Bài giảng cfa

BỘ THÔNG TIN VÀ TRUYỀN THÔNG HỌC VIỆN CÔNG NGHỆ BƯU CHÍNH VIỄN THƠNG ***** BÀI GIẢNG MƠN CFA PT IT Mã mơn học: FIA 1402 (03 tín chỉ) Biên soạn ThS Nguyễn Đình Tú Hà Nội – 2015 MỤC LỤC Lời mở đầu 3 1.1 Capital Budgeting 1.2 Cost of Capital .13 1.3 Measures of leverage .24 1.4 Dividends and Share Repurchases 24 1.5 Working capital management 33 1.6 Corporate Governance 33 Chủ đề 2: Market Organization .36 2.1 Market organization and structure .36 2.2 Security market indices 56 2.3 Market efficiency 63 Chủ đề 3: Equity Analysis and Valuation .68 3.1 Overview of equity securities 68 3.2 Introduction to industry and company analysis .75 3.3 Equity valuation: concepts and basic tools 85 IT Chủ đề 1: Corporate Finance Chủ đề 4: Portfolio Management 108 4.1 Portfolio management overview 108 4.2 Portfolio risk and return 114 4.3 Portfolio planning and construction 152 PT LỜI NĨI ĐẦU Hiện chương trình đào tạo ngành Kế tốn Học viện Cơng nghệ Bưu Viễn thơng ngồi mơn học hướng tới ngành đào tạo cịn có mơn học sử dụng tài liệu tiếng Anh chuyên ngành “CFA”, “Introduction to ACCA” Những mơn học ngồi việc bổ sung kiến thức tiếng Anh chn ngành cịn cung cấp kiến thức tài kế toán theo hướng cập nhật chuẩn mực quốc tế Tuy nhiên với vốn tiếng Anh hạn chế PT IT sinh viên Học viện, tạo khơng khó khăn cơng tác giảng dạy học tập môn học Nhận thấy vấn đề trên, kết hợp với chủ trương Học viện thực biên soạn giảng, giáo trình, slide cho mơn học nhằm đồng hóa tài liệu, tác giả thực biên soạn giảng “CFA” dành riêng cho giảng viên sinh viên ngành kế toán Học viện Bài giảng thực biên soạn tinh thần tiếp thu nội dung kiến thức từ chứng tài quốc tế CFA kế thừa phát huy điểm mạnh giảng trường đại học danh tiếng đồng thời dựa kinh nghiệm thực tế giảng dạy tác giả Bài giảng hệ thống nội dung theo đề cương chi tiết Học viện ban hành: Corporate Finance, Market Organization, Equity Analysis and Valuation, Portfolio Management Để giảng thực trở thành tài liệu hữu ích phục vụ cho hoạt động giảng dạy học tập, tác giả mong muốn nhận góp ý với tinh thần xây dựng, chia sẻ chân thành từ phía độc giả Xin chân thành cảm ơn! Hà Nội 06/2015 CHỦ BIÊN NGUYỄN ĐÌNH TÚ Chủ đề 1: Corporate Finance Chủ đề 1: Corporate Finance 1.1 Capital Budgeting Thecapital budgetingprocess istheprocessofidentifying a n d evaluating capitalprojects, thatis,projectswherethecashflowtothefirmwillbereceivedoveraperiod longerthan ayear.Anycorporate decisionswith animpact onfuture earningscanbe examined usingthisframework Decisions about whether tobuyanewmachine, expand businessinanother geographic area,movethecorporate headquarters toCleveland,orreplaceadeliverytruck, tonameafew,canbeexamined usingacapitalbudgetinganalysis PT IT Foranumberofgoodreasons,capitalbudgeting m a y bethemostimportant responsibility t h a t afinancialmanagerhas.First,becauseacapitalbudgeting d e c i s i o n often involvesthepurchase ofcostlylong-term a s s e t s withlivesofmanyyears,the decisionsmademaydetermine t h e future successofthefirm.Second,theprinciples underlying t h e capitalbudgeting p r o c e s s alsoapplytoother corporatedecisions, such Asworking capitalmanagement a n d making strategicmergersandacquisitions Finally, making goodcapitalbudgeting d e c i s i o n s isconsistent withmanagement’s primary goalofmaximizing shareholdervalue The capitalbudgetingprocesshasfour administrativesteps: Step1: Ideageneration.The mostimportantstepinthecapital budgetingprocess Isgeneratinggoodproject i deas Ideascancomefrom anumberofsources includingsenior management,functionaldivisions, em pl o ye e s , orsources outside t hecompany Step2: Analyzingprojectproposals.Becausethedecision toacceptorrejectacapital project isbasedontheproject’s expectedfuture cashflows,acashflowforecast must bemadeforeachproducttodetermine i t s expectedprofitability Step3: Createthefirm-widecapitalbudget.Firmsmust prioritizeprofitableprojects according t o thetiming oftheproject’s cashflows,availablecompany resources, andthecompany’s overallstrategic plan Many projectsthatareattractive i n d i v i d u a l l y maynotmakesensestrategically Step4: Monitoring d e c i s i o n s andconductingapost-audit Itisimportanttofollowuponallcapital budgetingdecisions Ananalyst should compare theactual resultstotheprojectedresults, andproject managers