Xu t phát t các k t qu phân tích h i quy trong Ch ng IV, ta th y r ng các nhà đ u t đ u t có th t l a ch n các c phi u mình a thích đ đ u t và xây d ng riêng m t danh m c cho mình. đánh giá kh n ng sinh
l i c a danh m c này, nhà đ u t đánh giá kh n ng sinh l i c a t ng c phi u và t tr ng c a chúng trong danh m c. Kh n ng sinh l i c a m i c phi u nên đu c đánh giá g m các y u t th tr ng, quy mô, BM và tính
thanh kho n. Sau khi có k t qu l i nhu n c a t ng c phi u này d a trên t tr ng c a chúng trong danh m c có th đánh giá kh n ng l i nhu n c a danh m c nhà đ u t l a ch n
Bên c nh đó, nh ng h n ch c a đ tài này c ng là g i ý cho nh ng nghiên c u ti p theo.
DANH M C TÀI LI U THAM KH O TÀI LI U TI NG VI T
1. inh Tr ng H ng, (2008), ng d ng m t s mô hình đ u t tài chính hi n
đ i vào th tr ng ch ng khoán Vi t Nam, Lu n v n Th c s H Kinh T
TP HCM.
2. Tr n Ng c Th , (2007), Tài chính doanh nghi p hi n đ i, i H c Kinh T TP.HCM, NXB Th ng Kê
TÀI LI U TI NG ANH
3. Ajili and Souad (2005), The Capital Asset Pricing Model And The Three Factor Model Of Fama And French Revisited In The Case Of France, Working Paper
4. Banz (1980),The Relationship Between Return And Market Value of Common Stock, Journal of Fmanctal Economtcs 9 (1981) 3318 .
5. Blume and Stambaugh (1983), Biases in Computed Return: An Application to the Size Effect, Working Paper No. 2-83
6. Fama, Eugene F., & French, Kenneth R. (1992). The cross-Section of Expected Stock Returns. Journal of Finance, 47, 427-465.
7. Fama, Eugene F., & French, Kenneth R. (1993). Common risk factor in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
8. Gregory Connor and Sanjay Sehgal (2001), Tests of the Fama and French Model in India, ISSN 0956-8549-379
9. Hassan Ghalibaf Asl, Mehdi Karimi & Elham Eghbali (2012), Studying Liquidity Premium Pricing, Size, Value and Risk of Market in Tehran Stock
Exchange, International Journal of Economics and Finance; Vol. 4, No. 9; 2012: 164-174
10. Jitipol Puksamatanan (2011), The liquidity and stock returns: Empirical
evidence in Thailand, National Institute of Development Administration (NIDA) - Business
11. Liu, Weimin. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82,631-671.
12. Michael A. O’Brien (2007), “Fama and French Factors in Australia”, UQ Business School
13. Nartea and Djajadikerta (2005), The Size and Book-to-Market Effects and The Fama – French Three Factor Model in Small Markets: Preliminary Findings from New Zealand, Australia:100 Joondalup Drive Joondalup Drive WA 6027
14. Nima Billou (2004), “Tests of the CAPM and Fama and French three factor model”, Master of Business Administration of Simon Fraser University 15. Rouwenhorst, K.G. (1999), “Local return factors and turnover in emerging stock markets”, Journal of Finance, Vol. 54, pp. 1439-64.
