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Chng trnh Ging dy Kinh t Fulbright Nin kha 2011-2013

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Chng 7

GII THIU V RI RO, LI NHUN V CHI PH S DNG VN C HI


Chng ta i qua su chng trc m khng cp trc tip n vn ri ro, nhng by gi n lc phi cp. Chng ta khng th hi lng vi cc cu pht biu khng r rng nh chi ph s dng vn c hi ph thuc vo ri ro ca d n. Chng ta cn phi bit ri ro c nh ngha nh th no, mi lin kt gia ri ro v chi ph s dng vn c hi l g, v nh qun l ti chnh x l vn ri ro trong cc tnh hung thc t nh th no. Trong chng ny, chng ti s tp trung vo vn u tin trong ba vn trn v cc chng 8, 9 s gii quyt hai vn cn li. Chng ti bt u bng cch tng kt mc li tc ca th trng chng khon trong gn 70 nm. Sau chng ti s xem xt s b ri ro u t v chng minh lm th no m a dng ha danh mc u t c th lm gim ri ro. Chng ti s gii thiu vi bn h s beta, s o ri ro chun cho tng chng khon ring bit. Cc im chnh trong chng ny l ri ro ca danh mc u t, ri ro ca chng khon v a dng ho. Hu ht trong chng ny, chng ti s ng trn quan im ca nh u t c nhn. Nhng cui chng, chng ti s xem xt li vn v tr li cu hi liu a dng ho c ngha ra sao trong mc tiu ca cng ty. 7.1 LCH S 69 NM CA TH TRNG CHNG KHON TRONG MT BI HC N GIN. Cc nh phn tch ti chnh thng c cung cp mt khi lng d liu khng l v gi v sut sinh li ca chng khon. V d, trung tm nghin cu gi chng khon ca i hc Chicago pht trin mt tp tin v gi v c tc cho tng thng t nm 1926 cho tng loi chng khon c nim yt ti S giao dch chng khon New York (New York Stock Exhange - NYSE). Cc tp tin khc s cung cp cc d liu v chng khon c giao dch ti S giao dch chng khon Hoa K (American Stock Exchange) v th trng giao dch qua quy (th trng phi tp trung, Over-the-counter), d liu cho cc tri phiu, quyn chn , vv Nhng v gi nh y l mt bi hc n gin, chng ta s tp trung vo nghin cu ca Ibbotson Associates vi cc s liu qu kh ca nm tp danh mc u t chng khon: 1. Mt tp danh mc u t cc tn phiu Kho bc, tc l cc giy n ca nh nc Hoa K c thi gian o hn di 1 nm. 2. Mt tp danh mc u t cc tri phiu di hn ca nh nc Hoa K. 3. Mt tp danh mc u t cc tri phiu di hn ca cc cng ty.1 4. Ch s tng hp Standard and Poor (S&P 500), i din cho mt tp danh mc u t cc c phiu thng ca 500 cng ty ln (mc d n ch l mt phn nh trong s 7000 cc cng ty

Hai tp danh mc u t tri phiu c xem li hng nm gi thi gian o hn khng i.


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Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

c giao dch rng ri publicly traded companies c a vo trong danh sch S&P. Cc cng ty ln ny chim khong 70% gi tr giao dch ca cc chng khon.) 5. Mt danh mc u t cc c phiu thng ca cc cng ty nh.

Hnh 7.1 u t 1 USD vo u nm 1926 pht trin nh th no, bng cch gi s ti u t tt c cc c tc v li tri phiu. (ngun: Ibbotson Associates, Inc., Stocks, Bonds, Bills and Inflation, 1995 Yearbook, Chicago 1995; t y tr v sau trong chng ch ghi tt l the 1995 Yearbook.)

Cc u t ny c ri ro khc nhau. Tri phiu Kho bc c coi l u t khng ri ro m bn c th thc hin. Khng c ri ro ph sn v thi gian o hn ngn c ngha l gi ca tri phiu kho bc s tng i n nh. Thc vy, mt nh u t mun cho vay tin, trong 3 thng chng hn, c th chc chn c li nu mua tri phiu kho bc o hn trong 3 thng. Tuy nhin, nh u t cng khng th hon ton nhn c mt li sut thc: Vn cn mt t ri ro lin quan n lm pht. Bng cch chuyn sang tri phiu nh nc di hn, nh u t s nhn c mt ti sn m gi ca n s dao ng khi lm pht thay i. (Gi tri phiu gim khi li sut tng v tng khi li sut gim.) Mt nh u t mun chuyn t tri phiu nh nc sang tri phiu cng ty s phi chp nhn thm ri ro ph sn. Mt nh u t chuyn t tri phiu cng ty sang c phiu thng phi san s trc tip cc ri ro ca cng ty.

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Hnh 7.2 u t 1 USD vo u nm 1826 s pht trin gi tr thc nh th no, bng cch gi nh rng ti u t tt c c tc v li tri phiu. So snh vi hnh 7.1, v hy ghi nhn nh hng ca lm pht ln sc mua ca li nhun ca nh u t nh th no. (Source: Ibbotson Associates, Inc., 1995 Yearbook.)

Hnh 7.1 cho thy tin ca bn s tng trng nh th no nu bn u t 1$ vo u nm 1926 v ti u t tt c c tc hay li tri phiu nhn c t danh mc u t. 2 Hnh 7.2 cng ging nh vy nhng n m t s tng trng theo gi tr tht s ca tp danh mc u t. y chng ta s tp trung vo gi tr danh ngha. Mc sinh li ca cc tp danh mc u t trng vi nhn thc v ri ro theo trc gic ca chng ta. Mt la u t vo loi u t an ton nht, tri phiu Kho bc, s tng ln 12$ vo nm 1994, ch va cho lm pht. u t vo tri phiu Kho bc di hn s to ra c 26$, v tri phiu cng ty s cao hn mt t. C phiu thng thuc mt nhm khc. Mt nh u t b 1 $ mua c phiu ca cc cng ty ln ca Hoa k s nhn c 811$. Tuy nhin, nhng ngi thu li nhiu nht l nhng nh u t vo cc cng ty nh, h nhn c 2843$ cho mi la u t. Ibbotson Associates cng tnh ton sut sinh li t cc tp danh mc u t ny cho tng nm t nm 1926 n nm 1994. Sut sinh li ny phn nh c tin thu c tc c tc hay li tri phiu v mc tng hay gim gi trong nm. Mc trung bnh ca 69 sut sinh li hng nm cho mi tp danh mc u t c biu din trong bng 7.1. T nm 1926, tri phiu Kho bc (ngn hn) cho sut sinh li trung bnh t nht 3.7% hng nm theo gi tr danh ngha v 0.6% theo gi tr thc. Ni cch khc, gi tr trung bnh ca lm pht trong thi k ny khong trn 3% mt nm. C phiu thng cng li l ngi chin thng. C phiu thng ca cc cng ty ln s cho sut sinh li c b p ri ro trung bnh khong
2

Gi tr ca tp danh mc u t c v trn thang o logarit. Nu khng, th cc gi tr cui ca hai tp danh mc u t c phiu thng s ra khi giy v.

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

8,4% nm, cao hn sut sinh li ca tri phiu Kho bc. C phiu thng ca cc cng ty nh cn c mc li cao hn na. BNG 7.1 Sut sinh li trung bnh ca tn phiu Kho bc, tri phiu nh nc di hn, tri phiu cng ty v c phiu thng, 1926 1994 (s theo % hng nm)

Sut sinh li trung bnh hng nm Tp danh mc u t Danh ngha Thc

B p ri ro trung bnh (phn chnh lch gia li tc vi li tc tri phiu Kho bc ngn hn)

Tri phiu Kho bc ngn hn 3,7 0,6 0 Tri phiu chnh ph di hn 5,2 2,1 1,4 Tri phiu cng ty 5,7 2,7 2,0 C phiu thng (S&P 500) 12,2 8,9 8,4 C phiu thng cng ty nh 17,4 13,9 13,7 (Ngun: Ibbotson Associates, Inc., 1995 Yearbook) Bn c th t hi ti sao chng ti phi nhn li mt khong thi gian di nh vy tnh ton gi tr ca sut sinh li trung bnh hng nm. L do l sut sinh li hng nm ca cc c phiu thng dao ng nhiu n mc nu ch ly trung bnh trong mt thi gian ngn th con s s tr nn v ngha. Hy vng duy nht ca chng ta khi phi nhn su vo gi tr lch s ca sut sinh li l nhn trong mt thi gian di.3

