1

LI CAM OAN
Chng ti xin cam oan bi nghin cu ny l do chnh chng ti nghin cu v
thc hin. Cc thng tin, s liu c s dng trong bi nghin cu l trung thc v
chnh xc.
Nhm nghin cu

2

Danh mc t vit tt
APV Phng php gi tr hin ti c iu chnh
BCTC Bo co ti chnh
CP C phn
CSH Ch s hu
D Gi tr n vay
DCF Phng php chit khu dng tin
DNTN Doanh nghip t nhn
DT Doanh thu
BSCL ng bng sng Cu Long
VT n v tnh
E Gi tr vn ch s hu
EBIT Li nhun trc thu v li vay
EMS Emerging market scoring
FCFF Dng tin t do ca cng ty
LS Li sut
NH Ngn hng
NHNN Ngn hng Nh nc
RIR T l ti u t
ROC Sut sinh li trn vn
SSL Sut sinh li
TNHH Trch nhim hu hn
TNDN Thu nhp doanh nghip
TS Ti sn
UBND y Ban Nhn Dn
V Tng ngun vn cng ty
VTS Li ch l chn thu t n vay
WACC Chi ph s dng vn bnh qun c trng s


3

MC LC
1. GII THIU ....................................................................................................... 4
1.1. M u ........................................................................................................... 4
1.2. B cc ca ti nghin cu .......................................................................... 4
2. TNG QUAN CC KT QU NGHIN CU TRC Y ...................... 5
2.1. Cc bi nghin cu ......................................................................................... 5
2.2. Nhn xt ......................................................................................................... 8
2.3. Cu hi nghin cu ......................................................................................... 8
3. PHNG PHP NGHIN CU ...................................................................... 8
4. NI DUNG V KT QU NGHIN CU ...................................................... 9
4.1. C s l thuyt - Phng php gi tr hin ti c iu chnh - APV ................ 9
4.2. ng Dng Phng Php APV Vo nh Gi Cng Ty C Phn ng Bin
Ha (BHS) ............................................................................................................. 27
4.2.1. Phn tch v m Vit Nam (Ph Lc 2) ................................................... 27
4.2.2. Phn Tch Ngnh Ma ng (Ph Lc 3) ............................................. 27
4.2.3. Phn tch cng ty CP ng Bin Ha (BHS) (Ph Lc 4) .................... 27
4.2.4. Thm nh gi tr cng ty CP ng Bin Ha (BHS) ........................... 27
5. KT LUN ....................................................................................................... 30
5.1. Cc vn trong vic p dng phng php APV ........................................ 30
5.2. Kh nng p dng ca phng php vo th trng Vit Nam. ..................... 32
5.3. xut ca nhm nghin cu ....................................................................... 32
6. HN CH CA TI NGHIN CU ....................................................... 32




4

1. GII THIU
1.1. M u
Hot ng thm nh gi nc ta hin nay vn cn l mt ngnh mi m v c
nhiu tim nng pht trin trong tng lai. Khi Vit Nam dn n giai on tho g
cc ro cn bo h ra khi cc doanh nghip trong nc, cc cuc mua bn, sp nhp
doanh nghip din ra ngy cng si ng hn, qu trnh c phn ha doanh nghip nh
nc din ra mnh m hn,... y chnh l c hi cho ngnh thm nh gi pht trin.
Bn cnh cc c hi , cng c nhiu vn hn pht sinh trong nh gi doanh
nghip, i hi thm nh vin v gi cn linh hot s dng cc phng php nh gi
khc nhau trong tng trng hp khc nhau.
Hin nay, trong khung php lut nc ta c hai phng php thm nh gi tr
doanh nghip c s dng ph bin l phng php ti sn v phng php chit
khu dng tin (DCF), trong phng php chit khu dng tin thng c p
dng l chit khu dng tin t do ca cng ty FCFF. Tuy nhin, mt phng php
FCFF khng th gii quyt ht cho nhiu vn pht sinh, i hi cc thm nh vin
cn nhiu hn mt phng php mi trong nh gi. Vi ti ny, nhm nghin cu
mun gii thiu thm mt phng php mi trong nh gi doanh nghip - nm trong
khung phng php DCF - phng php gi tr hin ti c iu chnh (APV). Phng
php APV tch ring n ra khi dng tin t do ca cng ty, v tnh ring li ch ca
n vay i vi doanh nghip.
Phng php nh gi APV xut hin kh lu cc nc pht trin trn th gii,
tuy nhin, ti Vit Nam phng php ny vn cn kh mi m, v c kh t ti
nghin cu i su vo phng php APV cng nh p dng vo thc tin. u im
ca phng php APV l xem xt c li ch v ci gi phi b ra khi i vay bao gm
li ch t thu v kh nng ph sn, phng php ny cng c th c s dng
c tnh h s n vay ti u ca cng ty. Vi nhng l do , nhm quyt nh chn
ti p Dng Phng Php Gi Tr Hin Ti C iu Chnh (APV) Vo Thm
nh Gi Tr Doanh Nghip lm ti nghin cu.
1.2. B cc ca ti nghin cu
Bao gm 5 phn:
Phn 1: Trnh by l do chn ti c trnh by trn.
Phn 2: Tng quan cc kt qu nghin cu trc y Vit Nam v trn th gii.
5

Phn 3: Trnh by phng php nghin cu m nhm s dng khi thc hin ti ny.
Phn 4: Ni dung v kt qu nghin cu. Nghin cu phn tch su v phng php
APV v cc thng s lin quan n n nh: xc sut ph sn, chi ph ph sn,
li ch thu,... Sau , p dng phng php APV thm nh gi tr cng ty
c phn ng Bin Ha.
Phn 5: Kt lun. Bi nghin cu s cht li nhng g chng ti trnh by, nhng
hn ch m chng ti gp phi trong qu trnh nghin cu v kh nng ng
dng thc tin ca ti ny.
2. TNG QUAN CC KT QU NGHIN CU TRC Y
2.1. Cc bi nghin cu
Using APV: a Better tool for valuing operations_ Luehrman (1997)
1

Luehrman (1997) s dng phng php APV nh gi cng ty Acme - thuc
lnh vc cng nghip. Theo ng, phng php APV gm 4 bc:
Bc 1: D bo hiu qu hot ng ca doanh nghip, t d bo dng tin t do
(FCFF) trong tng lai.
Bc 2: c tnh sut chit khu (WACC) v chit khu FCFF ca cng ty v gi tr
hin ti, ta c tng gi tr hin ti dng tin t do ca ti sn.
Bc 3: nh gi tc ng ca l chn thu n gi tr ca cng ty.
Bc 4: c tnh gi tr ca APV bng cch cng PV (dng tin t do ca ti sn) vi
tc ng ca l chn thu (khon li ch t thu).
Bc 5: iu chnh gi tr cng ty theo cc li ch t quyn s hu, s sng to ca
nhn vin, vic qun l ca gim c iu hnh,
Trong bi nghin cu ny, Luehrman ch a ra nhng nt chnh trong vic vn
dng phng php vo xc nh gi tr doanh nghip t dng tin ca ti sn, cc
khon li ch t thu, ng nu ra ri ro ca doanh nghip gp phi (ri ro qun l, ri
ro tn dng,). Tuy nhin, cha phn tch r v vn ri ro ny.
Adjusted Present Value_University of Twente_KPMG (2007)
2


1
Luehrman, 1997. Using APV: A Better Tool for Valuing Operation. HarVard Business Review, May-June
1997, pp. 145-154.
2
Adjusted Present Value, University of Twente, KPMG (2007).
6

Bi nghin cu xoay quanh vn s khc nhau gia phng php chi ph vn
(FCFF) v phng php gi tr hin ti c iu chnh (APV).
Da vo Koller et al. (2005), Brealey & Myers (2003) v Damodaran (2002), tc
gi kt lun m hnh APV gm 3 bc:
Bc 1: Gi tr khng c n vay ca cng ty. y l gi tr ca dng tin t do FCFF
c chit khu vi sut chit khu l sut sinh li ca vn ch s hu (Ke).
Bc 2: c tnh chi ph ph sn, xc sut ph sn ca cng ty, t c tnh chi ph
ph sn d kin ca doanh nghip.
Bc 3: c tnh khon li ch t thu.
Trong bi nghin cu ny, tc gi trnh by cc vn v FCFF, beta, chi ph
ph sn d tnh, tnh khon li ch t thu. Tuy nhin, bi nghin cu cha phn tch
r cch tnh xc sut ph sn v chi ph ph sn, ch yu tc gi da vo kt qu ca
nhng bi nghin cu trc y gi nh m khng iu chnh cc s liu v
thc t cho ph hp.
On the Equivalence between the APV and the WACC Approach in a Growing
Leveraged Firm_Massari, F.Roncaglio and L. Zanetti (2007)
3

Nghin cu v tc ng ca n vay ln gi tr cng ty v chi ph s dng vn bnh
qun c trng s (WACC), bi nghin cu chng minh mt s gi nh bt thng lin
quan n vic s dng t l chit khu trong vic tnh ton gi tr hin ti ca l chn
thu, cch nh gi cc khon tit kim thu i vi cc cng ty ang pht trin.
Theo ng, nn chit khu cc khon li ch t thu bng chi ph n vay hn l
WACC nh nhng bi nghin cu trc , ng thi tc gi a ra cc u im ca
phng php APV: phng php APV cho thy r mt phn gi tr ca cng ty mt
phn l do khon tit kim thu t n vay.
A Note on Valuation Models: CCFs vs. APV vs WACC_Fabrice Bienfait (2006)
4

Fabrice Bienfait (2006) a ra ba phng php tip cn gi tr ca l chn thu
theo cc phng php: WACC, APV v CCF khc nhau.

