Mô hình định giá tài sản vốn và vận dụng vào thị trường vốn Việt Nam

NGHICN Cl/U - TRAO DQI ( 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 tdca 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

model- 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 ii_ - L-'I'U-. , '• " dmlicidtaisa n md ta moi

Mo hinh LAPM mo khong the loai bd dUdc rui ro \ - , . - -

fl 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 -- , ,- , . .. . Iv sir"!'! ^inh Id i k v vnn o - i i . -' *- ^'•'''t SUltl Id l k v VOUS. MO

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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

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ro he thd'ng cua chu'ng khetan uudng hay riii ro khdn^' the *"'"'' "'^''' '^'^^ urdd'i vdi chi/ng d o . ,1-1 rl-.n. , ,•,',•> ,'ri nhi.-', , C , ,• khodu '

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

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ciia cd phieu riiJng le so vdi iru'dc nhi/ng thay ddi cua ihj , . .

° inr^inp "' y ^"^t sinh ldi thi

(22/ Tap chf nghien cdu Tdi chfnh ke'todn