» » > BAU Ttf TAI CHINH
UfNG DUNG MO HINH DINH GIA TAI SAN VON (CAPM) DE LVTA CHQN CO PHIEU DAU T l /
ThS. Trdn Vdn Tri
Phdn viin Phu Yin • Hgc viin Ngdn hdng
Tdm tdt: Xudt phdt td md hinh ly thuyit vi dinh gid tdi sdn (CAPM), tdc gid dd chi ra rdng di nhd ddu tU (NBT) cd thi xdc dinh thu nhdp ky vgng trin m0t tdi sdn bdt k^, thi chl cdn biit hiip phuang sai - "beta" • cda tdi sdn dd vdi cdp ddu tu thi trudng. Trin ca sd dd, tdc gid dd xdy dung md hinh kinh ti lUgng di Udc lugng hi sd "beta" cda m^t sd md ed phiiu trin hai sdn chUng khodn Hd mi vd Tp. Hd Chi Minh. Kit qud Udc lUgng hi sd beta cda mdt sd md cd phiiu trin hai sdn chdng khodn dd chl ra mUc dd rdi ro ddi vdi cdc cd phiiu Id rdt khdc nhau vi thi viic ddu tu cdn da dgng hda di gidm thiiu rdi ro.
TU khda: Md hinh dinh gid tdi sdn vdn, cd phiiu ddu tU, nhd ddu tu.
G i d i t h i g u c h u n g
M6 hinh dinh gid tdi san v i n CAPM (Capital Assets Pricing Model) dUdc Shape, Lintner, Mossin ddt nen mong xay dUng vd phdt t r i l n vdo nhflng ndm 60 (Le Thi Mai Linh, 2003).
Md h i n h CAPM h i l u dien m l i quan h$
gifla ldi n h u d n vd rui ro k^ vgng eua c h d n g k h o a n . T r o n g md h i n h ndy, ldi n h u d n eua m | t c h d n g k h o d n bao g i m lgi n h u ^ n phi rui ro cdng vdi p h d n bu rui ro hd t h i n g cua c h d n g k h o d n dd (phdn rui ro phi hg t h i n g xem n h u bdng k h d n g nhd vdo vi^e da d a n g h d a d a n h muc ddu tU). T h d n g qua md h i n h ndy, cdc NDT cd t h i dU bdo t h u n h ^ p cua chdng k h o d n dUa vdo hg s l rui ro b e t a cua c h d n g khodn dd.
Trong khudn k h i bdi v i i t ndy, tdc gid k h d n g t u s d n g tao md h i n h mdi md chi vdn dung md h i n h de p h d n tich vd lua chgn c l p h i l u ddu t u t r o n g d i l u kl^n t h i trUdng chdng k h o d n Vigt Nam hign nay. Thdng qua vide xfiy dung md h i n h k i n h t l lUdng vd thUc n g h i d m Udc lugng he s l "beta" cua mgt sd' e l p h i l u tdc gid m u l n gidi thi$u khd n d n g sd dung md h i n h CAPM n h u Id cdng eu t r o n g vi§e p h d n
tich vd lua chgn e l p h i l u ddu t u t r e n thi t r u d n g c h d n g k h o d n Vigt N a m .
Mo h i n h d i n h g i a t a i s a n vd'n C A P M Md hinh todn
Bdi todn: Gia sd t a xdt b o a t dgng cua thi t r u d n g tdi chinh vdi td't ed ede tdi sdn (trong dd cd tdi sdn phi rui ro) .
Nd'u ggi: N Id t i n g a l tdi s a n rui ro; p^ Id gid eua tdi sdn a vdi a = 0,..., A; Xj^ Id iddng tdi sdn a md NDT i mua; X;^ Id t y 1§ eua cdi ddu td cua NDT i dUdc gifl t r o n g tdi sdn a. Neu Wi Id t i n g lugng ddu t u t r o n g t ^ t cd cdc tdi sdn, t h i x,^ = p^ Xi„ IW; vd do dd E^^Q ^m = ^J (Xi(,,...,Xi^) Id d a n h muc vd'n ddu td (cdp diu tu) cua cdc tdi sdn do NDT i gifl.
