4/3/2013

MC TIU BI HC
Kt thc chng ngi hc c kh nng: Nm c cc kin thc nn tng cho hot ng u t v qun l danh mc u t vi cc l thuyt:
L thuyt th trng hiu qu, ngha ca cc hnh thi th trng hiu qu vi hot ng u t M hnh nh gi ti sn vn (Capital Assets Pricing Model CAMP), mi lin quan gia ri ro v li nhun c tnh, phn on c li sut k vng i vi ti sn cha giao dch trn th trng Nghin cu ng th trng vn (CML) v ng th trng chng khon (SML) lm nn tng cho hot ng qun l danh mc u t
Ging vin: Ths Nguyn Tin Trung

NI DUNG BI HC
Th trng hiu qu M hnh nh gi ti sn vn ng th trng vn v ng th trng chng khon. M hnh CAPM H s Beta

Ging vin: Ths Nguyn Tin Trung

4/3/2013

1. TH TRNG HIU QU
Phn phi hiu qu

1. TH TRNG HIU QU
Phn phi hiu qu:
Th trng c coi l c hiu qu v mt phn phi khi cc ti nguyn khan him c phn phi mt cch tt nht. Ngi tr gi cao nht mi ginh c quyn s dng ti nguyn. i vi th trng chng khon v th trng vn, tnh hiu qu th hin phn phi cc ngun vn c th u t sao cho hiu qu nht
Ging vin: Ths Nguyn Tin Trung

Th trng hiu qu
Thng tin hiu qu Hot ng hiu qu
Ging vin: Ths Nguyn Tin Trung

1. TH TRNG HIU QU
Hiu qu hot ng:
Th trng c coi l c hiu qu v mt hot ng khi cc chi ph giao dch trong th trng c quyt nh theo quy lut cnh tranh. Th trng c t trong s cnh tranh lnh mnh gia nh tip th v nh mi gii kim li nhun thng thng (khng phi li nhun c quyn) Chi khi chi ph giao dch bng 0 th th trng c coi hiu qu. Trn thc t nu khng c chi ph giao dch th th trng khng th tn ti
Ging vin: Ths Nguyn Tin Trung

1. TH TRNG HIU QU
Hiu qu v mt thng tin:
Th trng c coi hiu qu v mt thng tin nu th gi hin hnh phn nh v tc thi tt c cc thng tin c nh hng ti th trng.

Ging vin: Ths Nguyn Tin Trung

4/3/2013

1. TH TRNG HIU QU
V l thuyt ngi ta lun gi nh rng, th trng c hiu qu v mt phn phi v hot ng, do khi ni n th trng hiu qu ngi ta ch ni n hiu qu v mt thng tin. Th trng hiu qu l th trng trong gi c ca chng khon phn nh y , tc thi cc thng tin hin c trn th trng

2. CC HNH THI CA TH TRNG HIU QU

Ta c th phn chia th trng hiu qu thnh 3 hnh thi
Hnh thi yu (Weak Form) Hnh thi trung bnh (Semi strong form) Hnh thi mnh (Strong form)

Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

2. CC HNH THI CA TH TRNG HIU QU

Hnh thi yu ca th trng:
Gi c chng khon phn nh y v kp thi nhng thng tin trong qu kh v giao dch ca th trng nh khi lng, gi c chng khon V d: gi s trong th trng tn ti quy lut trong qu kh nh sau: Gi chng khon gim vo ngy giao dch cui cng ca nm v tng ln trong ngy giao dch u tin ca nm Th trng hnh thi yu s nhanh chng tip nhn iu ny, cc nh u t s ng lot mua chng khon vo ngy cui nm v bn chng trong ngy u nm. Theo quy lut cung cu s a gi c v trng thi cn bng v xa b hin tng ny.
Ging vin: Ths Nguyn Tin Trung

2. CC HNH THI CA TH TRNG HIU QU

Hnh thi yu ca th trng:
Tt c cc thng tin trn th trng u c cc nh u t nm bt v nghin cu. Cc thng tin s nhanh chng c phn nh vo gi chng khon. Khng c thng tin no trong qu kh c th d on gi trong tng lai Cc nh phn tch k thut u b v hiu ha khng th d on c cc quy lut ca th trng.
Ging vin: Ths Nguyn Tin Trung

