TAP CHi PHAT TRPEN KH & CN, TAP 18, S6 Ql - 2015
HIEU QUA BAU TU' THEO NGANH TAI VIET NAM' INVESTMENT PERFORMANCE BY INDUSTRY IN VIETNAM
Nguyen Thanh Liem - Nguyin Binh Thien - Dggng Nhir Hiing Truimg Dai hgc Kinh tl - Luat, DHQG - HCM - liemmaiiel.edii vn (Bdi nhdn ngdy 15 ihdng 12 ndm 20 H. hoan eliinh sua chda ngdy 15 Ihdng 03 ndm 20151
TOM T A T
righiin Clhi ndy ddnh gia heu cuo hoo, dong cini 9 nginh phdn iheo chuan ICB (Indiisln
Shorpe ,994,. he so alpha Iheo CAPM (Sharpe ,96L:Li„i,„. 1965, vd Fama vd French (1993, Cic m,„e do nay cho phep so sdnh hieu gua hool dong cua danh muc ddu ,„ iren ca sa diiu clunh cho mire do ru, ro ma nho ddu ,uphoi ganh ehhi Vd, md hlnh C.iPi, vd Famo French linh he ihdng (thdng ph.n nguu n,en, cua v,ee dal sud, sinh id. vaa, Irdl d.ayng,dai so vdl danh muc Ih, Irudng d.L k J L . Phan nch hieu a.,a nganh su dung ihuoc do dieu chlnh iheo rui ro Id cdn Mil vi hien nav cdc Id, /,™
dan gia hieu a„d ngdnh a I lel Nam diu xoay guanh phdn lieh coc nhdm chl si phd biin 'kem phdn Uch
<>'"':-f''':••''/•'':'••rmd'. Ngodi ro. chiing ldi sudung Ihem cde phdn lieh kha ndng.mh la. hieu a,,a aucmiy dong lien vo Ihu nhdp Iren ml, cd phdn kiem Ira su hap ly ca 3 chisd iren clng nhu cdcldn de ma eac edng n- irong ngdnh dong gdp phai Cdc ki, „„o p,,dn dch cho ihdi- su ihing nhd, giua cde Ihuoc do va anh ,oan dien eiia viec do ludng hieu c,uo hoal dong duac dam bao Idl hon
Tir khod: sud, smh Id,, hieu qud nganh Fama * French.
ABSTRACT
This paper evoluales Ihe performance of nine l,„,us,r,e. under ,CB closslfiealion scheme from
« r T o J T ' " M "*"''"• """"'"'"- ""•" "••' '""'•"• "I"" ' • - " ' » C.^™ mode,
(Sharpe. ,964 Lmmer. , 9 5 . ) ond Famo ond French (,993, These measures allov, ihe comparison of operaang performance ofpor,fol,os ,ak,ng mio eo,e.idera,i„„ of ihe risk born hy mveslors CAPM and Famo and French models ore u„l,,ed lo lesl ihe s.siemoilcness rolher ihan randomness In oblammg pos„,ve.negoln-e escess returns .4noly„ng ,„dus,r, perfonnance us.ngr„k.adjus,edmeasures ,s crlncola„ol„a,ne analysis of macroeconomic nevs ,n adJinon. ue conduc, fucher analysis ofprofiiobiliiy
'N5h,intinji»sdm,ciaii,i,b(nDllOO-HCMiion.ttu6nlK.«iaimisoC2014-J4-oi Chun.,s,,M ,1 ^ • J™g86pci,>TS T ™ , H ™ , S ™ . D H Kmh l i - L u i i " 0 1 4 , 4 - 0 1 Chung l„, c h „ 0 , „ h c™ ™ , ),„„
- C c ngiu* i h „ chuin ICB gom 0,1 S C . B«,c „ , „ , . , . , W „ „ . l , C o „ s u „ , a«^. H e . , * C „ C o n , „ , Sen , c „ TelecommunicaiLwis. Uiilmes. Technologi onsumer bcriices 3Vi du vem b.a ca.. SSI hi.ps //».s., ss, eom m'vi-VN Research Ba,^aaN,anh a,p^
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cashflow management and EPS to verify the ralionality of the 3 indicators and examine problems thd % firms in some industries are faced The findings shov. a consistency among Ihe S measures and the comprehensiveness of performance measuremenl isbeiter guaranteed.
