Chuong 1 Markowitz Va CAPM
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Transcript of Chuong 1 Markowitz Va CAPM
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Hiu bit v ri ro
CAPM: MI QUAN H RI RO TSUT SINH LI MONG I
L thuyt danh mc Markowitz
L thuyt nh gi ti sn vn (CAPM)
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Thi ri roThi ri ro
Khi a ra mt s la chn gia haiti sn c cng t sut sinh li, nh
u t s chn ti sn c mc riro thp hn
Hiu bit v ri ro
Tuy nhin c nhiu nh u t li chp nhn ri ro
c c mt mc t sut sinh li cao hn
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Nh vy, thi ri ro l s khc bit trong
t sut sinh li mong i, nh u t lunyu cu mt t sut sinh li cao hn cth chp nhn mt mc ri ro cao hn
Thi ri roThi ri ro
Hiu bit v ri ro
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nh ngha ri ronh ngha ri ro
Mt nh kinh t xem xt ri roc nh l s thch ca con ngi.
Nhng g m ngi ny hiu v ri
ro khng ging nh ngi kia
Hiu bit v ri ro
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nh ngha ri ronh ngha ri ro
Ri ro l nhng iu khng chc chn canhng kt qu trong tng lai hay l nhngkh nng ca kt qu bt li.
Hiu bit v ri ro
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Phng php c lng ri roPhng php c lng ri ro
Harry Markowitz nh ngha v ri ro nhl lch chun ca t sut sinh li.
Bng cch gi nh t sut sinh li c phnphi chun, Markowitz o lng ri ro
thng qua phng sai hay lch chun.
L do chn lch chun phn nh ri ro
Hiu bit v ri ro
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Phng php c lng ri roPhng php c lng ri ro
lch chun o lng s khng chc chn ca t
sut sinh li. lch chun l phng php o lng rng
ca s phn tn so vi gi tr trung bnh.
Hiu bit v ri ro
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Cc nh u t xem mi khon u t khc nhau
c i din cho mt s phn phi xc sut ca
t sut sinh li mong i ln mt vi thi k nmgi.
Cc nh u t lun ti a ha li ch mong i
trong mt thi k nht nh. Cc nh u t nh gi ri ro ca danh mc da
trn c s phng sai ca t sut sinh li mong
i.
L thuyt danh mc u t Markowitz
Cc gi nh ca l thuyt MarkowitzCc gi nh ca l thuyt Markowitz
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Cc nh u t cn c trn nhng quyt nh c
lp ca t sut sinh li v ri ro mong i, v vy
ng cong hu dng ca h l mt phng trnhca t sut sinh li mong i v phng sai (hoc
lch chun) ca t sut sinh li.
Vi mt mc ri ro cho trc, cc nh u t
a thch t sut sinh li cao hn l mt t sut
sinh li thp. Tng t, vi mt mc t sut
sinh li mong i cho trc, cc nh u t li
thch t ri ro hn l nhiu ri ro.
L thuyt danh mc u t Markowitz
Cc gi nh ca l thuyt MarkowitzCc gi nh ca l thuyt Markowitz
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T sut sinh li mong i ca ti sn ri ro
T sut sinh li ca danh mc
L thuyt danh mc u t Markowitz
T sut sinh li ca mt ti sn v ca danh mcT sut sinh li ca mt ti sn v ca danh mc
!!
n
1jjj R.p)R(E
!
!n
1i
iiP RE.w)R(E wi T trng u t ti sn i trong danh mc
E(Ri) T sut sinh li mong i ca ti sn i
Rj l t sut sinh li ca ti sn ri ro trong tnh
hung j.pj l kh nng xy ra mc t sut sinh li Rj.
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TT sutsut sinhsinh lili mongmong ii ii vivi mtmt danhdanh mcmc
caca nhngnhng khonkhon uu tt nn gingin ll trungtrung bnhbnhtrngtrng caca tt sutsut sinhsinh lili mongmong ii ii vivinhngnhng khonkhon uu tt cc thth trongtrong danhdanh mcmc..
