Tp ch Khoa hc Trng i hc Cn Th

Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 32 (2014): 61-68

M HNH 3 NHN T FAMA FRENCH: CC BNG CHNG THC NGHIM

T S GIAO DCH CHNG KHON THNH PH H CH MINH
Trng ng Lc1 v Dng Th Hong Trang2
1
2

Khoa Kinh t & Qun tr Kinh doanh, Trng i hc Cn Th

Gentraco

Thng tin chung:

Ngy nhn: 25/03/2014
Ngy chp nhn: 27/06/2014

Title:
Fama and French threefactor model: Empirical
evidences from the Ho Chi
Minh Stock Exchange
T kha:
M hnh 3 nhn t Fama
French, HOSE
Keywords:
Fama and French threefactor model, Ho Chi Minh
Stock Exchange

ABSTRACT
This study aims at testing the validity of the Fama and French three-factor
model for the Ho Chi Minh Stock Exchange (HOSE). Data used in the
study consist of weekly series of market index (VN-Index) and prices of
non-financial stocks listed on HOSE for the period from 1 January 2006 to
31 December 2012. The results derived from this study reveal that market
risk, size and book equity to market equity ratio (BE/ME) have positive
effects on excess returns of stocks. In other words, Fama and French
three-factor model is validity for the HOSE.
TM TT
Mc tiu ca nghin cu ny l kim nh s ph hp ca m hnh 3 nhn
t Fama French cho S Giao dch chng khon thnh ph H Ch Minh
(HOSE). S liu s dng trong nghin cu ny bao gm chui ch s th
trng (VN-Index) v gi ca cc c phiu phi ti chnh c nim yt
trn HOSE theo thi gian vi tn sut tun (weekly series) trong giai on
t ngy 01/01/2006 n ngy 31/12/2012. Kt qu nghin cu cho thy li
nhun ca cc c phiu c tng quan thun vi ri ro th trng, quy m
cng ty v t s gi tr s sch trn gi tr th trng (BE/ME). Ni mt
cch khc, m hnh 3 nhn t Fama French ph hp trong vic gii
thch s thay i li nhun ca cc c phiu nim yt trn HOSE.
b sung cho nhng khim khuyt ca m CAPM
trong vic gii thch li nhun k vng ca cc c
phiu.

1 GII THIU
o lng li nhun k vng ca cc c
phiu, m hnh nh gi ti sn vn (Capital Asset
Pricing Model - CAPM) c pht trin bi Sharpe
(1964) v Lintner (1965) thng c s dng.
Trong m hnh ny, ri ro th trng c o
lng bng h s beta l nhn t duy nht nh
hng n li nhun k vng ca cc c phiu.
Tuy nhin, mt nghin cu thc nghim c thc
hin bi Fama v French (1992) ch ra rng ri
ro th trng khng phi l bin s gii thch tt
cho s thay i v li nhun ca cc c phiu. V
vy, Fama v French (1993) xut m hnh 3
nhn t (c trnh by chi tit phn tip theo)

Sau khi c cng b, m hnh 3 nhn t Fama

French nhn c s quan tm c bit ca
nhiu nh nghin cu. Phn ln cc nghin cu
thc nghim ch ra rng m hnh 3 nhn t
Fama French ph hp hn CAPM trong vic gii
thch cho s thay i li nhun ca cc c phiu.
Vy, liu rng m hnh ny c ph hp cho trng
hp th trng chng khon Vit Nam m i din
l S Giao dch chng khon thnh ph H Ch
Minh (HOSE)? Mc tiu ca nghin cu ny l i
tm li gii p cho cu hi trn. Kt qu ca
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nhng khim khuyt ca CAPM. c nhiu nh

nghin cu kim nh li m hnh ny bng s liu
thc t thu thp c trn cc th trng chng
khon khc nhau. Do khng th lit k tt c cc
nghin cu c lin quan n vn ny nn chng
ti s lit k mt vi nghin cu tiu biu lm c
s cho nghin cu ca mnh.

