ve Thi QuJ & Bdi Thanh Tnic. Tsp chl Phit tnSn Kinh ti, 26(12), 69-87

Kiem dinh chien lirffc dSu tu* gia tri

theo mo hinh F-Score

tren So* Giao dich Chirng khoan TP. Ho Chi Minh V 6 THJ QUY

Tnrimg D^i hoc Quic t l - D?i hoc Quoc gia TP,HCM - vtquy@hcmiu.edu.vn

B ( J I THANH TRUC

Cflng ty c l phdn phdt Uiln nha Thii Diic - tmcbui@diuduchouse.com

Ngdy nhgn. y ^ ^ , ^ ,

14/05/2015

Ngdy nhgn lgi:

23/11/2015

Ngay duyet ddng:

12/12/2015

Ma so.

0515-G19-V09

NghiSn cim nay kiem dinh sy phii hop cua chiln luoc dku tu eo philu gia frj theo mo hinh F-Score ciia Piotroski (2002) fren Sd Giao djch Chiing khoan TP.HCM (HOSE) giai doari 2006-20)3. Kit qui cho thay diem F-Score tac d§ng cung chieu den su^t sinh ldi cOa cac co phieu gia frj; dong thdi, chien lugc nay con giiip Iim giam ti 1| c l phieu c6 sudt sinh led am; tir do gop phdn cai thiSn kha nang sinh Icri cua cac co phieu gia trj trong ca ki ddu tu 1 nSm va 2 nam, va mang lai len nhuan cao hon trong nhom cfl philu eo quy mo nho va frong ki

. dau tu ddi han (2 nam). Tae gia dS cung cap thSm cho nha diu tu mot tiSu chi don gidn de so sanh sue manh tai chinh ciia cac cfl philu gii tri va tim kiem lgi nhuan vugt miic tir viec ting dung chien lugc n^y Uen thi trudng chiing khoan VN, qua do tach biet dugc nhiing co phieu CO lgi suat tot/kem frong tuong lai dua tren viec danh gia siic manh tii chinh.

This study is conducted to test the effectiveness of strategic investment in value stocks by applying F-Seore model developed by PioUoski (2002) in Ho Chi Minh Stock Exchange (HOSE) between

_ , , , , 2006 and 2013, The research results show that F-Score has a positive impact on the return of value stocks and that F-Score strategy reduces

Chiln lugc diu tu, the fraction of stocks with negative return, which, as a result, helps c l philu gia tri, mo hinh improve the profitability of the value stocks with both one- and two-F-Score. year investment periods, especially for small-cap stocks with two-year

investment period It accordingly provides investors with simple Keywords. criteria to compare the financial health of the value stocks and earn Investment strategy, excess return by adopting this sfrategy in Vietnam's stock market, and value stocks, F-Score also helps separate overperforming stocks from underperforming model. ones.

I I I !

V3 Thl Quy & Btii Thanh Trtic Tap chl Phit Iri^n Kinh te, 26(12), 69-87

1. Gidi thieu

Nhilu nghien cim cho thdy cac co philu gia trj (he sd BM cao - Book to Market Ratio)

CO suat sinh ldi cao hon c6 philu tang tnrdng (he s6 BM thdp). Tuy nhien, Piotroski

(2002) cho rdng sudt sinh Idi vugt trgi ciia cac c6 philu gia tri chii ylu Id do dong gop

ciia mgt s6 cong ty co tinh hinh tai chinh lanh manh, cdn da phan c6n lai la cac cong ty

dang gap vdn dl kho khan vl tai chinh va cd suat sinh Id! kem. Do do, Piotroski sir dung

chiln lugc phan tich co bdn dya tren cdc chi tieu tai chinh de xdy dyng diem F-Score

nhdm ddnh gia siic manh tai chinh vd tach biet cdc co phieu co siic khoe tai chinh lot/xdu

muc dich nhdm cai thien suat sinh Idi ciia chiln lugc dau tu co phieu gia tri. Kit qua

thyc nghiem tren thi trudng My cho thay viec nam giii cdc cd phieu F-Score cao se lam

tdng 7,5%/ndm sudt sinh Idi vugt miic ciia danh muc co phieu gia tri, vd khi thyc hien

ding thdi viec mua cac c6 phieu F-Score cao va ban khong cac co philu F-Score thap

thi sudt sinh ldi vugt trgi Id 23%/nam. Day la chien lugc phan tich ca ban de phdn biet

cdc CO phiSu gia tri nham phat huy hieu qua 161 hon d cac thj trudng kem hieu qua nhir

cac thi trudng mdi noi. Sau do. Lopes va Galdi (2008), Aggarwal vd Gupta (2009),

Tantipanichkul (2011), Dosamantes (2013) tiep tuc kiem dinh chien Iugc ndy tren cac

thi trudng mdi noi.

