NHN XT CA GING VIN

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MC LC
Trang
Phn m u..............................................................................................................................1
1. L do chn ti....................................................................................................................1
2. Mc ch nghin cu..............................................................................................................2
3. i tng v phm vi nghin cu..........................................................................................2
4. Phng php nghin cu........................................................................................................3
5. Nhng t vit tt....................................................................................................................3
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..........................................4
1.1 Gi chng khon v cc yu t nh hng n gi chng khon........................................4
1.1.1 Vai tr ca vic nh gi trong vic a ra mt quyt nh u t.............................4
1.1.2 Cc yu t nh hng n gi chng khon...............................................................5
1.1.2.1 Nhm yu t kinh t...........................................................................................5
1.1.2.2 Nhm yu t phi kinh t.....................................................................................6
1.1.2.3 Nhm yu t th trng......................................................................................6
1.2 Mt s m hnh nh gi chng khon ph bin..................................................................8
1.2.1 M hnh nh gi ti sn vn CAPM..........................................................................8
1.2.1.1 Cc gi nh ca m hnh CAPM......................................................................8
1.2.1.2 M hnh CAPM vi nhn t phn b ri ro th trng....................................10
1.2.1.3 M rng cc gi nh ca CAPM....................................................................11
1.2.2 M hnh Fama French ba nhn t.............................................................................12
1.2.2.1

Nhng nhn t khc ngoi phn b ri ro th trng nh hng n

t sut sinh li c phiu................................................................................................12

1.2.2.2 M hnh Fama French ba nhn t....................................................................14
1.2.3 Hai m hnh nh gi chng khon ph bin v u khuyt im ca chng............15
1.2.3.1 K thut chit khu dng tin..........................................................................16
1.2.3.2 K thut nh gi tng i.............................................................................21
1.3 So snh cc m hnh...........................................................................................................26
1.3.1 So snh CAPM v Fama French...............................................................................26
1.3.2 So snh CAPM Fama French v cc m hnh nh gi khc.................................26
1.4 Thc tin p dng CAPM v Fama French mt s nc trn th gii...........................27
1.4.1 cc nc pht trin................................................................................................27

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..................................................................................................................................37
2.1 Cc yu t nh hng n gi chng khon Vit Nam hin nay....................................37
2.1.1 C hi tng trng cao..............................................................................................37
2.1.2 Nhng nhn t v m, ng ch l: Lm pht-Li sut-T gi..............................38
2.1.3 Bt cn xng thng tin..............................................................................................40
2.1.4 Chnh sch ca nh nc..........................................................................................41
2.1.5 Hnh vi by n........................................................................................................44
2.2 Nhng hn ch v kh khn trong qu trnh nh gi th trng chng khon Vit Nam
...................................................................................................................................................46
2.2.1 Thiu thng tin .........................................................................................................46
2.2.2 Nhng giao dch c vn .......................................................................................47
2.2.3 Tiu chun k ton....................................................................................................47
2.2.4 Quy m nh nn thiu s so snh.............................................................................48
2.2.5 Vn cng ty gia nh............................................................................................49
2.2.6 Trnh hiu bit chung v chng khon cn hn ch.............................................49
2.3 Tnh hnh vn dng cc m hnh d bo t sut sinh li kinh doanh chng khon
Vit Nam hin nay....................................................................................................................49
2.3.1 Cc m hnh s dng phng php chit khu dng tin.........................................52
2.3.1.1 Thc trng mt s chng khon c nh gi theo phng php ny...........52
2.3.1.2 Nhng kh khn trong vic p dng ti Vit Nam..........................................56
2.3.2 Cc m hnh s dng phng php nh gi tng i............................................60
2.3.2.1 Thc trng s dng m hnh ny trn th trng Vit Nam............................60
2.3.2.2 Nhng kh khn trong vic p dng ti Vit Nam..........................................61
2.4 Nhng tc ng ca vic nh gi sai n th trng chng khon Vit Nam..................65
2.5 S cn thit phi c mt m hnh d bo t sut sinh li trong u t chng khon Vit
Nam...........................................................................................................................................67
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....................................................73
3.1 p dng CAPM v Fama French vo th trng chng khon Vit Nam.........................73
3.1.1 iu kin p dng m hnh..................................................................................73
3.1.2 Phng php nghin cu...........................................................................................74
3.1.2.1 Xc nh cch tnh ton cc bin trong m hnh..............................................74