3
Mario Massari et al, 2007. On the Equivalence Between the APV and the WACC Approach in a Growing
Leveraged Firm. European Financial Management, Vol.14, No.1, (2007), pp. 152-160.
4
Fabrice Bienfail, A Note on Valuation Model: CCFs vs. APV vs WACC. Cambridge: HarVard Business School,
pp. 1-8.
7

Cch tip cn WACC: xc nh gi tr ca l chn thu bng cch iu chnh chi
ph vn.
Cch tip cn APV: gi tr ca l chn thu c tnh ring t dng tin t do
khng c s dng vn vay.
Cch tip cn CCF: xc nh gi tr ca l chn thu bng cch kt hp n trong
dng lu chuyn tin mt.
Fabrice Bienfait cho rng vi phng php APV, nn s dng t l chit khu l
chi ph s dng n tnh hin gi cc khon li ch t thu, thay v s dng WACC
nh cc bi nghin cu trc y.
The Adjusted Present Value: An Alternative Approach to the Effect of Debt on
Business Value_ Marianne DeMario (2006)
5

Cng nh bi nghin cu ca Fabrice Bienfait (2006), bi nghin cu ny phn tch
kh r v cch tnh khon li ch t thu trong phng php APV, cc u im ca
phng php APV so vi cc phng php trc y, cch tip cn APV khi gii
quyt cc gi nh v thu, li ch thu ca n vay trong tng lai v vic xc nh cc
chi ph ti chnh gin tip.
Valuation: Measuring and Managing the Value of Companies Fourth Edition_Tim
Koller, Marc Goedhart, David Wessels (2000)
6

Nhm tc gi cho rng i vi mt cng ty c c cu vn thay i, khi nh gi
cng ty th nn s dng phng php gi tr hin ti c iu chnh (APV).
Theo cc tc gi, m hnh gi tr hin ti c iu chnh (APV) tch gi tr ca cng
ty thnh hai phn bao gm gi tr trong tt c cc hot ca cng ty v gi tr ca l
chn thu pht sinh t n vay:

APV =Gi tr doanh nghip khng c n by ti chnh +Li ch ca l chn thu

Bi nghin cu cp n trong mi trng khng c thu, cu trc vn khng
nh hng n gi tr doanh nghip, ch c chi ph ph sn mi nh hng n gi tr

5
Marianne DeMarino, 2006. The Adjust Present Value: An Alterlative Approach to the Effect of Debt on
Business Value. Timely News, Vol.12, No. 12, 2006, pp.1-4.
6
TimKoller et al, 2000. Measuring and Managing the Value of Companies, Fourth Edition. New York: Wiley,
pp. 122-125.
8

cng ty (Theo Modigliani v Miller). Tuy nhin, trn thc t, thu ng vai tr rt
quan trng trong qu trnh ra quyt nh v vic la chn c cu vn c th nh hng
n dng tin. Do , cc cng ty s gia tng n vay gim thu, v tc gi xc
nh c cu vn ti u ca cng ty. Khi tnh gi tr cng ty khng c n vay, ta chit
khu dng tin ca cng ty ti chi ph vn ch s hu. Trong bi nghin cu ny, tc
gi a ra 2 phng php xc nh chi ph vn ch s hu.
Tm li, gi tr ca cng ty s bng gi tr chit khu dng tin t do bng chi ph
vn ch s hu cng vi phn li ch t n vay. Tuy nhin, m hnh APV ca tc gi
khng nhc n chi ph ph sn, iu ny khng ng i vi thc t.
ng dng m hnh APV trong phn tch hot ng sp nhp v mua li cng ty
(M & A) ti cng ty _ Lun vn thc s ca Hong Th Khnh Tm (2007)
Ch yu trnh by v mua bn st nhp trn th trng v cn kh chung chung khi
trnh by phng php APV.
2.2. Nhn xt
Nhng bi nghin cu trc y tng hp kh y phng php gi tr hin
ti c iu chnh APV cng nh phn tch kh chi tit thnh phn trong cng thc
c tnh gi tr doanh nghip. Tuy nhin, cc bi nghin cu cn mt s hn ch cng
nh tnh hn hp trong kh nng p dng:
Nhng thnh phn nh: chi ph ph sn, xc sut ph sn cha c trnh by
c th nhng cch thc c th c tnh.
Nhng trng hp c th xy ra khi p dng phng php APV.
Kh nng p dng ca phng php APV ti Vit Nam.
2.3. Cu hi nghin cu
Trong tt c cc bi nghin cu u gii thiu cc cng thc trong phng php
APV tuy nhin cu hi t ra l chng ta s c tnh cc thnh phn trong cng thc
(Chi ph ph sn, xc sut ph sn, l chn thu) nh th no? V s ng dng
phng php APV ra sao trong vic thm nh gi tr doanh nghip Vit Nam khi
ngun s liu hn hp?


3. PHNG PHP NGHIN CU
9

Bi nghin cu c nghin cu da trn phng php h thng, tng hp, phn
tch, so snh, thng k h thng ha l lun, nu ln nhng ni dung ch yu v c
bn v phng php APV, a ra phn tch chi tit cc thnh phn trong cng thc
cng nh ng dng m hnh APV trong thc t thm nh gi gi tr mt doanh
nghip mu.
S liu cn thit trong ti ch yu c thu thp trn ngun d liu th cp: bo
co ti chnh cng ty, bo co ca cc ngn hng, t th trng chng khon,
4. NI DUNG V KT QU NGHIN CU
4.1. C s l thuyt - Phng php gi tr hin ti c iu chnh (APV)
Damodaran (2002) pht trin t cc nh nghin cu trc: Phng php APV c
hiu l phng php thm nh gi tr doanh nghip c s tnh n li ch t c v
c ci gi phi tr khi doanh nghip s dng n by ti chnh bng mt con s c
c tnh tuyt i. Theo Damodaran: Phng php APV bt u vi gi tr ca cng ty
khng c n vay (tc l khng c n by ti chnh). Khi tnh thm n vay, tc ng
thun ln gi tr s c kim tra bng cch xem xt c li ch t c v ci gi phi
b ra khi i vay. thc hin vic ny, ngi ta gi nh rng li ch thu v ci gi
ln nht ca vn i vay l ri ro v n - ri ro tng thm ca vic ph sn.
Gi tr doanh nghip =Gi tr doanh nghip khng n by +Li ch t l chn
thu ca n vay Chi ph ph sn d tnh ca doanh nghip.
Cc bc tin hnh
Bc 1: c tnh gi tr cng ty khng s dng n vay
Theo Damodaran (chng 15, nh gi u t) gi tr cng ty khng s dng n
by ti chnh c c tnh bng cch chit khu dng tin t do k vng ca cng ty
ti mc chi ph s dng vn c phn khng n by ti chnh.
Cc yu t u vo u tin ca phng php APV l dng tin t do k vng
FCFF, t l tng trng v chi ph s dng vn c phn khng c n by ti chnh.
Dng tin t do k vng ca cng ty ( FCFF)
FCFF l tng cc dng tin mt ca tt c nhng ngi c quyn li trong cng ty,
bao gm c ng, tri ch v c ng u i. C hai cch o lng dng tin t do
ca cng ty. Tnh dng tin thun ca cng ty:
Cch 1: Tnh tng cc dng tin sau: dng tin ca ngi c quyn li trong cng ty,
bao gm dng tin ca vn c phn (tc dng tin vn c phn - FCFE hoc c tc);
10

