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BO GIAO DUC VA AO TAOAI HOC KINH TE THANH PHO HO CH MINH

MS: B2003 22 43 - T

: TS. NGUYEN MINH KIEU: TS. NGUYEN MINH KIEU

ThS. NGUYEN TH THU HIENCN. VU TH LE GIANG

2003 2004


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i

MUC LUC

TrangCHNG 1: GII THIEU CONG TRNH NGHIEN CU ...............................11.1TNH CAP THIET CUA VIEC NGHIEN CU E TAI ........................................11.2XAC NH VAN E NGHIEN CU.......................................................................21.3CAU HOI VA MUC TIEU NGHIEN CU ..............................................................31.4PHNG PHAP NGHIEN CU .............................................................................41.5NOI DUNG NGHIEN CU......................................................................................51.6Y NGHA VA NG DUNG CUA E TAI NGHIEN CU.....................................6CHNG 2: C S LY THUYET VE MO HNH TAI CHNH VA NHNGQUYET NH TRONG TAI CHNH CONG TY..............................................7

2.1 TONG QUAN VE NHNG QUYET NH TRONG TAI CHNH CONG TY......72.1.1 Quyet nh au t................................................................................................72.1.2 Quyet nh nguon von .........................................................................................82.1.3 Quyet nh phan phoi li nhuan hay chnh sach co tc ...................................92.1.4 Mot so quyet nh khac trong tai chnh cong ty...............................................92.2 TONG QUAN VE NHNG MO HNH TRONG NGHIEN CU TAI CHNH.....102.2.1 Khai niem ve mo hnh ........................................................................................102.2.2 Phan loai mo hnh...............................................................................................112.2.3 Nhng yeu to can ban cua mo hnh....................................................................132.2.4 Phng phap xay dng va ng dung mo hnh trong quyet nh tai chnh cong

ty...........................................................................................................................142.3 NHNG NEN TANG LY THUYET CUA MO HNH TAI CHNH ......................172.3.1 Thi gia tien te....................................................................................................182.3.2 Quan he gia li nhuan va rui ro .......................................................................29CHNG 3: HE THONG HOA CAC MO HNH S DUNG TRONG QUYETNH TAI CHNH CONG TY.........................................................................393.1 CAC MO HNH S DUNG TRONG QUYET NH AU T.............................393.1.1 Cac mo hnh trong quyet nh au t tai san lu ong....................................39

Mo hnh quyet nh ton quy tien mat ................................................................39

Mo hnh quyet nh au t tai chnh ngan han................................................46

Mo hnh quyet nh khoan phai thu hay chnh sach ban chu hang hoa .......48Mo hnh quyet nh ton kho ...............................................................................60

3.1.2 Cac mo hnh trong quyet nh au t tai san co nh......................................62Mo hnh quyet nh mua sam tai san co nh mi...........................................62

Mo hnh quyet nh thay the tai san co nh cu ...............................................63

Mo hnh quyet nh au t d an ......................................................................64

3.1.3 Mo hnh quyet nh au t tai chnh dai han ...................................................65Mo hnh nh gia trai phieu ...............................................................................65

Mo hnh nh gia cophieu..................................................................................71

Mo hnh nh gia quyen chon.............................................................................74


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3.1.4 Cac mo hnh trong quyet nh quan he gia chi ph bien oi va chi ph conh.......................................................................................................................77

Phan tch hoa von................................................................................................79Phan tch o bay hoat ong 80

3.2 Cac mo hnh trong quyet nh nguon von..............................................................82Mo hnh quyet nh chi ph s dung n.................................................................83

Mo hnh quyet nh chi ph s dung von co phan u ai.....................................83

Mo hnh quyet nh chi ph s dung von co phan pho thong...............................84

Mo hnh quyet nh chi ph s dung von trung bnh............................................85

3.3 MOT SO MO HNH QUYET NH KHAC TRONG TAI CHNH CONG TY.....863.3.1 Mo hnh quyet nh tien lng hieu qua............................................................863.3.2 Mo hnh quyet nh hnh thc chuyen tien.......................................................873.4 KET LUAN...............................................................................................................89CHNG 4: KHAO SAT THC TRANG S DUNG MO HNH TRONG QUYETNH TAI CHNH CONG TY.........................................................................904.1 KHAO SAT THC TRANG QUAN TR TAI CHNH DOANH NGHIEP NAM

2000 ..........................................................................................................................904.1.1 Mo ta cuoc khao sat.............................................................................................904.1.2 Ket qua khao sat..................................................................................................93

Thc hanh quan tr tien mat ..............................................................................93

Thc hanh quan tr khoan phai thu ..................................................................95

Thc hanh quan tr ton kho ...............................................................................97

4.1.3 Nhan xet va ket luan ..........................................................................................984.2 KHAO SAT THC TRANG S DUNG CAC MO HNH TRONG QUYET NH TAI

CHNH CONG TY NAM 2004................................................................................1004.2.1 Mo ta cuoc khao sat.............................................................................................1004.2.2 Ket qua khao sat..................................................................................................101

Tnh hnh huy ong von kinh doanh.................................................................101

Tnh hnh ao tao, hieu biet va s dung cac mo hnh tai chnh .....................102

Kha nang sinh li va thc tien ra quyet nh au t .......................................102

C s cua viec ra quyet nh s dung tai san....................................................104

Hieu biet, ng dung cac mo hnh tai chnh.......................................................104

Ket luan ve nhu cau ng dung cac mo hnh tai chnh ....................................105

anh gia nhu cau dch vu t van quan ly tai chnh.........................................1054.2.3 Nhan xet va ket luan ..........................................................................................1064.3 NHAN NH CHUNG VE THC TRANG QUAN TR TAI CHNH CONG TY

HIEN NAY ...............................................................................................................107CHNG 5: HNG DAN NG DUNG CAC MO HNH TRONG QUYET NHTAI CHNH CONG TY ...................................................................................1085.1 E XUAT CHUNG VE NG DUNG CAC MO HNH TRONG QUYET NH TAI

CHNH CONG TY VIET NAM...........................................................................1085.1.1 Tao nhan thc ve cac mo hnh tai chnh ...........................................................1085.1.2 Giai quyet mau thuan li ch khi ra quyet nh................................................110


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5.1.3 Thay oi hanh vi ra quyet nh..........................................................................1115.1.4 Kch thch nhu cau s dung cac mo hnh tai chnh...........................................1125.1.5

Giai quyet s bat tng thch gia mo hnh va moi trng tai chnh .............1125.1.6 Xay dng he thong thu thap thong tin ..............................................................113

5.1.7 ng dung cac mo hnh tai chnh phuc vu viec ra quyet nh...........................1145.1.8 Kiem nghiem va hoan thien mo hnh................................................................1145.2 HNG DAN NG DUNG CAC MO HNH TRONG QUYET NH TAI CHNH

CONG TY .................................................................................................................1155.2.1 Hng dan ng dung cac mo hnh quyet nh au t .......................................115

Hng dan ng dung mo hnh Baumol .............................................................115

Hng dan ng dung mo hnh Miller-Orr.........................................................119Hng dan ng dung cac mo hnh quan ly khoan phai thu.............................120

Hng dan ng dung mo hnh EOQ ..................................................................127

Hng dan ng dung mo hnh DCF ..................................................................128

Hng dan ng dung mo hnh CAPM ...............................................................132

Hng dan ng dung mo hnh nh gia trai phieu ..........................................134

Hng dan ng dung mo hnh Gordon..............................................................135

5.2.2 Hng dan ng dung cac mo hnh trong quyet nh quan he gia chi ph bien oiva chi ph co nh................................................................................................137

5.2.3 Hng dan ng dung cac mo hnh quyet nh nguon von ................................139Hng dan ng dung mo hnh quyet nh nguon tai tr ngan han ................139

Hng dan ng dung mo hnh quyet nh nguon tai tr dai han ...................141

5.3 E XUAT CAC CONG TY NG DUNG TH NGHIEM CAC MO HNH TAICHNH A C HE THONG HOA VA HNG DAN S DUNG..................148


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DANH MUC CAC BANG

TrangBang 2.1: Phan loai mo hnh .........................................................................................12Bang 2.2: Cach tnh li nhuan ky vong va phng sai ................................................31Bang 3.1: Chi ph c hoi .................................................................................................42Bang 3.2: Chi ph giao dch............................................................................................42Bang 3.3: Tong chi ph....................................................................................................43Bang 3.4: D bao mc tang doanh thu va ty le n kho oi..........................................57Bang 3.5: Phan tch li ch va chi ph theo tng chnh sach ban chu .......................59Bang 3.6: Mo ta ngan lu khi au t tai san co nh mi ...........................................63

Bang 3.7: Mo ta ngan lu khi thay the tai san co nh...............................................64Bang 3.8: Mo ta ngan lu khi au t vao mot d an ....................................................65Bang 3.9: Anh hng cua on bay hoat ong len li nhuan ........................................78Bang 4.1: C cau cac doanh nghiep c khao sat theo nganh va hnh thc s hu.91Bang 4.2: Phan phoi cua mau theo hnh thc s hu trong cung nganh ....................92Bang 4.3: ac iem cua cac doanh nghiep tham gia khao sat ....................................92Bang 4.4: Thc hanh lap ke hoach tien mat.................................................................93Bang 4.5: Thc hanh quyet nh ton quy tien mat.......................................................94Bang 4.6: Tnh hnh thieu hut hoac thang d tien mat ...............................................95Bang 4.7: Doanh thu va chnh sach ban chu hang hoa-dch vu..................................96Bang 4.8: Mc o thng xuyen xem xet khoan phai thu va n qua han...................96Bang 4.9: Ty le n qua han so vi doanh thu ...............................................................97Bang 4.10: Mc o thng xuyen lap kehoach va xem xet ton kho ...........................97Bang 4.11: C s cho viec quyet nh mc ton kho vaviec s dung mo hnh EOQ....98Bang 5.1: Bang tnh EPS theo 3 phng an tai tr .....................................................143


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DANH MUC CAC HNH

TrangHnh 1.1: Mo ta van e nghien cu ...............................................................................3Hnh 2.1: Quan he gia cac bien trong mo hnh...........................................................14Hnh 2.2: Mo ta dong tien ..............................................................................................21Hnh 2.3: Mo ta dong nien kim......................................................................................22Hnh 2.4: Ket hp hai chng khoan A va B e cat giam rui ro...................................36Hnh 2.5: Rui ro he thong va rui ro phi he thong ........................................................38Hnh 3.1: Tong chi ph gi tien mat..............................................................................40Hnh 3.2: Tnh hnh ton quy tien mat cua cong ty K...................................................41Hnh 3.3: Mo hnh Miller-Orr ........................................................................................44

Hnh 3.4: Mo hnh quyet nh ni long chnh sach ban chu ......................................50Hnh 3.5: Mo hnh quyet nh that chat chnh sach ban chu ....................................51Hnh 3.6: Mo hnh quyet nh m rong thi han ban chu..........................................53Hnh 3.7: Mo hnh quyet nh rut ngan thi han ban chu .........................................54Hnh 3.8: Mo hnh quyet nh tang ty le chiet khau ...................................................55Hnh 3.9: Mo hnh quyet nh giam ty le chiet khau...................................................57Hnh 3.10: Mo hnh quyet nh thay oi chnh sach ban chu khi co rui ro ..............58Hnh 3.11: Mo hnh quyet nh ban chu hang hoa......................................................59Hnh 3.12: Tnh hnh ton kho theo thi gian ...............................................................61Hnh 3.13: Phan tch hoa von ........................................................................................79Hnh 4.1: C cau doanh nghiep theo nganh..................................................................91Hnh 4.2: C cau doanh nghiep theo hnh thc s hu ................................................91Hnh 5.1: Mo ta cac e xuat ve ng dung mo hnh tai chnh ......................................109Hnh 5.2: Mo hnh quyet nh ni long chnh sach ban chu ......................................121Hnh 5.3: Mo hnh quyet nh that hcat chnh sach ban chu ....................................122Hnh 5.4: Mo hnh quyet nh m rong thi han ban chu..........................................124Hnh 5.5: Mo hnh quyet nh rut ngan thi han ban chu .........................................125Hnh 5.6: Mo hnh quyet nh tang ty le chiet khau ...................................................126Hnh 5.7: Mo hnh quyet nh giam ty le chiet khau...................................................126Hnh 5.8: Mo ta mo hnh chiet khau dong tien (DCF).................................................129Hnh 5.9: Cac bc tien hanh khi ng dung mo hnh DCF .........................................130

