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B GIO DC V O TO
TRNG I HC KINH T TP.HCM
-----------------
CNG TRNH D THI
GII THNG NGHIN CU KHOA HC SINH VIN
NH KINH T TR NM 2011
TN CNG TRNH:
NG DNG M HNH CAPM V FAMA FRENCH D BO
T SUT SINH LI KINH DOANH CHNG KHON TRN
TH TRNG VIT NAM

THUC NHM NGNH: KHOA HC KINH T






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MC LC

Trang
Tm tt ti ....................................................................................................................................... 6
1. L do chn ti ............................................................................................................................. 6
2. Mc ch nghin cu ....................................................................................................................... 6
3. Ni dung nghin cu ....................................................................................................................... 6
4. Phng php nghin cu ................................................................................................................. 7
5. ng gp v hng pht trin ti ............................................................................................... 7
6. Nhng t vit tt .............................................................................................................................. 8

Chng 1: M hnh CAPM, Fama French v mt s m hnh ph bin khc thc
hin quyt nh u t trn th trng chng khon Vit Nam ................................................. 9
1.1 Gi chng khon v cc yu t nh hng n gi chng khon .............................................. 9
1.1.1 Vai tr ca vic nh gi trong vic a ra mt quyt nh u t ................................... 9
1.1.2 Cc yu t nh hng n gi chng khon ..................................................................... 10
1.1.2.1 Nhm yu t kinh t.................................................................................................. 10
1.1.2.2 Nhm yu t phi kinh t ........................................................................................... 11
1.1.2.3 Nhm yu t th trng ............................................................................................ 11
1.2 Mt s m hnh nh gi chng khon ph bin ....................................................................... 12
1.2.1 M hnh nh gi ti sn vn CAPM ................................................................................ 12
1.2.1.1 Cc gi nh ca m hnh CAPM ............................................................................ 12
1.2.1.2 M hnh CAPM vi nhn t phn b ri ro th trng........................................... 12
1.2.1.3 M rng cc gi nh ca CAPM ............................................................................ 13
1.2.2 M hnh Fama French ba nhn t...................................................................................... 15
1.2.2.1 Nhng nhn t khc ngoi phn b ri ro th trng nh hng n
t sut sinh li c phiu.......................................................................................................... 15
1.2.2.2 M hnh Fama French ba nhn t ............................................................................ 16
1.2.3 Hai m hnh nh gi chng khon ph bin v u khuyt im ca chng ................. 18
1.2.3.1 K thut chit khu dng tin .................................................................................. 18
1.2.3.2 K thut nh gi tng i...................................................................................... 23
1.3 So snh cc m hnh .................................................................................................................... 27
1.3.1 So snh CAPM v Fama French ....................................................................................... 27
1.3.2 So snh CAPM Fama French v cc m hnh nh gi khc ....................................... 27
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1.4 Thc tin p dng CAPM v Fama French mt s nc trn th gii ................................. 28
1.4.1 cc nc pht trin ......................................................................................................... 28
1.4.2 cc nc ang pht trin ................................................................................................ 31

Chng 2: Thc trng ca vic ng dng cc m hnh trong u t chng khon ti
Vit Nam ............................................................................................................................................. 36
2.1 Cc yu t nh hng n gi chng khon Vit Nam hin nay .......................................... 36
2.1.1 C hi tng trng cao....................................................................................................... 36
2.1.2 Nhng nhn t v m, ng ch l: Lm pht-Li sut-T gi .................................... 36
2.1.3 Bt cn xng thng tin ....................................................................................................... 39
2.1.4 Chnh sch ca nh nc ................................................................................................... 39
2.1.5 Hnh vi by n .................................................................................................................. 42
2.2 Nhng hn ch v kh khn trong qu trnh nh gi th trng chng khon Vit Nam... 43
2.2.1 Thiu thng tin .................................................................................................................. 43
2.2.2 Nhng giao dch c vn ................................................................................................ 44
2.2.3 Tiu chun k ton ............................................................................................................. 45
2.2.4 Quy m nh nn thiu s so snh...................................................................................... 45
2.2.5 Vn cng ty gia nh ..................................................................................................... 46
2.2.6 Trnh hiu bit chung v chng khon cn hn ch ................................................... 46
2.3 Tnh hnh vn dng cc m hnh d bo t sut sinh li kinh doanh chng khon
Vit Nam hin nay .............................................................................................................................. 46
2.3.1 Cc m hnh s dng phng php chit khu dng tin................................................ 48
2.3.1.1 Thc trng mt s chng khon c nh gi theo phng php ny. ............... 48
2.3.1.2 Nhng kh khn trong vic p dng ti Vit Nam. ................................................ 51
2.3.2 Cc m hnh s dng phng php nh gi tng i. .................................................. 54
2.3.2.1 Thc trng s dng m hnh ny trn th trng Vit Nam. .................................. 54
2.3.2.2 Nhng kh khn trong vic p dng ti Vit Nam. ................................................ 55
2.4 Nhng tc ng ca vic nh gi sai n th trng chng khon Vit Nam ........................ 58
2.5 S cn thit phi c mt m hnh d bo t sut sinh li trong u t chng khon
Vit Nam. ............................................................................................................................................ 60

Chng 3: Kim nh m hnh CAPM v Fama French d bo t sut sinh li trong
vic kinh doanh trn th trng chng khon Vit Nam ........................................................... 64
3.1 p dng CAPM v Fama French vo th trng chng khon Vit Nam ............................... 64
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3.1.1 iu kin p dng m hnh ........................................................................................... 64
3.1.2 Phng php nghin cu ................................................................................................... 65
3.1.2.1 Xc nh cch tnh ton cc bin trong m hnh ..................................................... 65
3.1.2.2 Cc phng php phn tch d liu .......................................................................... 67
3.1.2.3 D liu nghin cu.................................................................................................... 67
3.2 c lng t sut sinh li k vng bng m hnh CAPM ....................................................... 68
3.2.1 Phn tch d liu s b ....................................................................................................... 68
3.2.2 Kt qu hi quy .................................................................................................................. 68
3.2.3 Kim nh t tng quan ................................................................................................... 69
3.2.4 Kim nh phng sai thay i ......................................................................................... 70
3.3 c lng t sut sinh li k vng bng m hnh Fama French ............................................. 70
3.3.1 Phn tch d liu s b ....................................................................................................... 70
3.3.2 Kim nh cc gi thit thng k ....................................................................................... 71
3.3.3 Kt qu hi quy .................................................................................................................. 72
3.3.4 Kim nh t tng quan ................................................................................................... 74
3.3.5 Kim nh phng sai thay i ......................................................................................... 74
3.4 So snh kt qu gia cc m hnh .............................................................................................. 75
3.5 Nhng cn nhc khi p dng hai m hnh trn .......................................................................... 75

Chng 4: p dng m hnh CAPM v Fama French nh gi chng khon v a
ra kin ngh u t............................................................................................................................ 77
4.1 Xc nh chng khon c gi cao v nh gi thp trn sn HOSE..................................... 77
4.1.1 Phng php x l d liu ................................................................................................. 77
4.1.2 Kt qu phn tch ................................................................................................................ 84
4.2 Khuyn ngh u t ..................................................................................................................... 87

Phn kt lun ..................................................................................................................................... 88
Ti liu tham kho ............................................................................................................................ 89
Ph lc
Ph lc 1: Tm tt tc ng qua li gia cc nhn t nh hng n gi chng khon ................ 91
Ph lc 2: Thng k cc phng php nh gi ................................................................................ 92
Ph lc 3: Cc c phiu c chn lm mu nghin cu ................................................................ 95
Ph lc 4: Kim nh s ph hp ca m hnh CAPM Vit Nam ............................................... 97
Ph lc 5: Kt qu kim nh t tng quan m hnh CAPM .......................................................100
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Ph lc 6: Kt qu kim nh phng sai thay i m hnh CAPM .............................................101
Ph lc 7: Kim nh s ph hp ca m hnh FF3FM Vit Nam.............................................102
Ph lc 8: Kim nh a cng tuyn trong m hnh FF3FM. ........................................................105
Ph lc 9: Kim nh t tng quan m hnh FF3FM. ..................................................................106
Ph lc 10: Kim nh phng sai thay i m hnh FF3FM. ......................................................107
Ph lc 11: Cc chng khon c chn d bo bng hai m hnh CAPM v FF3FM .........108
Ph lc 12: Phiu kho st ...............................................................................................................110
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TM TT TI
1. L do chn ti
hn 10 nm k t khi th trng chng khon Vit Nam hnh thnh tuy cng c nhng
thnh tu nht nh nhng vn cn nhiu yu km v tn ti khng t ri ro. Hin nay,
nc ta tn ti a s l cc nh u t c nhn v kinh doanh ch yu da vo nhng khuyn
ngh ca cc cng ty chng khon c nh gi bng phng php chit khu dng tin
hoc phng php tng i. Tuy nhin, vi tnh hnh bin ng ca th trng hin nay th
cc phng php ny t ra km hiu qu v khng th d bo c nhng chuyn bin ca
th trng nh u t c th thc hin quyt nh kinh doanh mt cch linh ng hn.
Do vy, vic nghin cu ng dng cc l thuyt u t ti chnh hin i vo TTCKVN
trong giai on hin nay l mt vic ht sc quan trng v cp thit. Hn na, c nhiu
nghin cu trn th gii trong vic ng dng cc l thuyt u t ti chnh vo th trng
chng khon, c bit l cc nghin cu thc nghim trn cc th trng chng khon
cc nc mi ni cho nhng kt qu c ngha v cng thit thc. iu cng khng
nh thm tnh ng n v tnh thc nghim ca cc m hnh. Thy c s cn thit ca
vic vn dng cc m hnh d on th trng chng khon, chng ti quyt nh nghin
cu ti ng dng m hnh CAPM v Fama French d bo t sut sinh li kinh
doanh chng khon trn th trng Vit Nam.

2. Mc ch nghin cu
Hin nay Vit Nam cha thy ng dng mt m hnh d bo t sut sinh li no, tuy
nhin thc trng th trng chng khon Vit Nam hin nay cho thy s cn thit phi ng
dng cc m hnh kinh t - ti chnh xc nh ri ro v li nhun ca c phiu. p ng
tiu ch ny c th k n hai m hnh ni ting l m hnh nh gi ti sn vn CAPM v m
hnh 3 nhn t Fama-French. Hai m hnh trn c kim nh mt s nc trn th gii
v ng dng trong kinh doanh kh thnh cng. Bi nghin cu ng trn quan im ca mt
nh u t nhm mc ch kim nh kh nng ng dng 2 m hnh trn vo TTCKVN
gii thiu thm mt cng c cho cc nh u t c th a ra quyt nh kinh doanh mt
cch hiu qu nht.

3. Ni dung nghin cu
3.1 i tng nghin cu
i tng nghin cu l cc m hnh u t ti chnh hin i nh: m hnh nh gi ti
sn vn (CAPM), m hnh ba nhn t Fama-French cng vi cc phng php nh gi ph
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bin nh: Phng php chit khu dng tin (bao gm: m hnh hin gi c tc, hin gi
dng tin hot ng, hin gi dng tin vn c phn) v phng php nh gi tng i (bao
gm: gi trn thu nhp, gi trn dng tin, gi trn s sch, gi trn doanh thu mi c phn)

3.2 Phm vi nghin cu
Vi mc ch nghin cu nh trn th ti ch ch trng vo phn tch v x l d liu
a ra kt qu ca cc m hnh v cc khuyn ngh u t m khng i su vo phn tch
th trng a ra quyt nh. Mi quyt nh u ph thuc v k nng v s thch ca
mi nh u t
Nghin cu da trn mu d liu quan st l nhng d liu ca cc cng ty nim yt trn
S giao dch chng khon Thnh ph H Ch Minh t thng 1/2007 n thng thng 12/2010
bao gm: gi ng ca trung bnh hng thng, ch s VN-Index, li sut phi ri ro v cc d
liu cn thit khc.

4 Phng php nghin cu
Bng vic nghin cu cc l thuyt u t ti chnh hiu r bn cht v iu kin p dng
kt hp vi nghin cu cc kt qu thc nghim t cc m hnh th gii, c bit l cc
kt qu thc nghim trn cc th trng chng khon cc quc gia pht trin nh M, c,
Nht bn, New Zealand v Php cng vi cc quc gia th trng mi ni nh n , Hn
quc, Thi lan v i loan so snh v i chiu khi p dng vo th trng chng khon
Vit nam song song vi tm ra cc nhc im m cc phng php hin ang p dng
kinh doanh chng khon ti Vit nam.

5. ng gp v hng pht trin ca ti.
Trong bi nghin cu ny chng cung cp cho cc nh u t mt cng c phn tch v
d bo t sut sinh li ca chng khon v danh mc u t. iu ny s c ch cho cc nh
u t trong vic quyt nh nn nm gi nhng danh mc hay c phiu no, ng thi cng
s cho chng ta mt nh gi, kim nh cc yu t c nh hng i vi TTCKVN. Vi
ti nghin cu ny, ti hy vng cc kt qu ca n s gip cho nh u t trong vic nhn
nh ri ro v li nhun, cc xu hng bin ng ca th trng, hiu r bn cht ca cc
t sut sinh li, gi tr thc ca ti sn v h tr ra quyt nh.
Trong tng lai vi khong thi gian di hn v chui d liu y hn, thit ngh nn
nghin cu thm nhng nhn t khc m hnh t s ph hp cao hn. Thc t hin nay
c nhng m hnh 4 nhn t v 5 nhn t.
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6. Nhng t vit tt
CAPM: M hnh nh gi ti sn vn CAPM
FF3FM: M hnh Fama French ba nhn t (Fama French 3 Factors Model)
TSSL: T sut sinh li
CTCP: Cng ty c phn
TTCK VN: Th trng chng khon Vit Nam
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Chng 1: M hnh CAPM, Fama French v mt s m hnh ph bin khc thc
hin quyt nh u t trn th trng chng khon Vit Nam
1.1 Gi chng khon v cc yu t nh hng n gi chng khon
1.1.1 Vai tr ca vic nh gi trong vic a ra mt quyt nh u t
Vic nh gi chng khon c vai tr v cng to ln trong vic to ra mt th trng cng
bng v hot ng tri chy. Tht vy, khi nh gi mt cch chnh xc v gi chng khon
c cng b thng tin mt cch cng khai ra th trng iu ny to ra mt th trng cng
bng cho nhng nh u t vi nhau cng c c hi nh nhau do cng nhn c lng
thng tin nh nhau, s cng bng gia nh u t v doanh nghip ngi bn v ngi mua
u mua v bn c chng khon ca mnh vi mc gi c hai bn chp nhn v khng ai
chu thit c. V t s cng bng ca th trng s to nn s tri chy trong hot ng
ca th trng. Hng ho c mua bn cng khai, ng ngha vi vic s vn ng ca vn
nhanh hn, nh u t sm u t c tin ca mnh vo lnh vc quan tm, doanh nghip
sm nhn c vn u t vo hot ng sn xut. Tm li, vic nh gi chng khon
cng gp phn vo vic to nn mt th trng cng bng v c hiu qu hn.
Vic nh gi chng khon cng cn i c li ch ca cc bn tham gia th trng.
Nhng doanh nghip th pht hnh c phiu huy ng vn mun bn c chng khon vi
gi cng cao cng tt c th thu c lng vn ti a cho doanh nghip mnh. Nhng
nh u t th hi vng rng s mua c chng khon vi gi c li nht (thp nht c th)
ng thi c mc sinh li cao nht (t l li tc cao nht). Vic nh gi chng khon lm
cho s dung ho gia cung v cu, lm cho ngi mua v ngi bn khng ai c li hn
v khng ai b thit hn, to s cn i li ch gia cc bn tham gia th trng.
nh gi chng khon gip nh u t cn bng gia li nhun v ri ro.Tht vy, khi
nh gi chng khon nh u t s xc nh c gi tr thc ca chng khon, t sut sinh
li hin ti v d on c t sut sinh li tng lai cng vi nhng ri ro tng ng cho
mi c phiu . Do nh u t c th chn nhng c phiu ph hp vi khu v ri ro
mnh. Khng nhng th, nh gi chng khon cng xc nh xu hng ca chng khon
trn th trng t ban u nh u t c th nhn c nhng khon li nhun ln ti thi
im bt u trc khi gi nhanh chng leo thang.
nh gi chng khon gip nh u t to cho mnh mt danh mc cc chng khon
nhm gim ri ro, ti a ha li nhun tim nng. Ngoi ra n cng c th gip nh u t
m bo rng danh mc u t chng khon a dng v lun lun tun theo chin lc kinh
doanh trn c s cn nhc mc ri ro v t sut sinh li tng ng m danh mc mang
n.
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1.1.2 Cc yu t nh hng n gi chng khon
Trong th trng chng khon ni chung c rt nhiu yu t nh hng n gi chng
khon
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. Ta c th chia thnh 3 nhm yu t chnh, l: nhm yu t kinh t, nhm yu t
phi kinh t, v nhm yu t th trng.

1.1.2.1 Nhm yu t kinh t
S tin trin ca nn kinh t quc dn, tnh hnh kinh t khu vc v th gii: Thng
thng, gi chng khon c xu hng tng khi nn kinh t pht trin (v c xu hng gim
khi nn kinh t yu i). Bi khi , kh nng v kinh doanh c trin vng tt p, ngun lc
ti chnh tng ln, nhu cu cho u t ln hn nhiu so vi nhu cu tch lu v nh vy,
nhiu ngi s u t vo chng khon.
Lm pht: Lm pht tng thng l du hiu cho thy s tng trng ca nn kinh t s
khng bn vng, li sut s tng ln, kh nng thu li nhun ca doanh nghip b h thp
khin gi chng khon gim. Lm pht cng thp th cng c nhiu kh nng chng khon s
tng gi v ngc li.
Tnh hnh bin ng ca li sut: Li sut tng lm tng chi ph vay i vi doanh
nghip. Chi ph ny c chuyn cho cc c ng v n s h thp li nhun m doanh
nghip dng thanh ton c tc. Cng lc , c tc hin c t chng khon thng s t
ra khng my cnh tranh i vi nh u t tm li tc, s lm h chuyn hng sang tm
ngun thu nhp tt hn bt c ni no c li sut cao. Hn na, li sut tng cn gy tn
hi cho trin vng pht trin ca doanh nghip v n khuyn khch doanh nghip gi li tin
nhn ri, hn l liu lnh dng s tin m rng sn xut, kinh doanh. Chnh v vy, li sut
tng s dn n gi chng khon gim. Ngc li, li sut gim c tc ng tt cho doanh
nghip v chi ph vay gim v gi chng khon thng tng ln.
Tuy nhin, s dao ng ca li sut khng phi lun c tip theo bi s phn ng
tng ng v tri ngc ca gi chng khon. Ch khi no li sut phn nh xu hng ch
o trong lm pht, n mi tr thnh thc o hiu qu s dao ng ca th trng chng
khon. Li sut c xu hng gim khi lm pht gim v lm pht gim khin gi chng
khon tng cao hn. Ngc li, lm pht tng cng vi li sut, gi chng khon s gim.
Nhng nu lm pht khng phi l mt vn nghim trng v li sut tng, u t vo th
trng chng khon thng mang li nhiu li. Bi v trong trng hp ny, li sut tng l
do nn kinh t tng trng.

1
Ph lc 1
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Chnh sch thu ca Nh nc i vi thu nhp t chng khon: Nu khon thu nh
vo thu nhp t chng khon cao (hoc tng ln) s lm cho s ngi u t gim xung, t
lm cho gi chng khon gim.

1.1.2.2 Nhm yu t phi kinh t
Nhm nhn t nh hng ch yu tip theo l nhng yu t phi kinh t, bao gm s thay
i v cc iu kin chnh tr, x hi, qun s v d chin tranh hoc thay i c cu Chnh
ph, thay i v thi tit v nhng nhn t t nhin khc, v thay i v iu kin vn ho,
nh tin b v cng ngh. Nu nhng yu t ny c kh nng nh hng tch cc ti tnh
hnh kinh doanh ca doanh nghip th gi chng khon ca doanh nghip s tng ln.

1.1.2.3 Nhm yu t th trng
Nhng yu t ni ti gn lin vi bn thn doanh nghip, c th: yu t v k thut sn
xut nh: trang thit b my mc, cng ngh, tim nng nghin cu pht trin; yu t v th
trng tiu th nh: kh nng v cnh tranh v m rng th trng; ngoi ra cn c yu t v
con ngi nh: cht lng ban lnh o, trnh ngh nghip ca cng nhn; tnh trng ti
chnh ca doanh nghip. Khi c tn hiu rng doanh nghip m rng sn xut, nghin cu
hay c mt d n u t mi th gi c phiu ca doanh nghip s tng ln v hp dn nh
u t hn do kh nng sinh li trong tng lai ca doanh nghip l ln hn.
Tm l nh u t: Theo thuyt lng tin v gi chng khon, yu t cn bn trong bin
ng ca gi chng khon l s tng hay gim lng tin ca nh u t i vi tng lai ca
gi chng khon, ca li nhun doanh nghip v ca li tc c phn. Vo bt c thi im
no, trn th trng cng xut hin 2 nhm ngi: nhm ngi lc quan v nhm ngi bi
quan. Khi s tin do ngi lc quan u t chim nhiu hn, th trng s tng gi v khi s
tin bn ra ca ngi bi quan nhiu hn, th trng s h gi. T l gia 2 nhm ngi ny s
thay i tu theo cch din gii ca h v thng tin, c v chnh tr ln kinh doanh, cng nh
nhng nh gi ca h v nn kinh t ni chung v th trng chng khon ni ring. Chnh
v th, cng mt loi chng khon nhng nhm ngi lc quan s c quyt nh u t khc
vi nhm ngi bi quan. iu ny cng l gii ti sao trn th trng chng khon lc no
cng c ngi mua, ngi bn. Nu nh trn th trng nhm ngi bi quan nhiu hn nhm
ngi lc quan th lng chng khon bn ra s nhiu hn, gy ra hin tng cung nhiu cu
t, t y gi chng khon st gim. Ngc li, nu nhm ngi lc quan ng hn, cc
nh u t t ra tin tng vo trin vng tng lai ca th trng th gi chng khon s tng.
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Ngoi ra, cc hnh ng lng on, tung tin n, cc bin php k thut ca nh iu
hnh th trng, kin ca cc nh phn tch cng c th khin th gi chng khon bin
ng. Ty theo mc ch m h c th y gi chng khon ln cao hoc thp.

1.2 Mt s m hnh nh gi chng khon ph bin
1.2.1. M hnh nh gi ti sn vn CAPM
1.2.1.1. Cc gi nh ca m hnh CAPM
M hnh nh gi ti sn vn (Capital asset pricing model - CAPM) l m hnh m t mi
quan h gia ri ro v t sut sinh li mong i. Trong m hnh ny, t sut sinh li mong
i bng t sut sinh li phi ri ro (risk-free) cng vi mt khon b p ri ro da trn c s
ri ro ton h thng ca chng khon .
M hnh CAPM do ba nh kinh t William Sharpe, John Lintnet v Jack Treynor pht
trin t nhng nm 1960 v c c nhiu ng dng t n nay. Mc d cng c mt
s m hnh khc ra i gii thch ng thi th trng nhng m hnh CAPM l m hnh
n gin v mt khi nim v c kh nng ng dng st vi thc tin. Cng nh bt k m
hnh no khc, m hnh ny cng ch l mt s n gin ho hin thc nhng n vn cho
php chng ta rt ra nhng ng dng hu ch.
V l thuyt th trng vn xy dng trn l thuyt danh mc ca Markowitz cho nn n
s cn cc gi nh tng t, ngoi ra cn thm mt s gi nh sau:
(1) Tt c cc nh u t u l cc nh u t hiu qu Markowitz, h mong mun nm
gi danh mc nm trn ng bin hiu qu. V vy v tr chnh xc trn ng bin
hiu qu v danh mc c th c chn s ph thuc vo hm hu dng ri ro t
sut sinh li ca mi nh u t.
(2) Cc nh u t c th i vay v cho vay bt k s tin no li sut phi ri ro - r
f
.
(3) Tt c cc nh u t u c mong i thun nht: c ngha l, h c c lng cc
phn phi xc sut t sut sinh li trong tng lai ging ht nhau. V li, gi nh ny
c th b qua, lc cc khc bit trong cc gi tr mong i s khng ln nn cc
nh hng ca chng s khng ng k.
(4) Tt c cc nh u t c mt phm vi thi gian trong mt k nh nhau chng hn nh
mt thng, su thng hay mt nm. M hnh ny s c xy dng cho mt khong
thi gian gi nh v kt qu ca n cng s b nh hng bi vic gi nh khc i.
S khc nhau trong phm vi thi gian s i hi cc nh u t xc nh ra cc thc
o ri ro v cc ti sn phi ri ro ph hp vi cc phm vi thi gian u t ca h.
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(5) Tt c cc khon u t c th phn chia ty , c ngha l cc nh u t c th mua
v bn cc t l phn trm ca bt k ti sn hay danh mc no. Gi thuyt ny cho
php chng ta tho lun cc kt hp u t thnh cc ng cong lin tc. Thay i
gi thuyt ny s c mt cht nh hng n l thuyt.
(6) Khng c thu v chi ph giao dch lin quan ti vic mua v bn cc ti sn.
(7) Khng c lm pht hay bt k thay i no trong li sut, hoc lm pht c phn
nh mt cch y . y l mt gi nh ban u hp l v c th thay i c.
(8) Cc th trng vn trng thi cn bng. iu ny c ngha l chng ta bt u vi
tt c cc ti sn c nh gi ng vi mc ri ro ca chng.

1.2.1.2. M hnh CAPM vi nhn t phn b ri ro th trng
M hnh ny pht biu rng li nhun k vng ca mt chng khon bng li nhun
khng ri ro (risk-free) cng vi mt khon b p ri ro da trn c s ri ro ton h thng
ca chng khon . Ri ro khng mang tnh h thng khng c xem xt trong m hnh
ny do nh u t c th xy dng danh mc u t a dng ho loi b loi ri ro ny.
Trong m hnh CAPM, mi quan h gia li nhun v ri ro c din t bi cng thc
sau:
iM f M f i
R R E R R E | ] ) ( [ ) ( + =
Trong :
E(R
i
) l sut sinh li k vng ca mt danh mc ti sn i bt k
R
f
l li nhun khng ri ro
E(R
m
) l li nhun k vng ca danh mc th trng

iM
|
l h s beta th trng ca danh mc ti sn i.
V mt hnh hc, mi quan h gia li nhun k vng chng khon v h s ri ro beta
c biu din bng ng thng c tn gi l ng th trng chng khon SML (security
market line).
Hnh 1.2.1.2: Mi quan h gia li nhun chng khon v

14

Nhn vo hnh v ta thy rng: Khi h s beta cng cao th sut sinh li ca chng khon
cng cao v v vy, cng mang nhiu ri ro hn. Beta bng 0: Li nhun k vng ca chng
khon c beta bng 0 chnh l li nhun khng ri ro, R
f
. Beta bng 1: Li nhun k vng
ca chng khon c beta bng 1 chnh l li nhun th trng, E(R
m
). Quan h gia li nhun
v h s ri ro beta ca chng khon l quan h tuyn tnh c din t bi ng thng
SML c h s gc l E(R
m
) - R
f
.

1.2.1.3. M rng cc gi nh ca CAPM
S khc bit gia li sut i vay v li sut cho vay
Mt nh u t c th cho vay s tin khng gii hn li sut phi ri ro, nhng cng c
ngi nghi ng kh nng i vay mt s tin khng gii hn li sut phi ri ro v hu ht cc
nh u t phi tr mt phn b lin quan ti li sut c bn khi vay tin.
Nh u t c th cho vay vi li sut phi ri ro r
f
v u t s tin ny vo danh
mc F trn ng hiu qu. Nhng khng th m rng ng ny v pha phi
nu chng ta khng th i vay vi li sut phi ri ro u t thm vo danh mc
ri ro F.
Nh u t c th i vay vi li sut R
b
, lc im tip xc ca ng thng
xut pht t ng hiu qu xy ra ti im K. im ny cho ta thy c th vay
vi li sut R
b
v dng tin ny u t vo danh mc K m rng ng CML.
T y ta c th bit c rng, chng ta c th i vay hay cho vay nhng danh mc u
t khi chng ta i vay khng c li nhun nhiu nh khi gi nh l chng ta c th vay vi
li sut phi ri ro r
f,
trong trng hp ny ta phi tr li vay t l cao hn r
f
nn thu nhp
thun ca chng ta s t hn trng hp chng ta ch phi tr li vay l r
f.

CAPM vi trng hp c chi ph giao dch
Mt gi nh c s l khng c chi ph giao dch, do vy c nh u t s mua v bn cc
chng khon b nh gi sai cho n khi no h t n cc im nm trn ng SML.
Vi s hin din ca chi ph giao dch, cc nh u t s khng iu chnh tt c cc sai
lch gi c ny v trong mt s trng hp chi ph mua v bn cc chng khon b nh gi
sai s b tr tt c t sut sinh li vt tri tim nng.
Nh vy cc chng khon s nm rt gn vi ng SML nhng khng phi nm ng
trn , v ng SML l mt di tp hp cc chng khon hn l mt ng thng n
nht.
15

rng ca di phn b ny l mt hm s ca trong cc chi ph giao dch trong mt th
gii c mt t l ln cc giao dch c thc hin bi cc nh ch vi mt chi ph nh trn
mt c phn v vi cc nh mi gii hng chit khu sn c cho cc nh u t th di ny
c th kh hp.
CAPM vi trng hp c thu
Trong m hnh CAPM t sut sinh li m chng ta t c l t sut sinh li trc
thu.Trong thc t, t sut sinh li ca nh u t nh sau:
( )( )
( )( ) ( ) 1 1
e b cg i
i
b
P P T Div T
E R AT
P
+
=
T
cg
: thu nh trn li vn
T
i
: thu nh trn thu nhp c tc
Nu nh u t chu gnh nng v thu, iu ny s gy nn s khc bit ch yu trong
CML v SML gia cc nh u t.