Tai TTCK VN, Tran Minh Nggc (2011) tim thdy bang chiing cdc cd phieu vdi he so

BM cao CO sudt sinh Id! vugt trgi ban cac co phieu vdi he sd BM thdp. Tuy nhien, do

TTCK VN la thi trudng mdi noi va da phdn cac nha dau tu thieu nang lyc chuyen mon

de CO the phdn tich chuyen sau cac bdo cdo tdi chinh; vi the cdn co mgt cong cu don

gian hon giiip nhd ddu tu nay danh gid dugc siic khoe tdi chinh va chgn ra cdc cd phieu

gia tri tot md khong cdn phai tien hdnh cac budc phan tich phiic tap. Do do, viec iing

dung chiln lugc ddu tu c6 philu gia tri theo mo hinh F-Score ciia Piotroski (2002) la cdn

thilt vd phil hgp cho thj trudng chirng khoan VN. Tuy nhien, hien nay d VN chua co

nhieu nghien ciiu kilm dmh lgi nhuan ciia chiln lugc ddu tu noi tren, vi thl nghien ciiu

nay dugc thyc hien nhdm khdc phuc nhihig thilu sot ciia cdc nghien ciru lien quan.

Theo do, tdc gid tinh loan diem F-Score dua tren cdng thiic cua Piotroski va co dieu

chinh theo dac thii cua cac bdo cao tai chinh tai VN. Nghien ciiu cung thyc hien cac budc

kiem djnh thong ke de kiem djnh chiln lugc trong ki dau tu 1 va 2 ndm, ding thdi xem

xet tac dgng ciia hieu iing quy mo dli vdi chiln lugc nay. Ngoai ra, tac gid con sir dung

them mo hinh hli quy FGLS dl ddnh gid kha nang dy bao Igi nhuan ciia dilm F-Score.

V3 Thl Qu^ & Bdi Thanh True, Tap chi Phit tridn Kinh ti, 26(12), 69-87 / 1

2. Cor Cff H thuyet va phuong phap nghien cuu

2.1. Ca sail thuyit

2.1.1. Chien lugc dau tu c6 philu gid tri

Nhieu nghien ciiu cho thdy co philu gid tri co lgi nhudn vugt trgi so vdi co philu tang trudng (Debondt & Thaler, 1987; Fama & Freeh, 1995, 1998; Lakonishok & cgng sy, 1994).

Cd nhieu he so dugc sii dung de phan biet giiia co phieu gia tri vd cd philu tang

trudng. Thdng thudng, co phieu gid tri la nhQng co phieu cd h8 s6 gia tri s6 sach tren gia

tri thi trudng (BM), thu nhap tren gia c6 philu (E/P), ddng lien tren gia c6 philu (CFI?),

hoac CO tuc trSn gia co phieu (D/P) cao. Ngugc lai, co phieu tang trudng la nhung c6

phieu cd cac he s6 BM, E/P, va CF/P hodc D/P thdp. Tuy nhien, dya tren nhilu bdng

chung thyc nghiem ve dnh hudng ciia he s6 BM din lgi nhuan ciia c6 phieu, dac biet Id

trong cdc nghien ciiu ve mo hinh ba nhdn to ciia Fama vd French (cdn dugc bilt den nhu

la "hieu iing gid tri"), cgng dong hgc thuat thudng sii dung he sd BM lam dai dien de

phdn biet giiia co phieu gia trj va cd philu tang trudng, cd phieu co he so BM cao (thdp)

la CO phieu gia tri (tang trudng).

Cd hai trudng phai chinh giai thich cho lgi nhuan vugt trgi ciia cd phieu c6 he so BM

cao: Fama va French (1995) phdn tich theo yeu to nii ro cho rang phan bii rui ro ciia co

phieu gia tri cao ban co phieu tang trudng. Fama va French giai thich do nhd ddu tu doi

hoi mgt miic sinh Idi cao han dl bao hiem cho nhiing nii ro khi nam giii cac cd phieu

nay bdi vi day Id nhiing cong ty thudng gap khd khan ve tinh hlnh tdi chinh va c6 sudt

sinh Idi kem. Mat khdc, De Bondt vd Thaler (1987), Lakonishok va cgng sy (1994) lai

gidi thich theo thuylt hanh vi: Chenh lech lgi nhuan giu:a 2 nhom cd phieu nay la do nhd

ddu tu thudng dung dir lieu lich sii dl ddnh gia ttiln vgng tucmg lai, ma nhiing co phieu

gia tri thucmg cd hieu qua kem trong qua khii so vdi cdc c6 phieu tang trudng. Do do,

nha ddu tu thudng phong dai (hoac qud bi quan) ve ki vgng tuong lai ciia nhom co phieu

tang trudng (hoac co philu gia tri), dieu ndy dan den viec djnh gia qua thap (qua cao)

ddi vdi c6 philu gia tri (tang trudng).

