Kinh Te Quc dn

Mn TTCK

BI TP MN TH TRNG CHNG KHON

LP NGN HNG
Bi 1:
Bn phn tch doanh nghip X. Gi hin hnh l 20.000, EPS ca nm
trc l 2000, ROE l 12% v gi nh khng i trong tng lai. C tc
chim 40% li nhun, li sut khng ri ro danh ngha l 7%. T sut sinh
li k vng ca th trng (Rm) l 12% v h s ca doanh nghip X c
xc nh bng di y:
Nm
Mc sinh li
CP X (Ri)
TT (Rm)
1
19.00%
4.00%
2
-9.00%
-12%
3
6.00%
1.00%
4
30.00%
-4.00%
5
10.00%
-3.00%
Hy nh gi chng khon ca doanh nghip X v a ra khuyn co ca
bn?
Bi gii:
- H s i
CP X
Nm (Ri) TT(Rm) Ri - E(Ri)

Rm E(Rm)

1
2
3
4
5
TB

0.068
-0.092
0.038
-0.012
-0.002

i =

19.00% 4%
-9.00% -12%
6.00% 1%
30.00% -4%
10.00% -3%
11.2% -2.8%
Cov ( i, m )

( m)
2

0.078
-0.202
-0.052
0.188
-0.012

[Rm -E(Rm)]2

[Ri -E(Ri)]*[Rm - E(Rm)]

0.004624
0.008464
0.001444
0.000144
0.000004
0.002936

0.005304
0.018584
-0.001976
-0.002256
0.000024
0.00492

0.00492
= 1.6757
0.002936

Trong Cov(i,m) = {[Ri E(Ri) ] * [Rm E(Rm) ] }/(N-1)

= 0.01968/4=0.00492
2m = [Rm E (Rm) ]2/N = 0.01468/5 = 0.002936
Bi tp nhm

Kinh Te Quc dn

Mn TTCK

T sut sinh li yu cu:

k = rf + *(rm rf) = 7 + 1.6757*(12 7) = 15.378% = 0.15378
T l tng trng:
g = b* ROE = (1 0.4) * 0.12 = 0.072
C tc nm trc: D0
D0 = E0* (1 b) = 2000 * (1 + 0.6) = 8000
C tc nm ti: D1
D1 = D0 * (1 + g) = 8000 * (1 + 0.072) = 8576
nh gi c phiu: P0
P0 = D0 / (k - g) = 8576 / (0.15378 0.072) = 10486.67
Nh vy nh gi c phiu ca cng ty X nh hn gi nim yt trn th
trng.
Khuyn co l nn bn c phiu.
Bi 2:
Hai tri phiu A v B c mnh gi 1000$, thi hn 4 nm, li sut danh
ngha 9%, trong tri phiu A l tri phiu Coupon, tri phiu B l tri
phiu nin kim c nh.
- Mt nh u t cho rng vi mc ri ro ca tri phiu, nh u t
ny yu cu t l li tc vi tng tri phiu ln lt l 8% v 10%. vi t l
li tc yu cu , gi m nh u t c th chp nhn l bao nhiu?
- Trn trung tm giao dch, cc tri phiu trn c yt gi ln lt l
97,5% v 105%. Xc nh t l li tc yu cu ca tng tri phiu trn?
- Tm co gin ca cc tri phiu trn. Cc nh kinh t d bo li sut
th trng gim 0,5%. vi thng tin hy nh gi nh hng ca li sut
ti tng tri phiu.
Bi gii:
a. gi m nh u t c th chp nhn i vi tng tri phiu:
Tri phiu coupon (A):
Gi tr hin ti ca tri phiu A
I
PV = *
K

Trong :

(1+ k ) 1 + C
(1+ k ) (1+ k )
n

I = C * i = 1000 *0.09 = 90$

k = 0.08
n=4

Bi tp nhm

Kinh Te Quc dn

Mn TTCK

90
PV =
*
0.08

(1+ 0.08) 1 + 1000

(1+ 0.08) (1+ 0.08)
4

= 1033.1212$

Vy vi mc k vng yu cu l 8% nh u t c th chp nhn mc gi

i vi tri phiu A l 1033.1212 $.
Tri phiu nin kim c nh (B):
Gi tr hin ti ca tri phiu B:
n

