**ThS. L Quyt TmPHN TCHV U TCHNG KHON

**NI DUNGN TP1. MC SINH LI V RI RO TRONG U T CHNG KHON2. CC NGUYN TC PHN TCH CHNG KHON3. PHN TCH LA CHN TRI PHIU4. PHN TCH LA CHN C PHIU5. DANH MC U T

**TI LIU THAM KHO1. ThS. L Th Mai Linh (y ban chng khon nh nc), ch bin, Gio trnh phn tch v u t chng khon.2. PGS.TS. Bi Kim Yn (Trng H kinh t TP.HCM), Phn tch v u t chng khon.3. PGS.TS. Nguyn ng Nam (Hc vin ti chnh), Phn tch v u t chng khon .

**MC TIU- u t chng khon bao gi cng gp ri ro. Do cn phi ph.tch k trc khi q.nh u t- SV nm vng: Ph.tch c bn v ph.tch k thut; nh gi chnh xc cc chng khon; cc nguyn tc, quy trnh u t CK- hn ch mc ri ro thp nht cn phi thit lp mt danh mc u t ti u theo m hnh Markowitz v CAPM.

N TP1. Gi tr trung bnh k vng, phng sai, hip phng sai, h s tng quan, lch chun2. M hnh nh gi ti sn vn: CAPM(Capital Asset Pricing Model)3. Thi gi ca tin

THI GI CA TIN1. LI SUT2. GI TR TNG LAI CA TIN3. GI TR HIN TI CA TIN

1. LI SUTa. Khi nim: Li sut l t l % gia tin li v tin vn c chuyn quyn s dng trong mt thi gian nht nhb. Cc nhn t nh hng n li sut - Thi gian o hn: Thi gian cng di li sut cng cao- Tnh thanh khon: Tnh thanh khon cng thp li sut cng cao- Ri ro: Ri ro cng cao li sut cng cao- Chi ph qun l ti sn: Chi ph qun l cng cao li sut cng cao- Lm pht: Lm pht cng cao li sut cng cao

c. Li n hng nmFV = PV (1 + r*n) trong : FV: gi tr tng laiPV: gi tr hin ti r : li sut n: k hnV du: Tnh gia tr tng lai cua mot khoan tien 1.000 trong 3 nam, lai suat 10%/namFV= 1.000 (1 + 10%*3) = 1.300

d. Li kp hng nmNhp li vo vn hng nmFV = PV (1 + r)ntrong :(1 + r)n : h s tch lyV du: Tnh gia tr tng lai cua mot khoan tien 1.000 trong 3 nam, lai suat 10%/namFV= 1.000 (1 + 10%)3 = 1.000 * 1,331 = 1.331

2. G.TR TNG LAI CA TIN2.1. Chui tin t khng n nh nFV = PV (1 + r)n n=1V d: Tnh gi tr tng lai ca mt chui tin t (3nm) khng n nh: PV1 = 1.000; PV2 = 1.100 v PV3 = 1.200 vi li sut 10%/nm.FV = PV1 (1+r)3 + PV2 (1+r)2 + PV3 (1+r)1=1.000(1+10%)3+1.100(1+10%)2 +1.200(1+10%)1=(1.000*1,331) + (1.100*1,21) + (1.200*1.1) = 1.331+1.331+1.320 = 3.982

2.2. Chui t.t n nh: nin khon FV = PV[(1+r)n 1)/r] V d: Tnh gi tr tng lai ca 1 nin khon 3 nm vi PV = 1000 mi nm vi li sut 10%/nmFV = 1.000[(1+10%)3 1)/10%] = 1.000*3,31 =3.310

3. G.TR HIN TI CA TINGi tr hin ti ca tin c xem l s chit khu dng tin, tng ng vi php nghch o ca qu trnh xc nh gi tr tng lai ca tin3.1. Gi tr hin ti ca nhng khon thu nhp n: Chit khu hng nmT: FV = PV (1 + r)n ta c: PV = FV/ (1+r)n hay: PV = FV (1 + r)-n trong : r : t sut chit khu(1 + r)-n : h s chit khu V du: Tnh gia tr hien tai cua 1.000 se nhan c sau 3 nam vi ty suat chiet khau 10%/namPV = 1.000 (1 + 10%)-3 = 751,31

3.2. Gi tr hin ti ca 1 chui t.t- Chui tin t khng n nh nPV = FV (1+r)-n n=1V d: Tnh gi tr hin ti ca mt chui tin t 3 nm vi FV1 = 1.000; FV2 = 1.100; FV3 = 1.200 vi t sut chit khu 10%/nm.PV = FV1(1+r)-1 + FV2(1+r)-2 + FV3(1+r)-3= 1.000(1+10%)-1 + 1.100(1+10%)-2 + 1.200(1+10%)-3 = 1.000*0,9091 + 1.100*0,8264 + 1.200*0,7513= 909,09 + 909,09 + 901,58 = 2.719,76

- Chui tin t n nh: nin kimPV = FV [1-(1+r)-n] / r V d: Tnh gi tr hin ti ca mt nin khon 3 nm, FV = 1.000/nm vi t sut chit khu 10%/nm. PV = 1.000 [1-(1+10%)-3] / 10% = 1.000*2,4869 = 2.486,9

**1. MC SINH LI V RI RO TRONG U T CHNG KHON1.1. Mc sinh li trong u t chng khon1.2. Ri ro trong u t chng khon1.3. nh gi ri ro v mc sinh li k vng

**1.1. Mc sinh li trong u t CKa. Mc sinh li tnh theo gi tr tuyt i: Tng mc sinh li /v .t CK gm: c tc/tri tc v li vn (l vn)b. Mc sinh li tnh theo gi tr tng i: Tnh theo t l %: c tc/tri tc v li vnc. Mc sinh li trong mt khong thi gianV d: Mc sinh li 3 nm: 11%, -5%, 9%- Tng mc sinh li nhiu nm= (1+0,11) (1-0,05) (1+0,09) -1 = 0,15 = 15%- Mc s.li ly k - 1 = 4,8%d. Mc sinh li bnh qun s hc = (11%-5%+9%)/3 = 5%e. Mc sinh li bnh qun trng s:V d: Vn .t: 1 t. Thu: -0,1; -0,5; 0,8; 1,0 IRR = 4,17%

**1.2. Ri ro trong u t chng khon1.2.1. Khi nim ri ro- Mc sinh li t.t nhn c trong tng lai c th khc vi d tnh ban u (mc sinh li k vng)- Cc yu t lm cho mc sinh li thay i so vi d tnh, d tng hay gim, u l ri ro

**1.2.2. Phn loi ri roa. Ri ro h thng- Ri ro th trng: do s nh gi ca cc nh .t thay i theo cc s kin k.t, ch.tr, x hi hoc tm l- Ri ro li sut: do li sut thay i- Ri ro sc mua: do tc ng ca lm pht b. Ri ro khng h thng - Ri ro k.doanh - Ri ro t.chnh

**1.3. nh gi ri ro v mc sinh li k vng1.3.1. Phng sai v lch chunV d: Mc sinh li /v c phiu thng

Mc sinh li bnh qun = 0,2108Phng sai = (1/4-1)*0,1735 = 0,057833 lch chun () = = 0,2405 = 24,05%Ri ro c o lng bng lch chun v h s

Nm

Mc s.li

Ch.lch

B.phng c.lch

1

0,1162

-0,0946

0,00894916

2

0,3749

0,1641

0,02692881

3

0,4361

0,2253

0,05076009

4

-0,0840

-0,2948

0,08690704

= 0,1735

**1.3.2. D kin mc sinh li v ri roV d: Mc sinh li ca Cty

Phng sai = 0,0076 lch chun = 0,08718 = 8,72%

Mc

sinh li(1)

Xc

sut

(2)

(3) = (1)*(2)

(4)=

(1)-0,28

(5)=

(4)2

(6)=

(2)*(5)

0,4

0,2

0,08

0,12

0,0144

0,00288

0,3

0,5

0,15

0,02

0,0004

0,00020

0,2

0,2

0,04

-0,08

0,0064

0,00128

0,1

0,1

0,01

-0,18

0,0324

0,00324

0,28

0,0076

**2. CC NGUYN TC PHN TCH CHNG KHON2.1. Phn tch v m v TTCK2.2. Phn tch ngnh2.3. Phn tch cng ty

NGUYN TC CHUNGTrc khi u t, nh u t cn phi bit:- Thi im thun li u t- Khi no ngng u t- u t vo chng khon no- Gi chng khonPhn tch t tng qut n c th

2.1. Phn tch v m v TTCK2.1.1. Mi trng ch.tr-x hi v ph.lut trong v ngoi nc2.1.2. Cc nh hng kinh t v mRi ro h thng tc ng ton b th trng: CK, DN, ngnh: khng th trnh c. Cc yu t v m: Tng s.phm x.hi (GDP), vic lm, t gi, thm ht n.sch, thi , cung ng tin v tng chi ca ngi t.dng, lm pht v li sut, chu k kinh doanh2.1.3. D on tnh hnh kinh t v xu hng th trng CK