2.1.2. Chiln lugc phan tich co bdn

Nhilu nghien ciiu da tap trung khai thac lgi ich trong viec phdn tich cac chi so tai

chinh trong viec danb gia siic khoe tdi chinh ciia cong ty; tir do xem xet moi quan he

eiiia cac chi s6 nay vdi kha nang du bdo suat sinh ldi ciia co phieu.

V5 Thl Qu? & Bfn Thanh Trtc, Tgp chl PhSt tri^n Kinh t^, 25(12), 69-87

Lev vd Thiagarajan (1993) phan tich mli quan he gii^a 12 chi tieu tai chinh thudng

dugc sii dung vdi lgi nhudn tuong lai cua cl phieu. Abarbanell va Bushee (1998) phat

hien chien lugc tao ra Igi nhuan bdt thudng khi phdn tich 9 chi tieu tac dgng nhilu nhat

din lgi nhudn ciia co philu; cac tac gia nay nhdn thly nhieu thong tin tai chfnh dd khong

dugc xem xet day du trong dy bao ciia gidi phan tich, thudng dan din tinh trgng thong

tin phan iing cham vao gia cl philu va c l philu bi djnh gia thap.

Mgt s6 nghien cuu khac thi xem xet lgi nhuan bat thudng dya tren mgt vai lieu chi

tai chinh nhat dinh nhu Sloan (1996) phat hien ra moi quan he nghich biln giQ-a Igi nhup

kl loan don tich vd suat sinh ldi ciia co phieu; Loughran va Ritter (1995) tim thay sy tac

dgng cua viec phat hanh them dli vdi lgi nhuan co phieu; Chan, Jegadeesh va

Lakonishok (1996) nghien ciiu vl chiln lugc thuan xu the; Banz (1981), Fama vd French

(1995) phat hien ra nhihig c6 philu co quy mo von hoa nhd co Igi nhuan cao han cdc co

phieu CO quy mo von hod Idn (hieu iing quy mo).

2.1.3. Chiln lugc ddu Ur F-Score ciia Piofroski (2002)

Piotroski (2002) nghien ciiu tai thi trudng M5 vd nhdn thdy mac dii cac co philu BM

cao CO lgi suat cao ban cac co phieu BM thap nhung lai cd ban 57% co phieu co lgi suat

am trong 2 ndm tiep theo. D6ng quan diem vdi Fama va Freeh (1995), Piotroski (2002)

cho rang da phan cac co phieu gia tri gap tinb trang khon kho tai chinh, lien quan den

viec suy giam bien lgi nhuan, dong tien, thanh khoan thap va gia tang hoac co don bdy

tai chi'nh d miic cao. Piotroski (2002) phdn tich cdc chi sd tdi chinh de ddnh gid vd tach

biet nhirng c l phieu c6 tinh hinh tdi chinh lanh manh/ylu kem nhdm cai thien suat sinh

Idi ciia cdc cl phieu gia tri; ddng thdi xay dung mgt chi tieu tong hgp de danh gia siic

manh tai chinh la diem F-Score; theo do, nhiing cong ty co diem F-Score cao (8-9) la

nhiing cong ty khoe manh va nhiing cong ty c6 diem F-Score thap (0-1) la nhiing cong

ty gap khon kho tai chinh vd co kha nang pha san.

Ket qua nghien ciiu khang dinh khi viec nam giii cac co phieu F-Score cao se giup

tang 7,5% Igi nhuan hang nam va lam giam ti le co phieu cd lgi sudt dm trong danh muc.

Chiln lugc mua nhung cl philu gia tri F-Score cao dong thdi ban khing c6 philu F-

Score thdp tao ra suat sinh Idi vugt miic 23%/ndm, hcm nua chiln lugc ddu tu nay mang

lai lgi nhudn cao nhat d nhom cong ty co quy mo v6n hod nho (27%/ndm); ngodi ra, ong

ciing chiing minh dugc diem F-Score c6 quan he cimg chieu vdi sudt sinh ldi trong tuang

lai ciia co phieu.

va Thi Qui- & Bfli Thanh Tnic Tap chl Phit triin Kinh ti, 26(12), 69-87

2.1.4. Nguyen tdc xay dung dilm F-Score

De xdy dyng diem F-Score, tdc gia sir dung 9 chi tieu tai chinh co ban lien quan den

3 khia canh gom: Khd nang sinh idi, co cdu vin/thanh khoan, va hieu qua hoat dgng theo

de xudt cua Piotroski (2002); trong do, viec tinh toan cac chi tieu ndy co dilu chinh cho

phil hgp vdi d^c thu bao cao tai chinh tai VN.

