3/9/2012

Bi 11 & 12:

M hnh nh gi ti sn vn

Phn tch ti chnh

Hc k xun
MPP4- 2012

1
M hnh nh gi ti sn vn1

MPP4

M hnh nh gi ti sn vn
Capital Asset Pricing Model CAPM

Cc gi nh ca m hnh CAPM
Danh mc th trng
Phn b ri ro th trng
H s beta
M hnh nh gi ti sn vn
ng th trng chng khon (SML)
ng dng CAPM
T CAPM n m hnh a yu t
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Gi nh ca m hnh CAPM

Cc nh u t ght ri ro, ra quyt nh da trn sut sinh li k

vng v lch chun ca sut sinh li .
Th trng hon ho: vay v cho vay vi li sut phi ri ro, khng
c chi ph giao dch, tt c cc ti sn u c th c chia nh v
mua bn trn th trng, c th bn khng, khng c thu, thng tin
min ph
Cc nh u t tip cn cc c hi u t nh nhau
Cc nh u t c k vng ng nht v li nhun, ri ro ( lch
chun, phng sai) ca c hi u t.

Danh mc u t th trng

Tt c cc nh u t u nm gi mt danh mc cc ti sn ri
ro nm tip im gia ng phn b vn vi ng gii hn
cc c hi u t hiu qu.
Tng ca tt c cc danh mc tip im ny tng ng vi
danh mc th trng
Danh mc th trng bao gm tt c cc loi ti sn ti chnh v
trng s ca mi loi ti sn trong danh mc bng ng t l gia
tng gi tr ti sn v tng gi tr th trng.
Trong danh mc th trng: cc ri ro c th c a dng ho
ti a, ch cn li ri ro h thng (ri ro th trng).

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Danh mc u t th trng

Nh u t ang u t ton b 100% vo danh mc th trng M,

vi sut sinh li k vng E(RM) v ri ro M.
Nh u t quyt nh i vay vi li sut phi ri ro rf mua thm
danh mc th trng. Trng s ca khon vay u t thm l
vi gi tr v cng nh.
Danh mc mi (A) bao gm 2 hng mc:

Danh mc th trng
Vay n

Trng
s

Sut sinh li
k vng

lch
chun

1+

E(RM)

-rf

Danh mc u t mi:
Sut sinh li k vng: (1 + )E(RM) rf
Phng sai: (1 + )2M2 = (1 + 2 + 2)M2 (1 + 2 )M2
(V v cng nh, nn 2 0)

Gi ca ri ro th trng

Mc tng sut sinh li ca danh mc u t mi so vi c:

E(R) = [(1 + )E(RM) rf] E(RM) = [E(RM) rf]

Mc tng ri ro ca danh mc u t mi so vi c:
2 = [(1 + 2)M2] M2 = 2M2

Vy, nh u t hng sut sinh li k vng tng thm

[E(RM) rf] khi chp nhn ri ro tng thm 2M2.

Mc tng sut sinh li k vng trn 1 n v tng thm ca ri ro,

hay cn gi l mc gi bin ri ro ca danh mc th trng bng:
E (r ) E ( RM ) r f

2
2 M2
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u t vo c phiu FPT

Gi s thay v u t thm vo danh mc th trng, nh u t

quyt nh u t vo c phiu FPT, vi sut sinh li k vng
E(RFPT), ri ro FPT, tch sai vi danh mc th trng FPT,M
Nh u t i vay vi li sut phi ri ro rf mua thm c phiu
FPT. Trng s ca khon vay u t thm vo FPT l vi gi
tr v cng nh.
Danh mc mi bao gm 3 hng mc:

Trng
s

Sut sinh li
k vng

lch
chun

Danh mc th trng

E(RM)

Vay n

-rf

FPT

E(RFPT)

FPT

Danh mc u t mi:
Sut sinh li k vng:
E(RM) + E(RFPT) rf
2
Phng sai:
M + 2 FPT,M + 2FPT2 M2 + 2FPT,M7

Gi ca ri ro c phiu FPT

Mc tng sut sinh li ca danh mc u t mi so vi c:

E(R) = [E(RM) + E(RFPT) rf] E(RM) = [E(RFPT) rf]
Mc tng ri ro ca danh mc u t mi so vi c:
2 = [M2 + 2FPT,M] M2 = 2FPT,M
Vy, nh u t hng sut sinh li k vng tng thm
[E(RFPT) rf] khi chp nhn ri ro tng thm 2FPT,M.
Mc gi bin ri ro ca c phiu FPT:
E (r ) E ( RFPT ) rf

2
2 FPT , M

So snh u t thm vo FPT vi u t thm vo danh mc th

trng:
E ( RFPT ) rf E ( RM ) rf

u t thm vo FPT nu
2 FPT , M
2 M2

Gim u t FPT nu

E ( RFPT ) rf
2 FPT , M

E ( RM ) rf
2 M2

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Cn bng trn th trng vn

Nh u t s ngng tng u t FPT hay ngng gim u t FPT

khi:
E ( RFPT ) rf
E ( RM ) rf

2
2 FPT , M
2 M

Ta c:
E ( RFPT ) rf

FPT ,M
E(RM ) rf
M2

nh ngha: h s beta ca c phiu FPT bng t s gia tch sai

sut sinh li FPT vi danh mc th trng v phng sai sut sinh
li danh mc th trng.