Hnh 5.10: Phan tch hoa von ........................................................................................138Hnh 5.11: Cac quyet nh la chon nguon tai tr ngan han ......................................139Hnh 5.12: o th xac nh iem bang quan theo ba phng an tai tr.....................145


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DANH MUC CAC T VIET TAT

T tat Tieng Anh Tieng VietCAPM = Capital Asset Pricing Model Mo hnh nh gia tai san von

DCF = Discounted Cash Flows Mo hnh chiet khau dong tienDOL = Degree of Operating Leverage o bay hoat ongEBIT = Earnings Before Interest and Tax Li nhuan trc thue va laiEOQ = Economic Order Quantity Mo hnh lng at hang kinh teEPS = Earnings per Share Li nhuan tren moi co phanIRR = Internal Rate of Return Suat sinh li noi bo

M/T = Mail Transfer Chuyen tien bang thNPV = Net Present Value Hien gia thuan

SWIFT = Society for Worldwide InterbankFinancial Telecomunications

Chuyen tien qua mang cua hiep hoi vien thongtai chnh lien ngan hang toan cau

T/T = Telegraphic Transfer Chuyen tien bang ienYTC = Yield To Call Li suat trai phieu luc thu hoiYTM = Yield To Maturity Li suat trai phieu luc ao han

WACC = Weighted Average Cost of Capital Chi ph s dung von trung bnh


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Chng 1: Gii thieu cong trnh nghien cu

Chng 1:

GII THIEU CONG TRNH NGHIEN CU

1.1TNH CAP THIET CUA VIEC NGHIEN CU E TAITrong thc tien hoat ong, ban giam oc cong ty noi chung va giam oc tai chnh

noi rieng thng xuyen ng trc nhng quyet nh kinh doanh co lien quan chat

che en cac van e tai chnh cua cong ty. Chang han cong ty co nen au t mot d

an m rong san xuat kinh doanh hay khong? Cong ty co nen ky ket mot hp ong

xuat hoac nhap khau trong ieu kien ty gia hoi oai bien ong hay khong? Cong

ty nen tnh toan quyet nh ton quy tien mat tai cong ty va tien gi ngan hang

nh the nao cho toi u? Va con rat nhieu van e khac na giam oc cong ty can ra

quyet nh. Nhng quyet nh nay thng ong vai tro quan trong, oi khi trc

tiep anh hng en s thanh bai cua cong ty. e ra quyet nh trc nhng tnh

huong tren, mot sogiam oc cong ty hoac la quyet nh theo cam tnh cua mnh,

da vao nhng kinh nghiem ca nhan, hoac la quyet nh mot cach ngau nhien,da tren c s pho thac cho s may rui. Han nhien nhng quyet nh nh vay rat

de dan en sai lam va gay ton that cho cong ty, ac biet la ton that cho co ong la

chu s hu cong ty nhng khong trc tiep ieu hanh cong ty. ieu nay van thng

xuyen xay ra do cac nha quan ly thieu cong cu quan tr khoa hoc va thieu nang lc

ng dung cac cong cu o vao thc tien.

Ket qua khao sat thc tien quan tr tai chnh cua 150 doanh nghiep va va

nho ong tren a ban thanh pho Ho Ch Minh nam 20001

cho thay phan ln cac

doanh nghiep cha chu trong lam en quan tr tai chnh ma ch tap trung vao

cong tac ke toan, nham lap ra cac bao cao tai chnh theo qui nh cua Bo Tai

Chnh. Ngoai ra, hau het cac nha quan ly chu chot bao gom chu doanh nghiep,

giam oc va ke toan trng eu rat t hieu biet va s dung cac mo hnh trong viec

1Nguyen Ninh Kieu (2000), Thc hanh quan tr von lu ong trong cac doanh nghiep va va nho, Tap

ch Phat Trien Kinh Te


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ra quyet nh quan ly. Ket qua la, hieu qua quan ly doanh nghiep noi chung va

quan ly tai chnh noi rieng khong cao va phu thuoc vao kinh nghiem va y ch chu

quan do a so cac quyet nh tai chnh eu c thc hien da vao kinh nghiem,

thieu c s ly thuyet, thieu s ho tr cua cac mo hnh ra quyet nh.

T cac quan sat thc tien quan ly tai chnh cong ty, thong qua cac cuoc trao

oi vi mot so giam oc cong ty tai Viet Nam va qua qua trnh nghien cu kinh

nghiem quan ly cac nc cho thay rang nhu cau thc hien nghien cu nham a

ra nhng mo hnh ra quyet nh co the ng dung trong thc tien ra quyet nh tai

chnh cua doanh nghiep va mang tnh chat khoa hoc, nh lng va phu hp vi

moi trng quan ly cua Viet Nam a tr thanh mot nhu cau cap thiet. Ket qua

nghien cu e tai nay co y ngha rat quan trong oi vi thc tien quan tr tai

chnh cong ty. No cung cap cho nhng nha quan tr thc hanh cong cu phan tch

va ra quyet nh tai chnh mang tnh khoa hoc, co c s va co tnh nh lng.

1.2 XAC NH VAN E NGHIEN CU

Nh c trnh bay tren, nhu cau cap thiet cua thc tien quan tr tai chnh congty Viet Nam la lam sao co c cac mo hnh ra quyet nh co tnh khoa hoc, co

tnh ng dung cao. Van e cua thc tien quan ly, cung chnh la van e th tha ch

danh cho cac nha nghien cu khoa hoc, la lam sao chon la t ly thuyet tai chnh

cac mo hnh ra quyet nh hu ch, t o hieu chnh cho phu hp, va hng dan s

dung, qua o co the a cac cong cu ly thuyet vao thc tien, em lai cac gia tr

thc s cho thc tien quan ly tai chnh cua cac cong ty Viet Nam. Nh vay, van e

at ra cho e tai nghien cu nay la xay dng nhng mo hnh ra quyet nh

tai chnh thch hp co the ng dung trong thc tien quan ly nham ho tr

cho cac nha quan ly trong viec ra quyet nh ta i chnh cong ty.

ay la van e nghien cu va mi me va co tnh hu ch cao Viet Nam

hien nay. No mi me v mac du ly thuyet tai chnh cong ty a phat trien mot

mc o cao, nhng viec ng dung cac mo hnh ly thuyet nay vao thc tien quan ly

cong ty Viet Nam cha thc s c thc hien trong mot nghien cu nao trc


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ay. Van e nghien cu nay co tnh hu ch cao v ket qua nghien cu se la mot

cam nang ng dung cac mo hnh ra quyet nh co tnh khoa hoc vao thc tien

quan ly tai chnh cua cong ty Viet Nam trong moi trng hien nay.

Hnh 1.1 di ay mo ta qua trnh x ly thong tin va ra quyet nh tai

chnh trong cong ty.

Hnh 1.1: Mo ta van e nghien cu

1.3 CAU HOI VA MUC TIEU NGHIEN CUe co the giai quyet c van e can nghien cu tren ay, nhiem vu quan trong

au tien cua e tai nghien cu nay la anh gia nhu cau cua cong ty Viet Nam oi

vi viec s dung cac mo hnh ra quyet nh tai chnh. Cac cau hoi cho phan nay

nh sau:

Trong thc tien hoat ong cong ty, cac nha quan ly thng xuyen oi matvi nhng loai quyet nh tai chnh nao? Cau hoi nay se c tra li trong

chng 2.

Cac nha quan ly thc hien viec ra quyet nh tai chnh nh the nao? Ca uhoi nay se c tra li trong chng 4.

Thong tin au vao

Mo hnh xly

Thong tin au ra Quyet nh tai chnh

Van e nghien cu: Lam thenao e xay dng va ng dung cacmo hnh phu hp trong viec raquyet nh tai chnh cong ty.

Nha quan ly: Chu doanh nghiep Giam oc


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Nhu cau va kha nang ng dung nhng mo hnh trong quyet nh tai chnh Viet Nam hien nay ra sao, xet ve ca hai phng dien ly lua n va thc

tien? Cau hoi nay se c tra li trong chng 4.

Mo hnh tai chnh co y ngha quan trong nh the nao oi vi cac nha quanly va lam the nao ng dung mo hnh trong viec ra quyet nh tai chnh

cong ty? Cau hoi nay se c ket hp tra li trong chng 3 va chng 5.

Nhiem vu quan trong tiep theo la chon la t ly thuyet quan tr tai chnh cong ty

cac mo hnh ra quyet nh hu ch, hieu chnh cho phu hp thc tien quan ly tai

chnh Viet Nam, va hng dan ng dung cac mo hnh vao thc tien quan ly tai

chnh cong ty Viet Nam. Cac muc tieu cu the cho nhiem vu nay nh sau:

He thong hoa va lng hoanhng quyet nh tai chnh ma cong ty thngxuyen phai oi pho.

He thong hoa cac mo hnh phu hp vi tng loai quyet nh trong hoatong tai chnh cong ty.

Nghien cu cach thc ng dung cac mo hnh tai chnh e giai quyet van eva tm ra phng an toi u cho tng loai quyet nh.

Hng dan cho nha quan ly ng dung cac mo hnh vao thc tien ra quyetnh tai chnh cong ty.

1.4 PHNG PHAP NGHIEN CU

ay la e tai nghien cu ng dung ly thuyet vao thc tien quan ly Viet Namhien nay. Nh a e cap trong phan muc tieu nghien cu, trc het cong trnh

nghien cu nay se khao sat thc tien quan tr tai chnh doanh nghiep e anh gia

thc trang va mo ta ong thai cua nha quan ly trong viec ra cac quyet nh ta i

chnh. Ke en se xem xet nhng ieu kien va xay dng nhng mo hnh phu hp co

the s dung nh la cong cu phuc vu viec ra quyet nh tai chnh. Cuoi cung, nhng

mo hnh sau khi a c xay dng se c kiem nh e anh gia kha nang ng


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dung vao thc tien. Do vay e tai nay s dung ket hp nhieu phng phap nghien

cu khac nhau nham tan dung tnh chat hp ly va u viet cua tng loai phng

phap nghien cu khoa hoc.

Phng phap nghien cu d lieu th cap c s dung e nghien cu c s

ly luan nham at nen tang cho viec xay dng mo hnh trong quyet nh tai chnh

cong ty. Phng phap nay c s dung e xem xet, tm toi, he thong hoa va tom

tat tat ca nhng ket qua nghien cu co lien quan en e tai nay a c tien hanh

trong va ngoai nc. Tren c s o, hieu c cac nha nghien cu i trc a co

nhng cong trnh nghien cu nao, ket qua ra sao e co the s dung hoac nghien

cu bo sung trong cong trnh nghien cu nay.

Phng phap nghien cu d lieu s cap cung c s dung nham thu thap

va phan tch thong tin lien quan en thc trang va nhu cau ng dung mo hnh

trong thc tien quan ly Viet Nam. e thu thap d lie u s cap phuc vu cho viec

nghien cu e tai nay, mot cuoc khao sat ve thc hanh quan tr tai chnh 150

doanh nghiep va va nho ong tren a ban Thanh pho Ho Ch Minh a c tien

hanh nam 2000. Ngoai ra, con co 10 cuoc phong van trc tiep giam oc va ke toan

trng a c tien hanh trong nam 2002 va mot cuoc khao sat na a c tien

hanh vao cuoi nam 2003 va au 2004 oi vi 27 cong ty. Danh sach cac cong ty

tham gia tra li phong van c liet ke phu luc so 1. Da vao ket qua cac cuoc

khao sat neu tren co the mo ta va rut ra ket luan ve thc trang quan ly tai chnh

doanh nghiep Viet Nam hien nay, nh c trnh bay trong chng 4.