**2.2. Phn tch ngnh2.2.1. C s phn tch- Ti 1 thi im, li sut ca cc ngnh khc nhau, nn phn tch ngnh chn ngnh u t c l.sut cao - Trong 1 ngnh, li sut thu nhp cng khc nhau, nn phi lun theo di h.ng ngnh trong tng lai- Ti 1 thi im, cc ngnh khc nhau c ri ro khc nhau, nn cn nh gi ri ro ca ngnh xc nh l.sut tng xng - Ri ro mi ngnh c s bin ng khng nhiu theo thi gian, nn phi ph.tch ri ro tng ngnh trong qu kh d bo ri ro trong tng lai

2.2.2. Quy trnh phn tch(1) Xc nh h s ri ro ca ngnh (m hnh CAPM):Re = Rf + (Rm Rf)(2) c tnh th.nhp EPS: EPS = Thu nhp rng/Tng s c phn thng(3) Ph.tch P/E ngnh: P/E = Th gi c phiu/EPSMi q.h P/E ngnh v P/E t.trng. Cc nh.t gy tc ng n P/E nh: c tc, li sut (r), t l tng trng (g)

**

(4) Tnh li sut:r = (gi tr cui k - gi tr u k + c tc nhn trong k)/gi tr u k (5) So snh l.sut t c vi l.sut yu cu: Ch u t khi r > Re

**2.3. PHN TCH CNG TYA. PHN TCH TI CHNH CNG TYA.1. Cc bo co ti chnh1. Bng cn i k ton (vt: triu ng)

BNG CN I K TON**

CH TIU19991998A.N PHI TR 49.36338.0421.N ngn hn27.46120.432-Phi tr ngi bn14.2947.591-Tn dng thng mi5.6146.021-N di hn n hn1.8841.516-N tch ly5.6695.3132.Thu thu nhp tr sau8436353.N di hn21.05916.975B.NV CH S HU45.93537.8671.C phiu thng (10.000VND)4.8034.5942.Thng d vn9579103.LN cha phn phi 40.17532.363T. CNG N V NVCSH 95.29875.909

2. Bo co thu nhp (vt: triu ng)***

CH TIU199919981997THU NHP216.022153.838141.438Doanh thu thun215.600153.000140.700Thu t li u t422838738CHI PH206.628147.928135.546Gi vn hng bn129.36491.87981.606Chi ph hot ng66.99349.31547.838

Chi tr li vay2.5852.2771.274Thu thu nhp7.6864.4574.824THU NHP RNG9.3945.9105.892T.Nhp/c.phn thng(ngn )19,612,913,3

3. BO CO LU CHUYN TIN Tvt: Triu ng

A.2. Phn tch cc bo co ti chnh1. Tm quan trng ca vic p.tch BCTC1.1. Q.trng /vi:(1) C.ng v nh hng n c.tc v gi c.phiu, (2) Nhng ngi c l.ch l.quan n Cty1.2. Nhm nh gi kh nng: Chi tr n, sinh li, ti chnh, pht trin ca Cty1.3. Nhm so snh mi tng quan vi: (1) Ton b nn k.t (2) Cc cty cng ngnh (3) Kt qu h.ng trc y **

2. Cch tnh cc t s ti chnh2.1. Cc t s kh nng thanh ton2.1.1. H s kh nng th.ton hin hnh2.1.2. H s kh nng th.ton nhanh2.1.3. H s ti sn tin t = (Tin+CK ngn hn +Dng tin rng h.ng KD)/N ngn hn 2.2. Cc t s hot ng2.2.1. K thu tin bnh qun2.2.2. Vng quay khon phi thu2.2.3. Vng quay hng tn kho2.2.4. Vng quay ti sn c nh 2.2.5. Vng quay tng ti sn

**

2.3. Cc t s c cu vn2.3.1. Cc t s n by ti chnh2.3.1.1. T s n2.3.1.2. T s n di hn/tng vn huy ng = N di hn/(N di hn+Vn c phn) 2.3.1.3. T s n/vn c phn2.3.1.4. T s kh nng th.ton li vay2.3.1.5. T s kh nng th.ton cc khon c.ph c nh=(LN h.ng+Chi tr thu mn)/Li vay+Chi tr thu mn)2.3.2. Cc t s vn di hn2.3.2.1. T trng tri phiu2.3.2.2. T trng c phiu u i2.3.2.3. T trng c phiu thng **

2.4. Cc t s kh nng sinh li2.4.1. T s tng li nhun (li gp)2.4.2. T s li nhun hot ng2.4.3. T s li nhun rng2.4.4. T s dng tin = Dng tin rng h.ng KD/Doanh thu thun 2.4.5. ROA2.4.6. ROA iu chnh: Do l chn thu=LN rng+Li vay(1-Thu)/ Tng ti sn2.4.7. ROE **

2.4.8. nh gi thu nhp2.4.8.1. EPS2.4.8.2. Thu nhp gim bt ca mi c phiu: Do chng khon chuyn i2.4.8.3. H s chi tr c tc = C tc cng b chi tr/EPS2.4.8.4. Mc sinh li c tc =C tc cng b chi tr/Th gi **

3. Tm tt ph.tch t s ti chnhS dng phn tch Du Pont(Li rng/Tng t.sn) = (Li rng/d.thu)*(D.thu/Tng ti sn) ROA = ROS*Vng quay tng t.sn(Li rng/Vn c phn)=(Li rng/Tng t.sn)*(Tng t.sn/Vn c.phn ROE = ROA*n by ti chnhNh vy: Li rng/Vn c phn (ROE)=Li rng/D.thu (ROS)* Vng quay tng ti sn*n by ti chnhT phn tch Du Pont c kt qu nh sau **

Kt qu t 1995-1999

T kt qu, c nhn xt nh sau:**

NmROSVng quay Tng TSROAn by t.chnhROE19955,202,9515,341,6625,4619965,002,8714,351,6924,2519974,192,138,911,9717,6019983,862,027,792,0015,5019994,362,269,862,0720,40

Nhn xt- ROE nm 1999 thp hn so 1995 v 1996 v h s ROS v vng quay t.sn u thp hn.- ROE nm 1999 cao hn 2 nm 1997 v 1998 v tng n, tng kh nng sinh li v tng kh nng s dng t.sn- Cty tng n m rng t.sn vn, d n tng c ri ro, nhng cty s dng n c h.qu- Q.tr hng tn kho tc ng tch cc n vng quay t.sn- M rng quy m bn hng **

B. PHN TCH RI RO1. RI RO KINH DOANH- S bin ng ca d.thu- n by h.ng: n cn nh ph2. RI RO TI CHNHBao gm: Kh nng thanh ton n ngn hn v cu trc ngun vn v kh nng thanh ton n di hn.**

2.1. Kh nng thanh ton n ngn hn

CH TIU19991998199719961995T.ton hin thi 2,402,752,262,182,83T.ton nhanh0,680,950,871,221,20H s t.sn t.t0,700,320,850,780,68K thu tin b.qun (ngy)1520131110V.quay hng t.kho (vng)2,752,502,742,993,20Tin mt t h.ng kdoanh (t)10(3,8)5,64,93,4

2.2. Cu trc vn v kh nng t.ton n di hnV d: Cty c tng t.sn 1 t, 50% n, 50% Vn CP. C.ph n 10%, thu 40%. T.nhp 200 triu, LN/vn CP (ROE) 18%.- Nh vy: Li vay 50triu, thu 60 triu, li rng 90 triu, ROE 18% - Nu T.nhp tng: 200*2 = 400 triu, li vay 50 triu, thu 140 triu, ROE 42% * ROE tng t 18% ln 42% nh n by ti chnh - Nu T.nhp gim 100 triu : ROE gim t 18%, cn 6%

V d

N tng, cty s dng vn vay c h.qu?H s n by ti chnh = ROE/ROA > 1 H.qu

CH TIU19991998199719961995N/t.sn51,850,149,240,839,7N d.hn/tng vn huy ng31,431,024,119,619,8N/vn CP107,5100,596,568,265,8

199919981997ROE20,4515,6117,53ROA11,359,509,57ROE/ROA1,81,61,8

C. PH.TCH H.NG V KH NNG TNG TRNG CA CTY

1. TM QUAN TRNG PHN TCH- /v ngi cho vay: nh gi kh nng tr n- /v ch s hu: G.tri d.nghip ph thuc vo s tng trng thu nhp v c tc**

2. Cc nhn t q.nh t.trng S tng trng ph thuc vo:- G.tr cc ngun lc c gi li v ti u t- T l LN thu c t cc n.lc gi liT l t.trng (g) = % t.nhp gi li*ROE* Mc sinh li c tnh t c vt qu c.ph s dng n.vn, cn gi li thu nhp ti .t* ROE tng ROS, vng quay tng t.sn, h s n by ti chnh (P.tch Du Pont slide 23)**