Chu y r d n g m | t cfip ddu tU dUfle k;^ hidu bli cdc ty 1§ cua eua eai ddu t u vao m l i trong cdc tdi sdn da cho; V^^ Id gid t r i tdi san a S t r a n g thdi t u nhidn s t r o n g k^ t h d hai; ^^ 1^
gid t r i cda t a i sdn a t r o n g k^ t h d hai dugc xem n h u mOt b i l n ngdu nhidn; Rgg Id (ting) thu hoach t r d n tdi sdn a d t r a n g thdi s. Theo
^ Cdngnghe n g a n h a n g
Stf76»ThSng 7/2012
D^UTiriAICHfNH
dinh nghia, Ras^^aB^Pal ^ o * ^ " S **^" hoach t r e n tai san a dugc xem n h u mgt bie'n ngdu nhidn.
Biln ngdu nhidn R^ n h d n gid t r i R^ vdi xdc suit Jt,; R„ = S ! = i ^ s ^ ^ = ^^- ^^ **^" hoach k J vong trdn tdi san a; RQ Id t i n g thu hoach trdn tai sdn khdng cd mao h i i m ; a^^ = cov(B^^jjld hi?p phuong sai gifla cdc thu hoach trdn cdc tdi san a vd b.
NDT tham gia vdo t h i trUdng se chgn cdp ddu td sao cho rui ro cdc t i l u md vdn ddm bdo dugc lgi Ich mong doi t r o n g p h a m vi ngdn sdch eho phdp.
Khi dd: • - ^ V^
' " • •••^•^ a = 0 6 = 0
a = 0 A
0=0
Gidi md hinh trdn vdi ede gid t r i ddt bi^t a = 0 vd a = m tdc ddu tU vdo danh muc bao g i m tdi san phi rui ro vd danh muc thi trUdng:
Ra=Rn+- -{R'n-Ro)
Ddy Id k i t qud cd b a n cua CAPM. Nd cung cap ndi dung thUc nghi$m eho t i l n thudng mao h i i m : t i l n t h u d n g mao h i i m Id higp phuong sai cua tdi s a n a vdi cap dau tU t h i trddng chia cho phUdng sai cua cdp dau td thi trudng n h d n vdi thu n h d p tfing t h e m t r d n cdp ddu t u t h i trUdng.
Thdnh phdn a^^ I a^^ ed t h i coi Id h^ so h l i quy ly thuye't eua quan h§ hoi quy eua R^ theo R^. Do dd, t h d n h p h a n ndy thudng dugc v i i t Id pg. Su thay the ndy eho t a dang culi eung cija CAPM: _
Ra=R^+PARm-R^)
(Nguyin Khde Minh, 2011)
"beta"cua tdi sdn dd - higp phUdng sai cua nd vdi edp ddu t u t h i trudng. LUu ^ r d n g phUdng sai cua thu n h ^ p tdi sdn Id khdng thich hdp;
vfi'n d l khdng phdi id "tinh mao b i l m ridng"
cua tdi sdn, md Id thu n h ^ p trdn tdi sdn ndy ddng gdp t h i ndo vdo t i n h mao b i l m d a n h muc ddu tu. Vi trong md hinh CAPM, mgi ngudi gifl cung mgt danh mue ddu tU g i i n g nhau cua cdc tdi sdn mao h i i m , d i l u quan t r g n g Id mgt tdi sdn dnh budng t h i ndo d i i vdi rui ro cda danh mue ddu tU.
Ndt hfifp ddn cua CAPM Id nd bao hdm nhflng t h d td r a cd t h i quan sdt thdc nghidm dugc:
thu nhdp k^ vgng trdn danh mue ddu tU cua cdc tdi sdn mao b i l m vd hg sd' hoi quy cua quan hf hoi quy lidn hg thu nhdp trdn m | t tdi sdn cu t h i vd thu nhdp t r e n danh muc thi trUdng. Tuy nhidn, phdi nhd rdng xfiy dUng 15^ t h u y l t thich hdp Id edp ddu tU cua t a t cd cdc tdi sdn mao hiem; vigc ndy khdng de quan sdt.
