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Phn II
V: BI TP TNG HP
(100 bi)
Cu 1: Sau 15 nm na bn v hu, ngoi tin lng hu bn mun c
thm bnh qun mi thng 3 tr t tin gi tit kim tiu xi. Hin ti bn
cha c ng no d tr. Trong 15 nm ti nn kinh t trong thi k pht
trin nhanh vi li sut tin gi t mc 9% nm v k t khi bn v hu li
sut tin gi ny ch t 6% nm. Nu bn mun t mc tiu trn th t nay,
hng nm bn phi b ra 1 khon tit kim l bao nhiu tin?
TL: Gi khon tin l C.
Hng nm cho n khi v hu, bn s b C vo TK dng gi.
Trong thi gian ny, li sut tin gi t 9%/nm. Nh vy, n khi v hu,
bn s c 1 khon tin l C. FVA1 (15,9%).
Khi v hu, hng thng bn tiu 3tr. Nh vy 1 nm bn tiu 36tr.
Bn khng th d on bn sng c bao lu khi v hu coi n
.
Vo thi im ny, li sut t 6%/nm
Gi tr ca khon tin ti thi im v hu l 36 tr/6%
Nh vy: C 29.361 = 600 tr C = 20.435.272 .
Cu 2: Mt ngn hng c phn c tng ti sn l 200 t ng, trong
vn vay l 150 t ng. Li thun ca NH nm nay c th l 20 t
ng. C tc d kin chi l 3 t ng. Bn hy d bo mc tng trng ca
c tc trong tng lai bng cc thng tin .
TL:
g = ROE (1 - DIV/EPS)
65
365
1. CK trc tip
P0 =
7400
1.0841
7400
1.0842
+ ... +
7400
1.0845
100.000
1.0845
2. V P1 trc
P0 =
P1
1.0841
Trong :
P1 = 7400 +
7400
7400 100.000
+ ... +
+
1.084
1.084 4 1.084 4
3. V P1 trc
P0 = P-1 1.084
Trong : P1 =
7400
1.0841
7400
1.0842
+ ... +
7400
1.0845
100.000
1.0845
khng? V sao?
TL: Mua, v:
R=
S ngi d on
1600
1500
10
1400
10
1300
10
1200
25
1100
20
1000
10
900
10
S ngi
d on
Pi
Ri
PiRi
1600
0.05
0.455
0.02275
1500
10
0.1
0.364
0.0364
1400
10
0.1
0.273
0.0273
Ri - P
(Ri - P ) Pi(Ri - P )2
1300
10
0.1
0.1822
0.0182
1200
25
0.25
0.091
0.02275
1100
20
0.2
1000
10
0.1
-0.091 -0.0091
900
10
0.1
-0.182 -0.0182
100
0.1001
Lng tin cn tr n
1 nm
12.000.000
2 nm
20.000.000
3 nm
18.000.000
4 nm
40.000.000
LN 1 nm
107.000
LN 2 nm
LN 3 nm
LN 4 nm
Gi TP
98.165
100.000
84.168
10.000
10.000
110.000
102.532
100.000
70.843
10.000 x3
= 12.000.000
100.000 x2 + 10.000 x3
= 20.000.000
110 x3
= 18.000.000
100.000 x4 = 40.000.000
g = 20%
g5 = 7%
DIV0 = 3$
r = 15%
DIV0 (1 + g ) (1 + g5 )
P4 =
= 83.2032
r g5
4
P = 98.228
r = 7,13%
D = 7,525
K = 64,953
a) Thi gian o hn bnh qun iu chnh MD = -D/(1 + r) = 7.024
b) dP/P(MD) = -MD dr
dP/P (K) = 1/2 K (dr)2
% thay i gi = -MD dr + 1/2 K (dr)2 = -0.06699 -6.699%
Nh vy, nu LSTT tng 1% th gi TP gim 6580$
Cu 9: Trn TT c 2 loi CK vi thng s nh sau:
Xc xut
60%
40%
Li sut CK A
20%
4%
Li sut CK B
2%
24%
2 = 7.84%
PA2: 100% vo B:
E(r) = 0,6 2 + 04 24 = 10.8%
2 = 0,6 (2 - 10.8)2 + 0.4 (24 - 10.8)2 = 116.16
=
2 = 10.78%
P = 2P = 1.47%
KL: PA3, 1 na u t vo A, 1 na u t vo B l c li nht v li
sut gim khng nhiu nhng ri ro li gim ng k.
