Chuong3 - Capm

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Chuong 3
M hnh dnh gi
ti sn vn
%:%$ "
nguyen.thuthuy.thuthuy@gmail.com
Company name
www.themegallery.com
Contents
1. Gii thiu chung
2. Nhng gi djnh
3. Ni dung ca m hnh CAMP
4. Uu nhuoc dim ca m hnh CAMP
5. L thuyt djnh gi kinh doanh chnh lch
7. M hnh CAMP trong diu kin thj trung vn VN
6. L thuyt thj trung vn v m hnh CAMP
Company name
3.1. Gii thiu chung
l3h 3gha li 3huq3 v ri ro
- l3h 3gha li 3huq3
i nhupn (return) l thu nhpp c duc t mt khon
du tu, thung duc biu th bng t l % gia thu
nhpp v gi tr khon du tu b ra.
'J d ban b ra 100 nghn dng d mua mt c phiu, duc
hung c tc 5 nghn dng mt nm v sau mt nm c
phiu d c gi l 110 nghn dng. Nhu vy li nhun ban
c duc khi du tu cho c phiu ny l 15%.
Company name
Gii thiu chung
%ng qut
# =
D
t
+ (P
t
P
t-1
)
P
t-1
Trong d:
# Loi nhun thuc (hoc ky vong)
D
t
C tc
P
t
, P
t-1
Gi c phiu thi dim t v t-1
Company name
Gii thiu chung
- l3h 3gha ri ro
#i ro l s sai bit ca li nhupn thc t so vi li
nhupn ky vng
lo lu3g ri ro
%heo dnh nghia, ri ro l mt s khng chc chn, mt bin
c c kh nng xy ra v cng c kh nng khng xy ra.
do lung ri ro ngui ta dng phn phi xc sut vi hai
tham s do lung ph bin l ky vng v d lch chun
Company name
lo Iung ri ro
i nhun ky vong v d lch chun
. Li 3huq3 ky v3g
E(R) = % (R
i
)(P
i
)
Trong d:
E(R) li nhun ky vong
R
i
li nhun ng vi bin c i
P
i
xc sut xy ra bin c i
Company name
Li nhun k vng v d Ich chun
'J d: ng tnh li nhun ky vong v phuong sai
Li 3huq3
#
i
Xc sut
P
i
(#
i
)(P
i
) [#
i
- E(#)]
2
(P
i
)
-0,1 0,05 -0,005 0,0018
-0,02 0,1 -0,002 0,0012
0,04 0,2 0,008 0,0005
0,09 0,3 0,027 0
0,14 0,2 0,028 0,0005
0,2 0,1 0,02 0,0012
0,28 0,05 0,014 0,0018
% E(#) 0,09
Phuo3g sai
2
0,007
Company name
2. lch chun o
lch chun dng d do lung d phn tn hay
sai bit gia li nhun thc t so vi li nhun ky
vong.
o =
2
= % (R
i
- E(R)]
2
(P
i
)
i=1
n
Company name
%rong v d trn d lch chun bng cn bc hai
ca phuong sai
2
= 0,007 tc l o = 0,083.
iu ny c nghia l sai bit gia li nhun thc t
so vi li nhun ky vong l 8,3%.
Company name
%hi d di vi ri ro
i s nh du tu c th la chon mt trong hai co hi
(1) Nhn duc mt s tin chc chn (nh hon gi tr ky
vong) nhung khng km theo ri ro
(2) Nhn duc mt s tin (ln hon gi tr ky vong) nhung
km theo ri ro
Nu gi tr ca khon tin chc chn l nh, nh du tu s
chp nhn mao him d hy vong c khon tin ln hon.