3. Phn tch cc d liu- P.tch b.co t.chnh- nh gi mc ri ro3.1. Bi cnh chung nn k.t, ngnh, cty**

3.2. Hiu qu h.ng v kh nng sinh li

Vng quay TSC c chiu hng i xung, d vng quay tng t.sn c tng nm 1999**

19991998199719961995Vng quay TSC7,148,068,1910,0110,11Vng quay tng TS2,262,022,132,872,95

Kh nng sinh li

Cc h s L.nhun gim so vi nm 1995 v 1996, d 1999 c tng tr li. H s dng tin 1999 cao nhtH s tng LN n nh, h s LN rng tng

19991998199719961995H s tng LN40,0039,9542,0041,8041,76H s LN h.ng8,937,728,0010,9811,63H s LN rng4,363,864,195,005,20H s dng tin4,652,464,004,393,92

LN trn t.sn, LN trn vn CP nm 1999 tng so 1998. Cty thnh cngD.Thu tng mnh

19991998199719961995LN/t.sn9,867,798,9114,3515,34LN/vn CP20,4515,6117,5324,2525,46T.trng d.thu40,98,725,521,627,5T.Trng L.nhun59,00,25,216,919,2

3.3. Cc d on trong tng lai v cc h s th trng3.3.1. D on cc g.tr tng lai: Thu nhp, chi ph, mc .t vo t.sn, qun l vn, vay di hn3.3.2. Cc h s quan trng: LN/vn CP, gi/thu nhp, chi tr c tc, c tc/gi t.trng3.3.3. Ph.tch b.co t.chnh:Nhm xc nh cc im mnh v im yu

a. im mnh: (1)Thun li nn k.t, ngnh, cty (2)C chin lc m rng (3)Qun l tt khon p.thu v hng tn kho (4)B.php h tr t.chnh c h.qu (5)Kim sot c.ph tt (4)T.trng d.thu cao (5)Kh nng sinh li v dng tin tngb. im yu: (1)Tin mt nm 1988 m (2)C nm q.tr hng tn kho v t.sn yu (3)Ri ro do n tng

**3. PH.TCH LA CHN TRI PHIU3.1. Ri ro trong u t tri phiu3.2. nh gi tri phiu3.3. o lng li sut ca tri phiu3.4. Li sut v s bin ng gi ca tri phiu

**3.1. Ri ro trong u t tri phiu3.1.1. Ri ro li sut (ri ro t.trng)Li sut tng, gi tri phiu gim v ngc li (tr tri phiu c li sut th ni)3.1.2. Ri ro ti u t (ri ro li sut gim)Ti u t to thu nhp b sung (li ca li) ph thuc vo li sut hin hnh ti thi im ti u tL.sut t.trng gim, tri ch gp ri ro ti .t, nhng gi TP tng li to ra li nhun cho tri ch

3.1.3. Ri ro thanh ton (ri ro tn dng)Ch th ph.hnh tri phiu v n. (TP ch.ph khng c ri ro th.ton)3.1.4. Ri ro lm pht (ri ro sc mua)T l lm pht > Li sut TP. (TP c li sut th ni t ri ro lm pht)3.1.5. Ri ro t gi hi oiTP bng VND: nu t gi tng v ngc li3.1.6. Ri ro thanh khonTP c d dng c bn v bn theo gi th trng?

3.2. nh gi tri phiu 3.2.1. Tng quan v nh gi tri phiua. Cc yu t c bn ca tri phiu: - Mnh gi tri phiu- Li sut tri phiu- Tin li nh k ca tri phiu- K hn ca tri phiu b. Li sut (t sut) sinh li k vng:= L.sut TP chnh ph c cng k hn + T l ri roT l ri ro bao gm:- Ri ro thanh ton - Ri ro thanh khon - Phn b ca t ph.hnh nh TP c th c nh ph.hnh mua li khi l.sut t.trng gim (c li cho nh ph.hnh) hoc TP c kh nng chuyn i thnh c phiu thng (c li cho nh u t).

**3.2.2. nh gi t.phiu thng thng (coupon) Cng thc c bnTP c l.sut c nh bng l.sut sinh li k vng, tin li c th.ton u, nh k hng nm. Cng thc

Cng thc nh k 6 thng 1 ln,

a. Tr.hp li sut tri phiu bng l.sut k vngV d : TP c mnh gi 100.000 k hn 5 nm, th.ton tin li u, nh k cui nm vi l.sut 8%/nm.+ Tin li u mi nm: d = 100.000 * 8% = 8.000+ nh gi tri phiu ngay khi pht hnh ln u: P0 = (8.000 * 3,99271) + (100.000 * 0,680583) = 31.942 + 68.058 = 100.000+ nh gi tri phiu sau 2 nm pht hnh: P0= (8.000*2,577097) + (100.000 * 0,793832) = 20.617 + 79.383 = 100.000

b. Tr.hp li sut tr.phiu cao hn l.sut k vngV d : Mt TP c mnh gi 100.000, k hn 5 nm, th.ton tin li u vo cui mi nm vi li sut 8%/nm. Sau 2 nm pht hnh, li sut k vng ca nh u t 6%/nm. Tin li u mi nm: d = 100.000 * 8% = 8.000P0 = (8.000*2,673012)+(100.000*0,839619) = 21.384 + 83.962 = 105.346

c. Trng hp li sut tri phiu thp hn li sut sinh li k vng V d: Mt TP c mnh gi 100.000, k hn 5 nm, th.ton tin li u vo cui mi nm vi li sut 8%/nm. Sau 2 nm pht hnh, li sut k vng ca nh u t 10%/nm. Tin li u mi nm: d = 100.000*8% = 8.000P0 = (8.000*2,486852) + (100.000 * 0,751315) = 19.895 + 75.132 = 95.027

Nhn xt+ Nu l.sut TP = l.sut k vng, gi TP khng thay i, lun lun bng mnh gi. + Nu l.sut TP > l.sut k vng, gi TP c nh gi > mnh gi. Mc cao hn ny ty thuc vo bin chnh lch gia l.sut TP v l.sut k vng+ Nu l.sut TP < l.sut k vng, gi TP c nh gi thp hn mnh gi. Mc thp hn ny cng ty thuc vo bin ch.lch gia l.sut TP v li sut k vngNh vy gi TP thay i t l nghch vi l.sut s.li k vng

3.2.3. nh gi tri phiu khng thanh ton tin li nh k (zero coupon bond)TP khng t.ton tin li nh k ch tr vn gc bng mnh gi vo ngy o hn. Loi TP ny c ph.hnh ln u c .kin c lnh tin li trc (ngay thi im nh u t mua tri phiu). Cng thc:

V d: TP khng th.ton tin li nh k. Thi gian o hn cn li 4 nm, mnh gi 100.000. Nu li sut k vng ca nh u t l 11%/nm. TP ny c nh gi: P0 = 100.000*0,658731 = 65.873

3.2.4. nh gi tri phiu c li sut th niChia dng thu nhp tin li lm hai dng thu nhp:+ T li sut tham chiu bao gm tin li theo li sut c th ni nh k cng vi mnh gi ca tri phiu khi o hn.+ Dng thu nhp chnh lch cng thm mt t l phn trm theo mnh gi tri phiu. V d : Mt tri phiu c li sut th ni XYZ c mnh gi 100.000, c li sut tham chiu l li sut lin ngn hng 6 thng cng thm 0,2%.

- Nu li sut lin ngn hng 6 thng k ny l 8,4%/nm, s tin li sau 6 thng ti s l:+ T.nhp t li sut th.chiu:100.000(8,4%/2)= 4.200+ T.nhp t chnh lch:100.000*0,2% = 200 Cng 4.400- Nu li sut lin NH 6 thng k tip theo l 7,8%/nm, s tin li sau 6 thng ti s l:+ T.nhp t li sut th.chiu:100.000(7,8%/2)= 3.900+ T. nhp t chnh lch: 100.000*0,2% = 200 Cng 4.100

**

nh gi tri phiu c li sut th ni ti thi im iu chnh li sut tham chiuTheo v d trn, tnh c li sut ngi nm gi tri phiu XYZ c hng nh sau: + K ny: 4.400/100.000 = 4,4%+ K tip theo:4.100/100.000 = 4,1%ng vo thi im iu chnh li sut tham chiu th gi tri phiu vn lun lun bng mnh gi.+ Gi TP k ny:

+ Gi TP k tip theo:

**

Nu ngay ti thi im nh gi tri phiu, li sut th trng l 10%/nm (5% cho mi k 6 thng). Chng ta nh gi tri phiu XYZ nh sau:- Mnh gi tri phiu XYZ: 100.000- Dng thu nhp t chnh lch cng thm qua 4 k 6 thng 200/k c a v gi tr hin ti: 200*3,545951 = 709Nh vy gi ca TP XYZ : 100.000 + 709 = 100.709 **

nh gi tri phiu cty c li sut th niV d: Cty ph.hnh TP th ni A c mnh gi 100.000, l.sut th.chiu l l.sut lin NH 6 thng cng 0,2%, th.gian o hn 2 nm. Nay cty ph.hnh TP c l.sut th ni B, mnh gi 100.000, l.sut th.chiu l l.sut lin NH 6 thng cng 0,25%. Nu l.sut th.trng hin nay l 11%/nm. T.phiu A s c nh gi nh sau: - Mnh gi tri phiu A: 100.000- T.nhp t ch.lch qua 4 k 6 thng: -50(200/k -250/k) PV = - 50*3,50515 = - 175 Nh vy gi ca TP: 100.000 - 175 = 99.825**

nh gi tri phiu c li sut th ni gia k iu chnh li sut tham chiuV d: TP c l.sut th ni X, mnh gi 100.000, c l.sut th.chiu l l.sut lin NH 6 thng l 8%/nm cng thm 1%/nm, th.hn o hn 2 nm. Khi nh gi TP, th.hn cn li l 1 nm 9 thng. L.sut lin NH 3 thng ti ngy nh gi l 10%/nm. L.sut t.trng ti ngy nh gi /vi TP c l.sut c nh 1 nm 9 thng l 8,5%/nm. TP c nh gi- L.sut lin NH cch ngy nh gi l 8%/nm, nn khon li nh k u tin s l 8% + 1% = 9%/nm. Nh vy ti thi im nh gi ch.lch l.sut: 9%/2 10%/4 = 2%. Do , tin li 3 thng l 100.000*2% = 2.000**

- 3 k 6 thng cn li chnh lch l 0,5%. Do , tin li l 100.000*0,5% = 500- L.sut t.trng 8,5%/nm, PV dng t.nhp2.000 + 500*2,761976 = 3.381- V li sut lin ngn hng k hn 3 thng hin hnh l 10%/nm nn gi tr hin ti tht ca dng thu nhp l: 3.381/(1+2,5%) = 3.299 - Khon li 3 thng vi l.sut lin NH k hn 3 thng 10% l: 100.000*9%/4 = 2.250 Vy gi tri phiu: 100.000 + 3.299 2.250 = 101.049

**

3.2.5. nh gi tri phiu chuyn iV d: Mnh gi TP ch.i 100.000, c h s ch.i l 4. nh gi TP chuyn i:

Nhn xtMc gi chuyn i = 100.000/4 = 25.000- Th gi C.Phiu ph.thng bng mc gi ch.i Gi TP chuyn i ngang bng vi mnh gi.- Th gi CP ph.thng thp hn mc gi chuyn iGi TP chuyn i thp hn mnh gi.- Th gi CP ph.thng cao hn mc gi chuyn iGi TP chuyn i cao hn mnh gi.

**

3.3. o lng li sut ca tri phiu3.3.1. Li tc tim nng ca tri phiua. Tin li nh kb. Tin li ca tin li nh kc. Li vn

3.3.2. Cc thc o li suta. Li sut hon vn (IRR)V d: Mua TP c mnh gi 100.000, l.sut c nh 10%/nm vi gi 90.000. ng 3 nm sau bn 95.000. Tnh li sut hon vn IRRu nm 1 chi ra 90.000: Ct = 90.000(1+IRR)0 = 90.000Cui nm 1 nhn tin li nh k: 100.000*10% = 10.000Cui nm 2 nhn tin li nh k: 100.000*10% = 10.000 Cui nm 3 nhn tin li nh k: 100.000*10% = 10.000 v bn TP vi gi 95.000. Vy cui nm 3 nhn c 105.000, nn hin gi dng thu nhp:

L.sut hon vn IRR s c xc nh khi Bt = Ct nn:

Dng ph.php th v ni suy tnh ra IRR = 12,75%C th dng hm fx ca Excel tnh kt qu IRR nh sau:

Sheet1

Nm123

Dng tin-90,00010,00010,000105,000

IRR12.75%

Th li vi IRR = 12.75% ta c

PV$8,869.51$7,866.83$73,263.66$90,000.00

Sheet2

Sheet3

b. Cc thc o li sut thng thng khc- Li sut hin hnhV d: TP c mnh gi 100.000, l.sut cung phiu 9%/nm c bn vi gi 90.000. L.sut h.hnh:- Tin li nh k hng nm= 100.000*9% = 9.000- Li sut hin hnh= 9.000/90.000 = 0,10= 10%/nm- Li sut o hnChnh l l.sut hon vn m rng c trnh by trn vi M l mnh gi TP ti thi im o hn. Cng thc tnh :

Mi quan h gia li sut cung phiu, li sut hin hnh v li sut o hn

Gi TP bn theo

Mi quan h

Mnh gi

Li sut cung phiu = Li sut hin hnh

= Li sut o hn

Thp hn mnh gi

Li sut cung phiu < Li sut hin hnh

< Li sut o hn

Cao hn mnh gi

Li sut cung phiu > Li sut hin hnh

> Li sut o hn

3.3.3. Li ca liV d: TP c mnh gi 100.000, l.sut c.phiu 8%/nm, tr li hng nm, c thi hn 10 nm. Gi s li sut o hn bng li sut ti u t l 12%/nm. Tnh khon li trn liTin li nh k hng nm:100.000*8% = 8.000

FV = 8.000*17.548735 = 140.390 Tin li nh k 10 nm =8.000*10 = 80.000Li trn li = 140.390 80.000 = 60.390

3.3.4. Tng li tc ca mt k u tV d: Mt nh u t c k u t l 3 nm mua mt tri phiu thi hn 20 nm, mnh gi 100.000, li sut cung phiu 8%/nm vi gi 82.840, li sut o hn 10%/nm. Nh u t ny d on c th ti u t cc khon tin li nh k vi li sut 6%/nm v khi kt thc k u t tri phiu 17 nm vo lc s bn vi gi m bo li sut khi o hn l 7%. Tnh li sut tng th ca tri phiu ny.

- Bc 1: Tnh tng tin li nh k v li trn li vi gi nh li sut ti u t 6%/nm (6 thng l 3%)Tin li nh k:100.000*4% = 4.000 = 4.000*6,46841 = 25.874- Bc 2: Xc nh gi bn d tnh vo lc kt thc 3 nm, gi nh li sut khi o hn theo yu cu ca tri phiu 17 nm l 7%/nm. l PV1 ca 34 k tin li nh k 4.000/k cng vi (PV2) ca mnh gi TP khi o hn 100.000, chit khu 3,5%. Gi bn d tnh l:PV1 = 4.000 = 4.000*19,700684 = 78.803

PV2 = 100.000(1+3,5%)-34 = 100.000*0,310476 = 31.048Gi bn d tnh = 78.803 + 31.048 = 109.851

- Bc 3: Cng cc k.qu tnh c bc 1 v bc 2 c tng s tin nhn c trong t.lai 25.874 + 109.851 = 135.725- Bc 4: Tnh li sut tng th 6 thng:(135.725/82.840)1/6 -1 = 1,6383991/6 -1 = 1,085767 1 = 0,085767 = 8,5767% - Bc 5: Tnh li sut tng th k u t8,5767% *2 = 17,15%

3.4. Li sut v s bin ng gi ca TP3.4.1. Cc yu t tc ng n gi tri phiu(1) Mi quan h gia gi tri phiu v li sut th trngV d: TP c mnh gi 100.000, l.sut c nh 10%/nm. Mi nm 10.000 tin li nh k.+ Nu l.sut t.trng gim 8%/nm, nh .t c hng li tc cao hn l.tc t.trng 2%/nm. Nh .t ch bn TP vi mc gi c l.tc tng ng 10.000/nm vi l.sut t.trng 8%/nm. Gi TP c bn vi mc gi: 10.000/8% = 125.000 + Nu l.sut t.trng tng 12%, nh .t hng l.tc thp hn l.tc t.trng 2%/nm. Nh .t bn TP vi mc gi c mc l.tc tng ng 10.000/nm vi l.sut t.trng 12%/nm. Gi TP c bn vi mc gi: 10.000/12% = 83.333**

(2) Mc tn nhim ca nh u t i vi ch th pht hnh thay i khin cho gi tri phiu tng ln hoc gim xung. Trng hp ny ch xy ra i vi tri phiu cng ty. (3) Thi hn tri phiu cng gn n ngy o hn, gi tri phiu thay i hng dn n mnh gi.(4) S thay i li sut ca nhng tri phiu tng ng cng lm thay i gi tri phiu.

3.4.2. Cu trc ri ro ca li sut tri phiua. Li sut c bnLi sut c bn l li sut ti thiu m nh u t i hi khi mua tri phiu, cn c gi l li sut chun (li sut ca tri phiu chnh ph c cng thi hn tng ng trong k pht hnh gn nht) b. Phn b ri roLi sut cc loi tri phiu khng phi l tri phiu chnh ph cao hn li sut tri phiu chnh ph. Phn li sut cao hn ny c gi l phn b ri ro. **

Cc yu t xc nh phn b ri ro- Ch th ph.hnh: a dng nn to ra phn b ri ro nhiu hay t- Uy tn ca ch.th ph.hnh: Cc ch.th ph.hnh c mc tn nhim thp ph.hnh TP phi c phn b ri ro cao hn cc ch.th ph.hnh TP c mc tn nhim cao - Nhng quyn la chn i km: Tri phiu chuyn i: Nh .t c quyn la chn ch.i hay khng ch.i trong th.hn TP, gy bt li Cty ph.hnh. TP Cty c mua li cho php Cty ph.hnh c quyn mua li n vay trc ngy o hn TP, gy bt li cho nh .t. Do phi c mt phn b ri ro nht nh.