3.1.2.2 Cc phng php phn tch d liu..................................................................76

3.1.2.3 D liu nghin cu...........................................................................................77
3.2 c lng t sut sinh li k vng bng m hnh CAPM................................................80
3.2.1 Phn tch d liu s b..............................................................................................80
3.2.2 Kt qu hi quy.........................................................................................................81
3.2.3 Kim nh t tng quan..........................................................................................81
3.2.4 Kim nh phng sai thay i.................................................................................83
3.3 c lng t sut sinh li k vng bng m hnh Fama French.......................................84
3.3.1 Phn tch d liu s b..............................................................................................84
3.3.2 Kim nh cc gi thit thng k..............................................................................85
3.3.3 Kt qu hi quy.........................................................................................................86
3.3.4 Kim nh t tng quan..........................................................................................88
3.3.5 Kim nh phng sai thay i.................................................................................90
3.4 So snh kt qu gia cc m hnh......................................................................................91
3.5 Nhng cn nhc khi p dng hai m hnh trn..................................................................92
Chng 4: p dng m hnh CAPM v Fama French nh gi chng khon v a
ra kin ngh u t..................................................................................................................95
4.1 Xc nh chng khon c gi cao v nh gi thp trn sn HOSE..............................95
4.1.1 Phng php x l d liu........................................................................................95
4.1.2 Kt qu phn tch....................................................................................................105
4.2 Khuyn ngh u t..........................................................................................................108
Phn kt lun.........................................................................................................................110
Ti liu tham kho................................................................................................................111
Ph lc....................................................................................................................................114
Ph lc 1: Cc c phiu c chn lm mu trong m hnh
Ph lc 2: Kim nh s ph hp ca m hnh CAPM Vit Nam
Ph lc 3: Kt qu kim nh t tng quan m hnh CAPM
Ph lc 4: Kt qu kim nh phng sai thay i m hnh CAPM
Ph lc 5: Kim nh s ph hp ca m hnh FF3FM Vit Nam
Ph lc 6: Kim nh a cng tuyn trong m hnh FF3FM.
Ph lc 7: Kim nh t tng quan m hnh FF3FM.
Ph lc 8: Kim nh phng sai thay i m hnh FF3FM.
Ph lc 9: Cc chng khon c chn d bo bng hai m hnh CAPM v Fama French.

Ph lc 10: H s hi quy ca tng chng khon.

Ph lc 11: Phiu kho st

PHN M U

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 theo nh gi ca nhiu nh phn tch th n 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 nhng vi tnh hnh
bin ng ca th trng hin nay th cc phng php ny t ra km hiu qu v n 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 th trng
chng khon Vit Nam 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.
Trong bi nghin cu chng ti s dng m hnh kh n gin l m hnh CAPM v
FF3FM p dng rng ri v kh thnh cng ti nhiu quc gia trn th gii 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 n cng s cho chng ta mt nh gi, kim nh cc yu t
c nh hng i vi th trng chng khon thnh ph H Ch Minh. 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. Ct xy dng mt th trng chng
khon bn vng v lnh mnh t bn trong, c sc khng chng chi vi nhng
bin ng v nh hng t bn ngoi.
1.

Mc ch nghin cu

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 FamaFrench. Hai m hnh trn c kim nh mt s nc trn th gii v ng dng trong
kinh doanh kh thnh cng, tuy nhin vn cn rt mi m Vit Nam. Th trng chng
khon Vit Nam pht trin c 10 nm, s lng cng ty nim yt ngy cng tng, cc
nh u t ngy cng tham gia nhiu hn, to cho th trng mt sc hp dn ln. vo thi
im th trng Vit Nam ang kh ln mnh v dn n nh, bi nghin cu nhm mc ch
kim nh trin vng ng dng 2 m hnh trn vo th trng Vit Nam 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

i tng v phm vi nghin cu

i tng nghin cu

3.1

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
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 v 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

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

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, R2 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.

DANH MC TI LIU THAM KHO

1.

GS.TS Trn Ngc Th, Ti chnh doanh nghip hin i, NXB Thng k, 2007.