Keywords: Return, industry performance. Fama & French
I. CIOI THIEU
Hien nay cac tai lieu danh gia hieu qua nganh d Viet Nam deu xoay quanh phan tich c^c nhdm chi sd phd bien kem phan tich dinh tinh cac tin tiic vT md. Dieu na)' dan den suEit sinh Idi chua duoc didu chinh theo riii ro nha d^u tu ganh chju. Ddng thdi, cac nh^ dSu tu mudn so sanh ket qua dku tu vdi ckc nha dSu tu kh^c hay giua cac danh myc dau tu c3n thudc do duoc dieu chinh theo riil ro mpt each khach quan hon, \k lifu kSt qua chon lua chCmg
CAPM: E(RphRj=ap + ^/E(R^-R^ (1) Fama French: E(Rp)-Rj = dp + pp(E(RJ-Rj) - E(Rp): Miic Igi nhu§n ky vpng cho danh myc theo nganh, Rf- Muc lgi nhuan phi riii ro la sual sinh ldi cua tvk\ phiiu chinh phu ky han 1 nam, E(RJ : Mdc lgi nhu^tn ky vgng cua to^n bg Ihl mrdng vi a day dugc dai dien bdi suat sinh ldi cua VN-lndex, SMB: Binh quan cheiih lech trong quA khir gi'iJa Igi nhuan danh muc cd phieu cdng ty nhd so vdi lgi nhuan danh muc cd phiSu cdng ty Idn, HML- Binh quan chenh lfch trong qua khir gi&a Igi nhuan danh miic cd phieu cdng ty cd ly sd thu g\k tren thi g\k cao so vdl cdng ty cd gia n-j nky thdp, pp Hf so hdi qui cho nhan td thj mrdng, Sp He sd hdi qui cho nhan Id SMB, Hp He sd h^i qui cho nhan loHML
khoan la do may mSn hay do thyc s^^ cd kJ nSng Igc ra c^c chdng khodn cd gia tri 2. DU L l f u VA PHUONG PHAP NGHIEN CUU
Dii lieu dugc sii dung bao gdm tat ca c4c doanh nghiep tren san Tp. Hd Chi Minh td thang 6/2007 dfn 1/2013 vdi suit sinh ldi dugc tinh theo thdng. Cac btrdc ti^n hanh tinh todn SMB va HML tuan thii theo quy trinh trong Fama va French (1993). Md hinh sir dyng trong nghifn cuu gdm:
S/SMB) + Hp(HML) (2)
J. KET QUA
Kft qua phan tich theo md hinh CAPM vJ Fama French, khdng cd ngdnh n^o cd hifu qua cao hon danh muc thi midng md VN-lndex 13m dai dien Trong khi dd cd 2 ngdnh cd mirc alpha thap hon mang ^ nghia thdng kf \k Ngdnh Vdt lieu co ban vd Cdng ngh? (Basic materials vd Technology).
Ty le Sharpe cho ta bift phan bii lgi tdc cho mdi don vi riii ro. Do dd, ngdnh ndo cd t)* If ndy cdng cao, nhd ddu m cdng cd lgi Neu nit ro dku tu la yeu td quan trgng thi nhd ddu nt
TAP CHf PHAT TRItN KH & CN, TAP 18, SO Q l -2015
Nhu \-a>- kel qua theo 3 Ueu chi tren rdt ddng nhdt. chi ra hieu qua thdp cua nganh Vat heu ca ban vk Cong nghe Kdt qua nay phan anh khong nhiing hieu qua phan theo nii ro he thong (do bang miic tuong quan sudt sinh ldi chimg khoin nganh vdi suit smh ldi danh rauc thi truong) theo kef qua ciia CAPM va eac dieu
chinh theo nil ro khac dai dien bdi qu\- md vk gia tri cdng t\- iSMB \a HSU theo Fama French) ma con theo nil ro neng le cua tung nganh phan anh boi he sd Sharpe Cac ket qua nav se phti hgp \ di cac nha diu tu cd nhimg mi tren khac nhau khi hg dau ni mdt phdn hav toan bd tai san vao cac danh muc chimg khoan.