- Thu nh trn li: Nu lut thu quy nh nhng khon t.nhp t TP u phi chu thu TN c nhn, ngoi tr th.nhp t TP ch.ph. Nn TP chu thu TN c nhn phi c phn b ri ro- Tnh thanh khon: TP c tnh th.khon thp thng phi c phn b ri ro cao hn so vi TP c tnh th.khon cao, v tnh th.khon thp c th gy bt li cho nh .t mun bn TP . - Thi hn: TP o hn cng di, l.sut TP cng cao do ri ro cao (lm pht, thanh ton, bin i ca l.sut t.trng tng khi lm pht tng).

3.4.3. Cu trc thi hn ca li sutC.trc th.hn ca l.sut c dng ph.tch mi q.h gia l.sut ca nhng TP c cng mc xp hng tn nhim nhng c th.gian o hn khc nhau. th b.din mi quan h ny c gi l ng cong li sut, c 4 dng chnh: - Dng thng thng: c b.din vi l.sut ngn hn thp nht v tng dn ln n on cui, ng cong li sut gn nh nm ngang. ng cong li sut dng thng thng ch bo mt nn kinh t lnh mnh, n nh, tuy tng trng chm nhng u, TTCK c xu hng n nh.

- Dng phng: c mc ch.lch l.sut ngn hn v li sut di hn thng thp hoc hu nh khng c mc chnh lch. Thng thng ng cong li sut dng phng c th tr thnh ng cong li sut dng o ngc: nn kinh t c du hiu suy gim. - Dng o ngc: xy ra khi li sut ngn hn cao hn li sut di hn: nn kinh t trong giai on suy thoi, do: + Tnh th.khon ngn hn gp phi nhng kh khn.+ Lm pht gia tng.+ NHTW p dng chnh sch tin t tht cht. **

- Dng dc: thng bt u vi khong 3% ch.lch gia l.sut ngn hn v l.sut di hn v tng dn ln n 4% hoc 5%, ng cong li sut tr nn dc hn: nh .t TP tin rng nn k.t s ph. trin trong tng lai gn. Thng xut hin sau thi k suy thoi kinh t v ang hi phc n nh, chuyn sang t.trng. Nh .t c th ph.tch ng cong l.sut q. nh nn .t vo loi TP c th.gian .hn khc nhau (1) Nu l.sut s n nh hoc gim xung, s mua TP c th.hn di hng l.sut c nh cao (2) Nu d kin l.sut tng ln, s khng mua TP di hn, ch .t vo cc cng c n ngn hn nh tn phiu. Tuy nhin, vic ph.tch ng cong l.sut ch mang tnh l thuyt v nhiu khi khng xy ra.

**

3.4.4. Tnh bin ng ca gi tri phiu trc thay i ca li suta. Nhng c im bin ng ca gi tri phiu- Gi TP u bin ng t l nghch so vi s thay i l.sut t.trng, nhng t l % ca s bin ng khc nhau- /v TP, mi s thay i rt nh l.sut t.trng s gy ra mt t l % bin ng ca gi TP xp x nh nhau, d l.sut t.trng tng hay gim- Khi l.sut t.trng tng (gim) vi mc thay i ln, t l % bin ng ca gi TP gim (tng) khng ging nhau- /v thay i l.sut tnh theo im c bn, t l % tng gi TP ln hn t l % gim gi tri phiu

b. Nhng .im TP nh hng ti s bin ng gi- Th.gian o hn v mc l.sut ban u xc nh, TP c l.sut cung phiu thp hn s c s bin ng ca gi TP ln hn- Vi l.sut cung phiu v l.sut ban u xc nh, th.gian cho n khi o hn cng di, s bin ng gi TP cng lnc. Nhng tc ng ca li sut o hnRi ro tn dng khin cho TP khc nhau c mua v bn vi gi khc nhau, d chng c cng l.sut cung phiu v th.gian o hn. TP c g.dch t mc l.sut o hn cng cao, s bin ng ca gi TP cng thp. Nn vi thay i nht nh ca l.sut th.trng, s bin ng gi TP s ln hn khi cc mc l.sut th.trng thp; v s bin ng gi ca tri phiu s thp hn khi cc mc li sut trn th trng cao ln. **

3.4.5. Cc thc o s bin ng ca gi TPa. Gi tr tnh theo gi ca mt im c bnThc o mc b.ng gi tuyt i ca TP khi l.sut th trng thay i 1 im c bn (1% = 100 im c bn). Ta bit: Mi thay i rt nh l.sut t.trng s gy ra mt t l % bin ng TP xp x nh nhau, cho d li sut th trng tng hay gim. Nn l.sut th.trng thay i 1 im c bn l mt s thay i rt nh, nn t l % bin ng gi TP l nh nhau.b. Gi tr tnh theo li sut ca mt s bin ng giThc o mc thay i ca l.sut khi c mt s bin ng gi TP t ta bit c: to ra mt s bin ng gi TP ch cn mt s thay i nh hn trong li sut.

**

c. Thi gian o hn bnh qun (duration) Cng thc tnh gi TP theo l.sut o hn

Ct : gi TPBt : tin li k 6 thngn : s k 6 thM: mnh gi tri phiur : l.sut o hn k 6 thng xc nh gn ng mc bin ng gi ca tri phiu khi c mt s thay i nh ca li sut i hi, chng ta ly o hm bc nht ca gi (Ct) theo li sut

Chia c 2 v cho Ct , ta c mc bin ng gi tnh theo % vi mt thay i nh trong li sut: Phn ng thc trong ngoc chia cho Ct c gi l th.gian o hn bnh qun Macaulay (Macaulay duration c Fredrick Macaulay xy dng vo nm 1938): Macaulay duration = Duration l th.gian .hn b.qun gia quyn ca cc dng thu nhp TP. Quyn s l PV ca mi dng th.nhp tnh theo t l % trong PV ca tt c cc dng thu nhp ca tri phiu.**

Thay vo cng thc trn Macaulay durationMi quan h gia Macaulay duration v tnh bin ng ca gi tri phiu nh sau:% b.ng gi =- *Macaulay duration*th.i l.sut*100Hai thnh phn v phi ca ng thc hp thnh khi nim thi gian o hn bnh qun iu chnh (modified duration):Modified duration = Macaulay duration / (1+r)nn: % b.ng gi=-(Modified duration)*(thay i l. sut)*100hay: -(Modified duration)*dr

**

V d: Mnh gi 100.000, k hn 25 nm, l.sut 6%, bn vi gi 70.357, c l.sut k vng 9%. Modified duration ca TP l 10,62. Nu l.sut k vng tng t 9% ln 9,1%, tc l thay i +0,001 (10 im c bn), th thay i gi tnh gn ng = -10,62(+0,001) = -0,0106 = -1,06%Ngoi ra nh .t cng cn bit mc b.ng gi TP c tnh bng n v tin. Mc bin ng gi c tnh bng tin ca TP khi l.sut thay i 100 im c bn c gi l th.gian o hn b.qun tnh theo n v tin nh sau:Thi gian o hn bnh qun = - (Modified duration) * GiNu bit t l % thay i gi v mc gi ban u, chng ta c th tnh c thay i gi tnh theo n v tin vi iu kin t l thay i li sut nh.

**

Theo v d trn, th.gian o hn b.qun tnh theo tin l 747200,9. Khi l.sut k vng tng 1 im c bn (0,0001), th c tnh thay i gi trn 100.000 mnh gi l: dCt = - (747200,9) (0,0001) = -74,7Vi s thay i nh ca li sut, s bin ng gi TP c c tnh nh trn rt st vi thc t.S bin ng ca gi tri phiu c trnh by trn y ch l s c tnh gn ng vi s bin ng ca gi tri phiu khi c nhng thay i nh trong li sut (v mi quan h gi-li sut tnh theo ng thng, trong khi thc t mi quan h gi-li sut l ng cong). S thay i ca li sut cng ln, s bin ng ca gi tri phiu c tnh bng nhng thc o trn cng km chnh xc.**

d. li (convexity) (1) li ca CK c th.nhp c nh vo thi im tr li p dng cho TP tr li nh k 6 thng/ ln c tnh:- Ly o hm bc nht ca hm s Ct theo r.- Ly o hm bc hai ca hm s Ct theo r.- Chia kt qu cho Ct , ta c cng thc li: li = Bin ng gi gn vi li c tnh nh sau:% bin ng gi = ( li) thay i li sut2Hay li*dr2V d:Tnh li v o hm bc hai ca gi TP 5 nm, li nh k 9%/nm c bn theo mnh gi (li sut 9%/nm)