dng tin ca ngi cho vay, bao gm n gc, chi ph li vay v n mi pht hnh;
dng tin ca c ng u i (thng l c tc u i):
FCFF = FCFE + Chi ph li vay (1-Thu sut) + Cc khon tr n gc - Cc
chng khon n mi + C tc c phiu u i
Cch 2: c tnh tt c dng tin trc tt c cc quyn li ca ngi u t. Nh
vy, chng ta c th bt u vi li nhun trc thu v li vay, tr i khon np thu
v cc nhu cu ti u t tnh ra dng tin t do ca cng ty:
FCFF = EBIT*(1-Thu sut) + Chi ph khu hao - Chi vn - vn lu ng.
V dng tin ny c tnh trc cc khon thanh ton n vay nn ngi ta thng
hiu n l dng tin khng c n by ti chnh. Lu rng dng FCFF ny khng
tnh n bt c li ch thu no pht sinh t khon chi tr li vay.
T l tng trng
Theo l thuyt, c nhiu cch xc nh t l tng trng nh da vo s liu lch
s, phn tch ca chuyn gia, Theo Damodaran (2002), thng thng chng ta c
th s dng bt k mc tng trng gi nh no m chng ta cho l hp l nh gi
doanh nghip da trn cc tiu ch nh: t l tng trng ca doanh nghip trong lich
s, hot ng ca doanh nghip trong qu kh v hin ti
Bc 2: c tnh li thu ca n vay
Nhng nghin cu c gi tr c thc hin v vic nh gi dng tin. S khc
bit trong s nhng phng php v l thuyt khc nhau xc nh gi tr cng ty s
dng tin chit khu pht sinh t s khc bit trong tnh ton ca l chn thu. Chi ph
li vay l mt chi ph c tr t li nhun nhng khng c c khu tr thu cho
n, trong khi thu nhn c c tc hoc li nhun tch ly ph thuc vo phn thu.
Cc l thuyt khc nhau xut trnh tnh ton gi tr hin ti ca thu che chn.
Sau khi phn tch cc kt qu thu c nhng l thuyt ny s c chng minh rng
li ch thu ca n vay (VTS) khng phi l gi tr hin ti ca l chn thu chit khu
theo mt t l nht nh, thay v n l s khc bit gia hai gi tr hin ti: gi tr hin
ti b nh thu tr trong trng hp khng s dng vn vay cng ty tr i gi tr hin
ti ca np thu trong cng ty c s dng vn vay. Cc loi thu ca cc cng ty
khng s dng vn vay c kh nng thp hn so vi cc cng ty c s dng vn vay.
Trong phn sau y, mt s nghin cu v l thuyt ch yu c thc hin trong
cch tnh APV c trnh by:
11

Myers (1974)
Myers gii thiu phng php iu chnh gi tr hin ti (APV). Theo Myers,
gi tr ca cc cng ty c s dng vn vay bng vi gi tr ca cng ty khng c li ch
(Vu) cng vi gi tr hin ti ca l chn thu. Trn c s , Mayers trnh by cng
thc sau:
VTS = PV[K
d
;TDK
d
]
ng tin rng mc tit kim thu t n bng vi ri ro do n. Luehrman (1997),
cng khuyn co rng cc cng ty c th c nh gi bng phng php APV v c
th da vo l chn thu tnh ra gi tr ca cng ty:
PV = D + E = V
u
+ VTS
= PV[K
u
;FCF] + [K
d
;TDK
d
]
Benninga and Sarig (1997)
Benninga v Sarig khng nh rng c s hin din ca thu c nhn (PT) trong
tnh ton, do li th n thu nn c chit khu theo t l chit khu sau khi khu
tr thu c nhn. Theo l thuyt:
VTS = PV[K
d
(1-T
PD
);DK[(1 T
PD
)(1 T)(1 T
PA
)]]
Harris and Pringle (1985)
Hai nh nghin cu ny cho thy rng gi tr hin ti ca l chn thu cn c
chit khu chi ph vn vay cn thit khi khng s dng vn vay vn ch s hu
(Ku).
VTS = PV[K
d
;TDK
d
]
Cng trong tnh ton ca h, h xem xt WACC trc thu bng li nhun cn
thit ca vn c phn:
WACC = K
u
DK
d
T/(D + E)
Lewellen and Emery (1986)
Lewellen v Emery tin rng m hnh Miles & Ezzell l phng php logic trnh
by nht cho n thi im . Tuy nhin, trong phng php c gii thiu bi
Modigliani & Miler, l chn thu bng:
VTS = PV[Ku;TDKu]
Inselbag and Kaufold (1997)
H tin rng trong trng hp gi tr tin t ca khon n c nh, gi tr ca l chn
thu (VTS) c c a bng phng php Myers. Nu cng ty c t l n/gi tr
12

khng i, gi tr ca l chn thu (VTS) s c tnh ton thng qua cng thc ca
Miles v Ezell.
Inselbag v Kaufold cho rng nguy c t l n mc tiu cao hn n mc tiu hin
ti. Nu vy, gi tr hin ti ca thu ca cc doanh nghip c s dng vn vay cao
hn so vi cc vi cc khon n mc tiu v hu qu, gi tr hin ti ca l chn thu
cho cc cng ty nhm th hai nn thp v c iu tri ngc vi l thuyt trch dn bi
cc nh nghin cu ni trn.
Damodaran (2002)
Li ch thu l mt hm ca thu sut v khon thanh ton li vay c chit khu
ti mc chi ph n vay phn nh ri ro ca dng tin ny. Nu ta xem khon tit
kim thu tn ti vnh vin th:
Gi tr ca li ch thu = (Thu sut x chi ph n vay x n vay)/Chi ph n vay
= Thu sut x n vay = t
c
x D
Thu sut c s dng y l thu sut bin ca cng ty, c gi nh khng
i qua thi gian. Nu thu sut c d on l s thay i, chng ta c th c tnh
gi tr hin ti ca li ch thu qua thi gian nhng khng th s dng phng trnh
tng trng vnh vin. Thay vo ta phi iu chnh phng trnh ny nu chi ph li
vay hin ti khng phn nh c chi ph vn hin ti.
Nhn xt
Cc bi nghin cu phn tch chi tit v bn cht ca l chn thu t n vay tuy c
nhiu quan im tnh ton, nhng trong iu kin thng tin khng c minh bch nh
Vit Nam th kh khn trong vic d on n vay k vng trong tng lai ca doanh
nghip, nn bi nghin cu vn dng theo nghin cu ca Damodaran (2002), li ch
thu t n vay bng thu sut nhn vi khon thanh ton li vay c chit khu ti
mc chi ph n vay.
Bc 3: c tnh chi ph ph sn d tnh
PV (Chi ph ph sn d tnh) =Xc sut ph sn*PV (Chi Ph Ph Sn)
7

c tnh xc sut ph sn ca doanh nghip:

7
Damodaran, 2006. The Cost of Distress: Surviral, Trunkcation Risk and Valuation, trang 28.
13

M hnh Z- score ca Althan
8

M hnh d on xc sut ph sn Z - score c Altman gio s ngi M,
trng i hc New York pht trin vo nm 1968. M hnh ny c kim nghim l
d bo c mt cch chnh xc cng ty b ph sn trong vng 2 nm thng qua vic
xem xt n gi tr Z - score.
Z - score l mt s kt hp bn n nm t l kinh doanh vi cc trng s khc
nhau. Cc h s ny c Altman tp hp s liu t cc cng ty tuyn b ph
sn v nhng cng ty sng st vi s tng ng v ngnh cng nghip v gi tr
ti sn sau p dng phng php phn tch bit a ra kt qu h s Z - score.
Cng thc Z - score ban u nh sau:
Z = 0.012A
1
+ 0.014A
2
+ 0.033A
3
+ 0.006A
4
+ 0.999A
5

Trong :
A
1
= Vn lu ng/Tng ti sn. Cc bin php ti sn lu ng lin quan n kch
thc ca cng ty.
A
2
= Thu nhp gi li/Tng ti sn. Cc bin php li nhun phn nh tui ca cng
ty v kh nng kim tin.
A
3
= Thu nhp trc li vay v thu/Tng ti sn. Cc bin php hiu qu hot ng
ngoi thu v cc yu t thc y. N nhn ra li nhun hot ng l quan trng
i vi kh nng tn ti lu di.
A
4
=Gi tr ca th trng vn ch s hu/Gi tr s sch ca tng n phi tr.
A
5
=Doanh thu/Tng ti sn. Tiu chun o lng cho doanh thu tng ti sn (thay
i rt ln t ngnh cng nghip cho ngnh cng nghip).
Trong m hnh ny, cc bin t A
1
n A
4
iu phi c tnh ton l gi tr phn
trm. V d, mt cng ty c Vn lu ng/ Tng ti sn (A
1
) l 10% nn c a vo
m hnh trn vi gi tr 10,0% ch khng phi 0,1. Ring bin A
5
l Doanh thu/Tng
ti sn c gi nguyn, khng tnh t l phn trm.
Sau nhiu nm pht trin, ngi ta pht hin mt c im k thut thun tin
hn, a m hnh v dng:
Z = 1,2A
1
+ 1,4A
2
+ 3,3A
3
+ 0.6A
4
+ 1,0A
5


8
Can Altman Z-score Models Predict Business Failures in Greece?. Research Journal of International Studies,
no 12, October 2009, pp. 23 24.
14

Vi m hnh dng ny s liu ny, cc bin t A1 n A4 c gi nguyn, khng
a v gi tr phn trm.
Z 1,81: Doanh nghip nm trong khu vc nguy him, c nguy c ph sn.
1,81 <Z <2,99: Doanh nghip khng c vn trong ngn hn, nhng cn phi theo di.
Z 2,99: Doanh nm trong khu vc an ton, c vn ti chnh lnh mnh.
M hnh Z- score ca Altman (1993) on chnh xc 66% doanh nghip b ph
sn v 78% doanh nghip khng b ph sn trc mt nm. Nh nhng d on
kh chnh xc ca m hnh ny nn n c s dng khng ch ti M m cn c
ph bin ti nhiu quc gia trn th gii. Tuy nhin, m hnh ny khng ch ra c
thi gian ph sn d kin, iu ny cng d hiu, v vic ph sn ca mt doanh
nghip cn ph thuc vo tnh hnh kinh t, vic ph sn hp php khng bao gi c
th xy ra m bt chp tnh hnh khng hong.
Ngoi m hnh Z - score truyn thng trn s dng cho cc doanh nghip c
phn ha, Altman cng pht trin thm mt s m hnh Z, Z s dng cho cc khu
vc khc nh:
M hnh Z- score dng cho cc doanh nghip t nhn:
9

