Bi ging Qun tr ti chnh

Ths.ng Th Qunh Anh -

HNH.TPHCM 1
1
MO HNH NH GIA TAI SAN VON
NOI DUNG
Gia nh cua mo hnh CAPM
Ni dung ca mo hnh CAPM
Y ngha cua mo hnh CAPM

2
u nhc iem cua mo hnh CAPM
Gia thuyet ve hanh vi cua nha au t:
o Cac nha au t tren th trng ra quyet nh au t da vao 2
tham so: li nhuan ky vong va phng sai cua li nhuan
o Nha au t la nhng ngi ngai rui ro v vay can phai co phan
li nhuan bu ap rui ro ma ho phai ganh chu
3
o Cac nha au t se giam thieu rui ro bang cach ket hp nhieu
chng khoan khac nhau trong danh muc au t cua mnh
o Viec ra quyet nh au t c thc hien trong mot khoang thi
gian nhat nh
Gia thuyet ve th trng von
o Th trng von la th trng canh tranh hoan hao
o Tren th trng ton tai mot loai tai san khong rui ro, cac
nha au t co the cho vay hoac i vay tai lai suat phi rui ro
mot cach khong han che.
4
mot cach khong han che.
o Tat ca nha au t tren th trng eu co chung ky vong ve:
thu nhap ky vong, phng sai va he so tch sai.
o Khong ton tai chi ph giao dch va thue tren th trng.
2. Noi dung cua mo hnh CAPM
Quan he gia li nhuan cua tng chng khoan ca biet va
li nhuan th trng
Y ngha cua he so beta
Q h i li h i t h kh
5
Quan he gia li nhuan va rui ro cua mot chng khoan
Quan he gia li nhuan va rui ro cua mot danh muc au t
Danh muc au t th trng
Danh muc au t th trng (market portfolio) la mot danh
muc au t bao gom tat ca nhng tai san rui ro tren th
trng.
Ty le moi tai san trong danh muc au t th trng bang
6
Ty le moi tai san trong danh muc au t th trng bang
gia tr th trng cua tai san o tren tong gia tr cua toan bo
th trng.
V du: Ch so S&P 500, Dow Jones, Cac -40, Nikkei 225
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh -
HNH.TPHCM 2
Quan he gia li nhuan cua tng chng khoan ca
biet va li nhuan th trng
20
SCL
Li nhun c phiu
7
15
Li nhun th trng
-5
-10
=1,5
Y ngha cua he so beta
o lng mc o bien ong ty suat li nhuan cua mot co
phieu rieng le so vi mc o bien ong cua danh muc co
phieu th trng.
Hay beta o lng rui ro th trng cua tng chng khoan
8
Hay beta o lng rui ro th trng cua tng chng khoan
rieng le gop vao rui ro chung cua danh muc th trng
2
) , (
m
i
m i Cov
o
| =
Cov(i,m): hiep phng sai gia ty suat sinh li co phieu i vi ty
suat sinh li th trng
o
2
m
phng sai cua ty suat sinh li th trng
Quan he gia li nhuan va rui ro cua mot chng
khoan
Phng trnh bieu dien moi quan he gia rui ro va ty suat sinh
li cua chng khoan
( ) | |
j f m f j
R R E R R E | + = ) (
9
R
f
: ty suat li nhuan phi rui ro
E(R
m
) : ty suat li nhuan ky vong cua th trng
E(R
j
) : ty suat li nhuan ky vong cua co phieu j

j
: rui ro cua chng khoan j
E (R)
SML
ng th trng chng khoan (SML)
11
Beta
R
f
Gia tang li nhuan
do rui ro
Li nhuan khong
rui ro
0
1
R
m
ng th trng chng khoan (SML)
SML la ng thang bieu dien moi quan he ong bien gia
li nhuan ky vong cua 1 chng khoan vi rui ro cua chng
khoan o.
He so goc cua ng SML: E(R ) R
12
He so goc cua ng SML: E(R
m
) R
f
3 19 97 0 0 908 31/08/07 2007 8
-9.62 94 -11.4 908 31/07/07 2007 7
-23.53 104 -5.3 1025 29/06/07 2007 6
23.64 136 17.1 1081 31/05/07 2007 5
-20.86 110 -13.8 924 25/04/07 2007 4
-10.32 139 -5.8 1071 30/03/07 2007 3
13.14 155 9.3 1138 28/02/07 2007 2
137 1041 31/01/07 2007 1
R(AGF) AGF R(vn-index) VN-Index Ngy Nm Thng
13
0.65 Li sut phi ri ro
0.68 T sut sinh li yu cu
1.23 Beta
151.5 Hip phng sai
16.6 11.1 lch chun
275.2 123.5 Phng sai
-2.3 0.7 T sut li nhun bnh qun
6.19 103 15.3 1047 31/08/07 2007 9
3.19 97 0.0 908 31/08/07 2007 8
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh -
HNH.TPHCM 3
Quan he gia li nhuan va rui ro cua mot danh
muc au t
Rui ro cua mot danh muc au t c a dang hoa:

=
i i p
w| |
14
Ty suat li nhuan cua mot danh muc au t c a dang hoa:
| |
p f m f p
R R E R R E | + = ) ( ) (
Y ngha mo hnh CAPM
c lng t suat li nhuan ky vong cua mot chng khoan e bu ap rui
ro ma mot nha au t phai ganh chu.
Xac nh t suat li nhuan yeu cau hp ly phuc vu cho viec nh gia
chng khoan
CAPMgiup a ra mc li suat yeu cau phai at c cho d an au t
16
CAPM giup a ra mc li suat yeu cau phai at c cho d an au t
tren c s nhng thong so cua he so beta c cac nha au t chap nhan
Nhan xet ve gia chng khoan
Alpha = Li suat ky vong (d tnh) Li suat theo yeu cau
Alpha > 0: CP nh di gia (undervalued) => nen au t
Alpha < 0: CP nh tren gia (overvalued) => khong nen au t
Alpha = 0: CP nh ngang gia
u, nhc iem mo hnh CAPM
u iem: n gian va de ng dung trong thc te
Nhc iem:
Khng xc nh c danh mc u t ti u
S d li kh l b l kh
18
S dng s liu qu kh c lng beta l khng
chnh xc
Nh u t khng hon ton b qua ri ro khng h
thng nh m hnh xut
Sut sinh li k vng ca ti sn ti chnh c th ph
thuc vo nhiu yu t khc ch khng ch beta
2.1 Ly thuyet th trng von
Xet 1 DMT gom 1 TS rui ro va 1 TS phi rui ro:
o Li suat ky vong cua DMT:
) ( ) 1 ( ) (
M M f M
R E w R w R E + =
21
Trong o,
w
M
: t trong au t vao TS rui ro
E(R
M
): li suat ky vong cua DMT rui ro
R
F
: ty suat li nhuan phi rui ro
) ( ) 1 ( ) (
M M f M port
R E w R w R E +
2.1 Ly thuyet th trng von
o Phng sai cua DMT:
2 , 1 2 2 1 2 1
2
2
2
2
1
2
1
2
port
w w 2 w w o o + o + o = o
) 1 ( 2 ) 1 (
2 2 2 2 2
+ +
22
RF,i
= 0, o
RF,i
=0
o o lech chuan:
M RF M M RF M M M RF M port
w w w w
,
) 1 ( 2 ) 1 (
2 2 2
o o o o o + + =
2 2 2
M M port
w o o =
M M port
w o = o

2.1 Ly thuyet th trng von

o o lech chuan cua DMT gom TS rui ro va TS phi rui ro co
quan he tiep tuyen vi o lech chuan cua DMT rui ro.
o Ca li suat ky vong va o lech chuan cua DMT nay eu co
h i i DMT i
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quan he tiep tuyen vi DMT rui ro.
o ng thang noi li suat va o lech chuan cua TS rui ro va
TS phi rui ro chnh la ng th trng von (Capital market
line_CML)
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh -
HNH.TPHCM 4
2.1 Ly thuyet th trng von
LN ky vong
CML
24
o lech chuan
Efficient frontier
A
B
M
C
D
Rf
2.1 Ly thuyet th trng von
o Phng trnh ng CML:
] ) ( [ ) (
f M
M
port
f port
R R E R R E + =
o
o
25
o He so goc cua CML( ) la gia ca cua rui ro, bieu
dien % li suat can tang them khi co s tang them cua 1 n
v rui ro (phan bu cho 1 v rui ro)
M
M
f M
R R E
o
) (
Y ngha ng CML
CML bieu din quan he tuyen tnh gia t suat li nhun ky vong
va o lech chuan cua DMT hieu qua.
- Nha au t s chon DMT bao gom TS rui ro va TS phi rui ro
nam trn ng CML.
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- iem giao nhau gia ng CML va ng cong hieu qua la
DMT th trng (Market portfolio)
- DMT th trng bao gom toan bo cac TS rui ro, rui ro cua
DMT nay c phn tan hoan toan (completely diversified)
va ch con rui ro th trng (systematic risk)
- Theo gia thiet, tat ca nha au t eu muon au t vao DMT
th trng bang cach i vay hoac cho vay trn ng CML.
Biu din ng CML
LN ky vong
CML
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o lech chuan
Efficient frontier
M
Rf