nghin cu ny s b sung nhng bng chng thc

nghim v tnh hp l ca m hnh 3 nhn t Fama
French trong iu kin th trng chng khon
mi ni v gp phn gip cc nh u t c nhng
hnh vi u t hp l hn. y l yu t quan
trng gip th trng chng khon Vit Nam pht
trin mt cch n nh v bn vng hn. Phn cn
li ca bi vit ny c cu trc nh sau: Mc 2
gii thiu khi qut v m hnh 3 nhn t Fama
French; Mc 3 lc kho cc nghin cu c lin
quan n vn nghin cu; Mc 4 m t s liu
s dng v phng php nghin cu; Mc 5 tm tt
cc kt qu nghin cu; v cui cng l kt lun ca
bi vit c trnh by Mc 6.

Trc tin l cc nghin cu c thc hin

trn th trng chng khon cc nc pht trin.
Fama v French (1995) nghin cu nh hng ca
cc nhn t quy m cng ty v t s BE/ME (nhn
t o lng kh nng sinh li ca cc cng ty) n
t sut sinh li ca cc c phiu trn S Giao dch
chng khon New York trong giai on t 6/1963
n 6/1992. Cc tc gi chia cc c phiu thnh
6 mc trn c s quy m cng ty v t s BE/ME.
Kt qu nghin cu cho thy, t s BE/ME cao l
tn hiu v hiu qu hot ng km ca cng ty v
ngc li. Ngoi ra, trn c s kt qu nghin cu
cc tc gi i n kt lun ch s th trng, quy
m cng ty v t s BE/ME l nhng nhn t nh
hng n li nhun ca cc cng ty v t sut
sinh li ca cc c phiu.

2 KHI QUT V M HNH 3 NHN T

FAMA - FRENCH
Nh trnh by trn, m hnh 3 nhn t
Fama French c pht trin khc phc nhng
hn ch ca CAPM. Trn c s CAPM, Fama v
French (1993) a thm bin quy m cng ty
(o lng bng vn ha) v gi tr cng ty (o
lng bng t s gi tr s sch trn gi tr th
trng BE/ME) vo m hnh gii thch cho s
thay i v li nhun ca cc c phiu. M hnh
ny sau c bit n vi tn gi l m hnh 3
nhn t Fama French (Fama - French ThreeFactor Model). Mt cch c th, m hnh ny c
dng nh sau:

Maroney v Protopapadakis (2002) kim

nh m hnh 3 nhn t Fama French trn th
trng chng khon cc nc: Australia, Canada,
c, Php, Nht, Anh v M. nh hng ca quy
m v gi tr cng ty n t sut sinh li ca cc c
phiu u c tm thy tt c cc th trng.
Trn c s cc bng chng thc nghim c c
cc tc gi i n kt lun rng nh hng ca
quy m cng ty v t s BE/ME l nhng c im
mang tnh quc t.

E(Ri) - Rf = + i[E(Rm) - Rf] + siSMB +

hiHML
Trong :
E(Ri): T sut sinh li k vng ca ca danh
mc i.

Faff (2001) s dng s liu v gi ca cc c

phiu nim yt trn th trng chng khon
Australia trong giai on 1991-1999 xc nh
mc ph hp ca m hnh 3 nhn t Fama
French. Tc gi tm thy nhng bng chng
thng nht vi m hnh 3 nhn t Fama French,
nhng quy m cng ty li c tng quan nghch
vi t sut sinh li ca cc c phiu ch khng
phi tng quan thun nh k vng.

Rf: T sut sinh li (li sut) phi ri ro.

E(Rm): T sut sinh li k vng ca th
trng.
SMB (small minus big): T sut sinh li ca
danh mc c quy m nh tr t sut sinh li ca
danh mc c quy m ln.
HML (high minus low): T sut sinh li ca
danh mc c t s BE/ME cao tr t sut sinh li
ca danh mc c t s BE/ME thp.