4/3/2013

2. CC HNH THI CA TH TRNG HIU QU

Hnh thi trung bnh ca th trng: Gi c ca chng khon phn nh tt c nhng thng tin lin quan n cng ty c cng b ra i vi cng chng. Nhng thng tin trong qu kh, nhng thng tin c bn ca cng ty nh nng lc sn xut, cht lng qun l, bng tng kt ti sn, b quyt sn xut, d on thu nhp, m hnh k ton; nhng thng tin cn thit ca cc cng ty ang cnh tranh v nhng d on khc v hot ng v tnh hnh ti chnh... u c phn nh trong gi ca c phiu. Nhng thng tin mang tnh cht d on nh cc nh gi d bo, tin n... u c nh u t a vo xc nh gi c. Bt c nh u t no cng c c nhng thng tin t ngun thng tin i chng th tc l n sn sng c phn nh trong gi ca chng khon.

2. CC HNH THI CA TH TRNG HIU QU

Hnh thi trung bnh ca th trng:

Nu hnh thi trung bnh ca th trng tn ti, khng c hnh thc phn tch no (k c phn tch k thut ln c bn) c kh nng em li cho nh u t li nhun siu ngch nu vic phn tch ch da trn nhng s liu t ngun c cng b ra cng chng v nhng thng tin d on m c th trng u bit. V d, mt nh phn tch s dng bng tng kt ti sn ca cng ty nhm tm kim li nhun siu ngch s khng th mang li kt qu nh mong mun bi nhng thng tin dng ny d dng kim c do hng ngn cc nh phn tch trn th trng. Hnh ng ca cc nh phn tch ny nhanh chng lm gi c chng khon c iu chnh phn nh nhng thng tin cn thit trong bng tng kt ti sn.
Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

2. CC HNH THI CA TH TRNG HIU QU

Hnh thi mnh ca th trng:
Hnh thi ny cho rng gi ca c phiu phn nh tt c nhng thng tin cn thit c lin quan n cng ty, thm ch c nhng thng tin ni gin. Th trng phn ng nhanh vi bt k thng tin no, k c nhng thng tin mang tnh cht ni b hay c nhn, lm cho kh nng tm kim li nhun siu ngch kh xy ra. Nh vy, hnh thi ny cng khng cho php tn ti phn tch k thut ln c bn. V vn ny c nhiu quan im khng ng nht. Mt s kin cho rng ch c mt b phn nh c nhn c th c c nhng thng tin quan trng trc khi chng c cng b ra cng chng, do h c th s thu c li nhun siu ngch. Nhng trn thc t, hu nh tt c cc nc, nhng hnh ng nh vy b coi l vi phm php lut. Do vy hnh thi ny kh ng vng.
Ging vin: Ths Nguyn Tin Trung

2. CC HNH THI CA TH TRNG HIU QU

Tt c thng tin k c thng tin ni b

Cc thng tin i chng

Thng tin v gi chng khon trc y

Ging vin: Ths Nguyn Tin Trung

4/3/2013

2. CC HNH THI CA TH TRNG HIU QU

Mt th trng c coi l hu hiu s biu hin thng qua cc c trng sau:
Gi chng khon thay i kp thi v chnh xc i vi nhng thng tin mi. S thay i ca li sut c quyt nh bi s thay i ca li sut u t phi ri ro v ph ph ri ro. Mi s thay i ca gi chng khon xut pht t cc s kin khc u l ngu nhin khng d on trc dc. Nhng nguyn tc hoc kinh nghim u khng th p dng thu c li nhun siu ngch. Cc nh u t chuyn nghip khng th dng cc hnh thc phn tch chuyn nghip (phn tch c bn v k thut) thu c li nhun siu ngch c trn 2 phng din c nhn cng nh t chc.
Ging vin: Ths Nguyn Tin Trung

3.NG DNG VO QUN L DANH MC U T

Hc thuyt v th trng hiu qu cho rng gi ca c phiu lun chnh xc vi nhng thng tin c th kim c. Phn tch c bn v phn tch k thut l v ch. Mi s c gng trong vic mua v bn chng khon ch lm tng chi ph L thuyt th trng hiu qu cho rng vic qun l danh mc ch ng l v ch. Hc thuyt ny ng h chin lc du t mang tnh th ng. Mt trong nhng chin lc ph bin ca chnh sch qun l danh mc u t th ng l to ra danh mc u t lp li theo mt ch s no , y chnh l mt danh mc c thit k ng nh phin bn ca ch s, da trn vic mua bn cc loi chng khon c trong ch s .
Ging vin: Ths Nguyn Tin Trung

