Bi 3-1

Gi s bn v hu ht cc nh u t khc u hy vng t l lm pht nm ti l 7%, gim xung 5%

nm tip theo, v cc nm sau l 3%. Gi s k* l 2% v MRP ca tri phiu kho bc tng t 0 trn
tri phiu sp o hn trong vi ngy, vi mc tng 0.2% / nm cho n khi o hn, ti ti a l 1%
trn tri phiu c k hn t 5 nm tr ln
a. Tnh li sut ca tri phiu kho bc c k hn 1, 2, 3, 4, 5, 10, v 20 nm. V ng li sut
b. By gi xem tri phiu ca mt cng ty c hng tn dng l AAA, c cc k hn nh tri phiu kho
bc. V i khi ng li sut ca tri phiu ny trn cng th vi ng li sut cu a. (Lu :
ri ro v n ca tri phiu di hn so vi ngn hn)
c. Th v ng li sut ca tri phiu ca mt nh my in ht nhn trn cng th
GII
IP1=7%
MRP1=0.2%
kt1=?
IP2=5%
MRP2=0.4%
kt2=?
IP3=3%
MRP3=0.6%
kt3=?
IP4=3%
MRP4=0.8%
kt4=?
IP5=3%
MRP5=1% (ti a)
kt5=?
*
k =2%
kt10=?
kt20=?
Cu a:
Theo cng thc tnh li sut ta c:
k = k* + IP + DRP + LP + MRP
M DRP = LP = 0 (tri phiu kho bc)
Nn k = k* + IP + MRP
*
*
*
*
*
*
*
V ng li sut
Cu b:
Tri phiu ca 1 cng ty c hng tn dng l AAA nn LP = 0; DRP > 0
V DRP tng dn theo thi gian t k hn 1 nm n 20 nm, v ri ro v n di hn s ln hn ngn
hn.
Cu c:
Tri phiu ca mt nh my in ht nhn s c DRP v LP rt ln nn ng li sut ca n s c dng
nh hai ng trn nhng nm v tr cao hn trn h trc ta

Bi 3.3
Gi s hin nay li sut hng nm ca tri phiu kho bc c k hn 2 nm l 11.5%, cn ca tri
phiu k hn 1 nm l 10%, k* l 3%, v MRP l 0.
a. Dng l thuyt k vng d bo li sut ca tri phiu k hn 1 nm nm ti.(Theo l thuyt k vng

H s beta trong danh mc u t ban u:

Sau khi bn i 1 c phiu c
H s beta trong danh mc u t khi mua li 1 c phiu c

Bi 4- 6: (THI)
Gi s bn qun l. 4 triu $ ca mt qu u t. Qu gm 4 c phiu vi vn u t v h s beta nh
sau:
C phiu
Vn u t
beta
A
400.000
1,5
B
600.000
(0,5)
C
1.000.000
1,25
D
2.000.000
0,75
Nu li sut yu cu ca th trng l 14% v li sut khng ri ro l 6%, tnh li sut yu cu
ca qu? (12.1)

Bi lm:
Cch 1: p dng cng thc: Ks = KRF + ( Km KRF)
Ks: Li sut ca c phiu
KRF: Li sut ca tri phiu chnh ph = li sut phi ri ro
Km: Li sut th trng
Li sut ca tng loi c phiu l:
KA = 6% + 1.5 ( 14% - 6%) = 18%
KB= 6% + (-0.5) ( 14% - 6%) = 2%
KC = 6% + 1,25 (14% -6%) = 16%
KD = 6% + 0.75 ( 14%-6%) = 12%
Li sut yu cu ca qu:
18% * 400.000
K=

2%*600.000
+

4.000.000

16%*1.000.000
+

4.000.000

12%*2.000.000
+

4.000.000

4.000.000

= 1.8% + 0.3% + 4% + 6%
= 12.1 %

Cch 2
- h s beta ca danh mc:
p = (0,4/4)* 1,5 + (0,6/4)*(-0,5) + (1/4)*1,25 + (2/4)*0,75 = 0,7625
- sut sinh li cn thit ca danh mc:
Kp = krf + ( km krf ) p = 6% + (14% - 6%)* 0,7625 = 12,1%

Bi Thi L2(C Qu):

