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J.M. Frimpong v E.F. Oteng-Abayie (2006), The Impact of External Debt On Economic Growth In Ghana: A Coitegration Analysis, Journal of Science and Technology, Vol 26 103[Online] Available at: http://www.ajol.info/index.php/just/cart/ view/33013/57873 [Accessed 10 May, 2011] [Mehmet Caner, Thomas Grennes v Fritzi Koehler-Geib (2010), Finding the Tipping PointWhen Sovereign Debt Turns Bad, Policy Research Working Paper 5391, The World Bank, Latin America and the Carribean Region, Economic Policy Sector, [Online] Available at: http:// ideas.repec.org/p/wbk/wbrwps/5391. html[Accessed 16 May, 2011] Patillo C. et. al (2002), External Debt and Growth, Finance & Development, IMF. [Online] Available at: http://www.imf. org/external/pubs/ft/wp/2002/wp0269.pdf [Accessed 16 May, 2011] Paul Krugman (1988), Financing vs. Forgiving a Debt Overhang, Journal of Development Economics 29 (1988) 253268. North-Holland [Online] Available at: http://www.nber.org/papers/w2486.pdf [Accessed 16 May, 2011] Soludo C.C. (2001), Debt, Poverty and Inequality: Towards an Exit Strategy for Nigeria and Africa, CBN Economic and Financial Review, Vol. 24, No 4. [Online] Available at:http://books.google. com.vn/books?id=IZi38Nka7S4C&pg=PA 23&lpg=PA23&dq=Poverty+and+Inequali ty:+Towards+an+Exit+Strategy+for+Nige ria&source=bl&ots=e7eKuCbfzX&sig=00 Mmqy0JL75PiXnmJopl7iHZScQ&hl=vi&s a=X&ei=6Q6gT6GrvDkDw&sqi=2&ved=0CCIQ6 AEwAA#v=onepage&q=Poverty%20 and%20Inequality%3A%20Towards%20 an%20Exit%20Strategy%20for%20 Nigeria&f=false [Accessed 16 May, 2011] Tokunbo Simbowale Osinubi, Risikat Oladoyin S. Dauda v Oladele Emmanuel Olaleru (2007), Budget Deficits, External Debt And Economic Growth In Nigeria, The Singapore Economic Review, Accepted Paper, World Scientific Publishing Company. [Online] Available at: http://papers.ssrn.com/sol3/papers. cfm?abstract_id=1247848 [Accessed 16 May, 2011]

hng php dng tin chit khu (DCF) l phng php kh quen thuc trong lnh vc thm nh gi tr doanh nghip phc v cho nhiu mc ch khc nhau, trong c mc ch c phn ha doanh nghip nh nc (CPH DNNN). Tuy nhin, vic vn dng phng php ny trn thc t ti cc doanh nghip thm nh gi (DN TG) ang gp phi nhiu kh khn. C nhiu nguyn nhn dn n tnh trng ny nhng trng yu nht vn l cch thc xc nh h s beta trong chi ph vn c phn [ke = Rf + *(Rm Rf)], mt thnh t quan trng c tnh chi ph s dng vn bnh qun gia quyn (WACC). Thc t hin nay, h s beta thng c cc DN TG ly t cc trang web ca cc cng ty cung cp dch v hoc cc ngun d liu cng cng nn dn n vic p h s beta vo WACC cng rt cng nhc. tho g nhng nt tht cn ang vng phi, bi vit s trnh by mt vi cch c tnh h s beta c th vn dng ti VN; ng thi vn dng mt s phng php c trnh by c tnh h s beta khi tin hnh thm nh gi tr Cng ty c phn cng nghip cao su min Nam.
T kha: Thm nh gi tr doanh nghip; H s beta; Chi ph vn c phn; WACC

