{"id":23928,"date":"2023-12-06T09:00:10","date_gmt":"2023-12-06T09:00:10","guid":{"rendered":"https:\/\/masterskills.org\/blog\/li-thuyet-dinh-gia-kinh-doanh-chenh-lech-arbitrage-pricing-theory-la-gi-cong-thuc-tinh-va-vi-du.html"},"modified":"2023-12-22T09:29:47","modified_gmt":"2023-12-22T02:29:47","slug":"li-thuyet-dinh-gia-kinh-doanh-chenh-lech-arbitrage-pricing-theory-la-gi-cong-thuc-tinh-va-vi-du","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/li-thuyet-dinh-gia-kinh-doanh-chenh-lech-arbitrage-pricing-theory-la-gi-cong-thuc-tinh-va-vi-du.html","title":{"rendered":"L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch (Arbitrage Pricing Theory) l\u00e0 g\u00ec? C\u00f4ng th\u1ee9c t\u00ednh v\u00e0 v\u00ed d\u1ee5"},"content":{"rendered":"
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(\u1ea2nh minh h\u1ecda: E-International Relations)<\/p>\n<\/figcaption><\/figure>\n

L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/font><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch <\/b>trong ti\u1ebfng Anh l\u00e0 Arbitrage Pricing Theory.<\/b><\/p>\n

L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/b> l\u00e0 m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n \u0111a y\u1ebfu t\u1ed1 d\u1ef1a tr\u00ean \u00fd t\u01b0\u1edfng r\u1eb1ng, l\u1ee3i nhu\u1eadn c\u1ee7a m\u1ed9t t\u00e0i s\u1ea3n c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c d\u1ef1 \u0111o\u00e1n b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng m\u1ed1i quan h\u1ec7 tuy\u1ebfn t\u00ednh gi\u1eefa l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng c\u1ee7a t\u00e0i s\u1ea3n v\u00e0 m\u1ed9t s\u1ed1 bi\u1ebfn kinh t\u1ebf v\u0129 m\u00f4 c\u00f3 r\u1ee7i ro h\u1ec7 th\u1ed1ng.<\/p>\n

L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch l\u00e0 m\u1ed9t c\u00f4ng c\u1ee5 h\u1eefu \u00edch \u0111\u1ec3 ph\u00e2n t\u00edch danh m\u1ee5c \u0111\u1ea7u t\u01b0 t\u1eeb g\u00f3c \u0111\u1ed9 \u0111\u1ea7u t\u01b0 theo gi\u00e1 tr\u1ecb, m\u1ee5c \u0111\u00edch \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh ch\u1ee9ng kho\u00e1n c\u00f3 th\u1ec3 t\u1ea1m th\u1eddi b\u1ecb \u0111\u1ecbnh gi\u00e1 sai hay kh\u00f4ng.<\/p>\n

C\u00f4ng th\u1ee9c m\u00f4 h\u00ecnh L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/font><\/h3>\n

C\u00f4ng th\u1ee9c t\u00ednh l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng c\u1ee7a l\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/b> l\u00e0:<\/p>\n

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\n<\/figcaption><\/figure>\n

H\u1ec7 s\u1ed1 beta trong m\u00f4 h\u00ecnh l\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch \u0111\u01b0\u1ee3c \u01b0\u1edbc t\u00ednh b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng h\u1ed3i qui tuy\u1ebfn t\u00ednh. N\u00f3i chung, l\u1ee3i nhu\u1eadn ch\u1ee9ng kho\u00e1n trong qu\u00e1 kh\u1ee9 \u0111\u01b0\u1ee3c h\u1ed3i qui d\u1ef1a tr\u00ean y\u1ebfu t\u1ed1 \u0111\u1ec3 \u01b0\u1edbc t\u00ednh h\u1ec7 s\u1ed1 beta.<\/p>\n

L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch ho\u1ea1t \u0111\u1ed9ng nh\u01b0 th\u1ebf n\u00e0o?<\/font><\/h3>\n