Sut sinh li Trung bnh S hc v Sut sinh li hng nm kp


Hy lu l gi tr trung bnh din t trong bng 7.1 ch l cc s trung bnh s hc. Ni cch khc, Ibbotson Associates ch cng mt cch n gin 69 sut sinh li hng nm v chia cho 69. Sut sinh li trung bnh s hc s cao hn sut sinh li hng nm kp (compound annual return) trong cng thi on. Sut sinh li hng nm kp ca ch s S&P trong 69 nm l 10,2%.4 Vic s dng ng sut sinh li kp v trung bnh s hc t cc u t trong qu kh thng b hiu lm. V vy, chng ta hy b ra mt t thi gian lm r v d sau.
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Ngay c vi s liu ca 69 nm, chng ta cng khng th chc rng thi k ny c mang tnh i din tht s hay khng v gi tr trung bnh khng b bp mo bng mt vi sut thu li cao hay thp bt thng. tin cy ca mt c tnh thng c o bng sai s chun: v d, sai s chun ca c tnh ca chng ta v b p ri ro trung bnh trn c phiu thng l 2,5%. C kh nng 95% l trung bnh tht s nm trong khong cng tr 2 sai s chun ca s c tnh 8,4%. Hay ni cch khc, nu bn ni l tr trung bnh tht s nm trong khong 3,5 n 13,4%, bn c c hi ng l 95% (ghi ch k thut: sai s chun ca tr trung bnh bng lch chun chia cho cn bc hai ca s ln quan st. Trong trng hp ca chng ta, lch chun l 20,6%, v v vy sai s chun l
4

S ny c tnh t chun, sut thu li hng nm bng trung bnh s hc tr mt na phng sai. V d, lch chun hng nm ca th trng Hoa K l khong 0,20, hay 20%. V vy phng sai bng 0,20 2, hay 0,04. Sut thu li hng nm bng 0,04 / 2 = 0,02 hay 2% t hn trung bnh s hc).

20,6 / 69 2,5 .) (1 r ) 811 , vi gi nh r = 0,102 (ghi ch k thut: i vi cc sut thu li theo phn phi log
69

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

V d: Gi s gi c phiu thng ca Big Oil l 100$. Xc sut gi vo cui nm ca c phiu ny bng 90$, 100$ v 130$ th bng nhau. V vy, sut sinh li c th l -10%, +10% hay +30%. (chng ta hy gi nh l Big Oil khng tr c tc.) Li tc k vng l 1/3(-10 + 10 + 30) = +10%. Nu chng ta thc hin qu trnh ny ngc li v chit khu ngn lu k vng bng sut sinh li k vng ta s nhn c gi tr ca c phiu Big Oil: PV = 110 / 1.10 = 100$ Sut sinh li k vng 10% l sut chit khu ng chit khu ngn lu k vng ca c phiu Big Oil. y cng chnh l chi ph s dng vn c hi cho cc u t c cng ri ro vi Big Oil. By gi, gi s chng ta quan st sut sinh li ca c phiu Big Oil trong nhiu nm. Nu khng c g thay i, sut sinh li s l 10% trong 1/3 s nm, +10% trong 1/3 s nm v 30% trong 1/3 s nm cn li. Trung bnh s hc ca cc sut sinh li hng nm ny l: 10 10 30 10% 3 V vy, gi tr trung bnh s hc ca cc sut sinh li cng phn nh chnh xc chi ph s dng vn c hi cho cc u t c ri ro bng vi c phiu ca Big Oil. Sut sinh li hng nm kp ca c phiu Big Oil l: (0,9 x 1,1 x 1,3)1/3 1 = 0,088 hay 8.8% nh hn chi ph s dng vn c hi. Nh u t s khng mun u t vo mt d n c sut sinh li 8,8% trong khi h c th nhn c mt sut sinh li k vng l 10% ti th trng chng khon. Gi tr hin ti thun ca d n nh vy s l: NPV = 100 + 108,8/1,1 = -1,1 Nhc nh: nu gi s dng vn c c tnh t cc sut sinh li hay cc mc b p ri ro trong qu kh, hy s dng trung bnh s hc, khng dng sut sinh li hng nm kp.

S dng cc S kin Qu kh nh gi Chi ph S dng Vn hm nay


Gi s c mt d n u t m bn bit xin ng hi ti sao c cng ri ro nh ch s tng hp Standard and Poor. Chng ta s ni l n c cng mc ri ro vi tp danh mc u t th trng (market portfolio), mc d iu ny c v khng cht ch, v ch s tng hp ny khng bao gm tt c cc chng khon ri ro. Bn s s dng sut sinh li no chit khu ngn lu d kin ca d n ny? R rng l bn nn dng sut sinh li k vng hin ti ca tp danh mc u t th trng; ngha l sut sinh li m nh u t phi b khi u t vo d n c ngh. Chng ta hy gi sut sinh li th trng ny l rm. Mt cch c tnh rm l gi nh rng tng lai s ging nh qu kh v nh u t hm nay cng k vng nhn c mt mc li bnh thng ging nh

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

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Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

sut sinh li c cho trong bng 7-1. Trong trng hp ny, bn s cho rm bng 12,2%, bng gi tr trung bnh ca sut sinh li th trng trong qu kh. Tht khng may, y khng phi l cch lm: rm khng th n nh theo thi gian. Hy nh rng rm l tng hp ca mc sinh li khng ri ro rf v mc b p ri ro. Chng ta bit rng rf thay i. V d khi chng ti hon thnh chng ny vo u nm 1995, sut sinh li ca tri phiu Kho bc l 6%, nhiu hn 2% so vi mc sinh li trung bnh hng nm ca tri phiu Kho bc (3,7%). iu g s xy ra nu nh bn c yu cu c tnh rm cho nm 1995? Bn c ni rng n bng 12,2% khng? Cch ny lm gim mc b p ri ro i 2,2%. Mt cch lm c ngha hn l ly sut sinh li hin ti ca tri phiu Kho bc cng vi 8,4%, mc b p ri ro trung bnh c cho trong bng 7.1. Vi sut sinh li 6% cho tri phiu Kho bc, chng ta c rm (1995) = rf(1995) + mc b p ri ro bnh thng = 0,06 + 0,084 = 0,144 hay 14,4%

Hnh 7.3 Sut thu li th trng k vng c c tnh bng cng thc DCF vi tc pht trin khng i. Khong cch gia cc c tnh ny v sut thu li tri phiu kho bc thay i, nhng n lun n nh vi mc b p ri ro trung bnh hng nm l 8,4% c cho trong bng 7.1. [Ngun: R.S. Harris v F.C. marston, Estimating Shareholder risk Premia Using Analysts Growth Forecast, Financial Management, 21:63-70 (Summer, 1972).]

Gi thit quan trng y l c mt mc b p ri ro bnh thng v n nh i vi tp danh mc u t th trng, v vy mc b p ri ro trong tng lai c th tnh bng mc b p ri ro trung bnh ca qu kh. C ngi s tranh ci vi gi thit ny, nhng t nht, n cng c tnh c rm mt cch c ngha. Ngay c vi gn 70 nm s liu, chng ta cng khng th c tnh mc b p ri ro ca th trng mt cch chnh xc; cng nh chng ta cng khng chc rng cc nh u t hm nay ang i mt mc b p ri ro ging nh trong 70 nm qua. V vy, tt nht, chng ta hy kim tra cc con s t nht theo cng mt s s. Robert Harris v Felicia Marston s dng cng thc DCF tng trng u (constant growth DCF) c tnh sut sinh li trung bnh m cc

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Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

nh phn tch chng khon k vng cho mt mu ln cc c phiu thng 5. Kt qu tm c ca h c tng kt trong hnh 7.3. Trong khong t nm 1982 n nm 1991, cc nh phn tch c v nh d bo sut sinh li th trng cao hn sut sinh li ca tri phiu Kho bc khong 81/2%. 7.2 O LNG RI RO CA DANH MC U T By gi bn c mt cp gi tr so snh. Bn bit rng sut chit khu cho cc d n an ton, v bn cng bit sut chit khu cho cc d n c ri ro trung bnh. Nhng bn cha bit lm th no c tnh sut chit khu cho cc loi ti sn m n khng trng vi cc trng hp c bit. lm c iu ny, bn phi bit (1) cch o lng ri ro v (2) mi quan h gia ri ro v mc b p ri ro yu cu. Hnh 7.4 cho thy 69 mc sinh li hng nm c tnh bi Ibbotson Associates cho ch s tng hp Standard & Poor. Cc sut sinh li hng hng nm dao ng tng i ln. Sut sinh li hng nm cao nht l 54,0% trong nm 1933 mt s phc hi mt phn t cuc sp th trng chng khon vo nm 1929 1932. Tuy nhin, 4 nm l trn 25%, t nht l vo nm 1931 sut sinh li l -43,3%.

Hnh 7.4 Th trng chng khon em li li nhun nhng cng rt bin ng (Ngun: Ibbotson Associates, Inc., 1995 Yearbook).