Trong thi gian gn y, m hnh 3 nhn t

Fama French c kim nh trn nhiu th
trng chng khon mi ni. C th l, Homsud v
ctv (2009) nghin cu nh hng ca 3 nhn t
trong m hnh ca Fama French n t sut sinh
li ca cc c phiu nim yt trn th trng chng
khon Thailand trong giai on t 7/2002 n
5/2007. Trong nghin cu ny, cc tc gi chia
421 c phiu c chn thnh 6 danh mc: BH,
BM, BL, SH, SM, SL tin hnh nghin cu c

i, si, hi l cc h s hi quy v c k
vng l dng.
3 LC KHO CC NGHIN CU C
LIN QUAN N VN NGHIN CU
Sau khi c cng b, m hnh 3 nhn t Fama
French (1993) nhn c s quan tm c bit
ca nhiu nh nghin cu v n gip b sung
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m nh cao hn t sut sinh li ca cc cng ty c

quy m ln; cc cng ty c t s BE/ME cng cao
th t sut sinh li cng cao; m hnh 3 nhn t
Fama French gii thch tt hn t sut sinh li
ca cc c phiu so vi CAPM.

lp. Kt qu nghin cu cho thy vic thm cc

bin quy m v gi tr cng ty vo m hnh CAPM
lm tng kh nng gii thch v s thay i t
sut sinh li ca cc c phiu. Ni mt cch khc,
m hnh 3 nhn t Fama French ph hp hn m
hnh CAPM trong vic gii thch s thay i v t
sut sinh li ca cc c phiu.

Trn th trng chng khon Vit Nam, Vng

c Hong Qun v H Th Hu (2008) vn dng
m hnh 3 nhn t Fama French nghin cu
cc nhn t nh hng n t sut sinh li ca cc
c phiu trn HOSE. Kt qu nghin cu cho thy,
danh mc cc c phiu c quy m nh c t sut
sinh li cao hn danh mc cc c phiu c quy m
ln. Kt qu ny hon ton ph hp vi cc nghin
cu c thc hin trn th trng chng khon
cc nc pht trin trc y. Tuy nhin, khi xt
n yu t HML th nghin cu ny li c kt qu
tri ngc vi kt lun ca Fama-French (1993) v
cc nghin cu c thc hin nc ngoi. C
th l, nhn t t s BE/ME c tng quan nghch
vi t sut sinh li ca cc c phiu.

Al-Mwalla v Karasneh (2011) kim nh s

ph hp ca m hnh 3 nhn t Fama - French cho
th trng chng khon Amman (Jordan). Bng
vic s dng s liu gi ca cc c phiu trong
khong thi gian t 7/1999 n 6/2010, cc tc gi
tm thy s nh rt mnh v cng chiu
(positive effect) ca nhn t quy m v gi tr cng
ty n t sut sinh li ca cc c phiu. Trn c s
kt qu nghin cu ny cc tc gi kt lun
rng, m hnh 3 nhn t Fama -French gii thch
cho s bin ng t sut sinh li ca cc c phiu
tt hn m hnh CAPM.
Ferdian v ctv. (2011) vn dng m hnh 3
nhn t o lng t sut sinh li ca cc c
phiu trn th trng chng khon Indonesia. S
dng gi ng ca ca 98 c phiu trong khong
thi gian t 9/2007 n 9/2009, kt qu nghin cu
cho thy ngoi h s beta (ri ro th trng), quy
m v gi tr cng ty cng l nhng nhn t nh
hng n t sut sinh li ca cc c phiu. Tuy
nhin, ri ro th trng vn l nhn t quan trng
nht trong m hnh.