T sut sinh li mong i ca danh mc
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Phng sai hay lch chun l mt phng php
c lng chnh lch ca nhng mc t sut sinh
li c th c, R i, so vi t sut sinh li mong i[E(Ri)] sau y:
HocHoc
L thuyt danh mc u t Markowitz
Phng sai ca t sut sinh li i vi mt ti snPhng sai ca t sut sinh li i vi mt ti sn
? A i
n
1i
2ii
2p.)R(ER
!
!W
? A!
!WN
1i
2ii
2 RER
N
1Vi N l s mu thc nghim
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Hip phng sai ca t sut sinh li
Tng quan ca t sut sinh li ti sn
Phng sai ca danh mc nhiu ti sn
L thuyt danh mc u t Markowitz
Phng sai ca t sut sinh li i vi danh mcPhng sai ca t sut sinh li i vi danh mc
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CovAB = Gi tr k vng {[RiA E(RA)]x[RiB E(RB)]}
i vi hai ti sn i v j, hip phng sai ca t sut sinhli c nh ngha l
? A ? ABiB
N
1iAiAiAB RER.RERpCov !
!
? A ? ABiB
N
1iAiAAB RER.RERN
1Cov !
!
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Hip phng sai l mt c lng cho thy haimc khc nhau tin li gn nhau.
Mt gi tr hip phng sai dng c ngha l t
sut sinh li i vi hai khon u t c khuynhhng dch chuyn v cng mt hng so vi mctrung bnh ca chng.
Mt gi tr hip phng sai m ch ra t sut sinhli i vi hai khon u t c khuynh hngdch chuyn v hai hng khc nhau.
Hip phng sai ca t sut sinh li
ln ca hip phng sai ph thuc vo phng sai v mi quan h gia nhng
chui t sut sinh li.
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Hip phng sai b nh hng bi tnh bin thinca hai chui t sut sinh li ring l.
Bn mun chun ha c lng hip phng sainy a vo xem xt tnh bin thin ca haichui t sut sinh li ring l.
H s tng quan gia t sut sinh li ca 2 khonu t th hin mong mun chun ha ny.
Hip phng sai v s tng quan
H s tng quan ca nhng t sut sinh liji
ij
ij
Cov
WW!V
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H s tng quan ny ch c th thay i trongkhong t -1 n +1.
Gi tr +1 ngha l t sut sinh li i vi hai c
phiu cng thay i trong mt kiu tuyn tnh xcnh hon ton.
Gi tr -1 khi t sut sinh li ca mt c phiu caohn mc trung bnh, t sut sinh li ca nhng cphiu khc s thp hn mc trung bnh vi cng ln.
ngha ca h s tng quan
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Markowitz tm thy cng thc tng qut tnhton lch chun ca mt danh mc nh sau:
lch chun ca mt danh mc u t
! {! !W!W
n
1iji
n
1i
n
1i ijji
2
i
2
ip
Covwww
iu g s xy ra i vi lch chun ca danhmc nhiu ti sn khi thm mt chng khon vodanh mc?
!
{
! !
!n
i
ji
n
i
n
iijjijiiip www
1 1 1
22 VWWWW
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Th nht l phng sai t sut sinh li ca chnhti sn ,
Th hai l hip phng sai gia t sut sinh li ca
ti sn mi vi t sut sinh li ca nhng ti snkhc hin c trong danh mc.
qua cng thc tnh lch chun cho thy 2 vn :
Gi tr ca nhng hip phng sai ny v cn bn
ln hn phng sai ca mt ti sn; vi mt danhmc gm nhiu ti sn th iu ny l hon tonng.
Chnh v l do
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khi qun l danh mc u t chng ta quan tm n:
Nhn t quan trng c xem xt khi thm mtkhon u t vo danh mc khng phi l
phng sai ca chnh khon u t m li lhip phng sai trung bnh vi tt c nhngkhon u t khc trong danh mc.
