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TRNG I HC NGN HNG TPHCM

BI TP NHM
TI CHNH DOANH NGHIP
Ging vin:
Th.S: NG TH QUNH ANH
NHM
1. Trn Qunh Hn (STT: )
2. L Nguyn Anh Khoa (STT: 34 )
3. Li Th Phng Nam (STT: 48)
4. Nguyn Th H Phng (STT: )
5. Bch Tho (STT: 71 )

d liu v gi 2 c phi

Yu c u:
1.

C phi u OGC
STT

Ngy

Gi

ca
(ngn
ng)

T su t
l i nhu n

C phi u PXS
Gi

ca
(ngn
ng)

T su t
l i nhu n

8.9

VN-INDEX
m

T su t sinh l i
th r ng

02/05/2013 10.5

473

03/05/2013 10.6

0.00952381

0.011235955

475.2

0.004651163

06/05/2013 11.3

0.066037736

9.3

0.033333333

488.3

0.02756734

07/05/2013 11.6

0.026548673

9.3

485.6

-0.005529388

08/05/2013 11.3

-0.025862069

9.3

485.1

-0.001029654

09/05/2013 12

0.061946903

9.3

486.2

0.002267574

10/05/2013 12

9.2

-0.010752688

486.1

-0.000205677

13/05/2013 12

9.3

0.010869565

488.9

0.005760132

14/05/2013 11.6

-0.033333333

9.1

-0.021505376

483.9

-0.01022704

10

15/05/2013 11.8

0.017241379

9.2

0.010989011

486

0.00433974

11

16/05/2013 12

0.016949153

9.3

0.010869565

490.3

0.008847737

12

17/05/2013 12.1

0.008333333

9.3

487.6

-0.005506833

13

20/05/2013 12.4

0.024793388

-0.032258065

492.3

0.009639048

14

21/05/2013 13

0.048387097

500.2

0.016047126

15

22/05/2013 12.9

-0.007692308

9.2

0.022222222

502.2

0.003998401

16

23/05/2013 12

-0.069767442

-0.02173913

498.2

-0.007964954

17

24/05/2013 12.2

0.016666667

9.1

0.011111111

500.2

0.004014452

18

27/05/2013 12.8

0.049180328

9.2

0.010989011

512.4

0.024390244

19

28/05/2013 12.7

-0.0078125

9.2

516.3

0.007611241

20

29/05/2013 12.8

0.007874016

9.8

0.065217391

515.1

-0.00232423

21

30/05/2013 13.4

0.046875

10.4

0.06122449

521.5

0.012424772

22

31/05/2013 13

-0.029850746

11.1

0.067307692

518.4

-0.005944391

23

03/06/2013 13

11.5

0.036036036

517

-0.002700617

24

04/06/2013 12.3

-0.053846154

11.1

-0.034782609

510.7

-0.012185687

25

05/06/2013 12.4

0.008130081

11.6

0.045045045

514.6

0.007636577

26

06/06/2013 12.6

0.016129032

11.3

-0.025862069

520.9

0.012242518

27

07/06/2013 12.8

0.015873016

11.1

-0.017699115

528

0.013630255

28

10/06/2013 12.3

-0.0390625

11

-0.009009009

524.6

-0.006439394

29

11/06/2013 12.3

10.7

-0.027272727

522

-0.004956157

30

12/06/2013 12.3

11.4

0.065420561

518.2

-0.007279693

31

13/06/2013 12.2

-0.008130081

11.4

515.1

-0.005982246

32

14/06/2013 12.2

11.5

0.00877193

509

-0.011842361

33

17/06/2013 11.5

-0.057377049

10.9

-0.052173913

498.5

-0.020628684

34

18/06/2013 11.6

0.008695652

10.9

498.9

0.000802407

35

19/06/2013 11.5

-0.00862069

10.8

-0.009174312

503.4

0.009019844

36

20/06/2013 11.4

-0.008695652

10.8

499.5

-0.007747318

37

21/06/2013 11

-0.035087719

11

0.018518519

498.8

-0.001401401

38

24/06/2013 11.1

0.009090909

10.5

-0.045454545

489.7

-0.018243785

39

25/06/2013 10.4

-0.063063063

10.1

-0.038095238

473

-0.034102512

40

26/06/2013 10.3

-0.009615385

10.1

473.5

0.001057082