Khi gi tr ca khon tin chc chn tng ln ti mt
mc no d nh du tu s khng cm thy khc bit
gia vic chp nhn mao him v vic nhn khon tin
chc chn. S tin ny duc goi l s ti3 chc ch3
tuo3g duo3g (certainty equivalance- CE)
Company name
%hi d di vi ri ro
Nu CE< gi tr ky vong ngai ri ro (risk aversion)
Nu CE = gi tr ky vong bng quan vi ri ro (risk indifference)
Nu CE > gi tr ky vong thch ri ro (risk preference)
Company name
Gii thiu chung v CAPM
M hnh dnh gi ti sn vn- C!M
(Capital Asset Pricing Model) do William Sharpe
pht trin t nhng nm 1960 v duc ng
dng t d dn nay
W CAPM l m hnh ton hoc m t mi quan h gia ri ro
v loi nhun ky vong
W #i ro h thng duoc xem l co s d dnh gi loi nhun
ky vong ca chng khon
W #i ro phi h thng khng duoc xem xt trong m hnh
ny
Company name
3.2. Nhng gi d[nh
%h trung vn l hiu qu v hon ho
Nh du tu ky vong nm gi chng khon trong
thi ky 1 nm v c hai co hi du tu
- u tu vo chng khon phi ri ro
- u tu vo danh mc c phiu thung trn th trung
Company name
#i ro ca mt danh mc du tu
lch chun ca danh mc du tu
$ luong chng khon
trong danh muc
#i ro phi h thng
#i ro h thng
Tng
ri
ro
Company name
3.3. Ni dung ca m hnh CAMP
3.3.1. "uan h gia li nhupn c bit v li
nhupn th trung- ung dc th chng
khon (The Security Characteristic ine)
ung dc th chng khon m t mi quan h
gia li nhun ca mt chng khon c bit vi
li nhun ca danh mc du tu th trung
Company name
Ni dung ca m hnh CAMP
Tnh hung Xt dung dc th chng khon
ca c phiu XP so vi danh mc th trung %SE
(%oronto Stock Exchange)
%K3h hu3g N3 ki3h t Li 3huq3 th
tru3g (%)
Li 3huq3
ca XP (%)
%ng trung 15 25
%ng trung 15 15
Suy thoi -5 -5
' Suy thoi -5 -15
Company name
i s xc sut xy ra tnh trang tng trung v
suy thoi l bng nhau (50%)
%K3h trq3g
ki3h t
Li 3huq3 th
tru3g (%)
Li 3huq3 ky v3g ca
XP (%)
%ng trung 15 (25x0,5)+(15x0,5) = 20
Suy thoi -5 (-5x0,5)+(-15x0,5) = -10
Company name
"uan h gia li nhun c phiu v li nhun th trung
Loi nhun thj trung
Loi nhun c phiu
-10
20
-5 15
lung dc th chng khon (SCL)
y = 1,5x - 2,5
H s gc = 1,5
Company name
nghia ca
- H s= 1,5 cho bit loi nhun c phiu c bit XP bin dng
gp 1,5 ln loi nhun thj trung
- H s= 1 duoc djnh ngha nhu l h s ca danh muc thj
trung
Company name
3.3.2. Uc lung trn thc t
H s ca mt s c phiu M
%n c phiu eta
Apple computer (AAP)
0,72
oeing (A)
0,96
%he Coca- Cola Company (KO)
0,96
eneral Electric (E)
1,13
Microsoft (MSF%)
1,33
Nike (NKE)
1,01
Yahoo (YHOO)
3,32
Ngun Market line (www.marketguide.com)
Company name
s ca mt s c phiu Canada
%H3 c phiu Beta
Hudsons ay Co. 1,49
Sears Canada 1,21
Dylex td. 1,89
Canadian %ire 0,79
ank of Montreal 0,97
Royal ank of Canada 1,25
Ngun Burns Fry Limited, Toronto
Company name
3.3.3. Quan h gia ri ro v Ii nhun
R
j
= R
f
+ (R
m
- R
f
)
R
j
i nhun ky vong ca c phiu
R
f
i nhun phi ri ro
R
m
i nhun ky vong ca th trung
eta ca c phiu
Li nhun k vng ca c phiu
Loi nhun phi ri ro
Khon gia tng b dp ri ro
ung thj trung chng khon
($ercurity Market Line)
Company name
Quan h gia ri ro v Ii nhun
Nhn xt
W = 0 li nhun ky vong ca chng khon c = 0
chnh l li nhun phi ri ro R
f
v trong trung hp ny
R
j
= R
f
+ (R
m
- R
f
)
j
= R
f
W =1 li nhun ky vong ca chng khon c = 1 chnh
l li nhun th trung R
m
bi v trong trung hp ny
R
j
= R
f
+ (R
m
- R
f
)
j
= R
f
+ R
m
- R
f
= R
m
- "uan h tuyn tnh quan h gia li nhun c phiu v
h s ri ro l quan h tuyn tnh duc biu din bi
dung thng SM c h s gc R
m
- R
f
Company name
3.4. Uu nhuc dim ca m hnh CAPM
u dim ca m hK3h CAPM l don gin v c
th ng dng trong thc t. %uy nhin n khng
trnh khi nhng han ch, v mt m hnh xy
dng don gin s kh phn nh dng hin thc.