1. M HNH NH GI TI SN VN
CAPM c coi l ct li ca l thuyt kinh t ti chnh hin i. Harry Markowitz l ngi u tin t nn mng cho l thuyt u t hin i vo nm 1952. Mi hai nm sau, m hnh CAPM c pht trin bi William Sharpe, John Lintner v Jan Mossin. M hnh cho chng ta kh nng d on c mi quan h gia ri ro v li sut c tnh. CAPM c nhng ngha quan trng nh sau : N cung cp cho chng ta mt li sut chun dng nh gi v la chn phng n u t. M hnh gip chng ta c th phn on c li sut k vng i vi nhng ti sn cha giao dch trn th trng. Mc d trn thc t m hnh CAPM khng phi hon ton dng trong mi trng hp, song n vn c coi l phng php ph bin nht do kh nng cho kt qu chnh xc trong nhiu ng dng phn tch.
Ging vin: Ths Nguyn Tin Trung

4/3/2013

2. NHNG GI THUYT KINH T CHO TH TRNG VN

2.1 NHNG GI THUYT V TM L CA CC NH U T

+ Gi thuyt 1 : Cc nh u t khi a ra quyt nh ca mnh u da trn vic phn tch 2 yu t: li sut c tnh v ri ro ca chng khon + Gi thuyt 2 : Cc nh u t s tm cch gim thiu ri ro bng vic kt hp nhiu chng khon khc nhau trong tp hp danh mc u t ca mnh nh phng thc trnh by trong phn trc. + Gi thuyt 3 : Cc quyt nh u t c a ra v kt thc trong khong thi gian nht nh. Khong thi gian ny khng nht thit phi c quy nh c th. N c th c tnh bng 6 thng, 1 nm, 2 nm... + Gi thuyt 4 : Cc nh u t c chung cc k vng v cc thng s u vo nh: Mc li sut, ri ro hay cc quan h tng h Tt c cc nh u t u l nh u t hiu qu Markowitz, h mong mun nm gi danh mc nm trn ng bin hiu qu.
Ging vin: Ths Nguyn Tin Trung

Nhng hc thuyt v kinh t l s tru tng ha hin thc, v vy chng nht thit phi c da trn mt s nhng gi thuyt. Mc d c mt s gi thuyt c a ra l phi thc t nhng nhng gi thuyt ny lm n gin ha vic tnh ton. Trong m hnh nghin cu CAPM, cc gi thuyt c chia lm 2 loi :
Gi thuyt v tm l ca cc nh u t Gi thuyt ca th trng vn
Ging vin: Ths Nguyn Tin Trung

2.2 NHNG GI THUYT V TH TRNG VN

+ Gi thuyt 1 : Th trng vn l th trng cnh tranh hon ho. iu ny c ngha l trn th trng c rt nhiu ngi bn v ngi mua. Nng lc ca mt nh u t ring l th rt nh so vi c th trng. V vy, hot ng ca h khng lm nh hng n th trng. Gi c trn th trng ch chu nh hng bi mi quan h cung cu. + Gi thuyt 2 : Khng tn ti cc loi ph giao dch trn th trng hay bt k mt s cn tr n trong cung v cu ca mt loi chng khon. + Gi thuyt 3 : Trn th trng tn ti loi chng khon khng c ri ro m nh u t c th u t. Li sut vay v li sut cho vay cng bng nhau v bng li sut khng ri ro Cc nh u t c th i vay v cho vay bt k s tin no li sut phi ri ro - rf

3. DANH MC U T TH TRNG (MARKET PORTFOLIO)

Danh mc u t th trng l mt danh mc u t bao gm tt c nhng ti sn c nguy c ri ro trn th trng v mi ti sn trong danh mc ny chim mt t l ng bng gi th trng ca ti sn trong tng gi tr ca ton b th trng. V d : Nu gi tr ca STB chim 2% ton b ti sn c nguy c ri ro th trong danh mc u t th trng, gi tr c phiu ca STB s chim 2%. Nu mt nh u t nm trong tay danh mc u t th trng s dng 2% ca tng s tin nh dng vo u t cc chng khon c nguy c ri ro u t vo c phiu ca cng ty STB. vic nghin cu c n gin, khi nhc n khi nim ti sn c nguy c ri ro (Risky Assets) thng ngm nh l cc c phiu.
Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

