ThS. Lê Quyết Tâm
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Transcript of ThS. Lê Quyết Tâm
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**ThS. L Quyt TmPHN TCHV U TCHNG KHON
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**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
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**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 .
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**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.
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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
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THI GI CA TIN1. LI SUT2. GI TR TNG LAI CA TIN3. GI TR HIN TI CA TIN
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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
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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
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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
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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
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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
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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
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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
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- 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
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**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
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**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%
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**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
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**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
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**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
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**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
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**2. CC NGUYN TC PHN TCH CHNG KHON2.1. Phn tch v m v TTCK2.2. Phn tch ngnh2.3. Phn tch cng ty
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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
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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
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**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
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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)
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(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
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**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)
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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
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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
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3. BO CO LU CHUYN TIN Tvt: Triu ng
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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 **
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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
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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 **
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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 **
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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 **
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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 **
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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
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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 **
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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.**
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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
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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%
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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
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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**
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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)**
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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**
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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
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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
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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
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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
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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
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**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
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**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
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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?
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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).
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**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,
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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
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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
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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
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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
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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
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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%.
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- 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
**
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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:
**
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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 **
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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**
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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**
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- 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
**
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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:
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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.
**
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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
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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:
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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
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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 :
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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
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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
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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.
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- 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
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- 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%
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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**
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(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.
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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. **
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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.
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- 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).
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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.
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- 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. **
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- 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.
**
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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
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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. **
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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.
**
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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
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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.**
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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
**
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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.
**
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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.**
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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)
**
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**
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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
**
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(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 **
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Gi X Y T.phiu Y c li ln hn tri phiu X
Li sut
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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.
**
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(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.
**
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**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
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**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)
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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
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**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
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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
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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
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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 **
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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
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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**
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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
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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 **
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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
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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**
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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 **
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- 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 **
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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 **
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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**
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- 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**
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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**
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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 **
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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
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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
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(1) NG XU TH
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(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
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(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
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(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
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(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
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(5) CN TRN
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(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
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(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
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(8) Y KP (Double Bottom)Gi CK s khng xung thp hn na**
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(9) NH KP (Double Top) Gi s khng tng thm**
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(10) U V VAI (Head & Shoulders)Gi CK s tip tc gim. Nu dng ln ngc gi s tng**
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**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)
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**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
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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%
**
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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**
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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%
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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%
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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%
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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%
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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%
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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
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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
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- 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
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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**
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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
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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
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- 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
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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**
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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**
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c. ng th trng vn (CML: The Capital Market Line)Rf: li sut phi ri ro r CML M ng hiu qu Markowitz
Rf **
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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)**
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o th tong rui ro danh mc u t**
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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
**
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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 **
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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)**
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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
**
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**
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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)**
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(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
**
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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)
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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
**
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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
**
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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
**
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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
*