DAU Tl/TAI CHI'NH « < «
Sir PHU HQfP CUA MO HINH DjNH GIA TAI SAN VON (CAPM) TAI THj TRl/GfNG CHUfNG KHOAN VIET NAM
ThS. Nguyin Anh Phong
Trudng DH Kinh Te -Ludt, DH Qud'c gia TP.HCM
Tom tdt: Bdi nghien cdu ndy dp dung phuang phdp dinh lugng theo Fama vd MacBeth (1973), Fama vd French (1992, 1993) vd cdc nghien cdu cua nhieu tdc gid khdc nhdm ddnh gid tinh phu hgp cda md hinh dinh gid tdi sdn vdn (CAPM) tgi Viit Nam. Kit qud nghien cdu cho thd'y gida sudt sinh ldi vd chi sd bi-ta cua cd phieu cd moi tUang quan tuyin tinh, chi sd bi-ta cd md'i quan he duang din sudt sinh ldi. Tuy nhiin gida sud't sinh ldi vd bi-ta chi cd mdi tuang quan yiu. md hinh CAPM khdng dn dinh, do dd khd cd thi dung nd di ddnh gid rdi ro cung nhU dU bdo sud't sinh ldi ciia cd phieu niim yet trin thi trUdng chdng khodn (TTCK) Viit Nam.
TU khoa: Md hinh dinh gid tdi sdn vdn (CAPM), gid tdi sdn (asset pricing), sudt sinh ldi theo dd lieu cheo cua chdng khodn (cross-section of stock return).
Vd'n dd n g h i e n c i i u
CAPM ndi tid'ng va da dtftfc dp dung rpng rai tai nhieu qudc gia nhdm dtf dodn suat sinh ldi cua chiiig khodn. Cd nhieu tranh ludn heu ed nen dp dung md hinh nay trong dfl bdo hay khdng? Tai Vidt Nam hien cung cd nhieu nghidn cflu, tranh ludn cho rdng CAPM khdng phu htfp nhfl vdn dd ro dai dien (proxy), lai sudt phi rui ro,. Tuy nhidn cdc tranh luan nay chi xoay quanh tinh khdng hdp ly tfl cdc gia dinh cua nd ma chtfa ed nghien cdli dinh Itftfng de kiem chflng tinh htfp ly cua CAPM tai TTCK ntfdc ta. Nghien cflU nay sfl dung phtfdng phdp dinh Ifldng dd kiem chflng lieu md hinh nay cd dung tai TTCK Vidt Nam hay khdng.
Cd sdr Iy thuye't v a phirofng p h a p n g h i d n cthi Mo hinh dinh gia tai san (Capital Assest Pricing Model) cua S h a r p e (1964), L i n t n e r (1965) xdt doan ldi n h u a n cua mot chflng khodn dtfa vao rdi ro cua chflng khodn dd theo danh muc thi trtfdng (gpi la bd-ta cua chiJng khodn so vdi danh muc thi trfldng). Md hinh ndy hien nay
dang cd nhieu tranh cdi vi nhflng b a n che' cua nd nhfl thi trfldng phai hodn hao, vide chon rd dai didn, lai sua't phi rui ro, sud't sinh ldi vd rui ro cdc cd phie'u khdc nhau deu phu thuoc vao chi sd bg-ta cua thi trfldng... Nghien cflii cua Fama vd MacBeth (1973) da dtfa ra phfldng phdp kiem chflng sfl phu hdp cua CAPM, sau ndy cd hang loat cdc nghign cflu khdc kd' thfla nghign cflu ndy trong vipc kiem chflng sfl phu htfp cua md hinh CAPM tai TTCK cdc qud'c gia mdi ndi nhtf nghien cflu cua Theriou vd cde tdc gia (2003) tai TTCK Hy Lap, nghien cflu cua Wang va lorio (2007) tai TTCK Trung Qud'c...