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21
1 2 3 . . . N
1X1X2Cov(R
1,R2)X1X3Cov(R
1,R3)X1XNCov(R
1,RN)
2X2X1Cov(R
2,R1)
X2X3Cov(R
2,R3)
X2XNCov(R
2,RN)
3X3X1Cov(R
3,R1)X3X2Cov(R
3,R2)X3XNCov(R
3,RN)
.
.
.
NXNX1Cov(R
N,R1)XNX2Cov(R
3,RN)XNX3Cov(R
N,R3)
MinhMinh haha danhdanh mcmc nhiunhiu taitai snsn
2
1
2
1X
2
2
2
2X
2
3
2
3X
2
N
2
NX W
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22
MinhMinh haha danhdanh mcmc nhiunhiu taitai snsn
Gi s bn s u t vo mt danh mc vi ttrng u t bng nhau vo N c phn.
T trng u t vo mi c phn l 1/N.
Cc c phn ny c phng sai nh nhau, k hiul var .
Tt c hip phng sai u ging nhau, k hiu lcov cho mi cp chng khon.
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23
covx)N
1N)(-(Nvar(N
222
p v!W2)
N
1
covcov)(varN
1!
Phng sai cua danh muc (khi N ) cov2p
pW
MinhMinh haha danhdanh mcmc nhiunhiu taitai snsn
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Xem xt trng hp u tin vi hai ti sn c cng tsut sinh li mong i v lch chun t sut sinh limong i.
Cn bng ri ro v t sut sinh li - thay i mi tngquan
Nu: W1 = 0,50; W2 = 0,50
E(R1) = 0,20 = 0,10
E(R2) = 0,20 = 0,101
W
2W
iu g xy ra i vi hip phng sai:
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trong trng hp t trng vn u t bng nhau
iu g xy ra i vi ri ro danh mc:
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ri ro danh mc u t s l
S tng quan ph nh hon ton a n mt t sut sinh
li i vi hai chng khon trn bng vi gi tr trung bnhca chng.V vy t sut sinh li danh mc khng thay i, ngha l,khng c ri ro.
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th minh ha tng quan ph nh hon ton
i vi v d ca chng ta tng quan gia t sut sinh li
v lch chun s l
T sutsinh litisn A
T sutsinh lidanhmc
T sutsinh litisn B
Thigian
T sutsinh li
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ri ro v t sut sinh li i vi trng hp tng quankhc nhau
Cho thy s khc bit trong thi ri ro t sut sinh li
S khc bit trong thi ri ro t sut sinhli i vi nm trng hp
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By gi chng ta hy xem xt hai ti sn (haydanh mc u t) vi t sut sinh li mong
i v lch chun ca tng ti sn khcnhau.
Chng ta s thy iu g xy ra khi chng ta
thay i tng quan gia chng.
v du kt hp 2 c phiu
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ac tnh cua tai san
2iW iWTi sn E(R i) wi
1 10,0 0,50 49 7,0%2 20,0 0,50 100 10,0%
Ty trong au t 50% (1) va 50%(2) th E(Rp)= 15%
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hip phng sai vi cac tng quan thayoisla:
lch chun trng hp a s la 8,5% va:
Hip phng sai jiij WWVTrng hp H s tng quan
a +1,00 70,0
b +0,50 35,0
c 0,00 0,00
d 0,50 35,0
e 1,00 70,0
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r ro v su s n c a an mc y trongau t khongoi (50% - 50%) nhng tngquan thayoi
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Tng quan bt bin t trng thayi
Nu chng ta thay i t trng u t ca hai tisn trong khi vn gi nguyn h s tng quan,
chng ta s c mt tp hp cc kt hp theomt ng ellipse bt u ti ti sn 2 (100%),i n im 0,5 0,5 v kt thc ti ti sn1(100%).
L thuyt danh mc u t Markowitz
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tng quan bt bin t trng thayi
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tng quan bt bin t trng thayoi
Lu y: Khi 2 tai san tng quan
xac nh hoan toan, tap hp cackha nang co the co cua danhmuc nam tren mot ng thang
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nhng s kt hp nhng danh mc cc ti sn sn c
Danh mc u t hiu qu nht...