2.

PGS.TS Phan Th Bch Nguyt, u t ti chnh, NXB Ti chnh, 2008.

3.

GS.TS Trn Ngc Th, Lp m hnh ti chnh, NXB Lao ng v x hi, 2007.

4.

GS.TS Nguyn Minh Kiu, M hnh nh gi ti sn vn CAPM Chng trnh ging

dy kinh t Fulbright, 2007.

5.

ThS Hong Ngc Nhm, Gio trnh Kinh t lng, 2008.

6.

ThS H Vn Sn, Gio trnh L thuyt thng k, NXB Thng k, 2004.

7.

Eugene F.Fama, Kenneth R.French, Common risk factors in the returns on stocks and
bonds, 1992.

8.

Eugene F.Fama, Kenneth R.French, The cross-section of expected stock returns, 1992.

9.

Michael A.OBrien, Fama and French Factors in Australia, 2007.

10. Souad Ajili, Size and book to market Effects: Further evidence from the French case,

2005.
11. Gregory Connor, Sanjay Sehgal, Test of Fama and French Model in India, 2001.
12. Elhaj Mabrouk Walid, Elhaj Mohamed Ahlem, New evidence on the Applicability of

Fama and French three-factor model to the Japanese stock market, 2007.
13. Kyong Shik Eom, Jong Ho Park, Evidence on the three-factor and characteristics

models: Korea, 2008.

14. Hadrian Djajadikerta, Gilbert Nartea, The Size and Book-to-market effects and the Fama

French three factor model in small market: Preliminary findings from New Zealand,
2005.
15. Chun Wei Huang, Fama and French three factor Model applied to Taiwan stock

market, 2010.
16. Nopbhanon Homsud, Jatuphon Wasunsakul, Sirina Phuangnark, Jitwatthana Joongpong,

A study of Fama and French three factors model and Capital asset pricing model in th
Stock exchange of Thailand, 2009.
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.

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&men
upage=ketquadauthau_traiphieu.asp&stocktype=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_SB8K8xLLM9MSSzPy8xBz9CP0os3hnd0cPE3MfAwN3r0BnA093r2ALEy
dDAwMLM_1wkA7cKgxMIfIGOICjgb6fR35uqn5Bdnaao6OiIgCws9R4/dl3/d3/L2dJQ
SEvUUt3QS9ZQnZ3LzZfMEQ0OTdGNTQwR0YyNzBJT1JFUVNBRDJTRDQ!/?
WCM_GLOBAL_CONTEXT=/wps/wcm/connect/sbv_vn/sbv_vn/vn.sbv.currency/vn.s
bv.currency.profit/vn.sbv.currency.profit.1

43.

http://nghiatq.wordpress.com/2010/06/11/phn-bu-ri-ro-th-trng--mrp-vn-khong133/

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-bietnoi.catusix.35AA1EE9.html