Trong qua trnh nghien cu xay dng mo hnh cacphng phap phan tch

nh lng trong quan ly a c s dung e a ra nhng mo hnh phu hp chotng tnh huong quan tr. Cuoi cung mot so cong ty c la chon e tham gia s

dung th nghiem nham kiem nh mot so mo hnh c xay dng.

1.5 NOI DUNG NGHIEN CUe tai nghien cu nay c trnh bay thanh 5 chng. Chng 1 gii thieu e tai

va trnh bay nhng van e lien quan en phng phap luan trong nghien cu. Van


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e c s ly luan lien quan en e tai se c trnh bay trong chng 2 va 3.

Chng 2 gii thieu chi tiet ve cac loai quyet nh trong tai chnh cong ty, ong

thi gii thieu khai niem cung nh c s ly luan cua cac mo hnh trong ta i chnh

cong ty. Chng 3 he thong hoa tat ca nhng mo hnh thng c s dung trong

quyet nh tai chnh cong ty. Chng 4 neu len ket qua khao sat thc tien ve thc

hanh quan tr tai chnh, nhu cau va kha nang ng dung mo hnh trong quyet nh

tai chnh cong ty. Chng 5, la chng quan trong nhat, trnh bay cach th c xay

dng mo hnh tng ng vi tng tnh huong quan ly cu the va ch ro cach thc

ng dung mo hnh trong thc tien quan ly oi vi tng loai hnh doanh nghiep.

1.6Y NGHA VA NG DUNG CUA E TAI NGHIEN CUViec nghien cu e tai nay co y ngha rat quan trong ve mat khoa hoc cung nh

thc tien. Ve mat khoa hoc, e tai nay gop phan chat loc va hoan thien nhng mo

hnh ly thuyet phu hp vi ieu kien va trnh o quan ly cua Viet Nam. Nhng mo

hnh mang tnh chat ly thuyet a c trnh bay rat nhieu trong sach giao khoa

va cac cong trnh nghien cu tai chnh cong ty, nhng van e c giai quyettrong e tai nay la lam the nao e chat loc va ng dung c nhng mo hnh nay

trong ieu kien cua Viet Nam? Cong trnh nghien cu nay se giup hoan thien va

m rong viec ng dung mo hnh vao quan ly tai chnh cong ty trong ieu kien Viet

Nam.

Ve mat thc tien, e tai nay cung cap cho cac nha quan ly cong cu hu hieu

trong viec phan tch va ra quyet nh tai chnh mot cach co c s khoa hoc, chnh

xac da tren nen tang nh lng va ng dung mo hnh toan hoc. Viec nghien cuthanh cong va ng dung pho bien ket qua nghien cu e tai nay se gop phan nang

cao hieu qua quan ly tai chnh cong ty tai Viet Nam, ong thi cham dt thi ky

nha quan ly thc hien viec ra quyet nh mang nang cam tnh chu quan, do thieu

cong cu phan tch nh lng hu hieu.


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Chng 2: C s ly thuyet ve mo hnh tai chnh va nhng quyet nh trong tai chnh cong ty

Chng 2:

C S LY THUYET VE MO HNH TAI CHNH VA

NHNG QUYET NH TRONG TAI CHNH CONG TY

2.1 TONG QUAN VE NHNG QUYET NH TRONG TAI CHNH CONG TYNhng quyet nh trong tai chnh cong ty c ban nhieu nhat trong quan tr tai chnh

va tai chnh cong ty. Theo Van Horne va Wachowicz (2001) quan tr tai chnh quan tam

en mua sam, tai tr va quan ly tai san cong ty theo muc tieu chung c e ra. Cung

quan niem tng t nh vay nhng McMahon (1993) chi tiet them rang quan tr tai

chnh quan tam en tm nguon von can thiet cho mua sam tai san va hoat ong cua cong

ty, phan bo cac nguon von co gii han cho nhng muc ch s dung khac nhau, bao am

cho cac nguon von c s dung mot cach hu hieu va hieu qua e at muc tieu e ra.

Cac tac gia khac nh Brealey va Myers (1996), Ross va nhom tac gia (2002) eu

thong nhat cho rang tai chnh cong ty quan tam en viec au t, mua sam, tai tr va

quan ly tai san doanh nghiep nham at muc tieu e ra. Qua nhng nh ngha neu tren

co the thay tai chnh cong ty lien quan en ba loai quyet nh chnh: quyet nh au t,quyet nh huy ong nguon von, va quyet nh quan ly tai san. Ngoai ra con co rat nhieu

loai quyet nh khac lien quan en hoat ong cua cong ty nhng trong pham vi nghien

cu, e tai ch xem xet nhng loai quyet nh nao co the lng hoa va s dung mo hnh

e ra quyet nh ch khong xem xet tat ca cac loai quyet nh. Di ay chung toi se

trnh bay chi tiet hn ve tng loai quyet nh chu yeu trong tai chnh cong ty.

2.1.1 Quyet nh au tQuyet nh au t la nhng quyet nh lien quan en: (1) tong gia tr tai san va gia tr

tng bo phan tai san (tai san lu ong va tai san co nh) can co va (2) moi quan he can

oi gia cac bo phan tai san trong doanh nghiep. Trong ke toan chung ta a quen vi

hnh anh bang can oi tai san cua doanh nghiep. Quyet nh au t gan lien vi pha

ben trai bang can oi tai san. Cu the co the liet ke mot so quyet nh ve au t nh sau:

Quyet nh au t tai san lu ong, bao gom: Quyet nh ton quy tien mat


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8

Quyet nh ton kho Quyet nh chnh sach ban chu hang hoa Quyet nh au t tai chnh ngan han.

Quyet nh au t tai san co nh, bao gom: Quyet nh mua sam tai san co nh mi Quyet nh thay the tai san co nh cu Quyet nh au t d an Quyet nh au t tai chnh dai han.

Quyet nh quan he c cau gia au t tai san lu ong va au t tai san co nh,bao gom:

Quyet nh s dung on bay hoat ong Quyet nh iem hoa von.

Quyet nh au t c xem la quyet nh quan trong nhat trong cac quyet nh tai

chnh cong ty v no tao ra gia tr cho doanh nghiep (Hawawini & Vialiet, 2002). Mot

quyet nh au t ung se gop phan lam gia tang gia tr doanh nghiep, qua o, gia tang

tai san cho chu s hu. Ngc lai, mot quyet nh au t sai se lam ton that gia tr cong

ty, do o, lam thiet hai tai san cho chu s hu cong ty.

2.1.2 Quyet nh nguon vonNeu nh quyet nh au t lien quan en ben trai th quyet nh nguon von lai lien quan

en ben phai cua bang can oi tai san. No gan lien vi viec quyet nh nen la chon loainguon von nao cung cap cho viec mua sam tai san, nen s dung von chu s hu hay von

vay, nen dung von ngan han hay von dai han. Ngoai ra, quyet nh nguon von con xem

xet moi quan he gia li nhuan e lai tai au t va li nhuan c phan chia cho co ong

di hnh thc co tc. Mot khi s la chon gia nguon von vay hay nguon von cua doanh

nghiep, s dung nguon von vay ngan han hay von vay dai han, hoac la chon gia li

nhuan e lai va li nhuan phan chia a c quyet nh, th bc tiep theo nha quan ly

con phai quyet nh lam the nao e huy ong c cac nguon von o. Cu the co the liet

ke mot so quyet nh ve nguon von nh sau:


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9

Quyet nh huy ong nguon von ngan han, bao gom: Quyet nh vay ngan han hay la s dung tn dung thng mai Quyet nh vay ngan han ngan hang hay la phat hanh tn phieu cong ty

Quyet nh huy ong nguon von dai han, bao gom: Quyet nh n dai han: vay ngan hang hay phat hanh trai phieu cong ty Quyet nh s dung von co phan pho thong hay la s dung n dai han Quyet nh s dung von co phan pho thong hay la von co phan u ai

Quyet nh quan he c cau gia n va von chu s hu (on bay tai chnh) Quyet nh vay e mua hay thue tai san.

Tren ay la nhng quyet nh lien quan en quyet nh nguon von trong hoat ong cua

cong ty. e co c mot quyet nh ung an la mot thach thc khong nho oi vi nhng

ngi phai ra quyet nh, neu nh thieu hieu biet ve viec s dung cac cong cu phan tch

trc khi ra quyet nh.

2.1.3 Quyet nh phan phoi li nhuan hay chnh sach co tcLoai quyet nh th ba trong tai chnh cong ty la quyet nh ve phan phoi li nhuan hay

chnh sach co tc cua cong ty. Trong loai quyet nh nay giam oc tai chnh se phai la

chon gia viec s dung li nhuan sau thue e chia co tc hay la gi la i e tai au t.

Ngoai ra giam oc tai chnh con phai quyet nh xem cong ty nen theo uoi mot chnh

sach co tc nh the nao va lieu chnh sach co tc co tac ong g en gia tr cong ty hay

gia co phieu tren th trng hay khong.

2.1.4 Mot so quyet nh khac trong tai chnh cong tyNgoai ba loai quyet nh chu yeu trong tai chnh cong ty nh va neu, con co rat nhieu

loai quyet nh khac lien quan e hoat ong kinh doanh cua cong ty. Tuy nhien, trong

pham vi nghien cu ay ch xem xet nhng loai quyet nh co nao co the ng dung mo

hnh e xem xet ra quyet nh. Nhng loai quyet nh khac, cha ke trong ba loai quyet

nh chu yeu tren ay, co the liet ke ra nh la quyet nh hnh thc chuyen tien, quyet


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nh phong nga rui ro ty gia trong hoat ong kinh doanh oi ngoai, quyet nh tien

lng hieu qua, quyet nh tien thng bang quyen chon.

Nhng loai quyet nh va c trnh bay trong phan 2.1 ong vai tro quyet nh

trong viec nang cao hieu qua quan ly tai chnh cong ty. Tuy nhien, thc te cho thay rangtrong thc tien, cac nha quan ly thng gap khong t kho khan khi phai oi mat trc

nhng quyet nh nay. e giup cho cac nha quan ly co cong cu phan tch va ra quyet

nh mot cach de dang, nhanh chong va khoa hoc, cac nha nghien cu tai chnh cong ty

thng phat trien nhng mo hnh da tren c s khao sat, mo ta thc tien ket hp vi

xay dng nen tang ly thuyet vng chac. Phan tiep theo se xem xet tong quan ve mo hnh

tai chnh, trc khi i sau vao xem xet nhng nen tang ly thuyet cua chung.

2.2 TONG QUAN VE NHNG MO HNH TRONG NGHIEN CU TAI CHNH2.2.1 Khai niem ve mo hnha t rat lau, cac cong cu toan hoc a c s dung rong rai nham giai quyet nhieu van

e thc tien. Tuy nhien, ch bat au t the ky 20, viec nghien cu va ng dung mot cach

co he thong cac cong cu nh lng, cac mo hnh ra quyet nh nham ho tr qua trnh ra

quyet nh trong thc tien mi c tien hanh. Viec van dung cac mo hnh ra quyet nha c ng dung thanh cong trong nhieu bai toan ra quyet nh phc tap co lien quan

en doanh nghiep, cac to chc y te, giao duc va nhieu lnh vc khac.

