng (Rm-Rf), APT cho php a vo nhiu yu t kinh t v m khc
nhau tng cng mc thch hp vi nhng nn kinh t c th v vo nhng giai on c
th.
- CAPM i hi nhiu gi nh cht ch v i hi phi c mt tp hp chng khon th
trng c Rm tuy trn thc t khng th quan st c tp hp ny. APT khng i hi
nhiu gi nh v c th la chn trong s cc bin quan st c.
- thch hp th hin ch s R 2. Khi c xy dng vi cc yu t tha ng, APT
lun lun c R2 cao hn CAPM.
- i vi mt c phiu ring bit, APT cho thy cc yu t ri ro ch gii thch c
khong 25% dao ng ca c phiu. L do l c n 75% dao ng c gii thch bi cc yu t
ri ro phi h thng.
- i vi cc tp hp chng khon a dng ha, APT c th cho thy trn 90% dao ng
c gii thch bi cc yu t ri ro. Phn cn li (di 10%) l do tc ng ca cc ri ro phi h
thng v do cc yu t khng c a vo m hnh.
- Dng cc cng c thng k v tnh ton s liu nh eview, hm solver, hm cover,... nn
chnh xc l kh cao.
- Gii thch c s nh hng ca cc nhn t i vi t sut sinh li ca tng c phiu.
- APT ht sc linh hot c th tp trung vo bt k nhm c phiu no.
- Cc nhn t c la chn ty theo quan im ca nh qun l danh mc.
- Cho php cc nh qun l danh muc nm gi cc danh mc ri ro khc nhau.
Nhc im ca APT
- Mt nhc im ln nht l APT khng xc nh c u l cc bin c lp ng n
m cho ngi dng ty chn cc yu t ri ro.
- Ty theo kh nng v nh ca ngi dng, nhng tp hp yu t khc nhau c th cho
chnh xc khc nhau. (Trong khi m hnh CAPM xt mt bin xc nh v nht qun).
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- M hnh ny kh phc tp.
- Qua nhiu bc tnh ton nn sai s l tng i.
- Thng tin rt nhiu nhng cha c kim chng.
So snh CAPM v APT
Tuy CAPM v APT khc nhau v cch tip cn ban u, nhng c th nhn thy CAPM
thc cht ch l mt hnh thc c bit ca APT khi ch s dng mt bin duy nht l
mc n b ri ro th trng.
C CAPM v APT u s dng cc yu t ri ro h thng v khng xt ri ro phi h
thng.
Tuy c R
2
khng cao bng APT nhng CAPM c s dng rng ri hn cc thtrng pht trin do m hnh c pht trin mt cch hon chnh v nht qun.
Trnh by ni dung, ngha ca cc bo co ti chnh
Cc bo co ti chnh ca mt doanh nghip l mt b phn bao gm nhiu loi bo co ti chnh
m doanh nghip phi lp v bo cc cho cc t chc c lin quan theo quy nh. H thng bo co
ti chnh doanh nghip phn nh tng qut bng cc ch tiu gi tr v tnh hnh ti sn,ngun hnh
thnh ti sn theo kt cu,kt qu hot ng kinh doanh v lu chuyn tin t ca doanh nghip ti
mt thi im,thi k nht nh.
_ Ti VN doanh nghip phi lp bo co ti chnh theo nh k.
_ Bo co ti chnh doanh nghip l mt cng c quan trng trong qun l doanh nghip,l ti liu
khng th thiu c trong vic cung cp thng tin ti chnh phc v cho vic cung cp thng tin
ti chnh phc v cho vic ra quyt nh hp l ca cc i tng quan tm.
1. Bng cn i k ton
a) khi nim
Bng cn i k ton l bng bo co tnh hnh ti sn va ngun vn ca doanh nghip timt thi im no .( cc thi im thng l cui nm hoc l cui qu)
b) ni dung
Bng cn i k ton phn nh tnh hnh ti sn ca DN bng thc o gi tr ti mt thi im
nht nh theo 2 mt l kt cu ti sn v ngun hnh thnh. BCKT phi c xy dng theo kt
cu 2 phn :
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A. Phn bn tri (hoc bn trn) dng phn nh kt cu ti sn hay cn gi l phn ti sn (asset).