Mo hinh kinh te lUgng cda CAPM Xudt phdt tfl ngi dung kinh t l , t a xdy dung md h i n h todn n h d m ldm cdc tieu rui ro trong ddu tu. Tuy nhien, d l md hinh ly t h u y l t eo t h e thuc nghiem dugc chdng ta can b l sung n h i i u vdo md hinh:
E(Ri) = Rf + P * [ E ( R M ) - Rf] + u;
(*)
Trong dd; Uj Id n h i i u , Rj Id loi sud't eua tdi sdn i, Rf la lgi sud't cua tdi san phi rui ro (tin p h i l u kho bac), R^ Id lgi sud't cua danh muc t h i trudng, [ E ( R M ) - Rf] Id phdn bu rui ro.
Tfl phuong trinh (*) biln doi v l phUdng trinh dang E(Ri) - Rf = P * [ E ( R M ) - Rf] + U. (**)
tfdc lUdng [E(Ri) - Rf] theo [E(R„) - Rf] vdi phuong t r i n h (**) t a dUOe h? s l p CAPM ndi ldn r d n g d l xdc dinh t h u n h ^ p k J Tuy nhidn, d l ddm bdo k i t qud Udc Iddng vong trdn m d t t a i s a n bfift kjr, t a chi cdn b i i t chudn xdc khi sd dung, cdc c h u l i thdi gian
cdngngh# n g a n hang p n
Stf76»Thdng7/2012 U I
» > » BAU Tif TAI CHI'NH
T r u n g b i n h Sai s ^ chu£n Trung vi DO l§ch chuSn Phucmg sai mSu Gi^ t r i M n h S t Gi6 t r i IcSn n h S t
Trung b i n h Sai s6 chu&i Trung vi DO lOch chulCn Phucmg sai mSu Gid t r i nhd nhlTt Gift t r i Idn nhg't
B&ng 1: Thd'ng ke t6m t^t 86' li$u
H N X - I n d e x 173.261 2.687 153.800 92.224 8505.270 66.700 469.360 V N - I n d e i 668.188 6.219 491.190 230.191 62987.883 236.600 1170.670
R F 0.000 0.000 0.000 0.000 0.000 0.000 0.000 B F 0.000 0.000 0.000 0.000 0.000 0.000 0.000
A C B 34.113 0.426 28.641 16.161 229.860 16.317 86.996 SAM 22.060 0.532 13.310 19.700 388.100 4.300 77.820
B V S 42.747 0.954 30.131 33.740 1138.400 8.063 145.770 R E E 21.010 0.332 16.560 12.290 151.100 6.905 66.110
P V C 21.719 0.347 18.898 11.107 123.360 9.3061 88.501 S S I 32.420 0.461 28.720 16.270 264.700 9.764 85.780
P V 8 26.47if 0.443 23.060 14.472 209.450 10.623 89.186 VMM 50.470 0.471 56.360 17.450 304.600 20.100 96.000
B&ng 2 KS't
Bien phu thupe: RACB-RF Phucmg phdp: binh phucmg b6 nhlft NgSy: 02/17/12 giii: 10:43 MSu: 2 1271
S& quan sdt: 1270 (sau k h i d i l u chir Bien
RMAEKET-RF AR(1) MA(1) HO so xdc d i n h R^
H$ aS xdc d i n h R^ dieu chinh Sai sS chu^n hoi quy Tong b l n h phucmg phSn du L n h d m hgp 1^
The'ng lt& Durbin-Watson h)
qu& hdi quy
HO sO hfii quy 0.965 0.517 -0.376 0.720 0.719 0.016 0.273 3559.693 2.004
ma chuTng kho&n ACB
Sai sO chu&i ThOng liO t 0.017 56.668 0.133 3.889 0.144 -2.609 T r u n g b i n h bien p h u thuOc
DO lOch tiOu chu&i bi^n phu thuOc TiOu chu£n Akailce info TiOu c h u ^ Schwarz TiOu c h u ^ H a n n a n - Q u i n n
X d c s u A 0.0000 0.0001 0.0092 -0.001 0.028 -5.601
•6.689 -5.696
d i i vdi b i e n dgc l^p [E(Rjj) - Rf] p h d i dflng - k h d n g tfl t d d n g quan.
