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Trng i Hc Kinh T Thnh Ph H Ch Minh Khoa Ti Chnh Doanh Nghip

Mn: u t ti chnhCh :

c lng phn b ri ro trong th trng mi niGVHD: Ths. L t Ch

Nhm thc hin: 1. 2. 3. 4. 5. Ng Th M Linh ng Th Thy Kiu ng Lu Bch Phng Nguyn Th Bch Phng Phm Thi Diu Trang STT: 18 STT: 16 STT: 31 STT: 32 STT: 43 Lp TC2-K34

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MC LC

MC LC ........................................................................................................................................................... 2 PHN M U .................................................................................................................................................. 3 PHN NI DUNG ............................................................................................................................................... 4 A. GII THIU CHUNG ................................................................................................................................ 4 1. Th trng mi ni.......................................................................................................................... 4 1. Cng ty Vinamilk ............................................................................................................................. 5 B. CHI PH S DNG VN BNH QUN........................................................................................................ 6 I. C s l lun v ngun s liu:............................................................................................................. 6 1. Chi ph s dng n:......................................................................................................................... 6 2. Chi ph s dng vn: ....................................................................................................................... 7 a. Li sut phi ri ro: ....................................................................................................................... 7 b. Beta ............................................................................................................................................ 8 c. Phn b ri ro th trng: ........................................................................................................... 9 3. Lm pht Vit Nam: ...................................................................................................................... 10 4. D on lm pht M: .................................................................................................................. 11 5. Cu trc vn: ................................................................................................................................ 12 II. Tnh ton v kt qu: cng ty Vinamilk.............................................................................................. 13 1. Chi ph s dng n:....................................................................................................................... 13 a. c tnh EBITDA: ...................................................................................................................... 13 b. c tnh chi ph s dng n: ..................................................................................................... 13 2. Chi ph s dng vn c phn: ........................................................................................................ 14 a. Li sut phi ri ro ...................................................................................................................... 14 b. Beta: ......................................................................................................................................... 14 c. Chi ph s dng vn c phn: .................................................................................................... 15 3. Chi ph s dng vn bnh qun (WACC) ......................................................................................... 15 C. Tng kt: .............................................................................................................................................. 15 Ph lc............................................................................................................................................................. 16 1. Danh mc vit tt: ........................................................................................................................ 16 2. Ti liu tham kho: ....................................................................................................................... 16

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PHN M U

1.

Mc tiu: Tm hiu v phn b ri ro trong th trng mi ni - mt vn kh khn v nhng

c th ca th trng ny. C th l tnh ton phn b ri ro ca cng ty Vinamilk. 2. i tng nghin cu: Chi ph s dng vn bnh qun (WACC) cng ty Vinamilk 3. Phm vi nghin cu: Th trng chng khon Vit Nam v c phiu cng ty Vinamilk 4. Phng php nghin cu: - Phng php thng k ( cc s liu v gi c phiu, ch s VN-Index). - Phng php hi quy n bin (nhm xc nh h s beta) - Phn tch so snh - tng hp 5. Nhn xt ca gio vin:

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PHN NI DUNGA. GII THIU CHUNG 1. Th trng mi ni Vic nh gi, phn tch ch s ti chnh s kh khn hn trong mi trng ny v nhng ri ro v cn tr, bao gm c s khng chc chn trong kinh t v m, th trng vn khng c tnh thanh khon, s kim sot dng vn vo v ra khi quc gia, chun mc k ton linh hot v mc minh bch, v mc ri ro chnh tr cao. V l thuyt, cha c mt phng php chun mc quyt nhng th thch ny. Ngi i nh gi thng xuyn thc hin iu chnh ty da vo trc gic v bng chng thc nghim hn ch ca mnh. Bt k nhy cm kinh t i vi nhng t gi hi oi khc nhau trong ngn hay di hn, kt qu nh gi phi c lp vi tin t hoc kt hp cc loi tin t. S dng t gi hi oi thc t hay tng hp nhng t gi hi oi k hn bin i dng tin tng lai sang loi tin t khc. Trong nhiu nn kinh t mi ni, th trng k hn - hon i l khng tn ti hoc khng c tnh thanh khon, do , t gi k hn thc gip nh hng v s bin ng ca t gi hi oi trong tng lai hoc s chnh lch do lm pht. Trong trng hp , nn c lng mt t gi k hn tng hp t nhng gi nh v lm pht v li sut trong tng lai c lin quan n cc loi tin t. i vi cc cng ty hot ng trong mi trng lm pht cao, phn tch qu kh v d bo cn c thc hin trong c hai phn danh ngha cng thc t khi c th. Mt khc ti cc th trng mi ni thng c chun mc k ton khc v cn bn so vi nhng th trng pht trin, nhiu nc, tn dng thu phc tp cng lm do dng li nhun kh c lng. Tuy nhin nhng khc bit ny li thng xuyn b loi b khi bo co thu nhp v bng cn i k ton c a vo trong tnh ton dng tin trong khi yu cu hiu v lm r vn ny li rt cn thit. Trong hu ht cc quc gia, cc cng ty thng xuyn bo co trong thi hn cui nm nn trong bo co thu nhp, cc hng mc nh doanh thu v chi ph c ghi chp trong sut c nm phi c trnh by li theo sc mua cui nm; Bng cn i k ton thng iu chnh ti sn c nh, hng tn kho, v vn c phn, cc ti khon phi tr v phi thu v cui nm. Nu khng iu chnh v hot ng cng ty ang tri qua thi k lm pht cao, s dn n bin dng trong cc bng cn i k ton v bo co thu nhp.Ti cc th trng mi ni, cc cng ty thng ch s ha ti khon qun l ni b ca h nu khng c th i mt vi nhng bin dng sau: - Tc tng trng b phng i trong thi gian lm pht.

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- Doanh thu vn thng l phng i bi v ti sn hot ng c thc hin vi chi ph qu kh. - Li nhun hot ng c th c phng i bi v khu hao qu thp v mc ch tr nhiu hng nn hng tn kho bn ra t. - Thn trng trong vic gii thch t sut vay n v cc ch s khc v s lnh mnh ca c cu vn. Bin dng c bit quan trng trong t s kh nng thanh ton nh n trn vn c phn hoc tng ti sn, bi v ti sn di hn b nh di gi lin quan n chi ph thay th, v n theo li sut th ni ti cc n v tin t hin ti .S dng cc t s bao qut nh EBITDA cho chi ph li vay. Nhng th ny c bin dng k ton bi v khu hao khng c tc ng v ti tr n ti cc th trng mi ni ch yu l li sut th ni hoc ngoi t. 1. Cng ty Vinamilk Vinamilk thnh lp t nm 1976, c phn ha nm 2003 v nim yt vo thng 1/2006 vi m chng khon l VNM. y l mt trong cc cng ty c gi tr vn ha ln nht trn sn hin nay. Vinamilk l doanh nghip sn xut sa hng u vi khong 44% th phn sa Vit Nam. Tc tng trng doanh thu bnh qun hng nm ca cng ty kh cao, trung bnh khong 26% giai on 2005-2010 v l mt trong s t nhng doanh nghip trn sn c tc tng trng doanh thu v li nhun tng i n nh qua cc nm. Cng ty hin c trn 200 ch phm t sa vi 5 nhm sn phm chnh gm sa c; sa nc sa chua ung; sa bt bt dinh dng; sa chua n; kem, ph mai v nc gii kht. Vinamilk l doanh nghip Vit Nam u tin lt vo danh sch 200 cng ty va v nh tt nht chu do tp ch Forbes bnh chn. Di y l bo co Kt qu kinh doanh qu II v 6 thng u nm 2011 ca Vinamilk: Qu II Thay i (%) 2011 2010 36 Doanh thu thun 5463,8 4003,4 43 Gi vn hng bn 3769,9 2639,5 1693,9 1363,9 24 Li nhun gp 18 Li nhun sau thu 1093,2 929,7 3054 2637 EPS Ch tiu 6 thng Thay i (%) 2011 2010 10033,8 7264,4 38 6844,1 4760,4 44 3189,7 2504,0 27 2090,6 1746,2 20 5840 4953

Mc d sn xut hng tiu dng l mt hng gn lin vi chu k kinh t song c phiu VNM c tnh n nh v tng trng bn vng. Trong nm 2008 v 2009, khi m hng lot cc ngnh b nh hng bi suy thoi kinh t th gii th li nhun ca VNM vn tng trng n nh, thm ch