Z = 0,717 A
1
+ 0,847A
2
+ 3,107 A
3
+ 0,420A
4
+ 0,998A
5

Trong cc bin iu c gi ging vi m hnh c, ngoi tr bin A
4
vi vic
thay th gi tr s sch vn ch s hu cho gi tr th trng trong bin A
4
.
Z <1,23: DNTN nm trong vng nguy him, c nguy c ph sn cao.
Z >2,90: DNTN thuc khu vc an ton, khng c nguy c ph sn.
M hnh Z- score cho doanh nghip phi cng nghip:
Z = 6,56A
1
+ 3,26A
2
+ 6,72A
3
+ 1,05A
4

im sa i ca m hnh ny l n khng s dng bin A
5
: doanh thu/tng ti
sn. Gi tr s sch vn ch s hu c s dng cho bin A
4
trong trng hp ny.
Z <1,1: Doanh nghip thuc nhm nguy him, c nguy c ph sn.
Z >2,6: Doanh nghip thuc nhm an ton, khng c nguy c ph sn.
M hnh Zeta m hnh ri ro tn dng
10


9
Altman, Edward I., n.d. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA Models,
pp. 20 22.
10
Altman, Edward I., n.d. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA Models,
pp. 23 28.
15

Nm 1977, Altman, Haldeman v Narayanan xy dng m m hnh thuc th h
th hai vi nhiu ci tin hn so vi m hnh Z - score ban u.
Mc ch ca nghin cu ny l xy dng, phn tch v th nghim mt m
hnh phn loi ph sn mi, trong xem xt r rng hn nhng tht bi kinh doanh
gn y.
M hnh mi, c gi l ZETA c hiu qu trong vic phn loi cc cng ty b
ph sn n 5 nm trc khi tht bi da trn mt mu bao gm cc nh sn xut v
nh bn l.
L do c gng xy dng mt m hnh mi:
S thay i quy m, h s ti chnh v tht bi kinh doanh. Cc doanh nghip b
ph sn c quy m trung bnh tng ln ng k, vi hu qu, s quan tm t cc
t chc ti chnh v cng chng ln hn trc. Nghin cu ny s dng mt mu
cng ty b ph sn quy m ti sn trung bnh hai giai on bo co hng nm trc
khi tht bi l khong $100 triu. Khng c doanh nghip c ti sn t hn $20
triu USD.
M hnh quan tm n d liu thi gian.
Cc m hnh tht bi trong qu kh tp trung hoc phn loi rng ri ca cc nh
sn xut da trn ngnh cng nghip c th. Tuy nhin, vi nhng iu chnh thch
hp, nhng cng ty bn l, thuc nhm c bit d b bin ng, c th c phn
tch trn c s bnh ng vi cc nh sn xut.
Mt tnh nng quan trng ca nghin cu ny l cc d liu v ch thch bo co ti
chnh c phn tch mt cch thn trng bao gm nhng thay i gn y
nht trong cc tiu chun bo co ti chnh v thng l k ton c chp nhn.
kim tra v nh gi mt s kha cnh ca nhng tin b gn y v nhng
tranh ci ca phn tch bit.
M hnh mi ZETA dng nh l kh chnh xc khi xt n nm trc khi ph sn
vi phn loi 90% mu ca 1 nm trc v 70% chnh xc n nm nm.
Cc bin trong m hnh ZETA (7 bin):
X
1
: Li nhun trn ti sn, c o lng bng cc khon thu nhp trc
thu v li vay/tng ti sn.
16

X
2
: Tnh n nh ca thu nhp, c o lng bng bin php bnh thng
ha cc sai s chun ca c tnh xung quanh mt xu hng t 5-10 nm ca X
1
. Ri
ro kinh doanh thng c din t trong iu kin thu nhp bin ng.
X
3
: Dch v n, c o lng bng EBIT/chi ph li vay.
X
4
: Tch ly li nhun, c o bng thu nhp gi li/tng ti sn.
X
5
: Tnh thanh khon, c o bng t l hin hnh quen thuc, Vn lu
ng/tng ti sn.
X
6
: T l vn ch s hu, c o bng vn c phn thng/tng s vn.
X
7
: Quy m cng ty, c o lng bng tng ti sn cng ty.
Mc d ch s ZETA c chng minh l tt hn so ci m hnh Z - score v d
on xc sut ph sn ca doanh nghip, nhng nhm khng tm thy cc h s cho
m hnh ny, cng nh khong chn dnh cho nhng doanh nghip c nguy c ph
sn, nn khng th p dng c.
M hnh chm im th trng mi ni v quy trnh
11

Th trng mi ni cc khon tn dng ban u c th c phn tch mt cch
tng t nh c s dng cho phn tch truyn thng ca cc doanh nghip M. Sau
khi nh gi ri ro nh lng, mt phn tch sau c th s dng mt nh gi nh
tnh sa i cho cc yu t nh tin t v ri ro ngnh cng nghip, c im cng
nghip, v v th cnh tranh ca cng ty trong ngnh cng nghip . Mc khc ta
khng thng xuyn xy dng mt m hnh c th cho th trng mi ni ca mt
quc gia da trn mt mu t cc nc v thiu kinh nghim tn dng. i ph vi
vn ny, Altman, Hartzell v Peck (1995) sa i m hnh Z- score ca Altman
to ra m hnh t s th trng mi ni (EMS hay Z iu chnh).
Qu trnh pht sinh xp hng tn dng doanh nghip nh sau:
im s EMS c tnh ton, v nh gi tng ng thu c da trn hiu
chun im EMS vi xp hng tri phiu tng ng.
M hnh EM score:
EM score = 6,56 A
1
+ 3,26A
2
+ 6,72A
3
+ 1,05A
4
+3,25

11
Altman, Edwart I., 2005. An emerging market credit scoring systemfor corporate bonds, Emerging
Markets Review 6 s.l., 2005, pp. 312 316.

17

Trong :
A
1
=vn lu ng/tng ti sn
A
2
=li nhun gi li/tng ti sn
A
3
=EBIT/tng ti sn
A
4
=gi tr s sch vn ch s hu/tng n phi tr
Hng s 3,25 trong m hnh c ly t trung bnh ca Z- score cho s ph sn
M, cho php chng ta chun ha cch phn tch m nh gi s v n tng
ng (D) l ph hp im di 0 (thc t s im di 1,75 c nh gi l D).
iu chnh nhng khon lm gim gi ngoi t. Tri phiu ca cng ty sau c
phn tch cc l hng ca cng ty pht hnh lin quan n vic tr n ngoi t. L
hng ny c nh gi da trn mi quan h gia cc khon thu ngoi t tr cc chi
ph, nh ph tn tht tin li bn ngoi, v thu ngoi t vi n bn ngoi. Cui cng,
mc lu chuyn tin mt c so snh vi khon n n hn trong nm ti. Nh
phn tch iu chnh nh gi xung ty thuc vo mc d b tn thng nhn thy.
Nu doanh nghip c l hng cao, c ngha l, doanh nghip c rt t hoc khng c
doanh thu bn ngoi, v/hoc rt thp hoc khng c t l doanh thu/n, v/hoc ti
khon thc t ca n ngoi t c tnh thanh khon rt thp, do xp hng tri phiu
tng ng bc 1 s thp hn ng 1 bc, v d BB+xung B+. mt s gim 1
mc (BB+xung BB) cho 1 s nh gi l hng trung tnh, nhng khng thay i
trong xp hng ri ro thp cho mt s mt gi tin t.
L hng cao =h 1 bc
L hng trung bnh =h 1 nc.
L hng thp = khng thay i.
nh gi l tip tc iu chnh xung (hoc tr ln) nu cng ty l trong mt ngnh
cng nghip c coi l tng i ri ro (hoc t ri ro hn) hn so vi nh gi tng
ng vi tri phiu t kt qu EMS u tin. Vic iu chnh ln xung khng vt
qu 2 nc tri phiu.
Z Score Rating Z Score Rating
>8,15 AAA 5,25 6,65 BB+
7,60 8,15 AA+ 4,95 5,25 BB
7,30 7,60 AA 4,75 4,95 BB-
18