41

27/06/2013 10.6

0.029126214

10.5

0.03960396

482.9

0.019852165

42

28/06/2013 10.5

-0.009433962

10.4

-0.00952381

481.1

-0.00372748

43

01/07/2013 10.7

0.019047619

10.3

-0.009615385

480

-0.002286427

44

02/07/2013 11.1

0.037383178

10.6

0.029126214

489.8

0.020416667

45

03/07/2013 10.9

-0.018018018

10.4

-0.018867925

487.4

-0.004899959

46

04/07/2013 10.9

10.2

-0.019230769

487.2

-0.000410341

47

05/07/2013 10.8

-0.009174312

10.3

0.009803922

487.6

0.000821018

48

08/07/2013 10.5

-0.027777778

10.3

482.8

-0.009844135

49

09/07/2013 10.5

10.1

-0.019417476

485.5

0.005592378

50

10/07/2013 10.4

-0.00952381

10.1

484.4

-0.002265705

51

11/07/2013 10.4

10.1

484.5

0.000206441

52

12/07/2013 10.9

0.048076923

10.3

0.01980198

494

0.019607843

53

15/07/2013 10.8

-0.009174312

10.4

0.009708738

494.1

0.000202429

54

16/07/2013 10.8

10.4

496.2

0.004250152

55

17/07/2013 10.9

0.009259259

10.4

497.5

0.002619911

56

18/07/2013 10.6

-0.027522936

10.4

496.8

-0.001407035

57

19/07/2013 10.7

0.009433962

10.3

-0.009615385

503.8

0.014090177

58

22/07/2013 10.6

-0.009345794

10

-0.029126214

506.2

0.004763795

59

23/07/2013 10.5

-0.009433962

10.1

0.01

504.3

-0.003753457

60

24/07/2013 10.2

-0.028571429

9.9

-0.01980198

494.2

-0.020027761

61

25/07/2013 9.8

-0.039215686

9.5

-0.04040404

491.8

-0.004856333

62

26/07/2013 9.7

-0.010204082

9.5

493.9

0.004270028

63

29/07/2013 9.2

-0.051546392

9.3

-0.021052632

485.7

-0.016602551

64

30/07/2013 9.3

0.010869565

9.6

0.032258065

488.5

0.005764875

65

31/07/2013 9.2

-0.010752688

9.6

491.9

0.006960082

66

01/08/2013 9.3

0.010869565

9.5

-0.010416667

492.4

0.001016467

67

02/08/2013 9.6

0.032258065

9.8

0.031578947

494.7

0.004670999

68

05/08/2013 9.4

-0.020833333

9.6

-0.020408163

493.7

-0.002021427

69

06/08/2013 9.5

0.010638298

10.2

0.0625

496.6

0.005874013

70

07/08/2013 9.6

0.010526316

10.2

500.1

0.007047926

71

08/08/2013 9.4

-0.020833333

10

-0.019607843

498.2

-0.00379924

72

09/08/2013 9.3

-0.010638298

10

500.6

0.004817342

73

12/08/2013 8.9

-0.043010753

10

499.5

-0.002197363

74

13/08/2013 8.5

-0.04494382

10

497.7

-0.003603604

75

14/08/2013 9

0.058823529

10.1

0.01

503.6

0.011854531

76

15/08/2013 9.6

0.066666667

10

-0.00990099

508.2

0.009134234

77

16/08/2013 9.6

10

507.8

-0.000787092

78

19/08/2013 9.7

0.010416667

10

511

0.006301694

79

20/08/2013 9.6

-0.010309278

10

504.8

-0.012133072

80

21/08/2013 9.5

-0.010416667

10

502.7

-0.004160063

81

22/08/2013 9.2

-0.031578947

9.9

-0.01

496.1

-0.013129103

82

23/08/2013 9

-0.02173913

9.6

-0.03030303

486.8

-0.018746221

83

26/08/2013 9.1

0.011111111

9.8

0.020833333

490.5

0.007600657

84

27/08/2013 9

-0.010989011

9.7

-0.010204082

485.6

-0.009989806

85

28/08/2013 8.5

-0.055555556

9.5

-0.020618557

473.3

-0.025329489

86

29/08/2013 8.6

0.011764706

9.6

0.010526316

468.6

-0.009930277