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cn tt hn c nhng nm trc . T l chi tr ca Vinamilk cng c xp vo loi nhng c phiu c mc c tc cao trn th trng hin nay. B. CHI PH S DNG VN BNH QUN I. C s l lun v ngun s liu: 1. Chi ph s dng n: Trong hu ht cc nn kinh t mi ni, khng c th trng giao dch tri phiu doanh nghip, qu t hoc khng c thng tin th trng sn c c lng chi ph s dng n. Tuy nhin, t trin vng nh u t quc t, chi ph s dng n bng ng tin a phng n gin l tng li sut Dola phi ri ro, khc bit tn dng v chnh lch lm pht gia ng tin a phng v dola(euro). Li sut phi ri ro da trn li sut tri phiu k hn 10 nm ca chnh ph M thm vo phn khc bit lm pht k vng gia 2 quc gia M v Vit Nam. Hu ht ri ro quc gia c th c a dng ha ht bng danh mc tri phiu tng th. V vy, khc bit ri ro tn dng c l khng ln hn khc bit ri ro ca cng ty trong th trng quc t, v chi ph s dng n khng nn bao gm c phn b ri ro quc gia ring bit. iu ny gii thch ti sao chi ph ti tr ca cng ty a quc gia vi danh mc th trng mi ni m rng( extensive emerging- market pofolio), cng ty bao gm Coca-Cola v Colgate-Palmolive, c chi ph s dng n khng cao hn i th chnh M. Da vo nhng l lun trn, chng ta tnh ton chi ph s dng n ca Vinamilk theo ng Vit Nam VND. S liu phn tch s dng t bo co thng nin ca cng ty nm 2010, Vinamilk khng c xp hng tn nhim, nhng da trn t s EBITDA coverage ( biu hin sc mnh tn dng ca cng ty, ging nh ch s kh nng thanh ton n n hn) so vi nhm ngnh thc phm l cng ty Conagra Foods M c S&P xp hng, v s dng bo co ti chnh cng nm ca cng ty c sn chng khon NYSE nim yt, ta c th chng ta c lng rng Vinamilk c th xp hng BBB n A-. EBITDA coverage ratio= Chi ph s dng n ca Vinamilk c th c lng l tng li sut phi ri ro theo tri phiu chnh ph M k hn 10 nm vi khong khc bit tn dng h thng i vi Tri phiu doanh nghip do Conagra Foods pht hnh so vi li sut tri phiu chnh ph M. Thu thu nhp doanh nghip Vit Nam p dng vi cng ty Vinamilk l 25%, n gin, chng ti ngh rng s dng thu sut ny l thu sut c hiu lc to ra y tm chn thu trn chi ph li vay t tnh WACC.

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2. Chi ph s dng vn: Re=Rf + (Rm-Rf) Vi: Re: chi ph s dng v c phn Rf: li sut phi ri ro : h s o lng tng quan ca chng khon danh mc th trng Rm-Rf: Phn b ri ro th trng a. Li sut phi ri ro: nh ngha: Li sut phi ri ro l li sut c gi nh bng cch u t vo cc cng c ti chnh m khng b ri ro v n (default risk). Tuy nhin, nhng cng c ti chnh c th gp phi nhng loi ri ro khc, v d ri ro th trng (li sut th trng thay i), ri ro v tnh lng. (cng c khng th c bn ly mt khon tin mt nht nh)...( Theo saga). Li sut phi ri ro thc-RRFR: l t sut sinh li m nh u t yu cu da vo t l tng trng thc ca nn kinh t trong nc bi v ch t ng vn u t s tng trng bng vi s tng trng ca nn kinh t. T sut sinh li ny b nh hng trong thi k ngn hn bi v s bin ng tm thi trong th trng vn. (Theo Gio trnh u t ti chnh PGS,TS. Phan Th Bch Nguyt)

Li sut phi ri ro trong th trng mi ni: Trong th trng mi ni, li sut phi ri ro kh c lng t TPCP hn l th trng pht trin. C 3 vn chnh ni ln. Th nht, hu ht cc khon n CP trong th thng mi ni khng phi tht s l phi ri ro. Th hai, tht kh tm ra TPCP di hn m c th giao dch linh hotvi tnh thanh khon cao. Cui cng, n di hn thng c giao dch bng USD, Euro, JPY, v vy n khng ph hp cho vic chit khu dng tin danh ngha a phng. Mt phng php n gin. Bt u vi li sut phi ri ro da trn li sut TPCP M k hn 10 nm, nh trong th trng pht trin. Cng vi s chnh lch lm pht d on qua thi gian gia M v a phng pht trin thnh li sut phi ri ro di ng tin a phng. i khi ta c th suy ra chnh lch lm pht ny t khong cch gia li sut TPCP di ng tin a phng v USD.