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

GI CHNG KHON

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)
M
CK

PHNG
PHP
NH
GI

CNG
TY
NH
GI

NH
GI

KHUY
N NGH

CTCP Pht trin

nh Th c

TDH

OFCF,
FCFE, P/E,
P/BV

DVSC

55.125

CTCP u T
xy dng Bnh
Chnh

BCI

OFCF,
FCFE, P/E,
P/BV

VDS

Ngn hng
TMCP Chu

ACB

FCFE,P/E,
P/BV

Ngn hng
TMCP Si Gn
Thng Tn

STB

CTCP Cao Su
Sao Vng
CTCP Kinh
Doanh Kh Ha
Lng Min Bc

CNG TY
C NH
GI

CTCP dc
phm
Imexpharm
CTCP u t
Cng nghip Tn
To
CTCP Xi mng
Hong Mai

CTCP Cao su
ng Ph

BIN NG SAU 5 PHIN

1

Mua

38.4

37.1

33.2

45.2

37.2

54.935

Mua

48.9

60.5

51.3

47.3

42.1

TVSI

47.5

Gi

38.2

38.1

37.5

30.8

28.8

OFCF,
FCFE,P/E,
P/BV

VISE

47.2

Mua

26.7

27.9

28.4

21.5

18.9

SRC

OFCF, P/E,
P/B

HASC

20.965

Bn

27.7

26.1

20

17.9

27

PVG

OFCF,P/E,
P/B

HASC

13.94

Bn

13.7

13

12.7

10.3

11.3

IMP

OFCF,
FCFE, P/E,
P/BV

VDSC

62.66

Nm gi

43.1

58.1

71.4

70.5

59.5

ITA

OFCF,
FCFE, P/E,
P/BV

TVSI

20.3

Nm gi

16.6

15

13.9

13.5

14.8

HOM

OFCF,
FCFE,
P/BV

TVSI

21.6

Mua v
nm gi

9.5

8.5

6.8

7.7

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

CTCP Ng Han

KDH

OFCF,
FCFE

SHS

44.9

Nm gi

40.2

39.9

41.1

42

43.9

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)
M
CK

PHN
G PHP
NH
GI

CNG
TY
NH
GI

N
H
GI

KHUY
N NGH

CTCP Dc
Hu Giang

DHG

P/E

VCS

180

CTCP Xut
nhp khu Y t
Domesco

DMC

P/E

HSC

Tp on Bo
Vit

BVH

P/E

Tng CTCP
Bo him du
kh Vit Nam

PVI

Cng ty C
phn CMC

CNG TY
C NH
GI

BIN NG SAU 5 PHIN

1

Mua

116.8

120

127.1

120.4

101.8

36.34

Mua

36.4

34.8

32.5

30

29.6

SSC

31.5

Mua

31.7

30.7

29.1

25.1

20.8

P/BV

VCS

26

Mua

18

19.1

20.4

18.5

19.3

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 Bnh
Dng

BCE

P/E

HBS

28

Mua

19.8

15.9

15.3

13

13.8

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

PH LC 3: CC C PHIU C CHN LM MU NGHIN CU

M CK
ABT
AGF

Tn Cng ty
CTCP Xut nhp khu thy sn
Bn Tre
CTCP Xut nhp khu thy sn An

M CK

Tn Cng ty

MHC

CTCP hng hi H Ni

MPC

BBC

Giang
CTCP Bibica

NAV

BHS

CTCP ng Bin Ha

NKD

BMC
BMI
BMP
BT6

CTCP Khong sn Bnh nh

Tng CTCP Bo Minh
CTCP nha Bnh Minh
CTCP Beton 6
CTCP u t H tng K thut

NSC
PAC
PAN
PGC

CII
CLC
COM
CYC
DCT

Thnh ph H Ch Minh
CTCP Ct Li
CTCP Vt T - Xng Du
CTCP Gch Men Chang Yih
CTCP Tm lp Vt liu Xy dng
ng Nai

PJT
PNC
PPC
PTC
PVD

DHA

CTCP Ho An

RAL

DHG
DIC

CTCP Dc Hu Giang
CTCP u t v Thng mi DIC
CTCP Xut nhp khu Y t

REE
SAM

DMC

Domesco

SAV

DRC

CTCP Cao Su Nng

SCD

DTT
FMC
FPT

CTCP K ngh Thnh

CTCP Thc phm Sao Ta
CTCP FPT
CTCP Sn Xut Kinh Doanh Xut

SFC
SFI
SJD

GIL
GMC

Nhp Khu Bnh Thnh

CTCP Sn xut Thng mi May

SJS

CTCP Tp on Thy hi sn Minh

Ph
CTCP Nam Vit
CTCP Ch bin thc phm Kinh
min Bc
CTCP Ging cy trng Trung ng
CTCP Pin c quy min Nam
CTCP Xuyn Thi Bnh
CTCP Gas Petrolimex
CTCP Vn ti Xng du ng
Thy Petrolimex
CTCP vn ho Phng Nam
CTCP Nhit in Ph Li
CTCP u t v Xy dng Bu in
Tng CTCP Khoan v Dch v
khoan du kh
CTCP Bng n Phch nc Rng
ng
CTCP C in lnh
CTCP u t v Pht trin SACOM
CTCP Hp tc kinh t v Xut nhp
khu SAVIMEX
CTCP Nc Gii kht Chng
Dng
CTCP Nhin Liu Si Gn
CTCP i l Vn ti SAFI
CTCP Thy in Cn n
CTCP u t Pht trin th v
Khu cng nghip Sng