A p d u n g m o h i n h k i n h td' I i ^ ^ n g C A P M d l t i n h b e t a c h o c a c c f a ^ n g k h o a n
- VNM, SSI, SAM, REE nidm y e t t a i Sd Giao dich C h d n g k h o d n Tp. H i Chi M i n h . T r o n g do sd d u n g chi s l VN-Index ldm d a i d i ^ n eho t h u n h ^ p eua d a n h muc ddu t u t h i t r d d n g .
- ACB, BVS, PVC, PVS n i d m y e t t a i Sd Giao dich C h d n g k h o d n H a N6i, dong t h d i sd d u n g
chi s l H N X - I n d e x l d m d a i d i $ n cho t h u nhfip cua d a n h mue ddu tU t h i trUdng.
- L a i s u ^ t p h i r u i ro dUdc sd d u n g Id lai suit t r d i p h i l u c h i n h phu k;^ b a n 10 n d m , t r a ISi t h e o n d m . Td l a i sutft t i n h t h e o n d m , chuyin d i i s a n g l a i sud't t d d n g dUdng t i n h t h e o ngdy.
T h u n h ^ p t r d n m l i co p h i e u vd t h u nh^P t r e n d a n h mue ddu t d t h i trUdng dUOc xdc d i n h t h e o gid d d n g eda h d n g n g d y eua cdc c h d n g k h o d n vd d a n h mue t h i t r u d n g . S l li§u dugc t i n g h d p t d n d m 2006 d i n 30/12/2011.
m Ung nghe n g j i n h d n g
Sff 7<i«Tbanp 7/2015
DAU T U TAI CHINH « « <
M a c h i i U g
P
Bgng 3: KS't qu& h6i quy
d i o ^ n
Sai sfi tiOu c h u i n Thong ItS t Xic suft R»
H' DW
A C B 0.965 0.017 66.668 0.000 0.720 0.719 2.004
B V S 1.131 0.030 37.110 0.000 0.666 0.666 2.029
h$ sd' beta c^c
P V C 0.263 0.051 5.179 0.000 0.074 0.073 1.996
P V S 1.108 0.023 48.417 0.000 0.687 0.687 2.081
ma chihig khoan
R E E 1 146 0.026 44.285 0.000 0.610 0.610 2.007
SAM 1.137 0.028 40.884 0.000 0.687 0.687 1.996
S S I 1.173 0.032 36.804 0.000 0.669 0.668 1.966
VNM 0.912 0.025 37.142 0.000 0.617 0.517 1.989
Cac chuli so' l i | u (x) cua ede e l phid'u vd chi s l gid chflng k h o d n d i u cd nghidm ddn vi.
Tdc gia dd sd dung Inx (hodc sd dung dfl ligu ty 1^ gia tdng cua gid chdng khodn vd ehi sd' gid thi trUdng), k i l m dinh nghigm ddn vi cho thfi^y - cdc c h u l i s l lidu ndy Id cdc c h u l i dflng (khdng cd nghi$m ddn vi). T i l n h d n h h l i quy vdi sU d i l u chinh bdi cdc b i l n t r i vd trung binh trUgt xdc dinh hg sd' b e t a cua c l phid'u ACB ta cd k i t qud B a n g 2.
Hli quy tUong tU dd'i vdi cdc md chdng khodn khdc, chung t a cd k i t qua t i n g hgp (Bdng 3).