Trong phn bn ti sn cn chia ra 2 phn nh TS ngn hn v TS di hn
Ts ngn hn : Tin mt
Cc khon u t ngn hn
Cc khon phi thu
Hng tn kho
Ts di hn : TSC
Khon u t ti chnh di hn khc
B. Phn bn phi(hoc bn di) dng phn nh ngun hnh thnh ca ti sn hay cn gi l phn
ngun vn (capital).
Trong phn bn Ngun vn cn chia 2 phn N phi tr v Vn ch s hu.
N phi tr : N ngn hn v vay ngn hnN di hn v vay di hn
Vn ch s hu : LN khng chia
Vn gp ban u
Pht hnh c phiu mi
c) ngha
Mi ch tiu trn Bng cn i k ton s liu phn nh ti hai thi im u k v cui
k. Qua ta nh gi c cc ti sn v ngun vn bin ng tng hay gim trong k. N cho bit tnh trng ti sn ca cng ty, n v vn c ng vo mt thi im n nh,
thng l lc cui thi k. y l mt cch xem xt mt cng ty kinh doanh di dng
mt khi vn (ti sn) c b tr da trn ngun ca vn (n v vn c ng)
N cho bit tnh trng cc s kin kinh doanh ti mt thi im nht nh. N l mt nh
chp (tnh) v phi c phn tch da trn s so snh vi cc bn cn i k ton trc y
v cc bo co hot ng khc.
N khng nhng phn nh va khi qut va chi tit tnh trng ti sn v vn ca doanh
nghip m cn l minh chng thuyt phc cho mt d n vay vn khi doanh nghip trnh ln
ngn hng, v ng thi cng l cn c ng tin cy cc i tc xem xt khi mun hp tc
vi doanh nghip
2. Bo co kt qu kinh doanh
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a) Khi nim : Bo co KQKD l bo co tnh hnh thu nhp, chi ph v li nhun ca DN qua 1
thi k no thng l 1 thng, qu hay 1 nm
b) Ni dung : Bo co kt qu KD gm 2 phn :
A. Li l th hin ton b li ( l ) ca hot ng sn xut KD v hot ng ti chnh. Bao gm :
-Doanh thu: bao gm tng doanh thu, thu tiu th c bit, chit khu thng mi, gim gi hng
bn, hng bn b tr li, doanh thu thun
-Gi vn hng bn: Phn nh ton b chi ph mua hng v sn xut
-Chi ph hot ng sn xut kinh doanh: bao gm chi ph lu thng v chi ph qun l
-Li (l): phn nh kt qu hot ng kinh doanh trong k.
B. Tnh hnh thc hin ngha v i vi nh nc
Phn ny bao gm cc ch tiu phn nh ngha v i vi nh nc ca doanh nghip v cc khon
thu, bo him x hi, bo him y t, kinh ph hot ng cng on, cc khon chi ph v l ph
c) ngha
Cho bit s dich chuyn ca dng tin trong qu trnh sx kd ca dn
Gip d tnh kh nng hot ng ca DN trong tng lai
So snh c DT vi s tin thc nhp qu khi bn hng ha, dch v ; so snh tng chi
ph pht sinh vi s tin thc xut qu vn hnh DN
N phn nh kt qu hot ng v tnh hnh ti chnh ca DN, n cung cp thng tin tng
hp v tnh hnh v kt qu s dng cc tim nng v vn, lao ng, k thut v trnh qun l
SX KD ca DN
3. Bo co lu chuyn tin t
a) khi nim BCLCTT l bo co tnh hnh s d tin mt u k,tnh hnh cc dng tin thu
vo chi ra v tnh hnh s d cui k ca dn
b) ni dung: BCLCTT thng thng gm c
1. dng tin vo
dng tin vo t hot ng kinh doanh
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dng tin vo t hot ng u t, ti chnh
dng tin vo t hot ng bt thng
2. dng tin ra
dng tin ra t hot ng kinh doanh
dng tin ra t hot ng u t, ti chnh
dng tin ra t hot ng bt thng
c) ngha