SMC

CTCP u t thng mi SMC

SSC
SSI

CTCP Ging cy trng min Nam

CTCP chng khon Si Gn
Ngn hng Thng mi c phn Si

GMD
HAI

Si Gn
CTCP i l Lin hip vn chuyn
CTCP Nng dc H.A.I

HAP

CTCP Tp on HAPACO

STB

HAS
HAX

CTCP Xy lp Bu in H Ni
CTCP Dch v t Hng Xanh
CTCP Xy Dng v Kinh Doanh

SVC
TAC

Gn Thng Tn
CTCP dch v tng hp Si Gn
CTCP Du thc vt Tng An

TBC

CTCP Thy in Thc B

TCR
TDH

CTCP Cng Nghip Gm s Taicera

CTCP Pht trin nh Th c

HBC
HMC
HRC

a c Ha Bn
CTCP Kim kh TP H Ch Minh
CTCP Cao su Ha Bnh

HTV
ICF
IFS
IMP
ITA

CTCP vn ti H Tin
CTCP u t Thng mi Thy
sn
CTCP Thc phm Quc T
CTCP dc phm Imexpharm
CTCP u t Cng nghip Tn
To

TMS
TNA
TS4
TTP
TYA
VFC

CTCP Kho vn Giao nhn Ngoi

thng TP.HCM
CTCP Thng Mi Xut Nhp Khu
Thin Nam
CTCP Thy sn s 4
CTCP bao b Nha Tn Tin
CTCP Dy v Cp in Taya Vit
Nam

KDC

CTCP Kinh

KHA

CTCP xut nhp khu Khnh Hi

VID

KHP

CTCP in lc Khnh Ha
CTCP Ch bin hng xut khu

VIP

Vin ng
CTCP Vn ti Xng du VIPCO

VIS

CTCP Thp Vit

VNM

CTCP Sa Vit Nam

VPK

CTCP bao b du thc vt

CTCP Thy in Vnh Sn Sng

LAF
LBM

Long An
CTCP Khong sn v Vt liu xy

LGC

dng Lm ng
CTCP C kh - in L Gia

MCP

CTCP In v Bao b M Chu

MCV

CTCP Cavico Vit Nam Khai thc

m v Xy dng

VSH
VTB

CTCP Vinafco
CTCP u t Pht trin Thng mi

Hinh
CTCP in t Tn Bnh

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:

4. Kt qu hi quy danh mc SL:

5. Kt qu hi quy danh mc BH:

6. Kt qu hi quy danh mc BM:

7. Kt qu hi quy danh mc BL:

PH LC 5: KT QU KIM NH T TNG QUAN M HNH CAPM

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared

SH
58.85901
26.89481
31.37699
27.88961
27.83795
31.27265
SM
0.226817
0.241039
0.126794
0.275553
0.885147
2.794861
SL
2.06084
2.10286
2.908273
5.600103
2.790206
7.810486
BH
0.96603
1.009727
3.321582
6.289461
2.250026
6.507758
BM
0.021096
0.022524
4.070459
7.481742
3.480347
9.357726
BL
3.001094
3.001024
1.693827
3.432374
1.36193
4.16684

Probability
Probability
Probability
Probability
Probability
Probability

0.000000
0.000000
0.000000
0.000001
0.000000
0.000001

Probability
Probability
Probability
Probability
Probability
Probability

0.636251
0.623457
0.881243
0.871293
0.456601
0.424347

Probability
Probability
Probability
Probability
Probability
Probability

0.158198
0.147024
0.065370
0.060807
0.052129
0.050095

Probability
Probability
Probability
Probability
Probability
Probability

0.331046
0.314968
0.045561
0.043079
0.096511
0.089357

Probability
Probability
Probability
Probability
Probability
Probability

0.885181
0.880702
0.024046
0.023733
0.024058
0.024894

Probability
Probability
Probability
Probability
Probability
Probability

0.090214
0.083212
0.195848
0.179750
0.267500
0.244003

PH LC 6: KT QU KIM NH PHNG SAI THAY I M HNH CAPM

SH

F-statistic

0.234301

Probability

0.792105

SM
SL
BH
BM
BL

Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared

0.495276
0.555068
1.156645
0.715161
1.479742
10.06294
14.75093
1.038331
2.118276
0.373486
0.784582

Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability

0.780642
0.578
0.560838
0.49471
0.477175
0.000252
0.000626
0.362557
0.346755
0.690492
0.675507

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:

4. Kt qu hi quy danh mc SL:

5. Kt qu hi quy danh mc BH:

6. Kt qu hi quy danh mc BM:

7. Kt qu hi quy danh mc BL:

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 (Rm-Rf):

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

PH LC 9: KIM NH T TNG QUAN M HNH FAMA FRENCH

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

Lag = 1
Lag = 2
Lag = 3

F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared

SH
55.31254
26.71484
28.59314
27.37404
28.15665
31.89595
SM
2.293473
2.433615
1.151505
2.49963
0.753206
2.513085
SL
3.937827
4.028877
2.114741
4.395045
1.377207
4.400159
BH
3.702355
3.807477
1.847426
3.885414
1.206133
3.898923
BM
0.435463
0.482303
0.860697
1.893794
1.143105
3.711266
BL
4.01609
4.101961
2.176988
4.511993
1.549946
4.894584

Probability
Probability
Probability
Probability
Probability
Probability

0.000000
0.000000
0.000000
0.000001
0.000000
0.000001

Probability
Probability
Probability
Probability
Probability
Probability

0.137409
0.118759
0.326173
0.286558
0.527008
0.472931

Probability
Probability
Probability
Probability
Probability
Probability

0.053771
0.044728
0.133637
0.111078
0.263618
0.221371

Probability
Probability
Probability
Probability
Probability
Probability

0.061129
0.051024
0.170526
0.143315
0.319917
0.272587

Probability
Probability
Probability
Probability
Probability
Probability

0.512923
0.487381
0.430366
0.387943
0.343402
0.294377

Probability
Probability
Probability
Probability
Probability
Probability

0.051545
0.042833
0.126315
0.104769
0.216542
0.179681

PH LC 10: KIM NH PHNG SAI THAY I M HNH FAMA FRENCH

SH

F-statistic

0.527678

Probability

0.844901

SM
SL
BH
BM
BL

Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared
F-statistic
Obs*R-squared

5.346412
1.348696
7.908403
1.346093
7.895703
1.469885
8.490646
0.895656
5.566523
0.337407
2.264129

Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability
Probability

0.803126
0.258827
0.244891
0.259896
0.245844
0.213204
0.204314
0.507465
0.473453
0.912993
0.893875

PH LC 11: CC C PHIU C CHN NH GI BNG 2 M HNH

CAPM V FAMA FRENCH
M CK
BMI
GMD
KDC
SSI
ITA
REE
SAM

CII
DHG
FPT
MPC
PPC
PVD
SJS
STB
VIP
VNM
VSH

Tn Cng ty
BM
Tng CTCP Bo Minh
CTCP i l Lin hip vn
chuyn
CTCP Kinh
CTCP chng khon Si Gn
BH
CTCP u t Cng nghip
Tn To
CTCP C in lnh
CTCP u t v Pht trin

DMC
DRC
IFS

Tn Cng ty
CTCP Bibica

BHS

CTCP ng Bin Ha

BMP

CTCP nha Bnh Minh

CYC
DIC
HAI

CTCP Gch Men Chang Yih

CTCP u t v Thng mi DIC
CTCP Nng dc H.A.I

HAX

CTCP Dch v t Hng Xanh

HMC

CTCP Kim kh TP H Ch Minh

HRC
SACOM
BL
ICF
CTCP u t H tng K thut
ITA
Thnh ph H Ch Minh
CTCP Dc Hu Giang
KHA
CTCP FPT
KHP
CTCP Tp on Thy hi sn
LBM
Minh Ph
CTCP Nhit in Ph Li
MHC
Tng CTCP Khoan v Dch v
NAV
khoan du kh
CTCP u t Pht trin th
NKD
v Khu cng nghip Sng
Ngn hng Thng mi c
NSC
phn Si Gn Thng Tn
CTCP Vn ti Xng du
PAN
VIPCO
CTCP Sa Vit Nam
PGC
CTCP Thy in Vnh Sn
PJT
Sng Hinh
SL

