Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Bi 3:

NH GI TRI PHIU
1. TNG QUAN V NH GI TI SN TI CHNH Ti sn ti chnh, nh trnh by trong bi 1, l nhng ti sn m gi tr ca n th hin tri quyn m ch s hu ti sn s nhn c trong tng lai. C th ti sn ti chnh bao gm cc loi chng khon ngn hn nh tn phiu, chng ch tin gi, chp nhn ngn hng, v cc chng khon di hn nh tri phiu v c phiu. Gim c ti chnh cng ty thng quan tm n ti sn ti chnh di hai gc : khi tha vn cng ty quan tm n ti sn ti chnh di gc nh u t (investor), khi thiu ht vn cng ty quan tm n ti sn ti chnh di gc ngi pht hnh (issuer). D di gc no, mun ra quyt nh c nn u t hoc c nn pht hnh mt loi ti sn ti chnh no hay khng, iu quan trng trc tin l phi nh gi c ti sn . Trong phm vi bi ny chng ta ch xem xt nh gi tri phiu, mt trong nhng loi ti sn ti chnh di hn nhm mc tiu ra quyt nh u t hoc huy ng n vay di hn. Trc khi xem xt cch thc nh gi ti sn ti chnh, c mt s khi nim cn lm r. 1.1 Gi tr thanh l v gi tr hot ng Cp khi nim ny dng ch gi tr ca doanh nghip di hai gic khc nhau. Gi tr thanh l (liquidation value) l gi tr hay s tin thu c khi bn doanh nghip hay ti sn khng cn tip tc hot ng na. Gi tr hot ng (going-concern value) l gi tr hay s tin thu c khi bn doanh nghip vn cn tip tc hot ng. Hai loi gi tr ny t khi no bng nhau, thm ch gi tr thanh l i khi cn cao hn c gi tr hot ng. 1.2 Gi tr s sch v gi tr th trng Khi ni gi tr s sch (book value), ngi ta c th cp n gi tr s sch ca mt ti sn hoc gi tr s sch ca mt doanh nghip. Gi tr s sch ca ti sn tc l gi tr k ton ca ti sn , n bng chi ph mua sm ti sn tr i phn khu hao tch ly ca ti sn . Gi tr s sch ca doanh nghip hay cng ty tc l gi tr ton b ti sn ca doanh nghip tr i gi tr cc khon n phi tr v gi tr c phiu u i c lit k trn bng cn i ti sn ca doanh nghip. Gi tr th trng (market value) l gi ca ti sn hoc doanh nghip c giao dch trn th trng. Nhn chung, gi tr th trng ca doanh nghip thng cao hn gi tr thanh l v gi tr hot ng ca n. 1.3 Gi tr th trng v gi tr l thuyt Cp gi tr ny thng dng ch gi tr ca chng khon, tc l gi tr ca cc loi ti sn ti chnh. Gi tr th trng (market value) ca mt chng khon tc l gi tr ca chng khon khi n c giao dch mua bn trn th trng. Gi tr l thuyt (intrinsic value) ca mt chng khon l gi tr m chng khon nn c da trn nhng yu t c lin quan khi

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

nh gi chng khon . Ni khc i, gi tr l thuyt ca mt chng khon tc l gi tr kinh t ca n v trong iu kin th trng hiu qu th gi c th trng ca chng khon s phn nh gn ng gi tr l thuyt ca n. 1.4 Quy trnh nh gi v quyt nh u t ti sn ti chnh Sau khi phn bit cc cp khi nim gi tr, iu bn cn ch l nh gi chnh l xc nh gi tr l thuyt ca ti sn ti chnh. thc hin vic nh gi, bn c th thc hin theo quy trnh gm cc bc sau: c lng dng tin sinh ra t ti sn c lng t sut li nhun nh u t i hi La chn m hnh nh gi (DCF) thch hp p dng So snh gi tr l thuyt va nh ra vi gi tr th trng Quyt nh u t (mua hay bn) ti sn ti chnh.