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ng bin hiu qu ca nhng danh mc u t khc nhau
dc ca ng cong hiu qu gim dn khi bn dichuyn hng ln. iu ny c ngha l vi cng mtmc gia tng trong ri ro, nh u t nhn c mc
gia tng nh hn trong t sut sinh li
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Trong khi, ng cong hu dng ca mi nh ut ch r s nh i gia t sut sinh li mong i
v ri ro m anh ta t c.
Tnh ton dc:
Do danh mc u t hiu qu s l
.
p
pRE
W(
(
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s kt hp ca ng bin biu qu v ng hu dngca nh u t.
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Sau s pht trin l thuyt danh mc ca Markowitz
(1952), hai l thuyt quan trng c a ra nhm xy
dng m hnh nh gi cho cc ti sn ri ro.
L thuyt CAPM c pht trin bi ba nh nghin cu
Sharp-Lintner-Mossin (SLM) (1960)
L thuyt th trng vn m rng l thuyt danh mc v
pht trin m hnh CAPM. V l , chng ta s xem xtn l thuyt th trng vn
L thuyt nh gi ti sn vn (CAPM)
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L thuyt th trng vn: Cc gi nh
Tt c cc nh u t u l cc nh u t hiu quMarkowitz, h mong mun cc im mc tiu nm trnng bin hiu qu.
C th i vay v cho vay bt k s tin no li sutphi ri ro
Tt c cc nh u t u c cc mong i thun nht
Tt c cc nh u t c mt phm vi thi gian trongmt k nh nhau.
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Tt c cc khon u t c th phn chia ty
Khng c thu v chi ph giao dch.
Cc th trng vn trng thi cn bng, ngha lcc ti sn c nh gi ng vi mc ri roca chng.
L thuyt th trng vn: Cc gi nh
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S pht trin ca l thuyt th trng vn.
Gi nh tn ti mt ti sn phi ri ro, l ti snc phng sai bng 0.
Ti sn ny khng c tng quan vi tt c cc ti
sn ri ro khc C mt t sut sinh li phi ri ro
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Kt hp ti sn phi ri ro vi mt danh mc tisn ri ro trn ng hiu qu Markowitz
T sut sinh li mong i ca danh mc l bnhqun t trng ca hai t sut sinh li:
T sut sinh li
)R(E).w1(r.w)R(E ifffp !
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Kt hp ti sn phi ri ro vi mt danh mc ti snri ro trn ng hiu qu Markowitz
Phng sai ca danh i v ti sn phi ri ro lch chun
iffiff2i
2f
2f
2f
2p )w1(w2)w1(w WWVWW!W
2i
2f
2p )w1( W!W
ifp )w1( W!W
lch chun ca danh mc i v ti sn phi ri ro
Nh vy, lch chun ca danh mc kt hp gia mtti sn phi ri ro vi cc ti sn ri ro t l tuyn tnhvi lch chun ca danh mc cc ti sn ri ro
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Kt hp ti sn phi ri ro vi mt danh mc ti snri ro trn ng hiu qu Markowitz
Cc kh nng ca danh mc kt hp
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Kt hp mt ti sn phi ri ro vi mt danh mcti sn ri ro trn ng hiu qu Markowitz
Tp hp ca cc danh mc nm trn ng rf -M cu th hn tt c cc danh mc nm di im M
Chng hn nh bn c th t c mt kt hp riro v t sut sinh li gia im rf v im M (im C)bng cch u t mt na vo ti sn phi ri ro v ut na kia vo danh mc ti sn ri ro im M
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Ri ro - t sut sinh li c s dng n by
Mt nh u t c th mun t c mt t sut sinhli cao hn im M nhng phi chp nhn mc ri ro caohn.
Cch thnhtl u t vo mt trong s cc danh mc
ti sn ri ro trn ng cong hiu qu nm trn im Mchng hn nh danh mc ti im D.