TS. HAY SINH

i hc Kinh t TP.HCM
NGUYN KIM C

Cng ty EIC VN

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59/2011/N-CP ngy 18/07/2011 ca Chnh ph v chuyn doanh nghip 100% vn nh nc thnh cng ty c phn. Ngh nh cng nu v hng dn mt s phng php xc nh gi tr doanh nghip, theo , phng php ti sn v phng php DCF c ch trng nhiu nht. Tuy nhin, trn thc t hin nay, khng ch ring cho mc ch CPH, m hu nh tt c h s thm nh gi tr doanh nghip thng ch c cc DN TG thc hin bng phng php ti sn. S d phng php DCF t c vn dng v bn thn phng php i hi mi thm nh vin v gi (TV) phi am hiu tng tn doanh nghip cn thm nh gi cng nh am hiu cc yu t v m ca nn kinh t trong hin ti v tng lai c th c tnh dng tin (cash flow) mt cch chun xc. c bit, vic xc nh h s beta trong WACC cn kh mi m, gy nhiu ln cn, kh khn cho cc DN TG khi vn dng phng php ny.
2. C s l thuyt

1. Gii thiu

Ti cu trc nn kinh t va c Chnh ph ra vi ba nhim v c th: ti cu trc u t vi trng tm l u t cng; c cu li th trng ti chnh vi trng tm l ti cu trc h thng NHTM v cc t chc ti chnh; ti cu trc DNNN m trng tm l cc tp on kinh t v tng cng ty nh nc. Trong , ti cu trc DNNN, c th l CPH DNNN lun l vn ni cm v c nhc n thng xuyn trong thi gian gn y. Hot ng CPH DNNN c th im t nhng nm 90 ca th k trc v pht trin mnh m trong vi nm tr li y khi VN ngy cng hi nhp su v rng vo nn kinh t ton cu. Trong qu trnh CPH, vic xc nh gi tr phn vn nh nc l khu trng yu nn nghip v thm nh gi trong ton b quy trnh chim kh nhiu thi gian. Hin hot ng ny ang b chi phi bi Ngh nh

Beta l h s phn nh mc phn ng ca chng khon trc nhng thay i ca cc nhn t (th trng, v m, ni ti cng ty). Th gi ca chng khon cng phn ng vi cc nhn t mnh bao nhiu th h s beta ca chng khon (hoc doanh nghip) s cng ln. Chnh v vy m beta cn c gi l h s nhy cm ca chng khon trc nhng bin i ca cc nhn t m TV ang xt. Nh vy, nu TV xt n nhn t lm pht sinh ri ro th cng s c n beta tng ng vi tng nhn t. Tuy nhin, khng phi h s beta no khi chy hi quy u c chp nhn m TV phi xem xt v cc hin tng a cng tuyn, t tng

quan, phng sai thay i loi b nhng nhn t khng ph hp. Trong phm vi bi vit, tc gi ch gii hn vic c tnh ke theo m hnh nh gi ti sn vn (Capital Pricing Asset Model CAPM), ngha l ch xem xt mt nhn t l yu t th trng T sut li nhun ca danh mc th trng (Rm) tc ng n chng khon T sut li nhun ca c phiu (Ri), iu ny cng ng ngha vi vic ch c mt h s beta biu th s phn ng ca Ri theo Rm v trong m hnh CAPM, h s beta ca c phiu chnh l ri ro ca c phiu ny khi thm vo danh mc th trng. C nhiu cch c tnh h s ny, nhng chung quy li c ba nhm c bn, c th: - S dng d liu lch s v gi th trng ca tng khon u t (c phiu ca DN m chng ta ang tin hnh thm nh); - S dng cc c trng c bn ca cc khon u t; - S dng d liu k ton. 2.1. H s beta theo th trng lch s 2.1.1. Cc dng tnh ton H s beta th trng lch s c tnh bng cch hi quy t sut li nhun ca c phiu theo t sut li nhun ca mt ch s th trng. Trong m hnh CAPM, ri ro th trng tn ti trong danh mc th trng (nn ch xc nh c mt h s beta duy nht) nhng nu xt theo m hnh chnh lch gi (Arbitrage Pricing Model APM) th s c nhiu beta tng ng vi nhiu yu t ri ro th trng (khng xc nh) hoc trong m hnh a yu t th s c cc beta tng ng vi tng yu t kinh t v m xc nh. i vi nhng cng ty nim yt trn th trng mt thi gian di th vic c tnh