1.2.2 M hnh Fama French ba nhn t
1.2.2.1 Nhng nhn t khc ngoi phn b ri ro th trng c nh hng n
t sut sinh li chng khon
Nhng pht hin bt thng khi p dng CAPM
Mt s hc gi khi p dng m hnh CAPM pht hin ra mt s im bt thng khin
CAPM khng cn ng nh trng hp bnh thng. Nhng im bt thng bao gm:
nh hng ca qui m cng ty Ngi ta pht hin rng chng khon ca cng ty c
gi tr th trng nh (gi tr vn ha th trng = gi mi c phiu x s lng c
phiu) em li li nhun cao hn c phiu ca cng ty c gi tr th trng ln, nu
nhng yu t khc nh nhau.
nh hng ca t s P/E v ME/BE Ngi ta cng thy rng c phiu ca nhng
cng ty c t s P/E( s nhn thu nhp) v t s ME/BE (gi tr th trng/gi tr s
sch) thp em li li nhun cao hn c phiu ca nhng cng ty c t s P/E v
ME/BE cao.
nh hng thng Ging Nhng ngi no nm gi c phiu trong khong thi gian
t thng 12 n thng 1 thng c li nhun cao hn so vi nhng thng khc. Tuy
vy, ngi ta cng lu mc d nh hng thng Ging c tm thy trong nhiu
nm nhng khng phi nm no cng xy ra.

16

Nhng pht hin ca Fama French
M hnh nh gi ti sn vn CAPM s dng nhn t n l beta so snh mt danh
mc vi danh mc th trng. H s R
2
o s ph hp ca hm hi quy trong m hnh
CAPM o lng t l ton b s thay i ca t sut sinh li chng khon do beta chng
khon gy ra. Tuy nhin, Gene Fama v Ken French nhn thy rng h s xc nh
hiu chnh
2
R cn tng ln v ng ngha vi vic cn thm bin s gii thch vo m hnh
R
2
ph hp hn.
Fama v French nhn thy rng t sut sinh li bnh qun ca chng khon thi k 1963 -
1990 M th beta ca CAPM khng gii thch c. Fama v French bt u quan st hai
lp c phiu c khuynh hng tt hn so vi ton b th trng. Th nht l c phiu gi tr
vn ha nh (small caps) hay cn gi l quy m nh. Th hai l c phiu c t s gi s sch
trn gi th trng BE/ME cao (hay cn gi l c phiu gi tr - value stock, v ngc li
c gi l c phiu tng trng growth stock). Sau h thm hai nhn t ny vo
CAPM phn nh s nhy cm ca danh mc i vi hai loi c phiu ny. Fama v
French (1993) xc nh mt m hnh vi ba nhn t ri ro chung i vi li nhun chng
khon l nhn t tng th th trng (R
m
-R
f
), nhn t lin quan n quy m cng ty
(SMB) v nhn t lin quan n t l gi s sch chia gi th trng BE/ME (HML).

1.2.2.2 M hnh Fama French ba nhn t
M hnh Fama French ba nhn t
Fama v French s dng cch tip cn hi quy theo dy s thi gian ca Black, Jensen
v Scholes (1972), vi m hnh:
( ) [ ( ) ] ( ) ( )
i f i m f i i
E R R E R R s E SMB h E HML | = + + +
Trong :
R
i
: l t sut sinh li ca chng khon i
R
m
: l t sut sinh li ca th trng
R
f
: l li sut phi ri ro
SMB: l t sut sinh li bnh qun ca danh mc c gi tr vn ha th trng nh tr
t sut sinh li bnh qun ca danh mc c gi tr vn ha th trng ln
HML: l chnh lch t sut sinh li ca cc c phiu gi tr so vi cc c phiu
tng trng

i
| , s
i
, h
i
, l cc bin phn nh nhy ca cc nhn t, trong
i
| cn c gi l
beta chng khon 3 nhn t ( phn bit vi beta chng khon trong CAPM).
17

Gii thch cc bin trong m hnh
M hnh Fama French 3 nhn t ch ra rng t sut sinh li vt tri ca chng khon
(R
i
-R
f
) chnh l phn ng gp ca t sut sinh li vt tri th trng [
i
| (R
m
-R
f
)] cng vi
phn b ca quy m (s
i
SMB) v phn b ca gi tr (h
i
HML).

T sut sinh li th trng vt tri:
Phn chnh lch R
m
-R
f
i khi cn c gi l phn b ca th trng (market premium)
hay t sut sinh li th trng vt tri, tc l phn tng thm ca t sut sinh li do ri ro
ca th trng mang li. Nhn t ny cng ging nh trong CAPM.

Phn b ca quy m:
SMB (Small Minus Big) o lng li nhun tng thm ca nh u t khi u t vo
nhng cng ty c gi tr vn ha th trng nh. Phn li nhun tng thm ny i khi cn
c gi l phn b ca quy m, tc l li nhun do quy m ca cng ty mang li.
Trong thc t, dy d liu SMB c tnh bng t sut sinh li bnh qun ca danh mc
gm 33% chng khon c gi tr vn ha th trng (quy m) nh tr cho t sut sinh li
bnh qun ca danh mc gm 33% chng khon c gi tr vn ha th trng (quy m) ln.
Mt SMB dng ch ra rng nhng chng khon c quy m nh lun tt hn (c t sut sinh
li cao hn) nhng chng khon c quy m ln. Mt SMB m th biu hin iu ngc li,
chng khon c quy m ln s tt hn chng khon c quy m nh.

Phn b gi tr:
HML (High Minus Low) o lng li nhun tng thm ca nh u t khi u t vo
nhng cng ty c t s gi tr s sch trn gi tr th trng (BE/ME) cao - tc l nhng c
phiu gi tr. HML cn c gi l phn b gi tr, tc l phn t sut sinh li tng thm do
c phiu gi tr mang li.
Nhn t HML c tnh bng t sut sinh li bnh qun ca danh mc gm 50% chng
khon c BE/ME cao nht tr t sut sinh li bnh qun ca danh mc gm 50% chng
khon c BE/ME thp nht. Mt HML dng th hin nhng c phiu gi tr tt hn so
vi nhng c phiu tng trng. Mt HML m th ngc li, th hin nhng c phiu
tng trng tt hn nhng c phiu gi tr.


18

1.2.3 Hai m hnh nh gi chng khon ph bin v u khuyt im ca chng
Bi v tnh quan trng v phc tp ca vic nh gi c phn thng, nhiu k thut nh
gi c xut thc hin nhim v ny trong thi gian qua. Tuy nhin, hai phng
php hin nay c s dng ph bin nht l:
K thut nh gi chit khu dng tin
K thut nh gi tng i
im quan trng ca hai phng php ny u da trn mt s nhn t chung. u tin,
tt c cc k thut u da vo t sut sinh li yu cu ca nh u t trn chng khon v
mc t sut sinh li ny tr thnh t l chit khu hay yu t chnh to thnh nn t l chit
khu. Th hai, tt c cc phng php nh gi u b nh hng bi t l tng trng d
on ca cc bin s c s dng trong phng php nh gi v d nh: c tc, thu nhp,
dng tin, hay doanh s. Nh vy, c hai yu t quan trng trn u phi c d on.

1.2.3.1 K thut chit khu dng tin (DCF)
M hnh hin gi c tc (DDM)
M hnh tng qut chit khu dng tin c tc:
M hnh chit khu dng tin c tc (DDM) c nh gi l m hnh c thc o r
rng v minh bch nht v c tc nh hng trc tip n nh u t. M hnh ny gi nh
gi tr c phn thng l hin gi ca cc mc c tc nhn c trong tng lai. N c m
t bi cng thc sau:
1 2
2
1
...
(1 ) (1 ) (1 ) (1 )
t
j t
t
DIV DIV DIV DIV
V
r r r r

=
= + + + =
+ + + +

Trong :
V
j
: gi tr hin ti ca c phn j
r: t sut sinh li c phn j
DIV
t
: mc c tc chi tr ti thi gian t.
M hnh chit khu thi gian nm gi c phiu c hn
Gi nh nh u t mua c phn v nm gi trong vng 1 nm, sau bn ra. xc
nh gi tr ca c phn ny bng cch s dng m hnh DDM, chng ta phi c lng mc
c tc (DIV
1
) trong thi k nm gi v gi bn mong i (P
1
) vo cui thi k nm gi (mt
nm sau), v c t sut sinh li mong i (r) ca nh u t. Khi :
1 1
(1 ) (1 )
j
DIV P
V
r r
= +
+ +

19

M hnh chit khu c tc trong thi gian v hn:
M hnh c tc tng trng mt giai on (m hnh Gordon ):
M hnh ny p dng cho c phiu ang trong giai on n nh vi tc tng trng
c tc khng i v bn vng vi cng thc tnh gi tr ni ti c gio s Myrin Gordon
xy dng nh sau:
Gi tr ni ti ca c tc = C tc k vng nm ti / (T l li nhun k vng T l
tng trng ca c tc)
M hnh t l tng trng cao tm thi
M hnh ny p dng cho c phiu c tc tng trng cao trong mt s nm sau tr
v tc tng trng n nh v bn vng. Cng thc nh sau:
Gi tr ni ti ca c phiu = Gi tr hin ti ca c tc trong thi gian tng trng nng
(giai on 1) + Gi tr hin ti ca c tc trong thi gian tng trng n nh (giai on 2)
Vn dng cch tnh ca cc m hnh trn, chng ta c th p dng cho nhng c phiu c
c tc pht trin theo nhiu gian on khc nhau, chng hn nh m hnh 3 giai on: c tc
tng trng mnh, gim dn, v tr li tng trng bn vng, hoc m hnh 2 giai on tng
trng n nh sau li tng trng nng.
Nhn chung, phng thc chit khu dng c tc tng i d s dng v em li
chnh xc kh cao nhng phng php cng c mt s khuyt im l n nh gi khng
chnh xc, v thng l h thp gi tr, ca nhng cng ty ang tng trng, khng chia c
tc hoc chia c tc vi t l thp so vi li nhun. M hnh ny cng xc nh ht gi tr ca
cc cng ty c nhiu ti sn hin hu m khng ng gp vo vic to ra c tc.

Hin gi dng tin hot ng (OFCF)
Dng tin hot ng l dng tin sau khi tr i cc chi ph thc t ( gi vn hng bn, chi
ph bn hng, chi ph qun l v chi ph chung) v sau khi tr i dng tin cn thit b
sung nhu cu vn lu ng v nhu cu u t ti sn c nh cn thit cho s tng trng,
pht trin trong tng lai ca doanh nghip nhng trc bt k khon chi tr no cho nh
cung cp vn. V chng lin quan n dng tin ca tt c nhng nh cung cp vn nn t l
chit khu l chi ph s dng vn bnh qun (WACC). y l m hnh rt hu dng khi so
snh nhng cng ty c cu trc vn khc nhau.
Khi , tng gi tr ca cng ty bng:
20

1
OFCF
(1 )
n
t
j t
t
V
WACC
=
=
+

Trong :
V
j
: gi tr cng ty j
N: l s thi k c gi nh l v hn
OFCF
t
: dng tin t do ca cng ty trong thi gian t
WACC: chi ph s dng vn bnh qun
Tng t nh qu trnh phn tch phng php DDM, nu cng ty sung mn bi dng
tin hot ng ca n t c mt s tng trng n nh th gi tr cng ty s c tnh
nh sau:
1
OF
OF
j
j CF
CF
V
WACC g
=

Trong :
OFCF
1
: dng tin t do trong thi k th 1 bng OFCF
0
*(1+g
OFCF
)
g
OFCF
: l t l tng trng c nh di hn ca dng tin t do
Tt nhin gi nh rng cng ty c k vng s tri qua mt s t l tng trng khc
nhau ca OFCF, nhng c lng ny c th chia thnh 3 hoc 4 giai on, nh chng
minh vi m hnh tng trng c tc cao tm thi.

Hin gi dng tin ca vn c phn (FCFE)
Dng tin vn c phn cn gi l dng tin t do bi v chng l phn cn li sau khi
thc hin cc ngha v ti chnh cho bn ti tr vn v chi tiu vn cn thit duy tr hot
ng ca cng ty v vy nn li sut chit khu l chi ph s dng vn c phn.
1
(1 )
n
t
j t
t
FCFE
V
r
=
=
+

Trong :
FCFE
t
: l dng tin t do vn c phn trong thi gian t
r: chi ph s dng vn c phn

Kh nng ng dng v nhng hn ch ca phng php
Phng php chit khu dng tin da trn dng tin k vng trong tng lai v t l
chit khu. Vi cc iu kin nh trn, phng php chit khu dng tin p dng d dng
nht i vi cc ti sn (hay doanh nghip) c dng tin hin ti dng v cc dng tin ny
21

c th c c tnh tng i chc chn trong tng lai, mc ri ro ca ti sn l yu t c
sn c s dng tnh li sut chit khu. Tuy nhin, chng rt ph thuc vo vic x l
v c on cc d liu u vo, c bit l trong th trng khng hiu qu, ca yu t t l
tng trng ca dng tin (c t l tng trng v khong thi gian tng trng) v c
lng t l chit khu.
Ngoi ra m hnh ny cn c iu chnh ph hp trong mt s trng hp sau:
Doanh nghip ang gp kh khn:
Doanh nghip ang gp kh khn thng c cc dng thu nhp v dng tin m v c th
tip tc b thua l trong thi gian ti. i vi cc doanh nghip ny, vic d on dng tin
l rt kh v kh nng ph sn rt cao. i vi cc doanh nghip sp ph sn, phng php
chit khu dng tin khng pht huy hiu qu bi v phng php ny ch xem xt cc doanh
nghip c tnh hnh kinh doanh pht t tng ng vi dng tin dng. Ngay c trong
trng hp nh gi cc doanh nghip sp ph sn c kh nng phc hi th ngi ta ch c
tnh cc dng tin khi chng cho gi tr dng v gi tr hin ti ca dng tin m s cho kt
qu gi tr vn ch s hu hay gi tr ca doanh nghip m. (Khi duy tr ti sn n mt mc
gii hn s m bo gi c phiu doanh nghip khng gim di zero v gi c phiu khng
b m).
Doanh nghip c tnh chu k:
Cc khon thu nhp v dng tin ca doanh nghip c tnh chu k c xu hng bin ng
theo chu k ca nn kinh t - tng khi nn kinh t tng trng v gim khi nn kinh t suy
thoi. Khi p dng phng php chit khu dng tin nh gi cc doanh nghip c tnh
chu k th cc dng tin c tnh s tng i n nh, tuy nhin kt qu c th khc i trong
trng hp nh phn tch mun a thm vo phng php nh gi cc d bo v thi im
v giai on khng khong, giai on phc hi ca nn kinh t. Tng t nh cc doanh
nghip ang gp kh khn nh trnh by trn, trong giai on nn kinh t khng hong,
cc doanh nghip c tnh chu k cng thng c cc khon thu nhp v dng tin m. Do ,
vic cn c vo cc d bo v thi im v tnh hnh thay i ca nn kinh t c tnh
dng tin d kin ca cc doanh nghip chu k trn s tr nn kh khn, cc d bo cng
mang tnh cht lc quan th cc gi tr dng tin c tnh cng cao. Tuy nhin, cc d bo v
xu hng kinh t vn phi c a ra xem xt trc khi p dng cc phng php nh gi
trn.
Doanh nghip c ti sn khng hu dng:
Phng php chit khu dng tin phn nh gi tr ca ton b ti sn to ra dng tin. Nu
mt doanh nghip c cc ti sn khng hu dng (khng sn sinh ra dng tin), gi tr cc ti
22

sn ny s khng c phn nh trong gi tr c c t phng php chit khu dng tin.
i vi ti sn di mc hu dng th c nh gi thp hn trong phng php chit khu
dng tin. Gi tr cc ti sn ny phi c tnh ring v sau nhp vo kt qu nh gi.
Doanh nghip c bng pht minh hay quyn chn sn phm:
Doanh nghip thng c bng pht minh hay quyn chn sn phm l nhng ti sn c gi tr
nhng khng hu dng trong vic sn sinh ra dng tin trong hin ti hoc khng c trin
vng to ra dng tin trong tng lai gn. Trong trng hp ny, kt qu nh gi t phng
php chit khu dng tin s thp hn gi tr thc ca doanh nghip. gii quyt vn
ny, cc ti sn phi c nh gi trn th trng m hoc nh gi qua m hnh nh gi
quyn chn, sau nhp kt qu tnh c vo kt qu nh gi t phng php chit khu
dng tin.
Doanh nghip ang trong qu trnh ti c cu:
Doanh nghip ang trong qu trnh ti c cu thng bn ti sn, mua thm ti sn hoc thay
i c cu vn c ng v chnh sch c tc. Mi thay i trn s khin vic c tnh cc
dng tin d kin tr nn kh khn hn v tc ng n yu t ri ro ca doanh nghip. S
dng s liu trong qu kh c th phn nh khng ng v gi tr ca cc doanh nghip ny.
Tuy vy, ta vn c th nh gi c cc doanh nghip ny ngay c khi doanh nghip c cc
thay i v chnh sch u t v chnh sch ti chnh vi iu kin dng tin d kin phi
phn nh c tc ng ca cc thay i ny trong thi gian sp ti v li sut chit khu
phi c iu chnh phn nh c hot ng kinh doanh mi v mc ri ro ti chnh
ca doanh nghip.
Doanh nghip lin quan n cc trng hp thu tm:
Khi s dng cc m hnh nh gi ta phi xem xt t nht 2 vn lin quan n vic thu
tm doanh nghip. Vn th nht l c s tha hip trong vic mua li hay khng v c th
tnh c gi tr ca doanh nghip mua hay khng? Gi tr ca doanh nghip mua li c th
nh gi c nhng yu cu phi c cc gi nh v cch thc mua li v tc ng d kin
ca vic mua li ln dng tin. Vn th hai, c bit l trong trng hp mua li gia cc
i th cnh tranh, cc thay i v qun l sau khi mua li nh hng nh th no ln dng
tin v yu t ri ro ca doanh nghip. Tc ng ca cc thay i trn phi c a vo
dng tin c tnh v li sut chit khu lm c s tnh gi tr doanh nghip.
Doanh nghip t nhn:
Vn ln nht trong vic s dng cc m hnh nh gi bng cch chit khu dng tin
nh gi doanh nghip t nhn l phi o lng c mc ri ro ca doanh nghip ( t
tnh li sut chit khu) bi v hu ht cc m hnh ri ro/li nhun u yu cu phi c cc
23

thng s v ri ro c c tnh t gi ca cc ti sn trong qu kh. V cc doanh nghip t
nhn khng c chng khon giao dch trn th trng nn khng th tnh c cc thng s
ri ro ca cc doanh nghip ny. Gii php trong trng hp ny l nn xem xt mc ri ro
ca cc doanh nghip c th so snh c chng khon giao dch trn th trng, hoc cch
khc nh lng ri ro ca doanh nghip t nhn l tham kho cc s liu k ton c sn
cc doanh nghip ny.

1.2.3.2 K thut nh gi tng i
Gi trn thu nhp P/E
Phng php P/E hay cn gi l m hnh s nhn thu nhp da trn nhng khi nim c
bn l gi tr ca bt k u t no cng iu c quy v gi tr hin ti ca cc thu nhp
trong tng lai. Trong trng hp c phn thng, thu nhp m nh u t c c l li
nhun rng ca cng ty. Do , nh u t c th nh gi bng cch xc nh bao nhiu
ng m h sn sang b ra c mt ng thu nhp k vng ( y s trnh by vic nh
gi trong thi gian tiu biu l 1 nm). Chng hn nu nh u t sn sng b ra gp 10 ln
c mt ng thu nhp k vng , th gi tr ca mt ng c phn c thu nhp 2$ l 20$.
Chng ta c th tnh s nhn thng dng nh sau:
S nhn thu nhp = t s gi/thu nhp (P/E)
= gi th trng hin ti/ thu nhp k vng trong 12 thng.
Tnh ton trn ch ra cho chng ta quan im ph bin nh gi c phn. Cc nh u
t phi quyt nh h ng vi t s P/E ph bin trn th trng hay khng da trn vic
n so snh vi P/E ca ton b th trng, ca cc cng ty khc trong ngnh, v ca tng c
phn c th.
Phng php DDM c th c s dng ch ra cc bin s tc ng n cc t s P/E
nh sau:
Theo phng php DDM, ta c gi tr ca mt c phn l:
1
0
DIV
P
r g
=

Nu chng ta chia c hai v cho E
1
ta c :
1
0 1
1
DIV
P E
E r g
=

Nh vy c 3 yu t tc ng n t s P/E :
24

T l chi tr c tc k vng c tr -
1
1
DIV
E

T sut li tc mong i - r
T l tng trng c tc - g
Nh vy, s co gin ca r v g quyt nh chnh n ln ca P/E. Mc d t l chi tr
c tc c tc ng nhng thng ch tc ng n trong thi gian di, t tc ng trong thi
gian ngn.

Gi trn dng tin P/CF
Gi tr dng tin l quan trng trong nhng nguyn tc nh gi c bn (khi tnh ton gi
tr hin ti ca dng tin), chng l yu t ht nhn khi lm phn tch m cho rng tin
l vua.
T l gi trn dng tin c tnh nh sau:
1
/
t
j
t
P
P CF
CF
+
=
Trong :
P/CF
j
l t l gi trn dng tin ca cng ty j
P
t
l gi ca c phn trong thi k t
CF
t+1
l gi tr mong i dng tin trn mi c phn ca cng ty j
nh gi nhng tc ng n t l ny, cc yu t tng t nh P/E. C th cc yu t
l : (1) t l tng trng k vng ca dng tin (2) nhng ri ro ca c phn nh s khng
chc chn hay tnh bin i ca dng tin qua thi gian. c im ca thc o dng tin
c s dng tiu biu l EBITDA (thu nhp trc li vay, thu, khu hao v tr n gc),
nhng thc o ny s bin i ty thuc vo bn cht ca cng ty v ngnh v c im ca
dng tin (chng hn, dng tin hot ng hay dng tin t do) l thc o thch hp nht
cho kt qu kinh doanh ca ngnh ny. Mt t l thch hp c th b tc ng bi cu trc
vn ca cng ty.

Gi trn gi tr s sch P/BV
T s ny c s dng nhiu trong nhiu nm tr li y m c bit l trong ngnh
ngn hng. Gi tr s sch ca mt ngn hng c xem nh l mt ch dn tt xc nh
gi tr ni ti ca c phn bi v hu ht ti sn ca mt ngn hng l nhng tri phiu, cc
khon vay thng mi u c gi tr ngang bng vi gi tr s sch. T l ny c a
25

chung s dng v tin cy cho tt c cc loi hnh doanh nghip da trn nhng nghin cu
ca Fama v French ch ra nhng mi quan h nghch bin gia P/BV v t sut sinh li vt
tri i vi nhng c phn tiu biu.
T s ny c tnh nh sau:
1
/
t
j
t
P
P BV
BV
+
=
Trong :
P/BV
j
l gi/gi tr s sch ca cng ty j
P
t
l gi ca c phn trong thi k t
BV
t+1
l gi tr s sch vo thi im cui nm cho mi c phn ca cng ty j
Khi so vi nhng t s khc, tm quan trng ca t s ny gn kt gi tr hin ti vi gi
tr s sch tng lai. Kh khn l gi tr s sch trong tng lai l khng c sn.
Cng ging nh nhng t s tng i khc, n quan trng gn kt gi tr hin ti vi gi
tr s sch tng lai c k vng vo lc cui nm. Kh khn chnh l gi tr s sch tng
lai l khng c sn. Gi tr s sch cui nm c th c rt ra t vic c lng da trn t
l tng trng trong qu kh hay dng t l tng trng c p dng bi cng thc : g =
ROE x T l li nhun gi li.
nh gi nhng yu t tc ng n quy m ca P/BV, n c th l mt phng trnh
ROE lin quan n chi ph s dng vn c phn ca cng ty v t l ny c th s bng nhau
nu cng ty kim c mc sinh li mong i trn ti sn ca n. Ngc li, ROE ln hn
nhiu so vi chi ph s dng vn c phn th n l mt cng ty ang tng trng v nh u
t phi tr chi ph cao hn gi tr s sch cho mi c phn.

Gi trn doanh thu mi c phn P/S:
T l ny c mt lch s bin ng. N l sn phm ca Phillip Fisher mt nh qun l
tin t ni ting trong nm 1950, cng con trai ng ta v nhng ngi khc. Gn y, t s
P/S c ngh nh mt phng php hu dng bi Martin Leibowitz, mt nh qun l
danh mc c phiu v tri phiu ni ting. Nhng ngi ng h t s ny v s dng n v
hai l do. u tin, h cho rng doanh thu tng trng mnh l yu cu ca mt cng ty tng
trng, ngha l h cho rng qu trnh tng trng bt u t doanh thu. Th hai, tt c d
liu trn bng cn i k ton v thu nhp th doanh s l ch tiu t b iu khin thao tng so
vi d liu khc.
Cng thc tnh l:
26

1
/
t
j
t
P
P S
S
+
=
Trong :
P
t
l gi ca c phn trong thi k t
S
t+1
l doanh thu vo thi im cui nm cho mi c phn ca cng ty j
Mt ln na, tm quan trng ca t s ny l gn kt gi tr hin ti ca c phn vi gi
tr doanh thu k vng trn mt c phn trong tng lai, iu ny c th kh khn rt ra i
vi cc c phn tiu biu. Hai iu bo trc lin quan ti t s P/S. u tin l t s nh
gi tng i ny bin i mnh bi yu t ngnh. V d, doanh s trn mi c phn ca
cng ty bn l nh Kroger, hay Wal-mart, bin i nhiu hn so vi doanh s trn mi c
phn ca nhng cng ty my tnh hay chip. Th hai, vic xem xt li nhun bin t trn
doanh thu. im ny, nhng ca hng bn l c doanh s trn mi c phn cao hn, iu
ny s gy ra t s P/E thp, c xem xt tt cho ti khi nhn thy rng cng ty c nhng
li nhun bin t rng thp. Do , nhng phn tch nh gi tng i ca bn dng t s
P/S nn la chn nhng cng ty hay cng ngnh tng t nhau. xc nh doanh thu tng
lai ta c lng da vo doanh thu trn qu kh.

Kh nng ng dng v hn ch ca cc t s
u im ca cc t s l kh n gin v d dng tip cn. Cc t s c th c s dng
tnh nhanh gi tr doanh nghip bit nhng thng tin v th trng hin ti ang nh
gi c phiu nh th no nhiu mc , gm ton b th trng v tng ngnh, tng c
phn trong ngnh v n c s dng rt hiu qu trong trng hp c nhiu doanh
nghip so snh c giao dch trn th trng ti chnh v th trng nh gi cc doanh
nghip ny tng i chnh xc.
Tuy nhin, cc t s cng rt d b lm dng v s dng sai mc ch, c bit trong
trng hp c cc doanh nghip so snh. Khi 2 doanh nghip c cng mc ri ro v tc
tng trng th khi nim v cc doanh nghip so snh ch l mt. Do , cc nh phn tch
c th chn mt nhm cc doanh nghip so snh xc nh c xu hng v gi tr doanh
nghip. Cc xu hng ny cng c phn nh trong phng php chit khu dng tin nn
khi s dng phng php ny nh gi doanh nghip, cc nh phn tch buc phi xc
nh r rng hn cc gi nh c nh hng n kt qu nh gi cui cng. Tuy nhin, ngi
ta thng b qua cc gi nh ny khi s dng cc t s trong vic nh gi.
Mt vn khc v t s ca cc doanh nghip so snh l cc t s ny c th c sai st
trong trng hp th trng nh gi khng ng v cc doanh nghip ny (nh gi qu cao
27

hoc qu thp). v d sau, nu th trng nh gi qu cao cc doanh nghip my tnh th
khi s dng t s P/E bnh qun ca cc doanh nghip ny nh gi c phiu nim yt ln
u ra cng chng, c phiu ca doanh nghip s c nh gi cao hn mc bnh thng.
Tri li, phng php chit khu dng tin nh gi da trn tc tng trng v dng tin
ca mt doanh nghip c th nn t chu nh hng bi s nh gi thiu chnh xc ca th
trng.
Do phng php nh gi tng i thch hp khi c xem xt vi hai iu kin:
Chng ta phi c mt tp hp so snh tt, tc l nhng cng ty so snh phi cng
trong mt ngnh, cng quy m v cng mc ri ro.
Th trng v ngnh ca cng ty ang hot ng khng ri vo hai thi cc ca
gi, tc l n khng qu cao hay qu thp vi gi tr ni ti ca n.

1.3 So snh cc m hnh
1.3.1. So snh m hnh CAPM v Fama French
Nhn chung, m hnh CAPM v Fama French u l m hnh lng ha mi quan h gia
ri ro v t sut sinh li ca ca tng chng khon c th hoc danh mc da trn phng
php hi qui tuyn tnh. Tuy nhin, m hnh CAPM th n gin hn ch da trn mt nhn
t l phn b th trng trong khi m hnh Fama French da trn 3 nhn t l phn b
th trng, gi tr v qui m.

1.3.2. So snh m hnh CAPM Fama French v cc m hnh nh gi khc
Cng nh m hnh CAPM, Fama French th m hnh nh gi chit khu dng tin v
nh gi tng i cng dng ng dng vo thc t cc nh u t kinh doanh chng
khon v cc ti sn khc. Tuy nhin m hnh CAPM, Fama French v cc m hnh ny c
mt s khc bit nh sau:
Th nht, M hnh chit khu dng tin v nh gi tng i da vo nhng c lng
t l tng trng ca dng tin v t l chit khu xc nh gi tr thc ca c phiu. Do
vy, nh u t c th d dng so snh gi tr ny v gi chng khon trn th trng a
ra quyt nh ph hp. Trong khi , m hnh CAPM v Fama French xc nh c t sut
sinh li hin ti ca c phiu tng ng vi ri ro ca n, ng thi c th d bo c t
sut sinh li trong tng lai. Tuy nhin, nh u t khng xc nh c gi tr thc ca mt
chng khon.
Th hai, Trong khi m hnh chit khu dng tin v nh gi tng i s dng phng
php hin gi dng tin bng cc phn tch c bn c tnh dng tin tng lai ca chng
28

khon , cn CAPM v Fama French th s dng phng php hi qui tuyn tnh da trn
d liu qu kh d bo t sut sinh li tng lai.
Th ba, Chng ta bit rng m hnh chit khu dng tin v nh gi tng i da vo
nhng phn tch c bn d phng dng tin trong tng lai nn c th mang tnh ch quan
cn hai m hnh kia th s dng d liu qu kh d bo t sut sinh li trong tng lai nn
mang tnh khch quan hn.