Cu 10: Gi s bn mua c phiu BT6 vo ngy 26/7/2006 vi gi
42,8 ngn ng v sau n ngy 31/7 l ngy giao dch khng hng
quyn mua trong t pht hnh mi vi t l 5 : 1 (5 c phiu c mua 1 c
phiu mi vi gi 33,6 ngn ng). Gi CP ngy vo phin trc 13/7 l 45
ngn ng. Gi CP ny vo ngy 4/10 l 55 ngn ng. Bn hy tnh t sut
sinh li ca bn trong thi gian trn (26/7 4/10) khi u t vo BT6. Bit
rng s liu trn l s liu thc v trong thi gian BT 6 c tr c tc 800
cho mt CP.
Li gii
Po = 42,8 ng
P1 = 55 ng
DIV = 800
Quyn mua c phiu = 45 - 33,6 ng = 11,4 ng
T sut sinh li = (Div + (P1 - Po) + quyn mua CP)/Po =
2.4400/45.800 = 57%
Cu 11: Gi s NH ca bn c VTC l 500 t v vn vay l 190, vn
Cu12:
Khi
no
trang
Web
P = 98,228
dy = 1%
YTM = 7,13%
MD = 7,525
li = 64,953
1. MoD = MD/(1+YTM)
2. % thay i gi = -MoD dy + 1/2 li (dy)2
Hoc D = MoD * gi (PO) = X
Nu li sut th trng tng 1% th gi TP gim X
Cu 15: Ngn hng cng b li sut gi tit kim thng l 1%, li sut
ny tng ng vi li sut kp nm l:
a. (1 + r)n*12 - 1 = (1 + 0.01)12 - 1 = 12,68%.
Cu 16: Gi tit kim 8000$ trong 15 nm, li sut 15% sau ta c:
Mc b ri ro: E (Rp) = Rm
E(ri) = Rf
Fr
C th u t vo c phiu ny.
Cu 20: Gi c phiu hin ti l 37.000, d on gi c phiu trong
Gi
S ngi d on
Pi (xc sut)
Pi Ri
50
30
0,3
40
30
0,3
30
20
0,2
32
20
0,2
- Mc sinh li k vng
E(R) = Pi Ri = 0,3 (50 - 37/37) + 0,3 ((40-37/37))
+ 0,2((30-37/37)(32-37/37) = 6,49%
Mc ri ro u t (phng sai)
Er)2 = 0,3 ((50 - 37/37) - 6,49%)2 = 0,3 ((50 - 37/37)
= Pi(Ri
Xc xut
60%
40%
Li sut CK A
20%
4%
Li sut CK B
2%
24%
a:
EA = KA P = 13.6%
A =
b:
( RB EB )
EB = RB P = 10.6%
P = 7,83%
( RB EB )
B =
c:
P = 10,77%
( RA E A )( RB E B ) P = 0,8448
Kh nng sinh
Kh nng sinh
Wi
li ca A % EA
li ca B % EB
Tng trng mc 1
0.2
-12
Tng trng mc 2
0.4
18
-2
Tng trng mc 3
0.4
24
-10
a) Mc sinh li mong i ca A v B.
E(Ra) = Pi Ri = 0,2 (-12) + 0,4(18) + 0,4 (24) = 144
E(RB) = Pi Ri = 0,2 (8) + (0,4) (-2) + 0,4 (-10) = -3,2
b) nh gi ri ro u t cho mi CP
= Pi (Ria
E (rb) (Rib
kt hp nhau.
Gi th trng ()
Pi
Mc sinh li
10.000.000
0,1
10%
20.000.000
0,2
14%
30.000.000
0,3
16%
40.000.000
0,4
15%
A. Mc sinh li tng th ca bn
E(r) = Pi Ri = 0,1 10 + 0,2 14 + 0,3 16 + 0,4 15 + 14,6%
Cu 24: Cng ty ca bn ang xem xt u t vo mt loi c
U = E(p)
S ngi d on
500
20
550
20
600
30
650
20
700
10
T trng (Pi)
-0.074
0.2
0.0285
0.2
0.1111
0.3
0.2037
0.2
0.2963
0.1
2 =
( R Er )
P = 0.1156 = 11.56%
15/7/2003
15/7/2004
15/7/2005
15/7/2006
15/7/2007
22/11/2004
+ S ngy cn li ca TP m = (30-22+1) + (4th 30 ng + 1) = 130 ngy
+ S ln tr li cn li = 2007 - 2005 + 1 = 3
+ p dng cng thc tnh li sut theo ngy (t 22/11/2004
15/7/2005)
(1 + r)Mc/365 = a.