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t sut li nhun ca loi c phiu ny trong qu kh s khng gp nhiu kh khn. Mt iu cn lu khi tnh beta th trng lch s l cn phi t t sut li nhun ca c phiu trong mi tng quan vi t sut li nhun ca danh mc th trng (danh mc bao gm tt c cc ti sn c php giao dch). Ti VN, n gin th t sut li nhun ca danh mc th trng s c ly t ch s VN-Index. Dng 1 Hi quy t sut li nhun ca c phiu (Ri) theo t sut li nhun th trng (Rm) trong mt khong thi gian: Ri = a + b * Rm (1) Ri : T sut li nhun ca c phiu; Rm : T sut li nhun ca danh mc th trng a : H s chn t phng trnh hi quy; b = : H s gc ca phng trnh hi quy . Trong : a > Rf (1 - ): C phiu hot ng tt hn k vng trong sut k hi quy; a = Rf (1 - ): C phiu hot ng ng nh k vng trong sut k hi quy; a < Rf (1 - ): C phiu hot ng km hn k vng trong sut k hi quy. * Kt lun th hai: Ta c th rt ra c R2 t phng trnh hi quy. Trong thng k, R2 cho ta bit c mc ph hp ca m hnh. Trong kinh t, R2 cho ta bit c t sut li nhun ca th trng phn nh c bao nhiu phn trm t sut li nhun ca c phiu, phn cn li chnh l ri ro c th ca cng ty. Nh vy, nu R2 ca 1 doanh nghip nh th ri ro ch yu xut pht t c th cng ty nn nh u t cn phi a dng ha danh mc u t ca mnh. * Kt lun th ba: Sai s chun ca h s beta cho ta bit c sai s gia h s gc ca phng trnh hi quy so vi gi tr thc. Sai s chun cng l i lng c dng xc nh khon tin cy ca h s beta thc xung quanh kt qu c tnh ca h s gc. Tuy nhin, hiu ng bn cht ca sai s chun, TV phi xem xt DN ang c TG c chi phi ch s th trng hay khng, v nu c th cho d sai s chun ca m hnh c thp th cng khng c ngha, v y s l kt qu hi quy ca DN cn TG trn chnh bn thn ca DN . Dng 2 Trong cch c tnh h s beta dng 1 th h s beta hi quy c s dng trong ton b thi gian m doanh nghip tn ti. Tuy nhin trong di hn th beta c xu hng i theo bin ng ca th trng, tin ti beta trung bnh ( tin dn v 1). Do vy beta di hn c cc chuyn gia cp vi gi nh rng trong 2/3 thi gian u th h s beta trong m hnh hi quy s i din cho ri ro ca doanh nghip cn 1/3 thi gian cn li l h s beta o bng 1, i din cho bin ng ca th trng. Nh vy beta di hn l bnh qun c trng s ca beta hi quy (OLS) v =1: di hn = OLS * 2/3 + 1 * 1/3 Mt iu cn lu l cc cng ty dch v ni ting chuyn c tnh h s beta nh Merrill Lynch, Barra, Value Line, Standard & Poors, Morningstar v Bloomberg u tnh beta theo dng ny, ng thi, khi tnh OLS th Ri v Rm s khng tnh c tc vo, tc l:

Pt : Gi c phiu ti thi im t Pt 1 : Gi c phiu ti thi im t - 1 PVNt : Ch s VN-Index ti thi im t PVNt-1 : Ch s VN-Index ti thi im t - 1 Mt khc, ta c cng thc tnh ke ca m hnh CAPM: [Ri = Rf + (Rm Rf) = Rf (1 - ) + Rm] (2) T (1) v (2) TV c th rt ra ba kt lun: * Kt lun th nht:

Dng 3 Theo nh tc gi Damodaran (2002) Corporate Finance th h s beta trong m hnh hi quy bnh phng nh nht (OLS) vi s liu lch s vn cha hon ton chnh xc c tnh beta. Do vy sau khi hi quy th ng xut iu chnh h s beta nh sau: hiu chnh = OLS / R OLS : H s beta hi quy (Ly trong phng trnh hi quy OLS) R: H s tng quan gia sut sinh li c phiu i vi sut sinh li ca th trng. Dng 4 Theo cc nh kinh t thuc trung tm nghin cu (CRIF - Center Research In Finance) ca trng qun l sau i hc Australian sut cch c tnh h s beta sau:

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Ri* = a + b Rm* Ri* = (Ri - Rf) : Mc b ri ro ca c phiu Rm* = (Rm - Rf) : Mc b ri ro th trng Rf: Li sut phi ri ro Nh vy tng ca cch c tnh ny l phn b ri ro ca c phiu i chu tc ng bi phn b ri ro ca th trng. H s beta trong trng hp ny s o lng mc nhy cm ca phn b ri ro gia c phiu i so vi phn b ri ro ca th trng. Cch c tnh ny kh ging vi cch c tnh beta theo dng 1. Tuy nhin vic xc nh h s ny i hi thng tin trn th trng phi tt v thch hp vi cc nc c h thng d liu tt. Vi VN th vic c tnh theo cch ny gp kh khn bi v h thng thng tin cha hon thin, nht l i vi yu t li sut chnh ph. Hn na, theo tn sut thu thp theo thng th vic xc nh theo phng php ny t ra v hiu v hin nay VN cha c li sut phi ri ro c thng k theo thng. 2.1.2. Nhng vn cn lu khi c tnh beta theo th trng lch s Th nht: di k c tnh (Ri v Rm c TV thu thp trong khon thi gian bao lu?). Value Line v Standard & Poors la chn di ca k c tnh 5 nm, cn Bloomberg th ch thu thp trong 2 nm. Thi gian thu thp di s gip TV c thm nhiu mu quan st, nhng theo thi gian th c tnh ca bn thn cng ty cng s thay i dn n s thay i trong c cu kinh doanh cng nh c trng ri ro c bn ca cng ty, t y h s beta khng cn ph hp na. Nh vy, ty thuc vo vic DN cn TG ln sn bao lu, c th ngnh ngh kinh doanh c thay i nhanh chng qua cc nm hay khng th TV s la chn k c tnh cho ph hp, ch khng c mt cng thc chung no cho s la chn ny. Th hai: Tn sut thu thp Ri v Rm. TV c th tnh hng nm, hng thng, hng tun, hng ngy. Tn sut thu thp cng ngn th s lng mu quan st s cng nhiu nhng ng thi cng s khin cho kt qu c lng b sai lch do nh hng bi vn phi giao dch. Chng hn nh VN, c hai sn HOSE v HNX u ch tin hnh giao dch vo bui sng, nh vy t sut li nhun trong cc khon thi gian cn li l khng c mc d trong khon thi gian ny th trng vn bin ng ln xung rt nhiu. Yu t phi giao dch ny nu khng c TV ch th s lm gim s tng quan gia Ri v Rm, t c th lm sai lch h s beta. Th ba: Rm c ly t th trng no. Thng thng Rm s l ch s gi th trng m ti cng ty ang giao dch c phiu ca mnh. V d beta ca cc c phiu VN s c c tnh da vo ch s VN-Index, Anh l FTSE, c l Frankfurt DAX, Nht l Nikkei, M l S&P500 i vi nh u t trong nc th vic la chn Rm nh vy l hp l, cn cc nh u t quc t th s la chn Rm theo cc ch s quc t. Th t, trong cch tnh Ri v Rm, TV c th xem xt vic c nn a c tc vo hay khng. V nu tn sut thu thp Ri v Rm ngn th vic xc nh c tc tng ng vi khon thi gian ny cng s rt kh khn, nn trong thc t, nhiu cng ty s loi b yu t c tc trong cch tnh ny. 2.1.3. Hn ch. - Nu beta c sai s chun thp, ngha l vic c tnh beta tng i chnh xc th h s beta y li khng phn nh c ri ro thc s. Sai s chun thp phn nh s thng tr ca c phiu no i vi ch s. - Nu beta thay i do ta thay i ch s th trng, di k c tnh hoc tn sut thu thp d liu ta cng khng th chc chn v gi tr beta thc ca cng ty. Nh vy, beta hi quy gn nh lun mt trong hai tnh trng: qu bt n hoc qu thin lch. y l hn ch rt ln ca vic c tnh beta khi chy m hnh hi quy. 2.2. H s beta c bn - Phng php Bottom-up H s beta th trng lch s ch yu da vo t sut li nhun ca c phiu v t sut li nhun th trng trong qu kh. Th nhng, i vi nhng cng ty cha nim yt trn sn hoc ch mi nim yt trong thi gian ngn th vic xc nh t sut li nhun ca c phiu trong qu kh l iu khng th. H s beta c bn v phng php Bottom-up s gip chng ta gii quyt vn ny. 2.2.1. Cc yu t tc ng n beta trong m hnh beta c bn H s beta c bn c xy dng trn c s gi nh h s c quyt nh bi 3 yu t: - Loi hnh kinh doanh (hoc lnh vc kinh doanh) ca cng ty cng chu tc ng mnh bi th trng th h s beta cng cao (chng hn nh beta ca cng ty hot ng c tnh chu k, cc cng ty m sn phm c co dn cu ln hoc cc cng ty hot ng trong lnh vc nh t, xe hi... s kh cao do nhng lnh vc rt nhy

