M HNH FAMA FRENCH

V C LNG APT
Kiu Vn Tuyn

NI DUNG

M hnh Fama-French 3 nhn t.

- Gii thiu v m hnh Fama-French 3 nhn t
- D liu v tnh ton cc nhn t trong m hnh.
- c lng h s nhn t
- Kim nh cc gi thuyt i vi m hnh nhn t.
Xy dng phng trnh APT.
- Cc gi thit ca APT
- c lng phn b ri ro nhn t
- Kim nh s ph hp ca phng trnh APT
- Kim nh gi thit No Arbitrage
Nhn xt

M HNH FAMA FRENCH V C LNG APT

1. M hnh Fama-French 3 nhn t i vi c phiu.

1.1 Gii thiu v m hnh Fama-French 3 nhn t.
M hnh Fama-French 3 nhn t l m hnh m rng ca m hnh CAPM. nhm
khc phc mt s hn ch ca m hnh CAPM, Fama v French (1993) a thm bin
quy m cng ty (o lng bng gi tr vn ha ca cng ty) v gi tr cng ty (o lng
bng t s gi tr s sch trn gi tr th trng) vo gii thch s thay i v li sut
ca cc c phiu ngoi yu t th trng. V sau m hnh ny c bit n vi tn m
hnh Fama-French 3 nhn t. Mc d hin nay c m hnh Fama-French 5 nhn t
(Gii Nobel kinh t 2013). Tuy nhin vi quy m nh nn bi tp ch c lng m hnh
3 nhn t.
M hnh Fama-French 3 nhn t dng kinh t lng:
(

Trong :
: L li sut ca ti sn i vo thi im t
: L li sut phi ri ro ca th trng vo thi im t.
: L li sut ca th trng vo thi im t.
: L nhn t phn b quy m hay quy m vn ha thi im t
: L nhn t gi tr s sch trn gi tr th trng th im t.
1.2 D liu v x l d liu
S liu c s dng trong bi ny l chui ch s th trng VnIndex v gi ng
ca ca cc c phiu trong r c phiu Vn30 c nim yt trn sn chng khon vi tn
sut tnh ton l tun tnh t thng 9/2012 n 8/2015.
Li sut chnh ph c k hn 5 nm c chn lm li sut phi ri ro thu thp t
9/2012 n 8/2015. Tuy nhin li sut thu thp c da trn cc thng tin trn mng
qu lu, hoc c cc thi im cha xc nh c li sut chun nn y c th l mt
hn ch ca bi ny.
Bng vic chia danh mc 30 c phiu thnh 2 danh mc, danh mc small gm 15 c
phiu c quy vn vn ha nh nht, danh mc big gm 15 danh mc c quy m vn ha
ln nht. y quy m vn ha c tnh bng gi tr th trng nhn vi s c phiu

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M HNH FAMA FRENCH V C LNG APT

ang lu hnh vo thi im c lng m hnh. Sau ly li sut trung bnh ca cc

c phiu trong danh mc small tr i li sut trung bnh ca cc c phiu trong danh mc
big ta c SMB.
Tng t, ta cng chia 30 c phiu thnh 3 danh mc. Trong 10 c phiu c t s
gi tr s sch trn gi tr th trng ln nht xp vo nhm high. Cn 10 c phiu c t
s gi tr s sch trn gi tr th trng nh nht xp vo nhm low. Sau ly li sut
trung bnh ca cc c phiu trong nhm high tr i nhm low ta c HML.
Tuy nhin m bo gi thit l
( )
( ).

( )

th ta s bin i mt cht thnh

1.3 c lng v kim nh h s nhn t

Trc khi i c lng cc h s ta thc hin kim nh tnh dng i vi cc chui
li sut. S dng phn mm Eviews kim nh ADF cho thy cc chui li sut u tha
mn iu kin l dng. Chng trnh kim nh tnh dng c km theo bi lm.
Tip theo ta s i thc hin c lng OLS theo m hnh Fama-french 3 nhn t
trnh by trn. Kt qu c lng v kim nh c trnh by trong file excel.
Ta c bng h s nhn t :
rHCM-rf
rCSM-rf
rCII-rf
rVSH-rf
rPPC-rf
rPVD-rf
rGMD-rf
rKBC-rf
rPVT-rf
rFLC-rf
rITA-rf
rVNM-rf
rBVH-rf
rVIC-rf
rVCB-rf
rMSN-rf
rSSI-rf
rHPG-rf

Beta(rVnindex-rf)
1.01395
0.93822
0.75963
0.55331
0.83360
0.76861
0.87791
0.99179
1.13247
1.23448
1.08861
0.91456
1.67336
0.67707
1.20430
0.93608
1.07565
1.07909

Beta(SMB)
0.35058
0.23196
0.00000
0.00000
0.41337
0.00000
0.35365
1.22138
0.52079
0.83162
0.98289
-0.64257
-0.93238
-0.34161
-0.86796
-0.60406
0.00000
-0.84813