1.4. Thc tin p dng CAPM v Fama French mt s nc trn th gii
1.4.1. cc nc pht trin
Ti M, trong bi nghin cu Kim nh m hnh CAPM v m hnh ba nhn t Fama
French nm 2004, tc gi Nima Billou so snh v kim tra tnh hiu qu ca hai m hnh
trn. Tnh hiu qu ca m hnh s c so snh da trn v trung bnh gi tr tuyt i ca
. Trong bi nghin cu nm 1996, hai tc gi Fama v French chng minh rng m hnh
ba nhn t Fama French tt hn CAPM do c b hn. Bi nghin cu ny s dng 25 danh
mc chng khon c phn chia theo quy m v gi tr m Fama v French s dng
kim nh li nhm xem xt trong mt khong thi gian di hn th m hnh c cn hiu qu
na hay khng. D liu nghin cu c ly t website ca Ken French, tp hp tt c c
phiu t 3 sn chng khon ln M l NYSE, AMEX v NASDAQ.
Vi khong thi gian nghin cu t 7/1963 n 12/2003,
CAPM
= 0.3,
FAMA FRENCH
=
0.13, ngoi ra vi tin cy 95% th R
2
ca m hnh CAPM l 72% cn R
2
ca m hnh 3
nhn t Fama French l 89%, chng t m hnh Fama French vn hiu qu hn so vi m
hnh CAPM. Sau khi Nima Billou m rng mu nghin cu ra t 7/1926 n 12/2003 th

CAPM
= 0.23,
FAMA FRENCH
= 0.19, R
2
ca CAPM l 77% v R
2
ca Fama French l 88%.
Kt qu cho thy hai nhn t quy m v gi tr rt c nh hng trn th trng chng khon
M, do m hnh Fama French vn t ra hiu qu hn m hnh CAPM trong vic gii thch
t sut sinh li ca chng khon.
Trong khi nhn t quy m v nhn t gi tr c thc hin kim nh bi cc nh kinh t
hc th t ra rt c nh hng trn th trng M th c li c rt t nghin cu v hai nhn
t ny. Nguyn nhn l v cha c mt c s d liu c th so snh c bao gm nhng sai
lch trong thng tin k ton. Nhng nghin cu trc y c ch cho thy nh hng rt
nh ca nhn t gi tr trn trng chng khon, cn nhn t quy m th nh hng ln hn.
Tri ngc vi nhng nghin cu M v mt s th trng khc cho thy nh hng ca
nhn t phn b gi tr l ph bin. S khc bit ny l do trong nhng nghin cu trc y
c b hn ch trong c s d liu v ch thc hin trn mt khong thi gian ngn (khong
29

t 1995 n 1999). Trong bi nghin cu Nhng nhn t ca Fama v French trn th
trng chng khon c (2007), tc gi Michael A. OBrien tm hiu nh hng ca hai bin
quy m v gi tr v kh nng gii thch t sut sinh li chng khon ca m hnh Fama
French. Nhng bi nghin cu trc y c gp hn ch v d liu v khng th tip
cn cc d liu k ton c th so snh c. Trong bi nghin cu ny, tc gi khc phc
c hn ch v ly d liu nghin cu t 98% cc doanh nghip nim yt trn th trng
chng khon c trong khon thi gian t 1981-2005.
Kt qu cho thy nh hng quy m l phi tuyn tnh v nh hng th trng l tuyn
tnh. C mt lng phn b nhn t HML kh ln c vi khong thu nhp trung bnh hng
thng l 0.72%, ln hn 0.46% M. Nhn t SMB th c khong thu nhp trung bnh trong
thng l 1.95% ln hn mc M l 0.09%. Mc gii thch ca m hnh Fama French
cng ngy cng r rt hn so vi m hnh CAPM, R
2
ca m hnh CAPM l 43.9% cn R
2

ca m hnh Fama French l 69%. Bn cnh , kh nng gii thch t sut sinh li danh mc
ca 2 bin SMB v HML u l quan trng nh nhau. Nhn chung, bi nghin cu cho thy
rng m hnh 3 nhn t Fama French (1993) cung cp mt bc tin hn so vi m hnh
CAPM trong vic gii thch t sut sinh li danh mc. Ngoi ra, kt qu cng ch ra rng m
hnh Fama French khng th gii thch t sut sinh li ca danh mc nm trong khong 40%
v qui m. Kt qu ny xc nhn mi quan h phi tuyn tnh gia t sut sinh li v qui m.
iu ny ng rng gii thch y t sut sinh li c th cn c s hiu bit mi
quan h phi tuyn ny.
Nht, trong bi nghin cu Nhng bng chng v kh nng p dng ca m hnh
Fama French ln th trng chng khon Nht Bn (2007), hai tc gi Elhaj Walid v Elhaj
Ahlem s dng mu gm t sut sinh li trung bnh hng thng ca tt c chng khon
trn S giao dch chng khon Tokyo (TSE) trong khong thi gian t 1/2002 n 9/2007.
Kt qu nghin cu cho thy Nht Bn nhn t quy m cng ty v t sut sinh li c quan
h nghch bin, cn nhn t gi tr v t sut sinh li th ng bin. Nhn t quy m th hin
r nt nhng chng khon c mc vn ha th trng nh. M hnh Fama French vn t ra
hiu qu hn so vi m hnh CAPM ch tr nhng danh mc cc chng khon c gi tr vn
ha th trng thp. R
2
trung bnh ca m hnh Fama French l 78.2% ln hn so vi R
2

trung bnh ca m hnh CAPM l 70.5%.
Ti New Zealand, trong bi nghin cu Nhn t quy m, gi tr v m hnh Fama
French trong th trng nh - Nhng pht hin New Zealand (2005), hai tc gi l Hadrian
Djajadikerta v Gilbert Nartea s dng d liu t 284 chng khon trong khong thi gian
1994 n 2002. Nghin cu ny nhm mc ch thm vo nhng bng chng xc nh nhng
30

nh hng ca phn b gi tr v qui m trong m hnh 3 nhn t vi nn kinh t tn ti th
trng chng khon kh nh quc gia ny. Bi nghin cu xc nh phn b gi tr nh
hng t, trong khi phn b qui m nh hng ng k n m hnh. Tuy nhin kt qu
ny khng ph hp vi nhng nghin cu trc. Bryant v Eleswaparu (1997), s dng d
liu th trng chng khon New Zealand trong khong thi gian 1971 ti 1993, xc nh
nh hng mnh ca phn b gi tr v nh hng yu ca phn b qui m. Vos v Pepper
(1997) s dng mu nh hn, t nm 1991 n 1995, kt lun rng c 2 phn b ny c nh
hng ng k n th trng chng khon. S khng ng nht ny bi v cng ty nim yt
trn th trng chng khon New Zealand th qu t v t sut sinh li c tnh bin ng cao.
Qui m mu nh s gy ra kh khn trong vic hnh thnh nhng danh mc c a dng
ha tt v iu ny nh hng ng k n vic kim nh kt qu ca m hnh. Mc d beta
khng th gii thch tt c bin ng trong t sut sinh li ca danh mc, nhng n vn l
nhn t gii thch ch o trong m hnh ba nhn t Fama French. Tuy nhin, SMB l nhn
t cng c ngha v ph hp vi m hnh Fama French M v c. Trong khi , HML
cng c ngha gii thch trong m hnh, n cng ging nh kim nh c nhng i lp
vi M. Ni tm li, m hnh Fama French (R
2
44%) c ngha hn so vi m hnh CAPM
(R
2
36%) trong vic gii thch t sut sinh li New Zealand.
Ti Php, bi nghin cu ca Souad Ajili Nhn t quy m v gi tr - Trng hp ca
nc Php (2005) cng cho thy kt qu t m hnh Fama French tt hn so vi m hnh
CAPM. R
2
ca m hnh CAPM l 11.12% cn R
2
ca m hnh Fama French l 34.22%. Vi
m hnh Fama French khi hi quy d liu cho th ch c nhn t quy m l c ngha thng
k cn khi hi quy d liu chui th nhn t SMB v HML u c ngha gii thch tt. Sau
khi thm bin n by ti chnh vo m hnh Fama French th m hnh c kh nng gii thch
t sut sinh li tt hn na (R
2
ca m hnh ny l 40.25%). Nh vy, Php phi s dng
m hnh c th gm nhn t l ri ro th trng, quy m, gi tr v n by ti chnh th kh
nng gii thch t sut sinh li ca chng khon mi cao.
Nhn chung, hu ht cc nc pht trin vic p dng m hnh CAPM v m hnh
Fama French u c ngha trong vic gii thch t sut sinh li ca chng khon. Trong
m hnh Fama French c ngha nhiu hn so vi m hnh CAPM. Vic p dng thnh cng
hai m hnh ny gii thch t sut sinh li cc th trng pht trin ny l do th trng
chng khon cc nc ny a s u pht trin trong mt thi gian di, t c n
nh cao, l mt knh huy ng vn hu hiu cho cc doanh nghip v l mt phong v biu
phn nh trung thc, kp thi tnh trng ca nn kinh t. ng thi cng thu ht rt nhiu nh
u t tham gia, s dng nhng phn tch chuyn nghip a ra quyt nh u t ch
31

khng cn u t nh l mang tnh cht by n na. Ngoi ra, mu nghin cu cc quc
gia ny u rt ln, s chng khon quan st chim t l ln so vi s chng khon giao dch
trn th trng, v thi gian quan st l kh di.
QUC
GIA
CCH THU THP D LIU TC GI
KT QU
CAPM
FAMA
FRENCH
M
Ba th trng chng khon ln
M: NYSE, AMEX, NASDAQ,
giai on 1926-2003
Nima Billou (2004) 77% 88%
c
98% c phiu trn sn t 1981
n 2005
Michael A.O'Brien
(2007)
43.90% 73%
Nht
Tt c c phiu trn sn TSE t
1/2002 n 9/2007
Elhaj Mabrouk Walid,
Elhaj Mohamed Ahlem
(2007)
70.50% 78.20%
New
Zealand
248 c phiu t 1994 n 2002
Hadrian Djajadikerta,
Gilbert Nartea (2005)
36% 44%
Php
341 c phiu t 7/1984 n
6/2001
Souad Ajili (2005) 11.12% 34.22%

1.4.2. cc nc ang pht trin
n , M hnh CAPM v Fama French c hai tc gi Gregory Connor and Sanjay
Sehgal nghin cu vi ta Kim nh m hnh hnh Fama v French n . Bi
nghin cu ny cho thy m hnh ba nhn t Fama French ch ph hp hai trong ba kt
qu ny so vi th trng chng khon M, l: Th nht, Cc nhn t th trng, quy m
v gi tr th tn ti ph bin gii thch t sut sinh li ca chng khon. Th hai, C mi
quan h tuyn tnh gia c phiu v nhng nhn t trn trong vic gii thch phn tn ca
t sut sinh li trung bnh. Trong khi cc nhn t th trng, quy m v gi tr khng nh
hng ph bin n t l tng trng thu nhp, v do khng nh hng n t sut sinh
li ca c phiu, iu ny i lp vi th trng chng khon M. Bi nghin cu ny ly d
liu t t sut sinh li cui thng ca 364 c phiu t thng 6/1989 n thng 3/1999. R
2

trung bnh trong m hnh Fama French l 84.22% , trong khi R
2
ca m hnh CAPM ch
c 75%. Nghin cu ny cho thy, vic chy m hnh hi qui tuyn tnh ca hai m hnh ny
32

c th gii thch v d on c t sut sinh li ca cc chng khon v danh mc ca
chng khon ti th trng chng khon n . Vi mc ngha ny nh u t c th
cn nhc v vn dng hai m hnh ny vic kinh doanh chng khon mt cch hiu qu
hn.
Nhng ngc li, Hn Quc, Kyong Shik Eom v Jong-Ho Park chy m hnh hi qui
tuyn tnh vi d liu t 868 c phiu trong khong thi gian t 7/1981 n thng 12/2007
vi ti nghin cu Bng chng m hnh ba nhn t ti Hn Quc. Nhm tc gi ny cho
thy rng trong khong thi gian (1984-1994) m hnh ba nhn t Fama French th khng
ph hp gii thch t sut sinh li ca chng khon m ch c m hnh CAPM t ra ph
hp. Ngoi ra, nghin cu cho thy m hnh Fama French ch ph hp d bo t sut sinh
li trong th trng chng khon Hn Quc trong khong thi gian ngn nhng khng ph
hp trong khong thi gian di (26.5 nm). Kt qu ny ch ra rng R
2
m hnh ba nhn t l
2.52% vi khong tin cy l 99%. Vi mc ngha thp ny chng t bin th trng, qui
m v gi tr khng gii thch v d bo c t sut sinh li ca chng khon v danh mc
ca n. Thm vo , nhm tc gi cng m rng m hnh v tm ra nhn t chnh nh hng
n m hnh gii thch t sut sinh li l tnh thanh khon, s cng b thng tin v s lan
rng ca vic cp tn dng.
Thi Lan, bi nghin cu Mt nghin cu v m hnh ba nhn t Fama v French ny
s dng s liu trn th trng chng khon Thi Lan t thng 7/2002 n thng 5/2007, bao
gm 421 c phiu chia lm 6 nhm: BH, BM, BL, SH, SM, SL. Kt qu l m hnh ba nhn
t gii thch tt hn m hnh CAPM cho 4 cc c phiu thuc 4 nhm l SH, BH, BM, SL.
Kt qu bi nghin cu cho thy vic thm vo cc bin quy m cng ty v bin gi tr vo
m hnh CAPM tr thnh m hnh Fama French cho thy kh nng gii thch t sut sinh
li vt tri hng thng ca cc danh mc tt hn m hnh CAPM. Mc d m hnh Fama
French thch hp vi th trng chng khon Thi Lan hn m hnh CAPM nhng m hnh
Fama French li khng l l thuyt ti chnh h tr tt cho vic gii thch tm nh hng ca
cc bin n t sut sinh li v c nhng bin gii thch khc thch hp hn so vi bin quy
m v bin gi tr. Kt qu m hnh l R
2
hiu chnh trung bnh ca 6 danh mc trong m
hnh Fama French l 62.42%, cao hn m hnh CAPM l 29.47%.
Bi nghin cu mi nht (2010) ca Thc s qun tr kinh doanh Chun-Wei Huang vi
ta p dng m hnh ba nhn t CAPM v Fama French vo th trng chng khon i
Loan. Chun-Wei Huang cho thy rng, m hnh CAPM c th p dng vo th trng chng
khon i Loan v nhn t ri ro th trng c nh hng mnh m n t sut sinh li
chng khon. M hnh Fama French th ch c 2 bin ri ro th trng v quy m l c
33

ngha thng k, cn bin gi tr th t ra t c ngha trong vic gii thch t sut sinh li. Do
, m hnh ba nhn t Fama French khng th p dng hon ton ti th trng chng khon
nc ny. Kt qu m hnh hi qui nh sau, R
2
ca m hnh CAPM l 55.8% ( tin cy
99%), m hnh Fama French l 69.9% ( tin cy 95%).
Nguyn nhn m hnh Fama French khng gii thch hon ton ti th trng chng
khon ca quc gia ny l: Th trng chng khon i Loan tuy ra i cch y 47 nm
nhng vn l mt th trng cn nng cn v ch yu l nh u t c nhn, nn vic u t
tin vo chng khon cn tp trung vo mt s mc tiu c th v theo khuynh hng tm
l by n, do gy ra by thanh khon v hin tng doanh thu bt thng. Thm vo ,
do mt s chnh sch nh gii hn mc bin ng gi chng khon trong mt ngy l 7%
hoc nu nh ch s index rt im trm trng th chnh ph s u t vo th trng chng
khon ko im tng li. iu ny s lm cho ch s index cao tuy nhin khng phn nh
trung thc v th ca th trng. Ngoi ra, c hin tng window dressing i Loan, cc
cng ty c gng lm p Bo co ti chnh v th gi chng khon khng phn nh gi tr
thc ca cng ty v c rt nhiu nh u t c nhn, v th h c xu hng tin vo cc phn
tch k thut hn l phn tch c bn v quen vi vic mua chng khon c gi cao v bn
chng khon gi thp. iu ny lm cho th trng bin ng mnh hn v lm cho chng
khon c thu nhp bt thng, do nh hng n kh nng l gii ca tnh thanh khon.
Ri ro th trng chng khon i Loan cng b nh hng chnh tr rt nhiu do nhng mu
thun vi Trung Quc. Ngoi nhng nguyn nhn khch quan trn, bi nghin cu ny ch s
dng 90 chng khon trong khi trn th trng c khong 700 chng khon, v vy n cha
i din cho ton th th trng.
Khng nhng th, theo Chun-Wei Huang nhn t ri ro th trng b nh hng bi tc
ng t chnh tr, ngoi giao. Nhn t quy m th b nh hng bi ri ro th trng. Nhn t
gi tr b nh hng bi Bo co ti chnh ca cng ty.
i vi bi nghin cu ny, tc gi m rng m hnh thm cc bin thnh m hnh 5
nhn t: bin th trng, gi tr, qui m, doanh thu v bn khng. Ngoi ra, tc gi cng thm
bin cung tin vo m hnh 5 nhn t ny thnh m hnh 6 nhn t. Kt qu cho thy rng, c
m hnh 5, 6 nhn t th ch c bin th trng v doanh thu mi nh hng n m hnh.
Chng ta c th tng quan v kt qu vic ng dng hai m hnh ny ti cc th trng
mi ni nh sau:


34

QUC
GIA
CCH THU THP
D LIU
TC GI
KT QU
CAPM
FAMA
FRENCH
n
364 c phiu t
6/1989 n 3/1999
Gregory Connor, Sanjay Sehgal
(2001)
75% 84.22%
Hn Quc
868 c phiu t
7/1981 n 12/2007
Kyong Shik Eom, JongHo Park
(2008)
4.16% 2.52%
Thi Lan
421 c phiu t
7/2002 n 5/2007
Nopbhanon Homsud, Jatuphon
Wasunsakul, Sirina Phuangnark,
Jitwatthana Joongpong (2009)
29.47% 62.42%
i Loan
90 c phiu t
7/2006 n 6/2009
Chun-Wei Huang (2010) 55.80% 69.90%
Nh vy, qua nghin cu ng dng m hnh CAPM v FF3FM ti cc nc pht trin v
ti cc nc th trng mi ni ta thy m hnh CAPM v Fama French mun ng dng
thnh cng Vit Nam th cn phi c mu thi gian nghin cu di v s lng chng
khon c nim yt trn sn trong mu tng i ln. Ti Vit Nam, t khi th trng
chng khon ra i n nay pht trin c 10 nm v thu ht c s quan tm ca
nhiu nh u t, s lng cc cng ty nim yt ngy cng tng vi 107 c phiu nm 2006
v tng iu qua cc nm (134 doanh nghip nim yt (2007), 168 c phiu (2008))cng gp
phn cng c kh nng p dng 2 m hnh trn.
Biu 1.4.2: S lng doanh nghip nim yt nm 2000-2010

Ngun:T thu thp v thng k
35

KT LUN CHNG 1
nh gi chng khon nh hng rt quan trng n th trng cng nh n quyt nh
ca cc nh u t h la chn nhng danh mc u t ti u mang li t sut sinh li
mong mun cng nh to ra s cn bng gia mua v bn trn th trng.
Nhn chung, c ba nhm chnh nh hng n gi chng khon, l: nhm yu t kinh
t, nhm yu t phi kinh t v nhm yu t th trng. Mi nhm u c nhng tc ng
ng k ln gi chng khon v thng th cc nhm yu t ny khng i ring l m s cng
tc ng ln gi. Do , khi cc nh u t cn ch quan st s hin din ca tng nhn t
c quyt nh ph hp nht.
K thut chit khu dng tin v nh gi tng i l hai m hnh nh gi chng khon
ph bin nht hin nay, c th nh: DDM, OFCF, FCFE th s dng phng php hin gi
dng tin trong tng lai v hin ti xc nh gi chng khon. Cn i vi cc phng
php tng i P/E, P/CF, P/BV, P/S th ngoi vic hin gi dng tin cn phi so snh vi
ch s tng ng ca ngnh hoc ca cc cng ty ngang hng th mi xc nh c gi
chnh xc.
Nm 1964, M hnh CAPM ra i v cho rng nhn t phn b ri ro th trng c nh
hng ln n t sut sinh li ca chng khon. n nm 1993, vi s ra i ca m hnh
Fama French ba nhn t cho ta thy t sut sinh li u t ca mt danh mc u t hoc
mt c phiu ring bit ph thuc vo 3 yu t: yu t th trng (ging m hnh CAPM),
yu t quy m cng ty v yu t gi tr s sch trn gi tr th trng vn ch s hu v cho
rng cng ty quy m nh s cho t sut sinh li cao hn nhng cng ty c quy m ln cng
vi nhng cng ty c BE/ME cao s cho t sut sinh li cao hn nhng cng ty c t s ny
thp.
Hin nay, Cc nc pht trin cng nh th trng mi ni a s p dng m hnh
CAPM v Fama French d bo t sut sinh li ca chng khon v u khng nh kh
nng p dng ca 2 m hnh v chng minh rng cc nhn t phn b ri ro th trng,
quy m v gi tr thc s c nh hng n t sut sinh li chng khon.
36

Chng 2: Thc trng ca vic ng dng cc m hnh trong u t chng khon ti
Vit Nam
2.1 Cc yu t nh hng n gi chng khon Vit Nam hin nay
2.1.1 C hi tng trng cao.
Th trng chng khon Vit Nam l mt th trng mi ni va mi c khai thc, cn
nhiu tim nng sinh li rt cao. Th trng chng khon Vit Nam cn cha thc s pht
trin hon thin, cc nh u t c rt nhiu c hi u t em li t sut sinh li cao vt
bc hn c trong th trng cc nc pht trin, nht l trong nhng lnh vc mi i vo khai
thc. Nm 2006, th trng chng khon Vit nam t mc tng trng cao nht khu vc
Chu - Thi Bnh Dng vi 145%, thm ch ng trn th trng chng khon Thng
Hi vi mc tng l 130%. Vo u nm 2007 th tc tng trng l 46% - cao nht trn
th gii, ng ch vi t sut sinh li vt tri 100% ch trong mt thng. Th trng tng
trng mnh lit c nhiu tc ng cho khng t nh u t trong nc v cc chuyn gia
chng khon k c nhng nh qun l th trng. Khng nhng th, cho d trong giai on
kh khn nh nm 2008 th u t vo th trng chng khon cng cho mt t sut sinh li
cao hn so vi vic gi tin vo ngn hng. Theo bo co phn tch ca cng ty chng khon
Kim Eng th ti thi im 31/12/2008, VN-Index mc 316 im vi P/E trung bnh l 9.62,
th t sut sinh li t chng khon l 10.4%. Nu li sut tin gi tit kim 12 thng l 8,1%
th chnh lch gia t sut sinh li u t vo chng khon v gi tit kim dng 2,3%.
S chnh lch ny lm cho cc khon u t vo chng khon tr nn hp l v hp dn
hn so vi gi tit kim k hn 12 thng. Ngoi ra, theo bo co nghin cu cc qu u t
hot ng trong th trng mi ni ca t chc LCF Rothschild cho thy, n cui thng
6/2009, tnh chung t sut sinh li ca cc qu tham gia trn th trng Vit Nam tng hn
25% so vi cui nm 2008. Trong , t sut sinh li ca Qu Manulife, VF1 v VF4 tnh
n ngy 6-8-2009 ln lt l 37.7% , 27.4% v 27.6% Tuy nhin cng cha ng khng t
nhng ri ro, bt n tn ti vn c trong th trng hot ng, trong cc th tc a ra,
phng thc nh gi p dng.
Vi mt c hi tng trng cao nh vy, th trng chng khon tr thnh mt knh u
t hp dn, thu ht s quan tm ca cc nh u t c nhn v t chc, do s c tc ng
lm tng gi chng khon.

2.1.2 Nhng nhn t v m: lm pht - li sut - t gi.
Ba nhn t chnh c kh nng nh hng ln n nn kinh t v m l: T gi, lm pht
v li sut. Ba nhn t ny c kh nng nh hng rt su, rng n cc thnh phn trong nn
37

kinh t t nm ny sang nm khc, gy ra tnh bt n trong nn kinh t v m. Lm pht lm
sai lch cc bo co ti chnh lm cho vic so snh d liu qua cc nm kh khn v khng
chnh xc. Li sut b tc ng rt ln bi lm pht, vi mt quc gia c t l lm pht cng
cao th mc li sut cng tng cao.
nhng th trng mi ni nh Vit Nam nhng nhn t ny lun bin ng rt mnh,
khin cc nh u t kh on trc c (m y l nhng nhn t chnh cn thit cung
cp d liu u vo cho nhng tnh ton ca cc nh u t) dn n vic khng d on
chnh xc c kt qu hot ng ca doanh nghip trong tng lai. C th nh nm 2008,
nh nc phi tp trung chng lm pht, gii quyt vn nhp siu, t gi. n lt n,
nhng vn ny c tc ng ln n tnh n nh kinh t v m, ti hot ng ca cc t
chc ti chnh, tn dng v i sng nhn dn v phn nh vo th trng chng khon
Vit nam khng khi lm cho nhiu nh u t b nh hng khi ch s VN-Index lin tc
ph nhng ngng h tr v to y mi. Khng ring ch s chng khon st gim, vic
huy ng vn qua th trng chng khon cng gim ng k ti khong 75 80% so vi
nm trc.
Hnh 2.1.2.1: Lm pht v VN-Index nm 2008.

Ngun: Asian Development Outlook 2010 (ADB)
Nhn vo th, ta thy khi cc bin php kim sot lm pht ca Chnh ph c tc dng
lm lm pht gim thp xung th ng thi th trng chng khon cng b si ng v ch
s VN-Index cng gim theo.
Lm pht gia tng th gi phi tr s dng vn ca ngi khc s tng ln tng
xng vi mc gia tng ca gi c. Chnh v vy, li sut huy ng ca ngn hng phi
tng ln dn ti li sut cho vay ca cc ngn hng cng tng ln, n tc ng n hnh vi
tiu dng ca cc c nhn v chin lc kinh doanh ca cc doanh nghip, gia tng chi ph
cho cc doanh nghip, khin cho thu nhp thp hn v cui cng l n c khuynh hng lm
38

cho th trng chng khon tr nn km hp dn hn i vi cc nh u t. Li sut v gi
chng khon c mi quan h nghch chiu vi nhau.
Hnh 2.1.2.2 Li sut v ch s VN-Index

Ngun: Ngn hng Nh Nc Vit Nam
Nhn vo biu trn, ta thy r l trong giai on 7/2008 n 1/2009 khi Ngn hng
Nh Nc p dng mc li sut c bn cao th ch s VN-Index st gim ng k, do lc ny
u t vo tin gi ngn hng c mc t sut sinh li cao hn u t vo chng khon.
Khi t gi hi oi phn nh chnh xc chnh lch lm pht gia hai quc gia (tc ngang
gi sc mua: PPP tn ti), th gi tr ng tin thc khng b nh hng bi nhng thay i
trong t gi. Nhng trong thc t, nht l trong ngn hn iu ny kh c th xy ra, th
trng mi ni t gi thng bin ng rt nhanh v mnh. Khi t gi tng, ng ni t gim
gi lm cho lung ngoi t c xu hng vo Vit Nam, dn n vic u t vo th trng
chng khon cng s tng ln, do lm tng gi chng khon v ngc li khi t gi gim.
Hnh 2.1.2.3 T gi v ch s VN-Index

Ngun: Asia Development Outlook 2010 (ADB)
39

2.1.3 Bt cn xng thng tin.
Thng tin khng y v khng thng sut cho nh u t: Th trng Vit Nam l th
trng dng yu, thng tin cha phn nh y trong gi. Chnh th y cng l c
hi cho cc nh u t c nhng thng tin tt khai thc li th ca mnh trn th trng.
Khng ging nh nhiu nn kinh t pht trin, th trng mi ni nh Vit Nam tn ti
nhng cng ty, tp on ln c tm nh hng th trng trong s hu ca nhng thnh
vin gia nh, dng h chim t l chi phi trong s lng c phn pht hnh ra cng chng
(thng t 30-50%). V th chnh sch chi tr c tc i khi tc ng rt ln i vi nhng
c ng thiu s. Khi mt cng ty gp vn n tc ng mnh n nhng cng ty khc v
c nn kinh t, gi c phiu cng ty gim s ko theo ch s VN-Index cng st gim.