Cch th hai l s dng n cn n bng cch i vaytin li sut phi ri ro v u t s tin ny vo danh
mc ti sn ri ro M.iu ny s c nh hng g ln ri ro v t sut sinhli ca danh mc kt hp?
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Nu bn vay mt s tin bng 50% s tin bn cvi li sut phi ri ro v u t vo danh mc M.
)R(E).w1(r.w)R(E Mfffp !
)R(E.50,1r.50,0Mf
!
T sut sinh li danh mc s gia tng tuyn tnhdc theo ng rfM v t sut sinh li gp tng50% nhng bn phi tr li t l phi ri ro trnkhon tin m bn vay mn.
Ri ro t sut sinh li c s dng n by
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Ri ro t sut sinh li s dng n by
lch chun ca danh mc c n by l :
lch chun ca danh mc M
Tt c tnh kh bin ca danh mc bt ngun tdanh mc M
MMfp 5,1)w1( W!W!W
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Ri ro t sut sinh li c s dng n by
Nh vy c t sut sinh li v ri ro u tng theong thng tuyn tnh rfM ban u v m rng vpha bn phi.
Cc im trn ng m rng ny c u th hn miim nm trn ng hiu qu Markowitz.
Do bn c mt ng hiu qu mi: l ngthng t rftip xc vi im M. ng thng ny
c xem l ng th trng vn (CML) v c thhin trong hnh.
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ng th trng vn (CML) vi gi nh vayhoc cho vay li sut phi ri ro
TSSL mong i
lch chuan
TSSL phiri ro
Chovay
ivay
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L thuyt danh mc xc nh, khi hai ti sn ctng quan dng hon ton vi nhau, tp hp cckh nng c th c ca danh mc s nm dc trn mt
ng thng.
CML l ng thng nn hm rng tt c cc danh
mc nm trn n c tng quan dng hon ton vinhau.
Ri ro t sut sinh li c s dng n by
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L thuyt th trng vn: Danh mc th trng
V danh mc M nm ti im tip xc nn n cng kh nng kt hp ca cc danh mc tt nht.Mi nh u t u mun u t vo danh mc M vi vay hoc cho vay t c mt im no trn
ng CML.Danh mc M bao gm tt c cc ti sn ri ro, cgi l danh mc th trng.
L danh mc a dng ha hon ton.
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Ri ro ring ca cc ti sn (c th a dng ha)c gi l ri ro khng h thng
Ch cc ri ro h thng, c nh ngha nh ltnh kh bin trong tt c cc ti sn ri ro do tcng ca cc bin kinh t v m, cn li trong danhmc th trng
Ri ro h thng c o lng bi lch chunca t sut sinh li ca danh muc th trng.
L thuyt th trng vn: Danh mc th trng
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Lm sao o lng mc a dng ha?
Tt c cc danh mc trn ng CML th tngquan dng hon ton vi danh mc M c adng ha hon ton.
Danh mc a dng ha hon ton loi b tt ccc ri ro khng h thng ca cc ti sn
V vy, cc danh mc a dng ha hon ton s ctng quan ng thun vi danh mc th trng v
n ch cn ri ro h thng
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a dng ha v loi b ri ro khng h thng
Mc ch ca a dng ha l gim lch chunca danh mc
Gi s cc chng khon c tng quan khng
hon ton vi nhau. Khi bn thm vo danh mc ccchng khon, hip phng sai trung bnh ca danhmc s gim xung
Mt vn quan trng l, bao nhiu chngkhon nn c a vo t c mt danh mca dng ha hon ton?.
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a dng ha v loi b ri ro khng h thng
o lechchuan
So lngcophieutrongdanh
muc
Rui rokhonghethong
Rui rohethong
o lechchuancuadanhmucthtrng
Tongruiro
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a dng ha v loi b ri ro khng h thng
Nhng c phiu ban u a vo danh mc c tc dng adng ha rt nhanh. Khong 90% li ch ca a dng ho c cc danh mc t 12 n 18 c phiu.
