NGHICN Cl/U - TRAO D Q I ( Sd 11 (76) - 2009 )
M6 hinh dinh gia tai san von va van dung vao thj tru*6*ng von Viet Nam
T.S. Bach Di?c Hien /', trUdng khoa TCDN - TrUdng bg mdn TCDN H(' sft beta v ;i md niue do hic-n ddng ly suat Iriin tlu/c t d c a c nhd hinh dinb gia tai .siin vun smh Uii danh iiiiie eii pliie'u kinh doanh ehi/ng khoan si?
(Capital a.s.set pricing tlu irUdng. Trong dau Uf, lat dung md hinh hdi qui dUa m o d e l - C.'\PM) eii eae ipiydl djnh dilu lUdeu ire-n sd' lieu Ijch si? dc Udc Md hinh dinh gia lai ''^'•''' ' ' ' ' " "'^''"^ '^^''' ^'^^ dei li/ejng. 6 cac ni/dc cd thj siin vdn do ba nhi. kinh t'e- " ' ' ' " ' ' ' '^ •'"^'' ' ' " ' ' ' " ' "^'^ng tai chinh phai trie'n cd hoc la William Sharpe, .lohn ' " " " ^ ^'*" ''"' "'''^"^ ''''' ^""^^ "">' ' ^ ^ " " 8 '> '••'^^'>'^" ^^''^
Limner va Jack Ticvnor du'a ^ ' " ^''^"^^ ^''^"^ ^^"^ ''"^ ' ' ' ' ^'-^^ ''^ cung cdp thdng lin ra vaogiifa nham; ndm 1960. ^•'""'' ^•^'l' ^"""S ^'•" ^'^^'''•' ^'^ ^^^ ^^' Chdng ban d My Tir dd ddn nay md binh ndy ^^'^^^im^y^^ ^hnh ,i:^u yt. Rvn ngifdi ta ed the} Um thay v5n ldn lai vd dUa lai nhidu ' ^ '""'' ^^^ ^^ ' " ? ' "•'' P'^'^'" '*^""i? ' ' " ^'-* "^ '^^' "^^ ^""g i?ne dune. Mdc du cdn cd " ^ " "''''^ f '^'^" '^^^^'^ ^"'^'^ '"'^P '^'^"h ''^ '^ ^''''"'^ Line md^l so ind hinh khdc nd lUc " ' ^ " ^ ' P*^""' ^"' '^ ^=^^ ' ^ " Investment Survey, Market giai thich ddng thai thj '^^y rui ro phi he thong cua Guide (w ww.markelguide.
tn/dng nhuns md hinh dinh " ' P'^'^'" ^ ° ' "^ ••"' ' ° / h ' '^"'"^ ^'^ Standard & Poors eid tdi san "vd'n ( md hinh "'^^"8 ^ ^ y / " ' '"^ '^'? ' ^ ° " 8 ' ^tock Reporis
CAPM) la md hinh ddn gian ^^' "*^^ '^^^ ' ^ '^^ V^'^ ' ° ^ ' Quan he eida tv sua't vd mat khai niem va cd kha ^«. ' ' " 7 " f'^' '^<^' '^^ng hay ^_^^,^ ,,^_ ^.- ^,_ - ^ . ^ ,', ^ . . ndng i/ng dung sal vdi ihife •""'''^ '^^^^ ''^" ."^^"^ ^•^'^;'! "^'"^ quan uim cGa cdc nhd ddu IU.
ti3n g'"" ' " 9 ' ^anh mue dau lU x,. , , - . - . A u« u f e n ^ , . .- , Nhu tren da neu, md hmh
dUdc da danc hoa lot, nhUne -• , . , . . , . , .-.
Mn hinh p A PM mn i i _ - L - ' I ' U - . , '• " d m l i c i d t a i s a n md ta moi Mo hinh L A P M mo khong the loai bd dUdc rui ro \ - , . - - f l md'i fiinn he (ni7'i rni rn v i . u ' . .-. T'-'. - -' ' quan he gii/a ru 1 ro va ty
la moi quan np giua rui ro va ihi Iru^dng. Tat ea ru i ro cua -- , ,- , . . . .