7,00 7,30 AA- 4,50 4,75 B+
6,85 7,00 A+ 4,15 4,50 B
6,65 6,85 A 3,75 4,15 B-
6,40 6,65 A- 3,20 3,75 CCC+
6,25 6,40 BBB+ 2,50 3,20 CCC
5,85 6,25 BBB 1,75 2,50 CCC-
5,65 5,85 BBB- <1,75 D
Vng BBB AAA Vng an ton
B BBB- Vng cn theo di
D - BB Vng c nguy c v n cao
Ngun: Average Z - score by rating from In-Depth Data Corporation financial statemants.
nh gi l tip tc iu chnh ln hoc xung ty thuc vo v tr ca cng ty
trong ngnh. iu chnh ln xung 1 nc ty thuc vo li th cnh tranh ca cng ty
trong ngnh (cng ty c v th thng tr trong ngnh, sc mnh bn trong nh: quy m,
u th v chnh sch, v nng lc qun l).
Nu khon n c tnh nng c bit, chng hn nh ti sn th chp hoc bo lnh
hp php, nh gi iu chnh cho ph hp.
Cui cng, gi tr th trng ca vn ch s hu c thay th bi gi tr s sch
trong bin A
4
, v kt qu xp hng tri phiu tng ng c so snh. Nu c s
khc bit ng k trong xp hng tri phiu tng ng, nh gi cui cng c sa
i, ln v xung.
Xp hng tri phiu
Nhiu cng ty, c bit l Hoa k, c cc tri phiu c nh gi ri ro v n
bi cc c quan xp hng. Nhng s nh gi tri phiu khng ch cung cp thng tin
v ri ro v n (hoc t nht l cc c quan xp hng nhn thc c v ri ro v n),
m chng cn mang n mt lch s phong ph. Khi cc tri phiu c nh gi cao
trong nhiu thp k, chng ta c th xem xt lch s v n ca cc tri phiu trong mi
bc xp hng. Gi s, nu c quan xp hng khng thay i tiu chun xp hng ca
h, th ta c th s dng cc xc sut v n ny lam d liu u vo cho m hnh xc
nh gi tr bng dng tin chit khu. Altman v Kishore (2001) c nhng c tnh
xc sut v n cho tri phiu trong mi bc khc nhau trong thi gian 5 v 10 nm.
Kt qu c cho trong bng ph lc 1
19

Nhng hn ch ca phng php ny:
Giao trch nhim c tnh xc sut v n cho cc c quan xp hng v gi nh h
lm iu tt.
Gi nh cc tiu chun xp hng khng thay i theo thi gian.
Bng trn o lng kh nng v n trn tri phiu, nhng n khng bit nhng
cng ty v n c ngng kinh doanh hay khng?! Thc t, nhiu cng ty vn tip
tc hot ng mc d c mi lo ngi cho vic v n.
Trong bng trn Altman c tnh xc sut v n cho tri phiu AAA, AA, A,
BBB, BB, B v CCC. Phn cn li c Damodaran c tnh bng phng
php ni suy.
Xc nh xc sut v n da trn gi tri phiu
12

Phng php thng thng xc nh mt gi tr tr phiu l chit khu dng tin
ha hn trong tng lai ti mt chi ph n vay, m bao gm kh nng v n cho
ra mt mc gi. Xem xt mt phng php tip cn thay th khc, chit khu mt
dng tin d kin ca tri phiu, (n s thp hn so vi dng tin ha hn ca tri
phiu v loi tr xc sut v n), ti t l phi ri ro a ra gi tri phiu.
Nu gi nh rng c mt hng s xc sut v n hng nm, ta c phng trnh tnh
gi tri phiu nh sau cho mt thi hn thanh ton l N nm, tr li hng nm.
Ct trt phtu =
ttn lt (1 n
ph sn
)
(1 +r
I
)
t
N
t=1
+
mnh gt (1 n
ph sn
)
(1 +r
I
)
N

Vn cn gii quyt l xc sut v n hng nm khng i trong sut thi hn
ca tri phiu, b qua thc t rng xc sut v n hng nm s cao hn cho nhng nm
trc v gim dn cho nhng nm sau ny.
Trong khi phng php ny c u im bi s n gin, tuy nhin, chng ta cng
s cn cn thn trong vic s dng n:
u tin, lu rng chng ta khng ch cn phi tm mt tri phiu thng c
pht hnh bi cc cng ty - c bit cc tnh nng nh c th hon i s lm cho cch
tip cn ny khng s dng c - m cn gi tri phiu phi c sn. Nu pht hnh
tri phiu ti mt doanh nghip t nhn, iu ny s khng c tnh kh thi.

12
Damodaran, Aswath., 2006. The Cost of Distress: Survival, Truncation Risk and Valuation. New York: Stern
School of Business, pp. 20 21.
20

Th hai, xc sut c c tnh c th th khc nhau cho cc tri phiu khc nhau
do cng mt cng ty. Mt s nhng khc bit ny c th l bt ngun t cc gi nh,
chng ta gi nh rng xc sut v n hng nm vn cn c nh v nhng ngi
khc c th b vp phi t vic nh gi sai tri phiu.
Th ba, ging vi phng php tip cn trc , khng thc hin thanh ton n
khng lun lun dn n s chm dt hot ng.
Cui cng, m hnh gi nh rng li sut tri phiu hoc l thanh ton y hoc
khng thanh ton tt c, nu c mt s thanh ton mt phn ca li sut cng nh gi
tr v n, chng ti s c tnh xc sut v n ln hn khi s dng phng php ny.
Minh ha: c tnh xc sut ph sn bng cch s dng gi tri phiu: Global
Crossing
Cui nm 2001, Global Crossing pht hnh tri phiu coupon, li sut 12% vi
thi hn l 8 nm giao dch mc $653, mnh gi l $1000. c tnh xc sut v
n (vi t l tri phiu kho bc 5% c s dng nh t l phi ri ro):
653 =
120(1 n
ph sn
)
(1+0,05)
t
8
t=1
+
1000(1 n
ph sn
)
(1+0,05)
8

Sau khi tnh ton, ta c:

ph sn
=Xc sut v n hng nm = 13,53%
c tnh xc sut tch ly ph sn hn 10 nm:
Xc sut tch ly sng st 10 nm =(1 - 0,1353)10 =23,37%
Xc sut tch ly ph sn qua 10 nm =1 - 0,2337 =0,7663 (76,63%)
Kt hp phng php Cvar v m hnh Merton/KMV o lng ri ro v n
13

So vi Var, gi tr ri ro c iu kin (CvaR) c xem l mt thc o hiu qu
hn. CvaR c th o lng li tc cc bin (iu ny ngoi kh nng ca VaR trong
vic o lng ri ro th trng v tn dng. Ngi ta cng pht hin ra CvaR cho
nhng kt qu ph hp vi VaR trong vic o lng ri ro th trng v tn dng. hn
na, VaR khng biu th khong tn tht c th gp phi tr gi tr ngng u tin

13
L t Ch v L Tun Anh, 2012. Kt hp phng php CvaR v m hnh Merton/KMV o
lng ri ro v n bng chng thc nghim Vit Nam, Tp ch Pht trin & Hi nhp, s 5 thng 7-8/2012,
trang 12 -13.

21

c a ra bi thc o ny. Ngc li CvaR xc nh s lng tn tht c th gp
phi trong ui phn phi. Rockefeller & Uryasev (2002;2000) th nghin cu CvaR
i vi cc bi ton ti a ha danh mc u t v cng a ra nhng bng chng cho
thy CvaR hiu qu hn VaR.
Tc gi tin hnh nghin cu trn th trng Vit Nam trong giai on t nm
2007 n nm 2011, vi mu gm 179 doanh nghip ang nim yt trn sn HOSE v
sn HNX.
Tnh VaR v CvaR
tnh VaR, tc gi p dng theo phng php RiskMetrics (J.P. Morgan &
Reuters, 1996). Trong bi nghin cu, tc gi tnh VaR vn c phn cng vy, li tc
vn c phn c tnh cho mi nm bng cch s dng lm logarit theo gi tng i
ngy:
ln(
P
t
P
t-1
)
Tc l ly logarit ca t s gi hm nay (P
t
) chia cho gi ngy hm trc (P
t-1
). Khi
VaR vi tin cy (1-) ca cc gi tr li tc X c tnh nh sau:
FaR
(1-),X
=Z

.o
X

Trong : Z

l h s chun vi mc ngha .
Cch thc tnh CvaR tng t nh VaR ngoi tr vic chng ta s dng gi tr k
vng ca nhng khon l vt VaR (tc l trng hp xu nht li tc):
CFaR
(1-),X
=F[X|X FaR
(1-),X
]
Tnh DD/PD v CDD/CPD
tnh c khong cch ti v n DD v xc sut v n PD, chng ta s dng
cc cng thc sau:
DD =
ln(
F
F
) +[
F

1
2
o
F
2
T
o
F
T

PD = N(-DD)
Trong :
V: Gi tr th trng ca tng ti sn cng ty
F: N danh ngha ca cng ty

V
: Li tc k vng ca ti sn cng ty
v : bin ng gi tr ti sn ca cng ty
22

T: K o hn cc khon n ca cng ty
N(*): Hm phn phi chun tch ly
i vi mc ch bi nghin cu xc nh xc sut v n c iu kin (CPD) tc l
xc sut v n (PD) da trn iu kin lch chun ca li tc ti sn vt qu
lch chun tin cy 95%, tc l 5% trng hp xu nht ca li tc ti sn. Tc gi
tnh lch chun 5% xu nht ca li tc ti sn hng ngy i vi mi thi k
t c lch chun c iu kin (Cstdev). Sau tc gi thay th Cstdev bng
cng thc c s dng tnh DD, c c DD c iu kin (CDD). CPD c
tnh bng cch thay th DD bng CDD trong cng thc:
CDD =
ln [
F
F
+(
F
.5o
F
2
)T
Cxtdeu
F
T

