NG DNG M HNH CAPM XC NH CHI PH VN CH S HU CHO CC CNG TY C PHN TRN TH TRNG CHNG KHON VIT NAM Th.

S Phm Th Phng Uyn

T VN Chi ph vn c phn c ngha quan trng trong n vic a ra quyt nh u t i vi doanh nghip cng nh i vi cc nh u t. Quyt nh u t c th l u t vo c phiu ca mt cng ty hay quyt nh u t mt d n. Tht vy, c nhiu yu t nh hng n gi c phiu ca mt cng ty trong ngn hn, tuy nhin vic xy dng m hnh chit khu ngn lu nh gi c phiu u t di hn l mt vic lm cn thit. Kt qu nh gi chng khon s rt nhy cm vi sut chit khu (tc l chi ph vn ca doanh nghip) s dng. Vi mt sut chit khu cao, kt qu phn tch c th cho thy gi c hiu ca mt cng ty rt thp v v vy nn mua vo. Ngc li, vi mt sut chit khu thp, th phn tch s cho thy gi c phiu ca cng ty rt cao v v vy khng nn u t. ng thi, chi ph vn ch s hu l mt b phn quan trng khi c tnh chi ph s dng vn bnh qun ca doanh nghip, chi ph s dng vn bnh qun l sut chit khu c s dng trong thm nh d n u t ti doanh nghip. Chi ph s dng vn l c s quan trng nh u t nh gi tnh kh thi ca d n quyt nh chp nhn u t hay loi b d n. V vy vic c tnh chi ph vn c phn l mt vic lm cn thit tnh sut chit khu. PHNG PHP NGHIN CU c lng chi ph vn ch s hu cho cc cng ty c phn nim yt trn th trng chng khon Vit Nam theo m hnh CAPM, tc gi s cc phng php thng k. Phng php ny c s dng thng k cc s liu v gi c phiu, ch s VN-Index, sut sinh li ca tri phiu chnh ph trong mt giai on lch s. ng thi, c lng h s beta ca cc cng ty c phn c nim yt trn th trng chng khon, tc gi cng s dng phng php hi quy n bin trong nh lng c lng phng trnh hi quy nhm xc nh h s beta. GII QUYT VN Chi ph vn c phn l sut sinh li m nh u t k vng hay yu cu khi mua c phn ca mt doanh nghip. Nguyn tc cn bn l ri ro ca vn c phn cng ln th sut sinh li m nh u t yu cu s cao. Cc m hnh c lng chi ph vn c phn v vy u phi a ra thc o v sut sinh li v ri ro, cng nh thit lp mi quan h gia hai bin s ny. M hnh nh gi ti sn vn (CAPM) th hin quan h gia sut sinh li k vng ca mt ti sn so vi ri ro h thng ca ti sn . Sut sinh li vn c phn trong mt k nht nh ca mt doanh nghip s bng tng li nhun thu c trong k chia cho gi c phiu u k, th hin bng t l phn trm.