Gi s rng bn l ngi qun l 1 qu u t c 40 t ng. Qu gm c 4 c phiu vi mc u t v
h s beta nh sau:
C phiu
mc u t
beta
A
4 t
1,5
B
6 t
(0,5)
C
10 t
1,25
D
20 t
0,75
nu sut sinh li trung bnh ca th trng l 24% v sut sinh li phi ri ro l 9%, sut sinh li cn thit
ca qu u t l bao nhiu?
Bi gii:
- h s beta ca danh mc:
p = (4/40)* 1,5 + (6/40)*(-0,5) + (10/40)*1,25 + (20/40)*0,75 = 0,7625
- sut sinh li cn thit ca danh mc:
Kp = krf + ( km krf ) p = 9% + (24% - 9%)* 0,7625 = 20,4375%

Bi 5-27

Gi s rng bn tha k mt s tin. Bn gi ca bn ang lm vic trong mt cng ty mi gii, v ng

ch c ta ang bn mt s chng khon c nhn $50 mi cui nm trong 3 nm ti, cng thm s
tin $1,050 vo cui nm th t. C y ni vi bn l c y c th mua gim cho bn s chng khon
vi gi $900. Tin ca bn by gi ang u t vo ngn hng vi li sut danh ngha l 8%, tnh gp
hng qu. i vi bn u t vo chng khon hay gi ngn hng vn an ton v tnh thanh khon l
nh nhau, v vy bn yu cu li sut thc khi u t vo chng khon phi ging nh gi ngn hng.
(8.24%) Bn phi tnh ton gi chng khon xem n c l mt u t tt khng. Hin gi ca chng
khon theo bn l bao nhiu? (893.16)
GII
* Li sut tch hp hng nm khi gi ngn hng:
*Yu cu li sut thc khi u t vo chng khon phi ging nh gi ngn hng:
* Hin gi chng khon:
Hin gi ca chng khon ch l 893.26($) m ta cn phi b ra 900($) mua, vy y khng phi
l mt u t tt.

Bi 5-28:
Gi s D ca bn bn mt cn nh ngy 31/12, v ngi mua cn n li mt s tin l 10.000 $. Khon
n ny s phi tnh li vi li sut danh ngha 10%, tr dn mi 6 thng, bt u t 30/6, trong vng 10
nm. Tng s tin li phi tr trong nm u tin l bao nhiu? (985)

e. Vo nm 1979, tri phiu ca sn bay Los Angeles c phn loi l tri phiu chit khu.
iu g xy ra vi gi ca tri phiu chit khu khi n gn o hn? Gi c ng nhin tng
vi cc tri phiu ny khng?
f. Tin li chia cho th gi tri phiu c gi l li sut hin ti ca tri phiu. Vi cc gi
thit trong phn c, tnh li sut tri phiu vo (1) thng hai nm 1979 v (2) thng hai nm 1991? Tnh
li sut t chnh lch gi v li sut ti o hn ca tri phiu vo hai thi im trn?
GII
a.
b.

Do gi tri phiu pht hnh bng mnh gi nn li sut ti o hn bng li sut cung phiu.
Ta c cng thc:
Hay

Dng phng php ni suy:

Khi i = 5%

V1 = 819.6 USD

Khi i = 6%

V2 = 727.6 USD

Khi i = 7%

V3 = 648.5 USD

;
Ta dng cng thc:
Vy li sut o hn thi im thng 2/1979 l 6.98%.
c.

Do li sut n nh t nm 1979, tc li sut t 1979 l 6.98%.

Gi tri phiu t thng 2/1991, khi cn 5 nm na o hn:

d.
e.

Nu ngy mai l ngy o hn th gi tri phiu (nu khng k tin li) s bng mnh gi tri
phiu.
Gi x l li sut cung phiu

Tri phiu chit khu l tri phiu c gi thp hn mnh gi. iu ny xy ra khi li sut th trng
ln hn li sut cung phiu, tc i > x
Vy

> 0, tri phiu chit khu lun tng gi nu li sut th trng

lun ln hn li sut cung phiu.

f) Li sut hin ti ca TP vo thng 2/1979
Li sut hin ti ca TP vo thng 2/1991
LS chnh lch gi1979 = 1.75%
LS chnh lch gi1991 = 3%
Ta c li sut (LS) tri phiu = LS hin ti + LS t chnh lch gi, lun lun bng 6.98%

