3/9/2012

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Bi 11 & 12:

M hnh nh gi ti sn vn


Phn tch ti chnh
Hc k xun
MPP4- 2012
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MPP4 M hnh nh gi ti sn vn
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M hnh nh gi ti sn vn
Capital Asset Pricing Model CAPM
Cc gi nh ca m hnh CAPM
Danh mc th trng
Phn b ri ro th trng
H s beta
M hnh nh gi ti sn vn
ng th trng chng khon (SML)
ng dng CAPM
T CAPM n m hnh a yu t
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3/9/2012
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Gi nh ca m hnh CAPM
Cc nh u t ght ri ro, ra quyt nh da trn sut sinh li k
vng v lch chun ca sut sinh li .
Th trng hon ho: vay v cho vay vi li sut phi ri ro, khng
c chi ph giao dch, tt c cc ti sn u c th c chia nh v
mua bn trn th trng, c th bn khng, khng c thu, thng tin
min ph
Cc nh u t tip cn cc c hi u t nh nhau
Cc nh u t c k vng ng nht v li nhun, ri ro ( lch
chun, phng sai) ca c hi u t.

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Danh mc u t th trng
Tt c cc nh u t u nm gi mt danh mc cc ti sn ri
ro nm tip im gia ng phn b vn vi ng gii hn
cc c hi u t hiu qu.
Tng ca tt c cc danh mc tip im ny tng ng vi
danh mc th trng

Danh mc th trng bao gm tt c cc loi ti sn ti chnh v
trng s ca mi loi ti sn trong danh mc bng ng t l gia
tng gi tr ti sn v tng gi tr th trng.
Trong danh mc th trng: cc ri ro c th c a dng ho
ti a, ch cn li ri ro h thng (ri ro th trng).
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Danh mc u t th trng
Nh u t ang u t ton b 100% vo danh mc th trng M,
vi sut sinh li k vng E(R
M
) v ri ro o
M
.
Nh u t quyt nh i vay vi li sut phi ri ro r
f
mua thm
danh mc th trng. Trng s ca khon vay u t thm l o
vi gi tr v cng nh.
Danh mc mi (A) bao gm 2 hng mc:
Trng
s
Sut sinh li
k vng
lch
chun
Danh mc th trng 1 + o E(R
M
) o
M

Vay n -o -r
f
0
Danh mc u t mi:
Sut sinh li k vng: (1 + o)E(R
M
) or
f

Phng sai: (1 + o)
2
o
M
2
= (1 + 2o + o
2
)o
M
2
~ (1 + 2o )o
M
2

(V o v cng nh, nn o
2
~ 0)
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Gi ca ri ro th trng
Mc tng sut sinh li ca danh mc u t mi so vi c:
AE(R) = [(1 + o)E(R
M
) or
f
] E(R
M
) = o[E(R
M
) r
f
]

Mc tng ri ro ca danh mc u t mi so vi c:
Ao
2
= [(1 + 2o)o
M
2
] o
M
2
= 2oo
M
2

Vy, nh u t hng sut sinh li k vng tng thm
o[E(R
M
) r
f
] khi chp nhn ri ro tng thm 2oo
M
2
.

Mc tng sut sinh li k vng trn 1 n v tng thm ca ri ro,
hay cn gi l mc gi bin ri ro ca danh mc th trng bng:

2 2
2
) (
) (
M
f M
r R E
r E
o o

=
A
A
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u t vo c phiu FPT
Gi s thay v u t thm vo danh mc th trng, nh u t
quyt nh u t vo c phiu FPT, vi sut sinh li k vng
E(R
FPT
), ri ro o
FPT
, tch sai vi danh mc th trng o
FPT,M

Nh u t i vay vi li sut phi ri ro r
f
mua thm c phiu
FPT. Trng s ca khon vay u t thm vo FPT l o vi gi
tr v cng nh.
Danh mc mi bao gm 3 hng mc:
Trng
s
Sut sinh li
k vng
lch
chun
Danh mc th trng 1 E(R
M
) o
M

Vay n -o -r
f
0
FPT o E(R
FPT
) o
FPT

Danh mc u t mi:
Sut sinh li k vng: E(R
M
) + oE(R
FPT
) or
f

Phng sai: o
M
2
+ 2o o
FPT,M
+ o
2
o
FPT
2
~ o
M
2
+ 2oo
FPT,M
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Gi ca ri ro c phiu FPT
Mc tng sut sinh li ca danh mc u t mi so vi c:
AE(R) = [E(R
M
) + oE(R
FPT
) or
f
] E(R
M
) = o[E(R
FPT
) r
f
]
Mc tng ri ro ca danh mc u t mi so vi c:
Ao
2
= [o
M
2
+ 2oo
FPT,M
] o
M
2
= 2oo
FPT,M

Vy, nh u t hng sut sinh li k vng tng thm
o[E(R
FPT
) r
f
] khi chp nhn ri ro tng thm 2oo
FPT,M
.
Mc gi bin ri ro ca c phiu FPT:


So snh u t thm vo FPT vi u t thm vo danh mc th
trng:
u t thm vo FPT nu

Gim u t FPT nu
M FPT
f FPT
r R E
r E
,
2
2
) (
) (
o o

=
A
A
2
,
2
) (
2
) (
M
f M
M FPT
f FPT
r R E r R E
o o

>

2
,
2
) (
2
) (
M
f M
M FPT
f FPT
r R E r R E
o o

<

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Cn bng trn th trng vn
Nh u t s ngng tng u t FPT hay ngng gim u t FPT
khi:


Ta c:



nh ngha: h s beta ca c phiu FPT bng t s gia tch sai
sut sinh li FPT vi danh mc th trng v phng sai sut sinh
li danh mc th trng.