2.1.4 Chnh sch ca nh nc.
Vn ln ti cc th trng mi ni l s can thip ca chnh ph bng nhng bin php
hnh chnh v thay i lin tc trong chnh sch, tc ng n nhng tnh ton, k hoch hot
ng ca doanh nghip. a phn nhng chnh sch ny c a ra l nhm mc ch kim
sot hot ng ca th trng, gim bt tng trng khi th trng ang trong thi k pht
trin qu mnh v kh kim sot.
Mt trong cc chnh sch l quy nh v d tr bt buc. Khi lng d tr tin c s
ca cc ngn hng thng mi thay i v chnh sch tin t tht cht ca Nh Nc s dn
n ngn hng thng mi phi iu chnh tng ng cc mc hn cho vay tng ng trn
tng d n ca ngn hng, lng tin cung t ngn hng t i, s tin vay c chi chng
khon t hn, dn t huy ng tin nhn ri ca mnh nhiu hn, do s hn ch lung tin
vo th trng chng khon, lm cho gi chng khon gim xung.
Ngoi ra cn c nhng vng mc, bt cp trong qu trnh thc hin Lut Chng khon.
Bn cnh , mt s quy nh hin hnh li cha ph hp vi thc t hoc do cch hiu gia
cc lut cha thng nht, nh quy nh v cng b thng tin, v nghip v ca t chc kinh
doanh chng khon, cng ty u t chng khon, quy nh v t l pht vi phm hnh chnh.
gii quyt nhng bt cp ny, thng 8/2007, Chnh ph cho kin v Lut sa i, b
sung mt s iu ca Lut Chng khon, nhm p ng yu cu c th v thc t ca hot
ng trn th trng chng khon hin nay, cng nh ph hp vi xu th hi nhp v bo v
nh u t. D tho Lut sa i, b sung 16 iu, khon ca Lut Chng khon hin hnh,
b sung 1 iu mi, bi b 1 iu nhm lp khong trng v quy nh buc ng k giao dch
ti th trng chng khon c t chc, qun l cht hn v cng b thng tin, quy nh c th
v cho mua cng khai.
40

K t khi c Ngn hng Nh nc ban hnh ngy 28/5/2007 v c hiu lc thi hnh t
u thng 7/2007, Ch th 03 vi ni dung chnh l quy nh gii hn cc t chc tn dng
cho khch hng vay vn cm c bng c phiu u t chng khon di 3%, tr thnh
vn nng nht trn th trng chng khon Vit Nam. c bit, khi Ngn hng Nh Nc
c vn bn hng dn v ni r t l phi c gim xung vi thi hn cui cng l
31/12/2007. Ch th ny c nhng tc ng tiu cc ti th trng trc thi im trung
tun thng 9/2007. Sauk hi va c ban hnh th ch s VN-Index gim t 1046.35 trong
thng 5/2007 xung cn 905.39 trong thng 8/2007. Bi v th trng chng khon Vit Nam
mi giai on u pht trin, cc nh u t c nhn chim t trng ln. Vn u t trn th
trng chng khon c s lu thng cht ch vi h thng ngn hng. l vn vay t cm
c c phiu, t cc ti sn m bo khc: nh t, s tit kim, xe t, tn chp bng lng,
tn chp khc. l ngun tin gi tit kim ti Ngn hng Thng mi rt ra u t
chng khon nn quyt nh hnh chnh ca Ch th 03 t ngt v mang nng tnh hnh
chnh c tc ng khng nh n din bin th trng chng khon.
Hnh 2.1.4.1 Din bin VN-Index trong nm 2007

Ngun: Thu thp v tng kt ca tc gi
Thm vo , nm 2010 vi s ra i ca thng t 13/2010/TT-NHNN quy nh v cc
t l bo m an ton trong hot ng ca cc t chc tn dng gy tc ng cng hng
ti tm l chung ca th trng, lm gi chng khon gim xung ng k. Mt trong nhng
nguyn nhn khin gii u t vi v tho chy khi th trng c cc chuyn gia nhc
n l nhng tc ng ca Thng t 13.Thng t ny c ban hnh t thng 5/2010 v
c nhng tc ng ngay n cc ngn hng, khin h phi ln k hoch thu xp li ngun vn
t c qua vic thoi bt vn hay quyt nh rt lui khng rt thm vn cho cc t pht hnh
c phiu tng thm ti cc t chc tn dng khc trong nm nay. iu ny cng ng ngha
vi vic th trng chng khon phi n nhn mt lng cung c phiu ngnh ti chnh
tng i ln. Ngoi ra, nhng ni dung ti im a v b khon 5.6 ca Thng t quy nh cc
41

khon cho vay u t chng khon, cho vay cc cng ty chng khon c h s ri ro bng
250% s tc ng hn ch dng tin tn dng chy vo th trng chng khon. Nhng vn
trn ang gy ra p lc tm l ln cho cc cng ty chng khon v nh u t trn th
trng trong nhng ngy gn y. Vi h s ri ro b nh ng ln ti 250%, dng tin tn
dng vo th trng chng khon chc chn b gii hn. M, hot ng h tr n by l sn
phm khng th thiu trong hot ng u t chng khon.
Nh vy, Thng t c hiu lc vo u thng 10/2010, k c lc th trng c tng
trng mnh tr li th thanh khon cng khng th cn nhng phin giao dch t k lc
4.000 5.000 t ng nh trong nm 2007. Thng t c ban hnh vo thng 5/2010 th
thng 6/2010 ch s VN-Index gim t 515.055 xung cn 507.663 im, n thng 10/2010
khi chnh thc c hiu lc th ch s VN-Index gim xung n 453.319 im.
Hnh 2.1.4.2 Din bin ch s VN-Index trong nm 2010

Ngun: Thu thp v tng kt ca tc gi
Nm 2011, vi Ngh quyt 11/NQ-CP v nhng gii php ch yu tp trung kim ch
lm pht, n nh kinh t v m, bo m an sinh x hi do Chnh ph ban hnh ngy
24/02/2011 thng qua 7 nhm gii php ca ngnh ngn hng trong gii php th nht
nh hng ng k n th trng do h s ri ro i vi cc khon cho vay bt ng sn v
chng khon ang mc 250% v ang s dng bin php nng h s ri ro, trch lp d
phng vi t l cao hn v gin tip buc ngn hng gim cho vay vo lnh vc bt ng sn
v chng khon. Tt c nhng iu ny cho thy dng tin vo th trng chng khon v
bt ng sn trong nm 2011 s khng th mnh nh nhng nm trc , chnh thng ip
ny y chng khon vo th kh (do tnh hnh kinh t v m kh khn), nay cng kh
thm. Mt biu hin d nhn thy l nhng phin giao dch u nm 2011, th trng chng
khon lin tc st gim vi mc rt mnh, ng ch l phin giao dch ngy 17-03-2011
ch s VN-Index mt 5.16 im, xung cn 463.58 im (gim 1.1%), ton sn ti thnh ph
h ch minh c 122 m tng gi, 66 m ng gi tham chiu, cn li 98 m gim gi.
42

Tt c nhng yu t trn cng vi nhng quy nh cha thc cht ch ca chnh ph gy
kh khn khng nh cho cc nh u t khi tin hnh nh gi chng khon trn th trng
mi ni.

2.1.5 Hnh vi by n:
Mt chn l hin nhin quen thuc l vo bt k thi im no, cc th trng ti chnh
lun lun b chi phi bi lng tham v s s hi. Nhng th trng mnh nht l nhng th
trng nhn nhp bi ng thi c c lng tham ln s s hi. Ni r hn, quan im ca
ngi mua v ngi bn l khc nhau. Ngi bn k vng gi s gim, trong khi ngi mua
k vng gi s ln. Hoc ngi bn hoc ngi mua s ng nhng chc chn ch thng qua
s tng tc ca nhng thi khc nhau nh vy th th trng tr nn hp dn. S si ng
ca Th trng chng khon Vit Nam thi gian qua cng phn nh phn no chn l y.
Tht vy, s pht trin qu nng ca th trng chng khon Vit Nam vo nm 2007
thu ht rt nhiu s quan tm ca cc nh u t trong nc v nc ngoi. Rt nhiu l do
c a ra gii thch cho s pht trin qu nng ca Th trng chng khon Vit Nam.
C quan im cho rng th trng b dn dt bi nh u t nc ngoi, ngc li c quan
im cho rng nguyn nhn chnh l do c s tham gia qu ng ca cc nh u t trong
nc. Tuy nhin, phn ln ng tnh cho rng nguyn nhn chnh l do tm l u t by
n, u t theo phong tro ca cc nh u t trong nc - thiu kin thc cng nh khng
c k vng ring. Tm l vn c con ngi tr nn mnh hn khi con ngi phi ra quyt
nh trong mi trng thng tin khng y , tin cy ca thng tin thp v tn ti nhiu
hn ch trong vn minh bch thng tin. Mt khi nh u t khng tin vo cht lng v
tnh minh bch ca thng tin, kt hp vi kh nng phn tch thng tin b hn ch th h
thng c xu hng bt chc hnh ng ca nhng nh u t khc trn th trng. Hnh vi
by n khng hp l trong mt xu hng th trng no ko di lin tc c th lm gi
chng khon i qu xa gi tr c bn ca chng, gy nn s bt n trong gi.
Theo bi nghin cu ca TH.S Trn Th Hi L v Hnh vi by n- Trn th trng
chng khon vit nam- Nguyn nhn v mt s gii php vo thng 6/2010. kim nh
tm by n trong u t ny tc gi s dng cch tip cn hnh vi by n da trn phn
tn t sut sinh li ca cc chng khon so vi t sut sinh li th trng ca Chang, Cheng
v Khorana (2000). Bng cch hi quy phn tn trung bnh ca t sut sinh li cc chng
khon giao dch trn HOSE t 01/01/2002 n 31/12/2008 so vi t sut sinh li th trng
theo t sut sinh li tuyt i ca th trng v t sut sinh li th trng bnh phng trong
cng thi k trn c s thu thp d liu gi ng ca ca 169 cng ty mu trn sn HOSE
43

trong cng thi k. Vi kim nh ny, tc gi cho rng hnh vi by n tn ti rt mnh trn
th trng Vit Nam v hnh vi by n trong trng hp th trng tng cao hn trng hp
th trng gim, nh vy khi th trng tng cng mnh, ri ro phi h thng ca cc c phiu
gn nh chuyn thnh ri ro th trng v chi phi ri ro tng th.
Rt kh chng ta c th d bo trc din bin trn th trng chng khon Vit Nam.
Mi l thuyt, mi m hnh ca th trng hiu qu dng nh v ngha. Mc d nh u t
c cnh bo chng khon vt qu gi tr tht hn 30% nhng h vn mua bn, th
trng vn khng ngng si ng, khin cho cung khng cu. D thy th trng chng
khon Vit Nam khng vn hnh theo bt c mt quy lut no. L thuyt th trng hiu qu
hon ton tht bi Vit Nam. V thiu kinh nghim v kin thc cn thit nn thm ch c
nhiu nh u t cn mua bn theo cch hon ton bt chc cc nh u t nc ngoi. C
hin tng trn xy ra l v huynh hng by n gii thch ti sao con ngi li thch bt
chc ngi khc. Khi th trng ln hoc xung, nh u t s rng ngi khc s c nhiu
thng tin hn. V h qu ca iu ny, nh u t cm thy c s thi thc i vi vic lm
theo nhng g ngi khc ang lm. Cc nh tm l hc cng a ra nghin cu cho thy
hnh vi m ng thng c khuynh hng hnh ng theo mt s ngi ch cht c kh
nng tin on th trng. Trong trng hp ca Th trng chng khon Vit Nam s
mnh c giao cho nh u t nc ngoi. n lc cn mt ci nhn y v tm
l by n ca nh u t.
V lu nay vn c quan nim sai lm cho rng ch Vit Nam th mi c tm l by n
trong u t nh th. S tht th tm l m ng xut hin hu ht cc th trng mi ni
thm ch ngay c cc th trng pht trin th vn c nhng giai on tn ti tm l m
ng. Lch s kinh t th gii khng chng kin nhiu v n bong bng v khng hong
nh khng hong Hoa tulip H Lan (1634-1637), bong bng South Sea -Anh ( 1711-1720),
khng hong Bt ng sn Florida- M (1920-1922), i suy thoi th gii 1929, khng
hong 1987, khng hong Chu 1997, khng hong dotcom.

2.2 Nhng hn ch v kh khn trong qu trnh nh gi th trng chng
khon Vit Nam
2.2.1 Thiu thng tin, cht lng thng tin cha c tin cy cao
Thiu thng tin v nhng bt cp v thng tin l vn c bn lm cho th trng chng
khon khng c sc hp dn i vi cc nh u t. Trong nhng nm va qua, nhiu bt cp
v cht lng v vi phm v vic thiu minh bch thng tin lin tip xy ra v ng ngc
nhin l s v vi phm c xu hng tng theo s gia tng ca s lng cng ty nim yt.
44

iu ny cho thy cht lng v h thng minh bch thng tin trn th trng cha c
thc thi hiu qu, nh hng tiu cc n tnh hiu qu ca th trng v nim tin ca cc
nh u t i vi nhng thng tin c cng b.
Vic thiu thng tin v tn ti nhng bt cp nh hng n cc phng php nh gi
nh sau:
Thiu thng tin thng k v th trng: hot ng thng k theo ngnh, theo lnh vc
kinh doanh v theo cc tiu thc khc vn l mt vn cha gii quyt c hon
ton, nguyn nhn l chng ta cha xy dng c mt c s d liu thng nht ton
quc. V vy cht lng nhng thng tin cng b khng c s m bo no, do vy
khng c mt c s d liu chung thng k phc v cho cng tc nh gi.
Thiu nhng thng tin nghin cu v chng khon nh nhng t bo ca t chc xp
hng tn dng. Vic khng tn ti cc t chc xp hng tn dng Vit Nam l mt
tr ngi ln cho qu trnh nh gi.

2.2.2 Nhng giao dch c vn
Nhng giao dch c vn thng ny sinh i vi th trng cc nc mi ni, do c s
qun l lng lo ca php lut cng nh s thiu hiu bit ca nhng ngi tham gia th
trng. Nhng thng tin ni gin, thao tng gi v tung tin n sai s tht c s dng
kim li ring thng l nhng hnh ng lm nh hng ln n gi c phiu. Hnh vi sai
phm ny ch yu n t pha nh u t, cc c ng ni b v mt s cng ty chng
khon. Thc t c nhng cng ty chng khon chp nhn cc phiu t lnh khng hp l,
khng y thng tin, c trng hp nhn vin cng ty chng khon k vo phiu lnh
thay nh u t. Mt s cng ty chng khon c hin tng chn lnh ca nhn vin hoc
lnh t doanh ca mnh ln trn lnh ca nh u t hoc u tin lch ca nhng nh u t
thn tn. i vi hnh vi thao tng gi, mt s nh u t s dng nhiu ti khon cng
lc t lnh mua v bn mt loi chng khon, mt s trng hp cc nh u t thng ng
vi nhau cng thc hin cc lnh mua v bn khi lng ln trn mt m chng khon
nhm to ra cung cu gi v chng khon ny. Th trng tn ti kh ph bin hnh vi giao
dch ni gin, mt s c nhn c li th v mt thng tin thc hin giao dch hng li
trc khi thng tin c cng b rng ri ra cng chng. Hn 10 nm hot ng ca th
trng chng khon, c nhng tin n nh hng n uy tn ca cc cng ty nim yt v nh
hng khng tt ti th trng. Cc quy nh x pht vi phm hnh chnh i vi cc hnh vi
vi phm cn kh nh nn cc vi phm vn tip din v c trng hp ti din.
45

V vy gi giao dch thi gian trc y c khong cch rt ln vi gi tr ni ti ca c
phiu.

2.2.3 Chun mc k ton v nhng bt cp:
Chun mc k ton ca Vit Nam lin quan n c phiu cn nhiu vn , nh c phiu
ngn qu ch c B ti chnh ra vn bn hng dn sau khi cc cng ty nim yt thc
hin mua bn mt thi gian, hoc mt s cng ty c phn cha nim yt trc y thm ch
c th vay vn ngn hng mua c phiu ca chnh mnh. Mt khc, vn lin quan n
ti sn v hnh, cch thc hch ton v khu hao chng nh th no, vn t ai, vn cng
nh hng khng nh n gi chng khon. Khng nhng th, do cc doanh nghip thc
hin cha ng quy nh v hch ton k ton hoc hch ton khng y , dn n cc
khon mc trn bo co ti chnh cha phn nh chnh xc tnh hnh ti chnh ca doanh
nghip, khin cho vic so snh hiu qu hot ng gia cc doanh nghip thng qua kt qu
trn bo co ti chnh tr nn khp khing, thm ch kt qu kinh doanh ca nhiu doanh
nghip trc v sau kim ton chnh lch nhiu, mt s chnh lch l do s khng nht qun
trong trong hch ton ca doanh nghip v ca kim ton vin. Thng tin trn bo co
thng nin ca doanh nghip cn ngho nn, bo co thng nin hin nay ch n thun
trnh by cc bo co ti chnh bt buc nh bng cn i ti sn, bo co thu nhp, bo co
lu chuyn tin t v bo co thuyt minh cc bo co ti chnh. Bo co thuyt minh cng
kh s si v c nhng khon mc vn cha c thuyt minh r rng. Bo co thng nin
ca cc doanh nghip VN hin nay cha c phn phn tch ca ban qun tr v v th ti
chnh, kt qu hot ng ca doanh nghip, phn tch ri ro m doanh nghip phi i mt.
Ngoi ra, Doanh nghip nim yt bp mo bo co ti chnh. Trong 2008, th trng VN
xy ra trng hp bp mo s liu v b pht hin (cng ty c phn Bng Bch Tuyt).
Cng ty c phn Bng Bch Tuyt lp bo co ti chnh qu v nm sai lch cng b ra
th trng, bp mo doanh thu, to li nhun gi. Nghim trng l vic thua l ca cng ty
Bng Bch Tuyt b che du trong nhiu nm. Mc d y l trng hp vi phm u tin
c pht hin nhng n nh hng xu ln nim tin ca th trng v cht lng thng
tin ca cc bo co ti chnh c kim ton.

2.2.4 Quy m nh nn thiu s so snh
Quy m th trng chnh thc cn b, nn khng th tm kim nhng cng ty tng t
nh nhau nh gi. Hai cng ty nim yt cng hot ng trong mt lnh vc nhng r rng
46

khng th so snh chng vi nhau c do chng c quy m, sn phm, tc tng trng
khc nhau.

2.2.5 Vn cng ty gia nh
Nhng cng ty c phn vn nh t 10-15 t ng rt d tr thnh mt dng cng ty gia
nh vi thnh vin Hi ng qun tr, v Ban Tng gim c l ngi nh. in hnh Vit
Nam l cng ty c phn Giy Hi Phng, CTCP Hp H Long, hay CTCP Kinh . i
vi nhng cng ty c phn gia nh nh vy vic nh gi rt kh khn do c th b chi phi
bi gia nh nm gi.

2.2.6 Trnh hiu bit chung v chng khon cn hn ch
Th trng chng khon Vit Nam i vo hot ng vi thm nin cha lu nn tt c
nhng vn lin quan n n cn rt mi m i vi ngi dn, cc t chc kinh doanh
chng khon v cc c quan qun l. Trong , kh nng phn tch ca cc nh u t Vit
Nam cn hn ch. Giai on th trng tng mnh cng l giai on m lng ti khon nh
u t tng mnh, trn HOSE lng ti khon nh u t tng t 13520 ti khon nm 2002
ln 106393 ti khon nm 2006 v 349402 ti khon vo nm 2007 (theo Bo co thng
nin HOSE 2008), trong ti khon ca nh u t c nhn chim 99% tng s ti khon
ca cc nh u t trn th trng, vi kinh nghim cha nhiu nn cc nh u t c nhn
trn th trng Vit Nam t c kh nng phn thng tin, h mua bn chng khon theo hnh
ng ca cc nh u t khc, nu quan st thy cc nh u t khc mua, h cng mua v
ngc li.
Chnh v nhng kh khn ny m hin nay vic nh gi trn th trng chng khon
nc ta vn rt tr tr, do vy cn c nhng bin php tch cc hn ch nhng kh khn ny
tng bc a hot ng nh gi c chuyn nghip hn p ng nhu cu ca th trng.

2.3 Tnh hnh vn dng cc m hnh d bo t sut sinh li kinh doanh chng
khon Vit Nam hin nay:
Th trng chng khon vit nam tri qua bit bao nhiu thng trm t khi mi ra i
cho n nay. cc nc trn th gii th vic nh gi trc ht c phi c mt m hnh
d bo t sut sinh li ng tin cy c lng r
i
trc khi hin gi cc dng thu nhp
tng lai. Tuy nhin, t trc n nay ti Vit Nam vn cha c mt m hnh d bo t sut
sinh li no c p dng, nguyn nhn l v th trng Vit Nam cn non tr, cn chu
nhiu nh hng t cc chnh sch kim sot ca Nh nc, th trng vn cha hot ng
47

tht hiu qu nn khng th tm c nhng nhn t c nh hng r rt n s thay i t
sut sinh li, do vn cha th xy dng mt m hnh ng tin cy no. V thc t , nn
khi tin hnh nh gi chng khon, cc nh u t Vit Nam vn thng b qua bc d
bo t sut sinh li. iu ny d dn n cc c tnh mang tnh ch quan v khng phn nh
ht nhng thay i trong qu kh ca chng khon . Ngoi ra, cc t chc nh gi a ra
khuyn ngh u t c th d dng iu khin th trng cho nhng mc ch ring thng qua
vic nh gi da nhng trn t sut sinh li khc nhau. iu ny s tc ng n tm l ca
cc nh u t c nhn, do h tin tng vo tnh chuyn nghip ca cc t chc nh gi, khi
gi c th trng s c th b thao tng v c phiu khng cn mc gi tr thc ca n
na.
Th trng Vit Nam hin vn cn c s tham gia rt ng ca cc nh u t c nhn.
Trong , cch la chn phng php u t ca tng nh u t cng khc nhau, c nh
u t th chn u t chng khon theo phng php phn tch k thut, mt s u t da
trn tin tc, mt s khc th u t da vo tm l m ng v theo cc xu hng th trng
nhng theo kho st da trn mt kho st ca nhm tc gi
2
ti cc sn giao dch Thnh
ph H ch minh vi 500 phiu, trong vi 420 phiu y ni dung th c hn 250 nh
u t tham kho cc phn tch c bn ca cc cng ty chng khon pht hnh thc hin
kinh doanh. Hu ht nh u t u bit u im ca phng php ny c ri ro thp
v h rt hiu v nm vng hot ng cng ty, s bin ng theo xu hng chung ca nn
kinh t v nu u t theo trng phi gi tr ca Warren Buffet c th t c li nhun rt
cao, v bng phng php phn tch c bn c th pht hin ra nhng c phiu tt c th
trng nh gi thp v khi th trng nhn ra gi tr thc s ca c phiu ny th gi ca n
s tng cao v nh u t thu c li nhun ln.
Ngoi ra, yu t u t tm l by n v theo xu hng ca th trng chng khon vit
nam cng c xu hng gim trong nhng nm gn y (theo kho st ca chng ti th yu t
ny chim khong 15%) v cc nh u t nhn ra rng s rt ri ro khi nhng nh u t
chim vn ln trn th trng gp ri ro v cng khng d c thng tin chnh xc hin cc
nh u t ln ny ang d nh s mua c phiu no, gi c s c y ti bao nhiu.
Nu thng tin nhn c qu tr hay khng chnh xc th nh u t c th phi chu thua l.
Cn i vi phng php u t theo phng php k thut th cng c nhc im l rt d
b nh la nu mt nh u t no ang kim sot mt c phiu nht nh v thc hin
vic mua bn to cung o, cu o. Cc nh u khc nu ch da vo cc ch bo k thut

2
Ph lc 12
48

m khng c cc phn tch khc th s lm tng y l c phiu tt c nhiu ngi quan
tm.
Thm vo , kin thc v chng khon ca cc nh u t cn hn ch nn vic phn
tch cc th gy rt nhiu kh khn v bt li cho cc nh u t. Khng nhng th, do
phn tch k thut ch yu l dng th, s dng cc m hnh v cng thc ton hc nn
vic ny s c giao cho my mc lm s thch hp hn con ngi. Chng ta cng thy l
hng trong phng php u t ny, vic lp trnh cho my tnh t ra quyt nh theo trng
phi phn tch k thut to ra ra ngy en ti trong lch s chng khon th gii,
DowJones gim 1000 im trong vng cha y 1 ting ng h, c ti 60% lnh t mua
bn chng khon l do my tnh t ng thc hin v nhiu t chc cng nh nh u t
trng tay v qu tin tng vo cc m hnh phn tch k thut m khng s dng cc cng
c v bin php phn tch khc.
Ngoi ra, theo ngun d liu tng hp t thc t ca cc cng ty nh gi hin nay th
chng ti thy rng trong cc phng php nh gi theo phn tch c bn ny th cc nh
nh gi ch yu da vo phng php nh gi gi trn thu nhp (P/E) v gi trn gi tr s
sch (P/BV). V nu vic nh gi da trn k thut chit khu dng tin th h ch yu dng
phng php hin gi dng tin hot ng (OFCF) v hin gi dng tin vn c phn (FCFE)
kt hp vi vic nh gi theo phng php P/E v P/BV.
n y, chng ta li c nhiu nghi vn liu rng phng php nh gi theo m hnh
chit khu dng tin v m hnh nh gi tng i c th l cng c hu ch cho nh u t
chng khon kim li hay khng v hai m hnh ny th m hnh no c th vn dng tt
th trng Vit Nam. Chng ta hy xem thc trng vic vn dng cc m hnh ny Vit
nam nh th no.

2.3.1 Cc m hnh s dng phng php chit khu dng tin
2.3.1.1 Thc trng vn dng phng php chit khu dng tin nh gi
chng khon ti Vit nam
xc nh c tnh ng n ca cc phng php nh gi ni chung v phng
php chit khu dng tin ni ring tc ng hiu qu kinh doanh chng khon ca cc nh
u t vit nam. Chng ti tin hnh thu thp cc bi nh gi cc cng ty chng khon
ti cc thi im c th thnh ph h ch minh cho mt s c phiu trn sn HOSE ch yu
qua cc nm 2009, 2010 bit c nu nh u t kinh doanh chng khon theo cc
khuyn ngh (mua, bn hoc nm gi) ca cc cng ty chng khon ny th c em li mt t
sut sinh li hp l hay khng bng cch so snh gi ca cc c phiu ca cc cng ty nh
49

gi cng vi khuyn ngh ca n so vi gi ng ca ca cc c phiu bin ng thc t
trn sn HOSE sau thi gian cc bi nh gi .
Cc khuyn ngh ny da trn quy tc sau: Khuyn ngh Mua nu gi mc tiu cao hn
gi th trng 20%. Khuyn ngh Nm gi nu gi mc tiu (gi theo phng php nh
gi) cao hoc thp hn gi th trng 10% v khuyn ngh Bn nu gi mc tiu thp hn
gi th trng 20%. Qua thng k
3
gi bin ng sau 5 phin gia dch vi vic nh gi ca
cc cng ty chng khon chng ti c nhn xt nh sau:
Th nht, c s khc bit ng k gia gi theo phng php nh gi v gi ca th
trng qua cc phin giao dch. Theo bi phn tch Cng ty c phn chng khon i Vit
(DVSC) (8/2010) d bo gi chng khon ca Cng ty c phn pht trin nh Th c
(TDH), nhm tc gi nh gi cho c phiu TDH bin ng vo qu 4 nm 2010 khong
55.215 ngn ng theo phng php OFCF (chim t trng 30%), phng php FCFE
(chim t trng 20%) trong vic xc nh gi khuyn ngh, v nhm tc gi ny a ra
khuyn ngh mua vi bng tm tt nh sau:
PHNG PHP NH GI GI
T TRNG CC
PHNG PHP
BNH QUN
GIA QUYN
OFCF 53.084 30% 15.925
FCFE 56.146 20% 11.229
P/E 55.402 25% 13.85
P/BV 56.481 25% 14.12
Gi bnh qun 100% 55.125
Nhng trn thc t, gi bin ng sau ngy bo co ny cng b chnh lch nhau rt
nhiu. Hu ht gi trn sn gim mnh v chnh lch gim t 18% n 40%. Hoc ngy
15/12/2010 CTCP chng khon Tn Vit (TVSI) nh gi cho c phiu cng ty c phn xi
mng Hong Mai (HOM) theo phng php OFCF, FCFE v P/BV vi gi mc tiu 21.6
ngn ng cng vi khuyn ngh mua v nm gi nhng gi thc t ca cc phin giao dch
sau cao nht vn thp hn so vi mnh gi - gi thc t cao nht l 9.5 ngn ng v thp
nht l 6.8 ngn ng.
Mt trng hp khc, ngy 24/9/2010 nhm tc gi ca cng ty chng khon H Thnh
(HASC) s dng 2 phng php nh gi cho c phiu ca Cng ty c phn Cao Su Sao
Vng (SRC) l phng php OFCF ba giai on v phng php ch s P/E, P/BV c kt qu
nh bng sau :

3
Tham kho bng 2.3.1.1 ph lc 2
50

PHNG PHP NH GI GI
T TRNG CC
PHNG PHP
BNH QUN
GIA QUYN
OFCF 19.703 60% 11.822
P/E 8.341 20% 1.6682
P/BV 37.377 20% 7.4754
Gi bnh qun 100% 20.965
Nhm tc gi phn tch tc tng trng ca nn kinh t Vit Nam ti thi im ny
v cho rng vit nam ang mc tng trng tng i n nh lm cho thu nhp ngi
dn cng ngy cng cao hn. Do vy, nhu cu v xe p s gim xung thay vo l nhu
cu v t, xe my ngy cng cao c bit l t. Trong khi SRC l doanh nghip kinh
doanh ch yu v sm lp xe p. Do h chia tc tng trng ca SRC thnh 2 giai
on. Giai on mt l trong 3 nm 2011-2014 tc tng trng li nhun l 13.53% vi
WACC t 13.73%. Giai on hai l trong 5 nm tip theo 2014-1019 tc tng trng l
27.58% do trong khong thi gian ny SRC s hon thnh xong 2 d n a vo hot ng
khin cho li nhun s tng cao hn. ng thi sn phm sm lp my bay s to li th
cnh tranh mi cho SRC cng vi d n BS ti Thanh Xun. Do vy gi ca SRC theo
phng php nh gi ny l 19.7 ngn ng trn 1 c phiu v theo phng php ch s P/E
v P/B th h nhn nh rng ch c 3 doanh nghip cng ngnh tp trung sn xut sm lp
c h s dng tin hnh so snh nh gi theo phng php ny. Theo tnh ton P/E v
P/B trung bnh c s dng mc an ton ln lt l 4.73 v 1.73. Gi ca SRC c nh
gi theo phng php ny l 8.34 v 37.37 ngn ng trn 1 c phiu tng ng EPS d
phng 1.763 ngn ng v BV ti thi im hin ti l 21.57 ngn ng. Tuy nhin, gi thc
t khng bin ng ng nh gi mc tiu m nhm tc gi ca cng ty ny ra, gi thc t
bin ng sau 5 phin thp nht l 17.9 ngn ng v cao nht l 27.7 ngn ng, tc l bin
ng gim cao nht l 14.6% v bin ng tng cao nht l 32%.
Th hai, gi thc t ca cc phin giao dch c chiu hng ngc li so vi nhng
khuyn ngh ca cc cng ty ra khuyn co ny. Ngy 13-08-2009 Cng ty c phn chng
khon Rng Vit (VDSC) a ra khuyn ngh mua chng khon Cng ty c phn u T
xy dng Bnh Chnh (BCI) vi nh gi l 54.93 ngn ng trong khi gi bin ng cc
phin giao dch ch c 1 trng hp c gi thc t 60.5 ngn ng (ngy 12-10-2009) cao
hn gi khuyn ngh ny nhng chng ch cao hn 9.2% ( thp hn 20%) cn li th hu nh
l khng ph hp, gi ca cc phin giao dch tip tc lao dc ch cn 42.1 ngn ng (31-
12-2009). n vi khuyn ngh nm gi ca CTCP chng khon Tn Vit (TVSI) ngy 12-
51

11-2010 cho CTCP u t Cng nghip Tn To (ITA) vi gi mc tiu l 20.3 trong khi
gi khp cc phin giao dch sao rt thp t 13.5-15 ngn ng. Hoc ngy
24/12/2010 nhm tc gi Cng ty chng khon H Thnh nh gi cng ty c phn Kinh
Doanh Kh Ha Lng Min Bc theo phng php OFCF 2 giai on: Giai on 1 t nm
2011 2015 tc tng trng li nhun ca PVG t khong 14.5%, chi ph vn trung bnh
giai on ny khong 10.12%, giai on 2 tc tng trng li nhun chng li do th
trng tiu th bt u n nh, lc ny tc tng trng hng nm trong giai on 2015
2020 t 8%/nm, chi ph vn trung bnh khong 15%. Nm 2010, li nhun m PVG c th
t c khong 33 t ng tng ng EPS nm 2010 tnh trn hn 26 triu c phiu t
1.24 ngn ng. T nm 2011 2020 s c 35 triu c phiu PVG lu hnh trn th trng.
Theo phng php nh gi ny th gi ca PVG t 13.4 ngn ng cng phng php P/E
v P/B, nhm tc gi ny cho rng trn th trng nim yt hin nay c 7 cng ty hot ng
trn lnh vc kinh doanh ging vi PVG trong hot ng ca 2 doanh nghip l Cng ty
c phn Tp on Du kh An Pha (ASP) v Cng ty c phn Thng mi v Dch v du
kh Vng Tu (VMG) li nhun m trong 4 qu gn nht. Do chung ti loi tr 2 doanh
nghip ny ra khi nh gi PVG theo 2 phng php ny. Chng ti tin hnh so snh PVG
vi 4 cng ty cng khc bao gm Cng ty c phn MT GAS (MTG), Cng ty C phn Gas
Petrolimex PGC, Cng ty c phn Phn phi kh Thp p PGD, Cng ty c phn Kinh doanh
kh ha lng min Nam PGS v a ra mc trung bnh ngnh nh gi. Mc P/E v P/B
trung bnh ln lt l 7.09 v 1.83 ln. EPS d phng trong nm nay 2010 t 1.24 v BV ti
thi in hin ti l 11.29 ngn ng. Vy gi c phiu PVG c nh gi theo 2 phng
php ny l 8.795 ngn ng v 20.72 ngn VND.
T , tng hp 3 phng php trn theo t l 6:2:2 th gi mc tiu ca PVG ti thi
im ny l 13.94 ngn ng vi khuyn ngh bn nhng theo quan st ca chng ti th nh
u t nn nm gi c phiu ny v gi thc t ch giao ng t 10.3 n 13.7 ngn ng.