PV1 = C/(1 + R)1 + C(1 + R)2 + C/(1 + R)3 + F//(1 + R)3 == Po = P1/(1 + r)a
1 = 7% = C
b)
d)
li (C)
kinh doanh = n(n + 1) / (1 + y)2 = 4 * 5/1.042 = 16.83
e)
18/1/2002
18/1/2006
18/1/2007
18/7/2008
18/172009
18/7/2010
30/5/2007
T1 = 12ng; T2 = 28ng; T3 = 30ng; T4 = 31ng; T5 = 30ng TS = 131 ngy
S ngy t 30/5 n 18/1 cn 365
C1/
C2/
C3/
ROE = 12.5%
D/E = 40%
EPS = 3$
r = 10%
P0 = ?
P0 = DIV1/(r-g) m b = 1 - DIV/EPS
g = ROE*b = 12.5*(1-40%) = 7,5%
DIV1 = P1 * 40% = 3$*40% = 1,2$
P0 = DIV1/(r-g)/(10% - 7,5%) = 1.2/2.5% = 48$.
Cu 32: p dng m hnh chit khu 2 giai on
DIV = 2$ trong 3 nm
G4 = 6%
r = 10%
P0 = ?
P0 = PV(D3) + PV (P3)
PV(D3) = 2/(1+0.1) + 2/(1.1)2 +2/(1.1)3 = 4.97
P3 = D4/(r-g) = D3*(1 + g4)/(r-g4) (1+r)3 = 2(1+0.06)/(0.1-0.06)*(1.1)3
= 39.82
P0 = 4.97 + 39.82 = 44.79
Cu 33:
DIV1 = 2$
g = 7%
r=?
r = 12%
P0 = ?
P0 = PV(D4) + PV(P4)
PV(D4) = DIV1/(1+r) + DIV2/(1+r)2 + DIV3/(1+r)3 + DIV4/(1+r)4
(a)
P4 = DIV5/(r-g) = DIV4*(1+g5)/(r-g)
(b)
Cu 35:
DIV0 = 1.2$
g4 = 7%
r = 12.4%
P0 = ?
P0 = PV(D3) + PV(P3)
= DIV1/ (1+r) + DIV2/(1+r)2 + DIV3/(1+r)3 + P3/(1+r)3
= DIV0 (1+g)/(1+r) + DIV0 (1+g)2/(1+r)2 + DIV0 (1+g)3.(1+g4)/(1+r)3.(1g4)
= 37.17
Cu 36: Gi s VCB sau khi CPH vo u nm 2007 v tr c tc
D0 = 2000
g1 = 50%
n1 = 3 nm
g = 10%; r = 20%
D1 = D0 (1 + g1) = 4500
D2 = D0 (1 + g1)2 = 6750
D3 = D0 (1 + g1)3 = 10125
D4 = D0 (1 + g1)4 (1 + g2) = D3 (1 + g2) = 11.137,5
P3 = D4/(r + g2) = 111.375
P0 = D1/(1 + r) + D1/(1 + r)2 + P3/(1 + r)3 = 78.750
Cu 37: Cng ty XYZ c mc tng trng c tc trong 3 nm u l
0,07 = 46,441
nh vy trong tng lai: t l chit khu dng thu nhp l 15%. P/E ca
Cng ty l 5.5. Ta c th d bo kh nng tr c tc ca cng ty t cc thng
tin l:
(1-b) = DIV/EPS = kh nng tr c tc
g = 10%, P/E = 5.5, r = 15%
P/E = (1-b) (1+g) / (r-g) === (1-b) = 25%.
Cu 40: Mt cng ty c t l n / Tng TS = 0.4, tng n = 200 tr trn
TS = 1900 t
N = 900 t
Vn CSH = 1900 - 900 = 1000
ROE = 420/1000 = 0,42
Li nhun thun = 420 t
C tc chi = 190 t
g = ROE t l gi li
= 0,42 (1 - 190/420) = 0,23 = 23%
VL = 170
D=3
g = ROE . b
T 7/6/06 n 24/9/06 c:
8/6 n 30/6:
23 ngy (30-8+1)
1/7 n 31/7:
31 ngy
1/8 n 31/8 :
31 ngy
1/9 n 24/9:
24 ngy (24 + 1 - 1)
Tng:
109 ngy
t 109/365 =
Cch 1 (tnh t ngy o hn v thi im bn):
Po = C*PVA(n,r) + Mc*PV(n,r)
= 9,7/(1,1) + 9,7/(1,1+1) + ... + 9,7/(1,1+12) + 100/(1,1)
Cch 2: Tnh v P-1: Po = P-1 * 1,1 (1-)
Po = P+1trn(1,1a)
Vnindex
1 nm
sau
S
ngi
d
on
Mc
chnh Pi
lch
Ri
vo VNindex
b- D bo mc ri ro khi u t vo
Vnindex.
