NGHIÊN CỨU KHẢ NĂNG GIẢI THÍCH CỦA MÔ HÌNH LONG CHEN VÀ LU ZHANG CHO TỶ SUẤT SINH LỢI TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM.PDF


TR
  

















 














- 



MC LC
Trang ph 
L
Mc lc
Danh mc bng biu
Danh mc t vit tt
1. Gii thiu 2
2. T 4
n vn CAPM 4
 ca Fama- French ( 1993) 4
2.3 Bng chng thc nghim v u lc c 
 gii. 5
 ca Long Chen  Lu Zhang 9
3. D liu 16
3.1 D liu 16
 u 16
4. Kt qu u 24
 d liu 24
4.2 Kim tra ng ca chui d liu 29
 gi 32
4.4 Kt qu kinh 33

5. Kt lun 56






2






Ba danh mc  . 24
Ba danh m 26
Ba danh m 27
Bng 4.4: Th cn gi 28
4.5: Th c-BE/ME 29
4.6: 














 31
Bng 4.7: Ma tra r
m
-r
f
, SMB, HML , r
INV
, r
ROA
32
Bng 4.8 : Ht tri ca 6 danh m BE/ME v
t th ng 34
4.9: 

t tri 6 

 BE/ME vi ba
 r
m
-r
f
, SMB, HML 37
Bng 4.10 : Phi ro c r
m
-r
f
, SMB, HML 41

B
2
u chnh c French
42
4.12 : 

 t tri 6 

  BE/ME vi
 r
m
-r
f
, r
INV
, r
ROA
43
Bng 4.13: Phi ro c r
m
-r
f
, r
INV
, r
ROA
47
B
2
u chnh c 

 Lu Zhang. 48
4.15 : 

 t tri 6 

  BE/ME vi
 r
m
-r
f
, r
INV
, r
ROA
, SMB, HML 49
Bng 4.16: Phi ro c r
m
-r
f
, r
INV
, r
ROA
, , SMB, HML 53
B
2
u chnh c 54


3

DANH M VIT TT

BE/ME : t s  s  th ng
CAPM n vn
OLS  nht)
HOSE : s giao dch ch H 
TSSL : t sut sinh li
SGDCK : s giao dch ch
FF : Fama - French
LL : Long Chen  Lu Zhang
1

t
u kinh kh  Lu Zhang
(2010) cho TSSL cc phiu n 2008  2013.
Kt qu  ca Long Chen  Lu Zhang cho th
th ng git cho TSSL ca th ng ch 
t gi cho TSSL. Khi ti
 Lu Zhang vi 
n th  tt nht cho
TSSL ca chn 2008  2013, tin 
3  ca Long Chen  Lu Zhang cu
ng ca c  ( th ng,
    t sut sinh l
sn)  (r
m
- r
f

, SMB, HML, r
INV
) gi

T khoTSSL: t sut sinh li, HOSE:s giao dch ch H 
Minh, SMB: ph, r
INV
: ph
2


 ng cht trong nhng th ng quan tri vi
 gii, ph n ca mt qu 
c din bin nn kinh t ca qui vt
trong nhnng vn quan tri v
mt trong nhnh nhn th.
ng trong nn kinh t, hp di vi nhi
 cu  th ng ch
tr t quan tri.
Mng v mn
vn (CAPM) cer (1965) gp phi nhng phn bin v mt
thc nghim.
1992, Fama-u d liu  ng ch 
nhn thi quan h v. Hai
n tht s   
y, thu nh s  th ng (BE/ME). Cui
   . 
 gi  xu  gi phiu. M
 c kinh  nhiu th ng ch
 i ni :  M        u ca Michael

   alid, Elahai Mohamed Ahlem (2007), Souad
i vi th ng ch t
s i vi th n.
G 
ca Fama- c mi quan h u gia TSSL trung
 i TSSL c  c trong ngn h   i quan h  
c chiu ging kit qu 
phn mn. Trong khi m French
c kinh  nhi gi Vi a
3

Long Chen- Lu Zhang hc kinh thc nghim   ng.
u  ca
   th ng Vit Nam nh  u kh  i
: th  sut sinh ln.  
nha ch u kh a
     Lu Zhang cho t sut sinh l   ng
ch u trong lu
Ma lut qu u thc nghim v 
 sut sinh l ng ch
Dt s kt qu u thc nghic bi
cu c Long Chen  
 a Long Chen- sut sinh li 
th ng cht Nam t-French hay