Beta(HML)
0.00000
0.46523
0.53616
0.31807
0.00000
0.36639
0.00000
0.00000
0.91400
1.38166
0.00000
0.00000
0.33079
0.00000
0.43943
0.00000
0.59138
0.91412

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M HNH FAMA FRENCH V C LNG APT

rCTG-rf
rDPM-rf
rREE-rf
rEIB-rf
rSTB-rf
rMBB-rf
rHAG-rf

0.82806
0.79956
1.04300
0.67450
0.69291
0.65391
1.06052

-0.88856
-0.50683
0.00000
-0.64272
-0.74373
-0.53932
-0.45778

0.64135
0.42779
0.48562
0.74116
0.63837
0.60103
0.97463

Nhn xt :
Nhn chung hu ht cc ti sn u ph thuc vo nhn t th trng. Tuy nhin i
vi nhn t quy m v gi tr s sch trn gi tr th trng th gn s ti sn c la
chn ch ph thuc vo mt trong 2 nhn t. Trong s ti sn th a s u ch ph
thuc vo nhn t quy m. i vi cc cng ty c t s gi tr s sch trn gi tr th
trng v quy m vn ln, th thng chu tc ng ca c 2 nhn t ny.
2. Xy dng phng trnh APT
2.1 Cc gi thit v ti sn ca APT
Li sut ca ti sn c phn phi chun
Li sut ca ti sn tun theo m hnh a nhn t
Qua kt qu kim nh v phn phi chun ca li sut ti sn, kt qu nhn c
khng my kh quan. Ch c 1 ti sn trong tng s 30 ti sn c phn phi chun. Nh
vy vic thc hin c lng APT l khng hp l hay b s liu ny khng tun theo l
thuyt nh gi c li. Tuy nhin nu mc ch l thc hnh c lng APT th ta c
th b qua iu kin ny, tp trung vo vic thc hnh xy dng APT. Nh vy ta vn
tip tc quy trnh.
2.2 c lng phn b ri ro nhn t
M hnh dng hi quy ca phng trnh APT:

M hnh dng hi quy ca phng trnh APT ch c 3 bin l m hnh nhn t ca

bi ny ch c 3 nhn t. Thc hin hi quy OLS v kim nh cho kt qu l li sut k
vng ca ti sn ch ph thuc vo h s nhn t ca nhn t th trng. Nguyn nhn
ca kt qu ny c th 1 phn l do nh trnh by trn li sut cc ti sn khng
phn phi chun. Do ta la chn phng trnh APT sau:

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M HNH FAMA FRENCH V C LNG APT

2.3 Kim nh s ph hp ca phng trnh APT

Nu ti sn c h s nhn t bng 0. Kt qu kim nh cho thy li sut k vng ca
ti sn khng bng vi li sut phi ri ro.
Wald Test:
Equation: Untitled
Test Statistic

Value

df

Probability

t-statistic
F-statistic
Chi-square

-1.703456
2.901763
2.901763

23
(1, 23)
1

0.1020
0.1020
0.0885

Null Hypothesis: C(1)=0.000257902

Null Hypothesis Summary:
Normalized Restriction (= 0)

Value

Std. Err.

-0.000257902 + C(1)

-0.001540

0.000904

Restrictions are linear in coefficients.

Kim nh Ramsey cho thy m hnh c lng c dng hm ng, m hnh khng
thiu bin quan trng. Do c th thy li sut k vng ca ti sn c lin h tuyn
tnh vi h s nhn t.
Ramsey RESET Test
Equation: UNTITLED
Specification: RI_NGANG C BETA_RVNINDEX_RF_
Omitted Variables: Squares of fitted values

t-statistic
F-statistic
Likelihood ratio

Value
0.458418
0.210147
0.237670

df
22
(1, 22)
1

Probability
0.6511
0.6511
0.6259

H s
hiu chnh thp. Ch c 10% nn rt c th ngoi h s nhn t ra cn c cc
bin khc na l bin gii thch trong phng trnh APT.
2.4 Kim nh gi thit No Arbitrage
Ta c phng trnh APT i vi li sut c phiu STB, MBB, HAG v li sut hin
ti l
:

Gii phng trnh trn ta c :

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M HNH FAMA FRENCH V C LNG APT

Thay cc gi tr

vo phng trnh APT i vi li sut c phiu EIB :

Trong khi li sut ca EIB trn th trng l -0.0008. Nh vy c th thy rng c

c li trn th trng.
3. Nhn xt
Nhn chung bi lm c nhiu vn cn phi xem xt li v a ra tho lun vo
mt bui hc no . Mt trong nhng vn c bn v khng km phn quan trng l
vn v cht lng ca s liu v s ph hp ca m hnh i vi s liu. Chng hn
nu hu ht cc ti sn u khng phn phi chun vy c cch no s dng phng
trnh APT u vi cc ti sn ny khng. Hay vn c lng APT m mt s nhn t
khng c ngha th c nn b khi m hnh c lng hay khng. Li sut s dng
trong c lng m hnh theo tn sut tun hoc ngy, vy khi kim nh gi thuyt No
Arbitrage s dng li sut tn sut g

Page 6