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cm vi nn kinh t). - H s n by kinh doanh ni ln mi quan h gia chi ph c nh v tng chi ph. Mt doanh nghip c t l chi ph c nh so vi tng chi ph cao th s c n by kinh doanh cao. H s n by kinh doanh c tnh gn ng bng cng thc ly t l % thay i li nhun t hot ng kinh doanh so vi t l % thay i trong doanh thu. Nhng cng ty c h s n by kinh doanh cao th thu nhp t hot ng kinh doanh s thay i nhiu hn khi doanh thu thay i. H s n by ti chnh: trong iu kin cc yu t khc c gi nguyn th nu n by ti chnh tng th s lm tng ROE trong nhng thi k thun li nhng s lm gim trong nhng thi k kh khn. Nh vy, n by cao s dn n ri ro cao hn v dn n h s beta cao i vi vn c phn ca cng ty. 2.2.2. Phng php Bottom-up Phng php ny c tnh trn gi nh tch beta thnh 2 phn l: Ri ro lnh vc kinh doanh v n by ti chnh. H s beta ca mt cng ty chnh l bnh qun gia quyn ca beta tt c cc lnh vc kinh doanh khc nhau m cng ty ang tham gia. Phng php Bottom-up xc nh h s beta theo 5 bc: Bc 1: Xc nh mt hoc nhiu lnh vc kinh doanh ca cng ty Bc 2: Trong tng lnh vc kinh doanh, tm nhng cng ty pht hnh c phiu ra cng chng v c tnh beta hi quy ca tng cng ty. T c tnh beta bnh qun ca cc cng ty trong cng mt lnh vc kinh doanh. Bc 3: c lng beta khng c n by bnh qun cho tng lnh vc kinh doanh: Beta khng c n by lnh vc kinh doanh = Beta bq ca cc cty so snh [1+(1-t)*D/E bq ca cc cng ty so snh] Bc 4: c lng h s beta khng c n by ti chnh cho cng ty ang c thm nh, bng cch ly bnh qun gia quyn ca tt c cc beta bc 3. Cc trng s c tnh da trn t trng gi tr m mi lnh vc ng gp trong tng gi tr ca cng ty. Nu khng c d liu v gi tr, ta c th da vo thu nhp t hot ng kinh doanh hoc doanh thu. trng lch s) - Beta ca cng ty sau mt t ti c cu quan trng - Beta ca nhng cng ty c s dng n by ti chnh ln. 2.2.4. u im ca PP Bottomup - Loi tr s ph thuc vo gi tr lch s ca c phiu, khng quan tm n vic DN cn TG ln sn hay cha v ln sn c bao lu; - Mi beta u c mt sai s chun, c ngha l n c th cao hn hoc thp hn so vi beta thc. Th nhng beta theo phng php Bottom-up c tnh bng cch ly bnh qun gia quyn nn sai s chun ca beta tnh theo phng php ny s c gim i ng k, v vy m beta theo phng php ny c khuynh hng n nh hn i vi beta ca tng cng ty ring l; - Beta theo phng php ny c th c iu chnh d dng