4/3/2013

4. NG TH TRNG VN (THE CAPITAL MARKET LINE - CML)

M hnh Markowitz cung cp cho chng ta nguyn tc la chn danh mc u t ti u cho mi nh u t cn c vo kh nng chp nhn ri ro ca nh u t . p dng m hnh trn, nu th trng tn ti loi chng khon phi ri ro (vi li sut phi ri ro Riskfree Rate - RF) v gi thit rng c nhn nh u t c th vay v mn khng hn ch trn c s li sut ny (gi thuyt 3 ca th trng vn) th kt qu v l thuyt la chn danh mc u t s nh sau :
Ging vin: Ths Nguyn Tin Trung

XY DNG CNG THC CHO NG CML

Nhn t ch yu l thuyt danh mc pht trin thnh l thuyt th trng vn l tng v mt ti sn phi ri ro * Ti sn phi ri ro: l ti sn c t sut sinh li hon ton chc chn v lch chun t sut sinh li trn ti sn ny s bng khng * Hip phng sai vi ti sn phi ri ro Quy c: ri: t sut sinh li mong i ca ti sn i rp: t sut sinh li ca danh mc

V t sut sinh li ca ti sn phi ri ro l chc chn f = 0 rif = rf . Do hip phng sai ca ti sn phi ri ro vi bt k ti sn ri ro hay danh mc ti sn no s lun = 0 (COVf,i =0) Tng t, tng quan t sut sinh li gia bt k ti sn i no vi ti sn phi ri ro cng s bng khng (f,i =0) Ging vin: Ths Nguyn Tin Trung

XY DNG CNG THC CHO NG CML

Chng ta gi thuyt rng nh u t to dng mt danh mc u t bao gm 2 loi chng khon: chng khon phi ri ro KF vi t trng vn u t WF v danh mc th trng M vi t trng u t WM. Vy : WF + WM = 1 hay WF = 1 WM hay WM = 1 - WF

XY DNG CNG THC CHO NG CML

Li sut c tnh ca danh mc u t c tnh bng trung bnh trng s ca cc chng khon c trong danh mc u t . Li sut c tnh ca danh mc u t E(Rp) l : E(RP) = WFRF + WME(RM) Trong E(RP) RF E(RM) WF WM : Li sut ca danh mc u t. : Li sut chng khon phi ri ro. : Li sut danh mc u t th trng M : T trng chng khon phi ri ro : T trng danh mc th trng M E(Rp) = (1 - WM)RF + WME(RM) OR E(Rp) = RF + WM[E(RM) RF] [ ]

Ta c th vit li l :

= + Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

4/3/2013

XY DNG CNG THC CHO NG CML

Ta c:
2p = W2F*2F + W2M *2M + 2WF WM *(F,M)

NGHA CA NG TH TRNG VN
Trong phn trn, chng ta gi thit cc nh u t c cng cc thng s u vo ca m hnh p dng (gi thuyt 4). Vi s ng nht v kh nng thu c lch chun th trng , lch chun ca danh mc u t P ; s nht qun ca th trng trong vic nh gi li sut ca danh mc th trng v danh mc u t P, khi nghing ca ng CML l: [ ]
Ging vin: Ths Nguyn Tin Trung

F,M = 0 , 2F = 0

2p = W2M *2M

Do lch chun s l:

= WM *
Nh vy, lch chun ca danh mc kt hp gia mt ti sn phi ri ro vi cc ti sn ri ro l t l tuyn tnh ca lch chun danh mc cc ti sn ri ro
Ging vin: Ths Nguyn Tin Trung