Mt cch khc trnh by s liu l dng biu phn phi tn sut. Hnh 7.5 trnh by s bin thin ca sut sinh li hng nm vi bin thin kh rng.
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Hy xem Harris v F.C Marston, Estimating Shareholder risk Premia Using Analysts Growth Forecast, Financial Management, 21:63-70 (Summer, 1972). Harris v Marston dng d bo li nhun 5 nm c n bn rng ri bi I/B/E/S. Hy xem phn 4-3.

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Phng sai v lch chun


Cc i lng thng k chun o s bin thin l phng sai v lch chun. Phng sai ca sut sinh li th trng l lch chun bnh phng k vng so vi sut sinh li k vng. Ni cch khc:

~ ~ Phng sai ( rm ) = gi tr k vng ca ( rm rm ) 2 ~ vi rm l sut sinh li tht s v rm l sut sinh li k vng.6 lch chun, ni mt cch n gin l cn bc hai ca phng sai:
~ lch chun ca rm =

~ phngsai( rm )

lch chun thng c k hiu l v phng sai l 2.

Hnh 7.5 th tn sut ca sut sinh li hng nm ca th trng chng khon Hoa K, 1926 1988, cho thy s dao ng ln trong sut sinh li ca c phiu thng (Ngun: Ibbotson Associates, Inc., 1995 Yearbook.)

V d: y l mt v d n gin trnh by cch tnh phng sai v lch chun. Gi s bn c ngh chi tr chi sau. Bn bt u bng cch u t 100$. Sau , ngi ta tung hai ng tin. C mi mt hnh nga ln, bn s tng s tin ban u ln 20% v c mi mt ch nga ln, bn s b mt 10% s tin ban u. R rng c bn kt qu c th xy ra v u c xc sut bng nhau:

Mt im k thut na: khi phng sai c c tnh t mt mu cc sut thu li quan st c. Chng ta cng thm v lch bnh phng v chia cho N 1, vi N l s quan st. Chng ta chia cho N 1 hn l N sa cha ci gi l mt mt bc t do. Cng thc l:

~ var iance( rm )
Vi

~ rm : sut thu li th trng ti thi im t ~ rm: trung bnh ca cc gi tr rm

1 N ~ (rm rm ) 2 N 1 t 1

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

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Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Hnh + Hnh: Hnh + Ch: Ch + Hnh: Ch + Ch:

Bn thng 40%. Bn thng 10%. Bn thng 10%. Bn thua 20%.

C xc sut 1/4 hay 0,25 bn s thng 40%; xc sut 2/4 hay 0,5 bn s thng 10% v xc sut 1/4 hay 0,25 bn s thua 20%. V vy, sut sinh li k vng ca tr chi ny l trung bnh c trng s ca cc kt qu c th xy ra: BNG 7.2 Tr chi nm ng tin: tnh ton phng sai v lch chun (1) Sut sinh li ~ ( r ), tnh theo % + 40 + 10 -20 (2) (3) lch khi Bnh phng ~ sut sinh li k lch [(r r ) 2 ] ~ - r) vng ( r + 30 900 0 0 - 30 900 Phng sai = gi tr k vng ca lch chun = (4) Xc sut (5) Xc xut x bnh phng lch 225 0 225 450 21

0,25 0,50 0,25 ~ [(r r ) 2 ] =

phngsai =

450 =

Sut sinh li k vng = (0,25 x 40) + (0,5 x 10) + (0,25 x (-20)) = + 10% Bng 7.2 cho thy phng sai ca sut sinh li (%) l 450. lch chun bng cn bc hai ca 450, hay bng 21. S ny c cng n v nh sut sinh li, v vy ta c th ni l bin thin ca tr chi l 21%. Mt cch khc nh ngha khng chc chn l ni nhiu n cc vic c th xy ra hn l s xy ra. Ri ro ca mt ti sn c th c din t hon ton bng cch nh chng ta lm cho tr chi tung ng tin, l vit ra tt c kt qu c th xy ra v xc sut ca chng. i vi cc ti sn tht th y l mt vic lm nng n v khng th thc hin. V vy chng ta s dng phng sai hay lch chun tng kt s bin thin ca cc kt qu c th c.7 Cc i lng ny l ch s t nhin ca ri ro.8 Nu kt qu ca tr chi l chc chn, th lch chun l 0. lch chun thc t lun dng v chng ta khng bit iu g s xy ra. Hoc chng ta hy ngh n tr chi th hai, ging nh tr chi u nhng mi mt hnh thng 35% v mi mt ch thua 25%. Mt ln na, ta c 4 kt qu c xc sut xy ra bng nhau.
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Hnh + Hnh:

Bn thng 70%.

S dng i lng no trong hai i lng ny l do vn tin li. V lch chun c cng n v vi sut thu li, nn dng lch chun th tin hn. Tuy nhin, khi ta ni v t l ri ro theo mt yu t no , dng phng sai s t b hiu lm hn. 8 Nh chng ti gii thch trong chng 8, lch chun v phng sai l cc thng s o chnh xc ri ro nu sut thu li tun theo phn phi chun.

Richard A. Brealey, Steward C. Myers

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

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Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Hnh + Ch: Ch + Hnh: Ch + Ch:

Bn thng 10%. Bn thng 10%. Bn thua 50%.

i vi tr chi ny, sut sinh li k vng l 10%, ging nh tr chi u. Nhng lch chun ca n gp i tr chi u tin, 42% so vi 21%. Theo i lng ny th tr chi th hai c ri ro gp i tr chi th nht.

o lng bin thin


Theo nguyn tc, bn c th c tnh bin thin ca bt k danh mc u t c phiu hay tri phiu theo th tc nh va c m t. Bn c th xc nh cc kt qu c th xy ra, gn cho mi kt qu mt xc sut, v nghin ngm cc tnh ton. Nhng cc xc sut n t u? Bn khng th tm chng trn cc bo ch; cc bo dng nh trnh cc pht biu xc nh v tng lai cho cc chng khon. Chng ta tng thy cc ta bi nh Gi tri phiu c th tng nhanh theo hng ny hoc hng kia. Cc nh mi gii chng khon cng hon ton ging nh vy. Cc nh mi gii chng khon ca bn cng c th tr li cc cu hi ca bn v cc kt qu th trng c th xy ra vi cu pht biu nh th ny:
Th trng dng nh ang tri qua giai on cng c li. Trong trung hn, chng ta c th chng kin mt s hi phc, do s hi phc ca nn kinh t cn tip tc pht trin. Th trng c th tng trng n 20% cho nm k tip, c l nhiu hn na nu lm pht ch mc trung bnh. Mt khc,

Li sm truyn n th Delphi cho bit kt qu, nhng li khng cho bit xc sut kt qu xy ra. Phn ln cc nh phn tch ti chnh bt u bng cch quan st s bin thin trong qu kh. D nhin, s khng c ri ro khi nhn v qu kh, tuy nhin ta c th gi nh mt cch hp l rng nu cc tp danh mc u t vi bin thin ln trong qu kh th cng c ngha l kh c kh nng d on c kt qu hot ng ca n trong tng lai. Cc lch chun v phng sai hng nm c quan st cho 5 tp danh mc u t trong thi k 1926 - 1994 nh sau:9 Tp danh mc u t Tn phiu Kho bc Tri phiu Chnh ph Tri phiu cng ty C phiu thng (S&P 500) C phiu thng cng ty nh
9

lch chun () 3,3 8,7 8,3 20,2 34,3

Phng sai (2) 10,7 75,5 69,7 408,0 1177,4

Ibbotson Associates, Inc., 1995 Yearbook. Khi tho lun v ri ro ca tri phiu, hy cn thn xc nh khong thi gian v bn ang ni v gi tr thc hay gi tr danh ngha. Sut thu li danh ngha ca cng tri di hn thng chc chn i vi nh u t gi chng n thi gian o hn; hay ni cch khc, n khng c ri ro nu bn b qua lm pht. Hn na chnh ph c th lun lun in tin tr n. Tuy nhin, sut thu li tht s ca tri phiu kho bc th khng chc chn v khng ai bit mi USD trong tng lai s mua c bao nhiu. Sut sinh li ca tri phiu c bo co bi Ibbotson Associates c tnh hng nm. Sut sinh li phn nh s thay i t nm ny sang nm khc trong gi tri phiu cng nh li tc thu c. Sut sinh li 1 nm ca tri phiu di hn th ri ro i vi c cc gi tr thc cng nh danh ngha.