Bc 5: Tnh ton gi tr th trng ca D/E t lm c s tnh beta c n by ca Cng ty cn TG. 2.2.3. Trng hp thng s dng phng php Bottom-up - Beta ca DN cha nim yt (khng th tnh h s beta theo th

khi doanh nghip thay i lnh vc kinh doanh hoc thay i n by ti chnh (D/E). Cn phng php hi quy th lun gi nh D/E khng i trong sut thi k hi quy. 2.3. H s beta k ton Beta k ton c tnh ton t thu nhp k ton ch khng phi t gi c giao dch. Phng php ny

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tim n 3 ri ro ln: - Thu nhp k ton c khuynh hng co bng so vi gi tr c s ca cng ty v k ton vin dn tri chi ph v li nhun qua nhiu k. iu ny dn n beta b lch gim i vi nhng cng ty c ri ro hoc lch tng i vi nhng cng ty an ton. - Thu nhp k ton c th b nh hng bi nhng yu t phi hot ng (thay i trong phng php khu hao, hoc nh gi hng tn kho) v k hoch phn b chi ph cc phng ban, b phn. - Thu nhp k ton c xc nh mi nm mt ln hoc mi qu mt ln. iu ny dn n t mu quan st dn n vic kh gii thch c m hnh. Trong ba cch tnh th phng php tnh beta k ton hu nh khng c s dng rng ri, phng php Bottum-up c xem l c nhiu u th nhng vn c xy dng trn nn tng ca beta th trng lch s do vic chy m hnh hi quy ca cc cng ty so snh. Ngoi ra, khi s dng phng php Bottum-up th ty vo tng trng hp c th m TV s thm vo (nu s lng cng ty so snh nhiu) hoc bt i (nu s lng cng ty so snh t) cc ch tiu kt lun nh th no l cng ty so snh.
3. Vn dng vo trng hp CASUMINA
Bng 1. Tc tng gi c phiu CSM (Ri) & Tc tng ch s VN-Index (Rm) Date 11/08/09 31/08/09 30/09/09 30/10/09 30/11/09 31/12/09 29/01/10 26/02/10 31/03/10 29/04/10 31/05/10 30/06/10 30/07/10 31/08/10 30/09/10 29/10/10 30/11/10 31/12/10 28/01/11 28/02/11 31/03/11 29/04/11 31/05/11 30/06/11 29/07/11 31/08/11 30/09/11 31/10/11 30/11/11 30/12/11 CASUMINA 50,0 79,5 130,0 114,0 88,5 73,5 65,0 62,0 62,5 64,0 55,0 38,6 36,0 32,3 30,5 28,5 27,2 32,0 29,9 23,0 20,0 17,7 13,1 13,7 12,6 13,9 13 11,1 8,8 8,9 VN Index 494,2 546,8 580,9 587,1 504,1 494,8 482,0 496,9 499,2 542,4 507,4 507,1 493,9 455,1 454,5 452,6 451,6 484,7 508,9 461,4 461,1 480,1 421,4 432,5 405,7 424,7 427,6 420,8 380,7 351,6 46,50% 49,26% -13,15% -25,36% 7,63% -12,46% -4,87% 0,62% 2,05% -15,28% -9,39% -6,97% -10,85% -5,73% -6,78% -4,67% 16,25% -6,79% -26,24% -13,98% -12,22% -30,10% 4,48% -8,37% 9,82% -6,69% -15,80% -23,22% 1,13% 10,11% 6,05% 1,06% -15,24% -1,86% -2,62% 3,04% 0,46% 8,30% -6,67% -0,06% -2,64% -8,18% -0,13% -0,42% -0,22% 7,07% 4,87% -9,80% -0,06% 4,03% -13,04% 2,60% -6,40% 4,58% 0,68% -1,60% -10,01% -7,95% Ri Rm