2.3.1.2 Nhng kh khn trong vic p dng phng php chit khu dng tin
nh gi chng khon ti Vit Nam
Phng php nh gi chit khu lung thu nhp (DCF) c da trn mt nguyn l
c bn l tin t c gi tr theo thi gian, mt ng tin ca ngy hm nay lun c gi tr
hn mt ng tin ca ngy mai, mt ng u t vo trong doanh nghip ny c mc
sinh li khc vi mt ng u t trong doanh nghip khc, do , gi tr ca doanh
nghip c xc nh bng cc lung thu nhp d kin m doanh nghip thu c
52

trong tng lai c quy v gi tr hin ti bng cch chit khu chng bng mt mc li
sut chit khu ph hp vi mc ri ro ca doanh nghip .
Do vy, trong phng php DCF c 3 thng s c bn nht cn c xc nh, l
lung thu nhp cng ty s thu v trong tng lai, mc li sut chit khu lung thu nhp
v thi hn tn ti d tnh ca doanh nghip. Phng php ny c p dng ph bin
nhng nc th trng chng khon pht trin, ni thng c y thng tin v lch s
cng nh thng tin hin ti v d bo hp l v tnh hnh ti chnh v ri ro ca doanh
nghip.
Hin nay, vic p dng cng thc ny Vit Nam cng c nhiu ngi chp nhn
bi gi c phiu tnh theo phng php ny phn nh c tng i y mi mt bn
cht hot ng sn xut kinh doanh ca cng ty so vi cc phng php khc v ng trn
quan im ca nh u t th ngoi vic tnh ton theo phng php ny rt n gin, n
cn p ng ng suy ngh, nguyn vng ca h khi u t vo mt doanh nghip.
Tuy nhin, ti Vit Nam vic p dng cng thc ny c mt s kh khn lm cho vic
c tnh ngun thu trong tng lai ca cc cng ty kh c th chnh xc nh: Tnh hnh
mi trng kinh doanh c nhiu bin ng. Cc doanh nghip Vit Nam u cha quen
vi lp k hoch sn xut kinh doanh di hn, c bit l cn xa l vi vic d bo chi tit
lung tin di hn ra, vo cng ty.

Kh khn trong xc nh dng tin chit khu
Trong m hnh chit khu dng c tc DDM th dng chit khu y chnh l dng c
tc k vng, dng c tc ny c d bo da vo kt qu d bo li nhun sau thu ca
doanh nghip.
D = T l chia c tc Thu nhp sau thu ca doanh nghip.
T l chia c tc da trn chnh sch phn chia li nhun, cc khon u t v dng li
nhun sau thu ca cng ty trong tng lai. Thng thng i vi cc doanh nghip Vit
Nam thng c t l chi tr c tc bng tin mt l 12%-20% / c phiu. Tuy vy, cc doanh
nghip ti Vit Nam hin nay kt hp gia vic chi tr c tc bng tin mt vi chi tr c tc
bng c phiu. M theo cng thc tnh ton trn nhng c tc bng c phiu hon ton khng
c tnh vo trong dng chit khu. D cho t l cc cng ty thc hin hnh thc chi tr c
tc bng c phiu khng din ra thng xuyn, xong vic xut hin thm hnh thc chi tr
mi ny khin cho nh gi bng m hnh DDM em n mt mc gi thp hn so vi thc
t. Nht l trong t chia c tc theo hnh thc ny vo nm 2007 rt nhiu cng ty thc hin
chnh sch chi tr c tc bng c phiu.
53

Cn vi m hnh OFCF v FCFE th theo hng dn trong Ph lc s 2 ban hnh km
theo Thng t s 126/2004/TT-BTC ngy 24/12/2004 ca B Ti chnh quy nh vic tnh
ton li nhun sau thu trong tng lai ca doanh nghip da vo s liu ti chnh ca cng
ty qua 5 nm. Nhng thc t ti Vit Nam hin nay, vi h thng lu tr thng tin cn yu
km nn cc t chc nh gi thng ch da c vo bo co ti chnh trong 3 nm hay 4
nm trong qu kh cng vi vic doanh nghip cha c thi quen ln k hoch hot ng di
hn cho mnh trong tng lai. Nn thng s ny cha thc s p ng c cc yu cu t
ra. Khng nhng th, c hin tng mt s cng ty ch ra cc phng php, k hoch pht
trin vi mc ch l a ln co bch cho nh u t nhn thy cng ty mnh cng c tim
nng pht trin thu ht nh u t. y l nhn t nh hng nhiu nht i vi vic nh
gi khng khp lm trong thi gian va qua.

Kh khn trong xc nh t l chit khu
Trong phng php xc nh gi tr doanh nghip theo phng php dng chit khu cc
cng ty thng s dng li sut chit khu c xc nh: R= R
f
+ R
p

Vi R
f
: T sut sinh li phi ri thng c tnh bng li sut ca tri phiu
Chnh ph c k hn 5 nm thi im gn nht. Tuy nhin Vit Nam hin nay,
th trng tri phiu chnh ph cha thc s pht trin v thu ht nhiu nh u t
tham gia. Tri phiu cha c u thu theo nh k, cc phng thc pht hnh
khc cng cha u n v hp l.
R
p
: T l ph ph ri ro tnh cho cc c phiu trn th trng Vit Nam c xc
nh theo bng ch s ph ph ri ro chng khon quc t.
Thc cht y l m hnh CAPM, Vi R
p
= *(R
m
-R
f
). Tuy nhin vic p dng m hnh
CAPM vo th trng mi ni nh th trng chng khon Vit Nam l khng thc s hp l
vi cc gi thit xy dng ln m hnh v cng cha c nghin cu ton din ch r cch
xc nh t sut sinh li ca chng khon. Thng th phn b ri ro trong tng lai l phn
b ri ro trung bnh trong qu kh, tuy nhin tng lai li khng thc s din ra nh nhng
g din ra trong qu kh. nc ta t l phn b ri ro c cc cng ty p dng theo t
l ca th gii bng cng thc sau :
MRP_VN* = MRP_M + R
n
+ R
x

Trong :
R
n
l ri ro quc gia c xc nh da theo xp hng ca Moodys.
R
x
l ri ro t gi tc l chnh lch li sut huy ng tin Vit nam v USD VN.
54

iu ny cng khng trnh khi nhng nghi ngi rng t l y c thc s ng vi c
im th trng Vit Nam ang tn ti hay khng. Mi quc gia c mt c im kinh t x
hi khc nhau, ngi ta khng th v nhng ri ro ca quc gia ny ngang bng vi nhng
quc gia khc, cng ging nh khng th coi nhng c phiu cng ty ny ri ro ngang c
phiu cng ty khc c php p dng mt mc li sut chit khu ging nhau vo tnh
gi. Cn vic cho mt nh u t t mnh tnh t l ph ph ny th thc s rt kh khn,
nu khng c mt c quan hot ng chuyn nghip no ng ra tnh ton nhng ch tiu
trn th vi mt nh u t c nhn s khng th tnh ra mt cch chnh xc v hon thin
c vi nhng hn ch vn c ca mt nh khng chuyn. M hnh chit khu c tc
(DDM) dng nh rt ph hp vi iu kin ca rt nhiu quc gia, tuy nhin cc th
trng mi ni vi nhng bt hon ho ca th trng th vic p dng m hnh ny thc s
kh khn v cn nhiu bt cp, l n nh gi khng chnh xc v thng h thp gi tr
ca nhng cng ty ang tng trng, khng chia c tc hoc chia c tc vi t l thp so vi
li nhun, bt cp trong xc nh li sut chit khu.
Ni tm li, vi phng php DCF khi ng dng ti Vit Nam c mt s vn sau:
Gi tr ti sn rng hon ton da trn gi tr s sch, khng c lin h nhiu vi
gi tr th trng ca nhng ti sn ny v chu nh hng rt nhiu bi cc chnh
sch k ton c s dng.
Li nhun trong tng lai ch l c tnh da trn gi nh ca tng c nhn.
Gi tr sinh li ca doanh nghip t sau nm th 5 hon ton b b qun v khng
c tnh vo gi tr thc, trong khi phn gi tr ny l khng nh trong ton b
gi tr ni ti ca mt chng khon.

2.3.2. Cc m hnh s dng phng php nh gi tng i
2.3.2.1 Thc trng vn dng phng php nh gi tng i nh gi chng
khon ti Vit nam
Tng t nh vi phng php chit khu dng tin, i vi phng php nh gi tng
i ny chng ti cng thng k
4
bin ng ca gi sau 5 phin giao dch vi vic nh gi
ca cc cng ty chng khon v rt ra cc nhn xt:
Vi thng tin a ra ngy 30-8-2010 ca Cng ty c phn chng khon Thnh ph h ch
minh (HSC) phn tch nh gi cho c phiu ca cng ty c phn Xut nhp khu Y t
Domesco (DMC) theo ch s P/E vi mc gi mc tiu khong 36.34 ngn ng v a ra

4
Tham kho bng 2.3.1.2 ph lc 2
55

khuyn ngh mua nhng theo bin ng gi t cc phin giao dch sau vi mc gi cao
nht l 36.4 ngn ng bin ng tng hn so vi gi mc tiu khng nhiu lm v ch yu
l thp hn gi mc tiu. Khuyn ngh nm gi Cng ty c phn nh Dng Vit Nam
(VNS) c nh gi bi cng ty c phn chng khon bn vit ngy 2-3-2010 vi mc gi
mc tiu 56 ngn ng nhng sau theo giao dch cc phin th gi thc t ca chng
khon ny lao dc t 36.9 n 29 ngn ng tng ng vi mc bin ng gim t 34% n
48%. n vi trng hp bn, chng ta cng c kt qu tng t i vi chng khon CTCP
Thp Vit (VIS) c nhm tc gi ca cng ty c phn chng khon min nam nh gi.

2.3.2.2 Nhng kh khn trong vic p dng phng php nh gi tng i
nh gi chng khon ti Vit Nam
y l phng php cng c p dng ph bin cc th trng chng khon
pht trin. H s P/E l h s gia gi c phiu (th gi) v thu nhp hng nm ca mt c
phiu em li cho ngi nm gi. Thng thng, d tnh gi ca mt loi c phiu
ngi ta thng dng thu nhp trn mi c phiu ca cng ty nhn vi h s P/E trung
bnh ngnh hoc ca mt cng ty tng t v qui m, ngnh ngh v c giao dch
trn th trng.
Vic p dng h s P/E tnh gi c phiu ti Vit nam cn gp phi nhiu kh khn
do thiu s liu v th trng chng khon cha pht trin. Ti cc th trng pht trin,
theo s liu thng k v ch s P/E, h s ny t 8 n 15 l bnh thng, nu h s ny
ln hn 20 th cng ty ang c nh gi rt tt v ngi u t trng i trong tng
lai, mc thu nhp trn mt c phiu ca cng ty s tng nhanh. Trng hp cng ty c h
s P/E thp c th l do th trng khng nh gi cao cng ty hoc cha hiu bit
nhiu v cng ty. Khi tt c cc c phiu trn th trng u c gi qu cao so vi gi tr
thc ca ca n th phn bong bng s vt qu phn thc v s gy ra khng hong th
trng nh tng thy cc nc pht trin.

Kh khn v thiu thng tin
Khi tin hnh nh gi theo phng php P/E, hu nh khng th la chn c P/E ph
hp vi doanh nghip cn phn tch. Mt phn v trn th trng nc ta khng thc s c
nhiu cng ty hot ng trong cc ngnh ngh, c bit th trng cn tn ti nhng doanh
nghip hot ng c quyn trong nhiu lnh vc, hay nhng doanh nghip nh nc chim
u th c kh nng chi phi hot ng trong ngnh. Ch s P/E Vit Nam khng th hin
c ch s trung bnh ngnh, khng i din c ton b hot ng ca th trng.
56

Trn th trng nc ta cha c mt t chc no ng ra thng k, thu thp cc s liu c
bn ngnh nh: Doanh thu v t sut sinh li trung bnh ngnh, thng k P/E trung bnh
ngnh hay nh vic xp hng cc cng ty trong ngnh cng khng c thc hin. Nn khi
tin hnh nh gi chng khon, nh u t phi ch ng tnh P/E cho chng khon .

Nhng bt n trong tnh EPS
Vic tnh EPS cng ty c th thay i bng cch thay i cc phng php khu hao, Kt
qu EPS c tnh tu thuc rt nhiu vo phng php k ton ca mi cng ty. Mt s la
chn cc phng php khu hao khc nhau s nh hng n li nhun bo co trong k, nh
hng n EPS. Thay i phng php nh gi li hng tn kho, qu trnh hoch ton cc
khon chi ph nh chi ph nghin cu v pht trin (R&D) lm khon u t v c khu
hao trong qu trnh sp nhp hai cng ty, ngi ta c th hoch ton li khon n thu ca
cng ty cho ra kt qu li nhun nh mong mun. M cc chun mc k ton kim ton
nc ta khng thc hon ho (khng c cc quc gia trn th gii cng nhn). i vi ch
s P/E, theo thng l quc t, l khon li nhun m nh u t thu c ch tnh n c tc
v gi chch lch gia gi mua v gi bn, th nc ta bin s EPS c m rt ln m cc
cng ty cng vo y EPS tng ln cao. Trn th gii EPS c tnh bng cc khon chi
ph sau thu y gm cc khon nh: Qu khen thng, cc khon d phng ti chnh,
quyn c mua c phiu u i i vi cc cn b cng nhn vin trong doanh nghip (y
l hin tng cc doanh nghip khi pht hnh c phiu ra cng chng h c nhng chnh
sch bn u i cho cng nhn vin trong doanh nghip trc khi thc hin bn ra cho nh
u t bn ngoi). Vit Nam EPS c tnh m khng tr i bt c phn li nhn sau thu
no, dn n kt qu tnh ton cao hn rt nhiu so vi vic tnh ton EPS trn th gii. Hn
na, cn c mt s thu nhp khc cng c tnh vo EPS nh:
Khon li nhun m cc nh u t chng khon u t vo c phiu OTC c c
quyn mua c phiu mi khi cng ty quyt nh pht hnh thm nhm tng vn iu
l, khi cng ty mun m rng hot ng kinh doanh. C phiu pht hnh theo mnh
gi hoc theo gi tho thun trc c mt s chnh lch ln vi gi ang c giao
dch trn OTC hoc trn sn, iu ny mang li mt khon thu nhp ln trn mi c
phiu.V d trong thng 01/2007, khi c tin Ngn hng Thng mi C phn Si Gn
H Ni-SHB s pht hnh c phiu mi vi t l 1:1 ngay lp tc gi c phiu tng t
2.9 triu ng/c phiu ln 4.6 triu ng/c phiu.
Cc doanh nghip chia c phiu cho c ng t ngun thng d vn. y l khon
thu ln nht m nh u t c c. V d nh khi VPBank bn 10% cho tp on
57

Ngn hng OCBC ca Singapore, khon chnh lch gia gi bn tha thun c
VPBank chi tr cho c ng di dng c phiu vi t l 35% (tc l c s hu 100
c phiu s c 35 c phiu mi chi tr thm).
Thu nhp ca ngi s hu c phiu t ngun thu nhp bt thng khc ca doanh
nghip. l cc khon bn ti sn, thanh l ti sn khu hao ht gi tr. Nh
trong nm 2006, Ngn hng Thng mi c phn Qun i chuyn nhng khch sn
ASEAN vi gi trn 290 t ng, sau khi tr ht chi ph ng thi cng vi cc
khon thu nhp khc Ngn hng tin hnh chia c phiu vi t l 42% (tc l c s
hu 100 c phiu trong vng 1 nm s c nhn thm 42 c phiu mi). Bng vic
tnh thm cc khon thu nhp khng theo thng l th gii v tnh hay c cc doanh
nghip Vit Nam c th y ch s EPS tng ln rt cao.
Ni tm li, vi phng php s dng h s P/E khi s dng Vit Nam ny sinh mt s
vn :
Liu EPS c phn nh ng li nhun "thc" khng hay cn chu nh hng ca cc
chnh sch k ton c p dng?
Nn s dng EPS ca nm ti chnh trc, ca 12 thng kinh doanh gn nht hay ca
nm ti chnh hin thi?
Liu h s so snh c phn nh ng gi tr "thc" ca ton ngnh hay ton th trng
m doanh nghip hot ng?
Nh vy, c th thy rng, cc m hnh nh gi c phiu hin nay cn cha ng mt s
nhc im. Thc t l, vn xc nh m hnh no ph hp, m hnh no khng ph hp
tr thnh ch nghin cu v tranh ci ca gii nghin cu ti cc th trng pht trin
t nhiu nm nay. Trong , khi ch c th d on dng tin n mt thi im no trong
tng lai, vn c nhng quan im khc nhau v m hnh c cho l chnh xc hn. Ti
Vit Nam, trong cc bo phn tch chuyn su c cng b trn cc phng tin thng tin
i chng, c phiu ca cc doanh nghip thng c nh gi theo nhiu phng php
khc nhau v mc gi xc nh cui cng thng l mc gi trung bnh t kt qu c c
ca mi phng php, c tnh n trng s ca mc gi c chuyn gia cho l tin cy hn.
T thc t phc tp ca vn nh gi c phiu v rng hn l nh gi doanh nghip
nh vy, khng c khuyn co ch nh nh u t nn la chn mt phng php c th
no. Li khuyn cho nh u t l, ngoi vic nh gi c nhng u, nhc im ca tng
m hnh nh gi, iu quan trng l nh u t cn tnh to, c quan im ring, nht l
trong bi cnh ca mt th trng chng khon ang tng bc hon thin nh Vit Nam.

58

2.4 Nhng tc ng ca vic nh gi sai nh hng n th trng chng khon
Vit Nam
Ch s chng khon biu hin r nht tnh hnh sc khe ca nn kinh t. c bit cc
quc gia pht trin, bt k bin ng no t nhng ca nhng chnh sch, k hoch ca chnh
ph, nhng thay i trong tin t, t gi hi oi n nhng thay i nh trong ni b cng ty
(nht l nhng doanh nghip ln) u c phn nh chnh xc trn ch s chng khon. Nh
M c ch s ngnh cng nghip Dow Jones, Ch s Nasdaq dnh cho cc cng ty cng
ngh cao, Standard & Poors 500 ch s chng khon ngnh ti chnh ngn hng, Nht Bn
c ch s Nikkei, ch s FTSE 100 ca sn London th trng Anh, ch s DAX 30 ca th
trng c.
Vit Nam, ch s VN-Index (bnh qun gia quyn ca tt c cc chng khon ang giao
dch trn sn nim yt) tuy cha th phn nh nhy cm vi ton b nhng bin ng trong
nn kinh t nhng n cng l ch s quan trng th hin hin trng ca nn kinh t quc gia
v l c s quan trng cho nhng quyt nh u t. Mt ch s VN-Index tt chng t nn
kinh t ang c tim lc tt v c nh gi cao.
Ta c th thy s nh hng ca c phiu Vinamilk (VNM) khi chnh thc ln sn vo
u nm 2006 khi m trn ton b th trng chng khon Vit Nam mi ch c vn vn 34
c phiu c nim yt v mi c phiu nim yt cng ch s lng rt khim tn, th vi
159 triu c phiu Vinamilk (tng ng vi 1590 t ng) ngay khi ln sn chim
34.72% tng gi tr khp lnh trn th trng. Ta c th hnh dung ra s chi phi ca c
phiu Vinamilk i vi ch s VN-Index mi khi c phiu ny bin ng ln hoc xung.
Trong phin giao dch ngy 27/06/2006, VNM gim 0.63%, Kt thc phin giao dch ch s
VN-Index gim 7.68 im (tng ng gim 1.5%) xung cn 502.94 im. y l phin
th 2 lin tip ch s chng khon VN-Index gim xung gn ti 500 im do nh u t bn
ra mt s c phiu trong c VNM ca cng ty Vinamilk. Cng ngy , trn sn H Ni,
ch s HNX-Index gim 1.27 im (tng ng gim -0.68%) xung cn 185.36 im.
Ngy nay c rt nhiu cng ty nim yt trn c hai sn giao dch: H Ni v TP H Ch
Minh, khng cn c c phiu chi phi nhiu nh Vinamilk u nm 2006. Nhng mt s
bin ng ln ca mt c phiu ln th c th gy ra hiu ng by n lm cho cc c
phiu khc bin ng theo. Nht l trn th trng chng khon Vit Nam cn tn ti cc nh
u t khng chuyn, u t nh l theo phong tro, theo nhng tin n th vic nh hng
ny c th gy tc ng ng k. in hnh vo cui nm 2007, khi th trng chng khon
Vit Nam bc vo giai on pht trin bng n, c hin tng cc nh u t sn lng
nhng c phiu sp ln sn, thay v theo di cc c phiu c vi nhng phin tng gim tht
59

thng. Chnh l do ny lm cho c phiu mi nim yt lun trong tnh trng khan him, y
gi c phiu mi tng ln cao. V d nh c phiu PET (Cng ty Dch v du lch du kh),
gi trn sn l 58000 ng/CP. S truy lng ca cc nh u t trong v ngoi nc y
gi tng ln gp i t 104000 ng/CP sau mt thng. Tng t, c phiu VIC (Cng ty
c phn Vincom) c y ln mc 193000 ng, tng khong 70% so vi gi khi mi ln
sn. V tnh hay hu iu ny y ch s VN-Index tng ln ngng 1000 im. Chnh
iu lm cho c th trng si ng ln. Cc nh u t sn sng b nhng gi rt cao cho
bt k c phiu no trn th trng. P/E ca mt s cng ty ln, nht l ca ngnh ngn hng
ln ti 35-40. Cn khi hng lot nhng cng ty nh ra mc gi cao hn gi tr thc c
phiu sau rt lin tc gy hoang mang cho c th trng. Tiu biu nh hin tng chng
khon rt gi hng lot t thi im thng 03/2008 n 05/2008. Trong khng y 4 thng
ch s VN-Index rt t trn 1.000 im xung di 500 im. C phi chng nn kinh t
nc ta gp khng hong, cc cng ty u thu l, hay ti mt nguyn nhn khc. Nguyn
nhn dn n hin tng chng khon gim hng lot ny th c nhiu, nhng phi k n
mt nguyn nhn l hin tng trc gi chng khon b y ln qu cao. Sau
gim gi tr v gi tr thc ca mnh, tuy nhin cc nh u t li khng nhn ra c
nhng chng khon no bt n trong gi a ra, nhng chng khon no c nh gi hp
l. M khi nh u t thy rng nhng chng khon ln rt gi mnh so vi gi ban u, nh
u t cng cho rng nhng chng khon khc cng b nh gi sai cao qu v h bt u
iu chnh, tr mc gi thp hn. Nh mt dy truyn ngi ny tc ng n ngi kia lm
c th trng b nh hng.
Nu hin tng cc cng ty nh p dng mt cch ty tin nhng phng php nh gi
khc nhau tm ra mc gi ph hp vi yu cu, mc ch ca mnh, bt chp sau ra
ngoi th trng tng hay gim, n c tr v vi gi tr thc t hay khng, th cc nh u t
s khng cn lng tin khi u t vo th trng Vit nam na. Hay c i chng na h s
nh gi thp nhng cng ty trn sn, nh gi thp nn kinh t nc ta. Khi bt k cng ty
no khi a gi tham chiu nim yt cho d cc cng ty ny c c nh gi ng hay
khng, tm l ca cc nh u t cng nghi ng khng dm u t qu nhiu, tr gi cao cho
c phiu. V cc nh u t khng c ch kin s hoang mang giao ng, hnh ng theo
tro lu c th dn n hin tng VN-Index bin ng tht thng m khng c nguyn do
chnh ng. Nh vy ch s VN-Index khng cn l ch s tiu biu cho nn kinh t nc ta
nc na. Mt i ngha thc s ca mt ch s chng khon ca mt quc gia. C th hn,
i su vo cc phng php nh gi ca cc cng ty chng khon m c chng ti thu
thp trn, cho thy rng, nu nh khng c cc m hnh d bo, xc nh xu hng bin
60

ng ca cc chng khon ni ring v ch s VN-Index ni chung th nhng khuyn ngh
tri chiu ca cc cng ty v nhng din bin bt thng ca cc ch s s khng ci thin
c.

2.5 S cn thit phi c mt m hnh d bo t sut sinh li trong u t chng
khon Vit Nam.
Thc trng th trng chng khon Vit Nam hin nay cho thy s cn thit phi ng
dng cc m hnh kinh t - ti chnh xc nh ri ro v li nhun ca c phiu. M hnh th
c nhiu, tuy nhin, la chn mt m hnh va n gin va p dng hiu qu ti th
trng chng khon Vit Nam li l mt ngh thut. p ng hai tiu ch ny c th k n
hai m hnh ni ting l m hnh nh gi ti sn vn CAPM v m hnh 3 nhn t Fama-
French. Tuy nhin, vic nghin cu v ng dng m hnh CAPM ti Vit Nam c thc
hin bi nhiu tc gi v cng cho thy nhng hn ch nht nh, trong khi , m hnh
Fama-French th cha c nghin cu. V vy, bi vit ny mun gii thiu cho ngi c
v cch s dng m hnh 3 nhn t Fama-French song song vi m hnh CAPM mt cch d
hiu nht d bo t sut sinh li v cch nh gi tng chng khon ni ring v danh mc
ni chung cng vi tm ra cc hn ch ca cc phng php nh gi chng khon Vit
nam chng ta c mt ci nhn ton din hn v u v nhc im ca cc phng php
nhm em li mt kt qu kh quan trong vic u t vo th trng chng khon Vit nam.
Ti Vit Nam, thng 11/1996, y ban Chng khon Nh nc (SSC) c thnh lp.
Ngy 20/07/2000, th trng chng khon Vit Nam chnh thc c khai trng bi phin
giao dch chng khon u tin ti Trung tm giao dch chng khon TP. H Ch Minh
(HoSTC), sau ny i thnh S Giao dch chng khon TP. H Ch Minh (HOSE), nh du
mt khi u trong vic hnh thnh v pht trin th trng chng khon Vit Nam. Nm
nm sau, Trung tm giao dch chng khon th hai c thnh lp ti H Ni (HaSTC) vo
thng 3/2005.
Vo nhng nm u, khi lng giao dch v vn ha th trng chng khon Vit Nam
l tng i thp, c th vo nm 2002 l khong 2000 t ng. Tuy nhin, con s ny tng
ln nhanh chng vo nhng nm sau , in hnh l vo thng 5 nm 2007, mc vn ha th
trng l 504 ngn t ng xp x bng 40% GDP, vt qua mc m Chnh ph ra
trong Quyt nh s 163/2003/Q-TTg ra ngy 5/8/2003 l phi phn u a tng gi tr th
trng n nm 2005 t mc 2-3% GDP v n u nm 2010 t mc 10-15% GDP. Tc
pht trin nhanh ca th trng chng khon Vit Nam hp dn cc nh u t trong v
ngoi nc, do , s lng ti khon chng khon ng k tng ln nhanh chng. Theo
61

ngun bo co ca Trung tm truyn d liu (VDC) v B Cng nghip Vit Nam th con s
ny vo cui nm 2000 mi ch c khong 5000 ti khon giao dch, n cui nm 2006, con
s ny tng ln 106000 ti khon v tnh n thng 5/2008 th s lng ti khon ca nh
u t m ti cc cng ty chng khon ln ti trn 430000 ti khon.
Nm 2007, th trng chng khon Vit Nam c xem l mt trong nhng th trng
mi ni si ng nht khu vc Chu . ng ca phin giao dch cui cng ca nm, VN-
Index t 920 im vi t sut li nhun ton th trng l 35.05%. Trong khi , cng thi
gian ny, ch s MSCI Emerging Markets (ch s ca cc th trng chng khon mi ni
trong c cc nc khi BRIC) cho t sut li nhun ch l 33.35%. Khng nhng vy, v
mt li nhun, th trng chng khon Vit Nam cng vt tri hn so vi mt s th trng
mi ni khc nh Thi Lan (30.45%), Phillipines (23.58%), Nga (19.8%) v Mexico
(14.22%). Th trng chng khon Vit Nam vo nm 2007 cng c la chn l mt trong
nhng i din ca Chu c mt trong danh sch cc th trng tin phong bi hai tp on
ti chnh ln v c uy tn S&P v MSCI.
Vi s pht trin nhanh chng ca th trng chng khon Vit Nam, vic u t vo
lnh vc chng khon tr thnh mt knh u t kh hp dn, em n lc quan cho cc nh
u t v cc nh lm chnh sch. Tuy nhin, vi bn cht l th trng mi ni, cn non tr
v cha nhiu bin ng th vic u t vo th trng chng khon Vit Nam cng cha
ng khng t ri ro. iu ny c th hin r qua tnh hnh bin ng ch s VN-Index. C
th l khi th trng chng khon Vit Nam mi thnh lp c 6 thng th ch s VN-Index
t mc 570 im, nhng sau li nhanh chng rt xung mc thp nht l 130 im
vo nm 2003. Tnh n thi im cui thng 3/2007, ch s VN-Index li t mc cao k
lc 1170.67 im vo phin ngy 12/03/2007 v sau gim dn v ch cn 370.45 im
(ngy 11/6/08). Bin ng vo nhng thng u nm 2008 ca th trng chng khon Vit
Nam khng khi lm cho nhiu nh u t bt ng khi ch s VN-Index lin tc ph nhng
ngng h tr v to y mi. Nu nh hai nm 2006-2007, th trng chng khon Vit
Nam pht trin bong bng vi tc nht nh th gii th sang nm 2008 cng ng u v
tc suy gim. VN-Index m u phin giao dch nm 2008 t 921.07 im, tnh n ngy
29/12/2008, VN-Index ang mc 308 im, bng 1/3 so vi u nm ng k VN-Index
c lc ri xung 286.85 (18/12/2008) v n nm 2009 ch s ny cn gim mc thp nht
271.5 im (13/2/2009) v dao ng trung bnh khong 456.75 im trong hai nm 2009-
2010.
Mt iu ng ch l phn ln cc nh u t ti th trng chng khon Vit Nam l
nh u t c nhn, chim khong 90% tng s lng ti khon ng k v chim khong
62

70% tng gi tr giao dch. Nhng nh u t ny thng l nhng ngi t kinh nghim v
thiu kin thc v chng khon. H ch yu u t theo tm l m ng v cng l nhng
ngi b thua l nhiu nht khi th trng c nhng t iu chnh. Trong tnh hnh ln
xung kh tht thng ca th trng chng khon Vit Nam, th vic xem xt cc yu t nh
hng n t sut sinh li ca c phiu gim thiu cc ri ro cho tt c cc nh u t ni
chung v cc nh u t c nhn ni ring l mt bi ton kh. iu ny dn n vic tm ra
mt m hnh phn tch t xc nh cc yu t nh hng n t sut sinh li c phiu
ti th trng chng khon Vit Nam l rt cn thit, n khng nhng gip cho cc nh u
t c thm mt cng c tham kho trong qu trnh u t ca mnh m cn gip gp phn
lm cho hot ng u t ti th trng chng khon Vit Nam tr nn chuyn nghip hn.