Company name
Nhng han ch ni bt ca m hnh CAPM
- nh hung ca
quy m cng ty
- nh hung ca
t s PE v MB
- nh hung
thng Ging
Nhng pht hin
bt thung khi
p dung CAPM
Nhng pht hin
bt thung khi
p dung CAPM
M hnh CAPM
chi xem xt mt yu
t trong khi loi nhun
c phiu bin dng
phu thuc v nhiu
yu t
Loi nhun c
phiu bj nh
hung bi bin
quy m v MB
manh hon bin
Beta
Nhng nghin cu Nhng nghin cu
v pht hin ca v pht hin ca
Fama v Friench Fama v Friench
Nhng nghin cu Nhng nghin cu
v pht hin ca v pht hin ca
Fama v Friench Fama v Friench
Nhng ph phn Nhng ph phn
t nhng nh t nhng nh
nghin cu m nghin cu m
hnh da yu t hnh da yu t
(Multifactor (Multifactor
model) model)
Company name
3.5. L thuyt th[ trung vn v m hnh CAPM
1
Nh du tu ra quyt
dnh du tu da
theo 2 tham s i
nhupn ky vng v
!huong sai ca li
nhupn
2
Nh du tu l ngui
ngai ri ro do vy d
ho du tu cn c
phn li nhun b
dp cho ri ro m ho
phi gnh chu
3
Nh du tu ra quyt
dnh trong mt
khong thi gian
no d ( su thng,
mt nm hay hai
nm.)
Nhng gi djnh v hnh vi ca nh du tu
Company name
L thuyt th[ trung vn v m hnh CAPM
Nhng gi dnh v th trung vn
1
%h trung
vn l th
trung canh
tranh hon
ho
2
Khng c chi
ph giao dch v
khng c s
can thip no
nh hung dn
cung cu trn
th trung
3
Nh du tu c
th vay v
cho vay mc
li sut phi
ri ro
Company name
lung th[ trung vn
(CapitaI Market Line - CML)
lung th[ trung vn
lung kt hp danh
mc du tu
lch chun ca
danh muc du tu
Loi nhun ky vong
Danh mc du tu hiu qu
#
f
Company name
Cng thc biu din dung th[ trung vn
R
p
= o
p
/o
M
%rong d
R
p
i nhun ky vong ca danh mc du tu
o
p
lch chun ca danh mc du tu
o
M
lch chun ca danh mc th trung
Company name
. M hnh CAPM trong diu kin th[ trung vn
Vit Nam
Th trung vn Vit nam mi duc hnh thnh t
thng 7/2000, cho dn nay vn chua pht trin. V
vy vic ng dng m hnh CAPM cn gp nhiu tr
ngai. L do:
- 'it 3am v3 chua c mt da3h mc du tu
3o c th xem l da3h mc du tu th tru3g
(Market portfolio) d lm co s xc d3h t sut
li 3huq3 da3h mc th tru3g #
m
- i3 3ay v3 chua c t chc 3o tJ3h to3 v
c3g b th3g ti3 v h s
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