Mo hnh la mot cach dien ta n gian ve mot van e thc tien. Mo hnh c xay

dng nham muc ch n gian hoa van e thc tien, giup giai quyet van e thc tien mot

cach nhanh chong, tiet kiem no lc cua ngi ra quyet nh. e lam c ieu nay, mot

cach ly tng, mo hnh phai g bo c s phc tap cua thc te lam lung tung cho ngi

ra quyet nh, va lap lai cac ng x cua thc te phc tap o bang mot vai bien n gian

co moi quan he vi nhau. e co the ng dung vao thc tien nham ho tr qua trnh ra

quyet nh cua cac nha quan ly, mo hnh phai am bao cac tnh chat n gian, de hieu,

giai quyet c van e mot cach nhanh chong vi no lc va phai, hn na, mo hnh nen

linh ong cho phep ieu chnh nhanh chong va hieu qua e co the phu hp vi hoan

canh ra quyet nh ac thu. Mo hnh n gian co nhng u iem sau:

Tiet kiem thi gian va tr lc Cac nha quan ly co the hieu va van dung mot cach de dang khi ra quyet nh


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11

Co the ieu chnh va bo sung mot cach nhanh chong va hu hieu.

Muc tieu khi xay dng mo hnh khong nhat thiet la phai xay dng mo hnh sat vi moi

kha canh cua thc tien v mo hnh nh vay oi hoi ton nhieu thi gian, cong sc va oikhi nam ngoai kha nang nhan thc cua chung ta. oi vi nhng nha hoach nh chnh

sach hay nhng ngi se trc tiep ra quyet nh, mot mo hnh cang co y ngha khi no

thoa man hai yeu cau:

Phan anh va d oan c ket qua mot cach hp ly n gian, de s dung va phu hp vi ieu kien cho phep.

2.2.2 Phan loai mo hnhCo nhieu rat nhieu loai mo hnh khac nhau. e co the hieu va xay dng c mo hnh,

trc tien chung ta can nhan thc va biet cach phan loai mo hnh, da theo nhng tieu

thc khac nhau. Tuy theo tnh chat cua mo hnh, co the chia ra lam ba loai mo hnh 1: (1)

mo hnh vat ly la mo hnh thu gon cua mot thc the; (2) mo hnh khai niem dien ta cac

moi lien he gia cac bo phan trong mot he thong; (3) mo hnh toan hoc la mot tap hp

cac bieu thc toan hoc dung e dien ta ban chat cua he thong. Tuy theo mc o phc tap

cua van e, mo hnh co the co ba nhom2:

Nhom mo hnh giai quyet cac van e n gian: Cac mo hnh giai quyet cac van en gian gom (1) Mo hnh tnh huong (Case hoac Scenario Models) la mo hnh

nham phan tch van e bang cach kiem tra tac ong cua cac tnh huong khac

nhau cha ng cac gia thiet khac nhau lien quan en van e ang xem xet. Mohnh khong c xay dng nham tm ra giai phap toi u oi vi van e ma ch

dng mc o th nghiem cac tac ong oi vi van e ang xem xet. Mo hnh

tnh huong c s dung e giai quyet cac van e trong moi trng chac chan; (2)

Mo hnh phan tch quyet nh (Decision analysis) s dung ket hp xac suat khi

1 Nguyen Thong, Cao Hao Thi, Phng phap nh lng trong quan ly, Nha xuat ban thong ke, 1998.

2 Bonini, Hausman, Bierman, Quantitative Annalysis for Management, Irwin, 1997.


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can nhac cac quyet nh, c dung trong moi trng ra quyet nh trong ieu

kien khong chac chan.

Nhom mo hnh giai quyet cac van e phc tap, bao gom (1) Mo hnh qui hoachtuyen tnh (Linear and interger programming) c s dung pho bien nham giaiquyet cac bai toan ln phc tap trong cac rang buoc san co nham muc tieu toi a

hoac toi thieu hoa mot gia tr at ra; (2) Mo hnh mo phong (Simulation) nham

giai quyet cac van e phat sinh trong cac he thong ln phc tap di ieu kien

khong chac chan. Mo hnh c xay dng sao cho co the thc hien sao chep cac

ng x cua he thong.

Nhom mo hnh giai quyet cac van e nang ong, cho phep thc hien cac quyetnh tac ong lan nhau nhng thi iem khac nhau. Trong so cac mo hnh

thuoc loai nay co mo hnh quan ly ton kho giup xac nh mc ton kho toi u va

thi iem at hang; mo hnh duyet va anh gia d an PERT, hoac mo hnh ng

cong tac chnh (critical path model CPM) e len ke hoach thc hien d an; mo

hnh sap hang (Queing) giup giai quyet s ong.

Da theo tnh chat nang ong cua mo hnh, co the phan loai mo hnh thanh 3: (1) Mo

hnh xac nh trong o gia tr cac tham so va bien so la cac gia tr xac nh, khong

mang tnh ngau nhien, (2)Mo hnh xac suat cha ng cac tham so va bien co the nhan

nhieu gia tr vi mot xac suat nao o.

Tom lai, mo hnh co the chia thanh nhieu loai khac nhau can c vao nhieu loai

tieu thc khac nhau. Bang 2.1 di ay tom tat cac loai mo hnh c phan loai theo

Bonini, Hausman va Bierman (1997):

3 Huynh Trung Lng, Trng Ton Hien c, Phng phap nh lng trong quan ly va van hanh, Nha xuat bankhoa hoc va ky thuat, 2002.

Bang 2.1: Phan loai mo hnh Cac bien chnh trong van e quyet nh co tnh:Van e quyet nh cotnh: Chac chan Khong chac chan

n gian Mo hnh tnh huong Mo hnh quyet nhPhc tap Mo hnh tnh huong

Mo hnh quy hoach tuyen tnhMo hnh mo phong

Nang ong Mo hnh ton khoMo hnh PERT

Mo hnh mo phongMo hnh ton khoMo hnh sap hang

Nguon: ng dung t Bonini, Hausman va Bierman


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2.2.3 Nhng yeu to can ban cua mo hnhMo hnh la mot s n gian hoa cua van e quyet nh trong kinh doanh. V the no ch

nen bao gom cac thanh phan quan trong va khong nen cha ng cac yeu to khong quan

trong hoac khong lien quan en van e can quyet nh. Mo hnh cang n gian th kha

nang ng dung cua no cang cao. Cac thanh phan c ban cua mo hnh bao gom:

Cac bien quyet nh: la cac bien ma ngi ra quyet nh co the tac ong vakiem soat c. Cac bien quyet nh the hien cac chon la co the thc hien c

cua ngi ra quyet nh. Trong thc tien co nhieu quyet nh nho kem quan trong

i kem vi cac quyet nh ln quan trong. Mo hnh hieu qua ch tap trung vao the

hien cac quyet nh quan trong. Bien quyet nh co the la cong suat nha may oi

vi quyet nh au t tai san, hoac co the la ty le phan tram n trong tong nguon

von trong quyet nh cau truc nguon von cong ty

Cac bien ngoai lai: la cac bien khong thuoc pham vi kiem soat cua ngi raquyet nh. Thong thng no la cac bien phu thuoc vao moi trng ra quyet nh

nh ieu kien kinh te, ty le lam phat, lai suat, cac hanh ong cua oi thu canh

tranh, gia cac nhap lieu san xuat Cac chnh sach hoac rang buoc: Thong thng ngi ra quyet nh phai oi

mat vi cac rang buoc cua moi trng ra quyet nh nh chnh sach cua cong ty,

cong suat toi a cua nha may, cac qui nh cua luat phap, thue Cac rang buoc

nay phai c ton trong trong qua trnh ra quyet nh. Tuy nhien, trong mot so

trng hp, cac rang buoc co the c ni long (v du cong suat nha may trong dai

han), do o co the gay nen s nham lan gia bien quyet nh va rang buoc.

Cac thc o ket qua cua quyet nh: Trong qua trnh ra quyet nh, ngi raquyet nh co muc tieu cu the, muc tieu nay la kim ch nam cho viec chon la cac

giai phap phu hp. Thong thng cac muc tieu c lng hoa thanh cac thc o

ket qua, va c dung nh thc o tnh hieu qua cua cac quyet nh. Thc o

ket qua cua cac quyet nh tai chnh cong ty thng la li nhuan at c, luan

chuyen tien mat on nh, gia tr co ong, hoac qui mo chi ph

Cac bien trung gian: la cac bien ch moi lien he gia bien oc lap va bien ngoailai vi thc o ket qua. Khai niem trung gian dung e ch moi lien he trung gian


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nay. Doanh thu co the la mot bien trung gian trong mot th trng canh tranh

hoan hao khi ma gia can bang (bien ngoai lai) do cung cau th trng xac nh va

san pham ban ra cua cong ty (bien quyet nh) la ket qua cua cac quyet nh ban

hang cua cong ty.

Mo hnh la s dien ta tong hp moi quan he cua cac bien (bien quyet nh, bien ngoai

lai, bien trung gian) va cac rang buoc trong qua trnh ra quyet nh sao cho khi s dung

mo hnh, cac muc tieu cu the (thc o ket qua) co the c o lng, tnh toan, toi a

hoac toi thieu hoa. Hnh 2.1 di ay mo ta moi quan he gia cac bien, ieu kien rang

buoc va thc o ket qua trong mot mo hnh.

Hnh 2.1: Quan he gia cac bien trong mo hnh

2.2.4 Phng phap xay dng va ng dung mo hnh trong quyet nh tai chnhcong ty

Tuy theo tnh chat n gian hay phc tap cua van e can xem xet trong thc tien va muc

tieu ra quyet nh cua nha quan ly, viec xay dng mo hnh co the n gian hoac phctap, tham ch rat phc tap. Thong thng xay dng mot mo hnh can trai qua cac bc

sau:

Bc 1: Xac nh muc tieu hay tnh chat cua quyet nh Bc 2: Xac nh cac bien so anh hng en quyet nh Bc 3: Xac lap moi quan he gia cac bien so vi nhau va vi muc tieu cua quyet

nh (xay dng mo hnh)

Bc 4: Nhap d lieu cua cac bien so vao mo hnh, kiem tra ket qua

Mo hnh

Bien ngoai lai

Bien quyet nh

Rang buoc

Thc o ket qua


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15

Bc 5: Th thay oi cac d lieu cua cac bien so va kiem tra s tac ong cua viecthay oi nay len ket qua (kiem chng mo hnh)

e minh hoa cho cac bc tren chung ta co the xem xet v du sau ay. Giam oc Cong tySaigonimex muon quyet nh xem nen la chon hnh thc chuyen tien nao trong cac

hnh thc chuyen tien sau ay:

Chuyen tien bang ien Chuyen tien qua he thong SWIFT (Society for Worldwide Interbank Financial

Telecomunications)

Chuyen tien bang th?

Bc 1: Trong bc nay chung ta phai mo ta c muc tieu va tnh chat cua quyet nh.

Trong v du nay, li ch kinh te c xem la c s thc hien quyet nh. Trong ba hnh

thc chuyen tien tren, nhn chung chuyen tien bang ien va bang SWIFT co ac iem

chung la nhanh nhng ph chuyen tien cao. Ngc lai, chuyen tien bang th co ac iem

la cham nhng ph chuyen tien thap. Van e at ra la giam oc Saigonimex nen chon

hnh thc nao: nhanh ma at hay cham ma re? e tra li cau hoi nay chung ta can biet

li ch kinh te cua chuyen tien nhanh so vi chenh lech ph chuyen tien. ay chnh la

muc tieu cua bai toan quyet nh.

Bc 2: Xac nh cac bien so anh hng en bai toan quyet nh. Trong tnh huong nay

cac bien so lien quan bao gom:

Tr gia sotien can chuyen: a Thi gian chuyen tien bang ien: t1 Thi gian chuyen tien bang th: t2 Chi ph chuyen tien bang ien: f1 Chi ph chuyen tien bang th: f2 Chi ph c hoi s dung so tien c chuyen: i.


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Bc 3: Xac lap quan he gia cac bien. Trong tnh huong nay chung ta can xem xet xem

li ch cua viec thu tien nhanh co u bu ap chenh lech chi ph gia chuyen tien bang

ien va bang th hay khong.