KT LUN CHNG 2
C hi tng trng cao, cc nhn t v m nh s thay i ca lm pht, li sut, t gi
nh hng mnh m nht n gi chng khon ti th trng Vit Nam hin nay. Ngoi ra 2
nhn t tc ng mnh nht c th k n l cc bin php, chnh sch ca chnh ph v
tm l by n ca cc nh u t.
Cc m hnh nh gi c p dng ti Vit Nam a phn khng phn nh ng v th
ca th trng bi nhng nguyn nhn nh: thiu thng tin hoc cht lng thng tin khng
c tin cy cao, nhng giao dch c vn , nhng bt cp trong h thng chun mc k
ton Vit Nam, quy m th trng cn nh, vn cng ty gia nh v trnh hiu bit
chung ca cc nh u t Vit Nam cn thp.
Thm vo , th trng chng khon Vit Nam cha c mt m hnh d bo t sut sinh
li no c s dng rng ri nh mt tiu chun chung m ch yu da vo m hnh
nh gi tuy nhin nhng m hnh ny c xy dng khng da trn nn tng l thuyt
vng chc cng nh mang tnh phn on ch quan ca ngi nh gi kh cao. iu ny to
ra mt l hng trong qu trnh nh gi chng khon Vit Nam, gp phn lm lch hng
th trng vi nhng nhn nh c nhn mang nhiu tnh c tnh. a phn cc nh u t
Vit Nam l nh u t c nhn, khng c nhiu kin thc chuyn mn nn ch yu da trn
cc bng bo co phn tch u t ca cc cng ty chng khon. Khi vai tr ca cc cng ty
chng khon c y ln cao th s dn n nguy c gi b thao tng bi mt nhm cc nh
u t mong mun trc li t th trng.
Theo kt qu kho st cc phng php nh gi hin ang c p dng ti Vit Nam,
chng ti nhn thy i vi phng php nh gi tng i th ch yu s dng ch s P/E,
cn i vi phng php chit khu dng tin th m hnh c s dng chnh l OFCF. Tuy
63

nhin, khi s dng phng php chit khu dng tin th thng c kt hp vi ch s P/E
hay P/BV so snh. Khi so snh vi gi th trng 5 phin giao dch tip theo th chnh
lch vi gi khuyn ngh trn cc bo co trn l kh cao, t 18% - 48%.
V thc trng trn nn TTCK VN hin ang rt cn c mt m hnh d bo t sut sinh
li ng tin cy cng nh d dng p dng cho cc nh u t h c th thc hin quyt
nh kinh doanh mt cch d dng hn.
64

Chng 3: Kim nh m hnh CAPM v Fama French d bo t sut sinh li trong
vic kinh doanh trn th trng chng khon Vit Nam
3.1. Kim nh kh nng p dng m hnh CAPM v Fama French vo th trng
chng khon Vit Nam:
3.1.1. iu kin p dng m hnh:
Thc trng TTCK VN hin nay cho thy s cn thit phi ng dng cc m hnh kinh t -
ti chnh hin i xc nh ri ro v li nhun ca c phiu. M hnh th c nhiu, tuy
nhin, la chn mt m hnh va n gin va p dng hiu qu ti th trng chng
khon Vit Nam li l mt ngh thut. p ng hai tiu ch ny c th k n hai m hnh
ni ting l m hnh nh gi ti sn vn CAPM v m hnh 3 nhn t Fama-French. Hin
nay, m hnh Fama French cha c nhiu nghin cu ng tin cy v tnh hiu qu ca vic
vn dng m hnh ny d bo t sut sinh li ca th trng chng khon vit nam. Trong
khi , vic nghin cu v ng dng m hnh CAPM ti Vit Nam c thc hin bi
nhiu tc gi v cng cho thy nhng hn ch nht nh do vic c lng h s bta t s
liu lch s chui thi gian v gi c phiu cng ty v ch s c phiu th trng thiu chnh
xc do:
Ch s VN- Index thiu tnh i din cho danh mc th trng
Khng c s liu v gi c phiu ca mt cng ty nu cng ty khng nim yt trn
sn giao dch chnh thc hay gi giao dch trn th trng OTC khng c cng b.
Mt s cng ty nim yt nhng thi gian nim yt khng ln th b s liu chui
thi gian cng khng c lng h s beta.
Giao dch c phiu din ra khng lin tc v bin ng gi b gii hn bi quy nh
v bin cng lm nh hng n tin cy ca b s liu.
V vy ngoi vic hiu ngha ca cc m hnh th iu quan trng hn l chng ta phi
bit cc p dng ca n vo tng quc gia v tng th trng chng khon c th. i vi th
trng chng khon vit nam, c th l th trng ti sn giao dch chng khon thnh ph
H Ch Minh (HOSE), vic p dng m hnh ny chng ta cn ch cc yu t sau:
c lng gi tr beta chnh xc chng ta cn thu thp gi ca cc c phiu trong
thi gian di v vi s lng nhiu. Tht vy, a s cc bi nghin cu trc ch thu
thp gi c phiu trong thi gian ngn, s cng ty nim yt cha nhiu v vy quy m
cng khng cao, cc nh u t cha c kinh nghim nn gi c cn nhiu bin ng
v i khi cn b can thip bi cc chnh sch nh nc. bi nghin cu ny chng
ti thu thp d liu ca 88 c phiu trong thi gian t thng 1/2007 n thng
65

12/2010 thng qua sn HOSE i din cho tt c cc lnh vc hot ng ti th trng
Vit Nam.
Gi tr vn ha th trng phi ln p dng trong m hnh ny. Vo nhng nm
u, khi lng giao dch v vn ha th trng chng khon Vit Nam l tng i
thp, c th vo nm 2002 l khong 2000 t ng, con s ny tng ln nhanh chng
vo nhng nm sau , in hnh l vo thng 5 nm 2007, mc vn ha th trng
l 504 ngn t ng, xp x bng 40% GDP. Ti hi ngh trin khai nhim v pht
trin th trng chng khon nm 2011, t chc sng 24/2/2011 ti tr s B Ti
chnh, y ban Chng khon Nh nc cng b mc vn ha th trng n cui
thng 12/2010 t 726 ngn t ng, tng 17.1% so vi nm 2009, tng ng
khong 39% GDP nm 2010. iu cho thy rng vi mc vn ha th trng kh
cao nh hin nay th vic ng dng m hnh c th theo chiu hng tt.
Ngoi ra, kin thc nh u t tt cng l mt yu t cn cn nhc trong vic ng
dng m hnh th trng chng khon ch yu l nh u t c nhn v theo trc kia
th h ch yu u t theo tm l by n. Nhng vi bo co kho st ca chng ti,
th vic u t theo phng php ny thay th bng phng php phn tch c bn.
Chnh v iu , chng ta c th an tm v vic vn dng m hnh ny d bo t
sut sinh li v kinh doanh chng khon trn th trng Vit Nam.

3.1.2 Phng php nghin cu.
kim chng kh nng gii thch ca m hnh CAPM v m hnh ba nhn t Fama
French cho s thay i t sut sinh li c phiu ti th trng chng khon Vit Nam, trnh t
cc cng vic sau y s c thc hin:
3.1.2.1 Xc nh cch tnh ton cc bin trong m hnh
Phn chia danh mc u t: Danh mc c phiu c xy dng da trn hai yu t l quy
m cng ty v t s BE/ME.
Quy m cng ty c tnh bng cch ly gi trung bnh tng thng nhn vi s lng c
phiu pht hnh tng thng. Sau , ta tnh c quy m trung bnh cho tng c phiu v
quy m trung bnh cho c danh mc 88 c phiu. Nu nhng c phiu no c quy m trung
bnh nh hn quy m trung bnh ca danh mc th thuc nhm S v ngc li l nhm
B.
T s BE/ME c tnh bng cch ly vn ch s hu chia cho quy m ca cng ty.
Theo , nhng c phiu no c BE/ME trung bnh cho c 12 thng thuc nhm 30% cao
nht th thuc nhm H, 30% thp nht thuc nhm L, cn li l nhm M.
66

Nh vy, ta s xy dng su danh mc u t c phiu da trn hai yu t phn loi ca
quy m v ba yu t phn loi ca t s BE/ME. Su danh mc c th c k hiu nh
sau SM, SH, SL, BM, BL, BH. Chng hn SM l danh mc gm c phiu ca nhng cng ty
c quy m nh v t s BE/ME thp. Cch l lun tng t cho nhng danh mc cc c
phiu cn li.
Tnh ton hai bin SMB v HML:
SMB (Small minus Big) i din cho phn ri ro lin quan n nh hng ca nhn t
quy m. SMB l phn chnh lch gia t sut sinh li trung bnh mi thng ca 3 nhm mu
cc cng ty nh (SL, SM v SH) vi 3 nhm mu cc cng ty ln (BL, BM, BH).
SMB = t sut sinh li trung bnh ca nhm quy m nh tr i nhm quy m ln
= 1/3(SH + SM + SL) - 1/3(BH + BM + BL)
HML (High minus Low) i din cho phn ri ro lin quan n nh hng ca t s gi
tr s sch trn gi tr th trng n t sut sinh li. HML l phn chnh lch t sut sinh li
mi thng gia 2 danh mc c t s BE/ME cao (SH v BH) v 2 nhm danh mc c t s
BE/ME thp (SL v BL).
HML = t sut sinh li trung bnh ca nhm t s BE/ME cao tr cho nhm c t s
BE/ME thp
= 1/2(SH + BH) 1/2(SL + BL)
T sut sinh li ca danh mc:
T sut sinh li trung bnh hng thng ca danh mc: Da vo gi ng ca hng ngy
ca c phiu, ta xc nh sut sinh li cho tng c phiu trong su danh mc trn. V th
trng chng khon Vit Nam nim yt cha c bao lu nn khng d liu tnh sut
sinh li nm. Ta cng khng chn sut sinh li ngy v s b nh hng bi bin giao
ng. bi vit ny, t sut sinh li c tnh theo thng.
Thi gian chn mu nghin cu l t thng 1/2007 n thng 12/2010, gm 48 thng.
m bo t sut sinh li chng khon l mt chui dng, ta dng cng thc tnh ton sau:
1 t t
t
P P
Ri
P
+

=
T , t sut sinh li thng cho danh mc c tnh l gi tr trung bnh sut sinh li
thng ca cc c phiu c trong tng danh mc.
T sut sinh li th trng v t sut sinh li phi ri ro:
Tnh ton R
m
v R
f
: R
f
l t sut sinh li thu c t cc khon u t khng ri ro c
tnh bng li sut ca tri phiu Chnh ph c k hn 5 nm. Cn R
m
l t sut sinh li th
67

trng, thng gi tr ny c chn l ch s th trng ni m c phiu nim yt. Theo
nu tnh ton cho cc c phiu nim yt ti HOSE th ta chn ch s VnIndex.
Tng t nh vi R
i
, R
m
s c tnh bng cng thc sau:
1 t t
t
VNindex VNindex
Ri
VNindex
+

=

3.1.2.2 Cc phng php phn tch d liu:
Phn tch tng quan (Corellation Analysis): Chng ta phi xc nh tm quan trng ca
mi nhn t khi chng c s dng ng thi trong m hnh, v vy, chng ta phi loi b
mi quan h gia cc nhn t. p dng phng php phn tch tng quan xc nh s
lin kt gia cc nhn t gii thch. Phn tch ny da trn ma trn tng quan (correlation
matrix).
Phn tch hi quy tuyn tnh (Linear Regression): c thc hin cho tng danh mc u
t theo phng php bnh phng b nht thng thng (Ordinary Least Square OLS). Tuy
nhin, vic a cng mt lc ba nhn t vo m hnh rt kh nh gi mc nh hng ca
tng nhn t ln m hnh, v vy, chng ta cn s dng phng thc chn tng bc
(stepwise) ln lt a cc bin c ngha vo m hnh v loi b cc bin khng c
ngha. Kim tra li gi tr cho cc trng hp thm cc bin mi vo m hnh.
Phng trnh hi quy c s dng:
i vi m hnh CAPM l: ( )
i f m f
R R R R o | c = + +
i vi m hnh Fama French l:
( )
i f m f i i
R R R R s SMB h HML o | c = + + + +
Chng ti tin hnh hi quy theo 2 phng trnh trn cho ton b mu 88 chng khon,
sau ln lt l tng danh mc SH, SM, SL, BH, BM, BL c ci nhn c th hn v nh
hng ca tng nhn t ln tng nhm c phiu khc nhau.

3.1.2.3 D liu nghin cu
Bi nghin cu s dng d liu gi ng ca ca 88 c phiu
5
nim yt trn sn HOSE
vo khong thi gian t 1/2007 n 12/2010. Chng ti tin hnh hi quy d liu chui trn
t sut sinh li hng thng ca 88 c phiu trn (48 thng).

5
Danh sch 88 c phiu c chn ph lc 3
68

Ngoi ra, D liu tnh ton quy m ca cc c phiu v gi tr s sch tng ng ca
n c ly t cc bo co ti chnh theo qu ca tng cng ty.
D liu v li sut phi ri ro c thng k t li sut trng thu ca cc t u thu tri
phiu chnh ph 5 nm c nim yt trn sn HNX, v loi tri phiu ny c giao dch
nhiu nht, do c tnh thanh khon cao nht trn th trng.

Ngun: S giao dch chng khon H Ni.

3.2 c lng t sut sinh li k vng bng m hnh CAPM
3.2.1 Phn tch d liu s b.
88 CK BH BM BL SH SM SL Rm Rf
Mean -0.00348 -0.00947 -0.00857 -0.00506 -0.00113 -0.00345 -0.00374 -0.01393
Median -0.00403 -0.01439 -0.01312 -0.00873 -0.00398 -0.00801 -0.00636 -0.01452
Maximum 0.101202 0.19954 0.158714 0.092356 0.114671 0.111948 0.097171 0.080229
Minimum -0.12101 -0.16932 -0.16944 -0.10599 -0.12414 -0.12249 -0.10799 -0.11764
Std. Dev. 0.053595 0.06826 0.06655 0.047912 0.057263 0.055949 0.048795 0.047906
Bng trn thng k mt s thng s ca ton b 88 chng khon v ca 6 danh mc nh
nh: t sut sinh li trung bnh, gi tr ln nht, gi tr nh nht, lch chun. Trong ,
ng ch l t sut sinh li trung bnh ca tt c cc danh mc u l m trong khong thi
gian nghin cu.

3.2.2 Kt qu hi quy.
Bin gii
thch
Bin ph
thuc
R
2

R
2
trung
bnh
R
m
-R
f
88CK 0.003643 1.066123** 0.905652
69

(
phn b
ri ro th
trng)
SH 0.007724*** 0.007724 0.000003
0.72995
SM 0.003877 1.080649*** 0.853542
SL 0.001918 0.960976*** 0.886809
BH 0.001019 1.307779*** 0.839874
BM 0.001659 1.289349*** 0.86362
BL 0.000688 0.967476*** 0.93586
** mc ngha 5% *** mc ngha 1%
u tin, chng ti chy hi quy
6
trn ton b mu l 88 chng khon th kt qu t
c R
2
l 90.56%, tuy nhin cc h s thng k ch t tin cy 95%. Sau , chng ti
tin hnh hi quy vi tng danh mc nh. Cc danh mc ny c phn chia da trn yu t
quy m v t s BE/ME. Trong 6 danh mc nh th ch duy nht m danh mc SH l nhm
nhng c phiu c quy m nh nhng t s BE/ME cao l cc h s hi quy khng c
ngha thng k. Tt c 5 danh mc cn li u c ngha kh tt. Phn b ri ro th trng
c th gii thch c t 83.98% n 93.58% s thay i trong t sut sinh li chng khon
vi tin cy l 99%. R
2
trung bnh ca 6 danh mc nh l 73%.

3.2.3 Kim nh t tng quan:
Do mu quan st trong m hnh l 47 thng (n>30) nn chng ti s dng kim nh
Breusch Godfrey (BG) kim nh hin tng t tng quan trong phn d ca m hnh
hi quy. Vi gi thit H
0
:
1 2
... 0
p
= = = = , tc l gia cc phn d khng c hin
tng t tng quan.
Ta c kt qu kim nh BG
7
cho tng danh mc vi ln lt tr l 1, 2, 3 nh sau.
Chn mc ngha = 0.01, ta so snh kt qu Obs*R-squared t kim nh BG ln lt vi
2
0.01
(1) _ = 6.5,
2
0.01
(2) _ = 9.2,
2
0.01
(3) _ = 11.3. Ta thy, trong 6 danh mc ch c danh mc SH l
c Obs*R-squred l ln hn phn phi Chi bnh phng (26.89 > 6.5, 27.88> 9.2, 31.27 >
11.3) nn ta bc b gi thit H
0
, tc l c xy ra hin tng t tng quan.
Trong 6 danh mc ch c duy nht mt danh mc xy ra t tng quan nn ta c th kt
lun rng c lng hi quy bng phng php OLS l thch hp. Kt qu R-square t m
hnh hi quy pha trn l ng tin cy. Kt qu hi quy chi tit c trnh by trong ph lc.


6
Ph lc 4
7
Ph lc 5
70

3.2.4 Kim nh phng sai thay i.
Sau y, chng ti s dng kim nh White kim nh hin tng phng sai thay
i trong cc phn d ca cc m hnh hi quy ban u. Vi gi thit H
0
:
1 2
... 0
n
o o o = = = = , tc l khng c phng sai thay i.
Kt qu t kim nh White Heteroskedasticity Test
8
nh sau. Chn mc ngha =
0.01, tra bng phn phi Chi bnh phng vi = 0.01 v s h s dc trong m hnh hi
quy df = 1, ta c
2
0.01
(1) _ = 6.5
So snh kt qu Obs*squared vi
2
0.01
(1) _ , ta thy ch c danh mc BH l c Obs*squared
>
2
0.01
(1) _ (14.75>6.5), nn ta bc b gi thit H
0
, tc l c xy ra hin tng phng sai thay
i. Trong tt c 6 danh mc ch c 1 danh mc l xy ra hin tng phng sai thay i, nn
ta c th kt lun rng kt qu c lng hi quy bng phng php OLS trn l thch hp
v kt qu R-squared l hon ton ng tin cy. Kt qu hi quy chi tit c trnh by trong
ph lc.

3.3 c lng t sut sinh li k vng bng m hnh Fama French.
3.3.1 Phn tch d liu s b.
88 CK BH BM BL SH SM SL Rm Rf SMB HML
Mean -0.00348 -0.00947 -0.00857 -0.00506 -0.00113 -0.00345 -0.00374 -0.01393 0.004927 -0.0009
Median -0.00403 -0.01439 -0.01312 -0.00873 -0.00398 -0.00801 -0.00636 -0.01452 0.002254 -0.00317
Maximum 0.101202 0.19954 0.158714 0.092356 0.114671 0.111948 0.097171 0.080229 0.069863 0.064192
Minimum -0.12101 -0.16932 -0.16944 -0.10599 -0.12414 -0.12249 -0.10799 -0.11764 -0.06889 -0.03974
Std. Dev. 0.053595 0.06826 0.06655 0.047912 0.057263 0.055949 0.048795 0.047906 0.022411 0.020704
Nhn vo kt qu ti bng trn ta thy rng ba danh mc ca nhm cng ty c quy m
nh th c t sut sinh li trung bnh cao hn ba danh mc ca nhm cng ty c quy m ln.
Gi tr trung bnh ca t sut sinh li thay i t -0.00374 n -0.00113 cho nhm c quy m
nh v thay i t -0.00947 n -0.00506 cho nhm c quy m ln. Gi tr trung bnh ca
SMB cng cho ra s m, iu ny cho thy rng c mi quan h t l nghch gia quy m
cng ty v t sut sinh li c phiu. Kt qu ny cng ging vi kt qu nghin cu ti cc
th trng pht trin nh: Fama-French (1992) cho ba th trng chng khon ln l NYSE,
AMEX, v NASDAQ, Ajili (2005) cho th trng chng khon Php, Nartea v Djajadikerta
(2005) cho th trng chng khon New Zealand, Michael A. OBrien (2007) cho th trng

8
Ph lc 6
71

chng khon c hay kt qu nghin cu ti cc th trng mi ni nh : Connor and Sehgal
(2001) v Bhavna Bahi (2006) cho th trng n , Bundoo (2004) cho th trng chng
khon Nam Phi v Drew v Veeraraghavan (2003) cho th trng cc nc Hong Kong, Hn
Quc, Malaysia v Philippines.
Khi xt n yu t HML, ta thy rng gi tr trung bnh ca HML cng cho gi tr m.
iu ny c ngha rng c mt quan h t l nghch gia t s BE/ME v t sut sinh li c
phiu, hay gi tr trung bnh ca HML cng cho gi tr m. iu ny c ngha rng c mt
quan h t l nghch gia t s BE/ME v t sut sinh li c phiu ni cch khc, cc cng ty
thuc nhm tng trng th c t sut li nhun cao hn cc cng ty thuc nhm gi tr. Kt
qu ny tri ngc vi kt lun ca Fama-French (1992) khi cho rng c mt quan h t l
thun gia t s BE/ME v sut sinh li.

3.3.2 Kim nh a cng tuyn.
Ta c ma trn tng quan gia cc bin trong m hnh Fama French nh sau:
HML R
m
-R
f
SMB
HML 1 0.543524 -0.32026
R
m
- R
f
0.543524 1 -0.30818
SMB -0.32026 -0.30818 1
Nhn vo kt qu ta thy gi tr tuyt i cu h s tng quan gia cc nhn t gii thch
vo khong [0.32 0.54], vn thp hn 0.8 l mc chc chn xy ra hin tng a cng
tuyn. Tuy nhin, mc tng quan ny cng khng phi l qu thp, nn chng ti tin
hnh cc php hi quy ph kim tra li ln na.
Ln lt hi quy cc bin gii thch vi nhau
9
, ta c kt qu bng sau:
R
2
F statistic F
0.01
(1,45)
SMB v HML 0.08262 5.142793 7.77
SMB v R
m
-R
f
0.074866 4.72252 7.77
HML v R
m
- R
f
0.095417 8.386879 7.77
Chn mc ngha l 1%, tra bng phn phi F ta c F
0.01
(1,45) bng 7.77
So snh kt qu t thng k F, ta thy ch c phng trnh hi quy gia HML v (R
m

R
f
) l c ch s thng k F ln hn 7.77, do ta bc b gi thit H
0
: R
2
= 0, tc l nhn nhn
t HML v (R
m
R
f
) c kh nng gii thch cho nhau. Tuy nhin m hnh hi quy ph ny c

9
Ph lc 8
72

R
2
rt thp 9.54%, mc nh hng gia hai nhn t ny l khng ng k. Do , ta c
th a c 3 bin trn vo cng mt m hnh m vn c ngha.

3.3.3 Kt qu hi quy.
Bin gii
thch
Bin ph
thuc
s
i
h
i
R
2

R
2
trung
bnh
SMB
88CK -0.009735 -0.298151 0.015501
SH 0.007769*** -0.008834 0.009425
0.08923
SM -0.010605 -0.115164 0.002121
SL -0.010554 -0.184832 0.007179
BH -0.010625 -1.333155*** 0.191001
BM -0.009348 -1.410249 0.2261
BL -0.009461 -0.674570** 0.099566
HML
88CK -0.009750 1.615126*** 0.388225
SH 0.007717*** -0.009388 0.009083
0.32385
SM -0.009734 1.598014*** 0.34861
SL -0.010277* 1.319379*** 0.312225
BH -0.014837**` 2.618089*** 0.628692
BM -0.014460* 2.040558*** 0.40402
BL -0.011764* 1.134761*** 0.240471
SMB v
HML
88CK -0.010675* 0.200245 1.684542*** 0.3945
SH 0.007777*** -0.012939 -0.013873 0.027228
0.35695
SM -0.011573* 0.398503 1.736157*** 0.371406
SL -0.011334 0.229013 1.398767*** 0.322116
BH -0.011965 -0.622389** 2.402335*** 0.666052
BM -0.010312* -0.898693*** 1.729021*** 0.486422
BL -0.010021* -0.377558 1.003879*** 0.268463
(R
m
-R
f
)
v SMB
88CK 0.002339 1.130512*** 0.446617*** 0.93713
SH 0.007753*** -0.001483 -0.009812 0.010524
0.76101
SM 0.001952 1.175712*** 0.659382*** 0.91648
SL 0.000472 1.032382*** 0.495289*** 0.933465
BH 0.002540 1.232653*** -0.521097*** 0.866285
73

BM 0.003468 1.200007*** -0.619698*** 0.903132
BL 0.000808 0.961549*** -0.041113 0.936195
(R
m
-R
f
)
v HML
88CK 0.002720 0.974666*** 0.389347*** 0.921548
SH 0.007756*** 0.003032 -0.013201 0.012658
0.75931
SM 0.003073 1.000988*** 0.339131** 0.864604
SL 0.001545 0.924031*** 0.157279 0.889935
BH -0.002257 0.983270*** 1.381490*** 0.963212
BM 0.000249 1.149653*** 0.594708*** 0.887799
BL 0.000964 0.994806*** -0.116347 0.937641
(R
m
-R
f
),
SMB v
HML
88CK 0.000889 1.021558*** 0.526595*** 0.512920*** 0.963707
SH 0.007799*** 0.001935 -0.012321 -0.016092 0.028642
0.79020
SM 0.000503 1.066821*** 0.739313*** 0.512622*** 0.940831
SL -0.000331 0.972077*** 0.539555*** 0.283895*** 0.943278
BH -0.001154 0.955015*** -0.317297*** 1.307031*** 0.972646
BM 0.002150 1.100946*** -0.546982*** 0.466350*** 0.917456
BL 0.001178 0.989329*** -0.061505 -0.130780 0.938363
* mc ngha 10% ** mc ngha 5% *** mc ngha 1%
Khi tin hnh hi quy
10
trn tng danh mc nh th bin SMB t ra khng c nhiu nh
hng n t sut sinh li chng khon, R
2
ch l 8.92%. Ngoi ra, cc h s hi quy a s
cng khng c ngha thng k. Trong khi bin HML li t ra c tc ng n t sut
sinh li ca chng khon nhiu hn vi R
2
trung bnh l 32.38% tin cy 99% v cc h
s hi quy u c ngha thng k. Khi hi quy bin HML vi ton b 88 chng khon th
kt qu R
2
t c l ln hn (38.82%), tin cy cng l 99%.
Tip tc cc php hi quy vi ln lt cc cp bin gii thch l SMB HML, (R
m
R
f
)
SMB, (R
m
R
f
) HML, ta c R
2
trung bnh cho 6 danh mc ln lt l 35.69% v 76.1%, v
75.93% vi cng tin cy l 99%. Tng t, khi hi quy vi t sut sinh li ca ton b 88
chng khon th kt qu R
2
tng ln cao hn so vi hi quy tng danh mc tng ng l
39.45%, 93.71% v 92.15%.
Khi thm bin vo m hnh th R
2
tng ln r rt, i vi m hnh 3 nhn t Fama French
th R
2
trung bnh ca 6 danh mc l 79.02%, mc ngha 1%. Kt qu ny cao hn R
2
ca

10
Ph lc 7
74

CAPM l 73%. Kt qu ny cng ph hp vi nghin cu m hnh CAPM v Fama French
mt s nc ang pht trin trn th gii nh Thi Lan, i Loan, n .
Mt im ng ch l vi bin ph thuc l t sut sinh li trung bnh ca danh mc
SH gm cc chng khon c quy m nh v t s BE/ME th khng c phng trnh hi quy
no c ngha thng k. Khng c bin no trong 3 bin ca m hnh Fama French c th
gii thch c t sut sinh li ca cc chng khon thuc nhm ny.

3.3.4 Kim nh t tng quan.
Do mu quan st trong m hnh l 47 thng (n>30) nn chng ti s dng kim nh
Breusch Godfrey (BG) kim nh hin tng t tng quan trong phn d ca m hnh
hi quy. Vi gi thit H
0
:
1 2
... 0
p
= = = = , tc l gia cc phn d khng c hin
tng t tng quan.
Ta c kt qu kim nh BG
11
cho tng danh mc vi ln lt tr l 1, 2, 3 nh sau.
Chn mc ngha = 0.01, ta so snh kt qu Obs*R-squared t kim nh BG ln lt vi
2
0.01
(1) _ = 6.5,
2
0.01
(2) _ = 9.2,
2
0.01
(3) _ = 11.3. Ta thy, trong 6 danh mc ch c danh mc SH l
c Obs*R-squred l ln hn phn phi Chi bnh phng (26.71 > 6.5, 27.37> 9.2, 31.89 >
11.3) nn ta bc b gi thit H
0
, tc l c xy ra hin tng t tng quan. Trong 6 danh mc
ch c duy nht mt danh mc xy ra t tng quan nn ta c th kt lun rng c lng hi
quy bng phng php OLS l thch hp. Kt qu R-square t m hnh hi quy pha trn l
hon ton ng tin cy. Kt qu hi quy chi tit c trnh by trong ph lc.