Bang 1. Ket qua phan tich chi 56 Sharpe. md hmh CAPM %-a Fama & French
Sharpt imttrialj flvnage -0025438453 -O0172119S1 5d 0 115243561 0097653679 Shirpe -0 220736435 -0 176255014
«0ia43726 -0011729708 -0020152034-001lgW334 -00311766C -001480-57 -0 0I4S-7-1S il0261S496 0074761409 0 105621085 0 098203996 0II2gr'66 00 I 179J74057 -0 1S6M9J22 -i, 1»J^:56 --3 i:il3SOi32 -.J2-^6r+4*9 -0 1
0 l3i3S=4rc O 1 lC:6-2ly5
CAPM m t e r i a b 0 934*"
4} 005
0 543*"
-0 004
OnftCM TttfaAtgy
iltri«b
) 9 ! i - " 0 9 6 0 ' "
4)729 0 116 0-001 0 i95 -0 013' -PD05
-0-^61 0196 -0002
0J62 0 435 4J019*
0 6TS 47 025 000]
0487 0 08 -0 0O4
*-*y nghia ihdng ke an c 10%. 5%. m Nguon. Tmh loan a 4. CAC PHAN TiCH B 6 SUNG BANG CAC CHi S6 TAI CHINH CO BAN
De danh gia chi tiel hem \e muc dd hieu qua Clia cac nganh. phan nay nghien ciiu phan tich va danh gia hieu qua hoat ddng cac nganh o cac
icgia
chi sd tai chmh ccr bin nhu- kha nang sinh IOT- hieu qua quan h dong tien vk thu nhip tree moi cd phan Bang 2 duoi da> tdng hop chi sd loi nhuan tren tdna tai san (ROA) cua mdt sd nganh giai doan ZOCo - 2013
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Bang 2. ROA ciia 1 so ngdnh 2006 - 2013 DVT.H .,„ San pham tieu . , , , . . . , , „ . , . „ , ^ . , Nam *,. Vat iieu CO'ban Cong nghe Cong nghifp
Djch vu tify diijg 2006
2007 200S 2009 2010 2011 2012 2013
10,24 11.70 7,48 13,34 10,79 8,96 6,64 6,21
12,63 12,64 11,29 10,62 14,43 11,18 7,90 4,57
12,91 10,36 9,07 16,71 8,37 2,73 3,43 4,74
9,66 9,40 7,64 10,02 8,39 6,17 5,00 4,22
7,66 10,03 1,68 1,99 9,37 7,30 4.80 4,99 Ngudn: Tinh lodn cda tdc g
Bang 2 cho thay, chi sd ty le Ig-i nhuan tren tdng tdi san (ROA) ciia cdc doanh nghiep ngdnh Sdn phdm tieu diing cd xu hudng dn dinh hon cac ngdnh khac. Ddc biet sau khiing hoang (2008), ROA cdc doanh nghiep trong ngdnh Sdn phdm ti^u dimg ludn d mirc cao hon cdc ngdnh khde vd ciing th^ hien stt bi6n dong it nhdt. Trong khi do, nganh Vat li|u co bdn mdc dil CO sudt sinh lpi tren tdng tdi sin cao d nhihig ndm trudc dd nhung dd cd sy syt gidm m?nh vd chua thdy dd phyc hdi v^o cudi giai do?n xem xdt. Di6u ndy phan dnh khd ndng sinh Idi tdi tu vdn chii sd hthi ciia ngdnh sdn
pham tigu dang ngay khi cdc ngdnh khde dang gdp khd khdn.
Mot chi tiSu quan trpng khac trong phSn tich chi so tdi chinh Id ddng ti6n tren doanh thu(Net operating cash flow), Chi tieu ndy cho thdy kha ndng kiSm sodt ddng tien ciia doanh nghiip, nganh trong hoJit dpng sdn xudt kinh doanh, Doanh nghiep van sg gdp nii ro vd ho^l d^ng kdm trong trudng hop bdn hdng tdt nhung khdng thu duoc tiSn ho?ic khdng kiem sodt tdt ddng ttin. Hinh 1 dirdi day bieu diln ddng tiln tren doanh thu giai doan 2006 - 2013 cua mflt so ngdnh.