NGHA CA NG TH TRNG VN
T s th hin phn vt tri ca li sut c tnh thu c t vic u t vo chng khon ri ro (danh mc th trng) so vi mc li sut thu c t vic u t vo chng khon phi ri ro (tn phiu Kho bc). Ni cch khc, y l phn b p ri ro ca vic nm gi chng khon ri ro thay cho chng khon phi ri ro. Mu s th hin mc ri ro ca danh mc u t th trng. Nh vy, dc ca th biu hin mc b p thu nhp cho mi n v ri ro ca th trng, v ng CML biu hin mc li sut c th nhn c cho mi mc ri ro m nh u t chp nhn. Mi im trn ng thng th hin trng thi cn bng ca th trng cc cp khc nhau. dc ca ng CML quyt nh thu nhp ph tri cn thit b p cho mi n v thay i trong ri ro m nh u t phi gnh chu. chnh l l do coi ng CML l gi tr th trng ca ri ro (Market price of risk).
Ging vin: Ths Nguyn Tin Trung

4. NG TH TRNG VN (THE CAPITAL MARKET LINE - CML)

i vay RJ RM RF PA Cho vay PB ng Markowitz M ng CML

Ging vin: Ths Nguyn Tin Trung

4/3/2013

NG DNG CA CML
S dng n by ti chnh s c nh hng g ln ri ro v t sut sinh li ca danh mc Mt nh u t c th mun t c mt t sut sinh li cao hn ti im M nhng phi chp nhn mc ri ro cao hn. Nh u t s s dng n by ti chnh bng cc i vay li sut phi ri ro v u t s tin ny vo danh mc ti sn ri ro M

CML V NGUYN L PHN CCH

CML dn tt c cc nh u t u t vo mt danh mc cc ti sn ri ro nh nhau, l danh mc th trng M. Cc nh u t ch khc nhau cc v tr trn ng CML, v tr ny ty thuc vo s thch ca cc nh u t

Mc ngi ri ro trung bnh

M

Mc ngi ri ro thp
B

A
rf

Mc ngi ri ro cao
m p

Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

NG TH TRNG CHNG KHON: SML

NG TH TRNG CHNG KHON: SML

Trong m hnh CAPM, ri ro ca mi chng khon khng c o bng lch chun v mt phn ca lch chun b trit tiu bi s a dng ha danh mc u t. Khi cc chng khon tham gia vo danh mc th chng tng tc vi nhau trit tiu bt phn ri ro khng h thng ca nhau. Trong trng hp ny, danh mc l danh mc th trng (M) a dng ha hon ho. Do vy, ri ro khng h thng ca tng chng khon ring l (chng khon i) c coi l trit tiu ht, ch cn li phn ri ro h thng o bng tch sai ca chng khon i vi danh mc M (k hiu ) . Nh vy, mt chng khon i c cng ln th ri ro ca n cng ln, do li sut u t yu cu cng cao.
Ging vin: Ths Nguyn Tin Trung

trn chng ta ch ra rng ng th trng vn biu hin trng thi cn bng ca cc danh mc u t. Trong trng hp ny, ri ro ca cc danh mc c o bng lch chun ca li sut. Cc nh u t mun c thu nhp cao s phi chp nhn ri ro cao (tc l tng ln). ng CML ch ra mi quan h gia ri ro v li sut cho nhng danh mc u t trng thi cn bng
Ging vin: Ths Nguyn Tin Trung

4/3/2013

NG TH TRNG CHNG KHON: SML

NG TH TRNG CHNG KHON: SML

Ri ro ca mi chng khon i o bng nn mi tng quan c th hin chnh xc hn nh sau Hay [ ] = + [ ] = +

ng SML l ng biu din m hnh CAPM:

R(%) E(Rj) E(RM) RF

ng SML

J M

(%)

Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

NG TH TRNG CHNG KHON: SML Mt cch hiu khc v mi quan h ny thng qua s din gii ca h s H s c dng nh lng ha t trng ca mi chng khon i ( ) gp phn vo ri ro chung ca danh mc th trng M ( ) nh sau : =

NGHA CA NG SML
SML c coi l mt tiu ch chun mc nh gi mt phng n u t. Vi vic chp nhn ri ro nht nh i vi mt phng n u t (c o bng h s SML cho chng ta bit li nhun thu c ca phng n u t phi l bao nhiu mi c th b p c ri ro m cc nh u t phi gnh chu. Xut pht t ngha ca ng SML, nu tt c cc chng khon c nh gi chnh xc nht thit phi nm trn ng SML. Vi nhng im nm pha trn hoc di ng SML u biu hin tnh trng gi khng phn nh ng vi gi tr cn bng trn th trng. Nu l im nm pha trn ng SML, chng khon c nh gi thp hn gi tr thc s ca chng. Trong trng hp ny, cc nh u t nn mua loi chng khon . Ngc li, nu im nm di ng SML, khng nn mua loi chng khon ny v gi ca chng cao hn gi tr thc s ca chng.
Ging vin: Ths Nguyn Tin Trung