Mt nghin cu sau so snh li ch t vic gim ri
ro thp hn t vic a dng ha vi cc chi ph giao dchtng thm do a vo danh mc nhiu chng khon hn
Nguyn cu ny kt lun rng mt danh mc c adng ho tt phi c t nht 30 c phiu i vi mt nh u
t i vay v 40 c phiu i vi mt nh u t cho vay
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a dng ha v loi b ri ro khng h thng
Mt im quan trng cn nh l, bng vic athm cc c phiu c tng quan khng hon tonvi cc c phiu trong danh mc vo danh mc bnc th gim thiu lch chun ca ton danh mc.
Nhng bn khngth loi b c hon ton sbin thin. lch chun ca danh mc s t timc ca danh mc th trng, cn li ri ro th
trng hay ri ro h thng
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A
CML
Tysuatsinhliphi rui
ro
B
M
o lechchuan
TSSL mong i
L thuyt th trng vn: CML vnguyn l phn cch
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CML dn tt c cc nh u t u t vo mt danh mccc ti sn ri ro nh nhau, l danh mc th trng M.Ch khc nhau cc v tr trn ng CML, v tr ny tythuc vo s thch ri ro ca nh u t
chn u t vo mt danh mc no trn ng hiuqu CML. u tin nh u t quyt nh u tvo danhmc th trng M.
Tip theo, da trn s thch ri ro ca mnh, nh u tlm quyt nh ti tri vay hoc cho vay t c v trc ri ro theo s thch ca bn trn CML.
L thuyt th trng vn: CML vnguyn l phn cch
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Mt u t ght ri ro s cho vay mt phn li sutrf bng cch mua mt s chng khon phi ri ro v ut phn cn li vo danh mc M c danh mc tiim A
Mt nh u t thch ri ro hn c th i vay tin vili sut rf v u t tt c (vn hin c cng phn vaythm) vo danh mc M c danh mc ti im B.
L thuyt th trng vn: CML vnguyn l phn cch
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Thc o ri ro ca CML
Hip phng sai chnh l thc o ri ro ng tincy ca mt ti sn ri ro v hai l do:
(1) S cn nhc quan trng duy nht ca nh u t
khi a thm mt ti sn ri ro vo trong danh mcchnh l hip phng sai trung bnh ca n vi tt ccc ti sn ri ro trong danh mc th trng.
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Thc o ri ro ca CML
-(2) Mi ti sn ri ro l mt phn ca danh mc M.Mi quan h gia t sut sinh li ca mi ti sn vit sut sinh li ca danh mc M s dng m hnh hiquy tuyn tnh sau:
Ri,t = t sut sinh li ca ti sn i trong khoang thi gian tai = t sut sinh li c nh ca ti sn i
bi = h s dc ca ti sn i
RMt= t sut sinh li ca danh mc M trong khong thi gian t= phn sai s ngu nhin.
I! tMiiti RbaR ,,
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l phng sai khng hthng hay phng sai thngd ca t sut sinh li ca
ti sn i
Thc o ri ro ca CML
)()(,,
I! tMii
ti
RbaVarRVar
)(Var)Rb(Var)a(Var t,Mii I!
)(Var)Rb(Var0 t,Mi I!
Hipphngsaicatsutsinh licatisnisot sutsinh lith
trng
Phnng quan tm Phnkhng ng quan tm
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Danh mc a dng ho hon ton nh danh mc th trngth tt c cc phng sai khng h thng c loi b
Cc nh u t s khng mong ch nhn c t sut sinhli tng thm no cho ri ro khng h thng ny.
Thc o ri ro ca CML
ghonghethonphuongsaikethongphuongsaihRVar ti !)( ,
Phn ng quan tm Phn khng ng quan tm
Cov l thc o ri ro h thng cadanh mc trn ng CML
M hnh nh gi ti sn vn:
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Thc o ri ro thch hp ca mt ti snring l chnh l hip phng sai ca n vidanh mc th trng (Covi,M).
V th c th phc tho mi quan h gia riro - t sut sinh li, vi bin hip phng sai hthng (Covi,M) l thc o ri ro.