16. Vos, E. and Pepper, B. (1997), “The size and book to market effects in New Zealand”, New Zealand Investment Analyst, pp. 35 - 45
17. J Lischewski, S Voronkova (2012),” Size, value and liquidity. Do They Really Matter on an Emerging Stock Market? ZEW Discussion Papers, No. 10- 070
Website tham kh o
PH L C 1
DANH SÁCH CÁC DOANH NGHI P NIÊM Y T C KH O SÁT
STT
Mã CK (adsbygoogle = window.adsbygoogle || []).push({});
Tên Doanh Nghi p Sàn giao d ch ch ng khoán TP.HCM (HOSE)
1 ABT Doanh nghi p C ph n Xu t nh p kh u Thu s n B n Tre
2 ACL Doanh nghi p C ph n xu t nh p kh u th y s n C u Long An
Giang
3 AGF Doanh nghi p C ph n Xu t nh p kh u Th y s n An Giang
4 BBC Doanh nghi p C Ph n Bibica
5 BHS Doanh nghi p C ph n ng Biên Hòa
6 BMC Doanh nghi p C ph n Khoáng s n Bình nh
7 BMP Doanh nghi p C ph n Nh a Bình Minh
8 BT6 Doanh nghi p C ph n Beton 6
9 CYC Doanh nghi p C ph n g ch men Chang Yih
10 DHA Công ty C ph n Hóa An
11 DHG Doanh nghi p C ph n D c H u Giang
12 DMC Doanh nghi p C ph n xu t nh p kh u y t Domesco
13 DPM Doanh nghi p Phân bón và Hóa ch t D u khí
14 DPR Doanh nghi p C ph n cao su ng Phú
15 DRC Doanh nghi p C ph n cao su à N ng
16 GIL Doanh nghi p C ph n S n xu t Kinh doanh & Xu t nh p kh u Bình Th nh
17 GMC Doanh nghi p C ph n S n xu t Th ng m i May Sài Gòn
18 GMD Doanh nghi p C ph n i lý Liên hi p V n chuy n
19 GTA Doanh nghi p C ph n ch bi n g Thu n An
20 HAP Doanh nghi p C ph n Gi y H i Phòng
21 HAS Doanh nghi p C ph n Xây l p B u đi n Hà N i
22 HBC Doanh nghi p C ph n Xây d ng và Kinh doanh a c Hòa Bình
23 HDC Doanh nghi p C ph n phát tri n nhà Bà R a-V ng Tàu
24 HMC Doanh nghi p C ph n Kimkhí Thành ph H Chí Minh
26 HRC Doanh nghi p C ph n Cao su Hòa Bình
27 HT1 Doanh nghi p C ph n xi m ng Hà Tiên 1
28 HTV Doanh nghi p C ph n V n t i Hà Tiên
29 ICF Doanh nghi p C ph n u t Th ng m i Th y s n (adsbygoogle = window.adsbygoogle || []).push({});
30 IMP Doanh nghi p C ph n D c ph m Imexpharm
31 ITA Doanh nghi p C ph n u t & Công nghi p Tân T o
32 KDC Doanh nghi p C ph n Kinh ô
33 KHA Doanh nghi p C ph n Xu t nh p kh u Khánh H i
34 KHP Doanh nghi p C ph n i n L c Khánh Hòa
35 LAF CTCP Ch bi n Hàng xu t kh u Long An
36 LBM CTCP Khoáng s n và V t li u Xây d ng Lâm ng
37 LGC Doanh nghi p C ph n C khí - i n L Gia
38 LSS Doanh nghi p C ph n mía đ ng Lam S n
39 MCP Doanh nghi p C ph n In và Bao bì M Châu
40 MHC Doanh nghi p C ph n Hàng H i Hà N i
41 MPC Doanh nghi p C ph n Th y h i s n Minh Phú
42 NAV Doanh nghi p C ph n Nam Vi t
43 NSC Doanh nghi p C ph n Gi ng cây tr ng Trung ng
44 NTL Doanh nghi p C ph n Phát tri n ô Th T Liêm
45 PAC Doanh nghi p C ph n Pin c quy Mi n Nam
46 PGC Doanh nghi p C ph n Gas Petrolimex
47 PJT Doanh nghi p C ph n V n t i X ng d u ng th y
48 PNC Doanh nghi p C ph n V n hóa Ph ng Nam
49 PVD Doanh nghi p C ph n Khoan và D ch v khoan d u khí
50 PVT T ng Công ty C ph n V n t i D u khí
51 RAL Doanh nghi p C ph n Bóng đèn phích n c R ng ông
52 SAV Doanh nghi p C ph n H p tác kinh t và Xu t nh p kh u Savimex
53 SC5 Doanh nghi p C ph n Lisemco 5
54 SCD Doanh nghi p C ph n N c gi i khát Ch ng D ng
55 SFC Doanh nghi p C ph n Nhiên li u Sài Gòn
56 SFI Doanh nghi p C ph n i lý v n T i SAFI