E ( RFPT ) rf FPT E ( RM ) rf

M hnh nh gi ti sn vn
Capital Asset Pricing Model CAPM

Sut sinh li k vng:

E ( Ri ) rf i E ( RM ) rf

H s beta: nhy ca chng khon i vi thay i trn th trng

i,M
M2

=1: bin thin bng th trng, ri ro bng mc th trng

> 1: ri ro cao hn mc trung bnh ca th trng
<1: ri ro thp hn mc trung bnh ca th trng (bin thin v
lch chun thp hn th trng)
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M hnh nh gi ti sn vn
Capital Asset Pricing Model CAPM
Sut sinh li k vng

ng th trng chng khon - SML

E(RM)
M

Mc b ri ro th trng: E(RM) rf

rf

H s beta

11

M hnh nh gi ti sn vn
60%

ng th trng chng khon

SML

Sut sinh li k vng

50%

A*

Mua
40%

E(RM)

B
A

30%

Bn

B*
C*

20%

Mc b ri ro th trng : E (RM) - Rf

10%

Rf

0%
0

0.2

0.4

0.6

0.8

1.2

1.4

1.6

Beta

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ng th trng chng khon

Securities Market Line - SML
S dng s liu lch s xc nh cc thng s ca cc ti sn
nh u t (sut sinh li bnh qun, ri ro phng sai, lch
chun)
c lng beta bng hm hi quy:

Ri a i RM
Xc nh ng th trng chng khon: i qua im Rf v
danh mc th trng M
Xc nh sut sinh li k vng ca cc ti sn nh u t bng
cng thc :

E ( Ri ) rf i E ( RM ) rf

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S dch chuyn ca SML do lm pht

Li nhuan ky vong
cua chng khoan

SML1
SML0

M1

R
Rm0

m1

M0

Rf1
Rf0

Ty le lam phat gia tang

Ty le lam phat

Lai suat thc

Beta cua chng

14
khoan

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S dch chuyn ca SML do mc ght

ri ro tng
Li nhuan ky vong
cua chng khoan

SML1
SML0

M1

R
Rm0

m1

M0

Phan bu ap rui ro tang

theo mc o ngai rui ro

Rf
Phan bu ap rui ro cu

Beta cua chng

15
khoan

c lng h s beta

S dng ch s th trng chng khon i din cho danh mc

th trng: thay M hnh CAPM bng M hnh Ch s (Index
Model)

S liu lch s: Sut sinh li hng thng trong vng 60 thng gn

y.

c lng hm hi quy:
Ri = a + RM +

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c lng h s beta

V d: c lng beta ca mt s c phiu trn HOSE da vo s

liu hng thng 10/2002-9/2007

Tn
VN-Index

lch
chun H s
(%)
Beta

Gi ngy
28/9/07

Sut sinh
li b/q (%)

1.046,9

3,53

11,32

1,00

103,0

2,67

11,15

0,83

71,0

3,10

19,31

1,22

XNK thy sn An Giang (AGF)

Giy Hi Phng (HAP)
Ch bin hng XK Long An
(LAF)

23,6

0,96

15,40

0,63

C in lnh (REE)

154,0

4,72

18,25

1,41

Cp & vt liu vin thng

(SAM)

153,0

3,93

16,26

1,18

70,5

1,42

10,62

17
0,67

Kho vn ng.thng Si Gn
(TMS)

ng dng M hnh CAPM

c lng chi ph vn
Nghin cu tnh hung:
c lng chi ph vn c phn ca cng ty FPT
nh gi kt qu hot ng ca qu u t
V d: Qu no hot ng hiu qu?
Qu

Sut sinh li b/q

lch chun

Beta

Alpha

31%

26%

1.62

Delta

28%

27%

1.70

Gamma

22%

21%

0.85

Lamda

15%

13%

0.90

Omega

15%

11%

0.55

Ch s CK

20%

17%

1.00

L/s tn phiu

iu tit c quyn

6%

Ngun: Bodie, Kane & Marcus, "Investments

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Ch trch v m hnh CAPM

Danh mc th trng?
o lng beta?
CAMP c gii thch c li nhun ca chng khon?

Fama and French, 1992, The Cross-Section of

Expected Stock Returns, Journal of Finance:
Size and book-to-market ratios explain stock
returns better than beta over the period 1941-1990

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M hnh a yu t - M hnh kinh doanh chnh

lch gi (Arbitrage Pricing Model)
n

Ri = ai +
R
a
b
I
e
i
j

=
=
=
=
=
=
=

b I +e

j=1

ij j

Li nhun k vng c phiu j

Hng s
nhy ca chng khon i vi ch s
Gi tr ca ch s
Sai s
bin ch chng khon
bin ch yu t tc ng

20

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