M hnh nh gi ti sn vn:Ri ro v t sut sinh li mong i
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ng th trng chng khon
Mi quan h ri ro - t sut sinh li mong i
)Cov(rR
r)R(E M,i2M
fMfi
W
!
)rR(Cov
r fM2M
M,i
f
W
! 2M
M,i
i
Cov
W
!F
)rR(r)R(E fMifi F!
Beta l thc o chun ha ca ri ro h thng v n thit lp
quan h gia hip phng sai ny vi phng sai ca danh mcth trng.
Danh mc th trng c beta bng 1.
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2MWBeta (Covi,M/ )1,0
E(Ri)
RM
rf
0
Beta m
SML
ng th trng chng khon
Mi quan h ri ro - t sut sinh li mong i
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Xc nh t sut sinh li mong i ca mt ti sn ri ro
Gi s t sut sinh li phi riro ca nn kinh t l 6% v tsut sinh li trn danh mc thtrng l 12%
Do phn b ri ro th trngl 6%.
ng th trng chng khon
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trng thi cn bng, tt c cc ti sn v tt ccc danh mc s nm trn SML
Chng khon no c t sut sinh li c lngnm trn SML s c xem l b nh gi thp
Chng khon no c t sut sinh li c lngnm di SML s c xem l b nh gi cao
Xc nh mt ti sn b nh gi cao hay thp
ng th trng chng khon
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Tnh t sut sinh li mong i cho mt ti sn riro bng cch s dng CAPM.
c lng c lp t sut sinh li ca chng khonda trn cc phn tch c bn v phn tch k thut
So snh t sut sinh li mong i ny vi t sutsinh li c lngtrn mt khong thi gian c th xc nh xem n c c nh gi ng hay khng
Xc nh cc ti sn b nh gi cao hay thp
ng th trng chng khon
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C phiuT sut sinhli c lng
Gi hinti Pt
C tc mongi
Gi mongi Pt
Xc nh cc ti sn b nh gi cao hay thp
V d: S dng 5 c phiu v d trn
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Stocks Beta
T sut sinhli mong
i(CAPM)
T sutsinh li
clng
T sut sinh lic lng-TSSL theo
CAPM
nh gi
A 0,7 10,2 10,0 -0,2 ng
B 1,00 12,0 6,2 -5,8 Cao
C 1,15 12,9 21,2 8,3 Thp
D 1,40 14,4 3,3 -11,1 Cao
E -0,3 4,2 8,0 3,8 thp
Xc nh cc ti sn b nh gi cao hay thp
V d: S dng 5 c phiu v d trn
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Xc nh cc ti sn b nh gi cao hay thp
Nu bntin tngvo t sutsinh li d
bo cacc nh
phn tchth bn shnh ngg i vicc c
phiu trn?
Alpha >0, cphiu b nh githp
Alpha
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Tnh ton ri ro h thng (beta): ng c trng
Beta ti sn (thc o ri ro h thng chun ha)c rt ra t m hnh hi quy tuyn tnh sau:
IFE !tMiiti
RR,,
ng c trngl mt ng hi quy ph hpnht i qua cc t sut sinh li phn tn ca mt ti
sn ri ro v ca danh mc th trng cc chngkhon ri ro trn mt khong thi gian trong qu kh.
T h t i h th (b t ) t
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Phn b ca cc t sutsinh li
Tnh ton ri ro h thng (beta): ng c trng
T h t i h th g (b t ) g c t g
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Tnh ton ri ro h thng (beta): ng c trng
nh hng ca khong thi giannh hng ca khong thi gian ph thuc voquy m ca cng ty. Mt khong thi gian tun
ngn hn dn n mt beta ln hn cho cccng ty ln v beta nh hn cho cc cng ty nh.
nh hng ca i din th trng
khc nhau v danh mc i din th trng
V d tnh ton ng c trng
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ng c trng ca c phiu Coca-Cola trnghp S&P 500 l danh mc th trng
Tsu
tsi
nhlihngthngcaCoca-Cola
T sut sinh li hng thng ca S&P 500
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ng c trng ca c phiu Coca-Cola trnghp M-SWorld l danh mc th trng
Tsu
tsi
nhlihngthngcaCoca-Cola
T sut sinh li hng thng ca M-SWorld
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Ni lng cc gi thuyt ca m hnh
Mt gi nh ban u ca CAPM l nh u t c thcho vay v i vay vi li sut phi ri ro.