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b. Beta nh ngha: H s bta l mt i lng o lng s phn ng ca li sut k vng ca mt chng khon ti chnh ring bit, c lin quan ti nhng bin ng trong li sut k vng trung bnh ca cc chng khon cn li trong th trng. Cn hiu theo mt cch n gin hn th: h s beta phn nh nhy cm ca chng khon ang xem xt vi mc gi chung ca th trng. (T in ti chnh Collins) H s beta cng c xem nh l mt yu t n by i vi li nhun ca ti sn ti chnh. Khi phn b ri ro th trng (Rm-Rf) thay i 1% th li nhun k vng ca ti sn ti chnh thay i %. C rt nhiu phong php c lng h s ri ro bta cho cc c phiu trn th trng chng khon. Trong phng php tnh Beta thng c s dng l: + c lng bta bng m hnh ch s n1. + c lng bta bng m hnh CAPM da trn s liu lch s. Trong c lng beta qua m hnh CAPM l phng php c s dng ph bin nht. c lng BETA bng m hnh CAPM: Gi thuyt: i vi m hnh CAPM, chng ta phi chp nhn nhng gi thit sau: 1. Cc nh u t c nhn l nhng nh chp nhn gi. 2. Hot ng u t gii hn vi nhng ti sn ti chnh c kinh doanh. 3. u t trong mt thi k n. 4. Khng c thu v ph giao dch 5. Thng tin khng t v lun sn c i vi tt c cc nh u t 6. Cc nh u t u l nhng ngi c l tr, la chn danh mc u t da vo k vng v phng sai. Cc c lng u ng nht. M hnh: H s beta ca mt chng khon theo m hnh CAPM1

M hnh ch s n l m hnh hi quy ca li sut k vng ti sn i theo li sut ca th trng. H s

trong m hnh chnh l h s trong m hnh CAPM. Hay ni cch khc, theo m hnh th mt ti sn bt k trn th trng b tc ng bi 2 nhn t: nhn t chung ca th trng v nhn t ring ca chnh ti sn .

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i : L thc o v mc ri ro ca ti sn.

i

=

Cov(ri , rm ) 2 m

H s bta ca mt chng khon cho bit s phn trm thay i li sut k vng ca mt chng khon khi c 1 % thay i trong li sut ca danh mc th trng. Mt s lu khi s dng h s beta ti th trng chng khon Vit Nam Do bn thn th trng, i vi th trng chng khon Vit Nam cha th c coi l mt th trng hiu qu. Nhng vn tn ti th trng chng khon Vit Nam bao gm: Th nht l v mc gi. Mc gi giao dch l ch s phn nh mi thng tin v hot ng ca doanh nghip. Nhng Vit Nam, mc gi ch th hin mt phn nh v doanh nghip, phn ln l do s tc ng t cung cu v c phiu ca cc nh u c. c bit, tm l u t theo by n, hay hiu ng m ng lun chi phi mnh m n gi c phiu. Do vy, beta c tnh ton t cc mc gi ny khng th ni ln ri ro ca doanh nghip. Th hai l danh mc th trng. Hin nay, Vit Nam c hai ch s chnh l VN-Index v HNX-Index. Hai ch s ny cha sc to nn mt danh mc th trng, bi danh mc ny cha c y cc lnh vc ngnh ngh trong nn kinh t v trong tng lnh vc khng bao gm cc doanh nghip i din cho lnh vc ; bi v cn thiu cc cng ty ln. Chnh v vy, s bin ng ca danh mc cha nh gi chnh xc s bin ng ca nn kinh t. Th ba khong thi gian cc cng ty c nim yt trn sn giao dch chng khon cn qu ngn, ch yu t cui nm 2006, do d liu gi cha di c th tin hnh hi quy tm ra h s beta chnh xc. c. Phn b ri ro th trng: Mc b ri ro trng phn nh sut sinh li tng thm m nh u t i hi khi chuyn t vic u t vo mt ti sn phi ri ro sang u t vo danh mc th trng c mc ri ro trung bnh. Mc b ri ro th trng, v vy, c o bng chnh lch gia sut sinh li ca danh mc th trng v sut sinh li phi ri ro. Tuy nhin i vi Vit Nam cha c mt danh mc tiu chun ca danh mc th trng. Nn chng ti da vo s liu t bi nghin cu Market risk premium used in 56 countries-A survey with 6014 answers ca tc gi Pablo Fernasndez, Javier Aguirreamalloa, Luis Corres vo thng 5 nm 2011 l 8.8%.