should explain why projectionsdidordid notmatch actual performance Becausethecapital budgetingprocess isonly asgood astheestimates ofthe inputs into themodel usedtoforecast cashflows,apost4 Chủ đề 1: Corporate Finance auditshould beusedtoidentifysystematic errorsintheforecasting processandimprove companyoperations Categories ofCapital Budgeting Projects Capital budgetingprojects maybedivided intothefollowing categories: Replacementprojectstomaintain t h e businessarenormallymadewithout detailedanalysis.The onlyissuesarewhethertheexisting operationsshould continue and, PT IT ifso,whetherexisting procedureso r processesshould bemaintained Replacementprojectsfor costreductiondeterminewhetherequipmentthat is obsolete, butstillusable, shouldbereplaced Afairlydetailed anal ysi s isnecessary inthiscase Expansionprojectsaretaken onto growthebusiness andinvolveacomplexdecision-making processbecause theyrequire anexplicit forecastoffuture demand.Averydetailed anal ysisisrequired Newproduct ormarketdevelopmentalsoentails acomplex decision-makingprocessthat willrequire adetailed an al ysi s dueto thelargeamount o f uncertainty involved Mandatoryprojectsmayberequired b yagovernmental agencyorinsurance company a n d typically involvesafety-related o r environmentalconcerns.These projects typicall ygeneratelittletonorevenue, buttheyaccompany n e w revenue producingprojects unde rt aken bythecompany Otherprojects.Someprojects arenot easilyanalyzed throughthecapital budgetingprocess Suchprojects mayinclude apetproject ofsenior management(e.g., corporateperks) orahighriskendeavor that isdifficulttoanalyzewith typical capital budgetingassessment methods(e.g.,research anddevelopmentprojects) The capitalbudgetingprocessinvolvesfivekeyprinciples: Decisionsarebasedoncash flows, notaccountingincome.Therelevant cashflowsto consider aspartofthecapital budgetingprocessareincrementalcashflows,the changesincashflowsthatwilloccuriftheproject isundertaken Sunk costs arecoststhat cannotb e avoided, eveniftheproject i s not undertaken Becausethesecostsarenotaffected bytheaccept/rejectdecision, t h e y should notbeincludedintheanalysis.Anexample ofasunk costisaconsultingfeepaid toa marketingresearch firmtoestimate demandforanewproductprior toadecision ontheproject Externalitiesaretheeffectstheacceptance o f aproject m a yhaveonother firm cashflows.The primaryoneisanegative externality calledcannibalization, whichoccurswhen anewproject Chủ đề 1: Corporate Finance t akes salesfrom anexisting product.When c o n s i d e r i n g externalities,thefullimplicationofthe newproject ( lossinsalesofexisting products)should betaken intoaccount Anexample ofcannibalizationiswhen asoftdrink companyi n t r o d u c e s adietversion ofanexistingbeverage.The analystshould subtractthelostsalesoftheexisting beveragefrom theexpected newsales ofthedietversion whenestimatedincrementalproject cash flows.Apositive externalityexistswhen doingtheproject wouldhaveapositive effectonsalesofa firm'sother productlines Aproject hasaconventionalcashflowpattern ifthesignonthecashflows changes onlyonce,with IT oneormore cashoutflows followedbyoneormore cashinflows Anunconventionalcashflowpattern hasmore thanonesignchange Forexample, aproject mighthaveaninitial investmentoutflow, aseriesofcash inflows, andacashoutflow forassetretirementcostsattheendoftheproject's life Cash flowsarebasedonopportunity costs.Opportunity costsarecashflowsthat afirmwilllosebyundertakingtheproject underanalysis.These arecashflowsgenerated byanassetthefirmalreadyownsthatwould beforgone iftheproject underconsiderationisundertaken.Opportunitycostsshould beincludedinproject costs.Forexample,whenbuildingaplant, evenifthefirmalreadyownstheland, Thecostofthelandshould bechargedtotheproject becauseitcouldbesoldifnot used PT Thetiming ofcash flowsisimportant Capital budgetingdecisions accountforthe timevalueofmoney,which meansthat cashflowsreceivedearlierareworth morethan cashflowstobereceivedlater Cash flowsareanalyzedonanafter-tax basis.Theimpact oftaxesmust beconsidered whenanalyzing allcapital budgetingprojects Firmvalueisbasedoncashflowsthey gettokeep,notthosetheysendtothegovernment Financingcostsarereflectedintheproject'srequiredrateofreturn.Donotconsider financing costsspecifictotheproject whenestimatingincrementalcashflows.The