Tfl phfldng t r i n h trong md hinh CAPM t a c6:
R. = Rf + (R^ - Rf)Pi (1) Trong dd: Rj Id sud't sinh ldi qud khfl cua chflng khodn i, Rf Id ldi sud't phi rui ro, R^^ Id sud't sinh ldi qud khfl cua danh mue thi trfldng, p^
Id hd so' be-ta cua chflng khoan i, dfldc tinh theo cdng thflc sau:
«nganhangM
tf 73 •Thins 4/2012 • • • Cangngh^l
Stf 73'Thing 4/2012 I
DAU TU TAI CHiNH
Chi sd' sud't sinh ldi dtftfc t i n h the theo cdng thflc sau:
tflng t h d n g d a n h muc cdc co phieu theo phfldng t r i n h : R,= )'o + )'iPi + y2Pi' (2)
p,-p,, (P va P Id gid ddng cfla cua
ngdy cud'i t h d n g vd ddu thdng) Tfl phfldng trinh (1) ta cd Lhd dfla ra ba gia thuye't sau ddy: (HI ) Quan hd gifla sud't sinh ldi cua chflng khodn vd rui ro ciia nd l;i tuydn tinh; (H2) P; do Ifldng hodn todn riii ro eiia chflng khodn i, nghia Id ngodi ydu to rui ro thi trfldng (be-ta) ra thi khdng cdn bd't ky yd'u to rui ro ndo khdc; (H3) Trong thi trfldng, cdc nhd ddu tfl thfldng e ngai rui ro ndn rui ro cao thi sudt sinh ldi mang lai cung phai cao, tflc Id (R^ - Rf) >0.
Tfl ba gia thuyet quan trpng trong md binh CAPM, dd kidm chflng xem nd cd phu htfp (cd dung) hay kbdng chung ta thtfc bipn kiem chflng theo ba bflde nhfl sau (dp dung theo phtfdng phdp cua F a m a vd MacBeth):
Budc 1: Tinh todn chi sd' be-ta tflng cd phig'u theo thdng bdng phfldng phdp hoi quy tuyen tinh theo phfltfng t r i n h (1) vdi R, la sud't sinh ldi tinh theo thdng cua* cd phie'u i, R^ la sud't sinh ldi cua danh muc theo thdng, Rf la ldi sud't phi rui ro (lai sud't trung thau trdi phie'u Chinh phu tflng ndm quy ve thdng). De hdi quy tinh chi sd' bd-ta, dfl lieu it nhd't Id 24 thdng (tflc la cd phie'u phai niem yg't lien tuc it nha't 24 t h d n g cho den thdi diem tinh todn thdng 12/2011, nghia Id cde eo phig'u niem yet lien tuc tfl t h d n g 12/2009 trd ve trfldc mdi dfldc chpn)
Budc 3: Tinh binh qudn 12 t h d n g cdc hp sd:
)'„,y,,y2- Theo cdng thflc sau ddy:
r = ~tr/nJ = o,\
Ndu (HI) dung tbi y.^ ~ 0, ndu (H2) dung thi y^ s 0, ndu (H3) dung thi y^ >0.
K i ^ m c h ^ n g t f n h p h u hpfp c i i a CAPM tai T T C K V i d t N a m
Mo td sd li^u tinh todn
Sd li§u vd sud't sinh ldi dfldc tinh cho tfliig thdng dd'i vdi ttfiig cd phidu; suat sinh ldi cua ehl sd VN-Index dd'i vdi cdc cd phidu nidm yet tai Sd giao dich chflng khodn (GDCK) Tp. Ho Chi Minh vd suat sinh ldi cua chi sd HASTC-Index dd'i vdi cac cd phig'u niem yet tai Sd GDCK Ha Ndi). Sd Ifldng cdng ty niem yet thda mdn dieu kien tinh den ngdy 31/12/2011 tai Sd GDCK Tp. Hd Chi Minh la 180 cdng ty vd tai Sd GDCK Ha Npi la 235 cdng ty. Tuy nhidn do cdc cdng ty cd thdi gian niem yet khde nhau ngn so' Ifldng mau dfltfc chon dd hdi quy d bflde 2 lan Ifltft: thdng 1 cd 730 mau, thdng 2 cd 765 mau, thdng 3 cd 785 mdu, thdng 4 cd 796 mdu, thdng 5 cd 804 mdu, thdng 6 cd 812 mau, thdng 7 cd 826 mdu, thdng 8 cd 847 mau, thdng 9 cd 873 mdu, thdng 10 cd 901 mdu, thang 11 cd 931 mau vd thdng 12 eo 968 mdu.