57 SJD Doanh nghi p C ph n Th y đi n C n n
59 SSC Doanh nghi p C ph n Gi ng cây tr ng Mi n Nam
60 TAC Doanh nghi p C ph n D u th c v t T ng An (adsbygoogle = window.adsbygoogle || []).push({});
61 TCM Doanh nghi p C ph n D t may- u t -Th ng m i Thành Công
62 TCR Doanh nghi p C ph n G m s Taiceira
63 TDH Doanh nghi p C ph n phát tri n nhà Th c
64 TMS Doanh nghi p C ph n Th ng M i Sài Gòn Kho v n
65 TNA Doanh nghi p C Ph n Th ng M i Xu t Nh p Kh u Thiên Nam
66 TNC Doanh nghi p C ph n Cao su Th ng Nh t
67 TPC Doanh nghi p C ph n nh a Tân i H ng
68 TRC Doanh nghi p C ph n cao su Tây Ninh
69 TS4 Doanh nghi p C ph n Th y s n s 4
70 TTP Doanh nghi p C ph n Bao bì nh a Tân Ti n
71 UIC Doanh nghi p C ph n u t Phát tri n Nhà và ô Th IDICO
72 VHC Doanh nghi p C ph n V nh Hoàn
73 VIP Doanh nghi p C ph n V n t i X ng d u VIPCO
74 VIS Doanh nghi p C ph n Thép Vi t Ý
75 VNM Doanh nghi p C ph n S a Vi t Nam
76 VPK Doanh nghi p C ph n Bao bì d u th c v t
77 VSC Doanh nghi p C ph n Container Vi t Nam
78 VSH Doanh nghi p C ph n Thu đi n V nh S n - Sông Hinh 79 VTB Doanh nghi p C ph n i n t Tân Bình
PH L C 2
K T QU H I QUY MÔ HÌNH 1
R it–R ft = ai+ bi× MKTt + si × SMBt + hi × HMLt + i (1) 1. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c S/L(BE/ME)
Dependent Variable: SL Method: Least Squares Date: 12/01/13 Time: 20:08 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000491 0.010310 -0.047602 0.9622
MKT 0.827584 0.108312 7.640767 0.0000
SMB 1.366524 0.225966 6.047485 0.0000
HML 0.167802 0.156815 1.070064 0.2897
R-squared 0.694438 Mean dependent var 0.015872
Adjusted R-squared 0.676105 S.D. dependent var 0.125392 S.E. of regression 0.071363 Akaike info criterion -2.370891 Sum squared resid 0.254633 Schwarz criterion -2.223558 Log likelihood 68.01405 Hannan-Quinn criter. -2.314070 (adsbygoogle = window.adsbygoogle || []).push({});
F-statistic 37.87772 Durbin-Watson stat 2.344425
Prob(F-statistic) 0.000000
2. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c S/M(BE/ME)
Dependent Variable: SM Method: Least Squares Date: 12/01/13 Time: 20:11 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010370 0.006462 1.604767 0.1148
MKT 1.015670 0.067887 14.96113 0.0000
HML 0.563730 0.098288 5.735504 0.0000
R-squared 0.852742 Mean dependent var 0.010522
Adjusted R-squared 0.843907 S.D. dependent var 0.113212 S.E. of regression 0.044729 Akaike info criterion -3.305219 Sum squared resid 0.100033 Schwarz criterion -3.157887 Log likelihood 93.24091 Hannan-Quinn criter. -3.248399
F-statistic 96.51351 Durbin-Watson stat 2.141343
Prob(F-statistic) 0.000000
3. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c S/H(BE/ME)
Dependent Variable: SH Method: Least Squares Date: 12/01/13 Time: 20:32 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.012843 0.007641 1.680835 0.0990
MKT 1.145924 0.080269 14.27600 0.0000
SMB 1.393225 0.167462 8.319638 0.0000
HML 0.803243 0.116215 6.911720 0.0000
R-squared 0.862657 Mean dependent var 0.020691
Adjusted R-squared 0.854417 S.D. dependent var 0.138609 S.E. of regression 0.052887 Akaike info criterion -2.970142 Sum squared resid 0.139850 Schwarz criterion -2.822810 Log likelihood 84.19383 Hannan-Quinn criter. -2.913322