Trn Th Hi L (2010) kim nh tnh ph hp

ca m hnh 3 nhn t Fama - French i vi cc
c phiu nim yt trn HOSE trong giai on t
12/2004 n 12/2007. Kt qu nghin cu cho
thy, nhn t li nhun th trng v t s gi tr s
sch trn gi tr th trng (HML) c tng quan
thun vi t sut sinh li ca cc c phiu nh kt
qu nghin cu ca Fama v French (1993). Tuy
nhin, tri ngc vi kt qu ca cc nghin cu
c thc hin nc ngoi, nhn t quy m
(SMB) li c tng quan nghch vi t sut sinh li
ca cc c phiu, ngha l t sut sinh li ca cc
c phiu c quy m ln cao hn t sut sinh li ca
cc c phiu c quy m nh. Theo tc gi, kt qu
ny l do c trng s hu nh nc ca cc cng
ty nim yt trn HOSE.

Erslan (2013) kim nh tnh ph hp ca m

hnh 3 nhn t Fama French trn S giao dch
chng khon Istabul. S dng chui t sut sinh li
ca cc c phiu theo thi gian vi tun sut thng
trong giai on t 2003 n 2010, nghin cu ny
ch ra rng t sut sinh li ca cc c phiu c quy
m ln cao hn t sut sinh li ca cc c phiu c
quy m nh. Danh mc bao gm cc c phiu c t
s BE/ME thp c t sut sinh li cao hn danh
mc bao gm cc c phiu c t s BE/ME cao.
Ngoi ra, cn c vo quy m, t s BE/ME, tc gi
chia cc c phiu thnh 9 danh mc nghin
cu nh hng ca cc nhn t trn n t sut
sinh li ca tng danh mc. Kt qu l quy m
cng ty khng c nh hng n t sut sinh li
ca danh mc c quy m ln nhng li c nh
hng n danh mc c quy m nh v quy m
va. T s BE/ME l nhn t c nh hng n t
sut sinh li ca danh mc bao gm cc c phiu
c BE/ME cao.

Hai nghin cu c thc hin Vit Nam ni

trn c im ging nhau v mt phng php l
u chia cc c phiu thnh 4 danh mc v s dng
m hnh OLS c lng cc nhn t nh hng
n t sut sinh li ca cc c phiu. V vy, kt
qu nghin cu gn nh thng nht vi nhau. Hn
ch ca cc nghin cu trn l s dng phng
php OLS c lng m khng c s kim tra
s hin din ca hin tng phng sai sai s thay
i (ARCH) trong d liu nghin cu. khc
phc hn ch trn, trong nghin cu ny chng ti
thc hin kim nh v s tn ti ca ARCH v
dng m hnh GARCH (1,1) c lng nu tn
ti ARCH trong d liu nghin cu. C th v
phng php nghin cu s c trnh by phn
tip theo.

Nhn chung, cc nghin cu trn u thng

nht vi m hnh 3 nhn t Fama French (1992).
C th l, t sut sinh li ca cc cng ty c quy
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thit lp mi nm mt ln cn c trn hai tiu ch l

quy m (vn ha th trng) v t s gi tr s sch
trn gi tr th trng ca cc c phiu. Danh mc
c theo di trong nm 2006 c lp vo cui
nm 2005 ch c 26 c phiu, nhng ti 2012 l
294 c phiu.
4.2 Phng php nghin cu

4 S LIU S DNG V PHNG

PHP NGHIN CU
4.1 S liu s dng
S liu c s dng trong nghin cu ny l
chui ch s th trng (VN-Index) v gi ca cc
c phiu phi ti chnh c nim yt trn HOSE
theo thi gian vi tn sut tun (weekly series).
u tin, ch s VN-Index v gi ca cc c phiu
c thu thp cho khong thi gian t ngy
01/01/2006 n ngy 31/12/2012. S d chng ti
chn khong thi gian nghin cu nh vy l c
s lng c phiu nhm thit lp cc danh mc
theo yu cu ca phng php nghin cu. Ch s
th trng v gi ca cc c phiu c thu thp l
gi ng ca vo ngy th T hng tun. Nu ngy
th T ca mt tun no l ngy khng c giao
dch th ch s ng ca ca ngy th Nm (hoc
th Ba nu ngy th Nm vn khng c giao dch)
s c chn thay th. Nu c hai ngy th Ba
v th Nm ca mt tun no u khng c giao
dch th ch s th trng v gi ca cc c phiu
tun s c b qua (xem nh l thiu thng
tin). Vic chn gi ng ca ngy th T
nghin cu l nhm trnh nhng nh hng ca
cc giao dch cui tun (Huber, 1997). Trn c s
ch s th trng v gi ca c phiu thu thp c,
li nhun th trng v ca cc c phiu c tnh
nh sau:

c lng cc nhn t nh hng n t

sut sinh li ca cc c phiu nim yt trn HOSE,
m hnh 3 nhn t ca Fama v French (1993)
c s dng trong nghin cu ny. Ba nhn t
c s dng trong m hnh bao gm: li nhun
th trng, quy m cng ty v t s gi tr s sch
trn gi tr th trng ca cc c phiu. Mt cch
c th, m hnh (OLS) m chng ti s dng c
dng nh sau:
Rpt - Rf = p+ p(Rmt - Rf) + spSMBt + hpHMLt
+ p,t
(1)
Trong :
Rpt l t sut sinh li bnh qun ca danh
mc thi im t
Rmt l t sut sinh li ca th trng thi
im t
Rft l li sut phi ri ro thi im t
SMBt l nhn t phn b quy m thi
im t

Ri,t log( pi,t ) log( pi,t 1) log( pi,t / pi,t 1)

HMLt l nhn t phn b gi tr thi

im t

Trong :
Ri,t: Li nhun th trng hoc ca c phiu i
tun th t;
Pi,t: Ch s VN-Index hoc gi ca c phiu i
tun th t;
Pi,t-1: Ch s VN-Index hoc gi ca c phiu i
tun th t-1.

Phn chia danh mc

Trc tin, cn c vo gi tr vn ha th
trng ti thi im thit lp danh mc, cc cng
ty c chia thnh 2 nhm (danh mc). Nu gi tr
vn ha ca mt cng ty no nh hn hoc bng
50% mc vn ha trung bnh ca ton b th
trng th cng ty c xp vo nhm c quy
m nh (danh mc S) v ngc li, th c xp
vo nhm c quy m ln (danh mc B).

Trong nghin cu ny, li sut tri phiu Chnh

ph c k hn 5 nm c s dng nh l li sut
phi ri ro (rf). Li sut ny c thu thp trn
website ca S Giao dch chng khon H Ni
trong giai on t 01/2006 n 12/2012. Ngoi ra,
s liu v vn ha th trng (c tnh ton trn
c s s lng c phiu lu hnh v gi th
trng), gi tr vn ch s hu ca cc cng ty
nim yt c thu thp t bo co ti chnh ca cc
cng ty nim yt ti thi im ngy 31/12 hng
nm trong sut giai on 2005-2011. Cc cng ty
c chn l cc cng ty nim yt ti thi im
tun cui cng ca thng 12 mi nm (y l thi
im thit lp danh mc). Cc danh mc c ti

Ngoi ra, trong nghin cu ny chng ti cn

chia cc c phiu thnh 3 danh mc trn c s t s
gi tr s sch (BE) trn gi tr th trng (ME).
Gi tr s sch v gi tr th trng c tnh da
trn vn ch s hu, khi lng c phiu ang lu
hnh v gi th trng ca c phiu vo cui mi
nm. Mt cch c th, nhng cng ty c t s
BE/ME thuc nhm 30% gi tr thp nht s c
xp vo danh mc L (Low), 40% cc c phiu c
t s BE/ME tip theo c xp vo danh mc M
(Medium) v 30% cc c phiu cn li (c t s
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BE/ME cao nht) c xp vo danh mc H

(High).

RBL,t - Rf = pt+ p (Rmt - Rf) + spSMB +

(5)
hpHML + pt

Nh vy, t hai yu t dng phn chia danh

mc trn, cc c phiu trong mu nghin cu
c sp xp vo 6 danh mc. Trong nghin cu
ny, chu k thit lp danh mc l 12 thng. iu
ny c ngha l s c nhng c phiu b loi ra khi
danh mc ny v c phn vo mt danh mc
khc, nhng c phiu mi gia nhp th trng cng
c phn loi vo nhng danh mc thch hp.
Cc danh mc c thit lp s dng cho cc
m hnh trong nghin cu ny c trnh by chi
tit Bng 1.