I v sir"!'! ^ i n h I d i k v v n n o - i i . -' * - ^'•'''t SUltl I d l k v VOUS. M O
i> suat Sinn idi ky vpng. mot danh mue dau iU da ,- , . . ', .• : •:
T r n n t ^ m r i h m h n i v tO ^ n " ; ' ! . J^ « j ' u - -' , • , " ' " ' ' " ^ V d l / d C t h e b l C n qua
n o n g mo ninn n a ) , ly sual jifpc da dang hoa lot chmh i rd ' ' i ' sinh ldi ky vpng ciia chu'ng la riii ro he ihcVng. Vi vav, P''"^'^"? ^'•'"''•
khoan due?c xde djnh bdng ly eac nha dilu ti/ehu yeu quiin R' = Ri + pi(Rm - Rf) suai sinh ldi phi nii ro (risk- tam den loai rui ro he thii'ng j^.^^ j ^ .
free) cpng vd: mdt khoiin bil ^lia cd phieu. He sei' hi
d^p riii ro di/a tren cd sd rui Hurdc do nufc dii nii ro ihi ^i '^y ^^{^ -^'"^ ',^' ^y ^^"?
ro he thd'ng cua chu'ng khetan uudng hay riii ro khdn^' the *"'"'' "'^''' '^'^^ urdd'i vdi chi/ng
d o . ,1-1 r l - . n . , ,•,',•> ,'ri n h i . - ' , , C , ,• k h o d u '
da dang ciia cd phidu. Su 1.
He so beta (P) la ''"f^ hu'dng de'n rui ro cua Rr: Ty sua't sinh ldi phi rui nhan td chii ye'u cua md binh '"dt danli mue dau lU da ro, dU(?c tinh bdng ly sua't ldi CAPM, nd do ludng miic dei '^^^f^ '^a dang hoa lot phu ti?c trai phie'u dai ban ciia bien ddng ty sua'l sinh ldi thudc vdo dp nhay ciia nd Chinh phii lam dai d i e n .
ciia cd phieu riiJng le so vdi iru'dc nhi/ng thay ddi cua ihj , . .
° inr^inp "' y ^"^t sinh ldi thi
( 2 2 / T a p chf nghien cdu Tdi chfnh k e ' t o d n
( sdu (76)-2009 ) NGHICN Cl/U - TRAO D 6 |
IrUdng (dUde xac djnh biing ty suat sinh ldi binh quan ciia danh muc thj trifdng).
Pi: He sd riii ro cua ebi/ng khoan i.
Nhu viiy: - Mi/c bii riii ro lln trUdng = Rm - Ri
- Mife bii riii ro dei'i vdi chi/ng khodn I = PilRm - Ri)
Ham y cua md hinh CAPM Id ty sud't sinh ldi ciia chu'ng khodn ty le ihuiin vdi mi/e dd riii ro ciia ehi/ng khoan irUdc sif bicn ddng ciia thi irUdng.
Md hinh CAPM c6 Uu didm ndi bat la ddn gian vd cd the i/ng dung dUdc vao thUc td. Md'i quan he gii/a rui ro va ly suat sinh ldi dUeic md hinh niiv dien la iheo mpl each ddn gian.
Dieu dd giai thich lai sao rat nhieu nha quan Iy coi nd Id cdng cu lien ldi nhdt de hieu md'i lien he giifa ldi nhuan va riii ro. Vd dieu dd ciing giai thich tai sao cac nha kinh te' hpc ihudng sii dung md hinh dinh gid ldi san de chu'ng minh cac y lUdng quan trpng trong ITnh vUc lai chinh ngay ca khi cd cac cdch khac de chu'ng minh cdc y tu'dng dd. Nhu'ng dieu dd khdng cd nghTa la md hinh djnh gia ldi san la mdt md hinh hodn hao. Cung nhU nhieu md hinh khac, md hinh CAPM khdng tranh khdi nhi/ng ban chd vd sU chf trich,
Nhi/ng ngUdi phe phan md hinh CAPM cho rang md
hinh nay chi sii dung beta hi nhan td duy iihiit lam eho ly sual sinh Idi ky vpng kbac nhau lil chu'a thda dang.