Ket qud kiem chdng
BUdc 2: Dung dfl lipu dang cross-section (dfl Sau khi thifc hi$n bflde 1, td't ca cdc cd phidu lidu cheo) t i n h hdi quy tflng t h d n g todn bp dfldc sdp xd'p lai theo tflng t h d n g (dfl lieu dang
B a n g 1: Kd't q u a hoi quy sud't s i n h ldi t h e o b e - t a , bg-ta b i n h phiTorng t h e o t h ^ n g 1 M6 h i n h
Hkng so'
p P"
H^ so hoi quy Bg-ta -.042 .041 -.020
:hi/a chuSn h6a Sai sff c h u ^
.016 .020 .010
chuSn h6a Be-ta
.144 -.159
Thong lie t
-2.64 2.05 -1.98
Mijc f n g h i a
.008 .026 .093 Ngu6n: Kit gud tinh todn cita tdc gid bdng chuang trinh SPSS11.5
E congnghe n g d n h a n g
stf 73 •Thing 4/2012
DAU Tl/TAI CHINH < « «
cross-section), tdc gia t i n h t i n h todn hdi quy Ke't l u $ n tfldng quan gifla sud't sinh ldi, chi sd bd-ta vd
chi so be-ta binh phfldng de tim ra cdc he sd }'o'}'i'J'2' ^^^ ^^ t i n h binh qudn de tim ra cdc chi sd y„,yi,yz-
Tfldng tfl nhfl vay, t i n h todn cdc he so' cho cdc thdng cdn lai, ke't qua cho d bang sau:
Ke't qud Idem chflng cho thay md binh CAPM tai nfldc ta dfldng nhfl chtfa phu hdp de dtf bdo cho suat sinh ldi ne'u chi dtfa duy nhat vdo chi sd be-ta, vi ke't qua chi ra md'i quan hp gifla b&-ta vdi suat sinh ldi khd md nhat vd tinh phii htfp cua CAPM khdng dn dinh (thdng dung, thdng khdng).
B a n g 2: Ke't q u a t i n h t o a n c a c c h i s d ' Y o i y j ,
T h a n g Thdng 1 Thdng 2 Thfing 3 Thfing 4 T h a n g 5 Thfing 6 Thfing 7 Thang 8 T h a n g 9 T h a n g 10 T h a n g 11 Thfing 12 B i n h q u d n
Vo -0.042 -0.090 -0.026 0.045 0.002 0.067 0.089 0.045 0 057 0.003 -0,080 -0.040 0.003
y,
0.041 0 076 0.098 0.124 0.109 -0 074 -0 144 0 039 -0.040 -0.022 -0.002 0.055 0.022
y-i -0,020 -0 046 -0.035 -0.040 -0.067 0.016 0.084 0.017 0.007 -0.012 -0.003 -0.011 -0.009
72
R''
0.150 0.101 0.115 0.086 0.087 0.012 0.017 0.013 0.007 0.011 0.010 0.010
Ngu6n: Ket qua tinh todn cda tdc gid bdng chucmg trinh SPSSIl.S
n h ^ n x e t Ke't qua a B a n g 2 cho t a
nhu sau:
- He so v„= 0.003, )^i= 0.022 va yj= -0.009 cho tha'y cac gia thuye't ( H I , H2 va H3) tirong do'i phu h o p (vi d2==0; do=: 0; va di>0), tuy nhign he so' x a c d i n h R^ qua th^'p, dieu
Trong dif bao sua't sinh lori, bg-ta khong phai la chi so' do ludng rui ro duy nha't ma con c6 cac yg'u to rui ro khac. Nhif cac nghien ciiu cua Banz (1981), Basu (1983), Fama va French (1992), Wang va lorio (2007), Homsud va cac tdc gia (2009),.. cho tha'y ngoai bg-ta con rui ro ve quy mo tac dong Ign sua't sinh niy cho tha'y mo h i n h CAPM t a i Vigt N a m ldi cua chijfng khoan. Nghien ciJu cua Amihud cd the cha'p n h a n duoc, nhifng m6'i quan
he giUa b g - t a vdi sua't s i n h ldi la k h a md nhat. Kg't qua n a y phu h d p vdi cac ke't qua ki^m c h d n g cua F a m a va M a c B e t h (1973);
Fama va F r e n c h (1992); T h e r i o u va cac t a c gia (2003); W a n g va l o r i o (2007) cho cdc nifdc k h a c .