Bi 6-14: (THI)
Vo ngy 1 / 1 / 1992 bn nh mua tri phiu ca cng ty Nast pht hnh vo ngy 1 / 1 /
1990. Tri phiu ny c k hn 30 nm v li sut cung phiu l 9.5%. C iu khon m bo
khng thu hi trong vng 5 nm k t ngy pht hnh. Sau thi gian tri phiu c th c
thu hi vi gi l 109% mnh gi, tc 1,090$. Li sut th trng gim k t khi pht hnh v
hin nay gi ca tri phiu l 116.575% mnh gi, hay 1,165.75 $. Bn mun xc nh li sut
ti o hn (YTM) v li sut ti khi thu hi (YTC) ca tri phiu ny. (Lu : YTC xem xt
nh hng ca iu khon thu hi trn li sut c th c ca tri phiu. Khi tnh ton chng ta
gi nh rng tri phiu s lu hnh cho n ngy thu hi. Nh vy nh u t s nhn tin li
trong thi k tri phiu cha thu hi v gi thu hi, trong trng hp ny l 1,090$, vo ngy thu
hi tri phiu.
a. YTM ca tri phiu ny nm 1992 l bao nhiu? YTC?
b. Nu bn mua tri phiu ny, bn ngh li sut hng nm thc s ca n l bao nhiu? Gii
thch lp lun ca bn
c. Gi s tri phiu ang bn di mnh gi. YTM hay YTC ng xem xt?

Bi 7-11:
Bng sau y cho gi tr EPS (thu nhp trn mi c phn) ca cng ty Barenbaum trong 10 nm qua. C
phiu thng ca cng ty, 7.8 triu c phn ang lu hnh, hin ang bn vi gi 65 $ mi c phn
(1/1/1992), v c tc mong i vo cui nm nay (1992) l 55% ca EPS nm 1991. V cc nh u t
hy vng xu hng trong qu kh vn tip tc, g c th da trn tc tng trng ca thu nhp. (tng
trng ca 9 nm c phn nh trong s liu:
Nm
EPS
Nm
EPS
1982
3.9
1987
5.83
1983
4.21
1988
6.19
1984
4.55
1989
6.68
1985
4.91
1990
7.22
1986
5.31
1991
7.80
Li sut hin nay trn cc khong n mi l 9 %.Thu sut thu thu nhp 40%. Cu trc vn
c xem l ti u nh sau:
N
$ 104.000.000
Cc khon li chung$ 156.000.000
Tng cng
$ 260.000.000
a. Tnh chi ph sau thu ca n mi (5.4%) v chi ph vn c phn ca Barenbaum, gi s vn c phn
mi ch c c t li nhun gi li. H.y tnh chi ph vn c phn theo cng thc:
ks = D1 / P0 + g = 6.6 + 8 = 14.6%
b. Tnh chi ph vn trung bnh ca Barenbaum, mt ln na gi nh rng cng ty khng pht hnh thm
c phiu thng v tt c cc khon n u c chi ph l 9%. (10.92)
c. Cng ty c th u t bao nhiu trc khi huy ng thm vn c phn t cc c ng mi? (Gi s
li nhun gi li nm 1992 l 45% so vi nm 1991. Li nhun gi li nm 1991 c c bng cch
nhn EPS ca nm 1991 vi s c phn hin hnh) (45.63)
d. Tnh chi ph vn trung bnh ca Barenbaum (chi ph cc ngun vn huy ng s tng khi vt qu s
lng tnh ton phn c) nu pht hnh thm c phiu mi vi gi $ 65 mt phn, trong cng ty
nhn c $ 58,5 mi c phiu, chi ph n vn khng i (11.34)
Bi 7-12
Doanh nghip Hawley c cu trc vn nh sau, c xem l ti u trong iu kin hin nay:
N (Di hn) 45%
Vn c ng
55%
Tng ngun vn
100%
Nm ti cc nh qun l hy vng kim c $2,5 triu li nhun sau thu. T trc n nay cng ty
chi 60% li nhun cho c ng v s tip tc ch trng ny. Mt cam kt mi y vi ngn hng cho
php cng ty vay tin theo sp xp sau:
Tin vay
0 - $ 500,000

Li sut
9% trn khon vay ny

Tng cng s tin vay l 818.18 vy cn vay c thm 900-818.18=81.82 li sut 11%.Tng
ng vi vay 81.82 l pht hnh thm ra =100 c phiu mi
Bc nhy 3 l ti im vay 900 vi li sut 11% v li nhun gi li l 1000 v pht hnh c phiu
mi l 100(trong c 81.82 vay thm v 100 vn t pht hnh c phiu mi)
Bc nhy 3 = 900/0.45 = 2000
WACC 3 = 6,6%*45%+16,6%*55% = 12.13%
WACC 4 l ti thi im vay trn 900 vi li sut 13%
WACC = 7,8%*45%+16,6%*55%=12.67%
Cu c: V th
Wacc2 11.9%
Wacc3 12.13%
Wacc4 12.67%
1111.11
1818.18
2000
675
900
375
562.5
750
16%
15%
14%
12%
11%