**

**

o hm bc hai:7.781,02 li (6 thng):7.781,02/100= 77,8102 li (nm):77,8102/4= 19,4526B.ng gi tnh bng USD theo li:19,4526*100=1.945,26

**

(2) Cc thuc tnh ca li+ Khi li sut k vng tng hoc gim; li TP cng tng hoc gim. Thuc tnh ny c gi l li dng.+ Khi li sut v thi gian o hn c xc nh; li sut coupon cng thp th li ca tri phiu cng ln.+ Khi li sut v thi gian o hn bnh qun iu chnh (modified duration) c xc nh; li sut coupon cng thp th li cng nh.Chng ta bit vic tnh ton li c th lm tng thm chnh xc khi c tnh v s bin ng gi ca mt tri phiu khi c s thay i ca li sut. Ngoi ra li cn c mt gi u t quan trng khc na. Chng ta hy xem hai tri phiu X v Y c li khc nhau Hnh sau **

Gi X Y T.phiu Y c li ln hn tri phiu X

Li sut

**

Hnh trn:Y c li ln hn X; nu l.ut t.trng tng hay gim, Y vn c gi cao hn . C ngha l khi l.sut t.trng tng, mc gim gi ca Y nh hn mc gim gi ca tri phiu X; nu khi li sut th trng gim, mc tng gi ca tri phiu Y lun lun cao hn mc tng gi ca tri phiu X. Do , th trng s t gi cao hn cho li ca tri phiu Y, nn nh u t phi chp nhn mt mc li sut thp hn c c li ln hn ca mt tri phiu. Mc c chp nhn cao hay thp, ty thuc vo d on li sut s thay i trong tng lai nhiu hay t ca nh u t.

**

(3) Nhng hn ch ca cc thc o thi gian o hn bnh qun (duration) v li (convexity)Khi s dng hai thc o duration v convexity o lng s bin ng ca gi TP c da trn 3 gi nh:+ .cong l.sut phng (l.sut ngn, trung -di hn bng nhau)+ Nu ng cong l.sut chuyn dch song song; c ngha l li sut ngn hn, trung hn v di hn s tng hoc gim cng mt t l %. Nu ng cong l.sut khng dch chuyn song song, th duration v convexity s c th l thc o gy nhm ln v s bin ng gi ca tri phiu khi li sut thay i.+ Cc dng tin TP khng thay i khi l.sut thay i. Khi TP b mua li, gi nh ny b vi phm v cc dng tin s thay i.

**

**4.PHN TCH LA CHN C PHIUI. PHN TCH C BN1. Cc loi cng ty v c phiu2. nh gi v la chn c phiu3. Tc ng ca ph.tch c bn n gi c phiuII. PHN TCH K THUT1. Tng quan v phn tch k thut2. Cc ch bo v quy tc giao dch k thut3. Mt s loi v dng thc k thut

**I/ PHN TCH C BN1. Cc loi cng ty v c phiu1.1. Cty tng trng v CP tng trng- Cty t.trng l cty t c mc sinh li cao- CP t.trng l CP cho li sut u t cao- Nu CP c nh gi thp s c tng cao dn1.2. Cty phng v v c phiu phng v- Cty phng v l cty c dng th.nhp n nh- CP phng v c li sut .t t b gim st, c ri ro h thng thp ( thp)

1.3. Cty chu k v c phiu chu k- Cty chu k c ngun th.nhp chu nh hng ln ca chu k k.t- CP chu k c bin ng li sut .t cao ( cao)1.4. Cty u c v c phiu u c- Cty u c c ri ro cao nhng c kh nng l.nhun cao- CP u c l CP c th li sut .t thp hoc m vi x.sut cao, nhng kh nng li sut bnh thng hoc cao vi xc sut thp- Nu CP nh gi cao s gim dn

**2. nh gi v la chn c phiu2.1. Cc phng php nh gia. Nguyn tc nh gi- nh gi cty: b my q.l, xu hng ph.trin- ri ro v li sut k vng- So snh gi tr ni ti vi gi t.trng ca CPb. Phng php nh gi- P.php chit khu dng tin- P.php cn c vo gi tr ti sn- P.php cn c vo cc h s

2.2. nh gi theo dng c tc (1) Xc nh t sut l.nhun d on r.V d: P0=100, DIV1=5, P1=110(2) Tnh gi CP sau 1 nm V d: DIV1=5, P1 =110, r =15% (3) Tnh gi CP sau 1 s nm

(4) Khi k u t v hn

(5) Khi t l c tc tng trng u

2.3. nh gi theo dng tin (DCF)D.tin t do s dng=D.thu-C.ph-.tP0 = PV(d.tin H) + PV(H)V d d.tin t do

Nm12345678910G.tr t.sn10,012,014,417,320,723,426,528,129,731,5D.Tin1,201,441,732,072,492,813,183,363,573,76u t2,002,402,883,462,693,041,591,681,781,89DTin tdo-0,8-0,96-1,15-1,39-0,20-0,231,591,681,791,89T.Trng(%) 20202020201313666

Ly H=6, di hn t.trng g=6%, r=10%

PV (d.tin H)

Vy P0 =PV(d.tin) + PV(H=6)=-3,6+22,4 =18,8y l g.tr c cty. NnGi 1 c phiu = (P0 N Cty)/tng s c phiu **

2.4. .gi theo h s gi trn th.nhp (P/E)

Gi CP = EPS*P/EV d: P/E ton ngnh= 11,5, t l cho tr c tc 30%, th.nhp mi CP 1.200, ROE =16%, t sut sinh li k vng 14%g = 0,7*16% = 11,2%

Gi CP = 11,5*1.200 = 13.800= 11,9*1.200 = 14.280

2.5. nh gi theo gi tr t.sn rng (NVA)NVA = Tng g.tr t.sn C Cc khon nGi CP = NVA/Tng s CP**

II. PHN TCH K THUT1. Tng quan v ph.tch k thut1.1. Khi nim v mc ch ph.tch k thutPh.tch k thut l ph.php da vo cc din bin ca gi v khi lng (ton b th trng hoc tng CK) giao dch trong qu kh d on xu th gi trong tng laiPh.tch k thut nhm xc nh thi im thch hp mua, bn CK

1.2. Cc gi nh ca ph.tch k thut- G.tr t.trng c xc nh bi quan h cung, cu- Cung, cu c quyt nh bi cc nhn t: nhng bin s k.t (ph.tch c bn) v cc quan im, tm l, phng on, c t.trng phn nh t ng v lin tc- Gi CK v t.trng bin ng theo nhng xu th, din ra trong 1 thi gian nht nh- Cc xu th s c th c pht hin **

2. Cc quy tc giao dch k thut2.1. Cc k thut lin quan n gi v khi lng g.dch: L thuyt DowCharles Dow: Gi CP thay i theo xu th tng t nh chuyn ng ca nc:(1) Xu th chnh (cp 1): Xu th gi CK c th ko di t vi thng n vi nm(2) Xu th trung gian (cp 2):Gi CK i chch khi xu th chnh trong 1 th.gian ngn, s mt i khi c s .chnh a gi CK tr v xu th chnh(3) Cc giao ng ngn (cp 3): cc giao ng hng ngy ca gi CK- t tng gi i km vi khi lng g.dch ln- Gi xung, khi lng g.dch tng i nh

a. Tm quan trng ca khi lng- Gi CP tng km theo khi lng g.dch ln: Ch bo xu th gi ln- Gi CP gim km theo khi lng g.dch ln: Ch bo xu th gi gim- T l khi lng g.dch gi ln/gi xung l 1 ch bo ngn hn v trng thi tm l dng xc nh quan h cung,cu**

b. ng bnh qun ng (MA: Moving Average): l mc gi b.qun ca CK trong 1 khong th.gian xc nh- So snh 1: Gia cc mc gi c th v cc ng MA ngn hn (50 ngy)+ Nu xu th gi chung ang i xung, ng MA nm pha trn gi hin ti. Nu gi CP o chiu vt qua MA t bn di km theo khi lng g.dch ln: xu th gi ln+ Nu xu th gi chung tng, ng Ma nm di gi hin ti. Nu gi h.ti vt qua MA t bn trn km theo khi lng g.dch ln: xu th gi gim **

- So snh 2: Gia ng MA 50 ngy v MA 200 ngy. Khi 2 ng ny ct nhau bo hiu s thay i xu th gi+ Nu MA 50 ngy ct MA 200 ngy t bn di vi khi lng g.dch ln: du hiu gi ln+ Nu MA 50 ngy ct MA 200 t bn trn: du hiu gi gim **

2.2. Cc quy tc theo quan im tri ngcNhiu nh .t thng sai lm khi d on gi nh cao hoc im y, nn s dng 1 s ch bo xc nh s nh gi trng hp v thi ca nh .t- S d c trn TK g.dch: gim xung l du hiu xu th gi xung v sc mua thp v ngc li- kin t vn: T vn c quan im tiu cc, gi xung gn im y, chun b xu th gi ln **