Li ch cua chuyen tien nhanh the hien cho c hoi s dung so tien vao muc chsinh li. Li ch nay chnh la so tien lai phat sinh do thu tien bang ien nhanh hn thu

tien bang th mang lai, the hien bi bieu thc:

100x360

)( 12 itta (2.1)

Tuy nhien, thu tien nhanh ton chi ph hn thu tien cham la: (f1 f2). Do o, e cothe quyet nh c hnh thc chuyen tien, chung ta can xem xet li ch the hien qua

bieu thc (1) co ln hn chi ph (f1 f2) hay khong?

Nh vay bai toan ra quyet nh ay co the c giai quyet bang cach van dung

mo hnh so sanh li ch va chi ph cua viec chuyen t hnh thc chuyen tien bang th

sang chuyen tien bang ien nh sau:

Neu 2112100x360

)(ff

itta> : Chon hnh thc chuyen tien bang ien v khi ay li

ch cua viec thu tien nhanh cao hn chenh lech chi ph do thu tien nhanh

Neu 2112100x360

)(ff

itta=

: Chon hnh thc chuyen tien bang ien v khi ay li

ch cua viec thu tien nhanh u bu ap chenh lech chi ph do thu tien nhanh

Neu 2112100x360

)(ff

itta (FVIFi,8) = 3000/1000 = 3

S dung bang e suy ra lai suat i nam gia 14 va 15% (= 14,72%). Cach khac e xac nh

chnh xac hn lai suat i nh sau:

(1+i)8 = 3000/1000 = 3

(1+i) = 31/8 = 1,1472 => i = 14,72%

oi khi chung ta ng trc tnh huong a biet gia tr tng lai, hien gia va lai

suat nhng cha biet so ky han lai. Khi ay chung ta can biet so ky han tnh lai, e t o

suy ra thi gian can thiet e mot so tien P0 tr thanh FV. V du bay gi chung ta bo ra

1000$ e mua mot cong cu n c tra lai kep hang nam la 10%. Sau mot khoang thi

gian bao lau chung ta se nhan c ca goc va lai la 5000$. S dung cong thc (2.3),

chung ta co:

FV5 = 1000(1+0,1)n = 1000(FVIF10,n) = 5000

=> (FVIF10,n) = 5000/1000 = 5

S dung bang e suy ra n khoang 17 nam. Tuy nhien ket qua nay khong hoan toan

chnh xac do co sai so khi tra bang. e co ket qua chnh xac chung ta co the thc hien

nh sau:

(1+0,1)n = 5000/1000 = 5


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1,1n = 5

n.ln(1,1) = ln(5) => n = ln(5)/ln(1,1) = 1,6094/0,0953 = 16,89 nam

Tren ay a xem xet van e thi gia tien te oi vi mot so tien nhat nh. Tuy nhientrong tai chnh chung ta thng xuyen gap tnh huong can xac nh thi gia tien te

khong phai cua mot so tien nhat nh ma la cua mot dong tien te theo thi gian. Phan

tiep theo se xem xet cach xac nh thi gia cua dong tien te.

Dong tien te la mot chuoi cac khoan thu nhap hoac chi tra xay ra qua mot so thi

ky nhat nh. V du mot ngi thue nha hang thang phai tra 2 trieu ong trong thi han

1 nam chnh la mot dong tien te xay ra qua 12 thang. Hoac gia mot ngi mua co phieu

cong ty va hang nam c chia co tc, thu nhap co tc hang nam hnh thanh mot dong

tien te qua cac nam. e de hnh dung ngi ta thng dung hnh ve bieu dien dong tien

te nh sau:

Hnh 2.2: Mo ta dong tien

0 1 2 3 4 n 1 n

Dong tien te co nhieu loai khac nhau nhng nhn chung co the phan chia chung thanh

cac loai sau ay:

Dong nien kim (annuity) dong tien te bao gom cac khoan bang nhau xay ra quamot so thi ky nhat nh. Dong nien kim con c phan chia thanh: (1) dong nien

kim thong thng (ordinary annuity) xay ra cuoi ky, (2) dong nien kim au ky

(annuity due) xay ra au ky va (3) dong nien kim vnh cu (perpetuity) xay ra

cuoi ky va khong bao gi cham dt. V du ong A cho thue xe hi trong vong 5 namvi gia tien thue la 2400$ mot nam, thanh toan vao 31/12 cua nam o. Thu nhap t

cho thue xe la mot dong nien kim thong thng bao gom 5 khoan tien bang nhau

trong vong 5 nam. Bay gi thay v tien thue thanh toan vao cuoi nam, ong A yeu cau

ngi thue xe thanh toan vao au nam, tc la vao ngay 1/1 cua nam o. Thu nhap cua

ong A bay gi la mot dong nien kim au ky. Thay v bo tien ra mua xe hi cho thue,

ong A dung so tien o mua co phieu u ai cua mot cong ty co phan va hang nam

hng co tc co nh la 2000$. Gia nh rang hoat ong cong ty ton tai mai mai, khi

o thu nhap cua A c xem nh la mot dong nien kim vnh cu.

i%


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Dong tien te hon tap (Uneven or mixed cash flows) dong tien te khong bang nhauxay ra qua mot so thi ky nhat nh. Cung la v du cho thue xe tren ay nhng thu

nhap thc te cua ong A khong phai la 2400$ moi nam v phai bo ra mot so chi ph

sa cha nho va so chi ph nay khac nhau qua cac nam. Khi ay thu nhap rong cuaong A sau khi tr i chi ph sa cha nho se hnh thanh mot dong tien te khong eu

nhau qua cac nam. Dong tien te ay chnh la dong tien te hon tap v no bao gom cac

khoan tien khong giong nhau.

Sau khi chung ta a hieu va phan biet c tng loai dong tien te khac nhau. Bay gi

chung ta se xem xet cach xac nh thi gia cua tng loai dong tien te.

Thi gia cua dong nien kim

e de dang hnh dung chung ta s dung hnh ve di ay bieu dien dong nien kim:

Hnh 2.3: Mo ta dong nien kim

0 1 2 3 4 n 1 N

Trong o PVA0 la hien gia cua dong nien kim, FVAn la gia tr tng lai cua dong nien

kim va R la khoan thu nhap hoac chi tra xay ra qua moi thi ky. Tap hp cac khoan tien

R qua cac thi ky hnh thanh nen dong nien kim.

Gia tr tng lai cua dong nien kim

Gia tr tng lai cua dong nien kim chnh la tong gia tr tng lai cua tng khoan tien R

xay ra tng thi iem khac nhau. Cong thc (2.3) cho biet gia tr tng lai cua khoan

tien R chnh la R(1+i)n. e de hnh dung, ket qua xac nh gia tr tng lai cua khoan

tien R moi thi iem c tom tat bang di ay:

PVA0

FVAn

R R R R R R


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So tien thi iem T Gia tr tng lai thi iem n

R T = 1 FV1 = R(1+i)n-1

R T = 2 FV2 = R(1+i)n-2

R T = 3 FV3 = R(1+i)n-3

.

R T = n 1 FVn-1 = R(1+i)n (n-1)=R(1+i)1

R T = n FVn-n = R(1+i)n-n = R((1+i)0

Goi FVAn la gia tr tng lai cua dong nien kim, chung ta co:

FVAn = R(1+i)n-1 + R(1+i)n-2 + . + R(1+i)1+ R(1+i)0

= R[FVIFi,n-1+ FVIFi,n-2 + . + FVIFi,1 + FVIFi,0]

= R(FVIFAi,n) (2.5)

trong o FVIFAi,n la tha so gia tr tng lai cua dong nien kim mc lai suat i% va n

so ky han lai. V du chung ta cho thue nha vi gia la 6000$ mot nam thanh toan vao

31/12 hang nam trong thi han 5 nam. Toan bo tien cho thue c ky gi vao ngan hang

vi lai suat 6%/nam tra lai kep hang nam. Sau 5 nam so tien chung ta co c ca goc va

lai la:

FVA5 = 6000(FVIFA6,5) = 6000(5,637) = 33.822$

Bay gi gia s tien thue thanh toan vao 1/1, do o, no c ky gi vao ngan hang au

nam thay v cuoi nam nh v du va xem xet. Khi ay, so tien thi iem n van chng 1 ky lai na, do o, gia tr tng lai cua no se la R(1+i)1 ch khong phai la

R(1+i)0. Noi cach khac, khi xac nh gia tr tng lai cua dong nien kim au ky chung ta

s dung cong thc sau:

FVADn = R(FVIFAi,n)(1+i) (2.6)


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Trong v du tien thue nha tren ay neu tien thanh toan vao au ky, chung ta se co gia

tr tng lai cua dong nien kim nay la: FVAD5 = 6000(FVIFAi,n)(1+0,06) =

6000(5,637)(1+0,06) = 35.851,32$.

Gia tr hien tai cua dong nien kim

Cung trong v du va neu tren, bay gi chung ta khong quan tam en chuyen se co c

bao nhieu tien sau 5 nam ma chung ta muon biet sotien chung ta se co hang nam thc

ra no ang gia bao nhieu thi iem hien tai. Khi ay chung ta can xac nh hien gia cua

dong nien kim nay.

Hien gia cua dong nien kim bang tong hien gia cua tng khoan tien tng thi

iem khac nhau. Hnh 2.3 bieu dien dong nien kim, da vao hnh nay chung ta thay

hien gia cua dong nien kim qua cac nam co the xac nh nh sau:

So tien thi iem T Gia tr hien taiR T = 1 PV0 = R/(1+i)1R T = 2 PV0 = R/(1+i)2R T = 3 PV0 = R/(1+i)3

R . R T = n 1 PV0 = R/(1+i)n 1R T = n PV0 = R/(1+i)n

Goi PVAn la hien gia cua dong nien kim, chung ta co:

PVAn = R/(1+i)1+ R/(1+i)2 + R/(1+i)3 + + R/(1+i)n 1 + R/(1+i)n (2.7)= R(PVIFAi,n)

trong o PVIFAi,n la tha so hien gia cua dong nien kim mc lai suat i% vi n ky han

lai. PVIFAi,n c xac nh bang cach tra bang hoac s dung Excel. Trong v du va neu

tren, chung ta co hien gia cua dong nien kim thu nhap cho thue nha la:

PVA5 = 6000/(1+0,06)1+ 6000/(1+0,06)2 + + 6000/(1+0,06)4 + 6000/(1+0,06)5

= 6000(PVIFA6,5) = 6000(4,212) =25272$

Trong trng hp dong nien kim au ky, hien gia c xac nh bi cong thc:

PVADn = R(PVIFAi,n)(1+i) (2.8)


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Gia tr hien tai cua dong nien kim vnh cu

Chung ta oi khi gap dong nien kim keo dai khong xac nh. Dong nien kim co tnh

chat nh vay la dong nien kim vnh cu. Cach xac nh hien gia cua dong nien kim vnhcu da vao cach xac nh hien gia dong nien kim thong thng. Chung ta a biet hien

gia dong nien kim thong thng:

PVAn = R/(1+i)1+ R/(1+i)2 + R/(1+i)3 + + R/(1+i)n 1 + R/(1+i)n (2.9)

Nhan hai ve cua (2.9) vi (1+i) sau o lay hai ve cua ang thc thu c tr i hai ve cua

(2.9) va thc hien vai bien oi ai so chung ta c:

Hien gia cua dong nien kim vnh cu chnh la hien gia cua dong nien kim khi n tien en

vo cung. Khi n tien en vo cung th 1/i(1+i)n tien en 0. Do o, hien gia dong nien kim

vnh cu se la:

Xac nh yeu to lai suat

Trong trng hp a biet gia tr tng lai hoac hien gia cua dong nien kim va so ky han

tnh lai, chung ta co the giai phng trnh (2.5) hoac (2.7) e biet yeu to lai suat i.