RF E(RM)

= + [ ] : Li : Li nhun khng ri ro : H s Beta ca c phiu I : Li nhun k vng ca th trng

Ging vin: Ths Nguyn Tin Trung

10

4/3/2013

NGHA CA NG SML
R(%) nh gi thp 16 3 ng SML

SO SNH SML V CML

CML th hin mi tng quan gia li sut vi ri ro ca nhng danh mc tng th hiu qu. SML th hin mi quan h hm bc nht gia li sut v ri ro ca tng chng khon ring l. Kt lun : M hnh nh gi ti sn vn CAPM l mt hc thuyt kinh t m t mi quan h gia ri ro v li sut c tnh. Ni cch khc, y l m hnh nh gi cho nhng chng khon c nguy c ri ro. CAPM cho rng ri ro h thng l mi quan tm i vi cc nh u t v chng khng th loi b c bng bin php a dng ha danh mc u t. iu c bit, CAPM cho chng ta bit li sut c tnh ca mt chng khon hay mt danh mc u t c xc nh bng li sut ca chng khon khng c ri ro c tnh ton bng cch nhn mc ri ro vi gi th trng ca ri ro [E(RM) - RP]. Ging vin: Ths Nguyn Tin Trung

15 14 M RF

2 1 nh gi cao

M = 1,0

J = 1,2

(%)

Ging vin: Ths Nguyn Tin Trung

SO SNH SML V CML

ng CML - c v trong mt phng r v - Khi cc nh u t c php vay v cho vay vi li sut phi ri ro ng cml l tuyn tnh v c dc dng - Ch c danh mc l ng c vin cc nh u t la chn nm gi th mi c nh v trn ng cml ng SML - c v trong mt phng r v - Bt chp cc nh u t c th vay hay cho vay vi li sut phi ri ro hay khng th ng sml vn l tuyn tnh v c dc dng - Tt c cc chng khon c th v danh mc u c nh v trn ng sml
Ging vin: Ths Nguyn Tin Trung

11

4/3/2013

1. T SUT SINH LI CA MT KHON U T

M hnh CAPM cho rng t sut sinh li i vi mt khon u t i c xc nh bi :
T sut sinh li i Li sut phi ri ro

2. H S BETA
M hnh nh gi ti sn vn (CAPM) ch ra rng ri ro ca mt chng khon c th c th c biu din bng h s Beta ca n. H s Beta cho ta bit xu hng bin ng ca mt loi chng khon so vi ton b th trng. Beta ca mt khon u t o lng nhy cm d kin ca t sut sinh li trn khon u t so vi t sut sinh l th trng. C ngha l, Beta o lng gi ca khon u t thay i nh th no khi gi th trng thay i.
Ging vin: Ths Nguyn Tin Trung

Beta(i)

Phn b ri ro th trng

Phn b ri ro th trng l t sut sinh li d kin do nm gi cc ti sn ri ro so vi ti sn phi ri ro. Danh mc cc ti sn ri ro (c phn, tri phiu, ti sn thc), i khi gi l "danh mc th trng" hoc l "th trng". V th :
Phn b ri ro th trng = T sut sinh li d kin Li sut phi ri ro

Ging vin: Ths Nguyn Tin Trung

2. H S BETA
Tnh h s Beta tnh c Beta ca mt loi c phiu i, phi s dng hip phng sai (Covariance) v phng sai (Variance). Covariance o lng cc kt qu li nhun trong 2 ti sn ri ro c chiu hng bin ng song song.
Covariance dng c ngha li nhun ca 2 ti sn bin ng cng chiu. Covariance m l chng bin ng ngc chiu.