Richard A. Brealey, Steward C. Myers

10

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Nh chng ta k vng, tri phiu Kho bc l loi chng khon t bin ng nht, v chng khon ca cc cng ty nh l loi bin ng nhiu nht. Tri phiu nh nc v cng ty l loi nm khong gia.10 Bn c th thy thch th nu so snh tr chi tung ng tin vi th trng chng khon nh l cc hnh thc u t c th hon i cho nhau. Th trng chng khon to ra sut sinh li trung bnh hng nm khong 12,2% vi lch chun l 20,2%. Tr chi cho ta cc con s tng ng l10% v 21% - sut sinh li hi thp hn v gn cng lch chun. Cc ngi bn c bc ca bn c th nhn ra mt hnh nh n gin ca th trng chng khon. D nhin, khng c l do no lm cho ta phi tin rng bin thin ca th trng s gi nguyn nh 70 nm qua. V d, r rng l by gi bin thin t hn nhiu so vi thi k i khng hong vo thp nin 1930. y l lch chun ca sut sinh li ca ch s S&P trong cc thi k k tip bt u t nm 1926: Thi k 1926 1939 1940 1949 1950 1959 1960 1969 1970 1979 1980 1994 lch chun ca th trng (m) 33,6 15,8 11,8 12,1 15,9 15,2

Cc con s ny khng ng h cho n tng ph bin v s bin ng khng n nh mt cch c bit ca gi c phiu trong thp nin 80 v u thp nin 90. Nhng nm ny c gi tr thp hn mc trung bnh v mt bin ng. Tuy nhin, c mt s thi k ngn hn m bin ng cc k cao. Trong ngy th hai en ti, 19 thng 10 nm 1987, ch s th trng gim khong 23% trong mt ngy duy nht. lch chun ca ch s trong tun l ca ngy th hai en ti tng ng khong 89%/nm. May mn l bin ng gim tr li mc bnh thng trong vng vi tun sau cuc sp .

a dng ho lm gim ri ro nh th no
Chng ta c th tnh ton kh tt cc i lng th hin s bin ng ca cc chng khon ring bit v cc tp danh mc u t chng khon. D nhin, cc mc bin ng trong khong 69 nm qua t hp dn i vi mt cng ty c th hn l i vi tp danh mc u t th trng hin nay him c cng ty no gp ri ro ging nh ri ro kinh doanh m h gp trong thi k 1926. Bng 7-3 trnh by lch chun c tnh cho 10 c phiu thng ca cc cng ty ni ting trong thi k 5 nm gn y.11 Cc lch chun ny c cao i vi bn khng? Chng cao.
10

Bn c th lu rng tri phiu cng ty ch ng trn cng tri di hn tnh theo bin ng thp. Bn khng nn qu kch ng v iu ny. Vn l kh tm c hai tp tri phiu ging nhau trn mi mt, v d, phn ln tri phiu cng ty u c iu khon mua li (tc l cng ty c quyn mua li tri phiu vi gi tr b mt ca n). Cng tri khng c iu khon ny. Li tc tr cho tri phiu cng ty cng cao hn. V th, nh u t vo tri phiu cng ty c th nhn tin li sm hn. Nh chng ta s thy chng 25, iu ny s lm gim bin ng ca tri phiu.

Richard A. Brealey, Steward C. Myers

11

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Hy nh rng lch chun ca tp danh mc u t th trng l khong 20% trong sut thi k 1926 1994 v t hn trong nhng nm sau. Trong cc chng khon ring bit ca chng ta, ch c Exxon l c lch chun nh hn 20% mt cch ng k, mc d cng c hai chng khon khc nm di ngng ny. Phn ln cc c phiu bin ng nhiu hn ng k so vi tp danh mc u t th trng; ch c mt vi c phiu bin ng t hn. iu ny lm dy ln mt cu hi: tp danh mc u t th trng c to thnh t cc chng khon ring bit, vy ti sao bin ng ca n khng phn nh c bin ng trung bnh ca tng thnh phn ca n? Cu tr li l s a dng ha lm gim bin ng. Ngay c mt s a dng ha t i cng c th lm gim ng k s bin ng. Gi s bn tnh ton v so snh cc lch chun ca mt tp danh mc u t c chn ngu nhin, tp danh mc u t c hai chng khon, tp danh mc u t c nm chng khon, v.v Bn c th thy trong hnh 7.6 rng s a dng ha c th lm gim bin ng ca sut sinh li gn mt na. Nhng bn c th nhn c phn ln li ch ny t mt s kh t chng khon. S ci thin ny chm li khi s lng c phiu c tng ln trn khong 20 hay 30 c phiu. BNG 7.3 lch chun i vi mt s c phiu thng, 1989 1924 (%/nm) C phiu AT&T Biogen Bristol-Myers Squibb Coca Cola Compaq lch chun 21,4 51,5 18,6 21,6 43,5 C phiu Exxon Ford Motor General Electric McDonalds Microsoft lch chun 12,1 28,0 19,6 21,7 53,6

S a dng ha c hiu lc v gi ca cc c phiu khc nhau khng dao ng ng thi vi nhau. Cc nh thng k cng ch ra c iu tng t nh vy khi h thy s thay i ca gi c phiu t khi c tng quan hon ton vi nhau. V d, hy quan st hnh 7.7. Bn c th thy u t vo hoc l Coca Cola hoc l Compaq th rt ri ro. Nhng nhiu khi mt s ln gi ca chng khon cng ty ny s b tr cho vic xung gi ca chng khon cng ty kia 12. V vy chng ta c c hi gim ri ro bng cch a dng ha. Hnh 7.7 cho thy rng nu bn chia ngun vn ca bn u gia hai chng khon ny th bin ng ca tp danh mc u t ca bn s gim ng k so vi bin thin trung bnh ca hai chng khon ny. 13

11

Cc c tnh ny c suy ra t sut thu li hng thng. Cc quan st trong 5 nm th khng c tnh bin ng. Chng ti chuyn thnh bin ng hng thng sang bin ng hng nm bng cc nhn cho 12 ngha l, phng sai ca sut thu li hng thng l 1/12 ca phng sai hng nm. Bn gi mt chng khon cng lu th bn s cng chu nhiu ri ro. Quy c chuyn i ny gi thit l sut thu li ca cc thng lin tip nhau c lp vi nhau v mt thng k. Thc ra, y l mt gi thit tt nh chng ta s thy trong chng 13. V phng sai t l xp x vi di thi gian m chng khon c tnh, lch chun s t l vi cn bc hai ca khong thi gian. 12 Trong sut thi k ny, tng quan gia sut thu li ca hai c phiu l 0,24.
13

Trong nm nm t 1989 n 1994, lch chun ca Coca Cola v Compaq tng ng l 21,6 v 43,5. lch chun ca tp danh mc u t vi mt na u t vo mi loi c phiu l 26,5%.

Richard A. Brealey, Steward C. Myers

12

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

o lech chuan lch chun tp danh mc u t tap danh muc au t

10

S lng chng khon khoan So lng chng

Hnh 7.6 a dng ha gim ri ro ( lch chun) nhanh lc u, sau chm hn.

Ri ro c th loi tr bng cch a dng ha c gi l ri ro ring14 (unique risk). C ngha l cc mi him ha ring bit i vi cng ty th nh hng c bit ti cng ty , v c th ti cc i th cnh tranh trc tip ca h. Nhng cng c mt s ri ro m bn khng th trnh d cho bn c c gng a dng ha nhiu ti u i na. Ri ro ny gi l ri ro th trng15 (market risk). Ri ro th trng bt ngun t cc mi him ha t ton nn kinh t v n e da n tt c cc doanh nghip. l l do m ti sao cc chng khon c khuynh hng dao ng cng hng. V cng l l do m ti sao cc nh u t thng phi chu s khng chc chn ca th trng, bt chp s lng c phiu m h ang nm gi.

14 15

Ri ro ring cn gi l ri ro khng h thng, ri ro cn li, ri ro c trng hay ri ro c th a dng ha. Ri ro th trng c th c gi l ri ro h thng hay ri ro khng th a dng ha.

Richard A. Brealey, Steward C. Myers

13

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Hnh 7.7 bin ng ca mt tp danh mc u t vi t l nm gi bng nhau gia Coca-Cola v Compaq s c bin ng trung bnh thp hn bin ng ca tng chng khon ring bit. Cc sut sinh li ny thu c trong thi k t thng 6 nm 1989 n thng 6 nm 1994.

Richard A. Brealey, Steward C. Myers

14

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

lch chun ca t danh mc u t

S lng chng khon

Hnh 7.8 a dng ha s loi tr ri ro ring. Nhng c mt s ri ro m a dng ha khng th loi b c. l ri ro th trng.