V du ong A muon co mot so tien la 32 trieu ong cho con ong ta hoc ai hoc

trong 5 nam ti. Ong dung thu nhap t tien cho thue nha hang nam la 5 trieu ong e

gi vao tai khoan tien gi c tra lai kep hang nam. Hoi ong A mong muon ngan hang

tra lai bao nhieu e sau 5 nam ong co c so tien nh hoach nh? T cong thc (2.5),

chung ta co: FVA5 = 5(FVIFAi,5) = 32 => FVIFAi,5 = 32/5 = 6,4. Tra bang chung ta tm

c lai suat i khoang 12%. Neu dung may tnh tai chnh hoac Excel chung ta co the xacnh chnh xac hn lai suat la 12,37%.

+=

nn iiiRPVA

)1(

11

i

RPVA =

(2.10)

(2.11)


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Xac nh yeu to ky han

Trong trng hp a biet gia tr tng lai hoac hien gia cua dong nien kim va lai suat i,

chung ta co the giai phng trnh (2.5) hoac (2.7) e biet yeu to ky han tnh lai n. V duong B muon co mot so tien la 32 trieu ong cho con ong ta hoc ai hoc. Ong dung thu

nhap t tien cho thue nha hang nam la 5 trieu ong e gi vao tai khoan tien gi c

tra lai kep hang nam. Hoi ong B phai gi bao nhieu nam e co c so tien nh hoach

nh biet rang ngan hang tra lai 12%/nam? T cong thc (2.5), chung ta co: FVA 5 =

5(FVIFA12,n) = 32 => FVIFA12,n= 32/5 = 6,4. Tra bang chung ta co c n khoang 5 nam.

Neu s dung may tnh tai chnh hoac Excel chung ta biet chnh xac n la 5,03 nam.

Thi gia tien te cua dong tien te hon tap

Trong tai chnh khong phai luc nao chung ta cung gap tnh huong trong o dong tien te

bao gom cac khoan thu nhap hoac chi tra giong het nhau qua tng thi ky. Chang han

doanh thu va chi ph qua cac nam thng rat khac nhau. Ket qua la dong tien te thu

nhap rong cua cong ty la mot dong tien te hon tap, bao gom cac khoan thu nhap khac

nhau, ch khong phai la mot dong nien kim. Do vay, cac cong thc (2.5) va (2.7) khong

the s dung e xac nh gia tr tng lai va hien gia cua dong tien te trong trng hp

nay. Sau ay se trnh bay cach xac nh gia tr tng lai va hien gia cua dong tien te

hon tap.

Gia tr tng lai cua dong tien te hon tap

Gia tr tng lai cua dong tien te hon tap chnh la tong gia tr tng lai cua tng khoan

tien R1, R2, Rn xay ra tng thi iem T1, T2, Tn khac nhau. Cong thc (2.3) cho biet

gia tr tng lai cua khoan tien R chnh la R(1+i)n. Van dung cong thc nay chung ta co:

So tien thi iem T Gia tr tng lai thi iem nR1 T1 = 1 FV1 = R1 (1+i)n-1R2 T2 = 2 FV2 = R2 (1+i)n-2R3 T3 = 3 FV3 = R3 (1+i)n-3

. Rn-1 Tn-1 = n 1 FVn-1 = Rn-1 (1+i)n (n-1)= Rn-1 (1+i)1Rn Tn = n FVn-n = Rn (1+i)n-n = Rn ((1+i)0= Rn


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Gia tr tng lai cua dong tien te hon tap FVMn la tong gia tr tng lai cua tng khoan

tien Ri vi i=1, 2, n ng vi tng thi iem Ti vi i= 1, 2, n. Ngha la:

FVMn = R1 (1+i)

n-1

+ R2 (1+i)

n-2

+ .+ Rn-1 (1+i)

1

+ Rn

Gia tr hien tai cua dong tien te hon tap

Gia tr hien tai cua dong tien te hon tap chnh la tong gia tr hien tai cua tng khoan

tien R1, R2, Rn xay ra tng thi iem T1, T2, Tn khac nhau. Cong thc (2.4) cho biet

gia tr hien tai cua khoan tien R chnh la R/(1+i)n.

So tien thi iem T Gia tr hien taiR1 T1 = 1 PV0 = R1/(1+i)1R2 T2 = 2 PV0 = R2/(1+i)2R3 T3 = 3 PV0 = R3/(1+i)3 . Rn-1 Tn-1 = n 1 PV0 = Rn-1/(1+i)n 1Rn Tn = n PV0 = Rn/(1+i)n

Gia tr hien tai cua dong tien te hon tap PVMn la tong gia tr hien tai cua tng khoan

tien Ri vi i=1, 2, n ng vi tng thi iem Ti vi i=1, 2, n. Ngha la:

PVMn = R1/(1+i)1+ R2/(1+i)2+ .+ Rn-1/(1+i)n 1+ Rn/(1+i)n

Cach xac nh gia tr tng lai va hien gia cua dong tien te hon tap nh va trnh bay

tren ay se khong kho khan khi thc hien neu nh so lng ky han tnh la i n tng oi

nho (di 10). Trong trng hp n kha ln th cong viec tnh toan tr nen nang ne hn.Khi ay chung ta se s dung Excel e tnh toan.

Thi gia tien te khi ghep lai nhieu lan trong nam

Trong cac phan trc khi xac nh gia tr tng lai va gia tr hien tai chung ta gia nh

lai c ghep hang nam, tc la moi nam tnh lai mot lan. Tren thc te khong phai luc

nao cung vay, neu mot nam tnh lai nhieu hn mot lan th cong th c tnh gia tr tng

lai va gia tr hien tai co mot so thay oi.


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Gia s chung ta at m la so lan ghep lai hay so ky han lai trong nam vi lai suat

la i. Khi ay, lai suat cua moi ky han la i/m. Cong thc xac nh gia tr tng lai trong

trng hp nay suy ra t (2.3) se nh sau:

FVn = P0[1+(i/m)]mn (2.12)

Hien gia trong tng hp nay se la P0 = FVn/[1+(i/m)]mn (2.13)

Trng hp so lan ghep lai trong nam ln len en vo cung, khi ay chung ta co lai kep

lien tuc. Gia tr tng lai trong trng hp ghep lai lien tuc se la:

at i/m = 1/x, ta co m = i.x va m tien en vo cung tng ng vi x tien en vo cung.

Nh vay:

va gia tr hien tai se la: P0 = FVn/(e)i.n, vi e la hang so Ne-pe co gia tr la 2,7182.

V du chung ta ky gi 1000$ vao mot tai khoan ngan hang vi lai suat 6%/nam

trong thi gian 3 nam. Hoi so tien chung ta co c sau 3 nam ky gi la bao nhieu neu

ngan hang tnh lai kep (a) ban nien, (b) theo quy, (c) theo thang va (d) lien tuc? Ap dung

cong thc (2.12) chung ta co:

(a)FV3 = 1000[1+(0,06/2)]2x3= 1194,05$(b)FV3 = 1000[1+(0,06/4)]4x3= 1126,49$(c) FV3 = 1000[1+(0,06/12)]12x3= 1127,16$(d)FV3 = 1000(e)0,06x3 = 1197,22$

Qua v du tren chung ta thay rang khi toc o ghep lai cang nhanh th lai sinh ra cang

nhieu, hay noi khac i, cung mot mc lai suat c cong bo nhng neu so lan tnh lai

mn

mn

m

iPFV

+=

1lim 0

ni

nxi

x

mn

mn ePxPm

i

PFV

.

0

..

00

1

1lim1lim =

+=

+=


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trong nam cang ln th lai sinh ra cang nhieu. ieu nay lam cho lai suat thc te c

hng khac vi lai suat danh ngha c cong bo.

Lai suat danh ngha va lai suat hieu dung

Lai suat danh ngha (nominal interest rate) la lai suat c cong bo hoac niem yet.

Thong thng lai suat nay tnh theo % mot nam. Con lai suat hieu dung (effective

interest rate) chnh la lai suat thc te co c sau khi a ieu chnh lai suat danh ngha

theo so lan ghep lai trong nam. Chung ta biet lai suat chnh la phan tram chenh lech

gia gia tr tng lai va hien gia cua mot so tien. Do o, lai suat hieu dung re co the c

xac nh nh sau:

Sau khi a xem xet thi gia tien te nh la mot nen tang ly thuyet co lien quan en mo

hnh tai chnh, bay gi chung ta xem xet tiep mot nen tang ly thuyet khac cung rat quan

trong khi nghien cu mo hnh tai chnh. o la quan he gia li nhuan va rui ro.

2.3.2 Quan he gia li nhuan va rui roLi nhuan (return) la thu nhap co c t mot khoan au t, thng c bieu th bang

ty le phan tram4 gia thu nhap va gia tr khoan au t bo ra. V du chung ta bo ra 100$

e mua mot co phieu, c hng co tc la 7$ mot nam va sau mot nam gia th trng

cua co phieu o la 106$. Li nhuan chung ta co c khi au t co phieu nay la: (7$ +6)/100 = 13%. Nh vay li nhuan au t cua chung ta co c t hai nguon: co tc c

hng t co phieu va li von - tc la li tc co c do chng khoan tang gia. Tong quat:

1

1 )(

+=t

ttt

P

PPDR , trong o R la li nhuan thc (hoac ky vong), Dt la co tc, Pt la gia co

phieu thi iem t, va Pt -1 la gia co phieu thi iem (t 1). Neu lay co tc va gia co

4 Tren thc te ngi ta thng dung thuat ng rut gonli nhuan thay v ty suat li nhuan.

( )[ ][ ] 1)/(1

/1

0

00

0

0 +=+

=

= mnmn

n

e miP

PmiP

P

PFVr


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phieu theo gia tr thc te th chung ta co li nhuan thc, neu lay co tc va gia co phieu

theo so lieu ky vong th chung ta co li nhuan ky vong.

Rui ro c nh ngha la s sai biet cua li nhuan thc te so vi li nhuan ky

vong. Gia s chung ta mua trai phieu kho bac e co c li nhuan la 8%. Neu chung tagi trai phieu nay en cuoi nam chung ta se c li nhuan la 8% tren khoan au t cua

mnh. Neu chung ta khong mua trai phieu ma dung so tien o e mua co phieu va gi

en het nam, chung ta co the co hoac co the khong co c co tc nh ky vong. Hn na,

cuoi nam gia co phieu co the len va chung ta c li cung co the xuong khien chung ta

b lo. Ket qua la li nhuan thc te chung ta nhan c co the khac xa so vi li nhuan ky

vong.