Ngun: http://www.hsc.com.vn

3.1. Cc gi nh Th nht, Cng ty c phn cng nghip cao su Min Nam (CASUMINA) c chnh thc nim yt trn sn chng khon TP.HCM (HOSE) ngy 11/08/2009, v vy, di k c tnh c bi vit s dng t thi im bt u nim yt n khi kt thc nm ti kha 2011;

Th hai, tn sut thu thp Ri v Rm c tnh hng thng hn ch s sai lch do yu t phi dao dch gy ra; Th ba, do tn sut thu thp c tnh theo thng nn c Ri v Rm s loi b yu t c tc trong cch tnh ton (nh trnh by trn); Cui cng, Rm c ly t ch s VN-Index, th trng m CSM ang giao dch. (Bng 1)

3.2. Beta theo th trng lch s C mt s phng php c lng hm hi quy tng th, bi vit s dng phng php bnh phng cc tiu thng thng hay cn gi l phng php bnh phng nh nht hoc phng php OLS (Ordinary Least Square). Sau khi chy m hnh hi quy, s tng quan gia cc thnh phn

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Bng 2. Kt qu hi quy Ri theo Rm Dependent Variable: RI Method: Least Squares Date: 01/02/12 Time: 22:40 Sample: 1 29 Included observations: 29 Variable C RM R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -3.604706 1.999222 0.456442 0.436310 14.11801 5381.589 -116.8891 1.510583 Std. Error 2.667596 0.419865 t-Statistic -1.351294 4.761586 Prob. 0.1878 0.0001 -5.952069 18.80413 8.199251 8.293548 22.67270 0.000058

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Bng 3. Kt qu kim nh hin tng t tng quan Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 0.527628 Prob. F(1,26) 0.474095 0.576803 Prob. Chi-Square(1) 0.447568

Dependent Variable: RESID Method: Least Squares Date: 01/02/12 Time: 22:48 Sample: 1 29 Included observations: 29 Presample missing value lagged residuals set to zero. Variable C RM RESID(-1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.050269 -0.140882 0.161873 0.019890 -0.055503 14.24315 5274.551 -116.5978 1.719220 Std. Error 2.692131 0.465878 0.222850 t-Statistic -0.018673 -0.302400 0.726380 Prob. 0.9852 0.7648 0.4741 1.23E-15 13.86361 8.248127 8.389571 0.263814 0.770148

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

ca chui cc quan st c sp xp theo th t thi gian (trong cc s liu chui thi gian) hoc khng gian (s liu cho) c kh nng xy ra, c nhiu cch pht hin hin tng t tng quan ny nh phng php th, kim nh on mch, kim nh d cu Durbin Watson, kim nh Breusch Godfrey,... v bi vit s dng phng php Breusch Godfrey (BG) kim nh hin tng ny. Tng t, xem xt th ca phn d, kim nh Park, kim nh Glejser, kim nh White... l nhng phng php pht hin phng sai thay i v bi vit s dng kim nh White kim nh. Bn cnh , do ch s dng mt bin c lp l Rm, nn bi vit khng tin hnh kim nh hin tng a cng tuyn. Theo kt qu trong Bng 3, 2 nR = 0,576803 c xc sut (p value) l 0,447568 kh ln nn ta chp nhn gi thit H0 (khng c in tng t tng quan), ngha l khng c hin tng t tng quan bc 1. Theo kt qu trong Bng 4, 2 nR = 5,013036 c xc sut (p value) l 0,081552 kh ln nn ta chp nhn gi thit H0 (phng sai khng i), ngha l m hnh hi quy Ri theo Rm khng xy ra hin tng phng sai thay i. Nh vy, h s beta theo hi quy ca cng ty CASUMINA l 1,999222, vi R2 = 0,436310, tng ng vi vic Rm phn nh c 43,63% s thay i Ri. T h s beta theo phng php OLS, ta c th tnh ton c beta di hn ca CSM l 1,7. Beta theo phng php Bottum-up T s liu Bng 5, ta d dng