Biu ISO v MCC

Cu d:
Ban qun tr d n s chp nhn d n 1,2,3
Cu e:
Cch lm trn gi nh cc d n c ri ro trung bnh. Nu cc d n ri ro hn trung bnh th cn iu
chnh li cc WACC
Cu f: Nu cng ty thay i t l chia c tc thnh 0% hay 100% hay gi tr no khc s lm thay i
li nhun gi li (khng cn l 1000). Lc im nhy tng ng vi vn c phn c s thay i

Bi 7-13
Cng ty in lc Florida (FEC) ch s dng n v vn ch s hu. Cng ty c th vay khng gii hn vi
mc li sut 10% min l n ti tr theo ng cu trc vn mc tiu i hi phi c 45% n v vn ch
s hu l 55%. C tc gn y nht l 2 $. Tc tng trng bnh qun ca cng ty l 4%, gi c
phiu l 25 $ v c phiu mi sau khi tr chi ph s em li cho cng ty 20 $. Thu sut thu thu nhp
ca FEC l 40% v cng ty hy vng kim c 100 triu $ li nhun trong nm nay. Hai d n ang c
sn l:
D n A c chi ph u t l 200 triu $ v li sut l 13%
D n B c chi ph u t l 125 triu $ v li sut l 10%
Tt c cc d n ca cng ty u c ri ro bng nhau.

a. Chi ph vn c phn pht hnh thm ca FEC l bao nhiu?

b. Chi ph vn bin, ngha l mc tng ca WACC c dng khi nh gi cc d n c
d ton ngn sch (hai d n ny v thm bt k d n no khc c th pht sinh trong nm,
min l biu chi ph vn vn nh hin nay), ca FEC l bao nhiu?
GII
Cu a.
D1 = Do*(1+g) = 2*(1+0.04) = 2.08.
g = 4% bi cho.
Po*(1-F) = 25*(1-0.2) = 20
Ke = 4% + 2.08/20 =14.4%
Cu b.
Ta c cu trc vn ca cng ty l t l n 45% v vn ch s hu l 55%.
Chi ph vay n: Kd*(1 T) = 10%*(1- 40%) = 6%
Chi ph vn c phn c: Ks = g + D1/Po = 4% + 2.08/25 = 12.32%
Chi ph vn c phn mi nh tnh cu a th Ke = 14.4%
D n A: c chi ph u t l 200 triu $.
ti tr bng vn ch s hu: 0.55*200 = 110 triu.
ti tr bng n: 0.45*200 = 90 triu.
Vn c phn c l 100 triu s to ra im nhy trong chi ph vn bin (MCC) ti gi tr 181.81 triu $.
Vn huy ng trong gii hn ny c chi ph vn l:
WACC1 = 0.45*6% + 0.55*12.32% = 9.48%
Vt qu gii hn ny, chi ph vn s l:
WACC2 = 0.45*6% + 0.55*14.4% = 10.62%
S vn 200 triu ti tr cho d n A gm hai phn, 181.81 triu v 18.18 triu s c hai WACC khc
nhau. T tnh c chi ph vn trung bnh ca d n A
WACCa = (181.81/200)*9.48% + (18.18/200)*10.62% = 9.6%
C th tnh bng cch khc nh sau:
Do li nhun gi li ch c 100 triu nn 10 triu cn li phi c ti tr bng vic pht hnh c phiu
mi. Ngha l trong 55% vn ch s hu s c 50% l vn c v 5% l vn mi
=>WACCa = 0.45*6% + 0.50*12.32% + 0.05*14.4% = 9.6%
D n B: c chi ph u t l 125 triu $.
Ti tr bng Vn ch s hu: 0.55*125 = 68.75 triu
Ti tr bng vay n: 0.45*125 = 56.25 triu
WACCb = 0.45*6% + 0.55*14.4% = 10.62%
Bi 8-4:
D n S c chi ph l $15000 v ngn lu thu c l $4500/nm trong 5 nm. D n L c chi ph l
$37500 v ngn lu thu c l $11100/nm trong 5 nm. Tnh NPV, IRR v MIRR ca c hai d n
bit chi ph vn l 14%. D n no s c chn, gi s chng loi tr nhau, vi mi phng php sp
hng? Cui cng nn chn ci no? (S: 449; 15.24%; 14.67%) (L: 607; 14.67%; 14.36%)
GII