Phn tip theo s xem xt cch thc vn dng quy trnh ny vo vic nh gi cc loi ti sn ti chnh c th, l tri phiu. Nhm gip bn d thc hnh, chng ti s bt u nh gi cc loi tri phiu t n gin n phc tp. 2. KHI NIM TRI PHIU Tri phiu (bond) l cng c n di hn do chnh ph hoc cng ty pht hnh nhm huy ng vn di hn. Tri phiu do chnh ph pht hnh gi l tri phiu chnh ph (government bond) hay tri phiu kho bc (treasury bond). Tri phiu do cng ty pht hnh gi l tri phiu cng ty (corporate bond). Trn tri phiu bao gi cng c ghi mt s tin nht nh, gi l mnh gi ca tri phiu. Mnh gi (face or par value) tc l gi tr c cng b ca ti sn, trong trng hp tri phiu, mnh gi thng c cng b l 1000$. Ngoi vic cng b mnh gi, ngi ta cn cng b li sut ca tri phiu. Li sut ca tri phiu (coupon rate) tc l li sut m tri phiu c hng, n bng li c hng chia cho mnh gi ca tri phiu. Tri phiu chnh ph l loi chng khon n di hn do chnh ph pht hnh nhm mc ch huy ng vn di hn b p thiu ht ngn sch. Thng thng tri phiu chnh ph c phn chia thnh cc loi sau y: Tri phiu kho bc, pht hnh bi kho bc ti tr cho thiu ht ngn sch ca chnh ph Tri phiu th, pht hnh bi chnh quyn a phng nhm mc ch huy ng vn ti tr cho ngn sch ca chnh quyn a phng.

Bn c th nhn thy hnh dng v thu nhn c mt s thng tin lin quan n tri phiu chnh ph v tri phiu th t mu tri phiu km theo trang sau.

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Khi pht hnh tri phiu, chnh ph cam kt s tr cho nh u t mt s tin c ghi trn tri phiu (mnh gi) khi tri phiu o hn, ng thi hng nm tr cho nh u t mt s tin li nht nh. Trng hp c bit, cng c loi tri phiu chnh ph khng bao gi o hn. Nh u t mua loi tri phiu ny s khng c nhn li s tin bng mnh gi ca tri phiu nh trong trng hp tri phiu thng thng m ch c nhn li hng nm trong sut khong thi gian khng hn nh. Loi tri phiu ny gi l tri phiu vnh cu (perpetual bond). N c ngun gc t Anh quc do chnh ph pht hnh sau chin tranh Napoleon. Ngc li, cng c loi tri phiu ngi mua khng bao gi c hng li. Loi tri phiu ny thng c bn vi gi rt thp so vi mnh gi. Nh u t b ra mt s tin mua loi tri phiu ny v ch n khi o hn s c hon li mt s tin bng mnh gi ca tri phiu. Loi tri phiu ny gi l tri phiu khng c hng li (non-coupon bond). Nh u t c th mua hoc bn tri phiu chnh ph trn mt th trng gi l th trng tri phiu chnh ph. Tri phiu cng ty l loi tri phiu do cng ty pht hnh nhm huy ng vn di hn. Tri phiu cng ty c th chia thnh tri phiu khng chuyn i v tri phiu c th chuyn i. Tri phiu c th chuyn i l loi tri phiu sau khi pht hnh bn cho nh u t, n mt im thi gian no nh u t ang nm gi tri phiu c th chuyn i n thnh mt s c phiu ca cng ty. Th trng tri phiu l th trng thc hin giao dch, mua bn cc loi tri phiu do chnh ph hoc cng ty pht hnh. Th trng thc hin giao dch, mua bn tri phiu mi pht hnh gi l th trng s cp. Th trng thc hin giao dch, mua bn tri phiu pht hnh gi l th trng th cp. Mc ch ca th trng s cp l phc v cho nhu cu huy ng vn di hn cho chnh ph hoc cng ty trong khi mc ch ca th trng th cp l cung cp kh nng thanh khon cho tri phiu c pht hnh trn th trng s cp. Mc d khng trc tip huy ng vn di hn nhng th trng th cp ng vai tr rt quan trng. Khng c th trng th cp pht trin, th trng s cp kh thu ht c nh u t v nh u t lo ngi khng th chuyn i tri phiu thnh tin mt khi cn thit.

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

3. NH GI TRI PHIU nh gi tri phiu tc l quyt nh gi tr l thuyt ca tri phiu mt cch chnh xc v cng bng. Gi tr ca tri phiu c xc nh bng cch xc nh hin gi ca ton b thu nhp nhn c trong thi hn hiu lc ca tri phiu. 3.1 nh gi tri phiu khng c thi hn Tri phiu khng c thi hn (perpetual bond or consol) l tri phiu chng bao gi o hn. Xt v ngun gc, loi tri phiu ny do chnh ph Anh pht hnh u tin sau Chin tranh Napoleon huy ng vn di hn phc v ti thit t nc. Tri phiu khng c thi hn ny chnh l cam kt ca chnh ph Anh s tr mt s tin li c nh mi mi cho ngi no s hu tri phiu. Gi tr ca loi tri phiu ny c xc nh bng hin gi ca dng tin v hn m tri phiu ny mang li. Gi s chng ta gi:

I l li c nh c hng mi mi V l gi ca tri phiu kd l t sut li nhun yu cu ca nh u t (c xc nh theo m hnh CAPM s trnh by trong bi 4).