tnh sut sinh li da vo s liu lch s, ta tnh sut sinh li bnh qun da vo php trung bnh cng hoc trung bnh nhn. Ri ro vn c phn c o bng lch chun ca gi c phiu. Thc o ny v ri ro c chp nhn v n phn nh bin thin ca sut sinh li thc t so vi gi tr trung bnh. i vi mt cng ty c phn c nim yt trn th trng chng khon vi thng tin y th chi ph vn c phn ca cng ty c th c c tnh mt cch trc tip t s liu ca th trng. Theo m hnh CAPM chi ph vn c phn ca mt cng ty ph thuc vo 3 yu t sau: (1) Sut sinhli ca mt ti sn phi ri ro (2) Mc b ri ro ca th trng (3) H s beta ca c phiu k ABC = E[ R ABC ] = R f + ABC ( E[ R m ] R f Vi kABC l chi ph vn c phn ca cng ty ABC E[ R ABC ] l sut sinh li k vng ca c phiu ABC Rf l sut sinh li phi ri ro ABC l h s beta ca ABC E[ R m ] l sut sinh li k vng ca ch s chng khon th trng Theo l thuyt, mi thnh phn trn phi c lng da vo gi tr k vng trong tng lai. Tuy nhin, trn thc t, s liu lch s c s dng c lng. Vic xc nh giai on c lng c ngha quan trng trong m hnh ny, nu giai on di s cho kt qu c tin cy cao v s quan st s nhiu, tuy nhin, giai on di s c nhng thng tin trong qu kh khng cn ph hp vi hin ti. Ngc li, vic s dng giai on c lng ngn s c tin cy khng cao nhng li phn nh oc nhng thng tin st thc vi tnh hnh hin ti nht. Ti VN, th trng chng khon tp trung mi ch i vo hot ng c gn 10 nm, nn giai on c lng cn c di ti a bao trm tt c cc quan st c th c oc. Sut sinh li phi ri ro Sut sinh li phi ri ro l sut sinh li m nh u t chc chn s nhn c trong mt giai on u t nht nh ca mnh. Mt thuc o sut sinh li phi ri ro phi tha mn hai iu kin. Th nht, thc o sut sinh li ny phi t mt ti sn khng c ri ro v n. V c quyn nh thu v c kh nng kim sot mc cung tin nn Chnh ph c th pht hnh cc tri phiu khng c ri ro v n. Do vy, thc o sut sinh li phi ri ro thng l sut sinh li ca mt chng khon chnh ph. Tuy nhin, trong cc th trng ti chnh m chng khon chnh ph khng oc giao dch nhiu th s liu v sut sinh li s khng c tin cy cao. Trong trng hp ny, sut sinh li ca cc cng c n do cc t chc ti chnh c chnh ph bo lnh, v d nh li sut tin gi ca cc ngn hng thng mi quc doanh hay li sut lin ngn hng c th oc s dng lm li sut phi ri ro. Th hai, k hn ca thc o sut sinh li phi ri ro phi trng vi k hn u t ca nh u t ri ro ti u t khng pht sinh. Theo c s l thuyt ca

m hnh CAPM, li sut ca tn phiu kho bc k hn 3 thng l thc o ng nht v sut sinh li phi ri ro do tn phiu kho bc ngn hn va an ton v mt hon tr vn gc v li, va t chu s bin ng gi khi li sut th trng thay i. Tuy nhin, nu k hn u t ca nh u t l 1 nm th vic s dng tn phiu kho bc 3 thng s khng phi l khng ri ro v khon li sau 3 thng u s phi oc ti u t cho n ht 1 nm v sut sinh li khi c th bin i. Do vy, li sut tri phiu chnh ph di hn thng c s dng lm sut sinh li phi ri ro vi k hn tri phiu oc chn sao cho st vi thi gian du t hay k hn phn tch ngn lu trong m hnh nh gi. V c tnh chi ph vn c phn cho mt doanh nghip ti thi im hin ti, sut sinh li phi ri ro ti thi im gn y nht phi c s dng. Mc b ri ro th trung Mc b ri ro trng phn nh sut sinh li tng thm m nh u t i hi khi chuyn t vic u t vo mt ti sn phi ri ro sang u t vo danh mc th trng c mc ri ro trung bnh. Mc b ri ro th trng, v vy, c o bng chnh lch gia sut sinh li ca danh mc th trng v sut sinh li phi ri ro. Trong khi sut sinh li phi ri ro oc c lng s dng b s liu gn y nht, mc b ri ro th trng c tnh trn c s s dng s liu lch s trong mt giai on di gim sai s trong c lng. nht qun, thc o sut sinh li phi ri ro s dng tnh mc b ri ro th trng cng chnh l thc o s dng phn trn. Theo m hnh CAPM, danh mc th trng phi l danh mc cha tt c cc ti sn ti chnh trong nn kinh t. Tuy nhin, trong thc tin khng th no thit lp oc mt danh mc th trng nh th. Do vy, ta chn mt ch s chng khon c tnh i din cho c th trng lm danh mc th trng v t l thay i ch s chng khon lm thc o sut sinh li danh mc ca th trng. Ti Vit Nam, ch s VN-Index oc s dng lm danh mc th trng Mc b ri ro th trng c c lng da vo s liu lch s trong mt giai on nht nh. Nu s dng s liu hin hnh th c lng mc b ri ro hin hnh s khng phn nh tt gi tr trong ng lai. c bit, thi im hin hnh c th l lc th trng ang i xung v sut sinh li ca danh mc th trng s nh hn li sut phi ri ro, t a n mt mc b ri ro th trng m. iu ny khng thc t v danh mc th trng l c ri ro nn k vng trong tng lai l mc b ri ro th trng phi dng. Mt khi quyt nh s dng b s liu lch s th ta phi xc nh giai on c th ly s liu. Vic s dng giai on c di s cho kt qu c tin cy cao v s quan st s nhiu t h thp sai s chun ca c lng. Tuy nhin, giai on di c th bao gm nhng thng tin qu kh khng cn ph hp vi hin ti v tng lai. Ngc li, vic s dng giai on c lng ngn s c tin cy khng cao nhng phn nh oc nhng thng tin st vi tnh hnh hin ti nht. Ti Vit Nam, th trng chng khon mi i vo hot ng oc 10 nm v nhiu c phiu mi ch c nim yt gn y nn giai on c lng