RBM,t - Rf = pt+ p (Rmt - Rf) + spSMB +

hpHML + pt
(6)
RBH,t - Rf = pt+ p (Rmt - Rf) + spSMB +
(7)
hpHML + pt
Tuy nhin, gi thuyt v phng sai ca sai s
khng i theo thi gian ca m hnh OLS thng
khng ph hp vi cc chui s liu theo thi gian
trong ti chnh. Hn th na, theo Brooks (2002),
nu gi thuyt trn khng tho mn v m hnh
OLS vn c p dng th cc sai s chun
(standard errors) c th khng ng v v vy
nhng kt lun c rt ra t m hnh ny c th
s b sai lch. Trong nghin cu ny, ngoi cc m
hnh hi quy c c lng theo phng php
OLS, m hnh GARCH (1,1) cn c s dng.
M hnh GARCH (1,1) trong nghin cu c dng
nh sau:

Bng 1: Cc danh mc c thit lp

Phn theo
quy m
S (50%)
B (50%)

Phn theo t s BE/ME

L (30%)
M (40%) H (30%)
SL
SM
SH
BL
BM
BH

Bin s SMB (small minus big) v HML (high

minus low)

Rpt - Rf = p+ p(Rmt - Rf) + spSMBt + hpHMLt

(8)
+ p,t pt N (0, hpt)

Trn c s m hnh 3 nhn t ca Fama v

French, trong nghin cu ny nhn t SMB c
tnh bng t sut sinh li bnh qun ca danh mc
c quy m nh (danh mc S) tr cho t sut sinh
li bnh qun ca danh mc c quy m ln (danh
mc B).
SMB

hpt = + hpt1 + 2pt-1

5 KT QU NGHIN CU
5.1 Cc nhn t nh hng n t sut sinh
li ca cc c phiu trong mu nghin cu

SL SM SH BL BM BH

3
3

Nh trnh by phn trn, nghin cu ny

s dng m hnh OLS v GARCH (1,1) phn
tch cc nhn t nh hng n t sut sinh li ca
cc c phiu nim yt trn HOSE. Kt qu phn
tch t cc m hnh nghin cu c trnh by tm
tt Bng 2.

Tng t, nhn t HML c tnh bng t sut

sinh li bnh qun ca danh mc c t s BE/ME
cao (danh mc H) tr cho t sut sinh li bnh qun
ca danh mc c t s BE/ME thp (danh mc L).
HML

Kt qu nghin cu cho thy c 3 nhn t c

a vo m hnh u c mi tng quan t l
thun vi t sut li nhun ca cc c phiu nim
yt trn HOSE. V mt thng k, mi tng quan
gia ba nhn t trong m hnh (bin c lp) vi t
sut sinh li ca cc c phiu (bin ph thuc) u
c ngha mc 1%. Kt qu nghin cu ny
hon ton ph hp vi kt qu nghin cu ca
Fama v French (1993) v mt s nghin cu khc
c cng b. Mt cch c th, t sut sinh li
ca cc c phiu trong danh mc nghin cu c
mc bin ng gn nh bng vi mc bin
ng ca th trng. iu ny cng d hiu bi v
cc c phiu trong mu nghin cu ca chng ti
bao gm tt c cc c phiu nim yt trn HOSE,
ngoi tr cc c phiu ca cc cng ty thuc ngnh
ti chnh. Tng t, h s tng quan dng ca
bin SMB v HML vi bin ph thuc ni ln rng