L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/b> \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n thay th\u1ebf cho\u00a0m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n\u00a0(CAPM). Kh\u00f4ng gi\u1ed1ng nh\u01b0 CAPM gi\u1ea3 \u0111\u1ecbnh th\u1ecb tr\u01b0\u1eddng ho\u1ea1t \u0111\u1ed9ng ho\u00e0n h\u1ea3o, l\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch gi\u1ea3 \u0111\u1ecbnh th\u1ecb tr\u01b0\u1eddng \u0111\u00f4i khi \u0111\u1ecbnh gi\u00e1 sai gi\u00e1 tr\u1ecb c\u1ee7a ch\u1ee9ng kho\u00e1n. Th\u1ecb tr\u01b0\u1eddng sau \u0111\u00f3 s\u1ebd \u0111i\u1ec1u ch\u1ec9nh v\u00e0 ch\u1ee9ng kho\u00e1n quay tr\u1edf l\u1ea1i gi\u00e1 tr\u1ecb h\u1ee3p l\u00ed.<\/p>\n

S\u1eed d\u1ee5ng l\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch, c\u00e1c nh\u00e0 \u0111\u1ecbnh gi\u00e1 s\u1ebd t\u1eadn d\u1ee5ng nh\u1eefng sai l\u1ec7ch so v\u1edbi gi\u00e1 tr\u1ecb th\u1ecb tr\u01b0\u1eddng h\u1ee3p l\u00ed.<\/p>\n

Tuy nhi\u00ean, \u0111\u00e2y kh\u00f4ng ph\u1ea3i l\u00e0 m\u1ed9t l\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kh\u00f4ng c\u00f3 r\u1ee7i ro, b\u1edfi v\u00ec c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 cho r\u1eb1ng m\u00f4 h\u00ecnh n\u00e0y l\u00e0 ch\u00ednh x\u00e1c v\u00e0 c\u1ee9 th\u1ef1c hi\u1ec7n giao d\u1ecbch theo \u0111\u1ecbnh h\u01b0\u1edbng m\u00e0 kh\u00f4ng ch\u1ed1t l\u1ee3i nhu\u1eadn phi r\u1ee7i ro.<\/p>\n

V\u00ed d\u1ee5 v\u1ec1 c\u00e1ch s\u1eed d\u1ee5ng L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/font><\/h3>\n

V\u00ed d\u1ee5: b\u1ed1n y\u1ebfu t\u1ed1 sau \u0111\u00e3 \u0111\u01b0\u1ee3c x\u00e1c \u0111\u1ecbnh y\u1ebfu t\u1ed1 \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn l\u1ee3i nhu\u1eadn c\u1ee7a c\u1ed5 phi\u1ebfu v\u00e0 m\u1ee9c \u0111\u1ed9 nh\u1ea1y c\u1ea3m c\u1ee7a l\u1ee3i nhu\u1eadn c\u1ed5 phi\u1ebfu \u0111\u1ed1i v\u1edbi t\u1eebng y\u1ebfu t\u1ed1:<\/p>\n

–\tT\u0103ng tr\u01b0\u1edfng t\u1ed5ng s\u1ea3n ph\u1ea9m qu\u1ed1c n\u1ed9i GDP: \u00df = 0,6, f1<\/sub>= 4%<\/p>\n

–\tT\u1ec9 l\u1ec7 l\u1ea1m ph\u00e1t: \u00df = 0,8, f2<\/sub> = 2%<\/p>\n

–\tGi\u00e1 v\u00e0ng: \u00df = -0,7, f4 <\/sub>= 5%<\/p>\n

–\tL\u1ee3i nhu\u1eadn ch\u1ec9 s\u1ed1 SP500: \u00df = 1.3, f5<\/sub> = 9%<\/p>\n

–\tT\u1ec9 l\u1ec7 phi r\u1ee7i ro l\u00e0 3%<\/p>\n

S\u1eed d\u1ee5ng c\u00f4ng th\u1ee9c t\u00ednh L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch<\/b>, l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng \u0111\u01b0\u1ee3c t\u00ednh nh\u01b0 sau:<\/p>\n

E(R) = 3% + (0,6 x 4%) + (0,8 x 2%) + (-0,7 x 5%) + (1,3 x 9%) = 15,2%<\/p>\n

(Theo Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n L\u00ed thuy\u1ebft \u0111\u1ecbnh gi\u00e1 kinh doanh ch\u00eanh l\u1ec7ch (ti\u1ebfng Anh: Arbitrage Pricing Theory) l\u00e0 m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n d\u1ef1a tr\u00ean \u00fd t\u01b0\u1edfng r\u1eb1ng, l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng c\u1ee7a t\u00e0i s\u1ea3n \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng m\u1ed1i quan h\u1ec7 gi\u1eefa l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng v\u00e0 c\u00e1c bi\u1ebfn kinh t\u1ebf v\u0129 m\u00f4.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[414],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/23928"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=23928"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/23928\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=23928"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=23928"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=23928"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}