Neu rui ro c nh ngha la s sai biet gia li nhuan thc te so vi li nhuan

ky vong th trong trng hp tren ro rang au t vao trai phieu co the xem nh khong

co rui ro trong khi au t vao co phieu rui ro hn nhieu, v xac suat hay kha nang sai

biet gia li nhuan thc te so vi li nhuan ky vong trong trng hp mua trai phieu

thap hn trong trng hp mua co phieu.

o lng rui ro

Rui ro nh va noi la mot s khong chac chan, mot bien co co kha nang xay ra va cung

co kha nang khong xay ra. e o lng rui ro ngi ta dung phan phoi xac suat vi hai

tham so o lng pho bien la ky vong va o lech chuan. Li nhuan ky vong, ky hieu la

E(R) c nh ngha nh sau:

))(()(1

i

n

i

i PRRE =

= , trong o Ri li nhuan ng vi bien co i, Pi la xac suat xay ra bien co i

va n la so bien co co the xay ra. Nh vay li nhuan ky vong chang qua la trung bnh gia

quyen cua cac li nhuan co the xay ra vi trong so chnh la xac suat xay ra. V du bang

2.2 di ay mo ta cac li nhuan co the xay ra va cach tnh li nhuan ky vong va phng

sai:


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e o lng o phan tan hay sai biet gia li nhuan thc te so vi li nhuan ky vong,

ngi ta dung o lech chuan (). o lech chuan chnh la can bac 2 cua phng sai:

[ ]=

=n

iii PRER

1

2 )()( (2.14)

Trong v du tren neu chung ta lay can bac 2 cua phng sai 2= 0,00703 th se co c

gia tr cua o lech chuan la 0,0838 hay 8,38%. ieu nay co y ngha la sai biet gia li

nhuan thc te so vi li nhuan ky vong la 8,38%.

o lech chuan oi khi cho chung ta nhng ket luan khong chnh xac khi so sanh

rui ro cua hai d an neu nh chung rat khac nhau ve quy mo. V du xem xet hai d an

au t A va B co phan phoi xac suat nh sau:

D an A D an BLi nhuan ky vong, E(R) 0,08 0,24o lech chuan, 0,06 0,08He so bien oi, CV 0,75 0,33

Neu nhn vao o lech chuan chung ta thay rang o lech chuan cua B ln hn A. Lieu co

the ket luan rang d an B rui ro hn A hay khong? Neu ch n thuan nhn vao o lech

chuan co the ket luan nh vay, nhng van e ay la can so sanh xem quy mo li nhuan

ky vong cua hai d an nay nh the nao. D an B co o lech chuan la 8% trong khi d an

A ch co 6% nhng lech 8% cua quy mo li nhuan ky vong la 1000$ se rat nho so vi lech

6% cua quy mo li nhuan ky vong 1 trieu $. e khac phuc tnh trang nay chung ta dung

ch tieu he so bien oi CV (coefficient of variation):

Bang 2.2: Cach tnh li nhuan ky vong va phng saiLi nhuan

(Ri)Xac suat

(Pi)(Ri)(Pi) [Ri E(R)]2(Pi)

- 0,10 0,05 - 0,0050 (-0,10 0,09)2(0,05)- 0,02 0,10 - 0,0020 (-0,02 0,09)2(0,10)

0,04 0,20 0,0080 (0,04 0,09)2(0,20)0,09 0,30 0,0270 (0,09 0,09)2(0,30)0,14 0,20 0,0280 (0,14 0,09)2(0,20)0,20 0,10 0,0200 (0,20 0,09)2(0,10)0,28 0,05 0,0140 (0,28 0,09)2(0,05)

Tong = 1,00 Li nhuan ky vong E(R) = 0,090 Phng sai 2= 0,0070


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)(RECV

= (2.15)

Trong v du tren, d an A co CV = 0,75 trong khi d an B co CV = 0,33. Co the noi d an

A rui ro hn d an B.

Tom lai, rui ro la s khong chac chan, no chnh la sai biet gia gia tr thc te so

vi gia tr ky vong. Neu chung ta quan sat li nhuan, th rui ro ay chnh la sai biet

gia li nhuan thc te so vi li nhuan ky vong. e o lng c rui ro trc het chung

ta phai xac nh c li nhuan ky vong, ke en xac nh o lech chuan cua l i nhuan so

vi li nhuan ky vong. Ngoai ra, can lu y loai tr s anh hng cua yeu to qui mo bang

cach s dung he so bien oi CV e so sanh mc o rui ro khac nhau khi quy mo linhuan ky vong khac nhau ang ke. Mat khac, rui ro thng khac nhau tuy thuoc vao

thai o cua moi ngi. Sau ay chung ta se xem xet thai o oi vi rui ro va s anh

hng cua no oi vi viec ra quyet nh.

Thai o oi vi rui ro

e minh hoa va phan biet thai o cua nha au t oi vi rui ro, chung ta xem xet tro

chi co ten Lets Make a Deal do Monty Hall ieu khien chng trnh nh sau : Monty

Hall giai thch rang chung ta c phep gi lay bat c th g chung ta tm thay khi m

ca so 1 hoac so 2. ang sau mot trong hai ca nay la 10.000$ trong khi ca con lai la

mot ong vo xe a s dung co gia tr th trng la 0. Hall cung cho biet them rang chung

ta co quyen c m mot trong hai ca va co the trung giai thng 10.000$ neu m ung

ca, hoac nhan ong vo xe vt i neu m sai ca. Ngoai ra, Hall co the cho chung ta mot

so tien neu nh chung ta t bo quyen c m ca cua chung ta, cung ong ngha vi t

bo li nhuan ky vong e nhan lay mot so tien chac chan.

Caso 1

?

Caso 2

?


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33

Noi tom lai cac la chon cua chung ta co the la m ca hoac khong m ca. Neu m ca

chung ta co kha nang trung giai va nhan 10.000$ cung co kha nang khong trung giai va

nhan 0$. Neu chung ta chon khong m ca chung ta se c mot so tien chac chan. Ro

rang viec chon la cua chung ta tuy thuoc vao so tien ma Hall se tra cho chung ta echung ta huy bo cai quyen c m ca cua mnh. Gia s rang neu Hall tra chung ta

2.999$ hay t hn so nay th chung ta se chon phng an m ca va ky vong se trung

giai. Neu Hall tra cho chung ta 3.000$ chung ta khong the quyet nh c nen chon

phng an nao: m ca hay lay tien. Nhng neu Hall tra chung ta 3.001$ hay cao hn

na chung ta se chon phng an lay tien va t bo viec m ca.

Vi phng an m ca chung ta co c hoi 50/50 se nhan 10.000$ hoac 0$. So tien

ky vong cua chung ta do o la: (10.000 x 0,5) + (0 x 0,5) = 5.000$. Nhng khi Hall tra

chung ta 3.000$ chung ta khong quyet nh c nen chon phng an nao. ieu nay

chng to rang chung ta bang quan khi ng trc 2 phng an: (1) co c 5.000$ vi rui

ro kem theo va (2) co c 3.000$ khong co rui ro kem theo. So tien 3.000$ ay lam

cho chung ta cam thay khong co s khac biet gia viec la chon lay 3.000$ vi s chac

chan hoac lay 5.000$ vi rui ro kem theo. So tien nay c goi la so tien chac chan

tng ng (certainty equivalent CE) vi so tien ln hn nhng rui ro hn. Da vao

so tien chac chan tng ng nay, ngi ta a ra nh ngha thai o oi vi rui ro nh

sau :

CE < gia tr ky vong => risk aversion (ngai rui ro) CE = gia tr ky vong => risk indifference (bang quan vi rui ro) CE > gia tr ky vong => risk preference (thch rui ro)

oi vi nhng ngi ngai rui ro, chenh lech gia gia tr ky vong va CE chnh la phan gia

tr tang them e bu ap rui ro (risk premium). Trong pham vi nghien cu ay, chung

ta xem cac nha au t nh la nhng ngi ngai rui ro. Do o, phai co gia tr tang them

trong trng hp d an au t rui ro hn. Tuy nhien, nha au t khong ch co cac khoan

au t rieng biet ma con thng xuyen co nhieu khoan au t khac nhau hnh thanh nen

mot danh muc au t. Do co s tac ong qua lai gia cac khoan au t rieng biet trong

danh muc au t khien cho li nhuan va rui ro cua danh muc au t tr nen phc tap

hn. Khi ay, viec phan tch quan he gia li nhuan va rui ro e ra quyet nh can quan


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tam en li nhuan va rui ro cua mot danh muc au t ch khong phai cua mot khoan

au t ca biet.

Li nhuan va rui ro cua mot danh muc au t

T au muc en gi chung ta xet li nhuan va rui ro cua nhng khoan au t rieng biet.

Thc te nha au t t khi nao don het toan bo tai san cua mnh vao mot khoan au t

duy nhat. Do vay, can ban them ve danh muc au t va rui ro cua danh muc au t.

Danh muc au t (portfolio) la s ket hp cua hai hay nhieu chng khoan hoac tai san

trong au t.

Li nhuan ky vong cua danh muc au t n gian ch la trung bnh co trong so

cua cac li nhuan ky vong cua tng chng khoan trong danh muc au t. Trong so ay

chnh la ty trong cua tng loai chng khoan trong danh muc au t. Cong thc tnh li

nhuan ky vong cua danh muc au t Ep(R) nh sau:

=

=m

j

jjp REWRE1

)()( , trong o Wj la ty trong cua chng khoan j, Ej(R) la li nhuan ky

vong cua chng khoan j, va m la tong so chng khoan co trong danh muc au t. V du

xem xet danh muc au t c mo ta nh sau:

Chng khoan A Chng khoan BLi nhuan ky vong 14,0% 11,5%o lech chuan 10,7 1,5

Neu tr gia cua hai chng khoan nay bang nhau trong danh muc au t th li nhuan ky

vong cua danh muc au t se la:

(0,5)14,0 + (0,5)11,5 = 12,75%

Rui ro cua danh muc au t c o lng bi o lech chuan cua danh muc au t. Khong

giong li nhuan, viec xac nh o lech chuan cua danh muc au t rat phc tap do anh

hng cua yeu to ong phng sai (covariance), tc la mc o quan he gia rui ro cua cac

chng khoan trong danh muc au t. o lech chuan cua danh muc au t c xac nh

bi cong thc:


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35

= =

=m

j

m

k

kjkjP WW1 1

, trong o m la tong so chng khoan co trong danh muc au t, Wj

la ty trong cua chng khoan j trong danh muc, Wk la ty trong cua chng khoan k trong

danh muc, va j,k la ong phng sai gia li nhuan cua chng khoan j va k.ong phng sai li nhuan cua hai chng khoan la ch tieu o lng mc o quan

he tuyen tnh gia hai chng khoan. ong phng sai c xac nh bi cong thc:

kjkjkj r ,, = trong o rj,k (oi khi ky hieu j,k) la he so tng quan ky vong gia li

nhuan cua chng khoan j va chng khoan k, j la o lech chuan li nhuan cua chng

khoan j, va k la o lech chuan li nhuan cua chng khoan k. Khi j = k th he so tng

quan rj,k = 1 va rj,kj,j = j2.

V du chung ta co hai co phieu 1 va 2 trong mot danh muc au t. Co phieu 1 co

li nhuan ky vong hang nam la 16% vi o lech chuan 15%. Co phieu 2 co li nhuan ky

vong la 14% vi o lech chuan la 12%. He so tng quan gia hai co phieu nay la 0,4.

Neu nha au t bo tien bang nhau vao hai co phieu nay th:

a. Li nhuan ky vong cua danh muc au t se la: Ep(R) = (0,5)16 + (0,5)14 = 15%b.

o lech chuan cua danh muc au t se la:

Co phieu 1 Co phieu 2Co phieu 1 W1W11,1 = W1W1r1,1 11 W1W21,2 = W1W2r1,2 12Co phieu 2 W2W12,1 = W2W1r2,1 21 W2W22,2 = W2W2r2,2 22

Co phieu 1 Co phieu 2Co phieu 1 (0,5)(0,5)(1)(0,15)(0,15) (0,5)(0,5)(0,4)(0,15)(0,12)Co phieu 2 (0,5)(0,5)(0,4)(0,12)(0,15) (0,5)(0,5)(1)(0,12)(0,12)

P = [(0,5)(0,5)(1)(0,15)(0,15)]+[(0,5)(0,5)(0,4)(0,15)(0,12)]+ [(0,5)(0,5)(0,4)(0,12)(0,15)] +

[(0,5)(0,5)(1)(0,12)(0,12)] = 11,3%

a dang hoa danh muc au t nham giam rui ro

Trong phan nay chung ta xem xet chien lc au t a dang hoa nham giam rui ro.

Phng cham ay da vao cau phng ngon ng bo tat ca cac qua trng cua chung ta

vao cung mot gio (Dont put all your eggs in one basket). a dang hoa danh muc au tnham cat giam rui ro ay co ngha la ket hp au t vao nhieu loai chng khoan ma


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cac chng khoan nay khong co tng quan cung chieu vi nhau mot cach hoan hao, nh

vay bien ong giam li nhuan cua chng khoan nay co the c bu ap bang bien ong

tang li nhuan cua chng khoan khac. Ngoai ra ngi ta con a dang hoa nham cat giam

rui ro bang cach au t vao th trng chng khoan quoc te thay v ch tap trung au tvao th trng chng khoan cua mot quoc gia nao o. Hnh ve 2.4 di ay minh hoa s

cat giam rui ro nh ket hp au t a dang vao hai chng khoan A va B thay v ch au

t vao mot loai chng khoan duy nhat. Hai chng khoan nay co he so tng quan nghch

nen khi ket hp hai chng khoan nay lai trong mot danh muc au t th rui ro se c

loai tr.

