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4-1
Chng 4: Mi trng ti chnh - Th trng, cc nh ch ti chnh, v li sut
Th trng ti chnh
Cc loi nh ch ti chnh
Cc yu t tc ng n li sut
ng cong li sut
4-2
Th trng ti chnh l g?
L ni cc c nhn v t chc c nhu cu vn v nhng ngi c vn thng d gp nhau.
4-3
Cc loi th trng ti chnh
Ti sn thc (real assets) & ti sn ti chnh (financial assets)
Th trng tin t & th trng vn
S cp & th cp
Giao ngay & tng lai
Bn ra cng chng & bn ring
4-4
Vn c chuyn giao gia khu vc tit kim v khu vc u t nh th no?
Trc tip
Ngn hng u t
nh ch ti chnh trung gian
4-5
Cc loi nh ch ti chnh
Ngn hng thng mi
Hip hi tit kim v cho vay
Ngn hng tit kim h tng
Hp tc x tn dng
Qu hu bng hay qu lng hu
Cc cng ty bo him
Qu h tng
4-6
Th trng c t chc & phi tp trung
Auction market vs. Dealer market
S. Exchanges vs. OTC
NYSE vs. Nasdaq
S khc bit rt nh
4-7
Chi ph tin t
Gi, hay chi ph ca vn n l li sut.
Gi, hay chi ph ca vn t c l sut sinh li cn thit. Thu nhp cn thit m nh u t k vng bao gm c tc v phn thng d vn (chnh lch gia gi bn v gi mua).
4-8
Yu t nh hng n chi ph tin t
C hi kinh doanh
S u tin v thi gian cho tiu dng
Ri ro
T l lm pht
4-9
Li sut Danh ngha vs. Thc
k = Li sut danh ngha
k* = Li sut thc phi ri ro. Li sut ca k phiu kho bc, nu khng c lm pht.
kRF = Li sut danh ngha phi ri ro ca tri phiu kho bc.
4-10
Cc yu t quyt nh li sut
k = k* + IP + DRP + LP + MRP
k = sut sinh li yu cu ca chng khon n
k* = li sut thc phi ri ro
IP = phn b cho lm pht d kin
DRP = phn b ri ro tn dng
LP = phn b ri ro thanh khon
MRP = phn b ri ro k hn
4-11
Phn b cng thm vo k* i vi cc chng khon n khc nhau
IP MRP DRP LP
K phiu kho bc
Tri phiu kho bc
Chng khon cty ngn hn
Tri phiu cng ty
4-12
ng cong LS v cu trc LS
Cu trc LS theo k hn mi quan h gia li sut (hoc sut sinh li) v k hn.
ng cong li sut biu din cu trc LS theo k hn.
ng cong li sut ca mt chng khon kho bc M t thng 10 nm 2002 hnh bn cnh.
4-13
Xy dng ng cong LS: Lm pht
Bc 1 tm t l lm pht trung bnh t nm 1 n nm n:
n
INFL
IP
n
1tt
n
4-14
Xy dng ng cong LS: Lm pht
Gi s rng lm pht nm ti c cho l 5%, 6% nm tip theo, v 8% sau .
IP1 = 5% / 1 = 5.00%
IP10= [5% + 6% + 8%(8)] / 10 = 7.50%
IP20= [5% + 6% + 8%(18)] / 20 = 7.75%
Phi thu c IPs th bn mi c th kim c k* (trc thu).
4-15
Xy dng ng cong LS: Phn b ri ro k hn
Bc 2: Tm phn b ri ro k hn thch hp (MRP). Trong v d ny, cng thc sau y c s dng tm phn b ri ro k hn thch hp ca chng khon.
) 1 -t ( 0.1% MRPt
4-16
Xy dng ng cong li sut: Phn b ri ro k hn
S dng cng thc cho:
MRP1 = 0.1% x (1-1) = 0.0%
MRP10 = 0.1% x (10-1) = 0.9%
MRP20 = 0.1% x (20-1) = 1.9%
Lu rng bi v cng thc trn l ng thng, phn b ri ro k hn tng theo thi gian cho n k o hn.