SH BH SL BL

2
2

Ngoi ra, trong nghin cu ny chng ti cn

o lng nh hng ca 3 nhn t trn n t
sut sinh li ca 6 danh mc c thit lp (c
trnh by Bng 1). Mt cch c th, 6 m hnh
ny c phng trnh nh sau:
RSL,t - Rf = pt+ p (Rmt - Rf) + spSMB +
(2)
hpHML + pt
RSM,t - Rf = pt+ p (Rmt - Rf) + spSMB +
(3)
hpHML + pt
RSH,t - Rf = pt+ p (Rmt - Rf) + spSMB +
(4)
hpHML + pt

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cc cng ty c quy m cng nh v t s BE/ME

cng ln th li nhun cng cao. Mi quan h ny
c th c gii thch l do cc cng ty c quy m
cng nh v t s BE/ME cng ln th ri ro cng

cao. Nh vy, phn li nhun chnh lch gia cc

nhm cng ty ny chnh l phn b ri ro cho cc
nh u t. iu ny hon ton ph hp vi cc l
thuyt trong ti chnh doanh nghip.

Bng 2: Cc yu t nh hng n t sut sinh li ca cc c phiu

Bin s

OLS

Hng s
Rm-Rf
SMB
HML
S quan st
R2
Kim nh F
Kim nh ARCH ( tr bng 2)
Phng trnh phng sai c iu kin GARCH (1,1)

GARCH (1,1)
-0,001
(-3,62)a
0,986
(57,29)a
0,487
(16,44)a
0,207
(8,83)a
357
0,904
1.121,50a
3,98b

-0,001
(-4,37)a
1,014
(62,18)a
0,497
(21,68)a
0,221
(11,53)a
357
0,903
550,82a
2,32E-06
(2,20)b
0,138
(4,24)a
0,820
(20,66)a

ht-1
a,b:

C ngha thng k tng ng mc 1% v 5%

Gi tr thng k t cho m hnh OLS v z cho m hnh GARCH(1,1) c trnh by trong ngoc n

Ngoi ra, kim nh s tn ti ca hin

hnh OLS.
tng phng sai sai s thay i trong m hnh,
5.2 Cc nhn t nh hng n t sut sinh
kim nh ARCH-LM c s dng trong
li ca cc c phiu trong 6 danh mc nghin cu
nghin cu ny. Kt qu kim nh cho thy, hin
o lng nh hng ca ba nhn t n t
tng phng sai sai s thay i tn ti trong d
sut
sinh li ca 6 danh mc (SH, SM, SL, BH,
liu nghin cu. V vy, m hnh GARCH(1,1)
BM,
BL) c thit lp trn, nghin cu ny
c s dng bc tip theo. Tuy nhin, kt
s
dng
m hnh hi quy a bin (OLS) vi kt
qu nghin cu c c t m hnh GARCH(1,1)
qu
c
trnh by chi tit Bng 3.
vn thng nht vi cc kt qu c c t m
Bng 3: nh hng ca cc nhn t ln t sut sinh li ca 6 danh mc
Bin s
Hng s
Rm-Rf
SMB
HML
S quan st
R2 iu chnh
Kim nh F

M hnh 2
-0,001
(-1,57)
1,022
(49,41)a
0,743
(20,88)a
0,594
(21,02)a
357
0,891
974,55a

M hnh 3
-0,002
(-3,33)a
0,941
(41,99)a
0,659
(17,07)a
0,272
(8,87)a
357
0,840
626,19a

M hnh 4
-0,002
(-2,22)b
0,985
(29,30)a
0,908
(15,70)a
-0,277
(-6,03)a
357
0,736
331,87a

a,b:C

ngha thng k tng ng mc 1%, 5%

Gi tr thng k t c trnh by trong ngoc n

66

M hnh 5
-0,003
(-3,63)a
0,647
(15,69)a
-0,372
(-5,24)a
0,699
(12,40)a
357
0,597
176,54a

M hnh 6
-0,001
(-1,61)
1,060
(39,89)a
0,052
(1,14)
0,113
(3,12)a
357
0,825
562,08a

M hnh 7
-0,001
(-3,04)a
0,967
(54,49)a
-0,194
(-6,35)a
-0,144
(-5,95)a
357
0,904
1.123,70a

Tp ch Khoa hc Trng i hc Cn Th

Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 32 (2014): 61-68

ri ro th trng, quy m cng ty v t s BE/ME.