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Gi ca tri phiu vnh cu chnh l tng hin gi ca ton b li thu c t tri phiu. Trong bi 2 chng ta bit cch xc nh hin gi ca dng tin v hn. Vn dng cng thc xc nh hin gi chng ta c th nh gi tri phiu khng c thi hn nh sau:
V =
1 I I I I I 1 + + + = = I = .... t 1 2 k k + k (1 + k d ) (1 + k d ) (1 + k d ) ( 1 ) t =1 (1 + k d ) d d d kd

Gi s bn mua mt tri phiu c hng li 50$ mt nm trong khong thi gian v hn v bn i hi t sut li nhun u t l 12%. Hin gi ca tri phiu ny s l: V = I/kd = 50/0,12 = 416,67$. Ti sao nh u t chu b tin ra mua mt tri phiu chng bao gi o hn, ngha l chng bao gi thu hi li c tin gc b ra? L do, nh ch ra trong m hnh nh gi, l s tin b ra c b p bng s li hng nm nh u t nhn c mi mi. Vit Nam thi gian qua cha thy pht hnh loi tri phiu ny, do nh u t cha c thi quen vi vic b tin ra mua mt cng c khng c o hn m ch hng li. Tuy nhin, ng trn gc huy ng vn cho ngn sch nhm mc ch ti thit t nc, loi tri phiu ny cng rt ng quan tm. Nh nc c th pht hnh loi tri phiu ny huy ng vn cho ngn sch m khng chu p lc hon tr vn gc, trong khi dn chng c bit l nhng ngi sp sa ngh hu c th b tin ra mua loi tri phiu ny nh mt cng c u t hng thu nhp n nh hng nm nhm b sung cho thu nhp ca mnh khi v hu. Khi nh u t qua i, loi tri phiu ny c th chuyn li cho con chu h nh mt ti sn tha k v cc th h sau tip tc c hng li mi mi. 3.2 nh gi tri phiu c k hn c hng li nh k Tri phiu c k hn c hng li (nonzero coupon bond) l loi tri phiu c xc nh thi hn o hn v li sut c hng qua tng thi hn nht nh. Khi mua loi tri phiu ny nh u t c hng li nh k, thng l hng nm, theo li sut cng b (coupon rate) trn mnh gi tri phiu v c thu hi li vn gc bng mnh gi khi tri phiu o hn. S dng cc k hiu:

I l li c nh c hng t tri phiu V l gi ca tri phiu kc l li sut ca tri phiu kd l t sut li nhun yu cu ca nh u t MV l mnh gi tri phiu n l s nm cho n khi o hn

chng ta c gi ca tri phiu, bng hin gi ton b dng tin thu nhp t tri phiu trong tng lai, c xc nh nh sau:

V =

I I I MV + + .... + + = I ( PVIFAkd ,n ) + MV ( PVIFkd ,n ) 1 2 n (1 + k d ) (1 + k d ) (1 + k d ) (1 + k d ) n

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Gi s bn cn quyt nh gi ca mt tri phiu c mnh gi l 1 triu ng hay 1000 nghn ng, c hng li sut 10% trong thi hn 9 nm trong khi nh u t i hi t sut li nhun l 12%/nm. Gi ca tri phiu ny xc nh nh sau:
V = 100 100 100 1000 + + .... + + = 100( PVIFA12,9 ) + 1000( PVIF12,9 ) 1 2 9 (1 + 0,12) (1 + 0,12) (1 + 0,12) (1 + 0,12) 9

Trong li ca tri phiu l I = MV(kc) = 1000(10%) = 100, t sut li nhun nh u t yu cu l kd = 12% v thi hn ca tri phiu l n = 9 nm. S dng cng thc tnh hin gi ca mt s tin v cng thc tnh hin gi ca dng tin u ( hc trong bi 2), bn xc nh c:
PVIFA12,9 = PVIF12,9 = 1 1 1 1 1 + + .... + = = 5,328 1 2 9 9 (1 + 0,12) (1 + 0,12) (1 + 0,12) 0,12 0,12(1 + 0,12)