Li sut i vay khc cho vay
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M hnh beta bng khng
Tn ti mt danh mc m t sut sinh li khng tng quan vi danhmc th trng, do danh mc ny c beta bng khng.
Phng trnh ca CAPM vi beta bng khng s l:
? A)R(E)R(E)R(E)R(E zMizi F!
Ni lng cc gi thuyt ca m hnh
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SML
1,0
E(R)
E(RM)
E(Rz)
0,0
E(RM) E(Rz)
M
Ni lng cc gi thuyt ca m hnh
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Vi s hin din ca chi ph giao dch, cc nh u t s khngiu chnh tt c cc sai lch gi. Do , cc chng khon s nmrt gn vi ng SML nhng khng nm ng trn
Chi ph giao dch
Ni lng cc gi thuyt ca m hnh
Ni l i th t h h
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Cc mong i khng ng nht
Nu tt c cc nh u t c mong i khng ng
nht v ri ro v t sut sinh li, th mi nh u t sc mt ng CML v /hoc SML ring
V th tng hp s l mt tp hp (mt di) gmnhiu ng vi phm vi ca di c xc nh bi
s sai khc ca cc mong i.
Ni lng cc gi thuyt ca m hnh
Ni l i th t h h
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nh hng ca khong thi gian hoch nhHy nh li rng CAPM l m hnh mt khongthi gian, tng ng vi khong thi gian hoch nhca mt nh u t.
Nh vy, nu bn ang s dng khong thi gianhoch nh l 1 nm th CML v SML ca bn skhc vi mt nh u t c khong thi gian hoch
nh l mt thng.
Ni lng cc gi thuyt ca m hnh
Ni lng cc gi thuyt ca m hnh
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Thu
T sut sinh li xuyn sut m hnh ny l t sutsinh li trc thu. T sut sinh li thc t ca ccnh u t:
b
icgbe
iP
TDivTPPATRE )1()()1())(( !
ng CML v SML ca cc nh u t khng chu
thu s khc vi nhng nh u t chu thu (hn nathu sut khc nhau gia cc nh u t)
Ni lng cc gi thuyt ca m hnh
M h h CAPM C h th hi
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Tnh n nh ca Beta
M hnh CAPM: Cc chng c thc nghim
Beta khng n nh i vi tng c phiu m n nhi vi danh mc c phiu.
Quy m danh mc cng ln v thi gian quan stcng di th beta ca danh mc cng n nh
Beta ca cc danh mc c xu hng dn v 1.
M h h CAPM C h th hi
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C mi quan h gia beta v t sut sinh li?
M hnh CAPM: Cc chng c thc nghim
Mi quan h dng, dc ca SML thay i quacc thi k
im ct ln hn t sut sinh li phi ri ro v thayi theo thi gian
M hnh CAPM: Cc chng c thc nghim
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Cc nh hng ln t sut sinh li
M hnh CAPM: Cc chng c thc nghim
nh hng ca phn phi khng i xng bn cnhbeta
nh hng ca quy m, P/E v n by bn cnhbeta
M hnh Fama French: Beta, BV/P, E/P, n by ti
chnh tm thy khng c mi quan h gia beta v tsut sinh li.
Danh mc M: L thuyt v thc tin
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nh hng ca vic chn danh mc i din thtrng
Danh mc M: L thuyt v thc tin
Danh mc th trng phi l danh mc hiu qu vmt trung bnh/phng sai
Chn sai danh mc i din, lm sai m hnh v nhgi sai thnh qu.
Danh mc M: L thuyt v thc tin
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SML
Ri ro
E(R)
Saistrongc lng ri rohthng
Danh mc M: L thuyt v thc tin