Lu dng d liu chui thi gian ca c thu thp trong giai
n 31/12/2013   kinh kh 
gi cho t sut sinh li ca danh mc.
Phi ca lun sau:
Phn 2: Tng quan nhm nhu v m

thuyc nghim.
Phu, g
c liu.
Phn 4: Kt qu u
Phn 5: Kt lun.
4


 ca Long Chen - nh tranh v
 ca Fama- trong ph
                Lu
  thc din tin c sn.

n vn CAPM
y mi quan h giWilliam
Sharpe (1964), Jack Treynor,John Litner (1965)).
r
i
- r
f
= 
im
* ( r
m
 r
f
)
r
i
:t sut sinh li k vng cn i

r
f
: t sut sinh li phi ri ro
r
m
: t sut sinh li k vng ca danh mc th ng

im
: h s beta th ng cn i
n v mi quan h gia ri nhun k vng.
i nhun k vng ca mt chng li nhun phi ri
ro (risk free) cng vi mt khop ri ro (risk premium) d ri ro
h thng ca chi ro phi h th
 ng danh m loi b
loi r

 ca Fama- French (1993)
 ng ch th
mi quan h vi  t s  
     m bao
g phi ng c phiy, thu nh
    s     h ng (BE/ME). [theo Banz (1981),

5

 dp cn hi quy chui thi gian c

r
i
 r

f
= i + 
im
.[r
m
 r
f
] + 
SMB,i
SMB + 
HML,i
HML + 

 r
f
t phi ri ro ( theo k 
 r
i
: t sut sinh li k vng ca danh mn i
 r
m
: TSSL k vng ca danh mc th ng
 SMB : ph  ,         a 3
danh m  ng nh (S/L, S/M, S/H) tr cho TSSL trung
a 3 danh m ng ln (B/L, B/M, B/H).
 HML : phch a hai danh
m            a hai danh
m
 
im

: h s hi quy th ng.
 
SMB,I
: h s h SMB.
 
HML,I
: h s h HML.
  : sai s ng
  : h s chn cch gia TSSL thc t
 TSSL k v.

2.3 Bng chng thc nghim v  u lc c     
 gii.
Nu ti M ca Nima Billou (2004).
Ti M, 
 u qu
c       i khong th   u t  n

CAPM

FF
= 0.13,  tin c
2
c

2
cng t n hiu qu i
CAPM. Sau khi Nima Billou m rng mu ra t 
6


CAPM

FF
= 0.19, R
2
c
2
ct
qu cho th  r ng chng
n t ra hiu qu c
gi sut sinh li ca ch

u ti Nht ca 
 Nh     ng bng chng v kh   ng c 
 ng cht B Elhaj
 dng mu gm t sut sinh l ca tt c
ch giao dch chng thi gian t
n 9/2007. Kt qu u cho thy  Nht B 
 sut sinh l nghch bi   sut sinh li
ng bi  hi nhng chc vn
 ng nhn t ra hiu qu i CAPM, ch
tr nhng danh m v ng thp. R
2
trung
a Fama French l 78.2% li R
2


 u ti New Zealand ca    

Nartea (2005)
T  
French trong th ng nh - Nhn  
  dng d liu t 284 ch khon thn 2002.
cm mng bng chnh nhng nh
ng ca ph   trong nn kinh t vi th
ng chng     nh ph   tr   
  kt qu
p vi nhc. Bryant 
dng d liu th ng chng thi gian 1971 ti
1993, nh ng mnh ca ph u ca ph
7

 (1997), s dng mu nh  n 1995 kt lun rng c 2
ph  n th ng ch  ng
nht   ng ch
 sut sinh l biu nh s 
trong vic ng danh mng
 n vic kinh kt qu ca  gi
tt c bing trong t sut sinh li ca danh m gii
   
hp v  M  
nh   i lp vi M
li, FF (R
2
i CAPM (R
2
36%) trong vic gi sut
sinh li  New Zealand.

u ti  c
  , m    F     Gregory Connor and Sanjay
Sehgal  u vi t           th
ng    ch p  
hii th ng ch. Th nht, c th ng, quy
  ph bin trong t sut sinh li ca ch hai, ci
quan h tuy a c phi       c gi  
a t sut sinh li trung c th ng, quy
     ng ph bin n t l  ng thu nhp,  
nh n t sut sinh li ca c phiuii lp vi th ng
ch. y d liu t t sut sinh li cua
364 c phiu t  R
2
trung 
  thy, vic ch
i qui tuy gi c t
sut sinh li c      c ca ch  i th ng
8

ch . Vi m n
d vic kinh doanh chu qu 

u ti c c-Ho Park
-Ho Park chi qui tuyi d liu t
868 c phiu trong khong thi gian t  
cng ch t y
rng trong khong thi gian (1984-      Fama -  
 gi sut sinh li ca ch 
CAPM t u cho th - French ch

 d  sut sinh li trong th ng chc trong
khong thi gian ngp trong khong th
Kt qu  ra rng R
2
 i khong tin c
Vi mng t bin th  i
 c t sut sinh li ca chc c
  r n
 gi sut sinh ln, s  
lan rng ca vic cng.