BSn canh do, tfnh binh quan cho t h a y CAPM Sling nhung ng'u t i n h rigng tCfng t h a n g cho tha'y CAPM khong dung vi j<i<0 (nhu kg't qua
Mendelson (1986), Pastor va Stambaugh (2003), Wang va lorio (2007)... cho thS'y ye'u ttf rdi ro t h a n h khoan cung co tac dfing giai thich m a n h dg'n su&'t sinh ldi chiing khoan. Nghien cilu ciia Rosenberg va cSc tac gia (1985), Fama va French (1993), Keith S.K.Lam (2002), Caritou va Constantinidis (2004), Wang va lorio (2007)..
cho t h a y ye'u to rui ro chenh lech gida gia tri stf sach so gia thi trifdng cung giai thich khi tot dg'n suat sinh ldi. Ngoai ra con c6 cac nghign ciJu cho t h a y cac ye'u to rui ro vl mo thdng 6, t h a n g 7, t h d n g 9, t h a n g 10 vd t h d n g nhif ty lg lam phdt, lai sud't, chi stf san xudt U), dieu ndy cho tha'y t i n h khong on dinh cua cong nghiep, gia d a u - cung c6 tac dong dtfn CAPM tai TTCK Vigt Nam. s u t t sinh ldi cua chiing khodn. Nhd vdy trong
enganhangM
«'73 •Thins 4/2012 • • • Cong nghg I
S6'73'Thang 4/2012 I
> » » DAU Tir TAI CHINH
dfl bao sud't sinh ldi eho cdc cd phie'u nidm khdc. Do vdy can cd mdt md h i n h dfl bdo phu yet tai TTCK nfldc ta khdng nen chi dfla vdo hdp vdi ddc trflng tai TTCK Viet N a m thay yeu td' rui ro bd-ta, md cdn nhieu ye'u td' rui ro cho CAPM
Tki li^u t h a m k h d o
1. Amihud & Mendelson 119861 Asset pricing and tlie bid-ash spread. Journal of financial economics 17. pp223-249.
2. Bam. R.. W. II98I). The relationship belirccn return and market value of common stocks. Journal of financial economics 9. pp3-18.
J. Basu, S. (19831. The relationship lirfivcrn earning yield, market value and return for NYSE common stocks: Futher evi- dence. Journal of financial economic'^ 12. ppI29-156.
•i. Caritou & Constant in idis 12004) Sue and book-ln-market factors in earnings and stock returns: empirical evidence for Japan, working paper.
5. Fama & MacBclh 11973). Risk. Return and Equilidium. Empirical Test. The Journal of political economy. VolSl, No3, pp607-636
6. Fama, E.. F & French. K. R. (1992) The cross-section of expected stock returns. Journal of finance VolXLXII, No2, pp427 365
7. Fama. E. F & French, K , R. 11993). Common risk factors m the return on stocks and bonds. Journal of economics 33,pp 3-56.
8. Fama, c. r & French, n , R 11995) Size and Book to market factors in earnings and returns. Journal of finance, vol SONo.l, PP 131-155 33.
9. Homsud, Wasunsakul, Phuangnark & Joongpong (2009). A study of Fama and French three factors model and capital as- sest pricing model in the stock exchange of Thailand. International research Journal of finance and economics 25.
10. Keith SK Lam (2002). The relationship between size, book to market equity ratio, earning-price ratio, and return for Hong Kong stock market. Global finance journal 13, ppl63-179.
11. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of economics and statistics 47, ppl3-37.
12. Pastor, L., & Stambaugh, K., F. (2003). Liquidity Risk and expected stock returns Journal of political economy 111, pp 642-685.
13 Rosenberg, Reid & Lanstein (19851. Persuasive evidence of market inefficiency. Journal of portfolio management 9, ppI8-28.
14. Sharpe W., F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of finance, VolI9, pp425-442.
15. Theriou, Chatzoglou, Maditmos & Aggelidis (2003). The cross-section of expected stock returns an empirical study in the Athens stock exchange. Working paper.
16. Wang & lorio (2007). The cross section of stock returns in the Chinese A-share market. Global finance journal 17, pp335-349
mm congnghe n g a i i h a n g
i f i i Saf 73'Thdng 4/2012