BMC
BT6
CLC

M CK
BBC

CTCP Khong sn Bnh nh

CTCP Beton 6
CTCP Ct Li
CTCP Xut nhp khu Y t
Domesco
CTCP Cao Su Nng
CTCP Thc phm Quc T

RAL

CTCP Cao su Ha Bnh

CTCP u t Thng mi Thy sn
CTCP u t Cng nghip Tn
To
CTCP xut nhp khu Khnh Hi
CTCP in lc Khnh Ha
CTCP Khong sn v Vt liu xy
dng Lm ng
CTCP hng hi H Ni
CTCP Nam Vit
CTCP Ch bin thc phm Kinh
min Bc
CTCP Ging cy trng Trung ng
CTCP Xuyn Thi Bnh
CTCP Gas Petrolimex
CTCP Vn ti Xng du ng
Thy Petrolimex
CTCP Bng n Phch nc Rng

SFC
SJD
SMC

ng
CTCP Nhin Liu Si Gn
CTCP Thy in Cn n
CTCP u t thng mi SMC

SSI

CTCP chng khon Si Gn

SVC
TDH

CTCP dch v tng hp Si Gn

CTCP Pht trin nh Th c

IMP

CTCP dc phm Imexpharm

TMS

PAC

CTCP Pin c quy min Nam

CTCP Nc Gii kht Chng

TTP
VFC

SCD

Dng

CTCP Kho vn Giao nhn Ngoi

thng TP.HCM
CTCP bao b Nha Tn Tin
CTCP Vinafco
CTCP u t Pht trin Thng mi

TAC

CTCP Du thc vt Tng An

VID

TBC

CTCP Thy in Thc B

VIS

Vin ng
CTCP Thp Vit

VPK

CTCP bao b du thc vt

VTB

CTCP in t Tn Bnh

TYA

CTCP Dy v Cp in Taya
Vit Nam
SM

PH LC 12: H S HI QUY CA TNG CHNG KHON

M hnh
M CK
BBC
BHS
BMP
CYC
DIC
HAI
HAX
ICF
KHA
KHP
LBM
MHC
NAV
NSC
PAN
PGC
PJT
RAL
SFC
SJD
SMC
SVC
TDH
TMS
TTP
VFC
VID
VIS
VPK
VTB
BMC
BT6
CLC
DMC
DRC
HMC
HRC
IFS
IMP
NKD
PAC
SCD
TAC
TBC

CAPM

0.00234
0.003655
0.005706
-0.002165
0.011516
0.003902
0.00897
0.001023
0.009736
0.002454
0.010285
0.001279
0.000383
0.010127
0.010173
-0.000621
0.001355
-0.003841
0.016591
-0.003683
0.011368
0.002269
-0.000594
-0.000894
-0.00065
0.010546
7.49E-05
0.017532
-0.002335
-0.010192
0.019223
0.001083
-0.002197
-0.009347
0.019382
0.005668
0.005748
-0.005833
-0.001893
0.002161
0.011616
0.002098
0.001068
-0.006308

1.043338
0.824858
1.273413
0.930605
1.079389
1.045834
1.208381
1.121236
1.085607
0.977279
1.271221
1.320435
1.126525
1.019319
1.747509
1.288448
1.214719
1.13484
0.840398
0.710793
1.208506
1.548093
1.072505
0.540912
0.904238
1.312994
0.933417
1.326482
0.826085
0.482088
1.479147
0.375935
0.687726
0.545671
1.749383
1.175637
1.245671
0.93185
0.677814
1.169389
0.792716
0.846553
1.061061
0.747232

-0.001479
0.000449
0.007717
-0.006833
0.006013
0.001608
0.004002
-0.004622
0.007138
-0.003517
0.006254
-0.002751
-0.003533
0.006899
0.008364
-0.003724
-0.004743
-0.005575
0.014482
-0.006344
0.008731
-0.001735
-0.001104
-0.002713
-0.001986
0.006548
-0.005074
0.015429
-0.008699
-0.014108
0.016479
-0.000953
-0.005206
-0.011011
0.016488
0.001499
0.005094
-0.010932
-0.003175
0.001485
0.012173
-0.002195
-0.001852
-0.00831