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3. Lm pht Vit Nam: Nhn nh ca WB v IMF: Cc t chc trn Th gii nh gi rt cao nhng kt qu tch cc t gi chnh sch tin t v ti kha ca Vit Nam trong vic km ch lm pht v n nh t gi cng nh Ngh nh 11. Mi y, Ngn hng Th gii (WB) v IMF cho rng lm pht nm 2011 ca Vit Nam c th chm mc 18.8% vo cui nm, ADB d on con s ny cng mc 18,7%. D on lm pht Vit Nam ca nhm: Tnh n thng 9-2009, lm pht Vit Nam l 15,61%. Trn c s nhn nh ca cc t chc, kin ch quan ca nhm d bo lm pht n cui nm 2011 s vo khong 19%. C s ca d bo ny da vo: Th nht, mt phn ng gp ch yu vo ch s gi tiu dng hay lm pht nc ta l nhm hng n v dch v n ung ( hnh di). D bo vo cc thng cui nm nay, c bit nh thng 10 v 11 s c nhiu yu t bn ngoi tc ng v y gi thc phm tip tc tng do ngun cung hn ch , nh hng dch bnh, thin tai , nhu cu lng thc ca nc ngoi kch thch xut khu , nhu cu tp trung ngun hng cho cui nm v dp Tt , v c bit, hin nay cc loi nng, thy sn ca Vit Nam b thng li Trung Quc gom hng v y gi ln rt cao.

Th hai, Theo thng t 30/2011-NHNN, li sut huy ng cc NHTM s c gi mc thp dn n nhiu kh nng tin s chy vo knh vng v ngoi t, tm l lo ngi lm pht vn rt nng n trong lng ngi dn khi m li sut khng cao hn lm pht thu ht ngi dn gi tin ng nn s gy p lc ln t gi cui nm . Thm vo , T gi c k vng s tng trong nhng thng cui nm khi nhu cu thanh ton tng cao v cc khon n ngoit o hn Ngoi ra, tnh hnh thu - chi ngn sch nh nc cng nh hng n t l lm pht. Theo phn nh bng di th thm ht ngn sch d bo s tip tc vo cc thng cui nm nay lm tng

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gnh nng n cng, gy p lc ln vic pht hnh TPCP lm thay i trong li sut v gi c, gy tc ng xu ln tnh hnh lm pht.

4. D on lm pht M: Di y l lm pht c cp nht hng thng ti M trong nm 2011. T l lm pht c tnh bng cch s dng Ch s gi tiu dng hin ti (CPI-U) cng b hng thng ca Cc Thng k Lao ng.Current Inflation Rate 2011 Jan Feb Mar Apr May Jun Jul Aug Sep 1.6% 2.1% 2.7% 3.2% 3.6% 3.6% 3.6% 3.8% 3.6% Oct Nov Dec