3.3.5 Kim nh phng sai thay i.
Sau y, chng ti s dng kim nh White kim nh hin tng phng sai thay
i trong cc phn d ca cc m hnh hi quy ban u.
Vi gi thit H
0
:
1 2
... 0
n
o o o = = = = , tc l khng c phng sai thay i, kt qu t
kim nh White Heteroskedasticity Test
12
nh sau. Chn mc ngha = 0.01, tra bng
phn phi Chi bnh phng vi = 0.01 v s h s dc trong m hnh hi quy df = 3, ta
c
2
0.01
(3) 11.3 _ =
So snh kt qu Obs*squared vi
2
0.01
(3) _ , ta thy tt c 6 danh mc u c Obs*squared
<
2
0.01
(1) _ , nn ta chp nhn gi thit H
0
, tc l khng c xy ra hin tng phng sai thay

11
Ph lc 9
12
Ph lc 10
75

i. Nn ta c th kt lun rng kt qu c lng hi quy bng phng php OLS trn l
thch hp v kt qu R-squared l hon ton ng tin cy. Kt qu hi quy chi tit c trnh
by trong ph lc.

3.4 So snh kt qu gia cc m hnh:
Nh trnh by trn, m hnh CAPM ra i vi mc ch nhm d bo t sut sinh li
ca mt chng khon thng qua ch s beta ca chng khon . T khi m hnh ny xut
hin, c nhiu nghin cu thc nghim v tranh ci cho tnh p dng thc tin ca n. Tuy
nhin, vi kt qu nghin cu ca mnh vo nm 1993, Fama v French xy dng nn m
hnh 3 nhn t Fama-French bao gm: nhn t quy m, nhn t BE/ME v nhn t th trng
(ca m hnh CAPM). y c th coi l m hnh kh thnh cng trong vic tha k v tng
hp li kt qu ca cc nghin cu trc , bao gm c nghin cu ni ting cho m hnh
CAPM. Mt khc, bn thn m hnh ny cng c nhiu nghin cu thc nghim kim
chng trn nhiu b d liu cho cc th trng khc nhau, trong c c nhng th trng
mi ni nh: n , Hn Quc, Thi Lan, i Loan. Kt qu ca cc nghin cu ny hu
ht u cng nhn vai tr ca 3 nhn t trong m hnh Fama-French cho vic gii thch s
thay i t sut sinh li ca c phiu.Ring ti Vit Nam, vic nghin cu p dng m hnh
Fama-French vo th trng chng khon Vit Nam trong giai on t thng 1 nm 2007 n
thng 12 nm 2010 vi quy m ca 88 chng khon trong 47 k cho thy m hnh ny ha
hn s em li s gii thch tt cho th trng chng khon Vit Nam. Kt qu kim nh cho
thy R
2
ca m hnh FF3FM l 79.02 % cao hn R
2
trong m hnh CAPM l 73%.

3.5 Nhng hn ch khi chy m hnh:
Bn cnh cc kt qu ng ch c tm tt nu trn, bi vit cn c mt s hn ch
nh sau:
V m hnh, m hnh Fama-French c s dng nh mt m hnh nghin cu chnh.
Tuy nhin, chnh m hnh ba bin ny cng c nhng hn ch nht nh. Cc kt qu nghin
cu ca nhiu tc gi trn th gii ch ra rng m hnh ny ch tp trung vo ngun gc
ca li nhun hn l tng ri ro ca n.
Mc khc, m hnh Fama French cng nh bt k m hnh d bo khc ch c vn
hnh tt khi cc nh u t c thng tin nh nhau, thng tin khng c r r v phi minh
bch. Tuy nhin, th trng chng khon Vit Nam hot ng mc hiu qu cn rt km
v to c hi kim c li nhun cao cho nhng nh u c l nhng ngi c kh nng
tip cn vi cc ngun thng tin sm nht.
76

V d liu, th trng chng khon Vit Nam i vo hot ng mi c khong 10 nm,
s cng ty nim yt cha nhiu, ngnh ngh cng cha tht a dng. Mc d nh nc c
nhng n lc lm phong ph thm hng ha cho th trng chng khon (gim 50% thu
thu nhp i vi nhng cng ty nim yt trc 31/12/2007) nhng kt qu vn cha kh
quan. Ngai ra bi vit ch nghin cu vi s b d liu bt u t thng 01/2007 n thng
12/ 2010, khi ch c 88 cng ty nim yt. Ngoi ra, vi hai th trng chng khon tp
trung, nghin cu ch tp trung vo th trng chng khon Tp. H Ch Minh (HOSE) cha
nghin cu phn tch th trng chng khon H Ni, th trng ny c coi l kh si ni
v cha nhiu ri ro.

KT LUN CHNG 3
Vi vic thu thp 88 chng khon nim yt trn sn HOSE trong khong thi gian 48
thng t 1/2007 n 12/2010 lm c s d liu cho bi nghin cu, kt qu thu c l c 2
m hnh u ph hp trong vic gii thch t sut sinh li trn th trng Vit Nam v iu
ny cng kh ph hp vi hu ht vi cc nghin cu ca cc quc gia trn th gii. Trong
, a phn chng t rng m hnh Fama French c ngha tt hn so vi CAPM. Trong m
hnh FF3FM th nhn t phn b ri ro th trng l c tc ng nhiu nht n t sut sinh
li chng khon, tip sau l nhn t gi tr (HML), cui cng c tc ng thp nht l
nhn t quy m (SMB).
Nghin cu trn cng cn tn ng mt s hn ch khc nh mu cha thc s ln (ch
c 88 chng khon so vi s lng nim yt hin nay trn sn HOSE l 284 c phiu), v ch
kim nh trn sn HOSE m cha bao gm sn HNX v OTC. Mc d vy n vn m ra
mt trin vng cho vic ng dng cc m hnh ny rng ri trong tng lai.
77

Chng 4: p dng m hnh CAPM v Fama French nh gi chng khon v a
ra kin ngh u t
4.1 Xc nh chng khon c gi cao v nh gi thp trn sn HOSE
4.1.1 Phng php x l d liu
Vic kim nh m hnh CAPM v Fama French trn cho ta thy s ph hp ca vic
ng dng hai m hnh ny nhm d bo t sut sinh li cng vi nh gi tng chng khon
v danh mc tng ng. nh gi chng khon, chng ta cn xc nh nhn t anpha
chng khon. Nhn t anpha chng khon trong m hnh hi qui Fama French cng ging
nh anpha chng khon trong m hnh CAPM, th hin mc chnh lch gia mc t sut
sinh li k vng thc t (Rtt) v t sut sinh li qua m hnh hi quy (Rg). Nu > 0 y l
du hiu chng khon nh gi thp, nh u t nn xem xt mua vo v ngc li, vi < 0
th chng khon c nh gi cao, nh u t nn cn nhc bn chng khon. Nu =
0 th chng khon c nh gi ng, nh u t nn nm gi v ch c hi thch hp
thc hin quyt nh kinh doanh ca mnh.
u tin, chng ti chy m hnh hi quy bng Eview cho hai tng m hnh CAPM v
Fama French thu thp cc ch s , , s
i
v h
i
.
Ngoi ra, Chng ti tin hnh x l d liu khc nh sau:
Thng qua thu thp 88 c phiu trn sn HOSE vi 47 k quan st t thng 1 nm 2007
n thng 12 nm 2010 bng cch chia thnh su danh mc SH, SM, SL, BH, BM, BL
chng ta c ci nhn c th hn v nh hng ca tng nhn t ln tng nhm c phiu. Qua
, chng ti thy rng nhm gm 25 c phiu thuc danh mc SH, nhm c phiu c quy
m nh nhng t s BE/ME cao, c ngha thng k thp nht 0.003% (m hnh CAPM) v
28.64% (Fama French). V vy chng ti loi ra khi trong qu trnh nh gi chng khon,
cn li cc c phiu 5 danh mc l SM, SL, BH, BM, BL
13
.
Ngoi ra, chng ti thu thp trung bnh ch s VN-Index, gi tng c phiu thng 2 v 3
tnh t sut sinh li ca th trng, tng c phiu v 5 danh mc tng ng. Tuy nhin. C
phiu ca CTCP Ch bin thc phm Kinh min Bc (NKD) thuc nhm SL hy nim
yt trn HOSE t 15/12/2010 sp nhp vi CTCP Kinh (KDC) nn chng ti cng
loi c phiu ny ra trong qu trnh nh gi n v danh mc ny. Theo , t sut sinh li
ca th trng l -5.79%, l do l trung bnh ch s VN-Index ca thng 3 thp hn thng 2.
Thm vo , v vic u thu tri phiu chnh ph cc loi k hn 3 nm, 5 nm v 10
nm vo ngy 24/3/2011 tht bi. C th, Kho bc Nh nc pht hnh 2 loi tri phiu k

13
Ph lc 11
78

hn 5 nm v 10 nm, ngy pht hnh 28/3/2011, mi loi tri phiu gi thu 1.000 t ng,
khng c thnh vin no tham gia u thu tri phiu k hn 10 nm. Ring tri phiu k hn
5 nm c 5 thnh vin tham gia, vi li sut ng k thp nht l 11,95%, li sut ng k
cao nht l 12,5%, khng c ai trng thu v khng c tri phiu no c bn ra. Do ,
chng ti tin ly tri phiu chnh ph k hn 5 nm trng thu vo ngy 22/2/2011 vi li
sut 11.2%/nm tng ng 0.935%/thng.
tnh t sut sinh li theo m hnh Fama-French, chng ti s dng phng php san
bng m gin n d bo cc bin SMB, HML v phng php ny c s dng cho
nhng dy s thi gian khng c tnh bin ng xu hng hoc thi v.
Cng thc tnh:
1
(1 )( )
t t t t
y y y y o
+
= +

Trong :
: l hng s san bng m (0<<1).

1

t
y
+
: l gi tr d on ca hin tng thi gian t+1.
y
t
: l gi tr thc t thi gian t.
Xc nh

t
y
: ta nhn xt rng do nh hng ca gi tr d on u tin ngy cng gim
dn (tc l thi im d on cng xa th nh hng ca gi tr d on u tin cng gim),
do , dn gin, ngi ta thng chn:
1 1
y y =
.
Xc nh : bng phn mm Eview.

D bo SMB:

Nhn vo th trn, ta thy din bin ca SMB qua cc k quan st l khng c xu
hng tng hoc gim r rt, ng thi cng khng c tnh ma v do khng tm thy mt
79

chu k no lp li. Do chng t chui quan st ny thch hp d bo bng phng php
san m gin n.
Tip theo chng ti s dng Eview c lng hng s san bng m :

Vi =0.013, ta c kt qu d bo bng sau:
Thng SMB
t

t
SMB Thng SMB
t

t
SMB
02/2007 -0.00204 -0.002041643 03/2009 -0.00257 0.001123726
03/2007 0.069863 -0.002041643 04/2009 -0.06889 0.001075725
04/2007 -0.03237 -0.001106881 05/2009 -0.01931 0.000166199
05/2007 -0.01951 -0.001513336 06/2009 0.039111 -8.70506E-05
06/2007 0.04056 -0.001747247 07/2009 -0.00732 0.000422527
07/2007 0.013898 -0.001197256 08/2009 -0.02012 0.00032184
08/2007 0.005523 -0.001001019 09/2009 0.005139 5.6061E-05
09/2007 0.014346 -0.000916206 10/2009 0.017983 0.000122143
10/2007 0.018659 -0.000717798 11/2009 0.002141 0.00035433
11/2007 0.018456 -0.000465901 12/2009 -0.00255 0.000377555
12/2007 -0.00128 -0.000219918 01/2010 -0.00653 0.00033952
01/2008 -0.00988 -0.000233741 02/2010 -0.00945 0.000250269
02/2008 0.017183 -0.000359172 03/2010 0.004086 0.00012419
03/2008 0.021611 -0.000131125 04/2010 0.027042 0.000175691
04/2008 0.019472 0.00015152 05/2010 0.017174 0.000524958
05/2008 0.007284 0.000402688 06/2010 -0.00437 0.000741399
06/2008 0.016049 0.000492149 07/2010 0.02605 0.00067498
07/2008 -0.00681 0.000694388 08/2010 0.000703 0.001004853
80

08/2008 -0.01594 0.000596889 09/2010 0.009293 0.00100093
09/2008 -0.0212 0.000381905 10/2010 0.002254 0.00110873
10/2008 0.048207 0.000101275 11/2010 -0.00051 0.001123625
11/2008 0.002064 0.000726646 12/2010 -0.01342 0.001102417
12/2008 0.004684 0.000744025 01/2011 -0.00389 0.000913582
01/2009 -0.00299 0.000795239 02/2011 0.000851107
02/2009 0.029795 0.000746092 03/2011 0.000840043
Kt qu SMB d bo cho thng 3/2011 s l 0.00084.

D bo HML:

Nhn vo th trn, ta thy din bin ca HML qua cc k quan st l khng c xu
hng tng hoc gim r rt, ng thi cng khng c tnh ma v do khng tm thy mt
chu k no lp li. Do , tng t nh vi SMB chng t chui quan st ny thch hp d
bo bng phng php san m gin n.
Tip theo chng ti s dng Eview c lng hng s san bng m :

81

Vi =0.03, ta c kt qu d bo bng sau:
Thng HML
t

t
HML Thng HML
t

t
HML
02/2007 -0.0068 -0.006796299 03/2009 0.021631 -0.00697
03/2007 0.025335 -0.006796299 04/2009 0.064192 -0.00611
04/2007 -0.00809 -0.005832352 05/2009 0.051778 -0.004
05/2007 0.005935 -0.00589996 06/2009 0.005683 -0.00233
06/2007 -0.01512 -0.005544909 07/2009 -0.02926 -0.00208
07/2007 -0.01065 -0.005832067 08/2009 -0.00835 -0.0029
08/2007 0.011973 -0.005976698 09/2009 -0.01215 -0.00306
09/2007 -0.00019 -0.005438195 10/2009 0.020159 -0.00334
10/2007 -0.00383 -0.005280631 11/2009 0.000148 -0.00263
11/2007 -0.00046 -0.005237201 12/2009 -0.01527 -0.00255
12/2007 0.001933 -0.00509402 01/2010 0.006684 -0.00293
01/2008 -0.00301 -0.004883216 02/2010 -0.00372 -0.00264
02/2008 -0.00338 -0.004826875 03/2010 0.024102 -0.00267
03/2008 -0.03974 -0.004783607 04/2010 0.024196 -0.00187
04/2008 -0.03633 -0.005832227 05/2010 -0.01102 -0.00109
05/2008 -0.01309 -0.006747085 06/2010 0.004518 -0.00139
06/2008 0.001119 -0.006937349 07/2010 -0.00679 -0.00121
07/2008 0.006357 -0.006695651 08/2010 -0.00905 -0.00138
08/2008 -0.01966 -0.006304084 09/2010 0.009692 -0.00161
09/2008 0.017341 -0.00670466 10/2010 -0.02052 -0.00127
10/2008 -0.03728 -0.005983287 11/2010 -0.03121 -0.00185
11/2008 -0.01719 -0.006922328 12/2010 0.029578 -0.00273
12/2008 -0.00067 -0.007230315 01/2011 -0.00738 -0.00176
01/2009 -0.00866 -0.007033637 02/2011 -0.00193
02/2009 -0.00317 -0.007082514 03/2011 -0.00187
Kt qu HML d bo cho thng 3/2011 s l -0.00187.
Nh vy, theo cch phn tch d liu nh trn, chng ta s ch nh gi 62 c phiu vi 5
danh mc tng ng. Vi cch phn tch d liu nh vy, ta c cc bng tng hp d liu
bin gii thch vo thi im thng 3/2011 nh sau:

82

R
f
R
m
SMB HML
0.00935 -0.0579226 0.00084 -0.00187

Chy hi quy cho tng chng khon, chng ti c bng tng hp h s hi quy
M hnh CAPM Fama French
M CK s
i
h
i

BBC 0.00234 1.043338 -0.001479 0.919861 0.588131 0.886633
BHS 0.003655 0.824858 0.000449 0.855595 0.803703 0.362422
BMP 0.005706 1.273413 0.007717 1.217422 -0.589011 -0.123149
CYC -0.002165 0.930605 -0.006833 0.969396 1.1566 0.544725
DIC 0.011516 1.079389 0.006013 1.134893 1.386111 0.614444
HAI 0.003902 1.045834 0.001608 1.120323 0.696247 0.110217
HAX 0.00897 1.208381 0.004002 1.261388 1.257973 0.546426
ICF 0.001023 1.121236 -0.004622 0.96676 0.933822 1.230765
KHA 0.009736 1.085607 0.007138 1.130119 0.696483 0.237973
KHP 0.002454 0.977279 -0.003517 0.962277 1.330185 0.880271
LBM 0.010285 1.271221 0.006254 1.42624 1.279214 0.125183
MHC 0.001279 1.320435 -0.002751 1.22484 0.70054 0.836926
NAV 0.000383 1.126525 -0.003533 1.126186 0.894495 0.550446
NSC 0.010127 1.019319 0.006899 1.137237 1.009943 0.117864
PAN 0.010173 1.747509 0.008364 1.65659 0.203673 0.512062
PGC -0.000621 1.288448 -0.003724 1.224006 0.560612 0.618415
PJT 0.001355 1.214719 -0.004743 1.245407 1.464661 0.768296
RAL -0.003841 1.13484 -0.005575 0.940618 -0.051985 0.794927
SFC 0.016591 0.840398 0.014482 0.817498 0.429435 0.361055
SJD -0.003683 0.710793 -0.006344 0.755453 0.711391 0.246496
SMC 0.011368 1.208506 0.008731 1.261013 0.723863 0.220745
SVC 0.002269 1.548093 -0.001735 1.443398 0.673724 0.859204
TDH -0.000594 1.072505 -0.001104 0.903641 -0.273041 0.551301
TMS -0.000894 0.540912 -0.002713 0.668509 0.710359 -0.107216
TTP -0.00065 0.904238 -0.001986 0.824032 0.120275 0.415266
83

VFC 0.010546 1.312994 0.006548 1.300818 0.885879 0.595546
VID 7.49E-05 0.933417 -0.005074 0.787905 0.841146 1.135724
VIS 0.017532 1.326482 0.015429 1.504534 0.891637 -0.210752
VPK -0.002335 0.826085 -0.008699 0.771786 1.329498 1.047143
VTB -0.010192 0.482088 -0.014108 0.446893 0.813815 0.649311
BMC 0.019223 1.479147 0.016479 1.606686 0.921715 0.022751
BT6 0.001083 0.375935 -0.000953 0.482609 0.711516 -0.01743
CLC -0.002197 0.687726 -0.005206 0.650978 0.602937 0.5265
DMC -0.009347 0.545671 -0.011011 0.604956 0.517147 0.065012
DRC 0.019382 1.749383 0.016488 1.685673 0.51449 0.586998
HMC 0.005668 1.175637 0.001499 1.20617 1.023363 0.498112
HRC 0.005748 1.245671 0.005094 1.229177 0.111354 0.138563
IFS -0.005833 0.93185 -0.010932 0.927167 1.154925 0.728777
IMP -0.001893 0.677814 -0.003175 0.784323 0.538913 -0.122664
NKD 0.002161 1.169389 0.001485 1.000054 -0.236092 0.575985
PAC 0.011616 0.792716 0.012173 0.920548 0.167589 -0.441342
SCD 0.002098 0.846553 -0.002195 0.926675 1.166255 0.3747
TAC 0.001068 1.061061 -0.001852 1.001486 0.530023 0.578923
TBC -0.006308 0.747232 -0.00831 0.683175 0.309865 0.462882
TYA -0.013704 0.928855 -0.014542 0.871484 0.059333 0.280649
ITA 0.004119 1.142732 0.000291 0.726667 -0.085048 1.719054
REE 0.005833 1.483208 0.004721 1.165202 -0.479435 1.059548
SAM -0.006895 1.297398 -0.008474 0.973176 -0.387408 1.142491
BMI -0.007846 1.136548 -0.008665 0.900903 -0.356555 0.78434
GMD -0.001031 1.322818 0.001249 1.169362 -0.875239 0.116105
KDC 0.004984 1.109865 0.006879 1.055687 -0.558194 -0.11195
SSI 0.01053 1.588164 0.009138 1.27783 -0.397939 1.076904
CII 0.008046 1.056475 0.00793 0.944639 -0.231621 0.333945
DHG 0.001174 0.47393 0.000843 0.61248 0.395298 -0.347215
FPT -0.001885 1.03835 0.000742 1.039021 -0.598949 -0.370463
MPC 0.000588 1.016433 -0.001711 0.936745 0.341558 0.548878
84

PPC -0.009436 0.950853 -0.007512 0.895852 -0.566641 -0.113632
PVD -0.002121 0.778049 0.000437 0.926474 -0.242292 -0.78058
SJS 0.012513 1.470217 0.015001 1.575114 -0.253715 -0.561872
STB 0.002666 1.141306 0.000696 1.107262 0.371752 0.373097
VIP -0.004517 1.150021 -0.008868 0.960095 0.556402 1.150038
VNM 0.00386 0.683855 0.006693 0.824498 -0.323027 -0.796995
VSH -0.007652 0.783615 -0.005755 0.921615 -0.115148 -0.65816

4.1.2 Kt qu phn tch:
S dng cc h s hi quy cng vi d liu d bo bin gii thch c thu thp nh trn.
Chng ta c bng tng hp t sut sinh li ca danh mc nh sau:
Danh
mc
CAPM FAMA FRENCH
Rg Rtt nh gi Rg Rtt nh gi
SM -5.95% -7.90% nh gi cao -6.62% -7.90% nh gi cao
SL -5.34% -2.98% nh gi thp -5.64% -2.98% nh gi thp
BH -7.76% -10.88% nh gi cao -5.87% -10.88% nh gi cao
BM -7.57% -10.04% nh gi cao -6.39% -10.04% nh gi cao
BL -5.50% -5.38% nh gi thp -5.58% -5.38% nh gi thp
i vi vic nh gi ca danh mc, chng ta thy rng c s tng ng trong nhn nh
ca m hnh CAPM v Fama French. Theo , cc c phiu thuc nhm SM, BH, BM c
nh gi cao, cc c phiu thuc danh mc SL, BL nh gi thp.Ngoi ra, t sut sinh li ca
cc c phiu thuc nhm SM, SL c nh gi bi m hnh CAPM th cao hn t sut sinh
li c nh gi bi m hnh Fama French v ngc li.
T vic phn tch s lc cc nhn nh ca 5 danh mc cho ta thy c tng quan
chung xu hng ca cc c phiu theo tng danh mc ti thi im hin ti ny (thng
3/2011). c ci nhn chi tit chng ta s nh gi cc c phiu trong danh mc ny, kt
qu nh sau:
CK
CAPM Fama French
Rg Rtt nh gi
Khuyn
ngh
Rg Rtt nh gi
Khuyn
ngh
BBC -5.85% -15.08% nh gi cao Bn -5.52% -15.08% nh gi cao Bn
BHS -4.25% -5.19% nh gi cao Bn -4.78% -5.19% nh gi cao Bn
85

BMC -7.09% 3.37% nh gi thp Mua -8.15% 3.37% nh gi thp Mua
BMI -7.50% -9.19% nh gi cao Bn -6.17% -9.19% nh gi cao Bn
BMP -7.06% -3.29% nh gi thp Mua -6.51% -3.29% nh gi thp Mua
BT6 -1.49% -8.71% nh gi cao Bn -2.34% -8.71% nh gi cao Bn
CII -5.37% 1.76% nh gi thp Mua -4.71% 1.76% nh gi thp Mua
CLC -3.91% -5.88% nh gi cao Bn -4.01% -5.88% nh gi cao Bn
CYC -5.54% -15.00% nh gi cao Bn -6.27% -15.00% nh gi cao Bn
DHG -2.14% 5.97% nh gi thp Mua -3.00% 5.97% nh gi thp Mua
DIC -5.17% -16.20% nh gi cao Bn -6.10% -16.20% nh gi cao Bn
DMC -3.67% -14.27% nh gi cao Bn -4.20% -14.27% nh gi cao Bn
DRC -8.90% -13.10% nh gi cao Bn -8.82% -13.10% nh gi cao Bn
FPT -6.24% -8.11% nh gi cao Bn -5.96% -8.11% nh gi cao Bn
GMD -8.07% -6.65% nh gi thp Mua -6.90% -6.65% nh gi thp Mua
HAI -5.71% -0.62% nh gi thp Mua -6.40% -0.62% nh gi thp Mua
HAX -6.30% 2.62% nh gi thp Mua -7.15% 2.62% nh gi thp Mua
HMC -6.41% -3.34% nh gi thp Mua -7.04% -3.34% nh gi thp Mua
HRC -6.87% -0.35% nh gi thp Mua -6.84% -0.35% nh gi thp Mua
ICF -6.51% -4.25% nh gi thp Mua -6.18% -4.25% nh gi thp Mua
IFS -5.92% 21.63% nh gi thp Mua -6.43% 21.63% nh gi thp Mua
IMP -3.81% 11.95% nh gi thp Mua -4.59% 11.95% nh gi thp Mua
ITA -6.34% -10.32% nh gi cao Bn -4.25% -10.32% nh gi cao Bn
KDC -6.03% -10.04% nh gi cao Bn -5.50% -10.04% nh gi cao Bn
KHA -5.39% -8.72% nh gi cao Bn -5.94% -8.72% nh gi cao Bn
KHP -5.39% -4.61% nh gi thp Mua -5.94% -4.61% nh gi thp Mua
LBM -6.59% -9.89% nh gi cao Bn -7.95% -9.89% nh gi cao Bn
MHC -7.82% -7.99% nh gi cao Bn -7.68% -7.99% nh gi cao Bn
MPC -5.84% -3.09% nh gi thp Mua -5.61% -3.09% nh gi thp Mua
NAV -6.61% -14.12% nh gi cao Bn -7.02% -14.12% nh gi cao Bn
NSC -4.91% -3.23% nh gi thp Mua -5.96% -3.23% nh gi thp Mua
PAC -3.24% -3.20% nh gi thp Mua -3.94% -3.20% nh gi thp Mua
PAN -9.80% -8.57% nh gi thp Mua -9.45% -8.57% nh gi thp Mua
PGC -7.79% -12.52% nh gi cao Bn -7.74% -12.52% nh gi cao Bn
PJT -7.10% -8.38% nh gi cao Bn -7.94% -8.38% nh gi cao Bn
86

PPC -6.41% -12.25% nh gi cao Bn -5.87% -12.25% nh gi cao Bn
PVD -4.51% -4.48% nh gi thp Mua -5.13% -4.48% nh gi thp Mua
RAL -7.08% -10.63% nh gi cao Bn -6.10% -10.63% nh gi cao Bn
REE -8.46% -9.68% nh gi cao Bn -6.67% -9.68% nh gi cao Bn
SAM -8.48% -12.62% nh gi cao Bn -6.71% -12.62% nh gi cao Bn
SCD -4.55% -10.42% nh gi cao Bn -5.49% -10.42% nh gi cao Bn
SFC -3.06% -10.33% nh gi cao Bn -3.15% -10.33% nh gi cao Bn
SJD -4.21% -4.50% nh gi cao Bn -4.77% -4.50% nh gi thp Mua
SJS -7.70% -18.00% nh gi cao Bn -8.08% -18.00% nh gi cao Bn
SMC -6.06% -6.87% nh gi cao Bn -6.66% -6.87% nh gi cao Bn
SSI -8.70% -14.30% nh gi cao Bn -6.98% -14.30% nh gi cao Bn
STB -6.48% -7.51% nh gi cao Bn -6.48% -7.51% nh gi cao Bn
SVC -9.25% -11.64% nh gi cao Bn -9.05% -11.64% nh gi cao Bn
TAC -6.10% -3.27% nh gi thp Mua -6.05% -3.27% nh gi thp Mua
TBC -4.72% -2.15% nh gi thp Mua -4.55% -2.15% nh gi thp Mua
TDH -6.34% -10.60% nh gi cao Bn -5.38% -10.60% nh gi cao Bn
TMS -2.79% -2.24% nh gi thp Mua -3.75% -2.24% nh gi thp Mua
TTP -5.21% -13.48% nh gi cao Bn -4.87% -13.48% nh gi cao Bn
TYA -6.68% -11.74% nh gi cao Bn -6.43% -11.74% nh gi cao Bn
VFC -6.84% -13.00% nh gi cao Bn -7.20% -13.00% nh gi cao Bn
VID -5.34% -2.77% nh gi thp Mua -5.01% -2.77% nh gi thp Mua
VIP -7.25% -6.26% nh gi thp Mua -6.58% -6.26% nh gi thp Mua
VIS -6.24% -9.35% nh gi cao Bn -7.53% -9.35% nh gi cao Bn
VNM -3.28% 0.89% nh gi thp Mua -3.82% 0.89% nh gi thp Mua
VPK -4.86% -10.32% nh gi cao Bn -5.21% -10.32% nh gi cao Bn
VSH -5.10% -8.09% nh gi cao Bn -5.73% -8.09% nh gi cao Bn
VTB -3.33% -8.50% nh gi cao Bn -3.54% -8.50% nh gi cao Bn
Qua bng s liu 62 c phiu ca cc danh mc SM, SL, BH, BM,BL, ta c cc kt lun
sau:
i vi m hnh CAPM c 38 c phiu nh gi cao, 24 c phiu nh gi thp.
i vi m hnh FF3FM c 37 c phiu nh gi cao, 25 c phiu nh gi thp.
Theo , ch c duy nht mt c phiu c nhn nh khc nhau gia hai m hnh l SJD.
C th, kt qu Rg t m hnh CAPM l -4.21% v Rg t m hnh Fama French l -4.77%,
87

so snh vi Rtt l -4.5% th m hnh CAPM a ra khuyn ngh bn, trong khi m hnh Fama
French a ra khuyn ngh mua.

4.2 Khuyn ngh u t:
Theo bng s liu tng hp trn, nh u t c th thc hin quyt nh u t ca mnh
theo cc nhn nh . C th nh, cc chng khon m c nh gi cao th nh u t nn
thc hin quyn bn v ngc li, c phiu c nh gi thp th thc hin quyt nh mua.
Tuy nhin, i vi trng hp ca c phiu SJD th nh u t nn cn nhc k hn, khng
nn ngh rng m hnh Fama French c ngha hn th s thc hin theo nhn nh ca n
mt cch rp khun.
Ngoi ra, y cng khng phi l tiu ch duy nht a ra quyt nh, nh u t cn
phi cn nhc thm n cc yu t c kh nng nh hng n gi chng khon ti Vit Nam
nh tm l by n v kh nng ti chnh cng nh cc k hoch u t vn thay th khc
c c kt qu u t tt nht.