Fama French

si
0.919861 0.588131
0.855595 0.803703
1.217422 -0.589011
0.969396
1.1566
1.134893 1.386111
1.120323 0.696247
1.261388 1.257973
0.96676
0.933822
1.130119 0.696483
0.962277 1.330185
1.42624
1.279214
1.22484
0.70054
1.126186 0.894495
1.137237 1.009943
1.65659
0.203673
1.224006 0.560612
1.245407 1.464661
0.940618 -0.051985
0.817498 0.429435
0.755453 0.711391
1.261013 0.723863
1.443398 0.673724
0.903641 -0.273041
0.668509 0.710359
0.824032 0.120275
1.300818 0.885879
0.787905 0.841146
1.504534 0.891637
0.771786 1.329498
0.446893 0.813815
1.606686 0.921715
0.482609 0.711516
0.650978 0.602937
0.604956 0.517147
1.685673
0.51449
1.20617
1.023363
1.229177 0.111354
0.927167 1.154925
0.784323 0.538913
1.000054 -0.236092
0.920548 0.167589
0.926675 1.166255
1.001486 0.530023
0.683175 0.309865

hi
0.886633
0.362422
-0.123149
0.544725
0.614444
0.110217
0.546426
1.230765
0.237973
0.880271
0.125183
0.836926
0.550446
0.117864
0.512062
0.618415
0.768296
0.794927
0.361055
0.246496
0.220745
0.859204
0.551301
-0.107216
0.415266
0.595546
1.135724
-0.210752
1.047143
0.649311
0.022751
-0.01743
0.5265
0.065012
0.586998
0.498112
0.138563
0.728777
-0.122664
0.575985
-0.441342
0.3747
0.578923
0.462882

TYA
ITA
REE
SAM
BMI
GMD
KDC
SSI
CII
DHG
FPT
MPC
PPC
PVD
SJS
STB
VIP
VNM
VSH

-0.013704
0.004119
0.005833
-0.006895
-0.007846
-0.001031
0.004984
0.01053
0.008046
0.001174
-0.001885
0.000588
-0.009436
-0.002121
0.012513
0.002666
-0.004517
0.00386
-0.007652

0.928855
1.142732
1.483208
1.297398
1.136548
1.322818
1.109865
1.588164
1.056475
0.47393
1.03835
1.016433
0.950853
0.778049
1.470217
1.141306
1.150021
0.683855
0.783615

-0.014542
0.000291
0.004721
-0.008474
-0.008665
0.001249
0.006879
0.009138
0.00793
0.000843
0.000742
-0.001711
-0.007512
0.000437
0.015001
0.000696
-0.008868
0.006693
-0.005755

0.871484
0.726667
1.165202
0.973176
0.900903
1.169362
1.055687
1.27783
0.944639
0.61248
1.039021
0.936745
0.895852
0.926474
1.575114
1.107262
0.960095
0.824498
0.921615

0.059333
-0.085048
-0.479435
-0.387408
-0.356555
-0.875239
-0.558194
-0.397939
-0.231621
0.395298
-0.598949
0.341558
-0.566641
-0.242292
-0.253715
0.371752
0.556402
-0.323027
-0.115148

0.280649
1.719054
1.059548
1.142491
0.78434
0.116105
-0.11195
1.076904
0.333945
-0.347215
-0.370463
0.548878
-0.113632
-0.78058
-0.561872
0.373097
1.150038
-0.796995
-0.65816

PH LC 13: PHIU KHO ST

Chng ti l L Tho Vy v Phm Tn Trit, hin 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

D. 31-40 tui

B. 20-25 tui

E. >40 tui

C. 26-30 tui
2. Xin Anh/Ch cho bit trnh hc vn
A. Ph thng

D. i hc

B. Trung cp

E. Sau i hc

C. Cao ng
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

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

C. T cc ch s ti chnh trong Bo

B. Thng tin thu thp t Internet, Tivi,

Bo ch

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

D. M hnh Fama-French ba nhn t

B. M hnh nh gi ti sn vn

E. M hnh Carhart bn nhn t

(CAPM)

F. Khc

C. L thuyt kinh doanh chnh lch

APT
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..
.............................
.................................................................................................................................................
......................................................................................................

XIN CHN THNH CM N