500
20
550
20
10
600
30
50
650
20
700
10
+ DIV3*(1+g4)/)(r-g4)(1+r)3 = 37,1744
Cu 52: Vo trang web... v thay cc thng s ca TP quc t do VN
Sau
1 nm 20.000.000
2 nm 40.000.000
hin c nh sau:
3 nm 38.000.000
4 nm 60.000.000
Gii:
Dng tin:
_______ _____________ ___________ _____________
_______
_______ _____________
+ 8x3
20.000.000
8x3
40.000.000
108x3
38.000.000
60.000.000
100x2 +
2:
3:
4:
100x4
P2 = 100/1,072 = 87,34
P4 = 100/1,074 = 76,29
iu kin: V = min
V = 101,87x1 + 87,34x2 + 102,62x3 + 76,29x4 = min
Cu 54: C hai loi CK vi thng s sau:
Xc xut
60%
40%
Hy xc nh LS k vng v ri ro u t
Li sut CK A
20%
4%
Li sut CK B
2%
24%
nh sau:
Er(AB)
11%
14%
a) 100% CK A
b) 100% vo CK B
c) 50% vo A v 50% vo B
C nhn xt
g v kt qu
Phng n 1: 100% A
Phng n 2: 100% B
A2 = 0,6(20-13,6)2 + 0,4(4-13,6)2
B2 = 0,6(2-10,8)2 + 0,4(24-10,8)2
A =
B =
Phng n 3:
Er(AB) = 0,6 * 11 + 0,4 * 14 = 12,2
AB2 = 0,6(11-12,2)2 + 0,4*(14-12,2)2
AB =
Cu 55: Mt NH c 30 t vn t c, vn vay l 150 t. Vn vay c
PA = 15 nm
DL = 150 t
Ta c $DL =
$DA =
r = 8%
1
DL.PL = 1*0,5*150/1,08 = 64,44 t
1+ r
1
DA.PA = 1*15*200/1,08 = 2777,78 t
1+ r
10*0,2*1,24*(1,08n)/(1,15(n+5)
Tnh trng
KT
Tng trng
mc 1
Tng trng
mc 2
Tng trng
mc 3
a)
0,2
-12
0,4
18
-2
0,4
24
-10
b)
A2 = Wi*(RiA - ERA)2
= 0,2*(-12-14,4)2 + 0,4*(18-14,4)2 + 0,4*(24-14,4)2
= 181,44 A = 13,47
B2 = Wi*(RiB - ERB)2
= 0,2*(8+3,2)2 + 0,4*(2+3,2)2 + 0,4*(-10+3,2)2
= 44,16 B = 6,64
c)
d)
WB : t l u t vo TP B
WA + WB = 1
(DA = {M*F/(1+r)n}/PA)
WB = 0,47
s TP B cn mua l:
sau:
a- Chng khon nim yt 20%
b- Chng khon cha nim yt 30%
c- Tri phiu chnh ph 10%
d- u t khc 10% (bt ng sn)
Gi s ta c thng tin v ri ro nh sau: ri ro ca CK cha nim yt
(a) l 8%; ca b l 12%, d l 15%. TP Chnh ph c coi l phi ri ro v cc
thng s v tch sai nh sau:
cov(a,b) = 96
cov(a,d) = -110
cov(b,d) = -140
cov(a,c) = 0
cov(c,b) = 0
cov(c,d) = 0
1
1
(k.dy2) = -3,67*0,01 + (16,83*0,012) = 4,645$
2
2
Nm
Li sut u
t CP A
Li sut
u t CP B v B
2002
-5%
4%
b- Ri ro u t vo A v B
2003
10%
-2%
2004
-4%
8%
2005
7%
-9%
a- R A = R A / n = ( 5 + 10 4 + 7 ) / 4 = 2%
R A = R B / n = ( 4 2 + 8 9 ) / 4 = 0,25%
b- 2A = R iA R A
/ ( n 1) = 68%
A = 2A = 8,24%
2B = R iB R B
/ ( n 1) = 54,92%
B = 2B = 7, 4%
c- cov ( A, B ) =
chnh ph, k hiu CP4 0502 pht hnh ngy 08/08/02, Gim c ca bn
ang c bn chng vo ngy hm nay (9/05/05) (nm nay khng phi l
nm nhun). Bit rng F = 100 ngn ; C = 8,1%; M = 5 nm; li sut di
hn chit khu l 8%.