CPD= N(-CDD)
Khi mc CVaR gim i, ng ngha vi mc ri ro tng ln.
c tnh xc sut ph sn ti cc doanh nghip ti Vit Nam
Mc d, c nhiu l thuyt v vic c tnh ph sn ca doanh nghip ca doanh
nghip, nhng l do ti Vit Nam, cng ty thng khng cng khai thng tin trn th
trng, hn na ti cc doanh nghip Vit Nam thng khng pht hnh tri phiu, do
phng php gi tri phiu gn nh ph sn. Do , nhm nghin cu quyt nh s
xp hng tn dng doanh nghip da theo cc tiu chun ca cc ngn hng ti Vit
Nam, sau da vo bng tri phiu v xc sut ph sn ca Altman a ra xc
sut ph sn ca doanh nghip .
M hnh xp hng tn dng c cc ngn hng ng dng ti Vit Nam
Ti Vit Nam, hin nay c 3 t chc phn loi tn dng: Cng ty C phn xp hng
tn nhim doanh nghip Vit Nam (CRV), Trung tm Thng tin Tn dng (CIC), v
cng ty TNHH THng tin Tn nhim v Xp hng Doanh nghip Vit Nam (Vietnam
Credit). Trong , Vietnam Credit l thnh vin duy nht ca Vit Nam c chn kt
ni vi Cng thng tin tn nhim chu .
K t khi Ngn hng Nh nc ban hnh Q 57 v Q 493, khuyn khch cc
ngn hng thng mi xy dng h thng xp hng tn dng ni b. V th, cc ngn
hng khc nhau thng c mt h thng tiu chun xp hng tn dng doanh nghip
khc nhau, v t cc ngn hng s c quyt nh cho vay da trn xp hng tn
23

dng ca tng doanh nghip. Ph lc trnh by mt h thng xp hng tn dng ni b
cho doanh nghip ca Vietconbank (2004), v ca ngn hng Pht trin nh BSCL.
c tnh chi ph ph sn doanh nghip
Theo Wruck (1990), chi ph ph sn gm hai bin:
Chi ph ph sn trc tip: chi ph v mt php l, hnh chnh, t vn, thanh ton
ca cng ty,
Chi ph ph sn gin tip: l nhng chi ph pht sinh khi ti chnh cng ty ang gp
kh khn, y c th c coi l chi ph c hi ca vic sn xut kinh doanh. c
th l chi ph lm gim cu i vi sn phm ca cng ty v lm tng chi ph sn xut;
chi ph c hi khi doanh nghip khng sn xut gii quyt khong hong v ti
chnh ca doanh nghip.
Weiss (1990) nh gi tm quan trng ca chi ph ph sn trc tip theo: gi tr th
trng ca vn ch s hu, gi tr s sch ca n vay v gi tr th trng ca vn ch
s hu, gi tr s sch ca tng ti sn.
Chi ph trc tip: bao gm cc chi ph nh l ph hnh chnh, cc chi ph ca lut
s, k ton v cc chuyn gia trong vic thc hin ph sn.
Chi ph gin tip: bao gm cc chi ph khng quan st c (chi ph c hi):
Gim doanh s v s suy gim trong gi tr ca hng tn kho
Tng chi ph iu hnh: c th lm mt cc nhn vin ch cht hoc phi tr tin
cho h gi h li khi cng ty gp kh khn. Cc nh cung cp c th t chi
cung cp nguyn vt liu theo cc iu kin tn dng trc y, lm tng chi ph
ca doanh nghip.
Gim kh nng cnh tranh ca cng ty.
Xc nh chi ph ph sn trc tip:
Theo Weiss (1990), Trn trung bnh, chi ph ph sn trc tip l 20,6% gi tr th
trng ca vn ch s hu (t 2,0% n 63,6%), 3,1% gi tr s sch ca n cng vi
gi tr th trng ca vn ch s hu (t 1,0% n 6,6%), v 2,8% gi tr s sch ca
tng ti sn (dao ng t 0,9% n 7,0%).
Theo Chen & Merville (1999), chi ph ph sn trc tip ca doanh nghip bng 5%
gi tr ca cng ty ti nm ti chnh gn nht v chi ph gin tip chim khong 8
10% gi tr ca cng ty ti nm ti chnh gn nht.
24

Theo Warner (1977), nghin cu: cc chi ph ph sn trc tip ca ngnh tuyn
ng st l khong 5% gi tr ca mt cng ty.
Theo Altman (1984), ng tnh ton cc chi ph ph sn trc tip vo khong 7,5%
gi tr doanh nghip bng cch s dng mt mu rng ln hn 19 cng ty b ph sn t
1974 n 1978.
Theo Ang, Chua, v Mc-Connell (1982), l ph hnh chnh (tng ng chi ph
ph sn trc tip) l khong 7,5% tng gi tr thanh l ti sn ca cng ty b ph sn.
Ti Vit Nam, theo ngh nh 189N-CP (23/12/1994) v vic Hng Dn Thi
Hnh Lut Ph Sn Doanh Nghip, chi ph gii quyt ph sn bao gm:
L ph To n gii quyt vic ph sn, do To n quyt nh theo quy nh ca
php lut v l ph;
Chi ph k bin, vn chuyn, thu hi, gim nh, bo qun, t chc bn u gi ti
sn; chi ph cho vic triu tp v tin hnh Hi ngh ch n (khng bao gm chi ph i
li v n ca cc ch n) c thanh ton theo thc chi do Thm phn ph trch vic
gii quyt v kin ph sn xt duyt; chi ph lin quan n vic thi hnh quyt nh
tuyn b ph sn c thanh ton theo thc chi trn c s quyt nh ca Trng
phng thi hnh n;
Mc th lao mi ngy lm vic cho mi thnh vin T qun l ti sn, T thanh
ton ti sn, Hi ng nh gi v nhng ngi tham gia cng ch thi hnh cc quyt
nh ca To n trong qu trnh gii quyt vic ph sn c tnh bng mt ngy tin
cng tc ph theo quy nh ca Nh nc.
Xc nh chi ph ph sn gin tip:
Theo Gurmeet Singh Bhabra and Yuan Yao (2011)
14
, cc chi ph ph sn gin tip
bao gm vic mt doanh s bn hng v li nhun do khng hong ti chnh, suy gim
th phn v gi tr vn ch s hu, hiu qu s dng cc ngun ti nguyn nh thi
gian qun l (chi ph c hi: thay v thi gian sn xut kinh doanh th phi dnh
thi gian x l cc vn ti chnh, php l,) v gim nng sut v nhn vin c th
b i khi cng ty ri vo khng hong.
Cc bc tin hnh: gm 4 bc:

14
Bhabra and Yuan Yao, 2011. Is Bankruptcy Costly? Recent Evidence on the Magnitude and Determinants of
Indirect Bankruptcy Costs. Journal of Applied Finance & Banking, vol.1, no.2, (2011), 39-68.
25

Bc 1: c tnh doanh thu ca cng ty v doanh thu trung bnh ngnh trong 10 nm
(T=10):
S
t,t
=a +b S
I,t

Trong ,
S
I,t
: doanh thu ca cng ty.
S
I,t
: doanh thu trung bnh ngnh.
Bc 2: Sau khi tm c b t m hnh hi quy bc 1, ta tin hnh d bo doanh
thu ca cng ty:
S
t,t
^
=a +b S
I,t

Bc 3: ta tnh c li nhun d kin ca cng ty da vo t sut sinh li trung bnh
lch s (PM):
P
t,t
e
=S
t,t
^
PM
Bc 4: S khc bit gia li nhun d kin v li nhun thc t c xem nh l chi
ph ph sn gin tip ca doanh nghip:
P
t,t
=P
t,t
P
t,t
e

Kt qu l chi ph ph sn gin tip khong 2%, 6,2% v 14,9% gi tr doanh
nghip tng ng vi 3 nm trc khi b ph sn (nm -3, -2, -1). Trong hi quy n
bin, h thy rng n by, mc cnh tranh, li nhun, tnh thanh khon v quy m
doanh nghip l cc yu t quan trng quyt nh chi ph ph sn gin tip ca doanh
nghip.
Tuy nhin, chi ph ph sn bao gm c chi ph ph sn trc tip v chi ph ph sn
gin tip. Do chi ph ph sn gin tip kh c tnh, v vy nn cc nh nghin cu
tnh chung c hai chi ph ny trn gi tr cng ty khng s dng n vay hoc trn gi
tr s sch ca tng ti sn.
Theo nghin cu ca Alman (1984), ng nghin cu 18 cng ty trong 3 nm
trc khi cc cng ty ny ph sn, sau tnh trung bnh cc khon chi ph ph sn.
Kt qu nghin cu nh sau:
26