Trong hnh 7.8, chng ta chia ri ro ra thnh hai phn ri ro ring v ri ro th trng. Nu bn ch c mt c phiu n l, ri ro ring s rt quan trng; nhng mt khi bn c mt tp danh mc u t khong 20 c phiu hay hn na th s a dng ha thc hin vai tr ca n. i vi mt tp danh mc u t c a dng ha kh tt th ch c ri ro th trng l ng k. V vy, ngun khng chc chn ch yu cho mt nh u t a dng ha l th trng s tng hay gim v t nh hng n tp danh mc u t. 7.3 TNH TON RI RO TP DANH MC U T Chng ti cho bn mt khi nim trc gic v vic a dng ha lm gim ri ro, nhng hiu y nh hng ca a dng ha, bn cn phi hiu ri ro ca mt tp danh mc u t ph thuc vo ri ro ca tng chng khon ring bit nh th no. C phiu 1 C phiu 1 C phiu 2
2 x12 1

C phiu 2
x1 x2 12 x1 x2 12 1 2
2 x2 2 2

x1 x2 12 x1 x2 12 1 2

Hnh 7.9 Phng sai ca mt tp danh mc u t gm hai c phiu l tng ca bn hp. x i: t l u t vo c phiu i; 2i: phng sai ca sut thu li ca c phiu i; ij: ng phng sai gia sut thu li ca hai c phiu i v j (ijij); ij: h s tng quan gia sut thu li ca hai c phiu i v j.

Gi s rng 60% tp danh mc u t ca bn c u t vo Bristol Myers Squibb v phn cn li vo Ford Motor. Bn hy vng rng trong nm ti Bristol Myers s cho sut sinh li l

Richard A. Brealey, Steward C. Myers

15

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

15% v Ford l 21%. K vng ca sut sinh li ca tp danh mc u t ca bn l trung bnh c trng s ca k vng ca tng chng khon ring bit:16 K vng ca sut sinh li ca tp danh mc u t = (0,60 x 15) + (0,40 x 21) = 17,4% Vic tnh ton sut sinh li k vng ca tp danh mc u t th d. Phn kh khn l tnh ton ri ro ca tp danh mc u t ca bn. Trong qu kh, lch chun ca Bristol Myers vo khong 18,6% v ca Ford vo khong 28,0%. Bn tin rng cc con s ny l mt ch s thch hp o dao ng ca cc kt qu tng lai. Khuynh hng ban u ca bn l c th gi nh rng lch chun ca tp danh mc u t bng trung bnh trng s ca cc lch chun ca cc chng khon ring bit, ngha l (0,60 x 18,6) + (0,40 x 28,0) = 22,4%. iu ny ch ng nu gi ca hai c phiu ny dao ng c lp nhau hon ton. Trong nhng trng hp khc, s a dng ha s lm gim ri ro xung di con s ny. Th tc tnh ton chnh xc ri ro ca tp danh mc u t 2 c phiu c cho trong hnh 79. Bn cn in vo 4 hp. in vo hp trn bn tri, bn ly trng s phng sai ca chng khon 1 (12) vi bnh phng phn t l u t vo n (x12). Tng t nh vy, in vo hp di bn phi, bn phi nhn phng sai ca sut sinh li trn chng khon 2 (22) vi bnh phng phn t l u t vo chng khon 2 (x22). Vic in vo cc hp trn ng cho ny ph thuc vo phng sai ca c phiu 1 v 2; Vic in vo hai hp cn li ph thuc vo ng phng sai ca chng. Nh bn c th on, ng phng sai l i lng ch mc m hai c phiu dao ng theo nhau. ng phng sai c th din t bng tch ca h s tng quan 12 v hai lch chun:17 H s ng phng sai gia c phiu 1 v 2 = 12 = 1212 Hu ht cc chng khon u c khuynh hng dao ng cng vi nhau. Trong trng hp ny, h s tng quan 12 s dng v v vy h s ng phng sai 12 s dng. Nu trin vng ca hai chng khon hon ton khng lin quan vi nhau th c h s tng quan v ng phng sai s bng 0; v nu cc chng khon c khuynh hng dao ng ngc chiu nhau th h s tng quan v h s ng phng sai s l s m. V bn ly trng s cc phng sai theo bnh phng ca t l u t, v vy bn cng phi ly trng s ca cc ng phng sai theo tch s ca hai t l x1 v x2. Khi bn in vo bn hp, bn ch vic n gin cng cc s vo c phng sai ca tp danh mc u t:

16

Hy kim tra iu ny. Gi s bn u t 60 $ vo Bristol-Myers v 40$ vo Ford. Sut thu li k vng theo la ca c phiu Bristol Myers l 0,15 (60) = 9$ v ca Ford l 0,21 (40) = 8,4$. Sut thu li k vng theo la ca tp danh mc u t ca bn l 9 = 8,4 = 17,4 $. Sut thu li ca tp danh mc u t l 17,4 / 100 = 17,4%. 17 Mt cch khc tm ng phng sai nh sau: ~ ~ ng phng sai gia hai c phiu 1 v 2 = 12 = gi tr k vng ca ( r r ) x( r2 r2 ) 1 1 Lu rng ng phng sai ca mt chng khon vi chnh n th chnh l phng sai ca chng khon : ~ ~ 11= gi tr k vng ca ( r r1 ) x( r r1 ) 1 1 = gi tr k vng ca

~ ( r1 r1 ) 2 = phng sai ca chng khon 1

Richard A. Brealey, Steward C. Myers

16

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Phng sai ca tp danh mc u t = x1212 + x2222 + 2(x1x21212) D nhin, lch chun ca tp danh mc u t bng cn bc hai ca phng sai. By gi bn c th th thay s vo cho Bristol Myers v Ford Motor. Chng ta ni t trc l nu hai chng khon tng quan vi nhau hon ho, lch chun ca tp danh mc u t s nm khong 40% ca khong lch chun gia hai chng khon. Chng ta hy kim tra iu ny bng cch in vo cc hp vi 12 = +1. Bristol Myers Bristol Myers Ford Motor x1212 = (0,60)2 x (18,6)2 x1x21212 = 0,60 x 0,40 x 1 x 18,6 x 28,0 Ford Motor x1x21212 = 0,60 x 0,40 x 1 x 18,6 x 28,0 x2222 = (0,40)2 x (28,0)2

Phng sai ca tp danh mc u t ca bn l tng ca cc s nhp vo cc hp ny: Phng sai ca tp danh mc u t = (0,602 x 18,62) + (0,402 x 28,02) + 2 (0,60 x 0,40 x 1 x 18,6 x 28,0) = 500

lch chun l

500 = 22,4% hay 40% khong cch gia 18,6 v 28,0.

Bristol Myers v Ford khng hon ton dch chuyn nh nhau. Nu kinh nghim qu kh l ng, th h s tng quan gia 2 chng khon ny khong 0,2. Nu chng ta lm tng t vi 12 = +0,2 , chng ta s tm thy:

Phng sai ca tp danh mc u t

= (0,602 x 18,62) + (0,402 x 28,02) + 2 (0,60 x 0,40 x 0,2 x 18,6 x 28,0) = 300

lch chun l 300 = 17,3%. Ri ro by gi t hn 40% khong cch gia 18,6 v 28,0 thc t, n nh hn l u t ring vo Bristol-Myers. Li ch ln nht ca vic a dng ha s xy ra khi hai chng khon tng quan nghch bin. Nhng tht khng may l iu ny hu nh khng bao gi xy ra vi cc chng khon thc t, nhng hy xem y l v d, chng ta hy gi s iu ny cho Bristol Myers v Ford. V vi gi nh khng thc t, chng ta hy thc hin ht bi tp ny v gi s tng quan nghch bin hon ho (12 = -1). Trong trng hp ny: Phng sai ca tp danh mc u t = (0,602 x 18,62) + (0,402 x 28,02) + 2 (0,60 x 0,40 x (-1) x 18,6 x 28,0) =0

Richard A. Brealey, Steward C. Myers

17

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Khi c s tng quan nghch bin hon ho, ta lun c mt chin lc (i din bng mt tp hp cc trng s trong tp danh mc u t) m n s gip trit tiu ri ro hon ton. 18 Tht t l khng bao gi c tng quan m hon ho xy ra gia cc c phiu thng.

Cng thc tng qut tnh ri ro ca tp danh mc u t


Phng php tnh ri ro ca tp danh mc u t c th d dng pht trin cho tp danh mc u t c ba chng khon hay nhiu hn. Chng ta ch vic in vo nhiu hp hn. Mi hp theo ng cho xung cc hp in m trong hnh 7-10 cha cc phng sai c ly trng s vi bnh phng ca t l u t. Mi hp khc s cha h s ng phng sai gia cp chng khon nhn vi tch ca trng s u t.19 Bn c nhn thy trong hnh 7.10 tm quan trng ca cc h s ng phng sai khi chng ta thm nhiu chng khon vo tp danh mc u t nh th no khng? Khi ch c hai chng khon, s hp phng sai bng vi s hp cha ng phng sai. Khi c nhiu chng khon hn, s lng hp cha ng phng sai ln hn s phng sai nhiu. V vy, dao ng ca mt tp danh mc u t a dng ha tt s phn nh ch yu cc ng phng sai.