F-statistic 104.6842 Durbin-Watson stat 1.744511
Prob(F-statistic) 0.000000
4. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c B/L(BE/ME)
Dependent Variable: BL Method: Least Squares Date: 12/01/13 Time: 20:33 Sample: 1 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.012425 0.006807 1.825167 0.0740
MKT 1.110371 0.071513 15.52674 0.0000 (adsbygoogle = window.adsbygoogle || []).push({});
SMB 0.128528 0.149195 0.861476 0.3931
HML -0.025721 0.103538 -0.248421 0.8048
R-squared 0.832221 Mean dependent var 0.006961
Adjusted R-squared 0.822154 S.D. dependent var 0.111728 S.E. of regression 0.047118 Akaike info criterion -3.201144 Sum squared resid 0.111004 Schwarz criterion -3.053812 Log likelihood 90.43090 Hannan-Quinn criter. -3.144324
F-statistic 82.67036 Durbin-Watson stat 1.881842
Prob(F-statistic) 0.000000
5. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c B/M(BE/ME)
Dependent Variable: BM Method: Least Squares Date: 12/01/13 Time: 20:34 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.011207 0.008909 1.257911 0.2143
MKT 1.086778 0.093595 11.61151 0.0000
SMB 0.289786 0.195263 1.484080 0.1441
HML 0.221658 0.135508 1.635760 0.1082
R-squared 0.743466 Mean dependent var 0.006151
Adjusted R-squared 0.728074 S.D. dependent var 0.118256 S.E. of regression 0.061666 Akaike info criterion -2.662965 Sum squared resid 0.190138 Schwarz criterion -2.515633 Log likelihood 75.90005 Hannan-Quinn criter. -2.606145
F-statistic 48.30201 Durbin-Watson stat 2.104452
6. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c B/H(BE/ME)
Dependent Variable: BH Method: Least Squares Date: 12/01/13 Time: 20:37 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000943 0.009941 0.094867 0.9248
MKT 1.200240 0.104434 11.49279 0.0000
SMB 0.029983 0.217876 0.137617 0.8911
HML 1.372442 0.151201 9.076947 0.0000
R-squared 0.842994 Mean dependent var -0.021630
Adjusted R-squared 0.833574 S.D. dependent var 0.168667 S.E. of regression 0.068808 Akaike info criterion -2.443802 Sum squared resid 0.236728 Schwarz criterion -2.296470 Log likelihood 69.98265 Hannan-Quinn criter. -2.386982
F-statistic 89.48655 Durbin-Watson stat 2.023318
Prob(F-statistic) 0.000000
7. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c S/I(turnover) (adsbygoogle = window.adsbygoogle || []).push({});
Dependent Variable: SI_TURNOVER Method: Least Squares
Date: 12/01/13 Time: 20:38 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.014164 0.008465 1.673177 0.1005
MKT 1.073503 0.088928 12.07160 0.0000
SMB 1.114928 0.185527 6.009531 0.0000
HML 0.558629 0.128751 4.338838 0.0001
R-squared 0.802600 Mean dependent var 0.020203
Adjusted R-squared 0.790756 S.D. dependent var 0.128088 S.E. of regression 0.058592 Akaike info criterion -2.765261 Sum squared resid 0.171649 Schwarz criterion -2.617929
Log likelihood 78.66205 Hannan-Quinn criter. -2.708441
F-statistic 67.76447 Durbin-Watson stat 1.809052
Prob(F-statistic) 0.000000
8. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c S/M(turnover)
Dependent Variable: SM_TURNOVER Method: Least Squares
Date: 12/01/13 Time: 20:41 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.012378 0.006745 1.835147 0.0724