Bn hy gip Gim c ca mnh nh gi TP trn (ch cn vit mt
cng thc nh gi)
Cu 67: Cng tri gio dc c mnh gi l 200 000 ng, thi gian
S ngi d on
200
10
250
30
280
30
320
20
mua vo u nm th 3.
Cu 70: Cng ty A c li sut yu cu l 16% v c c tc hin ti l
s ca chng nh sau:
Loi c phiu
Gi tr th trng ()
Mc sinh li (%)
20 000 000
14
30 000 000
16
10 000 000
15
Lng tin cn tr n
1 nm
20 000 000
2 nm
40 000 000
3 nm
38 000 000
4 nm
60 000 000
Li sut u t
Li sut u t
vo CP A
vo CP B
20%
-5%
6%
Bnh thng
40,%
10%
-2%
Kh
30%
-45%
Hng thnh
10%
7%
9%
Tnh trng KT
Xc xut
Suy thoi
Bn hy:
a) Xc nh thu nhp k vng u t vo A v B
b) Ri ro u t vo A v B
c) Tch sai ca A v B
d) H s tng quan gia A v B
Hai c phiu ny c th kt hp vi nhau trong danh mc u t tr
kh ri ro khng? V sao?
Cu 75: Cng tri gio dc c mnh gi l 200.000 ng, thi gian
S ngi d on
50
30
40
30
30
20
32
20
Hy d bo mc ri ro u t vo Haphaco vi t liu.
Cu 79: Cng tri gio dc c mnh gi l 500.000 , thi gian o
cho cc nm ti:
Kh nng sinh li
Kh nng sinh li
ca A
ca B
0.2
-12
Tng trng mc 2
0.4
18
-2
Tng trng mc 3
0.4
24
-10
Xc sut
Tng trng mc 1
s ca chng nh sau:
Loi c phiu
Gi tr th trng
Mc sinh li (%)
10.000.000
10
20.000.000
14
30.000.000
16
40.000.000
15
thng s sau:
- Thi gian o hn 4 nm; F = 100 ngn
S ngi
d on
21
28
10
30
20
32
10
36
5
Hy d bo mc ri ro u t vo REE vi t liu trn. Gii thch kt
qu.
Cu 85: Cng tri gio dc c mnh gi l 200.000 , thi gian o
cho cc nm ti:
Kh nng sinh li
Kh nng sinh li
ca A
ca B
0.2
14
20
Tng trng mc 2
0.4
-5
-2
Tng trng mc 3
0.4
10
Xc sut
Tng trng mc 1
Rm = 16% c nn u t khng?
a. u t
b. Khng u t
So snh mc sinh li ca CK A v mc sinh li ti thiu phi c trn
danh mc)
U = E(p) - 0.5 A 2 = 20 - 0.05 6 202 = 8%
Do U = 8% > Rf = 7% Chp nhn u t
Chn phng n a.
(H s trong cng thc l 0.5 c chuyn i thnh 0.005 quy i
n v ca t (%)2 thnh %.
Cu 91: Mt ngi sp v hu hy vng mi nm s c mt khon tin
n
1 + r) 1
(
FV = C
C=
FV r
(1 = r ) 1
n
C=
48 0.09
1.098 1
= 4.3523 ( tr )
20
-13,04
20% (0.2)
250
30
08,70
30% (0.3)
280
30
21,40
30% (0.3)
320
20
39,13
20% (0.2)
s ca chng nh sau:
Vn-Index sau 1 nm
S ngi d on
Mc sinh li (%)
T trong (Pi)
150.000.000 (0.75)
0.75
20.000.000 (0.10)
14
0,10
20.000.000 (0.10)
16
0,10
10.000.000 (0.05)
15
0,05
200.000.000
Lng tin cn tr n ()
1 nm
20.000.000
2 nm
40.000.000
3 nm
38.000.000
4 nm
60.000.000
Tnh trng
kinh t
Xc sut
Li sut u t vo c
Li sut u t vo c
phiu A
phiu A
Suy thoi
20%
-5%
6%
Bnh thng
40%
10%
-2%
Kh
30%
-4%
8%
Hng thnh
10%
7%
-9%
Bn hy:
a. Xc nh thu nhp k vng u t vo A v B
b. Ri ro u t vo A v B
c. Tch sai ca A v B
d. H s tng quan gia A v B
Hai c phiu ny c th kt hp vi nhau trong danh mc u t tr
kh ri ro khng? V sao?