87

30/08/2013 8.8

0.023255814

9.7

0.010416667

472.7

0.008749466

88

03/09/2013 8.6

-0.022727273

9.5

-0.020618557

472.2

-0.001057753

89

04/09/2013 8.5

-0.011627907

9.4

-0.010526316

471.4

-0.001694197

90

05/09/2013 8.7

0.023529412

9.6

0.021276596

477.6

0.013152312

91

06/09/2013 8.8

0.011494253

10.2

0.0625

480

0.005025126

92

09/09/2013 8.4

-0.045454545

10.3

0.009803922

470.2

-0.020416667

93

10/09/2013 8.6

0.023809524

10.1

-0.019417476

474.5

0.009145045

94

11/09/2013 8.7

0.011627907

9.8

-0.02970297

476.4

0.004004215

95

12/09/2013 8.9

0.022988506

9.9

0.010204082

475.6

-0.001679261

96

13/09/2013 8.9

9.9

476.4

0.001682086

97

16/09/2013 8.8

-0.011235955

9.7

-0.02020202

475.6

-0.001679261

98

17/09/2013 8.7

-0.011363636

9.8

0.010309278

477.7

0.004415475

99

18/09/2013 8.6

-0.011494253

9.8

474.3

-0.007117438

100

19/09/2013 8.7

0.011627907

9.9

0.010204082

476.1

0.003795066

101

20/09/2013 8.6

-0.011494253

9.6

-0.03030303

477.2

0.002310439

102

23/09/2013 9.2

0.069767442

9.9

0.03125

479.1

0.003981559

103

24/09/2013 9.3

0.010869565

10

0.01010101

482.8

0.007722814

104

25/09/2013 9.7

0.043010753

10.1

0.01

486.2

0.007042254

105

26/09/2013 9.7

10.1

485.1

-0.002262443

106

27/09/2013 9.6

-0.010309278

10.2

0.00990099

486.6

0.003092146

107

30/09/2013 10.2

0.0625

10.4

0.019607843

492.6

0.012330456

108

01/10/2013 10

-0.019607843

11.1

0.067307692

492.2

-0.000812018

K t qu:

T su t l i nhu n
bnh qun

(dng hm VAR)
l ch chu n
(dng hm STDEV)

2.
r

nh t su t l i nhu
r

C phi u OGC

C phi u PXS

VN-INDEX

-0.0000434208

0.0023656165

0.0004230181

0.0008346578

0.0006118295

0.0001029053

0.0288904446

0.0247351876

0.0101442247

l ch chu n c a danh m

* Tr ng h p t tr ng 40:60
T sut li nhun = 0.4*(-0.0000434) + 0.6*0.00237 = 0.001404

0.14%

Cov(OGC,PXS) = 0.00026495 (dng hm COVAR trong Excel)


lch chun =
= 0.0219

2.19%

*Tr ng h p t tr ng 20:80
T sut li nhun = 0.2*(-

4 4 + 8*

7=

887

Cov(OGC,PXS) = 0.00026495 (dng hm COVAR trong Excel)


lch chun =
= 0.02258

2.26%

887%

Khoa khng bit cch v ng cong hiu qu trn my tnh. Ci ny nhm c bn no bit lm
th gip dm Khoa nh. Khng th c th ch a khong trng trn giy np c ra ri v tay vo.

3. Bi t t su t l i nhu n phi r
trn l bao nhiu?

Da vo ph

Kt qu

%/

i t su t l i nhu n yu c u c a cc c phi u

bng ti cu 1:

Ta
a t sut sinh li th ng l
nhu n k vng ca th ng l E(Rm) = 0.000423

= 0.0001029053

0.000103, t sut li

*i v i c phi u OGC:
Cov(OGC,m) = 0.000211763
=

0.000212 (dng hm COVAR trong Excel)

= 0.000212/0.000103

2.06

T sut li nhu n yu c u ca c phiu OGC:


= 0.08 + (0.000423 0.08)*2.06 = -0.0839

E(ROGC) = Rf + [E(Rm) - Rf]*

-8.39%

*i v i c phi u PXS:
Cov(PXS,m) =

9
=

O AR

9 8

T sut li nhu n yu c u ca c phiu PXS:


= 0.08 + (0.000423

E(RPXS) = Rf + [E(Rm) - Rf]*

8 * 9 8=

774

77%

4.S dng m hnh CAPM, hy kim ch ng li t su t l i nhu n k v ng c a danh mc


r
r r
n xt.

5.
r

r
T

r
r

) s la ch n danh

i thch ti sao?