u ta Nopbhanon Homsud (2009)
        u v       
 dng s li ng ch 
m 421 c phi
SL. Kt qu l gi
phiu thut qu u cho thy vi
  tr 
y kh g gi sut sinh lt tr
cc tp
vi th ng ch  
9

French l tr tt cho vic gim ng
cn t sut sinh lng bin gi
vi bi. Kt qu 
2
hiu cha 6
danh m             
29.47%.

t c c mi quan h u
   i TSSL c  c trong ngn h   i quan h
c ching kit qu  phn
nn.

 ca Long Chen  Lu Zhang
t Q ca James Tobin
Nn t  d
 =
gi tr  th tr ng
Giá tr vn góp ca công ty
=




Nu q >  mang li li nhu
b ra.
Nu q < o ra li nhut
n mc hu dng t
Na.

 ca Long Chen  Lu Zhang
Long Chen  n gi thit t t c 
          thuy  kim
chc cho TSSL.

 
j1
j

j0 j0
1
r
1 a I / A
   




1

(1)
10

1   : 
1 :
a(I
j0
/A
j0
) 
khi 


 



- 


     


- 
 


 


- u c  dng vn ng nht, 
 s t gia chi  dng vn ca d   s dng
vn c.
(ROA)
- Vi ROA k vng cao s 
i ROA k vng thp. M
      vng d n m    a
11

i TSSL ngn hp bt ng
i kit qu 
-   (1) cho rng TSSL k vng bng ROA k vng chia 
 n. ROA k vng cao vp  t
chit khu cao. t chit khn thi p ROA d kin
cao nhm hin ca vn mi thp. Nu
t l chit kh  chng li ROA d ki
n ca vn m
y, ROA d kin thp   t l chit khu
thp. Nu t l chit khu  thp  ng ca ROA d kin
th  hia vn c

phn mi th u  .

Vi nhng lp lun v ng c Lu
 sau:
 Long Chen  Lu Zhang
r
i
 r
f
= i + 
MKT
.[r
m
 r
f
] + 
INV
r
INV
+ 
ROA
r
ROA
+ 

 r
f
t phi ri ro
 r
i

: t sut sinh li k vng ca danh mn i
 r
m
: TSSL k vng ca danh mc th ng
 r
INV
: ph
 r
ROA
: phn
 
MKT
: h s hi quy th ng.
 
INV
: h s h .
 
ROA
: h s h ROA.
  : sai s ng
  : h s chn c

12

 gi
Long Chen  Lu Zhang 
Fama-

 






I/A =
 �  �

+  à  


 à 
1


INV

-           MEX 
 (L), 40%
 (M) (H).
- 

 -n-B).
-  c vu:
S/L, S/M, S/H, B/L, B/M, B/H. (S,M l phi
n. L, M, H ldanh mc t l I/A thp, trung
 . Vi TSSL mi ch  trong danh m   ng
i trng s vi cha danh mc.
- (r
INV
)   

 --cao.

13



t ROA
 

.
-  
 MEX 

.
-  
MEX 
-  

-        c v  
hiu: S/L, S/M, S/H, B/L, B/M, B/H. (S,M l phiu
n. L, M, H l l ROA th
cao). T

.
14

- N(r
ROA
)  






Kt qu a Long Chen  i quan h c chiu gia
i vn  ng th i
quan h  chiu gii.

Cnh thc nghim c Lu Zhang (2009)

 NYSE, AMEX t
(CPRS).
Long Chen  Lu Zhang s dng chui th i
bnh danh mn bng.
 lt hi quy TSSL  ng
ng - 25 danh mc); kh  
 t qu   10 danh mc d       n ca
c d-Score ca Ohlson (1980)); 
phip x phiu NYSE, AMEX 
15

         );  ng  sn (chia
c dn); thu nhp bt ng ( da  thay
i thu nha c phiu so v c
lch chun ca s  i trong thu nh      c
); BE/ME (5 danh mc) th ng ca
vn c phn theo  mt qu thu
c cho th  gi    so vi kt qu hi quy    
Fama-French cho thu qu ch ng thi  s  
MKT

,

INV

ROA
phn l n,   gi
thi s  = 0.
t v n v
t Fama   ca Long Chen  Lu Zhang, ta thc
tm ng c th    u
 t sut sinh ln a ch  tin
 ca Long Chen  Lu Zhang v
    ca Fama        n vn CAPM,  th
ng ch th n s giao dch
chn tip theo.