Diem F-Score nhan gia tri tur 0 den 9, la ting ciia 9 biln nhi phdn dugc biln doi tir 9

bien tai chinh ca ban. Vdi moi bien tai chinh dugc tinh loan se dugc ddnh gia la "tot"

(nhan gia tri 1) hoac "xau" (nhan gid tri 0), tiiy thugc vdo y nghTa ciia no doi vdi gid ca

CO philu va lgi nhuan ciia cong ty trong tuong lai, cac quy tdc danh gid ndy dugc xem

xet dya tren dac di8m ciia mgt cong ty dang gap tinh trang khd khan tai chinh.

Nhom chi tieu khd ndng sinh lai gom: Ti sudt Igi nhudn tren tai san (ROA), sy thay

doi ti sudt Igi nhuan tren tai san (AROA), dong tiln rong boat dgng kinh doanh tren tong

tai san (CFO), va he s6 ke toan din tich tren tdng tdi sdn (ACCRUAL). ROA va CFO

ciia doanh nghiep Idn hon 0, Id tin hieu tdt cho thay cdng ty c6 khd ndng tao ra nguon

quy ngi bg trong tuong lai, nhdt Id doi vdi cac cong ty dang gap kho khdn; tuong ty,

AROA duong cho thay cong ty da cai thien khd nang sinh Idi so vdi nam trudc ddy Id tin

hieu tot dugc gan gia tri 1. B iin ACCRUAL duang tiic la Igi nhuan rong Idn hon dong

tiln rdng tir hoat dgng kinh doanh, dugc xem la mgt tin hieu "xau" doi vdi cac cong ty

dang gap khon khd tai chinh. Theo Sloan (1996), lgi nhuan kl loan din tich ducmg la tin

hieu cho thdy lgi nhuan nam sau se thdp hon hoac viec qudn Ii Igi nhuan rong kem hieu

qua.

Nhom chi tieu ca cdu vdn/thanh khodn bao gom: Sy thay ddi he so ng (ALEVER), su

thay doi ti sd thanh khoan (ALIQUID), vd phat bdnh them co phieu (E(^OFFER).

Piotroski cho rdng ddi vdi cdc cong ty dang gap khon kho tdi chinh thi viec gia tang he

so ng (ALEVER > 0) se lam nguon v6n ngi bg ciia cong ty khong dii dap iing cac nhu

cdu, va lam tdng them riii ro tdi chinb, day la tin hieu xdu; ngugc lai, viec cai thien he so

thanh toan hien hdnh (ALIQUID > 0) trong dilu kien cong ty dang gap kho khan la mgt

tin hieu tot cho thdy khd nang dap iing cdc khoan ng hien tai. Va neu cong ty phdt hdnh

them CO philu (E(2_0FFER >0) trong nam (dli vdi cac cong ty dang gap kho khan tai

chinh) cho thdy hg dang thieu von, ban niia phat hanh co phieu trong khi gid co phieu

tren thi truemg dang xudng doc (he so BM cao) se Idm chi phi von tang cao va lam tdng

nii ro cho cong ty.

v a Thl Quy & Bill Thanh True Tap chi Phai triSn Kinh ti, 26(12), 69-87

Nhdm chi tieu hieu qud hogt dong gim: Sy thay doi bien Igi nhudn (AMARGIN) va

sy thay doi vong quay tdi sdn (ATURN); hai chi so nay khd quan trgng vi nd Id 2 nhan

t i anh hudng din ROA. Khi cong ty cdi thi?n bi£n Igi nhuan ggp (AMARGIN > 0) la

mgt tin hieu tot, do cong ty da giam chi phi gia von hodc tang doanh thu, cho thay tilm

nang ttong viec nang cao hieu qud hoat d6ng. Con vong quay ting tai sdn tang (ATURN

> 0) cho thay hieu suat su dung tai san cua cong ty gia tang, cd the phat sinh tir cac hoat

dgng hi6u qud han (sii dung it tai san ban nhung tao ra cimg mgt miic doanh thu) hoac

la do tang doanh thu ban hdng, ddy cung Id mgt tin hieu tot.

Quy udc cdc biln nhi phdn (gid tti 1 hoac 0) ciia 9 bien tai chinh co ban se dugc them

lien t l "FJ ' phfa trudc dl phdn biet, va F-Score dugc tinh bang cdng thiic:

F-Score = F_ROA + F_ AROA + F_CFO + F_ ACCRUAL + F_ AMARGIN +

F_ATURN + F_ ALEVER + F^ ALIQUID + F_EQ_OFFER.

Cach tfnh cdc biln nghien cuu, vd biln nbi phan dugc trinh bay trong Bang 1.

Bangl

Cong thiic tfnh cac chi lieu tdi chinh va bien nhj phdn

Piofroski Sll dung chi tieu "Lai nhuan sau thue truac cac khodn muc bat thirdng", nhung cac bao cao tai chinh VN khong co rauc nay nen chi tieu "Lai nhudn sau thul" dugc su dung de thay the cho hang muc nay fl cac cflng thuc tinh.