Vdi mfle y nghia 5% ede gid t r i beta gdc lugng dugc deu cd y n g h i a thd'ng kd. Mdt khde thing kd Durbin-Watson xdp xi 2, p h d n dU trong k i t qua Udc lUdng k h d n g cd tU tUdng quan {nhiiu t r d n g ) d i l u ndy cho t h i y mfle
&Q b i l n dgng gid eua cdc ma chdng khodn cd quan hg tUdng doi chdt che d i n sU b i l n d$ng eua d a n h muc t h i t r u d n g - hay chi s l HNX-Index vd VN-Index p h d n dnh khd ddy dQ d i l n b i l n gid (thu n h ^ p ) , rui ro chflng khoan t r e n t h i trUdng.
H^ s l chdn c khi t h d m vdo md h i n h cho k i t qua rdt t h i p : k h d n g qud 0 , 1 % hodc k h d n g ed f nghia ve m d t thd'ng kd ( k l ea vdi mde y nghia 10%), t h d m k h l n g dinh chdng khodn dd dUdc dinh gid khd t i t qua mo h i n h , tuong dng vdi h$ s l rui ro d i i vdi m l i chflng khodn.
R^ va R^ d i l u chinh tddng d i i cao - dao dgng trong khodng 55-70%. Cdn efl vdo tidu e h u l n ndy eho thdy md h i n h ddgc lUa chgn khd phd hop - b i l n dgng t r o n g thu n h d p trong ddu td
c l phid'u phu thugc phdn ldn vdo rui ro trong ddu tu. Tuy nhien, tieu chi ndy cung biiu hien vide bid'n d | n g gid vd thu nhdp trong chdng khodn cd t h i edn phu thugc vdo cdc ye'u t l ngodi n h d n td' rui ro md nguyen nhdn ed t h e : (i) Cdc NDT t r e n thi trudng edn ddu tU theo edm tinh, chua thdt su chd trgng d i n vige can nhdc gida thu nhdp vd rdi ro khi t i l n hdnh ddu tU; (ii) Thilu dilu kign d l dam bdo eho md hinh boat d | n g hi$u qua, dd Id thdng tin thie'u minh bach, rd ri thdng tin, dau ed ldm gid, thao tung thi trudng eua m | t so' NDT ldn...
Vdi ke't qua h l i quy n h d da t r i n h bay ta't ea cdc hg sd' beta deu dUdng n e n ed t h i ndi trong giai doan khao sdt, thu n h a p ky vgng eua cdc c l phid'u tUdng quan dUdng vdi thu n h d p cua d a n h mue t h i trddng. Khi thu nhdp eua danh muc thi trddng tdng thu nhdp cua ede co phie'u cung tdng theo vd ngUge lai.
H§ so' beta cua cdc c l phie'u khdng cao eho thd'y mfle dg b i l n d | n g trong thu n b ^ p va mde d | rui ro d i i vdi vige ddu tU vdo cdc ma chflng khodn nay khdng nhieu. Khi lgi suat k^ vgng cua t h i trUdng tdng (giam) 1% thi lgi nhudn cua cdc c l p h i l u ACB, BVS, PVC, PVS, REE, SAM, SSI, VNM lan Iddt tdng (gidm):
0,965%; 1,131%; 0,263%; 1,108%; 1,145%;
1,137%; 1,173%; 0,912%
Qua k i t qua h l i quy, md h i n h cd t h i ehi r a cho m l i NDT bid't loi sudt ky vgng bdng bao nhidu se bu d i p dUge rui ro md NDT g d n h chiu. T r d n eO sd k i t qua Mde lUdng dUdc, cdc NDT cdn n h d c gifla mfle d | rui ro vd t h u n h 4 p cua cho tflng ma chdng khodn.
Cdng nghf 1 1 ^ 3 1 1 S l 7 6 ' T h i n g 7/2012
*''»*> DAU TU TAI CHINH
THANH TlfU DIEU H A N H CHINH SAQH TIEN TE HOAT DONG NGAN HANG 6 THANG D A U NAM 2012
• Dilu hdnh chinh sdch ti^n tg dd chu d | n g ddn d i t thi trddng.