Gii hn ca a dng ha
Gi s chng ta xem xt mt tp danh mc u t trong ta u t u vo mi chng khon trong n chng khon. Phn t l u t trong mi chng khon by gi l 1/N. V vy mi hp cha phng sai ta c (1/N)2 nhn vi phng sai, v trong mi hp ng phng sai chng ta c (1/N)2 nhn vi ng phng sai. C N hp phng sai v N2 N hp ng phng sai.V vy, Phng sai ca tp danh mc u t = N(1/N)2 x phng sai trung bnh + (N2 N) (1/N)2 x ng phng sai trung bnh = 1/N phng sai trung bnh + ( 1 1/N) ng phng sai trung bnh Lu rng khi N tng, phng sai ca tp danh mc u t dn tin n trung bnh ca ng phng sai. Nu trung bnh ca ng phng sai bng 0, chng ta c th loi tr tt c ri ro bng cch nm gi mt s lng ln cc c phiu. Tht khng may, cc c phiu thng li dao ng cng vi nhau, ch khng c lp. V vy hu ht cc c phiu m nh u t c th mua c u lin quan vi nhau trong mt mng li cc ng phng sai dng v n lm gim li ch ca vic a dng ha. By gi chng ta c th hiu ngha chnh xc ca ri ro th trng c nu ra trong hnh 7-8. chnh l ng phng sai trung bnh v l phn ct li ca ri ro cn li sau khi a dng ha thc hin xong nhim v ca n.

18

V lch chun ca Ford cao gp 1,5 ln ca Bristol-Myers, bn cn phi u t vo Bristol-Myers nhiu hn 1,5 ln loi tr ri ro ca tp danh mc u t hai c phiu ny. 19 Cng thc tng ng khi cng ht tt c cc hp l: Phng sai ca tp danh mc u t =

x x
i j i 1 j 1

ij

Lu rng khi i = j, ij chnh l phng sai ca c phiu i.

Richard A. Brealey, Steward C. Myers

18

Bin dch: Tr Nhn Hiu nh: T nh Khi, Cao Ho Thi

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh Bi c

Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

C phiu Co phieu
1 1 2 3 2 3 4 5 n

C phiu Co phieu

4 5

Hnh 7.10 tnh phng sai ca tp danh mc u t c N chng khon, chng ta phi cng cc d liu trong ma trn nh th ny. Cc hp ng cho cha phng sai xi2i2 v cc hp nm ngoi ng cho cha ng phng sai x1x21212.

7.4 CHNG KHON RING BIT NH HNG N RI RO CA DANH MC U T NH TH NO Chng ti trnh by t phn trc mt vi s liu v s bin ng ca 10 chng khon ring bit. Biogen c lch chun cao nht v Exxon thp nht. Nu bn ch nm c phn ca Biogen th bin ng ca sut sinh li ca bn s cao hn 4 ln so vi nu bn ch nm gi c phn ca Exxon. Nhng y khng phi l iu th v. Nhng nh u t khn ngoan khng t tt c trng ca h vo mt r: h s gim ri ro bng cch a dng ha. V vy, h quan tm n hiu ng ca tng chng khon ln ri ro ca tp danh mc u t ca h. iu ny mang chng ta n mt trong cc ch chnh ca chng ny: ri ro ca mt tp danh mc u t c a dng ha cao ph thuc vo ri ro th trng ca cc c phiu trong tp danh mc u t. Hy xm pht biu ny vo trn bn nu bn khng th nh n bng cch khc. l kin quan trng nht ca cun sch ny.

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Ri ro th trng c o bng h s Beta Nu bn mun bit s ng gp ca mt chng khon ring bit vo ri ro ca mt tp danh mc u t c a dng ha tt, s chng c ch g nu bn ch ngh n ri ro ca chng khon nu c nm gi mt mnh bn cn phi o ri ro th trng ca n, v iu ny s ch ra cch o nhy ca n vi dao ng ca th trng. H s nhy ny gi l beta (). BNG 7.4 H s beta ca mt s c phiu thng c chn lc, 1989 1994 C phiu AT&T Biogen Bristol-Myers Squibb Coca Cola Compaq H s beta 0,92 2,20 0,97 1,12 1,18 C phiu Exxon Ford Motor General Electric McDonalds Microsoft H s beta 0,51 1,12 1,22 1,07 1,23

Chng khon vi beta ln hn 1,0 c xu hng tng dao ng chung ca th trng. Chng khon vi beta gia 0 v 1,0 c xu hng dao ng cng chiu vi th trng nhng khng nhiu nh vy. D nhin, th trng l mt tp danh mc u t ca tt c cc chng khon, v vy chng khon trung bnh ny phi c beta bng 1,0. Bng 7.4 cho bit beta ca 10 chng khon ni ting m chng ta nu trc y. Biogen, mt cng ty v cng ngh sinh hc pht trin nhanh, c h s beta bng 2,20 trong khong 5 nm t gia 1989 n gia 1994. Nu tng lai cng ging nh qu kh, iu ny c ngha l tnh theo trung bnh, khi th trng tng thm 1%, gi c phiu ca Biogen s tng thm khong 2,20%. Khi th trng gim bt i 2%, Biogen s gim i 4,40%. V vy ng thng thch hp biu din cc sut sinh li ca Biogen theo sut sinh li ca th trng c dc l 2,20. Hy xem hnh 7.11.

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Li nhua c Li nhun can cua co Biogen % phiuphieu Biogen %

22

10

Li nhuan cua Li nhun ca th th tr trng % ng %

Hnh 7.11. Sut sinh li trn chng khon Biogen thay i trung bnh 2,20% tng ng vi 1% thay i trong sut sinh li ca th trng. V vy h s beta l 2,20.

D nhin, sut sinh li ca Biogen khng hon ton tng quan vi sut sinh li ca th trng. Cng ty cng chu ri ro cng ty, v vy sut sinh li thc t s nm xung quanh ng thch hp trong hnh 7.11. i khi, Biogen i xung khi th trng i ln v ngc li. Trong tt c chng khon trong bng 7.4, Biogen c nhy vi dao ng th trng rt bt thng. Exxon l mt cc khc. ng thch hp biu din sut sinh li ca Exxon vi sut sinh li ca th trng t dc hn nhiu: dc ca n ch c 0,51.

Ti sao h s Beta ca chng khon xc nh c ri ro ca danh mc u t


Chng ta hy xem li hai im chnh v ri ro ca chng khon v ri ro ca danh mc u t: Ri ro th trng xem xt n hu ht ri ro ca mt danh mc u t c a dng ha tt. Beta ca mt chng khon ring bit o nhy ca n vi dao ng th trng.

D dng thy chng ta ang u: trong bi cnh ca danh mc u t, ri ro chng khon c o bng beta. C l chng ta c th i n kt lun ny, nhng tt hn ht l chng ta nn gii thch chng. Thc t, chng ti c hai cch gii thch Cch gii thch 1: Ct li u? Hy nhn li hnh 7.8, n cho thy lch chun ca sut sinh li ca danh mc u t ph thuc vo s lng chng khon trong danh mc u t nh th no. Vi nhiu chng khon hn, v v vy danh mc u t c a dng ha tt hn, ri ro