i vi hu ht c phiu cn c di ti a bao trm tt c cc quan st c th c oc. H s beta H s beta o lng tng quan gia s bin thin sut sinh li ca c phiu cng ty vi sut sinh li ca danh mc th trng. nht qun, ch s VNIndex c s dng i din cho danh mc th trng. Da vo s liu lch s, beta c c lng di phng trnh hi quy: R ABC,t = ABC + ABC (R m,t ) + t Vi: RABC,t l sut sinh li ca c phiu ABC trng k (ngy, tun, thng, nm) t ABC l tung gc ca hm hi quy ABC l h s beta ca ABC Rm,t l sut sinh li ca ch s VN-Index trong k t t l phn d (sai s) ca hm hi quy K tnh sut sinh li cn phi c la chn. Vic s dng sut sinh li hng ngy s lm tng s quan st, nhng c th to thin lch do c nhiu ngy khng c giao dch. Vic s dng sut sinh li hng tun hay hng thng s loi b oc s thin lch ny mt cch ng k. Kt qu hi quy s cho ta cc gi tr c lng v cng vi sai s chun ca cc c lng ny. Sai s chun cho bit cc gi tr c lng c b nhiu nhiu hay khng. Cn c vo gi tr c lng v sai s chun ca h s , ta c th c lng khong tin cy ca h s ny cng nh kim nh cc gi thit h s bng mt gi tr nht nh. Trc khi c lng hm hi quy, ta phi la chn k tnh t sut sinh li. Vic s dng sut sinh li hng ngy s lm tng s quan st nhng c th to thin lch do c nhiu ngy khng c giao dch. Vic s dng sut sinh li hng tun hay hng thng s loi b c s thin lch ny mt cch ng k. Vic s dng sut sinh li hng nm s cho t quan st. Tng t nh khi c lng phn b ri ro, vic s dng giai on c lng di s cho nhiu s quan st do s h thp sai s chun nhng c th c nhng thng tin khng cn ph hp vi hin ti v tng lai. Quy c ph bin trong thc thc t khi c lng h s beta l s dng s liu hng thng trong vng 5 nm tr li y. NG DNG M HNH CAPM TRONG XC NH CHI PH VN CH S HU CA CNG TY C PHN FPT V VINAMILK Da vo b s liu thng k ch s VN-Index v gi c phiu FPT, VNM vo thi im cui thng, c tc v c phiu thng ca FPT, VNM trong thng, ta tin hnh xc nh t sut sinh li hng thng ca hai c phiu ny cng nh sut sinh li ca ch s VN-Index. Tip theo, tin hnh hi quy sut sinh li hng thng ca FPT vi VN- Index v VNM vi Vn-Index. Kt qu hi quy sut sinh li hng thng ca FPT v VN- Index c tm tt di y: RFPT = -0,135% + 1,236 RVN-Index