• Tin dung tdng trddng d mfle t h i p nhUng cd elu tin dgng t i l p tgc chuyin dich theo hddng tich cgc, tdp trung vdo cdc Unh v\fc Uu tidn theo chd trddng eua Chinh phu, gidm ddn ty trgng dU ng d i i vdi cdc Unh v\fc khdng khuyin khich.
" Thanh khodn VND cda todn hg t h i n g dugc ddm bdo vd cd xu hUdng cdi thign so vdi culi ndm 2011 do huy dOng v i n tdng cao.
" Mdt bdng ldi s u i t huy dgng vd cho vay dd gidm manh so vdi ddu ndm.
• Vide dilu hdnh ede edng cu chinh sdch tidn t | , t^ gid k i t hgp vdi chinh sdch qudn 1^
ngoai h l i dd gdp p h i n I n dinh t^ gid, tdng ldng tin vdo VND, tflng bddc thi/c hign chti truong ehuyin ddn quan hg huy dgng - cho vay sang quan hd mua - bdn ngoai tg.
- Cd c h l qudn l^ thi trudng vdng theo Nghj dinh 24/2012/ND-CP vd Thdng td 16/2012/
TT-NHNN dd tao bddc d i i mdi co bdn v l hogt d | n g qudn 1^ vd kinh doanh vdng milng.
• Sau hdn 6 thdng quyit lidt t r i l n khai cd elu lai hg t h i n g ede t l chflc tin dgng, rui ro hg t h i n g tdng bddc ddgc k i l m sodt, nguy cd d l vd hg t h i n g tdng bddc dugc ddy ldi.
• Hoat dgng cua cdc t l chflc tin dung v l co bdn an todn, hoat d | n g Idnh m^nh, trdt t^ ky cUdng thi trudng da dugc khdi phye lgi vd t i l p tuc duy tri I n dinh.
(Trich tue Thdng edo Bdo cht vi diiu hAnh chinh tdch Hin t$ vA ho^ df^ng ngdn hAng 6 thAng d6u ndm, gidi phAp trang 6 thAng eugi nAm 2012 ctia NgAn HAng NhA nOdc Vift Ntun, Thdng tin chi ti(t xem tfa wwui.abv.gov,vn, http://buh.edu.vnl.)
muc tidu h u d n g t d i t r o n g k i n h d o a n h d l dua r a cdc q u y i t d i n h lua chgn chflng k h o d n ddu tu.
Ke't l u d n
Mde du cdn cd nhflng h a n c h l nhd't dinh nhutig md h i n h dinh gid tdi sdn v i n vdn Id cdng cu b l ich h i trg tieh cue t r o n g vi^c phdn tich lUa chgn d a n h muc ddu td. Thdng qua md h i n h , cdc NDT ed t h i udc lugng mde ddng gdp
cua ldi n h u d n vd rui ro tUdng d n g cua m l i cl p h i l u vdo d a n h mgc ddu td eua m i n h d l xdy dUng vd qudn V^ d a n h mue ddu tu. K i t qui udc lugng dddc tfl md h i n h CAPM cua mOt s l ma c l p h i l u t r d n h a i sdn chflng khodn da cbi ra Id cd nhflng c l p h i l u ft rui ro nhung cung cd e l phid'u mde d | rui ro rtft cao vi t h i vi$c ddu t u cdn da d a n g hda d l gidm t h i l u rui ro, tuy n h i d n vi^c li/a chgn d a n h muc nhU t h i ndo cdn tdy t h u | c vdo si/ ua thich rui ro cOa mli NDT"
Tki li$u tham khao
1. Li Thi Mai Linh (2003). Gido trinh phdn tich ddu tu chdng khodn. Nhd xudt bdn Chtnh tri Qudc gia Hd Ndi.
2. Nguyin Khdc Minh (2011). Bdi gidng kinh ti lugng ndng cao.
I cangn^ Hgaii haHQ
I Stf76«Thdng 7/2012