1 = 0,361 (1 + 0,12) 9 T xc nh V= 100(5,328) + 1000(0,361) = 893,8 nghn ng. S dng m hnh DCF trn y bn nh gi tri phiu, vi nhng tnh cht nh va m t, l 893.800 ng. y l gi tr l thuyt ca tri phiu, tc l gi tr m bn c c khi p dng m hnh nh gi. Nu trn th trng, tri phiu c giao dch mc gi trn mc gi ny, iu c ngha l tri phiu ang giao dch trn mc gi tr l thuyt ca n, bn nn bn tri phiu. Ngc li, nu trn th trng tri phiu ang giao dch di mc gi bn nh ra, c ngha l tri phiu ang giao dch di mc gi tr l thuyt ca n, bn nn mua tri phiu ny. Nhiu ngi cng nh gi v quyt nh nh bn, kt qu l tri phiu s ln gi v khi bn li bn tri phiu ra v kim li nhun nh k vng.

3.3 nh gi tri phiu c k hn khng hng li nh k

Tri phiu k hn khng hng li nh k (zero-coupon bond) l loi tri phiu khng c tr li nh k m c bn vi gi thp hn nhiu so vi mnh gi. Ti sao nh u t li mua tri phiu khng c hng li? L do l khi mua loi tri phiu ny h vn nhn c li tc, chnh l phn chnh lch gia gi mua gc ca tri phiu vi mnh gi ca n. Phng php nh gi loi tri phiu ny cng tng t nh cch nh gi loi tri phiu k hn c hng li, ch khc ch li sut y bng khng nn ton b hin gi ca phn li nh k bng khng. Do vy, gi c ca tri phiu khng hng li c nh gi nh l hin gi ca mnh gi khi tri phiu o hn.
V = MV = MV ( PVIFkd ,n ) (1 + k d ) n

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Gi s NH u T v Pht Trin Vit Nam pht hnh tri phiu khng tr li c thi hn 10 nm v mnh gi l 1000 nghn ng. Nu t sut li nhun i hi ca nh u t l 12%, gi bn ca tri phiu ny s l: 1000 = 1000( PVIF12,10 ) = 1000(0,322) = 322.000ong (1 + 0,12)10 Nh u t b ra 322.000 ng mua tri phiu ny v khng c hng li nh k trong sut 10 nm nhng b li khi o hn nh u t thu v c 1000 nghn ng hay 1 triu ng. V=

3.4 nh gi tri phiu tr li theo nh k na nm

Thng thng tri phiu c tr li hng nm mt ln nhng i khi cng c loi tri phiu tr li theo nh k na nm mt ln, tc l tr li mi nm hai ln. Kt qu l m hnh nh gi tri phiu thng thng phi c mt s thay i thch hp nh gi trong trng hp ny.
V =
t =1 2n

I /2 MV + = ( I / 2)( PVIFAkd / 2, 2 n ) + MV ( PVIFkd / 2, 2 n ) t (1 + k d / 2) (1 + k d / 2) 2 n

minh ha m hnh nh gi tri phiu tr li theo nh k na nm, chng ta xem v d tri phiu c cng ty U.S.B Corporation pht hnh c mnh gi 1000 nghn ng, k hn 12 nm, tr li theo nh k na nm vi li sut 10% v nh u t mong c t sut li nhun 14% khi mua tri phiu ny. p dng m hnh nh gi va nu trn, chng ta c gi bn loi tri phiu ny l:

V = (100 / 2)( PVIFA14 / 2, 24 ) + 1000( PVIF14 / 2, 24 ) = 50(11,469) + 1000(0,197) = 770.450 ong

3.5 Phn tch s bin ng gi tri phiu
Trong cc m hnh nh gi tri phiu trnh by cc phn trc chng ta thy rng gi tri phiu (V) l mt hm s ph thuc cc bin sau y:

I l li c nh c hng t tri phiu kd l t sut li nhun yu cu ca nh u t MV l mnh gi tri phiu n l s nm cho n khi tri phiu o hn

Trong cc bin I v MV khng thay i sau khi tri phiu c pht hnh, trong khi cc bin n v kd thng xuyn thay i theo thi gian v tnh hnh bin ng li sut trn th trng. thy c s bin ng ca gi tri phiu khi li sut thay i, chng ta ly v d phn tch nh sau:

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Gi s REE pht hnh tri phiu mnh gi 1000$ thi hn 15 nm vi mc li sut hng nm l 10%. T sut li nhun nh u t i hi trn th trng lc pht hnh l 10%, bng vi li sut ca tri phiu. Khi y gi bn tri phiu s l: V = I(PVIFA 10,15) + MV(PVIF10,15) = 100(7,6061) + 1000(0,2394) = 1000$ Trong trng hp ny tri phiu c bn mc gi bng mnh gi ca n. Gi s sau khi pht hnh, li sut trn th trng gim t 10% xung cn 8%. C li sut tri phiu v mnh gi vn khng i, nhng gi tri phiu by gi s l: V = 100(PVIFA8,15) + 1000(PVIF8,15) = 100(8,5595) + 1000(0,3152) = 1171,15$ Trong trng hp ny tri phiu c bn mc gi cao hn mnh gi ca n. Gi s sau khi pht hnh li sut trn th trng tng ln n 12%. C li sut tri phiu v mnh gi vn khng i, nhng gi tri phiu by gi s l: V = 100(PVIFA12,15) + 1000(PVIF12,15) = 100(6,8109) + 1000(0,1827) = 863,79$ Trong trng hp ny tri phiu c bn mc gi thp hn mnh gi ca n. T vic phn tch ba trng hp trn y chng ta c th rt ra mt s nhn xt sau y: 1. Khi li sut trn th trng bng li sut tri phiu th gi tri phiu bng mnh gi ca n. 2. Khi li sut trn th trng thp hn li sut tri phiu th gi tri phiu s cao hn mnh gi ca n. 3. Khi li sut trn th trng cao hn li sut tri phiu th gi tri phiu s thp hn mnh gi ca n. 4. Li sut gia tng lm cho gi tri phiu gim trong khi li sut gim s lm cho gi tri phiu gia tng. 5. Th gi tri phiu tin dn n mnh gi ca n khi thi gian tin dn n ngy o hn.

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Gi tri phiu

V=1171,15

kd = 8% kd = 10%

MV=1000

V= 863,79

kd = 12%

Thi hn

3.6 Li sut 0 u t tri phiu

10

15

Trong cc phn trc chng ta bit cch nh gi tri phiu da trn c s bit trc li c tr hng nm v t sut li nhun m nh u t i hi da trn li sut th trng, mnh gi v thi hn ca tri phiu. Ngc li, nu bit trc gi tri phiu v cc yu t khc nh li hng nm c hng, mnh gi hoc gi thu hi tri phiu trc hn v thi hn ca tri phiu chng ta c th xc nh c t sut li nhun hay li sut u t tri phiu.

Li sut u t lc tri phiu o hn (Yield to maturity)

Gi s bn mua mt tri phiu c mnh gi 1000$, thi hn 14 nm v c hng li sut hng nm l 15% vi gi l 1368,31$. Bn gi tri phiu ny cho n khi o hn, li sut u t tri phiu ny l bao nhiu? xc nh li sut u t khi tri phiu o hn, chng ta c th gii phng trnh sau: 1368,31 = 150 150 150 1000 + + ... + + = 150( PVIFAkd ,14 ) + 1000( PVIFkd ,14 ) 1 2 14 (1 + k d ) (1 + k d ) (1 + k d ) (1 + k d )14

S dng my tnh ti chnh hoc Excel gii phng trnh trn, chng ta c c kd = 10%.

Chng trnh Giang day Kinh te Fulbright Nien khoa 2006-2007

Phan tch Tai chnh Bai oc

nh gi tri phiu

Li sut u t lc tri phiu c thu hi (Yield to call)

i khi cng ty pht hnh tri phiu c km theo iu khon thu hi (mua li) tri phiu trc hn. iu ny thng xy ra nu nh cng ty d bo li sut s gim sau khi pht hnh tri phiu. Khi y cng ty s thu hi li tri phiu pht hnh vi li sut cao v pht hnh tri phiu mi c li sut thp hn thay th v nh u t s nhn c li sut cho n khi tri phiu c thu hi (YTC) thay v nhn li sut cho n khi tri phiu o hn (YTM). Cng thc tnh li sut tri phiu lc thu hi nh sau: V = I I I Pc + + .... + + = I ( PVIFAkd ,n ) + Pc( PVIFkd ,n ) 1 2 n (1 + k d ) (1 + k d ) (1 + k d ) (1 + k d ) n

Trong n l s nm cho n khi tri phiu c thu hi, Pc l gi thu hi tri phiu v kd l li sut khi tri phiu c thu hi. Nu bit gi ca tri phiu (V) v gi khi thu hi tri phiu (Pc) v li sut hng nm (I) chng ta c th gii phng trnh trn tm li sut khi tri phiu c thu hi (kd = YTC).

10