nh gi DN c m bo c kh nng chi tr hay khng
xc nh hoc d bo dng tin thc nhp, thc xut gip nh phn tch thc hin cn i
ngn qu vi s d ngn qu u k xc nh s d ngn qu cui k, t c th thit lp
mc ngn qu d phng ti thiu cho DN nhm mc tiu m bo chi tr
Trnh by ni dung, ngha, phng php xc nh cc t s ti chnh
c. ch tiu thanh khon
Ch s T s Mu sThanh ton hin hnh TS ngn hn N ngn hn
Thanh ton nhanh TSNH tr D tr N ngn hn
Thanh ton tc thi Tin + CK ngn hn N ngn hn
ngha :
- thanh khon hin thi cho bit mi ng n NH phi tr ca DN c bao nhiu ng ti sn
lu ng c th s dng thanh ton
- thanh khon nhanh bit mi ng n NH phi tr ca DN c bao nhiu ng ti sn lu ng
( khng k hng tn kho ) c th s dng thanh ton. Trn thc t hng tn kho km thanh khon
hn v mt thi gian v chi ph tiu th mi c th chuyn thnh tin do o khi tnh t s thanh
khon nhanh ngi ta loi b hng tn kho
- thanh khon tc thi bit mi ng n NH phi tr ca DN c bao nhiu ng tin c th s
dng thanh ton
d. cc ch tiu hiu sut hoat ng
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Ch s T s Mu s
1. Hiu sut s dng tng TS Doanh thu Trung bnh tng ti sn
2. Hiu sut s dng TSC Doanh thu Trung bnh TSC
3. vng quay hng tn kho DT Bnh qun hang tn kho
4. k thu tin bnh qun 360 Vng quay cc khon phi thu
5. vng quay TSL DT VL bnh qun
ngha
1.Mi ng ti sn ca DN to ra c bao nhiu ng doanh thu
2. .Mi ng ti sn c nh ca DN to ra c bao nhiu ng doanh thu3. cho bit bnh qun hng tn kho quay c bao nhiu vng trong k to ra doanh thu
4. bnh qun DN mt bao nhiu ngy cho 1 khon phi thu
5. cho bit mi ti sn lu ng to ra ba
23.3 ch tiu phn nh hiu qu hot ng
Ch s T s Mu s1, doanh li doanh thu Li nhun Doanh thu thun
2, t sut sinh li ca tng tisn
Ebit Tng ti sn bnh qun
ROE LNST Vn ch4, t l thu nhp vn c phn
thng
LNST c tc c phiu u i Vn c phn thng bnh qun
5, thu nhp 1 c phn thng
(EPS)
Thu nhp c phn thng S lng c phn thng ang
lu hnh
6,t l chi tr c tc C tc mi c phn thng EPS
7, t l sinh li c phn theo
gi tr th trng
Li tc 1 c phn thng Gi tr mt c phn thng
8, t l gi th trng trn thu
nhp (PE)
Gi tr th trng 1 CP thng Thu nhp mt c phn thng
9, gi tr ghi s ca c phn Gi tr ti sn thun S lng c phn thng ang
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thng lu hnh
23.4 ch tiu phn nh c cu ti chnh v ti sn
Ch tiu T s Mu s1, h s n Tng n Tng vn2, t sut t ti tr VCSH Tng ti sn3, c cu ti sn Tng ti sn di hn Tng ti sn
Trnh by cc phng php xc nh gi c phiu: M hnh DDM; M hnh DCF; M hnh s
dng s nhn thu nhp; Cch cc nh dng tin FCFE, FCFF
1. M hnh DDM (cu 16)
2. M hnh DCF
KN: M hnh DCF c da trn vic chit khu cc dng tin t do ca DN trong tng lai
v hin ti tng ng vi mc ri ro m DN phi gnh chu.
ND:
Xc nh dng tn.
Dng tin dng trong DCF l dng tin t do, tc l dng tin sn c tr cho cc nh u t
v ch n sau khi nhng nhu cu u t kinh doanh c tha mn. Cc dng tin ny cxc nh bng cch ly dng tin vo (CIF) tr i dng tin ra (COF).