DiiT'ii lliiv du'dc mmh chifng ipia kei'l qiia khao nghiem d thi trudng chii'ng khoan nUdc My. Ket qua khao nghi(3m dUa vao siV li(}u thdi ky 196.1 1990 cho thay, cii phie'u ciia cdc cdng ly nhd cd ly suat sinh Idi cao hdn so vdi Clie CO phidu cila cdc cdng ly ldn va cac cd phidu ciia cdc cdng ly ma he sei' gid ihj irUdng tr(3n gia trj sei' sdch d mi/c tha'p cd ly sud't sinh ldi cao hdn nhicu so vdi cac cd phi(3u eua cac cdng ty cd he so' gia thj uudng tren gid trj sd sdch d mii'c cao. Nhu vay, ndu cdc nhd dau tu" ky vpng ly sual sinh ldi phu thudc vao quy md cua cdng ty hodc vao he sd'gid thj IrUdng tren gid trj sd sach thi sU dien giai ciia md hinh CAPM khdng thuydi phuc.
Trong thdi gian gan day, mpl sd' nhd nghien cu'u da du'a ra md hinh hai ydu td' rdi de'n md hinh da yeu Id' nhilm du'a them nhi/ng ye'u Id' khac vdo yeu Id rui ro d6 giai thich rd them sif khdc nhau ve ly sual sinh ldi ky vpng hdn la chi dUa vdo mpl ydu Id'duy nha't nhu'md hinh CAPM. Tuy vay, nhidu nhd nghien cu'u cho rdng ve mdt ly thuye't thi md hinh da ydu to' la sU bd xung lam phong phli them su" giai thich sU khac nhau ve ly sua't sinh ldi
ky vpng, nhUng vc thifc tidn tbi md binh da ydu tei la qua phi/c lap. Cho ddn nay, ve mdt ly thuy(2'l thi khdng cd md hinh nao eldn gian bdng md binh CAPM dd lif dd van dung vdo ihUe lien thuan ldi hdn. vi vdy sU hdp ly va lin cay eua md hinh CAMP.viln ldn la i vi'fi thifc le.
Vdn dung md hinh CAPM vao thi tri/dng vOn Vi('t Nam,
Thi IrUdng chi/ng khoan da hinh thanh vd phat trien dUdc giln mu'di ndm. Hien nay, tren website cac cdng ly chifng khodn va ban lin ihj tru'dng chu'ng khoan cua Sd giao djch chi/ng khoan da du'a ra mdt so' he sd' cd ban vd tai chinh ciia cdng ty, mdt sd trang web cung de cap den he sd beta Tuy nhien md binh CAPM hau nhU chUa dUdc van dung vdo thifc lien d Viet Nam. Nguyen nhan chii yeu la:
- Phan ldn cac nhd dau IU Viet Nam chu'a ndm du'dc ly thuye't ve he sd' beta vd md hinb CAPM, khdng il cdc nhd dilu tU cdn ditu tU Iheo kieu" lUdl sdng", dau tU mang ndng cam linh.
- He thd'ng thdng tin hien hdnh cua ihi irUdng chu'a lao dieu kien cho cdc nhd dau lU' vdn dung he so' beta vd md hinh CAPM vao viec danh gia riii ro vd ty sua't sinh ldi ciia chu'ng khoan. Cac ban tin thj trUdng
(Xem tiep trang 26) T a p chf nghien cdu Tdi chfnh k e ' t o d n C23:
( Sdu (76)-2009 ) NGHICN CU'U - TRAO 061
ngay ra mdt. Trdnh tinb trang mang con bd chd, cdng ly phai cd mdt "cai loa" - mdt nhan vien PR that sU chuyen nghiep.