ROA Lgi nhuan sau thue (t)/T6ng tai san cufli nam ROA> 0 •^F_ROA =1 (t-1) (ngugc l?i la 0)

Dong tiln rong hoat dflng kinh doanh (t)/tlng CFO > 0 ->F_CF0 = 1 tai san culi nam (t-1) (ngugc lai la 0)

ROA(t)-ROA(t-l) AROA> 0 -»F_AROA =1 (ngugc lai la 0)

(Lgi nhuan sau thue (t) - Dong tien rong ho^t ACCRUAL dgng kinh doanh (t))/ Tflng tai san culi nSm

(t-1)

ACCRUAL< 0 -»F_ACCRUAL = 1 (nguac lai la 0)

AMARGIN ^^^' "^"^" ^ P (t))/(Doanh thu thudn (t)) AMARGIN > 0 -> F_AMARGIN (Lgi nhuan gflp (t-l))/(Doanh thu thuSn (t-1)) = 1 (ngugc lai la 0)

(Doanh thu thuSn (t))/(T8ng tai san binh quan (t)) - (Doanh thu thuan (t-1 ))/(Tlng tai san binh quan (t-!))

ATURN> 0 -> F_ATURN= 1 (ngugc lai la 0)

v a Thi Qu? &. B£ii Thanh Tnic Tap chl Phit tri^n Kinh te, 26(12), 69-87

(Ng vay dai han (t))/(Tlng tai sdn binh qudn (t)) - (Nff vay dai han (t-l))/(T6ng tdi san

ALEVER bhih quan (t-1))

Na vay ddi hgn bao gdm them khodn muc no vay ddi han den hgn thanh todn

A LEVER< 0 -» F_ALEVER = (ngugc l i la 0)

(Tdi sdn ngan ban (t))/(Ng phai fra ngan han ALIQUID (I)) - (T^ san ngin han (t-l))/(Ng phai tra

ngin han (t-1))

ALIQUID> 0 -> F_ALIQUID = 1 (ngugc l i Id 0)

E(3_OFFER Von dilu le (t) - Von dilu lfi (t-1) EQ_OFFER > 0 -» F_ EQOFFER - 0 (ngugc lai la 1)

2.2. Dit lieu vd mdu nghien ciiu

Danh muc dau tu dugc thilt lap vao ngay giao djch dau tien ciia thang thii 5 ciia nam,

cu the tir thang 5/2006-5/2013'; cac co phieu dugc Iya chgn phai dap iing dii cdc lieu

chi nhu: Niem yet tten HOSE co day du dii lieu bao cdo tai chinh^ ciia 3 nam trudc dd,

gid dong cira^, khoi lugng giao dich^ tai ngay lap danh muc; khong phai la co phieu thugc

nhom nganh tai chinh - ngan hang, va phdi co thdi gian giao dich ttong qud khii tir I nam

trd Ien. Thoa man cac tieu chf tren co tong cgng 1.219 quan sat theo nam, quy md von

hod MVE'', he s6 BM^ cua tdt cd cdc co philu da chgn dugc tfnh toan va phdn loai theo

tieu chf BM va MVE hang nam nhu sau:

- 1/3 CO philu cd he s6 BM cao nhat la cdc cd philu gia tri, 1/3 BM thap nhdt la cac

cd phieu tdng trudng*.

- MVE dugc phan Ioai vdo 3 nhom nhu sau: 1/3 co philu cd MVE ldn nhdt la nhom

cd philu ldn (Large), 1/3 MVE nhd nhat la nhom cd phieu nho (Small), nhom con lai Id

CO philu trung binh (Medium).

Mdu nghien ciiu dugc chgn tir 1.219 quan sdt giai doan 2006-2013 la danh muc top

1/3 CO phieu co he s6 BM cao nhdt theo tirng nam (danh muc co phieu gia tri). Mdu

nghien cuu cho 2 ki ddu tu I nam va 2 ndm bao gom danh muc c6 phieu gia tti ki ddu tu

I nam (lap danh muc 2006-2013) cd 410 quan sat; va danh muc co phieu gia tri ki ddu

tu 2 nam (ldp danh muc tir 2006-2012) co 304 quan sat.

Cac chi tieu tai chfnh, diem F-Score, lgi nhudn mua va nam giii^, lgi nhudn dieu chinh

thi trudng^ dugc tfnh toan tir 2 mdu nghien ciiu tten, vdi cdc co philu bi huy niem yet

v s Thl Qu? & BCii Thanh Trtc, Tjp chi Phit (nSn Kinh t i , 26(12), 69-87

hoac chuyin san sau thdi dilm lap danh muc gia ddng ciia tai ngay giao djch culi ciing

dugc xem nhu la gia dong ciia cuoi ki.