4-17
Cng IPs v MRPs vo k* tm cc LS danh ngha cho chng khon Kho bc
Bc 3: Cng cc phn b vo k*.
kRF, t = k* + IPt + MRPt
Cho rng k* = 3%,
kRF, 1 = 3% + 5.0% + 0.0% = 8.0%
kRF, 10 = 3% + 7.5% + 0.9% = 11.4%
kRF, 20 = 3% + 7.75% + 1.9% = 12.65%
4-18
ng cong LS l thuyt
ng cong dc ln.
Dc ln l do tng phn b lm pht v ri ro k hn.
Years to
Maturity
Real risk-free rate
0
5
10
15
1 10 20
Interest
Rate (%)
Maturity risk premium
Inflation premium
4-19
Mi quan h gia YC ca tri phiu kho bc v YC ca tri phiu cng ty
YC ca CK cng ty th cao hn YC ca CK kho bc, khng nht thit song song nhau.
Khong cch gia 2 ng rng ra khi mc xp hng tri phiu cng ty gim xung.
4-20
Minh ha
0
5
10
15
0 1 5 10 15 20
Years to Maturity
Interest Rate (%)
5.2% 5.9%
6.0% Treasury
Yield Curve
BB-Rated
AAA-Rated
4-21
Thuyt k vng (Pure Expectation Hypothesis - PEH)
Thuyt PEH cho rng hnh dng ca YC ty thuc vo mong i ca nh u t v li sut tng lai.
Nu li sut k vng tng, LS di hn s cao hn LS ngn hn, v ngc li. Do , YC c th hng ln, xung, hoc nm ngang.
4-22
Cc gi nh ca PEH
Phn b MRP ca chng khon kho bc bng khng.
Li sut di hn l trung bnh ca LS ngn hn hin ti v tng lai.
Nu PEH ng, YC c th c s dng tm li sut tng lai.
4-23
V d: Li sut tri phiu Kho bc v PEH
K hn LS 1 nm 6.0% 2 nm 6.2% 3 nm 6.4% 4 nm 6.5% 5 nm 6.5%
Nu da theo PEH, hy tnh li sut k hn ca chng khon k hn 1 nm, tnh ti thi im sau ny mt nm v chng khon k hn 3 nm tnh ti thi im sau ny hai nm.
4-24
LS k hn 1 nm (One-year forward rate), ti thi im sau ny 1 nm
6.2% = (6.0% + x%) / 2
12.4% = 6.0% + x%
6.4% = x%
PEH ni rng CK c k hn 1 nm s kim c 6.4%, sau mt nm tnh t by gi.
4-25
LS ca CK k hn 3 nm, thi im sau 2 nm tnh t by gi
6.5% = [2(6.2%) + 3(x%) / 5
32.5% = 12.4% + 3(x%)
6.7% = x%
PEH cho rng CK c k hn ba nm s kim c 6.7%, ti thi im sau hai nm k t by gi.
4-26
Kt lun v PEH
Vi ngi cho rng MRP 0, v do PEH khng ng.
Phn ln cc chng c h tr quan im chung, l ngi cho mn thch CK k hn ngn, v cho rng CK k hn di ri ro cao hn.
V vy, nh u t yu cu c phn b ri ro th h mi nm gi CK di hn (ngha l MRP > 0).
4-27
Cc yu t khc nh hng n LS
Chnh sch tin t ca Ngn hng Trung ng
Ngn sch nh nc thng d hay thm tht
Yu t quc t
4-28
Cc ri ro lin quan n u t nc ngoi
Ri ro t gi hi oi.
Ri ro quc gia ny sinh do u t hay hot ng mt quc gia c th v ph thuc vo tnh hnh kinh t, mi trng chnh tr, v x hi ca quc gia .
4-29
Cc yu t lm t gi thay i
Thay i lm pht tng i
Thay i trong ri ro quc gia