16


3.1 D licu
u s dng m n
SGDCK TPHCM (HOSE). u ch s d 
 i ro
kit qu (Fama  French (1993)ng thi  Fama  French 
  ch chn nh     n c ph    
SGDCK TPHCM      c. S    u 288
c thu thn 01n 31/12/2013.
 phica u chnh cui mi tun giao dch (c
u chnh c tc c phiu, c phi ng, c tc tin mt).  phiu 

c thu thp t website

home.shtml.
 y t website
hu h    i vi BCTC gia
  i v
t phi rt cn phi ri ro. u s dt

 .
T sut sinh li th  s -Index.

u
  liu
 T sut sinh li theo tun ca danh mc
Da cui tun ca c phiu u chnh c tc
c phiu, c phing, c tc tin mt.
     = 
gi ng ca cui tun t
á đó      1


17

TSSL tun ca danh mtun ca c phiu i
trng s vi chtrong danh mc.

 T sut sinh li th ng
 phiu trong mu ch phi TPHCM
 sut sinh li th  i trong ch s VN-Index.
   _ = 

_

_
1


VN_Index
t
:Ch s i tun t
VN_Index
t1
:Ch s i tun t-1

ng danh mc theo -French
  v ng) (ME)
D liu thu thp t website
 m 
n 2013 d chia c phiu trong mu 
 (B).
Nh  
.
Nhc b 
nghin.

  s  th ng ca c phiu (BE/ME)
D liu thu thc t website
 liu ta l
  dng ta s ngho li. cu
m-1 t n 2013 da c phiu trong mu ta sp
xp theo th t  l ng

vc thp (LOW--M), cao(HIGH-H).
18

T c
S/L, S/M, S/H, B/L, B/M, B/H vi
- S/L danh mc bao g, BE/ME thp.
- S/M danh mc bao g
- S/H danh mc bao g, BE/ME cao.
- B/L danh mc bao gm cn, BE/ME thp.
- B/M danh mc bao g
- B/H danh mc bao gn, BE/ME cao.
TSSL tun ca danh mc
vi trng s vi cha danh mc ( va mi
chc chia cho t v
TSSL tun ca mi danh m 

  - Small minus Big)
ch TSSL tu v
n
 =
S/L + S/M + S/H
3

B/L + B/M + B/H
3


   (HML- High minus Low)
ch TSSL tu
BE/ME thp.

 =
S/H + B/H
2

S/L + B/L
2


19


 n (I/A)
D liu thu thc t website

u ca Long Chen  Lu Zhang (2010) v
chia c phiu trong m l 30%-40%-ng
c thp (LOW--M), cao (HIGH-H).
- I/A  n hn c
nh, Bng sn   
tn hn c nh, Bng s
-1 ) / Tn-1.


 r
INV
 ng bt h -L
-B) v(LOW--M), cao (HIGH-
H). c 6 danh mc S/L, S/M, S/H, B/L, B/M, B/H vi
- S/L danh mc bao g, I/A thp.
- S/M danh mc bao g

- S/H danh mc bao g, I/A cao.
- B/L danh mc bao g, I/A thp.
20

- B/M danh mc bao g, I/A .
- B/H danh mc bao g, I/A cao.
TSSL tun ca danh mc
vi trng s vi cha danh mc  va mi
chc chia cho t v
 INV (r
INV
ch TSSL tun cp vi



=
S/L + B/L
2

S/H + B/H
2


 n (ROA)
D liu thu thc t website
Theo Long Chen  Lu Zhang
  phi
30% c c xp h c.   tr
 m bo r c bi
 la ch tr  quan: b

d tr ng cng c kt qu cc thu thng tin
ti Vi  thu th-1.
 phiu trong m (LOW-L), trung
-M), cao (HIGH-H).
  ROA (r
ROA
)
 ng bt h -L
-B) v(LOW--M), cao (HIGH-
H). c 6 danh mc S/L, S/M, S/H, B/L, B/M, B/H vi
- S/L danh mc bao g, ROA thp.
- S/M danh mc bao g
- S/H danh mc bao g, ROA cao.
- B/L danh mc bao g, ROA thp.
- B/M danh mc bao g
21

- B/H danh mc bao g, ROA cao.
TSSL tun ca danh mc
vi trng s vi cha danh mc  va mi
chc chia cho t v
 ROA (r
ROA
ch TSSL tun ci
p


=
S/H + B/H
2


S/L + B/L
2



 liu
 King
Mt chui thc gng nu k vi theo
th  ng thi hi          i
 ph thu tr c  thuc
.
V mu ki c th hi





= 





= (

 )
2
= 
2





, 


= [



 



 

]
2
= 