MKT 1.057164 0.070855 14.92006 0.0000
SMB 0.883107 0.147822 5.974126 0.0000
HML 0.650054 0.102585 6.336751 0.0000
R-squared 0.857047 Mean dependent var 0.013485
Adjusted R-squared 0.848470 S.D. dependent var 0.119928 S.E. of regression 0.046684 Akaike info criterion -3.219640 Sum squared resid 0.108970 Schwarz criterion -3.072307 Log likelihood 90.93027 Hannan-Quinn criter. -3.162819
F-statistic 99.92186 Durbin-Watson stat 1.936510
Prob(F-statistic) 0.000000
9. Ki m đ nh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c S/L(turnover)
Dependent Variable: SL_TURNOVER Method: Least Squares
Date: 12/01/13 Time: 20:43 Sample: 1 54
Included observations: 54 (adsbygoogle = window.adsbygoogle || []).push({});
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010011 0.007593 1.318562 0.1933
MKT 1.166810 0.079761 14.62884 0.0000
SMB 1.263068 0.166402 7.590481 0.0000
HML 0.613909 0.115479 5.316215 0.0000
R-squared 0.858620 Mean dependent var 0.017408
S.E. of regression 0.052552 Akaike info criterion -2.982849 Sum squared resid 0.138084 Schwarz criterion -2.835517 Log likelihood 84.53693 Hannan-Quinn criter. -2.926029
F-statistic 101.2193 Durbin-Watson stat 2.056600
Prob(F-statistic) 0.000000
10. Ki m đnh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c B/I(turnover)
Dependent Variable: BI_TURNOVER Method: Least Squares
Date: 12/01/13 Time: 20:45 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.015470 0.006574 2.353382 0.0226
MKT 1.162984 0.069058 16.84081 0.0000
SMB 0.135390 0.144072 0.939739 0.3519
HML 0.159817 0.099982 1.598456 0.1162
R-squared 0.855484 Mean dependent var 0.007794
Adjusted R-squared 0.846813 S.D. dependent var 0.116251 S.E. of regression 0.045500 Akaike info criterion -3.271036 Sum squared resid 0.103511 Schwarz criterion -3.123704 Log likelihood 92.31797 Hannan-Quinn criter. -3.214216
F-statistic 98.66079 Durbin-Watson stat 1.669932
Prob(F-statistic) 0.000000
11. Ki m đnh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c B/M(BE/ME)
Dependent Variable: BM_TURNOVER Method: Least Squares
Date: 12/01/13 Time: 20:47 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010977 0.007269 1.510090 0.1373
HML 0.310904 0.110555 2.812220 0.0070
R-squared 0.814230 Mean dependent var 0.005553 (adsbygoogle = window.adsbygoogle || []).push({});
Adjusted R-squared 0.803084 S.D. dependent var 0.113376 S.E. of regression 0.050311 Akaike info criterion -3.070001 Sum squared resid 0.126560 Schwarz criterion -2.922669 Log likelihood 86.89004 Hannan-Quinn criter. -3.013181
F-statistic 73.05024 Durbin-Watson stat 2.164565
Prob(F-statistic) 0.000000
12. Ki m đnh h i quy cho mô hình ba nhân t Fama - French đ i v i danh m c B/L(turnover)
Dependent Variable: BL_TURNOVER Method: Least Squares
Date: 12/01/13 Time: 20:48 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C -0.007107 0.007349 -0.967173 0.3381
MKT 0.989456 0.077198 12.81719 0.0000
SMB 0.621665 0.161054 3.859984 0.0003
HML 0.213492 0.111767 1.910143 0.0619
R-squared 0.794049 Mean dependent var -0.005525
Adjusted R-squared 0.781692 S.D. dependent var 0.108859 S.E. of regression 0.050863 Akaike info criterion -3.048180 Sum squared resid 0.129352 Schwarz criterion -2.900848