Nghien ciiu sir dung cdc phuong phap dinh lugng gom: Thong ke m6 td ngu phan vi,

kilm dinh t-test cho chenh lech gia tri trung binh mau, kilm dinh phi tham so Wilcoxon

Mann Whitney (kilm dinh U) cho chenh lech gia tti trung vi 2 mlu, kilm dinh ti le 2

mau, phuang phap kiem djnh Bootstrap (diing cho kiem dinh chenh Ifich gia trj trung

blnh vd trung vi trong trudng hgp cac mau co phan phoi khong chuan); ngoai ra trong

viec kiem dinh mo hinh hoi quy de xem xet kha nang dy bao Igi nhu^n ciia dilm F-

Score, tac gia con van dung them mo hinh FGLS la mo hinh hoi quy vdi sai sd chuan

manh (Heteroskedasticity-Robust Standard Error) da dugc sir dung ttong nghien ciiu ciia

Lopes vd Galdi (2008) hay Dosamantes (2013).

3. Ket qua va thao ludn

3.1. Khd ndng sinh lai vd dgc diem tdi chinh cd phiiu gid tri

Bang 2 cho thdy co phieu gia tri co Igi nhudn vugt miic trung binh (trung vi) cao han

0,5% (5,9%) so vdi co phieu tdng trudng sau 1 ndm lap danh muc, chi co 48,5% cl phieu

gid tri CO Igi nhuan vugt miic duong. Kit qud nay iing hg quan dilm ciia Piotroski (2002)

khi cho rdng chi co mgt so it co phieu gia trj c6 kha nang sinh ldi that sy tot con phan

Idn CO phieu BM cao Id nhung co phieu co khd nang sinh Idi kem, do chung thudng co

tinh hinh tai chfnh kho khan, lien quan din viec suy giam bien Igi nhu^n, dong tien,

thanh khodn thdp, gia tang don bay tai chinh,

Ket qud thong ke cac chi tieu tai chinh cho thdy co philu gia tri co hieu qua kinh doanh thdp vd bi giam siit trong nam trudc, cu thl ROA trung binh (trung vj) Id 3,2% (2,5%) thdp ban nhilu so vdi cl philu tang ttudng (tuang iing la 15,4% va 13,6%). Cac CO phieu gid tri deu c6 ROA giam sul so vdi nam trudc, chi co 28,5% c6 phieu co ROA tdng (ti le nay d nhom cl philu tang trudng Id 44,68%). Hon niia, cdc chi s6 nhu bien Igi nhudn ggp (AMARGIN), vong quay ting tai san (ATURN), vd khd ndng thanh kboan (ALIQUID) ciing giam siit, kem hieu qua hcm so vdi nhom c6 philu tang trudng; Tuy nhien, khong co ddu hieu cua sy gia tang ti le ng dai han; vd da s6 cdc cl philu gid tn la nhimg CO phieu co quy mo von hoa nho, nho ban rdt nhilu so vdi nhom cl philu tdng trudng.

V8 Thi Qu? & Bii Thanh Trtc Tap chi Phit tnin Kinh le, 26(12), 69-87

Bang 2

Kha nang sinh ldi va cac dac diem tai chfnh ciia cd philu gia tti ki dau tu 1 nam

MARl

MVE«

BM

ROA

AROA

CFOA

ACCRUAL

AMARGIN

. ATURN

ALEVER

ALIQUID

Tning binh

(IVlean)

0,057

264,09

1,96

0,032

-0,026

0,031

0,000

-0,013

-0,099

-0,007

-0,067

Co phiiu gia tri

Trung vi (Median)

-0,016

153,19

1,81

0,025

-0,014

0,020

-0,002

-0,006

-0,030

0,000

-0,045

MARI: Suit sinh loi di6u chinii thi trirong

MVE*: Gia tri

Ti Ie CO phieu CO

gia tri duong

(%) 0,485

0,836

0,285

0,582

0,492

0,434

0,402

0,297

0,439

ici ban 1 nam

v6n hoa don vj tfnh la ti dong.

C6

Trung binb

(IVIean)

0,052

3.687,62

0,576

0,154

-0,022

0,105

0,049

-0,014

-0,033

0,004

-0,110

phieu tang trudng

Trung vi (Median)

-0,075

742,72

0,560

0,136

-0,006

0,096

0,046

-0,004

-0,007

0,000

-0,030

Ti le c6 pbieu CO

gia tri duong

(%) 0,446

0,968

0,448

0,704

0,614

0,461

0,480

0,300

0,463

Kit qua cho thdy viec irng dung chien lugc F-Score ciia Piotroski (2002) bang cdch

sir dung phdn ti'ch tai chinh ca ban de phdn loai cdc co phieu gid tti c6 tinh hinh tai chfnh

tot/xdu nhdm cai thien suat sinh Idi cua cl phieu gia tti la hoan loan phii hgp tai thj

trudng VN. Chiln lugc ndy se dugc xem xet trong dai han cho ca 2 ki ddu tu 1 va 2 nam

d phan tilp theo.