2.3. Bm theo cc nh .t khn ngoanCc ch bo:- Ch s nim tin (The Cofidence Index): L h s gia li sut tr.bnh ca TP 10 cty hng u v li sut ca 40 TP thng dng tnh ch s TP DowJones, phn nh s khc bit v ch.lch li sut gia cc TP hng u so vi TP thng thuc nhiu nhm ngnh nghy l 1 ch bo xu th gi ln, bi v nh .t c lng tin sn sng .t nhiu hn vo cc TP c cht lng thp hn nhm thu c li sut cao hn. Ngc li khi nh .t bi quan, s khng .t vo cc TP c cht lng thp v gia tng .t vo cc TP c cht lng cao**

- S d trn ti khon giao dch+ S d n gia tng l du hiu xu th gi tng+ S d n gim l du hiu bn ra v nhng nh .t khn ngoan mun kt thc 1 chu k g.dch, nn gim st vn l du hiu xu th gi xung**

2.4. Mt s ch bo th trng khca. rng ca th trng (Maket Breadth): l ch bo v s lng cc CP ln gi v xung gi trong mi ngy g.dch. Hu ht cc ch s tnh theo gia quyn gi tr, nn c khi ch s tng ln nhng phn ln CP khng ln gib. Tng khi lng bn khng (Short Intersest): Bn khng cao l (1) Du hiu tch cc phn nh mc cu tng trong tng lai s y gi ln (2) Du hiu tiu cc v phn nh tm l tiu cc v trin vng th trng**

c. Gi CP pha trn ng MA 200 ngy: ch bo trng thi tm l chung ca nh .t bo hiu xu th tng hoc gim gi sp tid. T l gi tng-gi gim ca g.dch l ln: Nu gi th.hin ca g.dch l ln cao hn trc s c d bo xu th gi tng, nu thp hn xu th gi gimNu g.dch l ln do ngi mua t lnh l g.dch gi tng; do ngi bn t lnh l g.dch gi gimX.dng t l gi tng-gi gim, nu t l thp, xu th gi gim; nu t l ny cao, xu th gi tng **

3. Mt s loi v dng thc k thut3.1. Cc loi th- th ng (Line Chart)- th ct (Bar Chart)- th k hiu (Point & Fugure Chart)K hiu gi tng: XK hiu gi gim: O

3.2. Mt s dng thc th(1) NG XU TH (Trendline) c hnh thnh bng cch ni cc mc gi cao nht hoc thp nht ca chng khon trong 1 khong thi gian nht nh. nghing ng xu th phn nh xu th gi ln hoc xung. Khi gi chng khon vt ra ngoi ng xu hng, c th hnh hnh ng xu th mi

(1) NG XU TH

(2) IM T PH (Breakout)Khi gi CK vt qu mc cn trn hoc xung thp hn mc cn di ta c im t ph. c coi l du hiu khi u ng xu th mi

(3) DNG THC GIAO DCH (Trading Pattern)c h.thnh bng cch v 2 ng xu th cn trn v cn di song song dc ln hoc dc xung, d bo bin g.ng gi CK trong tng lai

(4) CN DI (Support Level)L mc gi m ti xu th gim gi ca chng khon dng li v cu ln hn cung. Cn di l mc thp nht, nn gi s tng tr li

(5) CN TRN (Resistance Level)Ngc vi cn di, mc gi cn trn, nh u t bn raCn trn hnh thnh sau khi CK tri 1 t gim gi, mt s nh u t mua vi gi cao trc bn ra mong ha vn, mt s nh u t khc ch o chiu bn ra. mc gi cn trn, nhiu nh u t bn ra, nn lm gi CK gim xung

(5) CN TRN

(6) TAM GIC (Triangle)C 2 cnh giao nhau bn phi, t nht c 2 ln ln v xung gi, nh tip sau thp hn nh trc. T , bo gi gi CK tng hay gim

(7) L C (Flag)Hnh ging l c. Nu l c hnh thnh sau t tng gi, tip theo s l 1 t tng gi na. Nu sau t gim gi s c 1 t gim gi na

(8) Y KP (Double Bottom)Gi CK s khng xung thp hn na**

(9) NH KP (Double Top) Gi s khng tng thm**

(10) U V VAI (Head & Shoulders)Gi CK s tip tc gim. Nu dng ln ngc gi s tng**

**5. DANH MC U T5.1. Mt s gi nh c bn ca l thuyt danh mc v xc nh mc chp nhn ri ro ca nh u t5.2. L thuyt la chn danh mc u t ti u theo m hnh Markowitz 5.3. M hnh nh gi ti sn vn (CAPM)

**5.1. Mt s gi nh c bn ca l thuyt danh mc v xc nh mc chp nhn ri ro ca nh u t5.1.1. Mc ngi ri ro (risk averson) v hm hu dng (Utility Function)- Tt c nh .t u c mt mc ngi ri ro khc nhau- Hm hu dng biu th mi quan h gia gi tr hu dng ca mt n v tin t nhn c vi mc ri ro ca khon .t v mc ngi ri ro khc nhau ca mt nh u t- Gi nh mi nh .t u c th gn mt mc chp nhn no (gi tr hu dng) vo nhng danh mc .t

P.trnh hm hu dng U = E(r) 0,5A*2 U : Gi tr hu dngA: Mc ngi ri roE(r) : Li sut c tnh b.qun : lch chun ca li sut c tnh b.qun- Nu khng c ri ro: U = E(r) v 2 = 0V d: Danh mc u t vi t sut l.nhun 22%, lch chun 34%, li sut phi ri ro 5%Phn b ri ro = 22%-5% = 17%- Nu A=3 th U= 22% - 0,5*3*34%2 = 4,66%Phn b ri ro = 0,5*3*34%2 = 17,34%- Nu A=2 U=22%-0,5*2*34%2 = 10,44%Phn b ri ro = 0,5*2*34%2 = 11,56%Vi A=3 khng u t v U = 4,66% < 5%Vi A=2 u t v U = 10,44% > 5%

**

th ng ng mc hu dng (ng cong bng quan)

E(r) I2 I1 I II

III IV2 I2 mc hu dng cao hn I1**

V d: Cc danh mc .t cng nm trn ng ng hu dng

Mi danh mc .t trn ng ng hu dng (bng quan) u c gi tr hu dng bng nhau (2%), v li sut c tnh cao th ri ro cao**

Li sut E(r) U10%20,0%10%-0,5*4*4,0%=2%15%25,5%15%-0,5*4*6,5%=2%20%30,0%20%-0,5*4*9,0%=2%25%33,9%25%-0,5*4*11,5%=2%

5.1.2. Li sut v ri ro ca danh mc .t**a. Li sut danh mc .tLi sut danh mc l trung bnh trng s ca cc li sut mi CK trong danh mcCng thcE(rp) = wiE(ri)V d: Danh mc c 2 CK vi t trng mi CK l 50% (w) v li sut mi CK l 10,5% v 5%.Li sut danh mc =0,5*10,5+0,5*5 = 7,75%

b. Ri ro ca d.mc & a dng ha d.mc- Ri ro ca d.mc .t: l kh nng bin ng trong tng lai v kt qu thu c khi .t. gim thiu ri ro cn a dng ha d.mc u t- a dng ha d.mc .t: Gim ri roV d: Cty sx ng () v Cty sx ko (K) **

Thun liBt th.li KmXc sut50%30%20%Li sut K25%10%-25%Li sut 1%-5%35%

Li sut Cty K =0,5*25+0,3*10+0,2*-25=10,5%Ph.sai K =0,5(25-10,5)2+0,3(10-10,5)2+0,2(-25-10,5)2=375,25% lch chun K = 18,9%Li sut Cty = 6%, lch chun = 14,73%C 2 cty u ri ro. Ri ro < ri ro Ku t vo Cty t hp dn hn v li sut thpNu .t 50% vo Cty v 50% vo Cty K,ta c:

Li sut ton d.mc = 8,25% lch chun ton d.mc = 4,83%

Thun liBt th.liKmXc sut50%30%20%Li sut0,5(25+1)=13%0,5(10-5)=2,5%0,5(-25+35)=5%

Ri ro v k.qu c tnh 3 phng n

Kt lun: Ri ro ca nhng CK ring l c th gim trong ton danh mc .t. Nu trong d.mc cng c nhiu CK th s tng tc b tr cng ln v cng c nhiu kh nng gim thiu ri ro, hnh sau:

Danh mcLi sut lch chun(1) 100% K10,5%18,9%(2) 100% 6,0%14,73%(3)50%K + 50% 8,25%4,83%

S lng CK cng nhiu, cng gim ri ro khng h thng. Nhng ri ro h thng l ri ro c th trng, khng th gim c Ri ro tng th