PV b =
t =1

(1+ k )

Gi tr ca nin kim:
a=

(1+ i)
(1+ i) 1

C *i *

(1+ 0.09)
(1+ 0.09) 1

1000 * 0.09 *

= 3086686$

1
1
1
1

=
308
.
6686
+
+
+
= 978.4379 $
PV b
1
2
3
4

1.1 1.1 1.1 1.1

Nh vy vi t l li tc yu cu l 10% th nh u t c th chp nhn

mua tri phiu B vi mc gi 978,4379$.
b. Xc nh t l li tc yu cu:
Gi ca 2 tri phiu nim yt trn th trng ln lt l: 975$ v 1050$
Tri phiu A:
Theo gi thit ta c P0A = 975 < 1033.1212 = PVA
ka > k = 8%
(1)
Th k1 = 9.5%
PV1 = 983.9776 > 975 = P0A
ka > k1 = 9.5% (2)
Th k2 = 10%
PV2 = 968.3013 < 975 = P0A
ka < k2 = 10% (3)
p dng cng thc ni suy tuyn tnh ta c:

PV P
PV PV
2

Bi tp nhm

0A
1

10

9.5 10

Kinh Te Quc dn

Mn TTCK

= 10

0,5 * ( 968,3013 975 )

= 9,7863%
968,3013 983,9776

Vy ka = 9.7863%
Tri phiu B:
Theo gi thit ta c P0B = 1050 > 978.4379 = PVB
kb < k = 10%

(1)

Th k1 = 7%
PV1 = 1045.5257$ < 1050$ = P0B
kb < k1 = 7%

(2)

Th k2 = 6.5%
PV2 = 1057.4364 > 1050 = P0B
kb > k2 = 6.5%

(3)

p dng cng thc:

PV P
PV PV
2

0A

6.5

7 6.5

= 6.5 +

1057.4364 1050
= 6.8121 %
1057.4364 1045 .5257

Vy kb = 6.8121%
Vy vi mc gi nim yt trn th trng P0A = 975$; P0B = 1050$ th nh
u t s yu cu t l li tc ln lt l 9.7863 % v 6.8121 %.
c. co gin ca cc tri phiu
Tri phiu A:
n

Bi tp nhm

t =1

t * CFt

(1+ k )
P

x
P

0A

Kinh Te Quc dn

Mn TTCK

1
1

2 * 90

3 * 90

4 * ( 90 + 10000 )

1.097863 1.097863 1.097863 1.097863

= 3436 .55213

3436.55213
= 3.5247
975

Khi li sut th trng gim 0.5%

P = - MD * i = - Du *i/(1+ k)
P = - 3.5247 * (-0.5)/1.097863 = 1.6052%
Vy khi li sut th trng gim 0.5% th gi tri phiu A tng 1.6052%
Tri phiu B:
n

D
X

t =1

t * It

(1+ k )
P

0B

X
P

0B

1
1
1
1

=
308
.
6686
*
+
+
+
1
2
3
4
b

1.068121 1.068121 1.068121 1.068121

Xb = 2538.5534

2538 .5534
= 2.4176
1050

Khi li sut th trng gim 0.5% th:

P = - MD * i = - Du *i/(1+ k)
P = - 2.4176 * (-0.5)/1.068121 = 1.1317 %
Vy khi li sut th trng gim 0.5% th gi tri phiu B tng 1.1317%.

Bi tp nhm

Kinh Te Quc dn

Mn TTCK

Danh sch tho lun nhm 3 mn TTCK

1. V Th Minh Trang
2. Nguyn Th Hng Chm
3. Bi Th Phng Tho (A)
4. Trn Th Mai
5. Nguyn Vit c
6. Hong Th Kim Dung
7. Trn S Qung
8. L Th Thanh Ho
9. Nguyn Th Thu H
10.H Th Nga
11.Nguyn Chnh Hong
12.Phm Vn Bc
13.Nguyn Th Qunh
14.Phm Quc Cng
15.B i Th Hu (TCDN)
16.Nguy n Th Ki u Oanh (TCDN)

Bi tp nhm