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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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Chng 1: Gii thieu cong trnh nghien cu
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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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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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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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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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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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Chng 2: C s ly thuyet ve mo hnh tai chnh va nhng quyet nh trong tai chnh cong ty
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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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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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= =
=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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Chng 3: He thong hoa cac mo hnh s dung trong quyet nh tai chnh cong ty
41
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
7/31/2019 ng dng m hnh ton trong quyt nh ti chnh cng ty
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Chng 3: He thong hoa cac mo hnh s dung trong quyet nh tai chnh cong ty
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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