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

ca danh mc u t s gim xung cho ti khi cc ri ro ring b loi tr v ch cn li phn ct li ca ri ro th trng. Ct li u? n ph thuc vo beta trung bnh ca cc chng khon c la chn. Gi s chng ta lp ra mt danh mc u t bao gm mt s lng ln cc chng khon v d nh 500 c chn ra mt cch ngu nhin t ton b th trng. Chng ta s nhn c g? chnh l th trng hay l mt danh mc u t rt gn vi th trng. H s beta ca danh mc u t ny s bng 1,0 v h s tng quan vi th trng cng s bng 1,0. Nu lch chun ca th trng l 20% (c tnh mt cch gn ng cho trung bnh ca n t nm 1926 1994), vy lch chun ca tp danh mc u t ny cng s bng 20%. Nhng gi s rng chng ta to ra mt danh mc u t t mt nhm ln cc c phiu vi beta bng 1,5. Mt ln na chng ta cng kt thc bng mt danh mc u t 500 c phiu vi ri ro ring hu nh khng c mt danh mc u t dao ng gn ging nh dao ng ca th trng. Tuy nhin, lch chun ca danh mc u t ny s l 30%, gp ri lch chun ca th trng.20 Mt danh mc u t c a dng ha tt vi h s beta bng 1,5 s lm tng mi dao ng ca th trng ln 50% v kt thc bng 150% ri ro th trng. D nhin, chng ta c th lp li cng th nghim vi cc chng khon c h s beta bng 0,5 v kt thc vi danh mc u t c a dng ha c ri ro bng mt na ca th trng. hnh 7-12a, b, v c s biu din ba trng hp ny. im tng qut l: ri ro ca mt danh mc u t c a dng ha cao s t l vi h s beta ca danh mc u t, h s beta ny bng trung bnh ca cc beta ca tng chng khon trong danh mc u t. iu ny cho bn bit ri ro ca danh mc u t b nh hng bi cc h s beta chng khon nh th no. Cch gii thch 2: H s beta v ng phng sai. Mt nh thng k s nh ngha beta ca chng khon i nh sau:

im 2 m

Vi im l ng phng sai gia sut sinh li ca chng khon i v sut sinh li ca th trng v m2 l phng sai ca sut sinh li th trng. R rng l t s ca ng phng sai vi phng sai s o c mc ng gp ca mt chng khon vo ri ro ca danh mc u t. Bn c th thy iu ny bng cch nhn li cch tnh ton ca chng ta cho ri ro ca danh mc u t gm Bristol Myers Squibb v Ford Motor. Hy nh rng ri ro ca danh mc u t ny l tng ca cc hp sau:

Mt tp danh mc u t gm 500 chng khon vi = 1,5 cng s c mt s ri ro ring v n c th tp trung vo cc ngnh cng nghip c h s beta cao. lch chun tht s ca n c th cao hn 30%. Nu iu ny lm bn lo lng, hy bnh tnh; chng ti s ch cho bn trong chng 8 lm th no bn c th to ra mt tp danh mc u t a dng ha hon ton vi beta 1,5 bng cch vay v u t vo tp danh mc u t th trng.
20

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Bristol Myers Bristol Myers Ford Motor (0,60)2 x (18,6)2 0,60 x 0,40 x 1 x 18,6 x 28,0

Ford Motor 0,60 x 0,40 x 1 x 18,6 x 28,0 (0,40)2 x (28,0)2

Nu chng ta cng mi dng ca cc hp, chng ta s thy ri ro ca tp danh mc u t n t Bristol Myers v n t Ford nh th no Chng khon Bristol Myers Ford Tp danh mc u t Mc ng gp vo ri ro 0,6 x {[0,6x 18,6 ] + (0,40 x 0,2 x 18,6 x 28,0)} = 0,6 x 249 0,4 x {(0,40 x 0,2 x 18,6 x 28,0) + [0,4x 28,02]} = 0,4 x 376 300
2

Mc ng gp ca Bristol Myers vo ri ro th trng ph thuc vo quan trng tng i ca n trong danh mc u t (0,60) v ng phng sai trung bnh ca n vi cc chng khon trong danh mc u t (249). (Lu rng ng phng sai trung bnh ca Bristol Myers vi danh mc u t bao gm c ng phng sai vi chnh n, tc l phng sai.) Vy t l ca ri ro n t c phiu Bristol Myers l: ng phng sai trung bnh Gi tr th trng tng i x ____________________________ Phng sai ca danh mc u t
= 0,60 x ____ = 0,60 x 0,83 = 0,5 249

300

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

lch chun o lech chuan

Rui Ri tap danh mu c uu t (p) = 20% ro ro tp danh mc a t Rui ro th trng g (m) = 20% Ri ro th tr n

500

Solng chng khon S lng chng khoan

(a)
lch chun o lech chuan

Rui Ri tap danh mu cuu t (p) = 30% ro ro tp danh mc a t Rui ro th trng g (m) = 20% Ri ro th tr n

500

So lng chng khon S lng chng khoan

(b)
o lech chuan lch chun

Ri ro th tr n Rui ro th trng g (m) = 20%

Rui Ritap danh mu c uu t (p) = 10% ro ro tp danh mc a t

500

So lng chng khon S lng chng khoan

(c)

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Hnh 7.12 (a) Mt tp danh mc u t gm 500 chng khon c chn ngu nhin c th cho = 1 v lch chun bng vi lch chun th trng trong trng ny l 20%. (b) Mt tp danh mc u t gm 500 chng khon c xy dng t cc chng khon c trung bnh = 1,5 c lch chun bng 30% - hay 150% ca lch chun th trng (c) Mt tp danh mc u t gm 500 chng khon c xy dng t cc chng khon c trung bnh = 0,5 c lch chun bng 10% - hay mt na ca lch chun th trng

Tng t nh vy, mc ng gp ca Ford vo ri ro th trng ph thuc v quan trng tng i ca n trong tp danh mc u t (0,40) v ng phng sai trung bnh ca n vi cc c phiu trong tp danh mc u t (376). T l ca ri ro n t c phiu Ford cng bng 0,5:
0,40 x 376 0,40 x1,25 0,50 300

Trong mi trng hp, t l ny ph thuc vo hai s t trng ca mi c phiu trong danh mc u t (0,60 v 0,40) v mt i lng o nh hng ca c phiu ln ri ro chung ca danh mc u t (0,83 v 1,25). Cc gi tr sau l h s beta ca Bristol Myers v Ford tng i vi danh mc u t. Tnh trung bnh, c 1% tng vi gi tr ca tp danh mc u t s gn lin vi vic tng 0,83% ca gi tr ca Bristol Myers v 1,25% tng gi tr ca Ford. tnh h s beta tng i ca Bristol Myers i vi tp danh mc u t, chng ta ch cn n gin ly ng phng sai ca Bristol Myers vi tp danh mc u t v chia cho phng sai ca tp danh mc u t. Hon ton tng t nh vy, nu chng ta mun tnh h s beta tng i gia Bristol Myers v tp danh mc u t th trng. Chng ta ch cn tnh ton ng phng sai ca n vi th trng v chia cho phng sai ca th trng: H s beta tng i vi danh mc u t th trng = (hay n gin hn l beta) ng phng sai vi th trng = Phng sai ca th trng 2m im

7.5 A DNG HA V VIC CNG DN GI TR Chng ta nhn thy rng a dng ha s lm gim ri ro, v v vy tr nn c ngha i vi nh u t. Nhng n c ngha i vi cng ty khng? C phi mt cng ty a dng ha tt s hp dn vi nh u t hn mt cng ty khng a dng ha khng? Nu qu tht l nh vy, chng ta s c mt kt qu cc k phin toi. Nu a dng ha l mt mc tiu thch hp ca cng ty, mi d n s phi c phn tch nh mt khon u t b sung c tim nng i vi tp danh mc u t v ti sn hin c ca cng ty. Gi tr ca c tp danh mc c a dng ha ny phi ln hn tng ca tng b phn ca n. V vy, chng ta khng th cng dn cc gi tr hin ti na. Khng nghi ng g na, a dng ha l mt iu tt, nhng iu khng c ngha l cng ty phi thc hin n. Nu nh u t khng c kh nng nm mt s lng ln cc c phiu th h c th mong mun cng ty a dng ha gim h. Nhng nh u t c th a dng ha.21 Bng nhiu cch khc nhau, h c th thc hin iu ny d dng hn cng ty nhiu. Cc nh u t c th u t vo mt doanh nghip sn xut thp tun ny v rt vn ra vo tun sau.
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Mt trong nhng cch n gin nht mt nh u t c nhn c th a dng ha l mua chng khon ca cc qu h tng m n chuyn nm gi cc tp danh mc u t a dng ha.