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Nghin Cu & Trao i

Bng 4. Kt qu kim nh hin tng phng sai thay i White Heteroskedasticity Test: F-statistic Obs*R-squared Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 01/02/12 Time: 23:07 Sample: 1 29 Included observations: 29 Variable C RM RM^2 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 142.5096 29.26776 1.918097 0.172863 0.109237 352.5915 3232339. -209.6598 1.638075 Std. Error 83.00232 12.56178 1.427612 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) t-Statistic 1.716935 2.329906 1.343570 Prob. 0.0979 0.0278 0.1907 185.5720 373.5862 14.66619 14.80764 2.716870 0.084821 2.716870 5.013036 Prob. F(2,26) Prob. Chi-Square(2) 0.084821 0.081552

tnh c h s D/E trung bnh giai on 2006 2010 l 216,8%, h s beta hi quy phn nh n by trung bnh ny. Vi mc thu sut 25% th H s beta khng n by l: khng n by = OLS / [1+(1 thu sut) * (D/Ebq)] = 1.999222 / [1+(1 25%)* 216,8%] = 0,7613

D/E

ti thi im hin ti. c n by = khng n by * [1+(1 thu sut) * (D/E2011)] = 0,7613 * [1+(1 25%)* 139,3%] = 1,5567 Vi phng php ny, khi h s D/E thay i, TV s d dng tnh li h s beta cho ph hp vi thc t. Do thi im hin ti, bi vit ch thu thp c D/E vo qu III nm Bng 5. C cu N / Vn ch qua cc nm vt: % 2011, nu s dng 2006 2007 2008 2009 2010 2011 D/E ca c nm 2011 299,8 272,1 327,5 109,5 74,9 139,3 th s ph hp hn.
Kt lun

nhau nhng ti cng mt cng ty chng khon th cch tnh ny c s dng cho tt c cc cng ty ang c nim yt trn th trng. Nh trnh by ton b bi vit, khng c mt cch tnh beta no hon thin m TV phi ty thuc vo c trng ca tng loi hnh DN cn TG la chn cch c tnh ti u. Chng hn nh nu c trng ca mt cng ty thay i nhanh qua thi gian th vic s dng h s beta c k c tnh 5 nm s khng cn ph hp. Nh vy, nu bit c cch tnh ca cng ty cung cp dch v cng cng th TV c th xem xt cch tnh y c ph hp vi DN cn TG khng, nu c th TV c th s dng ngay s liu ny cn nu khng th TV vn c th linh ng tnh ton c h s beta cho ph hp. y cng l mc ch chnh m nhm tc gi mun gi gm qua bi vit ny l
TI LIU THAM KHO Damodaran, Aswath (2002), Investment Valuation, New York: John Wiley & Sons. ISBN 0-471-41488-3. B Ti chnh, Cc qun l gi, (2007), Ti liu bi dng kin thc ngn hn chuyn ngnh thm nh gi. NXB H Ni. Chnh ph nc CHXHCN VN, (2011), Ngh nh 59/2011/N-CP ngy 18/07/2011 ca Chnh ph v chuyn doanh nghip 100% vn Nh nc thnh Cng ty c phn. Pratt, Shannon P. & Niculita, Alina V. (2007), Valuing a business: the analysis and appraisal of closely held companies, McGrawHill Professional. ISBN 978-0-07-144180-3. S liu Bo co ti chnh ca Cng ty c phn cng nghip cao su min Nam CASUMINA cc nm 2007; 2008; 2009; 2010; 2011. Trn Th Qu Giang, (2011), Ri ro v li nhun, Chng trnh ging dy kinh t Fulbright. TS. inh Th Hin, (2010), nh gi u t, Quyn 1, NXB Ti chnh, bin dch.

Kt thc qu III nm 2011, h s D/E ca CSM l 139,3%, t , ta c tnh h s beta cho cng ty khi c xt n n cn n

Hin nay, mi cng ty chng khon hoc cc cng ty cung cp dch v cng cng u s dng cc cch tnh h s beta khc

S 4 (14) - Thng 5-6/2012 PHT TRIN & HI NHP

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