Chi ph ph sn trung bnh l 12,4% gi tr cng ty 3 nm trc khi n ph sn; l
11,7% gi tr cng ty 2 nm trc khi n ph sn, l 11,2% gi tr cng ty 1 nm trc
khi n ph sn, v l 16,7%/gi tr cng ty nm cng ty ph sn.
Theo Andrade & Kaplan (1998), nghin cu chi ph ph sn ca cc cng ty ph
sn. H c cho rng chi ph ph sn bao gm tt c cc tn tht gy do n by n
vay cao, ch khng phi do khng hong kinh t. Kt qu cho thy cc chi ph ny t
10% - 20% gi tr ca cng ty mt nm trc khi cng ty ph sn v chi ph ny khng
vt qu 25% gi tr cng ty mt nm trc khi cng ty ph sn.
Tuy nhin, h khng kt lun rng kt qu trn l ng cho cc cng ty trong chi
cho hot ng R & D cao hoc cc doanh nghip tng trng cao.
Damodaran (2006, 2009), c tnh chi ph ph sn bng cch xem xt dng tin t
ti sn trong trng hp dng tin khng tng trng. Tuy nhin, cch tt nht
tnh c chi ph ph sn l tnh trn gi tr s sch ca ti sn. Mt cng ty khi gp
kh khn s phi bn ti sn ca h t hn gi tr ca dng tin d kin trong tng lai
m ti sn mang li. Nh vy ta s tnh c chi ph ph sn. Theo nghin cu ca
Damodaran, chi ph ny thng bng 20% gi tr s sch ca ti sn.
Nhn xt phn chi ph ph sn doanh nghip
Hu ht cc bi nghin cu u cho rng chi ph ph sn bao gm chi ph ph sn
trc tip v chi ph ph sn gin tip. Chi ph ph sn trc tip l cc chi ph v mt
hnh chnh, Chi ph ph sn gin tip l chi ph c hi trong thi k cng ty b khng
hong v mt ti chnh. Kt qu ca cc bi nghin cu u a ra mt kt qu gn
nh tng ng. Nhm nghin cu tng kt nh sau:
Chi ph ph sn trc tip: khong t 3% - 7.5% gi tr ca tng ti sn hay gi tr
ca cng ty khng c n vay.
Chi ph ph sn gin tip: khong t 10% - 20% gi tr ca cng ty khng c n
vay.
Ngoi ra, cn mt vi bi nghin cu a ra cch tnh tng hp cho c hai loi chi
ph ph sn da trn gi tr ca cng ty khng c n vay hoc da trn tng gi tr s
sch ca ti sn trong nm ti chnh gn nht trc . Kt qu cho thy chi ph ny
dao ng trong khong 10% - 25% gi tr s sch ca ti sn hoc gi tr cng ty
khng c n vay.
27

Cc cch tnh chi ph ph sn trc tip v gin tip ch yu cn c d liu ca cc
cng ty ph sn trong mt khong thi gian di, nh vy th mc chy hi quy
mi chnh xc v hiu qu. Tuy nhin ti th trng Vit Nam, do thng tin cn hn
ch nn vic thu thp d liu v chi ph ph sn ca cc cng ty l kh kh. V vy,
trong bi nghin cu ny, nghin cu s dng m hnh ca Gurmeet Singh Bhabra and
Yuan Yao (2011) c tnh chi ph ph sn gin tip.
i vi chi ph ph sn trc tip: do nhm khng th thu thp c d liu ca cc
cng ty ph sn, c bit l chi ph ph sn ca cc cng ty , m cc m hnh tnh
ton nhm nghin cu c ch yu l s dng m hnh hi quy vi d liu v chi ph
ca cc cng ty ph sn. Chnh v vy nn nhm nghin cu gi nh v chi ph ph
sn trc tip da trn kt qu ca cc bi nghin cu trc y, mc d kt qu ny c
th khng chnh xc ti th trng Vit Nam.
4.2. ng Dng Phng Php APV Vo nh Gi Cng Ty C Phn ng
Bin Ha (BHS)
4.2.1. Phn tch v m Vit Nam (Ph Lc 2)
4.2.2. Phn Tch Ngnh Ma ng (Ph Lc 3)
4.2.3. Phn tch cng ty CP ng Bin Ha (BHS) (Ph Lc 4)
4.2.4. Thm nh gi tr cng ty CP ng Bin Ha (BHS)
c tnh gi tr cng ty khi khng c n by ti chnh
Giai on tng trng nhanh 5 nm (2012-2016)
EBIT*(1-T) 165.994.474.275
ROC 18,5%
RIR 34,23%
G 6,3%
K
e
13,8%
Giai on tng trng gim dn 5 nm (2017-2021)
G Gim tuyn tnh 0,2%/nm
RIR Gim tuyn tnh 1,62%/nm
K
e
Tng tuyn tnh 0,4%/nm
Giai on tng trng n nh
G 5%
28

ROC 20,4%
Ke 16,0%
Gi tr ti sn hot ng ca cng ty 1.231.133.627.835
Tin v cc khon tng ng tin 178.778.249.429
Gi tr ca cng ty 1.409.911.877.264
(Xem ph lc 5 - 13)
c tnh li ch l chn thu t n vay:
Li ch l chn thu s c tnh ton bng thu sut thu thu nhp doanh nghip nhn
vi n vay ca doanh nghip trong nm gn nht vi thi im thm nh.
VTS =Tc*D =25%*466.050.757.217 =116.512.689.304 (VN)
Chi Ph Ph Sn D Tnh:
c Tnh Xc Sut Ph Sn
p dng thc tin cho Cng ty C phn ng Bin Ha (BHS) theo tiu chun xp
hng tn dng ca Ngn hng Pht trin nh BSCL.
Doanh nghip BHS c xp vo nhm ngnh cng nghip ch bin thc phm.
Bc 1: Xc nh quy m doanh nghip
Khon mc Gi tr im
Vn kinh doanh ca doanh nghip 548.499.013.542 30
Doanh thu thun 2.564.622.002.294 40
Np ngn sch 12.784.481.531 15
S lao ng 730 ngi 9
Tng im 94
Doanh nghip c xp vo doanh nghip c quy m ln.
Bc 2: nh Gi cc ch tiu ti chnh
Ch tiu ti chnh
Trng
s
Tiu chun i vi doanh
nghip c quy m ln
im
Tng
im
Cc ch tiu thanh khon

Kh nng thanh ton ngn hn 2 1,027 3 6
Kh nng thanh ton nhanh 1 0,668 3 3
Cc ch tiu hot ng

Vng quay hng tn kho 3 7,259 5 15
29

K thu tin bnh qun 3 34,849 5 15
Hiu qu s dng ti sn 3 2,233 4 12
Cc ch tiu n

N phi tr/Tng ti sn 3 57,21% 3 9
N phi tr/Vn CSH 3 133,68% 4 12
N qu hn/tng d n ngn hng 3

Cc ch tiu thu nhp

Tng thu nhp trc thu/Doanh thu
thun
2 6,24% 5 10
Tng thu nhp trc thu/Ti sn c 2 13,93% 5 10
Tng thu nhp trc thu/Vn CSH 2 30,62% 5 10
Tng im 102
Xp hng tn dng ca doanh nghip BHS l A. Doanh nghip hot ng kinh
doanh c hiu qu, c tim nng pht trin, ti chnh lnh mnh, ri ro thp. Tng
ng vi xc sut ph sn trong 10 nm trong bng xp hng tn dng ca Altman l
0,56% (Ph lc 14,15).
Mc d tiu chun xp hng tn dng doanh nghip ca Ngn hng Vietcombank
kh y hn, nhng do vn d liu thc hin xp hng theo ngn hng ny b
hn ch bi mt s ch l ti liu thuc ngn hng, nn nhm nghin cu quyt nh s
dng tiu chun xp hng tn dng ca ngn hng PTN BSCL.
c Tnh Chi Ph Ph Sn
Nhm nghin cu thc hin tnh chi ph ph sn gin tip ca Cng Ty C Phn
ng Bin Ha (BHS) theo m hnh ca Gurmeet Singh Bhabra and Yuan Yao
(2011) (Ph lc 16)
P
I.t
=P
I.t
P
I.t
c
=676.985.447.528147.233.195.788 =529.752.251.740
Tip theo, do hn ch v thng tin (khng c d liu ca cc cng ty ph sn),
nn nhm nghin cu gi nh chi ph ph sn trc tip theo nh kt qu ca cc m
hnh trc y mc d kt qu ny cha chun xc vi th trng Vit Nam. Nhm
nghin cu gi nh chi ph ph sn trc tip bng 5% gi tr s sch ca tng ti sn.
Chi ph ph sn trc tip =5%*Tng ti sn (2011)
=5%*1.281.737.217.308 =64.086.860.865 (VN)
Chi ph ph sn =chi ph ph sn trc tip +chi ph ph sn gin tip
30