Ngoi ra, kt qu nghin cu cn cho thy trong 6
danh mc c phn chia nghin cu ring bit,
nhn t ri ro th trng u nh hng rt ln n
t sut sinh li ca tt c cc danh mc. Nhn t quy
m cng ty c tng quan thun vi t sut sinh li
ca cc danh mc c quy m nh (S), nhng c
tng quan nghch vi t sut sinh li ca cc danh
mc c quy m ln (B). Cui cng, nhn t gi tr
cng ty (HML) ch c mi tng quan thun vi cc
danh mc c t s BE/ME cao (H) v va (M),
nhng li c tng quan nghch vi cc danh mc
c t s BE/ME thp. Vi nhng kt qu nghin cu
nh vy chng ti c th khng nh rng m hnh 3
nhn t Fama French ph hp trong vic gii
thch s thay i li nhun ca cc c phiu nim
yt trn HOSE.

Nhn t ri ro th trng (Rm Rf)

Trong 6 danh mc c thit lp nghin
cu, nhn t ri ro th trng u c tng quan
thun vi t sut sinh li ca danh mc. H s
tng quan giao ng t 0,65 (danh mc BH) n
1,06 (danh mc BM). Tt c cc h s tng quan
gia bin s ri ro th trng v t sut sinh li ca
danh mc u c ngha thng k mc 1%. Kt
qu nghin cu ny hon ton ph hp vi m hnh
CAPM khi cho rng li nhun ca cc c phiu c
tng quan t l thun vi ri ro th trng (o
lng bng h s beta).
Nhn t quy m cng ty (SMB)
Kt qu phn tch hi quy cho thy nh hng
ca nhn t quy m cng ty n t sut sinh li ca
cc danh mc c s khc nhau. i vi cc danh
mc c quy m nh (SH, SM, SL), bin s SMB c
tng quan thun vi t sut sinh li ca danh
mc. Mt cch c th, h s tng quan gia bin
SMB vi t sut sinh li ca cc danh mc SH, SM
v SL ln lt l 0,74, 0,66 v 0,91. Tuy nhin, i
vi cc danh mc c quy m ln (BH, v BL), bin
s SMB li c tng quan nghch vi t sut sinh
li ca danh mc. H s tng quan gia bin
SMB vi t sut sinh li ca cc danh mc hu ht
u c ngha thng k mc 1%, ngoi tr danh
mc BH l khng c ngha thng k.

TI LIU THAM KHO

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Nhn t gi tr cng ty (HML)

Kt qu phn tch hi quy c trnh by
Bng 3 cn cho thy rng h s tng quan gia
bin HML vi bin ph thuc tt c cc m hnh
u c ngha thng k mc 1%. Tuy nhin,
mc nh hng ca bin s HML n t sut
sinh li ca cc danh mc c s khc nhau. Danh
mc c t s BE/ME cng cao th mc nh
hng ca bin s HTM n t sut sinh li ca
danh mc cng ln. C th l, h s tng quan
gia bin HML vi t sut sinh li ca danh mc
SH v BH ln lt l 0,59 v 0,70, trong khi h s
tng quan gia bin s HML vi danh mc SM
v BM ln lt l 0,27 v 0,11. c bit l, bin
HML c tng quan nghch vi t sut sinh li ca
cc danh mc c t s BE/ME thp (danh mc SL
v BL).
6 KT LUN
Nghin cu ny cung cp nhng bng chng
thc nghim v s ph hp ca m hnh 3 nhn t
Fama French khi vn dng vo HOSE. Kt qu
nghin cu cho thy li nhun ca cc c phiu
nim yt trn HOSE c tng quan t l thun vi
67

Tp ch Khoa hc Trng i hc Cn Th

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