discountrateusedinthecapital budgetinganalysistakesaccountofthefirm'scostofcapital Onlyprojects thatareexpected toreturn morethan thecostofthecapital needed tofund themwillincreasethevalueofthe firm Independentvs.MutuallyExclusiveProjects Independent projectsareprojects thatareunrelatedtoeachother andallowforeach project t o beevaluated basedonitsownprofitability.Forexample, ifprojects AandBareindependent,andboth projectsareprofitable, then thefirmcould acceptboth projects Mutuallyexclusive means that onlyoneproject inasetofpossible projects Chủ đề 1: Corporate Finance canbeaccepted andthat theprojects compete with eachother Ifprojects AandB weremutuallyexclusive,thefirmcould accepteither ProjectAorProject B,but notboth.Acapital budgetingdecision between twodifferentstampingmachines with different costsandoutput would beanexample ofchoosing between twomutually exclusiveprojects Project Sequencing Someprojectsmust beundertakeninacertain order,orsequence, sothat investing in aproject today createstheopportunitytoinvest inother projects inthefuture For example, if a project undertakentoday is profitable, that maycreate the opportunity to invest in a second project a year from now However, if the project undertakentoday turns out to be unprofitable, the firm willnot investinthesecond project UnlimitedFunds vs.Capital R a t i o n i n g PT IT Ifafirmhasunlimitedaccesstocapital, t hefirmcanundertakeallprojects withexpected returnst h a t exceedthecostofcapital Many firmshaveconstraintsonthe amount o f capital theycanraiseandmust usecapitalrationing Ifafirm'sprofitable project opportunitiesexceedtheamount offundsavailable, thefirmmust ration, or prioritize,itscapital expenditureswith thegoalofachieving themaximum increase in valueforshareholders givenitsavailable capital Net PresentValue(NPV) Wefirstexamined thecalculation ofnetpresent value(NPV) inQuantitative Methods The NPVisthesumofthepresent valuesofalltheexpected incrementalcashflowsifaproject i s undertaken.The discountrateusedisthefirm'scostofcapital, adjustedf o r theriskleveloftheproject Foranormal project, with aninitial cashoutflow followed byaseriesofexpected after-tax cashinflows, theNPV isthe present valueoftheexpected inflows minus the initial costoftheproject where: CF0=initial investmentoutlay (anegative cashflow) CFt=after-tax c a s h flowattime t k =required r a t e ofreturn f o r project Chủ đề 1: Corporate Finance Apositive NPV project isexpected toincrease shareholder wealth, anegative NPV project isexpected todecreaseshareholder wealth, and azeroNPV project hasno expected effectonshareholder wealth Forindependent projects, theNPV decisionruleissimply toaccept anyproject with a positive NPV andtorejectanyproject with anegative NPV Example: NPV analysis Using the project cash flows presented Table 1, compute the NPV of each project’s cash flows and determine for each project whether it should be accepted or rejected Assume that the cost of capital is 10% Table 1: Expected Net after - Tax Cash Flows Project A Project B -$2,000 1,000 800 600 200 -$2,000 200 600 800 1,200 PT Answer: IT Year (t) Both Project A and Project B have positive NPVs, so both should be accepted InternalRateofReturn ( IRR) Foranormal project,theinternalrate ofreturn (IRR) isthediscount ratethat makes thepresent valueoftheexpected incremental after-tax cashinflowsjust equaltothe initial costoftheproject Moregenerally, theIRRisthediscount ratethat makes thepresent valuesofaproject'sestimated cashinflowsequaltothepresent valueofthe project's estimated cashoutflows.That i s ,IRRisthediscount r a t e that makesthe following relationship hold: PV(inflows) =PV(outflows) The IRRisalsothediscount r a t e forwhich theNPV ofaproject i s equaltozero: Chủ đề 1: Corporate Finance TocalculatetheIRR,youmayusethetrial-and-error method That i s ,just keepguessing IRRsuntil yougettheright oneoryoumayuseafinancial c a l c u l a t o r IRRdecisionrule:First, determinetherequired r a t e ofreturn f o r agivenproject.Thisisusually thefirm'scostofcapital Note that the required rateofreturn maybehigher orlowerthan thefirm'scostofcapital toadjust fordifferences between project riskandthefirm'saverageproject risk IfIRR>therequired r a t e ofreturn, a c c e p t theproject Example: IRR IT IfIRR