2. H S BETA
V d: C 2 loi c phiu B v C, ngi ta mun bit s tng tc gia chng nh th no, chng bin ng cng chiu hay ngc chiu, do phi tnh hip phng sai. Loi chng khon B c t sut li nhun kB v t sut li nhun mong i kbqB Loi chng khon c c t sut li nhun kC v t sut li nhun mong i kbqC (kB - kbqB) x (kC - kbqC) Cng thc tnh covariance gia 2 chng khon B v C l: Cov(B,C) = Pi (kB - kbqB) (kC - kbqC) V nh vy tnh h s Beta ca mt loi c phiu i phi tnh c h s tng quan gia t sut li nhun i v t sut li nhun ca th trng, iu ny ni ln c phiu i vn ng nh th no so vi ton th trng.
Ging vin: Ths Nguyn Tin Trung

o lng Covariance phi xem xt tch s ca mi lch gia t sut li nhun v t sut li nhun mong i ca mi loi chng khon trong 1 tnh hung c th.
Ging vin: Ths Nguyn Tin Trung

12

4/3/2013

2. H S BETA
H s Beta ca mt c phiu l mt ch s nu ln mc thu nhp ca c phiu thay i khi c s thay i v li sut ca th trng. = = (,)

3. MT S TNH CHT CA BETA

Danh mc u t th trng c h s Beta bng 1 H s Beta ca danh mc th trng c xc nh nh sau: =
(,)

= = 1

+ >1 c ngha l gi ca khon u t d kin s bin ng nhiu hn th trng khi th trng tng, v gim nhiu hn khi th trng gim. + < 1 c ngha l gi ca khon u t d kin s bin ng t hn th trng.
Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

2. H S BETA
C PHIU C phiu c Beta cao American Express Bank America Travelers C phiu c Beta trung bnh Regtal Equipment Co. Du Pont General Electric C phiu c Beta thp Exron Green Mountain Power Home Stare Mining 0,6 0,55 0,2 STB NBB XD 577 LAS - super lan lam thao 0,74 0,32 0,72 1,15 1,0 1,10 CTG ACB MBB 1,01 1,04 1,01 1,45 1,55 1,65 SHB VCB VND VNDIRECT 1,35 1,39 1,72 BETA C PHIU BETA

2. H S BETA
Li sut th trng c o bng li sut trung bnh ca mt tp hp nhng c phiu ln ang giao dch trn th trng V d ni c phiu A c h s Beta 0,78 c ngha l nu thu nhp ca th trng tng ln 1% vo thng ti th chng ta c th mong i li sut ca c phiu A tng ln 0,78%. H s Beta c th l mt s dng hoc mt s m. C phiu c h s Beta l dng th thu nhp ca n c mi quan h thun chiu vi thu nhp ca th trng v ngc li. Theo thng k, phn ln cc c phiu c h s Beta mang gi tr dng

Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

13

4/3/2013

3. MT S TNH CHT CA BETA

+ Nhng chng khon khng c ri ro th c h s Beta bng 0 Nu j = 0 : Li nhun k vng ca chng khon c j = 0 chnh l li nhun khng ri ro (kF), bi v trong trng hp ny: E(RJ) = RF + j [E(RM) - RF] M j = 0 nn E(RJ) = RF Nh vy, li sut ca chng khon khng c ri ro chnh bng li sut ca tn phiu Kho bc (T-bill).

3. MT S TNH CHT CA BETA

Nu chng khon J no c h s Beta ging nh danh mc u t th trng (bng 1) th li sut c tnh (li sut k vng) ca n bng li sut c tnh ca danh mc th trng Nu mt chng khon c h s ln hn ca danh mc th trng (j > 1) th c ngha n c ri ro cao hn v dn n li sut k vng s ln hn li sut ca danh mc th trng, v ngc li.
Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

3. MT S TNH CHT CA BETA

Quan h tuyn tnh : Quan h gia li nhun c phiu v h s ri ro ca n l quan h tuyn tnh c din t bng ng SML c h s gc l : E(RM) - RF Beta ca mt danh mc u t tnh theo cng thc : p = W11 + W22 +... + Wnn Trong : Wj : T trng ca chng khon J trong danh mc (bng t l ca gi tr th trng ca chng khon J trn tng gi tr th trng ca danh mc u t c s lng n chng khon). V vy ri ro h thng ca mt danh mc u t l gi tr bnh qun gia quyn ca ri ro h thng ca tng chng khon ring l nm trong danh mc u t . iu ny cng c ngha l Beta ca mt danh mc u t c cha tt c cc chng khon (danh mc th trng M) th bng 1.
Ging vin: Ths Nguyn Tin Trung

14