KT LUN CHNG 4
Chng ti p dng m hnh CAPM. FF3FM d bo v nh gi tng chng khon
thng qua 5 danh mc SM, SL, BH, BM, BL c ngha thng k nht i vi vic d bo t
sut sinh li ca th trng chng khon Vit Nam. Qua chng ti a ta khuyn ngh u
t bng cch so snh t sut sinh li c d bo t m hnh v t sut sinh li trn th
trng, nu t sut sinh li c tnh ln hn t sut sinh li trn th trng th a ra khuyn
ngh bn v ngc li l khuyn ngh mua.
Kt qu khi d bo cho 5 danh mc ny l ging nhau gia 2 m hnh. Tuy nhin, khi d
bo cho tng chng khon trong tng danh mc c th th ch c mt trng hp khc nhau
l c phiu SJD, m hnh CAPM th a ra khuyn ngh bn, trong khi Fama French a
ra khuyn ngh mua.
88

KT LUN

M hnh CAPM v FF3FM u l m hnh lng ha mi quan h gia ri ro v t sut
sinh li ca tng chng khon hoc danh mc da trn phng php hi qui tuyn tnh. Tuy
nhin, m hnh CAPM ch da trn nhn t phn b th trng thng qua ch s beta ca
chng khon trong khi FF3FM da trn 3 nhn t l phn b th trng, quy m v
nhn t BE/ME. M hnh FF3FM c th coi l m hnh kh thnh cng trong vic tha k v
tng hp li kt qu ca cc nghin cu trc , bao gm c nghin cu ni ting cho m
hnh CAPM. Mt khc, bn thn n cng c nhiu nghin cu thc nghim kim chng
trn nhiu b d liu trn cc th trng khc nhau, trong c c nhng th trng mi ni
nh: Hn Quc, n , Thi Lan, i Loan. Nhn chung, kt qu ca cc nghin cu ny
u cng nhn vai tr ca 3 nhn t trong m hnh Fama-French cho vic gii thch s thay
i t sut sinh li c phiu.
Ti Vit Nam nh u t ch yu tham kho cc phng php nh gi ca cng ty chng
khon thc hin quyn kinh doanh ca mnh nhng a s cc khuyn ngh ny khng
chnh xc lm, trong khi vic ng dng hai m hnh ny dng nh vn cn b ng, l do
v th trng chng khon Vit Nam mi pht trin, cc nhn t trong m hnh khng thc s
nh hng n t sut sinh li chng khon. Tuy nhin, trong tng lai vic ng dng cc
m hnh ti chnh tng t nh th c xu hng gia tng khi nhiu nh u t tham gia vo
th trng mang tnh cnh tranh cao, i hi nhng nh u t thn trng trong tng quyt
nh u t ca mnh.
Kt qu t bi nghin cu ca chng ti cho thy m hnh CAPM t ra ph hp trong
vic gii thch t sut sinh li ca chng khon trn sn HOSE vi R
2
l 73%. Tuy nhin,
cng ging vi a s cc nghin cu khc trn th gii, kt qu kim nh t m hnh Fama
French l ln hn, R
2
bng 79.02%. Khi chia thnh 6 danh mc kim nh th ch c mt
danh mc SH l khng ph hp vi c 2 m hnh CAPM v Fama French.
Ngoi ra chng ti vn dng 2 m hnh trn vo thc t d bo t sut sinh li, t
so snh vi t sut sinh li thc t v a ra nhn nh chng khon hin ang c nh
gi cao hay thp v khuyn ngh cc nh u t nn bn cc chng khon c nh gi cao
v mua nhng chng khon c nh gi thp.
89

DANH MC TI LIU THAM KHO

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dy kinh t Fulbright, 2007.
5. ThS Hong Ngc Nhm, Gio trnh Kinh t lng, 2008.
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bonds, 1992.
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17. Nima Billou, Tests of the CAPM and Fama French three factor Model, 2004.
18. Oxera, Fama French: a challenge to the CAPM?, 2006.
19. Kenneth Lam, Is the Fama French three factor model better than the CAPM?, 2005.
20. inh Trng Hng, ng dng mt s m hnh u t ti chnh vo th trng chng
khon Vit Nam, 2008.
90

21. TS Vng c Hong Qun, H Th Hu, i tm mt m hnh d bo t sut sinh li
thch hp i vi th trng chng khon Vit Nam, 2008.
22. TS Vng c Hong Qun, H Th Hu, M hnh Fama French: Mt nghin cu
thc nghim i vi th trng chng khon Vit Nam, 2008.
23. TS Quch Mnh Ho, cng ty chng khon Thng Long, M hnh nh gi ti sn
Vit Nam, 2009.
24. ThS Trn Th Hi L, Hnh vi by n trn th trng chng khon Vit Nam
Nguyn nhn v mt s gii php, 6/2010.
25. V Thi Hng, Cng ty c phn chng khon Tn Vit, Khng d xc nh th gi c
phiu, 2008.
26. http://www.cophieu68.com/export.php
27. http://bond.hnx.vn/default.aspx?tabIndex=4&tabid=180&tabpID=179
28. http://hnx.vn/ketquadauthau_traiphieu.asp?actType=1&menuup=302000&TypeGrp=1
&menuid=112110&menulink=300000&menupage=ketquadauthau_traiphieu.asp&stoc
ktype=1
29. http://www.sbsc.com.vn/
30. http://ezsearch.fpts.com.vn/Services/
31. http://stox.vn/stox/
32. http://www.cfo.vn/forum/viewtopic.php?f=28&t=528
33. http://doanhnhancodoc.net/diendan/showthread.php?t=1836
34. http://www.saga.vn/view.aspx?id=4846
35. http://www.atpvietnam.com/vn/thuctechoick/64140/index.aspx
36. http://wss.com.vn/Tintuc/Chitiettintuc/tabid/315/ArticleID/42391/tid/257/Default.aspx
37. http://forum.sanotc.com/3437437/gioi-thieu-ve-thi-truong-chung-khoan.aspx
38. http://nghiatq.wordpress.com/2010/06/11/ph%E1%BA%A7n-bu-r%E1%BB%A7i-ro-
th%E1%BB%8B-tr%C6%B0%E1%BB%9Dng-%E2%80%93-mrp-vn-
kho%E1%BA%A3ng-133/
39. http://www.adb.org/Documents/Books/ADO/2010/Update/figs/f3-10-1.xlsx
40. http://www.adb.org/Documents/Books/ADO/2010/Update/figs/f3-10-3.xlsx
41. http://www.adb.org/Documents/Books/ADO/2010/Update/figs/f3-10-6.xlsx
42. http://www.sbv.gov.vn/wps/portal/!ut/p/c5/04_SB8K8xLLM9MSSzPy8xBz9CP0os3hn
d0cPE3MfAwN3r0BnA093r2ALEydDAwMLM_1wkA7cKgxMIfIGOICjgb6fR35uqn
5Bdnaao6OiIgCws9R4/dl3/d3/L2dJQSEvUUt3QS9ZQnZ3LzZfMEQ0OTdGNTQwR0
91

YyNzBJT1JFUVNBRDJTRDQ!/?WCM_GLOBAL_CONTEXT=/wps/wcm/connect/s
bv_vn/sbv_vn/vn.sbv.currency/vn.sbv.currency.profit/vn.sbv.currency.profit.1
43. http://nghiatq.wordpress.com/2010/06/11/phn-bu-ri-ro-th-trng--mrp-vn-khong-
133/
44. http://www.bsc.com.vn/News/2010/2/15/82221.aspx
45. http://blog.yume.vn/xem-blog/ttck-nam-2008-va-nhung-con-so-biet-
noi.catusix.35AA1EE9.html




PH LC 1: TM TT TC NG QUA LI GIA CC NHN T NH HNG
N GI CHNG KHON

92

PH LC 2: THNG K CC PHNG PHP NH GI (CHNG 2)
BNG 2.3.1.1: Thng k bin ng ca vic nh gi ca cc cng ty chng khon theo
m hnh chit khu dng tin so vi thc t trn cc phin giao dch ti sn HOSE
(n v tnh: 1.000ng)
CNG TY
C
NH GI
M
CK
PHNG
PHP
NH
GI
CNG
TY
NH
GI
NH
GI
KHUYN
NGH
BIN NG SAU 5 PHIN
1 2 3 4 5
CTCP Pht
trin nh
Th c
TDH
OFCF,
FCFE,
P/E, P/BV
DVSC 55.125 Mua 38.4 37.1 33.2 45.2 37.2
CTCP u
T xy
dng Bnh
Chnh
BCI
OFCF,
FCFE,
P/E, P/BV
VDS 54.935 Mua 48.9 60.5 51.3 47.3 42.1
Ngn hng
TMCP
Chu
ACB
FCFE,P/E,
P/BV
TVSI 47.5 Gi 38.2 38.1 37.5 30.8 28.8
Ngn hng
TMCP Si
Gn
Thng Tn
STB
OFCF,
FCFE,P/E,
P/BV
VISE 47.2 Mua 26.7 27.9 28.4 21.5 18.9
CTCP Cao
Su Sao
Vng
SRC
OFCF,
P/E, P/B
HASC 20.965 Bn 27.7 26.1 20 17.9 27
CTCP Kinh
Doanh Kh
Ha Lng
Min Bc
PVG
OFCF,P/E
, P/B
HASC 13.94 Bn 13.7 13 12.7 10.3 11.3
CTCP dc
phm
Imexpharm
IMP
OFCF,
FCFE,
P/E, P/BV
VDSC 62.66 Nm gi 43.1 58.1 71.4 70.5 59.5
CTCP u
t Cng
nghip Tn
To
ITA
OFCF,
FCFE,
P/E, P/BV
TVSI 20.3 Nm gi 16.6 15 13.9 13.5 14.8
CTCP Xi
mng
Hong Mai
HOM
OFCF,
FCFE,
P/BV
TVSI 21.6
Mua v
nm gi
9.5 9 8.5 6.8 7.7
93

CTCP Cao
su ng
Ph
DPR
OFCF,
FCFE,
P/E, P/BV
SHS 77.5 Nm gi 67.5 66 63.5 66.5 65
CTCP u
t v Kinh
doanh Nh
Khang in
KDH
OFCF,
FCFE
SHS 44.9 Nm gi 40.2 39.9 41.1 42 43.9
CTCP Ng
Han
NHW
OFCF,
FCFE,
P/E, P/BV
TVSI 26.1 Nm gi 23.8 19 20.3 18.8 20
Ngun: Thu thp s liu t cc Cng ty nim yt ca tc gi

BNG 2.3.2.1: Thng k bin ng ca vic nh gi ca cc cng ty chng khon theo m
hnh nh gi tng i so vi thc t trn cc phin giao dch ti sn HOSE
(n v tnh: 1.000ng)
CNG TY
C
NH GI
M
CK
PHNG
PHP
NH
GI
CNG
TY
NH
GI
NH
GI
KHUYN
NGH
BIN NG SAU 5 PHIN
1 2 3 4 5
CTCP Dc
Hu Giang
DHG P/E VCS 180 Mua 116.8 120 127.1 120.4 101.8
CTCP Xut
nhp khu
Y t
Domesco
DMC P/E HSC 36.34 Mua 36.4 34.8 32.5 30 29.6
Tp on
Bo Vit
BVH P/E SSC 31.5 Mua 31.7 30.7 29.1 25.1 20.8
Tng CTCP
Bo him
du kh Vit
Nam
PVI P/BV VCS 26 Mua 18 19.1 20.4 18.5 19.3
Cng ty C
phn CMC
CVT P/E HBS 33 Mua 10.9 9.9 13 30.7 26.4
CTCP Sng
Cao
Cng
SCL P/E, P/BV MNSC 31.64 Mua 29 26.9 27.5 28.2 28.5
CTCP Xy
dng v
Giao thng
BCE P/E HBS 28 Mua 19.8 15.9 15.3 13 13.8
94

Bnh Dng
Tng CTCP
Dch V
Tng Hp
Du Kh
PET P/E MNSC 29 Mua 20.1 19.7 17.8 15.7 18.5
CTCP Xy
Dng
COTEC
CTD P/E MNSC 150 Mua 66.6 77.7 84.1 62 69.2
CTCP nh
Dng Vit
Nam
VNS P/E VCS 56 Gi 32.8 36.9 31.2 29 30.6
CTCP Bt
ng sn
in lc
Du kh
Vit Nam
PVL P/E, P/BV TVSI 21.3 Bn 36.5 28.6 27.3 21 15.9
CTCP Thy
in Vnh
Sn Sng
Hinh
VSH P/E TLS 17 Bn 17.1 16.6 14.8 15.6 13.6
CTCP Thp
Vit
VIS P/E, P/BV MNSC 50.19 Bn 60.5 48.2 40.1 34.3 34.1
Ngun: Thu thp s liu t cc Cng ty nim yt ca tc gi

95

PH LC 3: CC C PHIU C CHN LM MU NGHIN CU
M CK Tn Cng ty M CK Tn Cng ty
ABT
CTCP Xut nhp khu thy sn
Bn Tre
MHC CTCP hng hi H Ni
AGF
CTCP Xut nhp khu thy sn An
Giang
MPC
CTCP Tp on Thy hi sn Minh
Ph
BBC CTCP Bibica NAV CTCP Nam Vit
BHS CTCP ng Bin Ha NKD
CTCP Ch bin thc phm Kinh
min Bc
BMC CTCP Khong sn Bnh nh NSC CTCP Ging cy trng Trung ng
BMI Tng CTCP Bo Minh PAC CTCP Pin c quy min Nam
BMP CTCP nha Bnh Minh PAN CTCP Xuyn Thi Bnh
BT6 CTCP Beton 6 PGC CTCP Gas Petrolimex
CII
CTCP u t H tng K thut
Thnh ph H Ch Minh
PJT
CTCP Vn ti Xng du ng
Thy Petrolimex
CLC CTCP Ct Li PNC CTCP vn ho Phng Nam
COM CTCP Vt T - Xng Du PPC CTCP Nhit in Ph Li
CYC CTCP Gch Men Chang Yih PTC CTCP u t v Xy dng Bu in
DCT
CTCP Tm lp Vt liu Xy dng
ng Nai
PVD
Tng CTCP Khoan v Dch v
khoan du kh
DHA CTCP Ho An RAL
CTCP Bng n Phch nc Rng
ng
DHG CTCP Dc Hu Giang REE CTCP C in lnh
DIC CTCP u t v Thng mi DIC SAM CTCP u t v Pht trin SACOM
DMC
CTCP Xut nhp khu Y t
Domesco
SAV
CTCP Hp tc kinh t v Xut nhp
khu SAVIMEX
DRC CTCP Cao Su Nng SCD
CTCP Nc Gii kht Chng
Dng
DTT CTCP K ngh Thnh SFC CTCP Nhin Liu Si Gn
FMC CTCP Thc phm Sao Ta SFI CTCP i l Vn ti SAFI
FPT CTCP FPT SJD CTCP Thy in Cn n
GIL
CTCP Sn Xut Kinh Doanh Xut
Nhp Khu Bnh Thnh
SJS
CTCP u t Pht trin th v
Khu cng nghip Sng
GMC
CTCP Sn xut Thng mi May
Si Gn
SMC CTCP u t thng mi SMC
GMD CTCP i l Lin hip vn chuyn SSC CTCP Ging cy trng min Nam
HAI CTCP Nng dc H.A.I SSI CTCP chng khon Si Gn
HAP CTCP Tp on HAPACO STB
Ngn hng Thng mi c phn Si
Gn Thng Tn
HAS CTCP Xy lp Bu in H Ni SVC CTCP dch v tng hp Si Gn
HAX CTCP Dch v t Hng Xanh TAC CTCP Du thc vt Tng An
HBC CTCP Xy Dng v Kinh Doanh TBC CTCP Thy in Thc B
96

a c Ha Bn
HMC CTCP Kim kh TP H Ch Minh TCR CTCP Cng Nghip Gm s Taicera
HRC CTCP Cao su Ha Bnh TDH CTCP Pht trin nh Th c
HTV CTCP vn ti H Tin TMS
CTCP Kho vn Giao nhn Ngoi
thng TP.HCM
ICF
CTCP u t Thng mi Thy
sn
TNA
CTCP Thng Mi Xut Nhp Khu
Thin Nam
IFS CTCP Thc phm Quc T TS4 CTCP Thy sn s 4
IMP CTCP dc phm Imexpharm TTP CTCP bao b Nha Tn Tin
ITA
CTCP u t Cng nghip Tn
To
TYA
CTCP Dy v Cp in Taya Vit
Nam
KDC CTCP Kinh
VFC

CTCP Vinafco
KHA CTCP xut nhp khu Khnh Hi VID
CTCP u t Pht trin Thng mi
Vin ng
KHP CTCP in lc Khnh Ha VIP CTCP Vn ti Xng du VIPCO
LAF
CTCP Ch bin hng xut khu
Long An
VIS CTCP Thp Vit
LBM
CTCP Khong sn v Vt liu xy
dng Lm ng
VNM CTCP Sa Vit Nam
LGC CTCP C kh - in L Gia VPK CTCP bao b du thc vt
MCP CTCP In v Bao b M Chu VSH
CTCP Thy in Vnh Sn Sng
Hinh
MCV
CTCP Cavico Vit Nam Khai thc
m v Xy dng
VTB CTCP in t Tn Bnh

97

PH LC 4: KIM NH S PH HP CA M HNH CAPM VIT NAM
1. Kt qu hi quy mu 88 chng khon:

2. Kt qu hi quy danh mc SH:

3. Kt qu hi quy danh mc SM:

98

4. Kt qu hi quy danh mc SL:

5. Kt qu hi quy danh mc BH:

99

6. Kt qu hi quy danh mc BM:

7. Kt qu hi quy danh mc BL:

100

PH LC 5: KT QU KIM NH T TNG QUAN M HNH CAPM
SH
Lag = 1
F-statistic 58.85901 Probability 0.000000
Obs*R-squared 26.89481 Probability 0.000000
Lag = 2
F-statistic 31.37699 Probability 0.000000
Obs*R-squared 27.88961 Probability 0.000001
Lag = 3
F-statistic 27.83795 Probability 0.000000
Obs*R-squared 31.27265 Probability 0.000001
SM
Lag = 1
F-statistic 0.226817 Probability 0.636251
Obs*R-squared 0.241039 Probability 0.623457
Lag = 2
F-statistic 0.126794 Probability 0.881243
Obs*R-squared 0.275553 Probability 0.871293
Lag = 3
F-statistic 0.885147 Probability 0.456601
Obs*R-squared 2.794861 Probability 0.424347
SL
Lag = 1
F-statistic 2.06084 Probability 0.158198
Obs*R-squared 2.10286 Probability 0.147024
Lag = 2
F-statistic 2.908273 Probability 0.065370
Obs*R-squared 5.600103 Probability 0.060807
Lag = 3
F-statistic 2.790206 Probability 0.052129
Obs*R-squared 7.810486 Probability 0.050095
BH
Lag = 1
F-statistic 0.96603 Probability 0.331046
Obs*R-squared 1.009727 Probability 0.314968
Lag = 2
F-statistic 3.321582 Probability 0.045561
Obs*R-squared 6.289461 Probability 0.043079
Lag = 3
F-statistic 2.250026 Probability 0.096511
Obs*R-squared 6.507758 Probability 0.089357
BM
Lag = 1
F-statistic 0.021096 Probability 0.885181
Obs*R-squared 0.022524 Probability 0.880702
101

Lag = 2
F-statistic 4.070459 Probability 0.024046
Obs*R-squared 7.481742 Probability 0.023733
Lag = 3
F-statistic 3.480347 Probability 0.024058
Obs*R-squared 9.357726 Probability 0.024894
BL
Lag = 1
F-statistic 3.001094 Probability 0.090214
Obs*R-squared 3.001024 Probability 0.083212
Lag = 2
F-statistic 1.693827 Probability 0.195848
Obs*R-squared 3.432374 Probability 0.179750
Lag = 3
F-statistic 1.36193 Probability 0.267500
Obs*R-squared 4.16684 Probability 0.244003




PH LC 6: KT QU KIM NH PHNG SAI THAY I M HNH CAPM
SH
F-statistic 0.234301 Probability 0.792105
Obs*R-squared 0.495276 Probability 0.780642
SM
F-statistic 0.555068 Probability 0.578
Obs*R-squared 1.156645 Probability 0.560838
SL
F-statistic 0.715161 Probability 0.49471
Obs*R-squared 1.479742 Probability 0.477175
BH
F-statistic 10.06294 Probability 0.000252
Obs*R-squared 14.75093 Probability 0.000626
BM
F-statistic 1.038331 Probability 0.362557
Obs*R-squared 2.118276 Probability 0.346755
BL
F-statistic 0.373486 Probability 0.690492
Obs*R-squared 0.784582 Probability 0.675507

102

PH LC 7: KIM NH S PH HP CA M HNH FAMA FRENCH VN
1. Kt qu hi quy mu 88 chng khon:

2. Kt qu hi quy danh mc SH:

3. Kt qu hi quy danh mc SM:

103

4. Kt qu hi quy danh mc SL:

5. Kt qu hi quy danh mc BH:

104


6. Kt qu hi quy danh mc BM:

7. Kt qu hi quy danh mc BL:

105

PH LC 8: KT QU KIM NH A CNG TUYN TRONG M HNH
FAMA FRENCH
1. Kt qu m hnh hi quy ph gia SMB v HML:

2. Kt qu m hnh hi quy ph gia SMB v (R
m
-R
f
):

3. Kt qu m hnh hi quy ph gia HML v (R
m
-R
f
):

106

PH LC 9: KIM NH T TNG QUAN M HNH FAMA FRENCH
SH
Lag = 1
F-statistic 55.31254 Probability 0.000000
Obs*R-squared 26.71484 Probability 0.000000
Lag = 2
F-statistic 28.59314 Probability 0.000000
Obs*R-squared 27.37404 Probability 0.000001
Lag = 3
F-statistic 28.15665 Probability 0.000000
Obs*R-squared 31.89595 Probability 0.000001
SM
Lag = 1
F-statistic 2.293473 Probability 0.137409
Obs*R-squared 2.433615 Probability 0.118759
Lag = 2
F-statistic 1.151505 Probability 0.326173
Obs*R-squared 2.49963 Probability 0.286558
Lag = 3
F-statistic 0.753206 Probability 0.527008
Obs*R-squared 2.513085 Probability 0.472931
SL
Lag = 1
F-statistic 3.937827 Probability 0.053771
Obs*R-squared 4.028877 Probability 0.044728
Lag = 2
F-statistic 2.114741 Probability 0.133637
Obs*R-squared 4.395045 Probability 0.111078
Lag = 3
F-statistic 1.377207 Probability 0.263618
Obs*R-squared 4.400159 Probability 0.221371
BH
Lag = 1
F-statistic 3.702355 Probability 0.061129
Obs*R-squared 3.807477 Probability 0.051024
Lag = 2
F-statistic 1.847426 Probability 0.170526
Obs*R-squared 3.885414 Probability 0.143315
Lag = 3
F-statistic 1.206133 Probability 0.319917
Obs*R-squared 3.898923 Probability 0.272587
BM
Lag = 1
F-statistic 0.435463 Probability 0.512923
Obs*R-squared 0.482303 Probability 0.487381
107

Lag = 2
F-statistic 0.860697 Probability 0.430366
Obs*R-squared 1.893794 Probability 0.387943
Lag = 3
F-statistic 1.143105 Probability 0.343402
Obs*R-squared 3.711266 Probability 0.294377
BL
Lag = 1
F-statistic 4.01609 Probability 0.051545
Obs*R-squared 4.101961 Probability 0.042833
Lag = 2
F-statistic 2.176988 Probability 0.126315
Obs*R-squared 4.511993 Probability 0.104769
Lag = 3
F-statistic 1.549946 Probability 0.216542
Obs*R-squared 4.894584 Probability 0.179681




PH LC 10: KIM NH PHNG SAI THAY I M HNH FAMA FRENCH
SH
F-statistic 0.527678 Probability 0.844901
Obs*R-squared 5.346412 Probability 0.803126
SM
F-statistic 1.348696 Probability 0.258827
Obs*R-squared 7.908403 Probability 0.244891
SL
F-statistic 1.346093 Probability 0.259896
Obs*R-squared 7.895703 Probability 0.245844
BH
F-statistic 1.469885 Probability 0.213204
Obs*R-squared 8.490646 Probability 0.204314
BM
F-statistic 0.895656 Probability 0.507465
Obs*R-squared 5.566523 Probability 0.473453
BL
F-statistic 0.337407 Probability 0.912993
Obs*R-squared 2.264129 Probability 0.893875

108

PH LC 11: CC C PHIU C CHN NH GI BNG 2 M HNH
CAPM V FAMA FRENCH
M CK Tn Cng ty M CK Tn Cng ty
BM BBC CTCP Bibica
BMI


Tng CTCP Bo Minh
BHS CTCP ng Bin Ha
GMD
CTCP i l Lin hip vn
chuyn
BMP CTCP nha Bnh Minh
KDC CTCP Kinh CYC CTCP Gch Men Chang Yih
SSI CTCP chng khon Si Gn DIC CTCP u t v Thng mi DIC
BH HAI CTCP Nng dc H.A.I
ITA
CTCP u t Cng nghip
Tn To
HAX CTCP Dch v t Hng Xanh
REE CTCP C in lnh HMC CTCP Kim kh TP H Ch Minh
SAM
CTCP u t v Pht trin
SACOM
HRC CTCP Cao su Ha Bnh
BL ICF CTCP u t Thng mi Thy sn
CII
CTCP u t H tng K thut
Thnh ph H Ch Minh
ITA
CTCP u t Cng nghip Tn
To
DHG CTCP Dc Hu Giang KHA CTCP xut nhp khu Khnh Hi
FPT CTCP FPT KHP CTCP in lc Khnh Ha
MPC
CTCP Tp on Thy hi sn
Minh Ph
LBM
CTCP Khong sn v Vt liu xy
dng Lm ng
PPC CTCP Nhit in Ph Li MHC CTCP hng hi H Ni
PVD
Tng CTCP Khoan v Dch v
khoan du kh
NAV CTCP Nam Vit
SJS
CTCP u t Pht trin th
v Khu cng nghip Sng
NKD
CTCP Ch bin thc phm Kinh
min Bc
STB
Ngn hng Thng mi c
phn Si Gn Thng Tn
NSC CTCP Ging cy trng Trung ng
VIP
CTCP Vn ti Xng du
VIPCO
PAN CTCP Xuyn Thi Bnh
VNM CTCP Sa Vit Nam PGC CTCP Gas Petrolimex
109

VSH
CTCP Thy in Vnh Sn
Sng Hinh
PJT
CTCP Vn ti Xng du ng
Thy Petrolimex
SL RAL
CTCP Bng n Phch nc Rng
ng
BMC CTCP Khong sn Bnh nh SFC CTCP Nhin Liu Si Gn
BT6 CTCP Beton 6 SJD CTCP Thy in Cn n
CLC CTCP Ct Li SMC CTCP u t thng mi SMC
DMC
CTCP Xut nhp khu Y t
Domesco
SSI CTCP chng khon Si Gn
DRC CTCP Cao Su Nng SVC CTCP dch v tng hp Si Gn
IFS CTCP Thc phm Quc T TDH CTCP Pht trin nh Th c
IMP CTCP dc phm Imexpharm TMS
CTCP Kho vn Giao nhn Ngoi
thng TP.HCM
PAC CTCP Pin c quy min Nam TTP CTCP bao b Nha Tn Tin
SCD
CTCP Nc Gii kht Chng
Dng
VFC

CTCP Vinafco
TAC CTCP Du thc vt Tng An VID
CTCP u t Pht trin Thng mi
Vin ng
TBC CTCP Thy in Thc B VIS CTCP Thp Vit
TYA
CTCP Dy v Cp in Taya
Vit Nam
VPK CTCP bao b du thc vt
SM VTB CTCP in t Tn Bnh

110

PH LC 12: PHIU KHO ST

Chng ti l sinh vin nm cui trng i hc Kinh t thnh ph H Ch Minh. Hin nay,
ti ang thc hin mt ti nghin cu v ng dng m hnh CAPM v Fama French
d bo t sut sinh li kinh doanh chng khon trn th trng Vit Nam nhm tm
hng i mi cho nh u t trn th trng chng khon nc ta.
Trong bng cu hi ny, khng c quan im hoc thi no l ng hay sai, m ng gp
ca cc anh/ch l nhng thng tin hu ch v gp phn cho ti c mt bi nghin cu c th
em vo ng dng thc tin cc m hnh ny. Cc thng tin trong phiu kho st ny c
cam kt gi b mt v ch s dng cho mc ch nghin cu.

1. Tui ca Anh/Ch
A. <20 tui
B. 20-25 tui
C. 26-30 tui
D. 31-40 tui
E. >40 tui

2. Xin Anh/Ch cho bit trnh hc vn
A. Ph thng
B. Trung cp
C. Cao ng
D. i hc
E. Sau i hc

3. Kinh nghim tham gia th trng chng khon ca Anh/Ch
A. Cha tham gia
B. t hn 1 nm
C. 1-3 nm
D. 3-5 nm
E. >5 nm


111

4. Ngun thng tin tham kho ch yu m Anh/Ch s dng ra cc quyt nh
u t ca mnh
A. T vn t cc nhn vin mi gii
B. Thng tin thu thp t Internet, Tivi, Bo ch
C. T cc ch s ti chnh trong Bo co ti chnh ca cng ty
D. Phn mm phn tch (phn tch k thut)
E. T cc khuyn ngh ca cc Cng ty chng khon (Phn tch c bn)

5. Theo Anh/Ch mc thu thp thng tin ca nh u t i vi cng ty nim
yt trn th trng chng khon hin nay
A. D dng thu thp qua Internet, cc phng tin thng tin i chng
B. D dng thu thp nhng cht lng thng tin km
C. Thu thp mc trung bnh v d liu t c gi tr
D. Rt kh thu thp, nh u t t bit v cc cng ty nim yt

6. Anh/Ch ( n v Anh/Ch) bit hoc ng dng ca l thuyt no trong u t
ti chnh? (Nu bit th khoanh trn, cn ng dng th gch di )
A. L thuyt danh mc Markowitz
B. M hnh nh gi ti sn vn (CAPM)
C. L thuyt kinh doanh chnh lch APT
D. M hnh Fama-French ba nhn t
E. M hnh Carhart bn nhn t
F. Khc

7. Theo Anh/Ch, vic ng dng cc l thuyt u t ti chnh vo th trng
chng khon Vit Nam hin nay c mang li hiu qu khng?
A. C
B. C, nhng cn hn ch
C. Khng
V: ......................................................................................................................................................
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XIN CHN THNH CM N