Cu the hn, gia s chung ta ang xem xet au t vao mot ao quoc, o co hai mua ma

va nang, va co hai cong ty hoat ong: mot cong ty chuyen san xuat va kinh doanh ao i

ma va mot cong ty chuyen san xuat va kinh doanh kem chong nang. He so tng quanli nhuan cua hai cong ty nay la r1,2 = - 1, v sau thang mua nang cong ty san xuat kem

chong nang thu c li nhuan cao trong khi cong ty san xuat ao i ma khong co li

nhuan. Ngc lai, sau thang mua ma, cong ty san xuat ao i ma thu c li nhuan cao

trong khi cong ty san xuat kem chong nang khong co li nhuan.

La nha au t khon ngoan, thay v don toan bo von au t vao mot trong hai cong

ty, chung ta nen au t vao mot danh muc gom 50% co phieu co ng ty san xuat kem

chong nang va 50% co phieu cong ty san xuat ao i ma. Nh vay, quanh nam du mua

ma hay mua nang chung ta eu co c hoi kiem c li nhuan t danh muc au t tren.

Hnh 2.4: Ket hp hai chng khoan A va B e cat giam rui ro

Chng khoan A Chng khoan B Ket hp Ava B

Li nhuan au tLi nhuan au t

Thi gian Thi gian

Li nhuan au t

Thi gian


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Nh a noi, s ket hp cac chng khoan khong co quan he tng quan cung chieu

hoan hao (+1) se giam c rui ro bien ong li nhuan au t chng khoan. e thay rui

ro c giam nh the nao, chung ta chia rui ro cua danh muc au t ra lam hai loai:

Rui ro he thong (systematic risk) rui ro do s bien ong li nhuan cua chngkhoan hay cua danh muc au t do s thay oi li nhuan tren th trng noi

chung, b gay ra bi cac yeu to nh tnh hnh nen kinh te, cai to chnh sach thue,

thay oi tnh hnh nang lng the gii No chnh la phan rui ro chung cho tat ca

cac loai chng khoan va do o khong the giam c bang viec a dang hoa danh

muc au t. Loai rui ro nay con c goi la rui ro th trng (market risk) va c

o lng bang he sobe-ta.

Rui ro phi he thong (unsystematic risk) rui ro xay ra oi vi mot cong ty haymot nganh kinh doanh nao o, no oc lap vi cac yeu to nh tnh hnh kinh te,

chnh tr hay nhng yeu to mang tnh chat he thong nhng anh hng en toan

bo cac chng khoan co tren th trng.

= = + + +

Rui ro phi he thong ch anh hng en mot cong ty hay mot nganh nao o. Chang han

mot cuoc nh cong hay mot oi thu canh tranh phat trien san pham mi hay mot phat

minh ra cong nghe tien tien cua cong ty nao o lam anh hng en li nhuan cua mot

cong ty hay mot nganh ch khong the anh hng en toan bo th trng noi chung. Loai

rui ro phi he thong co the giam c bang chien lc au t da dang hoa. Hnh 2.5 diay bieu dien s ket hp hai loai rui ro va moi quan he gia rui ro va so lng chng

khoan trong danh muc au t, theo o khi so lng chng khoan trong danh muc au t

tang len th rui ro noi chung giam xuong.

Tong ruiro

Rui rohe thong

Rui rophi he thong


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Hnh 2.5: Rui ro he thong va rui ro phi he thong

Chng 2 tren ay trnh bay chi tiet cac quyet nh trong tai chnh cong ty ong thi

gii thieu chung ve mo hnh va c s ly thuyet cua cac mo hnh tai chnh phuc vu cho

viec ra quyet nh trong tai chnh cong ty. i sau vao chi tiet cua tng loai mo hnh va

cach thc s dung mo hnh trong tng loai quyet nh tai chnh se c trnh bay

chng 3. chng nay tat ca cac mo hnh thng s dung trong tai chnh cong ty se

c he thong hoa gan lien vi tng loai quyet nh nh a neu ra trong chung 2 nham

phuc vu cho viec hng dan cach thc s dung mo hnh trong quyet nh tai chnh cong

ty, se c trnh bay trong chng 5.

Tong rui ro

Rui ro hi he thon

Rui ro he thon

So lng chng khoan trong danh muc

o lech chuan cua danh muc au t


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Chng 3: He thong hoa cac mo hnh s dung trong quyet nh tai chnh cong ty

Chng 3:

HE THONG HOA CAC MO HNH S DUNG TRONG

QUYET NH TAI CHNH CONG TY

3.1 CAC MO HNH S DUNG TRONG QUYET NH AU TNh a trnh bay trong chng 2, cac quyet nh au t lien quan en viec la chon nen

au t vao tai san nao va au t bao nhieu, cung nh moi quan he c cau gia cac loai tai

san trong cong ty. Phan nay se he thong hoa cac mo hnh tai chnh thng c s dung

nh la nhng cong cu phan tch va ra quyet nh au t.

3.1.1 Cac mo hnh trong quyet nh au t tai san lu ongTai san lu ong trong cong ty co nhieu loai khac nhau. Thong thng nhn vao bang

can oi tai san cua cong ty theo trat t tnh thanh khoan giam dan chung ta co the nhan

thay tai san lu ong cua cong ty bao gom: tien mat, tien gi ngan hang, chng khoan

au t ngan han, khoan phai thu, hang ton kho va nhng tai san lu ong khac. Viec

au t vao tai san lu ong la can thiet cho hoat ong cua bat ky cong ty nao. Tuynhien, au t tai san lu ong bao gi cung kem theo chi ph, t ra la chi ph c hoi do

ket von vao tai san lu ong. Do vay, viec quyet nh nen au t va au t bao nhieu vao

loai tai san nao la rat quan trong. Cac nha nghien cu tai chnh a bo khong t cong sc

e nghien cu phat trien nen nhng mo hnh quyet nh au t tai san lu ong. Sau

ay chung ta se xem xet mot cach co he thong nhng mo hnh nay.

a. Mo hnh quyet nh ton quy tien matTon quy tien mat muc tieu la ton quy ma cong ty hoach nh lu gi di hnh thc tien

mat. Quyet nh ton quy tien mat muc tieu lien quan en viec anh oi gia chi ph c

hoi do gi qua nhieu tien mat va chi ph giao dch do gi qua t tien mat. Chi ph c hoi

la chi ph mat i do gi tien mat, khien cho tien khong c au t vao muc ch sinh

li. Chi ph giao dch la chi ph lien quan en chuyen oi t tai san au t thanh tien

mat san sang cho chi tieu. Neu cong ty gi qua nhieu tien mat th chi ph giao dch se nho nhng ngc lai chi ph c hoi se ln. Neu cong ty gi qua t tien mat th chi ph c


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hoi se nho, nhng ngc lai chi ph giao dch se ln. Nh vay, chi ph c hoi ty le thuan,

con chi ph giao dch th ty le nghch vi ton quy tien mat.

Van e at ra va giam oc tai chnh phai quyet nh la lam the nao e xac nh

mc ton quy tien mat toi u, tc la ton quy tien mat o tong chi ph, bao gom chi phc hoi va chi ph giao dch, nho nhat. Hnh 3.1 di ay mo ta tong chi ph gi tien mat

bao gom chi ph c hoi va chi ph giao dch, trong o ng bieu dien chi ph c hoi doc

len the hien quan he ty le thuan vi ton quy tien mat. Ngc lai, ng chi ph giao dch

doc xuong the hien quan he ty le nghch vi ton quy tien mat.

Hnh 3.1: Tong chi ph gi tien mat

Tren hnh ve 3.1 tong chi ph gi tien mat nho nhat tai iem C*, cho nen C* la iem

o ton quy tien mat toi u. ay chnh la ton quy tien mat muc tieu ma cong ty can

hoach nh. Van e la lam the nao e quyet nh ton quy tien mat toi u? Ve ly thuyet

co hai mo hnh a c phat trien nham ho tr cho giam oc tai chnh giai quyet congviec nay. Phan tiep theo se gii thieu chi tiet hn ve hai mo hnh xac nh ton quy tien

mat nay.

a1. Mo hnh Baumol

William Baumol la ngi au tien a ra mo hnh quyet nh ton quy tien mat ket hp

gia chi ph c hoi va chi ph giao dch. Mo hnh nay c ng dung nham thiet lap ton

quy tien mat muc tieu. e minh hoa mo hnh Baumol van hanh nh the nao, chung ta

xem v du sau: Gia s cong ty K bat au tuan le 0 vi ton quy tien mat la C = 1,2 ty ong

Chi ph gi tien mat

ui mo tien mat

Chi ph giao dch

Chi ph c hoiTong chi ph gi tien mat

C*


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va so chi vt qua so thu 600 trieu ong mot tuan. Nh vay ton quy tien mat cua cong ty

se bang 0 sau hai tuan le va ton quy tien mat trung bnh trong thi gian hai tua n le se

la 1,2 ty/2 = 600 trieu ong. Cuoi tuan le th 2 cong ty K phai bu ap so tien mat a chi

tieu bang cach ban chng khoan au t ngan han hoac vay ngan hang.

Hnh 3.2: Tnh hnh ton quy tien mat cua cong ty K

Hnh 3.2 mo ta tnh hnh tien mat cua cong ty K. Neu cong ty thiet lap ton quy tien mat

cao (chang han 2,4 ty) th tien mat se het sau bon tuan, trc khi cong ty can ban chng

khoan ngan han, nhng ton quy tien mat bnh quan se tang t 600 trieu len 1,2 ty.

Ngc lai, neu cong ty thiet lap ton quy tien mat thap (chang han 600 trieu) th tien

mat se het sau mot tuan le, khi ay cong ty can ban chng khoan ngan han e bu ap vi

toc o nhanh hn va ton quy tien mat bnh quan giam t 600 trieu xuong con 300 trieu.

Do co chi ph giao dch (chang han ph moi gii) phat sinh khi ban chng khoan

ngan han nen viec thiet lap ton quy tien mat ln se giup cong ty tiet kiem c chi ph

giao dch. Tuy nhien, khi ay chi ph c hoi se gia tang. Van e at ra la lam the nao e

thiet lap ton quy tien mat toi u. e giai quyet van e nay, cong ty can lu y ba yeu to:

F = Chi ph co nh phat sinh khi ban chng khoan ngan han T = Tong so tien mat mi can thiet cho muc ch giao dch trong thi ky hoach

nh la 1 nam

K = Chi ph c hoi do gi tien mat.

Tien mat au ky: C = 1,2 ty

Tien mat cuoi ky: C = 0

Tien mat bnh quan: C/2 = 600 trieu

10 2 3 4

Tuan


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Chi ph c hoi

Tong chi ph c hoi bang ton quy tien mat trung bnh nhan vi lai suat ngan han (K):

Chi ph c hoi = (C/2)K. S dung cong thc nay chung ta co the tnh c chi ph c hoi

tng ng vi mot so tnh huong neu ra bang 3.1 nh sau:

Chi ph giao dch

Tong chi ph giao dch c xac nh bang cach tnh so lan cong ty phai ban chng

khoan trong nam. Tong so tien mat cong ty can bu ap trong nam la 600 trieu x 52 tuan

= 31,2 ty ong. Neu cong ty K thiet lap ton quy tien mat ban au la 1,2 ty th so lan

cong ty phai ban chng khoan ngan han la 31,2 / 1,2 = 26 lan.

Chi ph giao dch = So lan ban chng khoan x Ph giao dch co nh = (T/C)F. Da

vao cong thc nay, chung ta co the thiet lap bang tnh chi ph giao dch ng vi mot so

tnh huong th

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