2
,
2
) (
2
) (
M
f M
M FPT
f FPT
r R E r R E
o o

=

| |
f M
M
M FPT
f FPT
r R E r R E + = ) ( ) (
2
,
o
o
| |
f M FPT f FPT
r R E r R E + = ) ( ) ( |
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M hnh nh gi ti sn vn
Capital Asset Pricing Model CAPM
Sut sinh li k vng:



H s beta: nhy ca chng khon i vi thay i trn th trng




=1: bin thin bng th trng, ri ro bng mc th trng
> 1: ri ro cao hn mc trung bnh ca th trng
<1: ri ro thp hn mc trung bnh ca th trng (bin thin v
lch chun thp hn th trng)
( ) ( )
i f i M f
E R r E R r | ( = +

,
2
i M
i
M
o
|
o
=
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M hnh nh gi ti sn vn
Capital Asset Pricing Model CAPM
H s beta
Sut sinh li k vng
r
f
E(R
M
)

1
M
Mc b ri ro th trng: E(R
M
) r
f

ng th trng chng khon - SML
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M hnh nh gi ti sn vn
Rf
A
B
M
C
SML
0%
10%
20%
30%
40%
50%
60%
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6
Beta
S
u

t

s
i
n
h

l

i

k

n
g
Mua
ng th trng chng khon
Bn
A*
B *
C*
Mc b ri ro th trng : E (R
M
) - R
f

E(R
M
)
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ng th trng chng khon
Securities Market Line - SML
S dng s liu lch s xc nh cc thng s ca cc ti sn
nh u t (sut sinh li bnh qun, ri ro phng sai, lch
chun)
c lng beta bng hm hi quy:


Xc nh ng th trng chng khon: i qua im R
f
v
danh mc th trng M
Xc nh sut sinh li k vng ca cc ti sn nh u t bng
cng thc :
i i M
R a R | c = + +
( ) ( )
i f i M f
E R r E R r | ( = +

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S dch chuyn ca SML do lm pht
Beta cua chng
khoan
Li nhuan ky vong
cua chng khoan
0
m R

R
f0
M
0
0 1
SML
0
Lai suat thc
Ty le lam phat
Ty le lam phat gia tang
SML
1
R
f1
1
m R
M
1
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S dch chuyn ca SML do mc ght
ri ro tng
Beta cua chng
khoan
Li nhuan ky vong
cua chng khoan
0
m R

R
f
M
0
0 1
SML
0
Phan bu ap rui ro cu
SML
1
1
m R
M
1
Phan bu ap rui ro tang
theo mc o ngai rui ro
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c lng h s beta
S dng ch s th trng chng khon i din cho danh mc
th trng: thay M hnh CAPM bng M hnh Ch s (Index
Model)

S liu lch s: Sut sinh li hng thng trong vng 60 thng gn
y.

c lng hm hi quy:
R
i
= a + |R
M
+ c
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c lng h s beta
V d: c lng beta ca mt s c phiu trn HOSE da vo s
liu hng thng 10/2002-9/2007
Tn
Gi ngy
28/9/07
Sut sinh
li b/q (%)
lch
chun
(%)
H s
Beta
VN-Index 1.046,9 3,53 11,32 1,00
XNK thy sn An Giang (AGF) 103,0 2,67 11,15 0,83
Giy Hi Phng (HAP) 71,0 3,10 19,31 1,22
Ch bin hng XK Long An
(LAF) 23,6 0,96 15,40 0,63
C in lnh (REE) 154,0 4,72 18,25 1,41
Cp & vt liu vin thng
(SAM) 153,0 3,93 16,26 1,18
Kho vn ng.thng Si Gn
(TMS) 70,5 1,42 10,62 0,67
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ng dng M hnh CAPM
c lng chi ph vn
Nghin cu tnh hung:
c lng chi ph vn c phn ca cng ty FPT
nh gi kt qu hot ng ca qu u t
V d: Qu no hot ng hiu qu?








iu tit c quyn
Qu Sut sinh li b/q lch chun Beta
Alpha 31% 26% 1.62
Delta 28% 27% 1.70
Gamma 22% 21% 0.85
Lamda 15% 13% 0.90
Omega 15% 11% 0.55
Ch s CK 20% 17% 1.00
L/s tn phiu 6% Ngun: Bodie, Kane & Marcus, "Investments
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Ch trch v m hnh CAPM
Danh mc th trng?
o lng beta?
CAMP c gii thch c li nhun ca chng khon?
Fama and French, 1992, The Cross-Section of
Expected Stock Returns, Journal of Finance:
Size and book-to-market ratios explain stock
returns better than beta over the period 1941-1990

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M hnh a yu t - M hnh kinh doanh chnh
lch gi (Arbitrage Pricing Model)
E
n


j = 1
R
i
= a
i
+ b
ij
I
j
+ e
i

R

= Li nhun k vng c phiu j
a

= Hng s
b = nhy ca chng khon i vi ch s
I

= Gi tr ca ch s
e = Sai s
i = bin ch chng khon
j = bin ch yu t tc ng

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