? & Bill Thanh Triic. Tgp chi Phat triln Kinh te, 26(12), 69-87

3.2. Sudt sinh lai cua chien luac ddu tu F-Score

Sudt sinh Idi cua chiln lugc F-Score ttong ki dau tu 1 nam sau ngay lap danh muc

dugc trinh bay ttong Bang 3, trong do lgi nhudn ciia co philu dugc trinh bay theo thing

ke ngu phan vj cho timg dilm F-Score. Ki hieu "Low Score" la nhdm F-Score thdp (<3);

vd "High Score" la nhom F-Score cao (>6); ki bleu "AU" Id dai dien cho todn bg 410 cl

phieu gia tri; "High-All" Id chenh lech lgi nhuan vugt miic giiia nhom co phieu gia hi

CO F-Score cao va todn bg cl philu gia tti; "High-Low" la chenh lech Igi nhudn giira

nhom F-Score cao vd nhom F-Score thap.

Bang 3

Lgi nhuan vugt miic ki dau tu 1 ndm theo chiln Iugc F-Score

Ti le CO Trung phieu co

Phan vi Phan vi Trung vi Phan vi Phdn vi . . . Chi tieu binh ,„„, ^^„, ' ^. ^. ' ^^„, ' „„„, ' lai nhuan n

10% 25% (Median) 75% 90% (Mean) duang

(%) F-Score

1

2

3

4

5

6

7

8

Ail

Low Score

High Score

High-Ali

p-vaiue

-0,240

-0,072

0,141

0,032

0,090

0,023

0,061

0,057

0,057

-0,101

0,060

0,003

-0,529

-0,482

-0,465

-0,479

-0,523

-0,565

-0,423

-0,399

-0,482

-0,482

-0,423

0,059

-0,308

-0,316

-0,187

-0,370

-0,266

-0,243

-0,144

-0,243

-0,290

-0,308

-0,156

0,134

-0,255

-0,093

0,051

-0,077

-0,020

0,016

0,041

0,031

-0,016

-0,132

0,038

0,054

-0,148

0,155

0,422

0,247

0,360

0,319

0,232

0,171

0,267

0,083

0,224

-0,043

0,104

0,355

0,831

0,558

0,818

0,583

0,424

0,401

0,630

0,328

0,424

-0,206

0,142

0,352

0,532

0,416

0,485

0,526

0,558

0,619

0,485

0,317

0,578

-0,093

0,083

7

34

77

72

99

57

43

21

410

41

64

v e Thl Quy & Bui Thanh Trtc Tap chi Phat iriSn Kinh te, 26(12), 69-87

0,170

0,032

0,141 0,096 0,261

0,004

Ti le CO

Trung „ , , . , philu c6 Chi tieu binh ^ ' ^ ^ ^ Ph^"^' "^^g^ ' P*^^" ' Ph^"^^ lgi nhuan

,- . , 10% 25% (Median) 75% 90% ^, '

(Mean) ^ ' duong

(%) Bootsttap

p-value

High-Low 0,161 0,059 0,1

p-value 0,015

Bootstrap p-value 0,021 0,039

Trong giai doan 2006-2013 tai sdn HOSE, cac co phieu gid tti co diem F-Score lit 1

den 8, khdng cd gid tti 0 va 9 nhu cua Piottoski (2002) tai My, va hdu het phan bo chii

yeu tir 3 din 6 dilm. Co khoang 25,6% cac co phieu gia tri thugc nhom F-Score<3 hodc

F-Score >6, ddy la 2 nhdm cd sy tuong phan Idn ve siic manh tdi chfnh. Trong nghien

cihl cua Piottoski ti le co phieu F-Score thdp Id 2,8% vd cao la 10,3%.

Nhin chung, lgi nhudn trung binh vd ti le co phieu c6 lgi nhudn duong c6 xu hudng

tdng theo diem F-Score, sy khdc biet cang ro net giua nhom Low Score vd High Score.

Nhom Low Score CO Igi nhuan trung binh (trung vi) Id-10,1% (-13,2%) ttong khi nhom

High Score la 6% (3,8%) tuong ung.

Chiln lugc mua cac co pbilu High Score dong thdi bdn khong cl phieu Low Score

(High - Low) tao ra lgi nhuan vugt miic trung binh (trung vi) la 16,1% (17%), (p-value

=5%)), lgi nhuan nay cao hon so vol danh muc co phieu gid tri. Mat khac ti le co phieu

cd lgi nhuan duong cua nhom High Score cao hon 26,l%i so vdi nhom Low Score (p-

value =1%>); vd cao han danh muc c6 phieu gid tri 9,3% (p-value ^10%). Nhu vdy viec

chon lua cac cd philu High Score da lam gidm ti Ie cdc co phieu gia tri co lgi sudt dm,

noi cdch khac chiln lugc F-Score giiip dich chuyen phdn phoi lgi nhudn ciia cdc co philu

gid tri vl ben phai.