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Nguyn l ti chnh cng ty 6th ed. Ch. 7: Gii thiu v ri ro, li nhun, v chi ph s dng vn c hi

Cn cng ty th khng th lm chuyn ny. Chc chn l cc nh u t c nhn s phi tr mt khon ph mi gii cho vic mua v bn c phiu ca cng ty thp, nhng hy ngh v thi gian v chi ph m mt cng ty cn phi b ra mua mt cng ty thp hay xy dng mi mt doanh nghip sn xut thp. Bn c th quan st thy chng ta ang i n u. Nu nh u t c th a dng ha cc ti sn ca ring h, h s khng tr thm bt k chi ph no cho cng ty lm chuyn ny. V nu h c mt s la chn tng i rng ri v cc chng khon, h s khng th tr km hn ng no v h khng th t u t ring r vo tng nh my. V vy vi nhng t nc nh Hoa K, ni c cc th trng ti chnh ln v cnh tranh, a dng ha khng lm tng thm hay gim i gi tr ca cng ty. Gi tr tng cng s bng tng ca tng phn. iu kt lun ny rt quan trng cho mn ti chnh doanh nghip, v n gii thch c vic cng dn cc gi tr hin ti. Khi nim cng dn gi tr quan trng n mc m chng ti phi c mt nh ngha ring cho n. Nu th trng ti chnh thit lp mt gi tr PV(A) cho ti sn A v PV(B) cho ti sn B, gi tr th trng ca cng ty ch c hai loi ti sn ny l: PV(AB) = PV(A) + PV(B) Mt cng ty gm ba loi ti sn A, B v C s tr gi PV(ABC) = PV(A) + PV(B) + PV(C), v tng t cho mt s lng bt k cc ti sn. Chng ta c th tin tng vo cc lp lun trc gic v vic cng dn gi tr nh vy. Nhng khi nim ny l mt ci g rt chung chung v c th c chng minh mt cch cht ch hn bng nhiu cch khc nhau.22 Khi nim cng dn gi tr dng nh c chp nhn mt cch rng ri, v hng ngn gim c cng hng ngn cc gi tr hin ti hng ngy m khng cn suy ngh nhiu v n. 7.6 KT LUN Vic xem li lch s ca th trng ti chnh chng t rng i vi nh u t, sut sinh li s thay i ty thuc vo cc ri ro m h phi chu. mt thi cc, cc chng khon rt an ton nh tri phiu kho bc cho mt sut sinh li trung bnh hng nm khong 3,7% tri qua hn na th k. Cc chng khon ri ro nht v chng ta xem xt l c phiu thng. Th trng chng khon cho sut sinh li trung bnh khon 12,2%, mt b p ri ro hn 8% so vi sut sinh li an ton. iu ny cho chng ta hai gi tr chun cho chi ph c hi ca vn. Nu chng ta nh gi mt d n an ton, chng ta s chit khu chng vi li sut khng ri ro hin ti. Nu chng ta nh gi mt d n c ri ro trung bnh, chng ta s chit khu chng vi sut sinh li k vng a c phiu trung bnh, m theo cc s liu lch s th nm trong khong 8% chnh lch so vi sut sinh li khng ri ro. Nhng chng ta vn cn nhiu loi ti sn khng ph hp vi cc trng hp n gin ny. Trc khi chng ta gii quyt chng, chng ta cn phi bit cch o c ri ro.

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Bn c th mun tham kho li ph lc chng 33, m n tho lun v s a dng ha v gia tng gi tr trong bi cnh st nhp cng ty.

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Ri ro c gii thch tt nht l trong bi cnh tp danh mc u t. Phn ln cc nh u t u khng t tt c cc trng ca h vo mt r: h s a dng ha chng. V vy, ri ro tht s ca mt chng khon khng th c nh gi bi mt chng khon. Mt phn ri ro ca sut sinh li ca chng khon s b a dng ha gim xung khi chng khon ny c ghp chung vi cc loi chng khon khc trong tp danh mc u t. Ri ro trong u t c ngha l sut sinh li trong tng lai khng th d on c. S bin ng ca cc kt qu c th c thng c o bng lch chun. lch chun ca tp danh mc u t th trng c i din bng ch s tng hp Standard & Poor vo khong 20% nm. Phn ln cc chng khon ring bit c lch chun cao hn s ny, nhng phn ln bin thin ny ca chng ch th hin ri ro ring m n c th loi tr c bng cch a dng ha. a dng ha khng th loi tr ht ri ro th trng. Cc tp danh mc u t a dng ha tt s chu mc bin ng theo mc chung ca th trng. Mc ng gp ca mt c phiu vo ri ro ca mt tp danh mc u t a dng ha tt ph thuc vo mc n nh ca chng khon khi b nh hng ca s suy gim ca th trng. nhy vi dao ng th trng ny c gi l beta (). H s beta o lng s lng m nh u t hy vng gi chng khon s thay i khi th trng b thay i 1%. H s beta trung bnh ca cc chng khon l 1,0. Mt chng khon vi h s beta ln hn 1 thng rt nhy cm vi dao ng ca th trng, mt chng khon vi h s beta nh hn 1 thng t nhy cm vi dao ng th trng. V vy, mt tp danh mc u t a dng ha c cc c phiu c h s beta bng 2, s c ri ro gp i ri ro ca tp danh mc u t a dng ha c h s ri ro bng 1. Mt chnh ca chng ny l a dng ha l iu tt cho nh u t c nhn. N khng c ngha l cng ty nn a dng ha. S a dng ha mc cng ty l iu tha i vi cc nh u t c th t a dng ha ti sn ca h. Bi v s a dng ha khng nh hng n gi tr ca cng ty, nn gi tr hin ti c th c cng dn khi ngi ta xem xt mt cch r rng cc ri ro. Nh vo khi nim cng dn gi tr, nguyn tc gi tr hin ti thun trong vic lp k hoch ngn sch vn s vn p dng c ngay c trong trng hp c ri ro.

Ti Liu c Thm
Mt bn ghi rt c gi tr v kt qu hot ng ca cc chng khon Hoa k t 1926 l: Ibbotson Associates, Inc.: Stocks, Bonds, Bills and Inflation, 195 yearbook, Ibbotson Associates; Chicago, 1995. Merton tho lun v cc vn gp phi khi o lng sut sinh li trung bnh t cc s liu qu kh: R.C. Merton: On Estimating The Expected Return On The Market: An Exploratory Investigation, Journal Of Financial Economics, 8:323-361 (December 1980). Phn ln cc bi v u t dng mt hay hai chng phn bit gia ri ro th trng v ri ro ring v nh hng ca a dng ha ln ri ro. Hy c:

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Z. Bodie, A. Kane and A.J. marcus: Investment, 2d ed., Richard D. Irwin, Inc., Homewood, Ill., 1992. W.F. Sharpe and G.J. Alexander: Investments, 4th ed., Prentice-Hall, Inc., Englewood Cliffs, N.J., 1989. Phn tch c in v mc cc c phiu dao ng cng vi nhau: B.F. King: Market And Industry Factors In Stock Price Behavior, Hournal Of Business, Security Prices: A Supplement, 39: 179-190 (January 1966). Mt s nghin cu v cch a dng ha gim lch chun bao gm: M. Satman: How Many Stocks Make A Diversifiable Portfolio? Journal Of Financial And Quantitative Analysis, 22:353-364 (September 1987) Cc chng minh chnh thc v nguyn l gia tng gi tr c th c tm thy trong: S.C. Myers: Procedures For Capital Budgeting Under Uncertainty, Industrial Management Review, 9:1-20 (Spring 1968) L.D. Schall: Asset Valuation, Firm Investment And Firm Diversification, Journal Of Business, 45:11-28 (January 1972).

Cu hi kim tra
1. (a) Sut sinh li hng nm trung bnh ca cc c phiu thng Hoa K t 1926 n 1994 l bao nhiu (mt cch gn ng)? (b) S khc bit trung bnh gia sut sinh li ny vi sut sinh li trn tri phiu kho bc ngn hn l bao nhiu? (c) Sut sinh li trung bnh ca tri phiu kho bc ngn hn tnh bng gi tr thc l bao nhiu? (d) lch chun ca sut sinh li trn ch s th trng l bao nhiu? (e) Sut sinh li ny ln hn hay nh hn sut sinh li ca phn ln cc c phiu ring bit khc? 2. Hy in vo cc t thiu: Ri ro thng c o bng phng sai ca sut sinh li hay __________, m n n gin l cn bc hai ca phng sai. Ngay khi gi c phiu thay i khng hon ton ___________, ri ro ca mt tp danh mc u t a dng ha th __________ hn ri ro trung bnh ca tng chng khon ring bit. Ri ro m c th loi b c bng a dng ha c gi l ri ro _________ . Nhng a dng ha khng th loi b ht tt c ri ro. Ri ro m n khng th loi b c l ri ro _____________. 3. Mt tr chi ngu nhin c xc sut v kt qu nh sau: mi ln chi tn 100$, v vy li nhun rng cho mi ln chi bng kt qu tr i 100$. Xc sut 0,10 0,50 0,40 Tin li 500 100 0 Li nhun rng $ 400 0 -100

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Kt qu bng tin mt k vng v sut sinh li k vng l bao nhiu? Hy tnh phng sai v lch chun ca sut sinh li ny. 4. Lawrence Interchange, mt nh qun l qu h tng, tnh ta sut sinh li t 1990 n 1994. Sut sinh li trn S&P 500 c cho so snh: 1990 + 2,0 - 3,2 1991 + 25,1 + 30,6 1992 + 10,0 + 7,7 1993 - 2,3 - 10,0 1994 - 5,0 + 1,3

Mr. Interchange S&P 500

Hy tnh sut sinh li trung bnh v lch chun ca qu h tng Mr. Interchange. ng ta hot ng tt hn hay xu hn S&P theo cc s liu ny?

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