2. Cch tnh dng tin ca doanh nghip (FCFF)
FCFF = EBIT ( 1 t)
+ Chi ph khng bng tin mt (KH, )
+ Li vay (1 t)
Nhu cu vn lu ng
u t TSC
- Cch tnh dng tin ca ch s hu
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FCFE = LNST
+ Chi ph khng bng tin mt (KH, )
+ Vn vay nhn c
Nhu cu vn lu ng
u t TSC
Tr gc vay
Xc nh t sut chit khu
T sut chit khu phi ph hp vi dng tin chit khu.
3. Nu dng phng php FCFF th t sut CK phi l chi ph vn bnh qun WACC
WACC = wd kd(1 t) + wpkp + weke
4. Nu dng phng php FCFE th t sut CK phi l chi ph vn ch.
Chi ph VCSH c xc nh theo nhiu cch, trong phng php ph bin v d thc hin
l dng m hnh CAPM
Ke = Kf + beta(Km Kf)
Trong : Kf l li tc phi ri ro (thng ly li sut tn phiu kho bc)
Km l li tc th trng
Beta l h s ri ro th trng (ri ro h thng)
Ngoi m hnh CAPM, Ke cn c th c c lng qua m hnh tng trng c tc, phn
b ri ro
Chit khu dng tin cc k v thi im hin ti theo t sut chit khu ph hp vi dng
tin
ng dng:
DCF c ng dng rt rng ri:
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5. nh gi TS hu hnh v TS ti chnh ra quyt nh nn mua hay bn TS
6. Phn tch, ra quyt nh nn mua hay thu mua 1 TSC
7. nh gi tnh hiu qu ca 1 d n ra quyt nh c u t vo d n hay ko
8. Phn tch, nh gi v ra quyt nh nn hay khng nn mua 1 doanh nghip
3. M hnh s dng s nhn thu nhp (P/E)
Xc nh li tc yu cu k
9. c xc nh bi t l li tc phi ri ro, t l lm pht k vng, phn b ri ro;
10. Xc nh t l tng trng c tc
g = b x ROE
Trong :
g l t l tng trng
ROE = LNSTcho CP thng/Slg CP
b l t l li nhun gi li ti u t
Xc nh P/E
P/E = P0/E0 = ((D0/E0).(1+g))/(k-g) = ((1-b).(1+g))/(k-g)
P/E = P0/E1 = (D1/E1)/(k-g) = (1-b)/(k-g)
Ch :
P/E khng d on gi CP trong ngn hn
P/E cao (gi CP t) nhng gi CP vn c th tip tc i ln
P/E thp nhng gi CP vn c th i xung
P/E gip hnh dung gi CP trong di hn
P/E gip xc nh gi CP ang mc no a ra chin thut t hp l
Cch s dng P/E
P/E hin ti t c kh nng nh hng n gi CP trong tng lai
S dng P/E trn c s li nhun d on khi phn tch
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P/E ca cc cng ty tng trng nhanh c li nhun t ph c th sai lc v do vy c th
b b qua
P/E ca CP thnh cng thng cao hn P/E chung ca th trng kho CP ny bt u t
tng gi
Nn mua CP c P/E thp hn nu cc yu t khc tng ng
Chn CP c P/E thp hn tc tng trng
Nu nh t t chc nm gi t th P/E thng thp
Nn so snh P/E lch s, P/E cc cng ty khc trong cng ngnh
Khng mua CP c P/E thp nht trong nhm/ngnh ch v c v b nh gi thp
Khng mua CP ch v P/E thp nht trong mt giai on nht nh
Cn thn vi P/E thp khng bnh thng P/E tr nn v ngha nu xut hin l, thm ch ch 1 qu hoc chi ph bt thng
Khng nn quyt nh mua hay bn CP ch da vo ch tiu P/E m phi kt hp vi cc
tiu ch khc
Trnh by ni dung, ngha ca phn tch th trng chng khon. Nhn xt ca anh ch v
th trng chng khon Vit Nam
ND:
YN:
NX TTCK VN:
Gi c cha phn nh c cht lng CP
Tm l s ng khng ch c TTCK VN m c tt c cc TTCK trn TG. Tuy nhin
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