C nhiu thnh phn khc nhau hnh thnh nn lm pht tng th hng nm ca M, bao gm gi lng thc, dt may, nng lng, gio dc, vn ti, dch v y t, gii tr v gi nh t. Mc d FED iu chnh tng mc lm pht k vng ln khong 1.7%-2%, so vi mc tiu ban u 1.3%1.6% nhng dn chng v cc nh u t vn khng th h thp k vng lm pht ca M. Ch tch Cc D tr Lin bang Ben Bernanke cho bit gi c hng ha tng cao nng lm pht ln. Ngoi ra, s gin on cung ng ton cu lin quan n thin tai Nht Bn t p lc ln gi c xe t. Kt qu ca nhng tc ng ny l lm pht tng ng k trong na u nm nay. kch thch nn kinh t M ang trong giai on khng hong, Fed lin tc a ra cc gi QE1, QE2 gy nh hng n tnh hnh lm pht M. Mi y, ngy 21/9 Cc D tr lin bang M (FED) quyt nh bn 400 t USD tri phiu ngn hn ca chnh ph M v mua li cc khon tri phiu di hn ti cui thng 6/2012 gii cu th trng ti chnh. Mc d khng bm thm tin vo nn kinh t nhng k hoch ny ca FED s gip h li sut di hn v thc y cc khon cho vay trn th trng nh t, kch thch tiu dng. Tuy nhin, Chnh ph M ang c gng duy tr t l lm pht mc n nh. Lm pht c d kin s mc trung bnh trong qu ti do cc yu t nh hng tm thi suy yu dn. Hin nay,

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vi s bi quan v kinh t Chu u cng nh nn kinh t M, v du hiu tng trng chm li ca nn kinh t Trung Quc, gi du th gii h nhit v nhiu mt hng khc hoc chng li hoc gim xung. Trong khi , s gia tng trong sn xut t s lm gim p lc v gi xe.Di y l s liu ca trung tm d bo ti chnh ca mt cng ty ti M m kt qu d bo lm pht bng cc m hnh nh lng vi d liu kinh t ton cu trong di hn vi mc khch quan cao, v xt thy d bo ny kh tng ng, ph hp vi tnh hnh thc t vi nhng phn tch trn nn chng ti a vo s dng c tnh lm pht trong nhng thng cui nm . Theo , tnh trung bnh c nm 2011 lm pht M mc khong 3.1%. U.S. Inflation Rate ForecastJan Feb Mar Apr May Jun Jul Aug Sep Oct 3.3% Nov Dec 3% 2.5%

5. Cu trc vn: Cu trc vn mc tiu: Bn thn VNM cng nh th trng thc phm-sa Vit Nam khng c cu trc vn mc tiu xy dng trong di hn. Trc nhng hn ch ny, nhm tham kho mt vi th trng cc nc ang pht trin chu . Theo bi nghin cu Determinants of target capital structure and adjusted speed- evidence from Asia capital markets ca Andr Geztmann, Sebastian Lang, Klaus Spremann , cu trc vn mc tiu cho ngnh cng nghip thc phm cc nc ang pht trin l 28.25% n ( trung bnh cng ca cc kt qu ) v 71.75% vn c phn.

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Ngoi ra, da vo s liu ca cc Bng BCTC ca VNM t nm 2006-2010 v 6 thng u nm 2011, ta tnh c t s N phi tr/Tng ngun vn nh sau: 2006 24.23% 2007 19.78% 2008 19.35% 2009 21.33% 2010 26,01% 2011 Qu I Qu II 27,49% 27,49%

Ta thy cng ty c xu hng tng s dng n qua cc nm. iu ny cng d hiu vi xu hng tn dng n by n hng li ch t tm chn thu. Trong 2 qu u nm, cng ty gi nguyn cu trc vn. cng vi tnh hnh kinh t khng my kh quan nh hin nay, v li sut vn mc cao, Nh nc kin tr vi chnh sch tht cht tin t. iu ny cho thy trong tng lai gn cng ty s khng c s thay i ln trong cu trc vn. c tnh duy tr vi t l 27%-73%. Nh vy, kt hp c hai gc nhn, nhm thng nht chn cu trc vn mc tiu cho VNM theo t l 27% n - 73% vn c phn l hp l. II. Tnh ton v kt qu: cng ty Vinamilk 1. Chi ph s dng n: a. c tnh EBITDA:Cng ty VNM Conagra Foods US (1000 USD) 1,345.2 326.8 1,672.0 15.8 148.1 10.201 BBB/A7.00%

n v tnh VND EBIT 4,257,378,977,567 DEP 290,130,555,884 EBITDA 4,547,509,533,451 Chi tr n gc 407,813,214,054 INT 6,171,553,959 EBITDA coverage 10.98473 Long term ratings Li sut TP ca Conagra k hn 10 nm

b. c tnh chi ph s dng n:Chnh lch lm pht Li sut TPCP M Li sut TPDN li sut phi ri ro Khc bit h thng tn dng Chi ph s dng n trc thu Thu sut Chi ph n sau thu 15.90% 1.84% 7.00% 17.74% 5.16% 22.90% 25% 17.18%