Ri rokhng h thng

Ri ro Ri ro h thng h thng

S lng CK

c. Cc thc o ri ro- Ri ro khng h thng: Ri ro tng th danh mc: lch chun: - Ri ro h thng: H s - xc nh cn tnh h s tch sai (hip phng sai: Cov) v h s tng quan ()- H s tch sai dng: Li sut 2 CK bin ng cng chiu- H s tch sai m: Li sut 2 CK bin ng ngc chiu- V d trn: Cov (rK,r) = K = 0,5(25-10,5)(1-6)+0,3(10-10,5)(-5-6)+0,2(-25-10,5)(35-6)= -240,5% Nh vy K v bin ng ngc chiu

- Tnh h s tng quan () gii hn tch sai thnh nhng gi tr trong khong t -1 v +1- H s tng quan +1: 2 CK c giao ng ging nhau- H s tng quan -1: 2 CK c quan h ngc chiu- H s tng quan = 0: 2 CK khng tng quan (rK,r) = -240,5/(18,9*14,73) = -0,86

5.2. L thuyt la chn danh mc u t ti u theo m hnh Markowitz5.2.1. ng cong hiu qu ca d.mc .t gm 2 CKT sut Li nhun 3 K 2 MV 1 1

Ri roChn t MV n K: ng cong hiu qu**

5.2.2.ng cong hiu qu cho d.mc nhiu CK ri ro v nguyn tc la chn d.mc CK ri ro ti uT sut LNhun X R * W MV

Ri roChn d.mc .t trong vng gii hn: Danh mc ti u Markowitz

5.2.3. La chn d.mc hn hp ti uDanh mc ti u t c khi t l kt hp gia CK ri ro v CK phi ri ro nhm t LN cao nht vi mc ri ro chp nhn cT sut L.nhun ng bng quan ng phn b vn A B ng bin Chiu qu rp

Ri ro

- Chn d.mc ri ro ti u: A- Kt hp d.mc A vi CK phi ri ro- im ti u l im tip xc gia ng phn b vn vi ng cong bng quan- Nh .t ngi ri ro chn t r n A- Nh .t t ngi ri ro vay thm tin, chn t A n B

5.3. M hnh nh gi ti sn vn (CAPM: Capital Asset Pricing Model)5.3.1. Gi thuyt kinh t cho th trng vna. Gi thuyt tm l ca nh .t(1) Khi quyt nh .t, nh phn tch: li sut v ri ro: Ri ro cao, li nhun cao(2) Gim ri ro, x.dng d.mc .t(3) Quyt nh .t c a ra v kt thc trong khong th.gian nht nh(4) Cc nh .t c chung cc k vng: mc li sut, ri ro**

b. Gi thuyt v th trng vn(1) Th trng vn l th trng cnh tranh hon ho(2) Khng c chi ph hay cn tr quan h cung-cu(3) Th trng tn ti CK khng ri ro, nh .t c th vay vi li sut khng ri ro**

c. ng th trng vn (CML: The Capital Market Line)Rf: li sut phi ri ro r CML M ng hiu qu Markowitz

Rf **

5.3.2. M hnh nh gi ti sn vna. ng th trng CK (SML: Security Market Line): th hin mi quan h gia ri ro v li sut ca mi CK r SML Re Phn b ri ro (Rm Rf)Rm MReRf ----------------------------------- Li sut khng ri ro (Rf) 0 0,5 1 1,2 Phng trnh CAPMRe = Rf + (Rm Rf)**

o th tong rui ro danh mc u t**

Xc nh li sut k vng (Re)- Xc nh li sut phi ri ro: Rf- Xc nh li sut th trng: Rm v phn b ri ro = Rm-Rf- Xc nh ri ro h thng: h s Nhn xt- = 0 : khng c ri ro- = 1 Re = Rm- < 1 Re < Rm- > 1Re > Rm

**

b. ngha ca CAPM(1) SML cho bit l.nhun thu c c th b p c ri ro hay khng?(2) Tt c cc CK c nh gi chnh xc phi nm trn SMLT sut L.Nhun SML 16 3 nh gi thp (Mua CK) 15 2 14 M 1 nh gi cao (Bn CK)

Rf

0 1 1,2(3) /vi cc d n u t, CAPM quyt nh d n ti u v CAPM a ra mc li sut yu cu phi t c theo **

Kt lun- CAPM m t mi q.h gia ri ro v li sut c tnh- Vi CAPM, ri ro h thng l mi quan tm, v khng loi b c khi a dng ha d.mc- CAPM cho bit li sut c tnh ca 1 CK hoc 1 d.mc c xc nh bng li sut ca CK khng ri ro cng vi phn b ri ro (bng nhn mc ri ro vi gi th trng ca ri ro Rm-Rf)**

V d: Trng hp danh mc u t c 2 CP c b-ta 1,5 v 0,7. LN phi ri ro 7%, LN th trng 13,4%. LN k vng:7 + (13,4 - 7)1,5 = 16,6%7 + (13,4 7)0,7 = 11,48%Nu 2 CP ny c u t bng nhauLN danh mc u t = (0,5*16,6) + (0,5*11,48) = 14,04%B-ta danh mc u t= (0,5*1,5) + (0,5*0,7) = 1,1p dng m hnh CAPM, LN k vng danh mc u t:= 7 + (13,4 7)1,1 = 14,04%Hai cch tnh u em li kt qu nh nhau, chng t m hnh CAPM vn c th p dng trong trng hp d.mc u t

**

**

Ph lc 1Side 25: Quy trnh phn tch(1) Xc nh h s ri ro ca ngnh. Tnh li sut yu cu Theo CAPMPhng trnh CAPMRe = Rf + (Rm Rf)(2) Ph.tch P/E ngnh: Mi q.h P/E ngnh v P/E t.trng. Cc nh.t gy tc ngn P/E nh: c tc, li sut (r), t l tng trng (g)**

(3) c tnh th.nhp EPS(4) Tnh g.tr cui k ca ch s ngnh(5) So snh l.sut t c vi l.sut yu cuV d: Ngnh cng nghip c c tnh thu nhp CP bnh qun nm sau 2$, tc tng c tc b.qun c tnh g=5%. H s tr c tc ngnh b.qun 60%, li sut yu cu ngnh 13%. Gi tr ch s s ngnh hin ti r=13$. Gi s s liu thng k P/E ton ngnh v ton th trng theo bng sau

**

Tnh P/E ngnh = 0,6(1+0,05)/(0,13-0,05) = 7,9

P.n 1: G.tr ch s cui k = 7*2 = 14G.Tr c tc b.qun nhn c cui k =2*0,6 =1,2Li sut t c: r = (14-13+1,2)/13 = 17% > 13% **

NmP/E th trngP/E ngnh P.n 1P/E ngnh P.n 2-24,04,03,0-15,04,85,206,06,06,517 (d tnh)

Ph lc 22. Cch tnh cc h s ti chnh slide 302.1. Cc h s kh nng thanh ton2.1.1. H s kh nng th.ton hin hnh 1999= TSL/N ngn hn = 65.846/27.461 = 2,4 ln2.1.2. H s kh nng th.ton nhanh 1999= (TSL Hng tn kho)/N ngn hn= (65.846 47.041)/27.461 = 0,68 ln2.2. Cc h s hot ng2.2.1. K thu tin bnh qun 1999= Cc khon phi thu/Doanh thu thun b.qun 1 ngy= 8.960/(215.600/360) = 15 ngy

**

2.2.2. Vng quay khon phi thu 1999= D.thu thun/Cc khon p.thu = 216.600/8.960 = 24,06 ln2.2.3. Vng quay hng tn kho 1999= Gi vn hng bn/Hng tn kho = 129.364/47.041=2,75 ln2.2.4. Vng quay ti sn c nh 1999=D.thu thun/TSC rng = 215.600/29.079 = 7,41 ln 2.2.5. Vng quay tng ti sn 1999= D.thu thun/Tng ti sn = 215.600/95.298 = 2,26 ln

**

2.3. Cc h s c cu vn2.3.1. Cc h s n by ti chnh2.3.1.1. H s n 1999 = Tng n/Tng ti sn=49.363/95.298=51,8%2.3.1.2. H s n di hn/tng vn huy ng 1999= N di hn/N di hn+NVCSH=21.059/(21.059+45.935)=31,4%2.3.1.3. H s n/vn c phn 1999 =Tng n/NVCSH=49.363/45.935=107,5%2.3.1.4. H s kh nng th.ton li vay 1999=L.nhun h.ng/C.ph li vay=19.243/2.585= 7,4 ln2.3.1.5. H s kh nng th.ton cc khon c.ph c nh=L.nhun h.ng+Chi tr thu mn/C.ph li vay+Chi tr thu mc= (19.243+13.058)/(2.585+13.058)=2,1 ln

**

2.3.2. Cc h s t l vn di hn2.3.2.1. T l tri phiu = 3.000/11.620 = 26%2.3.2.2. T l c phiu u i = 500/11.620 = 4%2.3.2.3. T l c phiu thng=(CP thng+ Thng d vn+L.nhun gi li)/Tng vn di hn=(6.000+520+1.600)/11.620 = 70%

**

N DI HNTriu ngTri phiu 9%3.000NV CSHCP u i 6%500CP thng6.000Thng d vn520L.Nhun gi li1.600TNG VN DI HN11.620

*