H s beta c lng ca c phiu FPT l 1,236 vi sai s chun 0,144.; R2adj = 0,66. Khong tin cy 95% ca h s beta l (0,944; 1,529) Kt qu tnh ton: Sut sinh li phi ri ro = Li sut TPCP k hn 1 nm vo thng 2/2010 = 11,26 %/nm Sut sinh li VN- Index lch s = Tc tng trung bnh cng, 2001 2009 = 23,69%/nm Sut sinh li phi ri ro lch s = Li sut trung bnh cng TPCP k hn 2 nm, 2001 2009 = 7,25%/nm Mc b ri ro th trng = 23,69% - 7,25% = 16,44% H s beta ca FPT = BFPT = 1,236 Chi ph vn c phn = kFPT = 11,26% + 1,236*16,44% = 31,58% th 1: Tng quan gia sut sinh li ca c phiu FPT v VN-Index

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Kt qu hi quy sut sinh li hng thng ca VNM v VN- Index c tm tt di y: RVNM = 2,08% + 0,79 RVN-Index H s beta c lng ca c phiu FPT l 0,79 vi sai s chun 0,08.; R2adj = 0,62. Khong tin cy 95% ca h s beta l (0,61; 0,97) Kt qu tnh ton: Li sut phi ri ro: 11,26% Mc b ri ro th trng: 16,44% H s beta ca Vinamilk: 0,79 Chi ph vn ch s hu ca Vinamilk: 11,26% + 0,79 * 16,44% = 24,29% th 2: Tng quan gia sut sinh li ca c phiu VNM v VN-Index

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Sut sinh li VN-Index

KT LUN Vic p dng m hnh CAPM i hi phi c lng oc h s beta ca c phiu t s liu lch s chui thi gian v gi c phiu cng ty v ch s c phiu th trng. Vic tnh beta cho cc cng ty Vit Nam c th b thiu chnh xc do cc yu t sau: - Ch s VN- Index thiu tnh i din cho danh mc th trng - Khng c s liu v gi c phiu ca mt cng ty nu cng ty khng nim yt trn sn giao dch chnh thc hay gi giao dch trn th trng OTC khng c cng b. - Mt s cng ty nim yt nhng thi gian nim yt khng ln th b s liu chui thi gian cng khng c lng h s beta. - Giao dch c phiu din ra khng lin tc v bin ng gi b gii hn bi quy nh v bin cng lm nh hng n tin cy ca b s liu Mc d vic xc nh h s beta ca cc cng ty c phn c th cha tht s chnh xc v nhng nguyn nhn nu trn nhng vic nghin cu v ng dng m hnh CAPM trong vic xc nh chi ph vn c phn cho cc cng ty trn th trng chng khon vn c ngha nht nh. Vic xc nh chi ph vn c phn theo m hnh ny s cung cp thm cho cc nh u t v cc nh qun tr trong cng ty mt phng php xc nh chi ph vn ca cng ty da vo d liu ca th trng.

Ti liu tham kho

1. Nguyn Xun Thnh (2009), Nghin cu tnh hung chi ph vn c phn 2. 3. 4.

5.

cng ty FPT, http://www.fetp.edu.vn/. Phan Th Cc (2010) , Ti chnh doanh nghip, NXB Ti chnh http://www.saga.vn/Taichinh/Quihoach/Mohinhhoa_Dubao/1023.saga http://thuchanhchungkhoan.com/?act=detailnews&ma=488&MaDM=38 http://www.stockbiz.vn/Terms/CAPM.aspx