Bd'n la, 4R: biin mong mud'n va nd krc de cd phieu ciia ban len gia nhUng ludn cd ngUdi him ngifete lai. vi the mdi cd thj uudng. Nhicu dicn ddn cd lam anh hudng ddc biel ldn. ddi khi ed kha ndng vd hieu hoii moi no life eiia ban. tham chi ciia nhieu td chi/c. Dang tide la nhicu ngUdi cdn khdng bidt den sU tdn lai ciia 4R. Cdn nhdc dd ban nhd rSng: nhieu khi thU'dnc irUdne thanh chie'n
Uu'dng. Khi thUdng IrUdng thanh chidn Uifdng, can mdt cai dau khoang dat, hidu biel ve xa hdi hpc va tam ly tai chinh. Ly tUdng nha't la cdng ly ed ngifdi cd ky ndng danh bac nhUng muc lieu chii ydu cua anh la hi dc giai tri chif khdng ban vi lien. Cd ldn lai nhi/ng con ngifdi nhU vay khdng'.' Bdn phan eiia edng ty la phai lim eho biing difdc nhffng con ugUdi nhU viiy.
Ndm lii, VNA: cei' gdng veli bdn ndi dung Ircn la chUa du, ddi khi mpi \\ec bi dao ngUdc hodn todn chi ddn gidn la: vipc ehpn ngdy chao sdn - ngay giao dich dau lien cdn
phu thude vao thdi gian Iam thil lue lUu ky, thdi gian lham djnh hd sd cua Sd giao djch.
Vdi thj trUdng ehi/ng khoan vice nhanh hodc cham mdt vai ngay ed the la sU bat dau eho mpt ehu ky thang hoa lutac v6\ gia mpl each lham hai. Day khdng nen coi la mpl rui ro, vi neu cd gang nd cd the: ndm Uong lam kiem sodt cua ban - cdng ly niem yet.
Tdi tin lUdng chae chan rdng, xde sua't thdnh cdng se rat ldn ndu ban quan tam vd gidi quyet that can than 5 van de da ngu: FA, TA, PR, 4R vd VNA.
M6 hinh dinh gia tai san vo'n...
(Tiep theo trang 24) chu'ng khoan chUa dUa ra heso' beta ciia cac cdng ly niem yet, mqi so' cdng ty chu'ng khoan tuy da dUa ra he sd' nay nhUng chi cd tinh chat rieng le chUa lao ra sU quan tam cua cac nha dau tl?.
- Su boat ddng ciia thj trudng chu'ng khoan Viet Nam hien nay cdn chju nhieu anh hUdng cua cdc ye'u to' phi thj tru'dng. Dieu dd lam cho viec xac djnh he so' beta cung nhU' viec siJ dung nd trong viec phan tich danh gia gap nhieu han che.
MOt s6'kid'n nghj
Mdt la, Can xac djnh td chi/c chinh thu'c td chi/c tinh loan, xac djnh va cung cap ihdng lin vd he sd beta cd linh chuyen nghiep bdn. Dieu dd se tao ra sir tin tudng hdn cho cdc nhd dau tu khi si? dung thdng tin.
Hal la. Can cdng bd' thdng tin he so' beia cdc cd phie'u niem yet trong ban lin Ihj trudng chu'ng khoan ciia Sd giao djeh de dan dan thu hut SLf quan lam ciia cdc nhd dau IU tir dd tao dieu kien cho hp nghien cu'u vd
SI? dung md hinh vdo viec dU bao dau tU, miJt khac cung giup cho cdc cdng ly su" dung md hinh nay Irong vi^c xac djnh chi phi su' dung vd'n.
Ba la, Tiep luc dp dung cac bien phap hoan thien ihi IrUdng nhdm loai bd cac ye'u td' phi thj tru'dng va ddc biel Id dam bao nguyisn tic cdng khai, minh bach thdng lin Iren thi irUdng.
Day Id nhi/ng ye'u id' can thiet cho viec sif dung md hinh CAPM du'a lai ke't qua tdt hdn lao ldng lin cho cac nha dau tU./.
T a p chf nghien cdu Tdi chfnh k e ' t o d n <^5
