4-1

Chng 4: Mi trng ti chnh - Th trng, cc nh ch ti chnh, v li sut

Th trng ti chnh

Cc loi nh ch ti chnh

Cc yu t tc ng n li sut

ng cong li sut

4-2

Th trng ti chnh l g?

L ni cc c nhn v t chc c nhu cu vn v nhng ngi c vn thng d gp nhau.

4-3

Cc loi th trng ti chnh

Ti sn thc (real assets) & ti sn ti chnh (financial assets)

Th trng tin t & th trng vn

S cp & th cp

Giao ngay & tng lai

Bn ra cng chng & bn ring

4-4

Vn c chuyn giao gia khu vc tit kim v khu vc u t nh th no?

Trc tip

Ngn hng u t

nh ch ti chnh trung gian

4-5

Cc loi nh ch ti chnh

Ngn hng thng mi

Hip hi tit kim v cho vay

Ngn hng tit kim h tng

Hp tc x tn dng

Qu hu bng hay qu lng hu

Cc cng ty bo him

Qu h tng

4-6

Th trng c t chc & phi tp trung

Auction market vs. Dealer market

S. Exchanges vs. OTC

NYSE vs. Nasdaq

S khc bit rt nh

4-7

Chi ph tin t

Gi, hay chi ph ca vn n l li sut.

Gi, hay chi ph ca vn t c l sut sinh li cn thit. Thu nhp cn thit m nh u t k vng bao gm c tc v phn thng d vn (chnh lch gia gi bn v gi mua).

4-8

Yu t nh hng n chi ph tin t

C hi kinh doanh

S u tin v thi gian cho tiu dng

Ri ro

T l lm pht

4-9

Li sut Danh ngha vs. Thc

k = Li sut danh ngha

k* = Li sut thc phi ri ro. Li sut ca k phiu kho bc, nu khng c lm pht.

kRF = Li sut danh ngha phi ri ro ca tri phiu kho bc.

4-10

Cc yu t quyt nh li sut

k = k* + IP + DRP + LP + MRP

k = sut sinh li yu cu ca chng khon n

k* = li sut thc phi ri ro

IP = phn b cho lm pht d kin

DRP = phn b ri ro tn dng

LP = phn b ri ro thanh khon

MRP = phn b ri ro k hn

4-11

Phn b cng thm vo k* i vi cc chng khon n khc nhau

IP MRP DRP LP

K phiu kho bc

Tri phiu kho bc

Chng khon cty ngn hn

Tri phiu cng ty

4-12

ng cong LS v cu trc LS

Cu trc LS theo k hn mi quan h gia li sut (hoc sut sinh li) v k hn.

ng cong li sut biu din cu trc LS theo k hn.

ng cong li sut ca mt chng khon kho bc M t thng 10 nm 2002 hnh bn cnh.

4-13

Xy dng ng cong LS: Lm pht

Bc 1 tm t l lm pht trung bnh t nm 1 n nm n:

n

INFL

IP

n

1tt

n

4-14

Xy dng ng cong LS: Lm pht

Gi s rng lm pht nm ti c cho l 5%, 6% nm tip theo, v 8% sau .

IP1 = 5% / 1 = 5.00%

IP10= [5% + 6% + 8%(8)] / 10 = 7.50%

IP20= [5% + 6% + 8%(18)] / 20 = 7.75%

Phi thu c IPs th bn mi c th kim c k* (trc thu).

4-15

Xy dng ng cong LS: Phn b ri ro k hn

Bc 2: Tm phn b ri ro k hn thch hp (MRP). Trong v d ny, cng thc sau y c s dng tm phn b ri ro k hn thch hp ca chng khon.

) 1 -t ( 0.1% MRPt

4-16

Xy dng ng cong li sut: Phn b ri ro k hn

S dng cng thc cho:

MRP1 = 0.1% x (1-1) = 0.0%

MRP10 = 0.1% x (10-1) = 0.9%

MRP20 = 0.1% x (20-1) = 1.9%

Lu rng bi v cng thc trn l ng thng, phn b ri ro k hn tng theo thi gian cho n k o hn.