TAP CHl PHAT TRjfiN KH 8, CN, TAP 18, S 6 Q l - 2015
30
20 A^ / \ /A
'° ^ ^ \ - V : : ;2^>-^v: : : ^ : ^ ; = t - ^
2006 \ 2007 ^ 0 8 200T
-20 •-
-30 -
Sdn phdm tieu dimg — • Vat lieu coban Cdng ngh? — • Djch vu tieu dim;
Hinh I. Ddng tien tren doanh thu mdt sd nganh giai doan 2006-2013 Ngudn. Tinh lodn cua ldc gia
Ngdnh San phdm tieu dung tiip tuc cho ihdy su dn dinh vd duy tri d mirc tdt so vdi cdc ngdnh khde o chi tieu dang xem xet, ddng tidn tren doanh thu. Ngdnh Cdng nghe mdc du cd ly le ddng tien tren doanh thu khd tdt trong nhimg ndm trudc nhung muc dg bidn dpng gia tri ciia nganh ndy Id rat cao trong giai doan 2006 - 2013. Ddc bi?t, nganh Cdng ngh§ ciing vdi Vdt lieu CO ban cd ddng tien am trong ndm 2013.
Dieu nay cho thdy rui ro cua 2 ngdnh ndy Id ldn trong nhirng nam tidp theo Trong khi dd, cung ciing kdt qua phdn tich theo md hinh thi ngdnh Sdn phdm tieu diing da cd nhimg phyc hdi vd cai ihi^n ddng tien trong nhimg n5m gdn day va d muc dn dinh. Do dd, ngdnh Sdn pham lieu dung dang gid de ddu tu trong thdi gian qua va nhihig ndm sip tdi.
Tiep theo, nghien ciru xem xdi kha ndng sinh ldi tren moi cd phan (EPS) dd tidp tuc ddnh gid mirc hidu qud ciia cac nganh. Hinh 2 cho thay ngdnh Cdng nghd cd chi sd EPS thdp nhat vd cung Id ngdnh cd nhidu bidn dgng nhdt Chi sd EPS cCia nganh San phdm tieu diing it bien ddng nhdt vd ket thiic giai doan vdi gia tri cao hon so vdi EPS ciia nganh Vat lieu co bdn dil xudt phdt diem cua ngdnh Sdn phdm tieu diing ihdp hon so vdi Vat lieu co ban. Didu nay ndi idn khd ndng smh Idi ciia ngdnh Sdn phdm tidu dung id dn dinh nhdt va tuong ddi cao so vdi 2 ngdnh cdn lai. Trong khi dd ta thdy khd nang sinh ldi ciia ngdnh Cdng nghd bi syt gidm khd manh trong giai doan nghidn cuu.
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Science & Technology Development, Vol 18, No Ql - 2015
DVT:VNB
2008 2009
—^ Vat h'eu co ban
2010 2011
— Sdn phdm tieu diing
2012 2013
— • Cdng ngh?
Tdm IEU, dua vao phan tich mot sd chi sd tdi chinh phd bidn, nghidn ciiu da cho thdy ngdnh San pham tieu dimg la cac nganh cd hieu qud ho^t ddng cao trong khi nganh V^t lieu co ban va Cdng ngh? cd kdt qud kem hem. Cdc phdn tich chi tidt vd cdc chi sd tdi chfnh cung cho thay rd ndi hem vin dd ciia cac doanh nghiep
Hinh 2. Thu nhap tren mdi cd phdn mpt sd ngdnh
nganh V$t lieu co bdn vd Cdng nghd dang gUp phai. Phan tfch sii dung 3 chi sd theo md hinh Fama French, CAPM va Sharpe cCing vdi b?
cac chi sd tdi chinh ndu bat cac didm rui ro vd hieu qua hoat ddng ciia ngdnh vd ket qua khd nhdt qudn trong tim ra nganh tdt/xdutren thj trudng hidn nay.
TAI LIEU THAM KHAO IU. Fama, F ; French. K R., 1993.
Common risk factors in ihe returns on stocks and bonds Joumal of Financial Economics, 33, pp 3-56
[3], Sharpe, W. F , 1964. Capital Asset Prices:
A Theory of Market Equilibrium under conditions of Risk. Joumal of Finance, 19(3), pp. 425-442.