=64.086.860.865 +529.752.251.740 =593.839.112.605 (VN).
Chi Ph Ph Sn D Tnh = Xc sut ph sn*PV(Chi Ph Ph Sn)
= 0,56%*593.839.112.605 = 3.325.499.031 (VN)
Gi tr doanh nghip c n by c c tnh:
Gi tr doanh nghip = Gi tr doanh nghip khng n by + Li ch l chnh
thu - Chi ph ph sn d tnh
= 1.409.911.877.264 + 116.512.689.304 3.325.499.031
= 1.523.099.067.537 (VN)
Hn ch ca m hnh:
D liu ca cc cng ty cn hn ch (T<10 nm).
D liu c ly t BCTC ca cng ty nn chnh xc ca m hnh ph thuc
vo chnh xc ca BCTC.
5. KT LUN
5.1. Cc vn trong vic p dng phng php APV
Kh xc nh vn n trong tng lai ca doanh nghip.
C nhiu phng php c tnh xc sut ph sn ca doanh nghip, th nhng
hu ht ch l phng php nh tnh. Nhng bi nghin cu trc y ch yu xc
sut ph sn da trn vic gi nh, c tnh, cha tht s chnh xc.
Vic tnh xc sut ph sn da trn xp hng tn dng cng gp vn trong vic
thng nht xp hng tn dng. Thc t, ti Vit Nam hu nh mi ngn hng s c mt
h thng tiu chun xp hng tn dng doanh nghip khc nhau, do kt qu xp
hng tin dng cng c kh nng khc nhau cc ngn hng, nn vic xc nh xc sut
ph sn khng th a ra mt kt qu thng nht. Hn na, vic xc nh xc sut ph
sn l da trn xc sut v n khi xp hng tn dng, nhng ta khng th chc chn
c cng ty v n c ngng kinh doanh hay khng? V thc t vn c cng ty tip
tc hot ng mc d c nguy c v n cao.
Phng php c tnh xc sut ph sn da trn gi tri phiu cng gp vn kh
p dng Vit Nam, v hu ht cc doanh nghip Vit Nam khng c pht hnh tri
phiu, v xc sut ph sn hng nm cng khng c nh nh gi nh ca phng
php ny.
V phng php c tnh xc sut v n da trn CvaR v m hnh Meton/KMV
ca hai tc gi L t Ch v L Tun Anh th c mt s bin ta kh c th xc nh
31

c nh: li tc k vng t ti sn cng ty, bin ng gi tr ti sn ca cng ty
hay hm phn phi chun tch ly. y l kh khn c th p dng phng php
ny vo thc t.
Hu ht cc bi nghin cu u cho rng chi ph ph sn bao gm chi ph ph sn
trc tip v chi ph ph sn gin tip. Chi ph ph sn trc tip l chnh ph v mt
hnh chnh, Chi ph ph sn gin tip l chi ph c hi trong thi k cng ty b khng
hong v mt ti chnh. Kt qu ca cc bi nghin cu u a ra mt kt qu gn
nh tng ng. Nghin cu tng kt nh sau:
Chi ph ph sn trc tip: khong t 3%-7,5% gi tr ca tng ti sn hay gi tr ca
cng ty khng c n vay.
Chi ph ph sn gin tip: khong t 10%-20% gi tr ca cng ty khng c n vay
Ngoi ra, cn mt vi bi nghin cu a ra cch tnh tng hp cho c hai loi chi
ph ph sn da trn gi tr ca cng ty khng c n vay hoc da trn tng gi tr s
sch ca ti sn trong nm ti chnh gn nht trc . kt qu cho thy chi ph ny
dao ng trong khong 10%-25% gi tr s sch ca ti sn hoc gi tr cng ty khng
c n vay.
Cc cch tnh chi ph ph sn trc tip v gin tip ch yu cn c d liu ca cc
cng ty ph sn trong mt khong thi gian di, nh vy th mc chy hi quy
mi chnh xc v hiu qu. Tuy nhin ti th trng Vit Nam, do thng tin cn hn
ch nn vic thu thp d liu v chi ph ph sn ca cc cng ty l kh kh. V vy,
trong bi nghin cu ny, nghin cu s dng m hnh ca Gurmeet Singh Bhabra and
Yuan Yao (2011) c tnh chi ph ph sn gin tip.
i vi chi ph ph sn trc tip: do nhm khng th thu thp c d liu ca cc
cng ty ph sn, c bit l chi ph ph sn ca cc cng ty , m cc m hnh tnh
ton nhm nghin cu c ch yu l s dng m hnh hi quy vi d liu v chi ph
ca cc cng ty ph sn. Chnh v vy nn nhm nghin cu gi nh v chi ph ph
sn trc tip da trn kt qu ca cc bi nghin cu trc y, mc d kt qu ny c
th khng chnh xc ti th trng Vit Nam.
Hn ch ca nhm khi s dng m hnh ca Gurmeet Singh Bhabra and Yuan Yao
(2011) tnh ton chi ph ph sn trc tip l thng tin. Trong m hnh i hi d
liu ca ngnh v ca cng ty cn nh gi ti thiu l 10 nm. Tuy nhin, do th
trng chng khon Vit Nam mi thnh lp nm 2001, v cc cng ty ch yu mi
32

nim yt trn sn giao dch chng khon t nm 2006, mt s nim yt trn sn tr
hn. Nh vy thng tin vn cha c chun xc, kt qu c th b sai lch.
5.2. Kh nng p dng ca phng php vo th trng Vit Nam.
Nh trnh by trn phng php APV c nhiu u im ni bt so vi cc
phng php khc dng cch tip cn thu nhp nu c c tnh cn thn. Do
phng php tch li ch ca l chn thu t li vay v chi ph ph sn ca doanh
nghip do khi s dng phng php, thm nh vin s c nhiu c s thuyt
phc hn v tnh hp l ca gi gi tr doanh nghip s cao hn. Do v mt l
thuyt Phng php APV ng c khuyn khch s dng khi thm nh gi tr
doanh nghip.
i vi th trng Vit Nam, ngun thng tin khng minh bch nn kh nng p
dng cn kh hn ch, s rt kh khn khi tm kim s liu tnh ton, c bit l chi
ph ph sn ca doanh nghip.
5.3. xut ca nhm nghin cu
T nhng kh khn khi p dng trn, Nhm a ra cc xut sau:
Nn c mt c s d liu y v chi ph ph sn c tnh ca doanh nghip,
hoc l s minh bch trong chi ph ph sn ca nhng doanh nghip c php
ph sn s dng lm doanh nghip so snh khi cn thit.
C nhng tiu chun c th d tnh cu trc n ca doanh nghip trong tng
li, iu ny c th da vo nh hng pht trin ca doanh nghip, ngnh, chnh
sch tin t, li sut,
Xy dng mt c s d liu c tnh cc ch s xp hn tn nhim doanh
nghip.
6. HN CH CA TI NGHIN CU
Cha bao qut, trnh by ht tt c nghin cu trc y, do hn ch v thi gian
cng nh kh nng tm ti liu nc ngoi ca nhm cn cha tht s thnh tho.
Nhm cha a ra c d on v cu trc n trong tng lai tnh ton li ch
thu t li vay ca doanh nghip.
Cha trnh by chi tit c th cch tnh ton chi ph ph sn trc tip m ch a ra
gi nh.
M hnh tng trng trong vic nh gi cng ty CP ng Bin Ha cn mang
tnh ch quan.
33

TI LIU THAM KHO
Ti liu tham kho l Ting Vit
1. Chnh ph nc CHXHCN Vit Nam, 1994. Ngh nh 189N-CP ngy
23/12/1994 ca Chnh ph v vic Hng Dn Thi Hnh Lut Ph Sn Doanh
Nghip.
2. Hay Sinh v Nguyn Kim c, 2012. c tnh h s beta trong thm nh gi
tr doanh nghip t l thuyt n thc tin. Tp ch pht trin v hi nhp s 4
(14), thng 5 6/2012.
3. Hay Sinh v Trn Bch Vn, 2011. Gio trnh nguyn l thm nh gi. H Ch
Minh: Nh xut bn Tng Hp.
4. Hay Sinh, 2010. cng bi ging Thm nh gi doanh nghip.
5. L t Ch v L Tun Anh, 2012. Kt hp phng php CvaR v m hnh
Merton / KMV o lng ri ro v n bng chng thc nghim Vit Nam.
Tp ch Pht trin & Hi nhp, s 5 thng 7-8/2012, trang 12 -13.
6. L Tt Thnh, 2012. Cm nang xp hng tn dng doanh nghip. H Ch Minh:
Nh xut bn tng hp.
7. L Xun Ngha, 2012. Bi ging: Kinh t Vit Nam giai on 2006 2011 v
Trin vng 2012 2015. H Ni.
8. Nguyn Minh Kiu, 2011. Tn dng v thm nh tn dng ngn hng. H Ch
Minh: Nh xut bn lao ng v x hi.

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34

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Evidence from Highly Leveraged Transactions That Became Distressed.
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Magnitude and Determinants of Indirect Bankruptcy Costs. Journal of Applied
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WACC Approach in a Growing Leveraged Firm. European Financial
Management, Vol.14, No.1, (2007), pp. 152-160.
35

18. Mohsen Dastgir et al, 2010. Cash Flow Valuation Using Capital Cash Flow
Method Comparing IT With Free Cash Flow Method And Adjust Present Value
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