4-17

Cng IPs v MRPs vo k* tm cc LS danh ngha cho chng khon Kho bc

Bc 3: Cng cc phn b vo k*.

kRF, t = k* + IPt + MRPt

Cho rng k* = 3%,

kRF, 1 = 3% + 5.0% + 0.0% = 8.0%

kRF, 10 = 3% + 7.5% + 0.9% = 11.4%

kRF, 20 = 3% + 7.75% + 1.9% = 12.65%

4-18

ng cong LS l thuyt

ng cong dc ln.

Dc ln l do tng phn b lm pht v ri ro k hn.

Years to

Maturity

Real risk-free rate

0

5

10

15

1 10 20

Interest

Rate (%)

Maturity risk premium

Inflation premium

4-19

Mi quan h gia YC ca tri phiu kho bc v YC ca tri phiu cng ty

YC ca CK cng ty th cao hn YC ca CK kho bc, khng nht thit song song nhau.

Khong cch gia 2 ng rng ra khi mc xp hng tri phiu cng ty gim xung.

4-20

Minh ha

0

5

10

15

0 1 5 10 15 20

Years to Maturity

Interest Rate (%)

5.2% 5.9%

6.0% Treasury

Yield Curve

BB-Rated

AAA-Rated

4-21

Thuyt k vng (Pure Expectation Hypothesis - PEH)

Thuyt PEH cho rng hnh dng ca YC ty thuc vo mong i ca nh u t v li sut tng lai.

Nu li sut k vng tng, LS di hn s cao hn LS ngn hn, v ngc li. Do , YC c th hng ln, xung, hoc nm ngang.

4-22

Cc gi nh ca PEH

Phn b MRP ca chng khon kho bc bng khng.

Li sut di hn l trung bnh ca LS ngn hn hin ti v tng lai.

Nu PEH ng, YC c th c s dng tm li sut tng lai.

4-23

V d: Li sut tri phiu Kho bc v PEH

K hn LS 1 nm 6.0% 2 nm 6.2% 3 nm 6.4% 4 nm 6.5% 5 nm 6.5%

Nu da theo PEH, hy tnh li sut k hn ca chng khon k hn 1 nm, tnh ti thi im sau ny mt nm v chng khon k hn 3 nm tnh ti thi im sau ny hai nm.

4-24

LS k hn 1 nm (One-year forward rate), ti thi im sau ny 1 nm

6.2% = (6.0% + x%) / 2

12.4% = 6.0% + x%

6.4% = x%

PEH ni rng CK c k hn 1 nm s kim c 6.4%, sau mt nm tnh t by gi.

4-25

LS ca CK k hn 3 nm, thi im sau 2 nm tnh t by gi

6.5% = [2(6.2%) + 3(x%) / 5

32.5% = 12.4% + 3(x%)

6.7% = x%

PEH cho rng CK c k hn ba nm s kim c 6.7%, ti thi im sau hai nm k t by gi.

4-26

Kt lun v PEH

Vi ngi cho rng MRP 0, v do PEH khng ng.

Phn ln cc chng c h tr quan im chung, l ngi cho mn thch CK k hn ngn, v cho rng CK k hn di ri ro cao hn.

V vy, nh u t yu cu c phn b ri ro th h mi nm gi CK di hn (ngha l MRP > 0).

4-27

Cc yu t khc nh hng n LS

Chnh sch tin t ca Ngn hng Trung ng

Ngn sch nh nc thng d hay thm tht

Yu t quc t

4-28

Cc ri ro lin quan n u t nc ngoi

Ri ro t gi hi oi.

Ri ro quc gia ny sinh do u t hay hot ng mt quc gia c th v ph thuc vo tnh hnh kinh t, mi trng chnh tr, v x hi ca quc gia .

4-29

Cc yu t lm t gi thay i

Thay i lm pht tng i

Thay i trong ri ro quc gia