1.
) C

c u c 8%. Ti s
khon vay r

n 16% t cc kho
ah r

n ch yu

n b ng cch pht hnh thm c phi u v chi ph cho cc



nq
r

Quy

qu kinh doanh c

n cn ty thuc vo nhiu yu t

c tiu ngn hn hay di hn, kt

cng ty la chn vay n hay pht hnh thm c phiu.

Xt trong ngn hn, vic ti tr v n bng mt khon vay s nhanh chng v thu n ti
ng v n bng cch pht hnh thm c phiu s d

Trong di hn, vi

c ph n, lm gim li ch cc c

s yu c u li su

hnh c phiu cao. Trong khi u c th s dng v n vay gi r


ki

vay n

l la chn t

n c t

phi

c phiu gim, lm

phiu m

t c th l

ng khng t

chi ph pht

ng chnh lch gi c phiu khi gi tr c


bn ra c phiu ko theo gi tr th

ng ca

n gi tr cng ty.

b q

n v n ca mnh trong khi chi ph n

a c th l

cng ty v

ca cng ty. Hoc cng ty s ph

u rt cao.

Mt chnh sch c t c hp l phi cn bng t l chi tr c t c v t l li nhu n gi l


,

b gim li ch r rt. H

tr c t c bng tin mt cho cc c

Nu s dng li nhu
h

ng hin t

i t l

t.

(b) Gii thch mi quan h


i (trade-off) gia vi c gi li cc ngun v
v vi c chi tr c t c b ng tin mt.
Nu gi li tt c li nhu

m bo li ch ca cc c

2. DEF Trading l m

y
n p thu , th ng xuyn c thu nh
r c li
vay v thu (EBIT) l $3 tri u v n p thu doanh nghi p v i thu su t l 30%. Cng ty
hi
r hon ton b ng vn ch s hu v i chi ph vn ch s hu l 15%. Ban

x
x
c pht hnh $5 tri u r
v i li su 1 % mua li cc
c phi
a. Gi tr

y r

ng h

r ng h
,

u vn ch bao gm vn ch s hu l bao nhiu ?

DEF

ca cng ty khng vay n

. Theo M&M s 1, gi tr

b. Chi ph vn bnh qun (WACC) c

y r

r ng h

u vn ch bao gm

vn ch s hu l bao nhiu ?

c. Gi tr

y r

r ng h

mua li cc c phi

hnh l bao nhiu ?


ng hp ny, cng ty DEF Trading l cng ty c vay n. Theo M&M s 1, gi tr cng
ty c vay n

d. Chi ph vn bnh qun (WACC) c

y r

r ng h p ti c u trc ?

2. C

u vn hi n ti c a m t cng ty bao gm $400.000 n vay li su t c

nh 8,5% v

150.000 s
c ph n hi n c gi $8,00 mi c phi u. L i nhu
r c thu v li vay

a cng ty g n nh t l $214.000. Cng ty c


y ng thm vn l $400.000
v cn nhc
y s tin ny v i li su t c nh 9%. Cng ty n p thu v i thu
su t 30%.
a. Thu nh p trn mi c phi u sau thu c a cng ty l bao nhiu (EPS)?

EPS =

b. N u t l tr c t c l 100%, chi ph vn c ph n sau thu l bao nhiu?


T l chi tr c t c = C t c tin mt trn mt c phiu / EPS
C t c tin mt trn mt c phiu: D = EPS * 100% = 0,84 USD
Gi s t

t c bng 0

Chi ph s dng v n c ph

c. N u l i nhu

c thu

ng : re =

$ 5

ng thm vn :

Thu nh p trn mi c phi u c a cng ty l bao nhiu n u s d


ng vn c ph n ?

Thu nh p trn mi c phi u c a cng ty l bao nhiu n u s d


ng vn vay ?

*Tr ng h p 1: S d
EPS1 =

ng v n c ph n

=
*Tr ng h p 2: S d
=

* 8, % + 4

* 9% = 7

EPS2 =

d. Bn hy khuyn nn s d

cho l
y
.

V EPS1 < EPS2 Cng ty nn ch

e. Doanh nghi p c n ph
nhng y u t mang tnh ch
n c u trc vn?
Ngoi vi q

v n, doanh nghip c

n nhng yu t
q

n:

Ri ro doanh nghip
S ch ng v ti chnh

ng vn no ? Hy nu t nh t 1 l do

ca ban qun l

n nhng y u t quan tr ng no, bn cnh


r
ng quy
nh lin quan
lng, khi ra quy

n cu trc