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2. Chi ph s dng vn c phn: a. Li sut phi ri roLi sut phi ri ro 10yr US bond rate2 1.84% Lm pht VN 19.00% Lm pht M 3.10% li sut phi ri ro 17.74%

b. Beta: Hi quy t sut sinh li ca Vinamilk theo t sut sinh li ca VN-Index ta thu c kt qu h s = 0.93. RVNM = + .RVN-indexSUMMARY OUTPUT Regression Statistics Multiple R 0.747799 R Square 0.559204 Adjusted R Square 0.558885 Standard Error 0.016001 Observations 1386 ANOVA df Regression Residual Total 1 1384 1385 SS MS F 0.449561 0.449561 1755.774 0.354369 0.000256 0.80393 Standard Error t Stat P-value 0.00043 2.516145 0.011977 0.022306 41.90196 1.9E-248 Significance F 1.9E-248

Intercept VN INDEX

Coefficients 0.001082 0.93467

Upper Lower 95% 95% 0.000238 0.001925 0.890913 0.978428

Lower Upper 95.0% 95.0% 0.000238 0.001925 0.890913 0.978428

2

Li sut tri phiu chnh ph M k hn 10 nm ngy 23/9/2011 http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

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c. Chi ph s dng vn c phn:Chi ph s dng vn c phn Li sut phi ri ro 17.74% beta 0.93 Phn b ri ro th trng 8.80% CPSDV CP 25.92%

3. Chi ph s dng vn bnh qun (WACC)T trng CPSDV N 27% 17.18% Vn CP 73% 25.92% WACC 23.56%

C. Tng kt: Khng c cn c no ni c mt m hnh d bo l hon ho v chnh xc. Do nhng yu t khch quan, ri ro v cn tr ln ca th trg mi ni v nn kinh t bin ng ln trong thi gian qua nn khin cc ch s ti chnh kh tnh ton v d bo dn vic nh lng WACC cn gp nhiu kh khn, c th hm cha sai s cao. khc phc, trong bi chng ti c gng s dng cc php tnh ton v l lun tip cn gn vi tnh hnh th trng m khng n thun l con s mc tiu, nh hng chnh ph a ra. Tuy cc kt qu d bo c th khng thc s chnh xc nhng n vn c mt ngha nht nh gip cc nh u t v qun l trong vic ra cc quyt nh kinh doanh trn th trng trong vic xc nh chi ph vn c phn cho cc cng ty trn th trng chng khon vn c ngha nht nh.

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Ph lc1. Danh mc vit tt: VNM: Vinamilk TP(CP): Tri phiu (chnh ph) NHNN: Ngn hng nh nc NHTM: Ngn hng thng mi BCTC: Bo co ti chnh 2. Ti liu tham kho: Sch u t ti chnh PGS.TS. Phan Th Bch Nguyt Bi nghin cu Valudation in emerging markets ca cc tc gi Tim Koller. Marc Goedhart v David Wessels Bi nghin cu Determinants of target capital structure and adjustment speed evidence from Asia capital markets ca Andr Getzmann, Sebastian Lang, Klaus Spremann ( March 2010) Bi nghin cu Market risk premium used in 56 countries-A survey with 6014 answers ca tc gi Pablo Fernasndez, Javier Aguirreamalloa, Luis Corres Bo co thng nin cng ty Vinamilk Bo co thng nin cng ty Conagra Foods USwww.hsx.vn http://www.investopedia.com http://www.quicktake.morningstar.com http://www.treasury.gov www.vnexpress.net www.vneconomy.com www.bbc.com http://www.ndhmoney.vn/web/guest/ http://www.tiengnoidanchu.wordpress.com/http://www.usinflationcalculator.com/inflation/us-inflation-rises-3-8-on-12-month-basis-consumer-pricesadvance-0-4-in-august-2011/1000911/#more-911 http://www.forecasts.org/inflation.htm http://inflationdata.com/inflation/inflation_rate/currentinflation.asp http://www.vinamilk.com.vn http://www.flint.umich.edu/~mjperry/561-3.htm http://www.standardandpoors.com/ratings/en/us/ http://www.nyse.com/