
TR
  





 

 

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

2 
Ba danh mc  . 24
Ba danh m 26
Ba danh m 27
Bng 4.4: Th cn gi 28
4.5: Th c-BE/ME 29
4.6: 











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

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

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

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

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

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

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

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

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

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


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

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


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

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

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

j0 j0
1
r
1 a I / A
   




1

(1)
10

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

phn mi th u  .

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

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

 à 
1

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

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

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

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

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

u
  liu
 T sut sinh li theo tun ca danh mc
Da cui tun ca c phiu u chnh c tc
c phiu, c phing, c tc tin mt.
     = 
gi ng ca cui tun t
á đó      117

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

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

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

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

  - Small minus Big)
ch TSSL tu v
n
 =
S/L + S/M + S/H
3

B/L + B/M + B/H
3   (HML- High minus Low)
ch TSSL tu
BE/ME thp.

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

- B/M danh mc bao g, I/A .
- B/H danh mc bao g, I/A cao.
TSSL tun ca danh mc
vi trng s vi cha danh mc  va mi
chc chia cho t v
 INV (r
INV
ch TSSL tun cp vi



=
S/L + B/L
2

S/H + B/H
2 n (ROA)
D liu thu thc t website
Theo Long Chen  Lu Zhang
  phi
30% c c xp h c.   tr
 m bo r c bi
 la ch tr  quan: b

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