Khdc vdi kit qua ciia Piotroski (2002), chenh lech lgi nhudn High-All khong co y

nehla thong ke trong ki ban 1 nam tai HOSE; dieu ndy co the dugc giai thich do chenh

lech High-All Id dm trong phan vi tir 75% trd len da ddn din viec bac bo gid thuylt cho

rdng chenh lech High- All Id so duong. Phdn tich sdu han bg dii lieu thdy chenh lech

Vfl Thl Qu? & Bin Thanh Trtc Tap chi Phat (ri^n Kmh t^, 26(12), 69-87

High-All d phdn vi tir 75% trd len bi am Id do: Cac c6 philu gia tti thugc top 25% co

philu CO sudt sinh Idi cao nhdt chii ylu tap trung trong nam 2009 va 2013. Cac co phieu

trong 2 nam lap danh muc nay co dac trung la mac dii suat sinh Idi cao nhung chi co

khoang 12% co philu la cd dilm F-Score cao. Do trong 2 thdi diem nay nen kinh te VN

nhilu biln dgng, chinh sach dilu hanh mang tinh ngdn ban (nam 2009 bien phap kfch

cdu manh me sau giai doan khiing hodng, va giai doan cuoi nam 2012 dau 2013 Chfnh

phil ban hanh nhilu chinh sach kich cdu kinh te, giai quyet ton kho, ng xau v.v..). Va thi

trudng cl philu bj tdc dgng bdi tdm li ngdn han tii cac ki vgng qua miic vao chinh sach

h6 trg cua Chinh phii hon la tap trung danh gid siic manh tdi chinh ngi t^i ciia cong ty

ddn din tinh trang nhien co phieu co Igi nhuan cao nhung tinh hinh kinh doanh khong

that sy tot hoac kem.

Bang 4

Kilm dinh chien lugc F-Score ttong ki ddu tu 2 nam

Ti le CO

Trung • r.1.- • -r ni.- • r.u- • philu CO „ ., , . Phan VI Phan VI Tning vi Phan vi Phan vi Chitieu bmh ,„„_, ^^„^ „ . ,. , „ ,„ , ' „„„, ' ainhuan n

„ , ^ 10% 25% (Median) 75% 90% (Mean) duong

(%) All -0,024 -0,653 -0,422 -0,133 0,296 0,812 0,384 304

Low Score -0,232 -0,696 -0,580 -0,338 -0,006 0,196 0,242 33

High Score 0,181 -0,416 -0,313 0,025 0,516 0,841 0,500 52

-0,237 -0,109 -0,158 -0,220 -0,029 -0,115

0,023 0,058

0,363 0,522 0,645 0,257

0,000 0,009

Bdng 4 cho thdy chien lugc F-Score trong kl ddu tu 2 nam cd sudt sinh Idi tdt hon

hdn so vdi ki dau tu I nam; chenh lech Igi nhuan trung binh (trung vi) High-Low la

High-Ail

p-value

p-value

High-Low

p-value

-0,205

0,021

0,020

0,413

0,000

ve Thi Qu? & Bdi Thanh Trtc T«) chi PhSt tnSn Kinh ti, 26(12), 69-87

41,3% (36,3%) va chenh lech Igi nhuan High-All la 20,5% (15,8%), tat ca lgi nhudn diu

rat cao va cd y nghia thdng ke (ttir d ki ddu tu 1 nam chenh lech All-High khong co y

nghTa thong ke). Tuong ty nhu vdy, chenh I$ch ti Ie c6 philu co sudt sinh Idi duong giiia

nhom High-Low la 25,7%, va nhom High-All la 11,5% (co y nghTa thing ke).

Sudt sinh ldi vugt ttgi cua chien Iugc F-Score ttong ki ddu tu 2 ndm co thl dugc gidi

thich vi sau 2 nam sudt sinh Idi ciia cac c6 philu gid tti tren HOSE suy giam manh (trung

binh va trung vi deu am), chi co 38,4% co philu co Igi nhuan duang, chfnh vi thl chien

lugc F-Score phdt huy tac dung manh hon trong viec giiip sdng Igc dugc nhiing co phieu

tot tli da phan cdc cd phieu xau, do do muc do chenh lech Igi nhudn giiia cdc nhom danh

muc gia tang dang ke. Nhu vdy, ket qua nay tucmg dong vdi quan diem cho rang cac tin

hieu lai chfnh phan iing chdm len gid cua cac c6 phieu gia tri tai cdc thj trudng kem hieu

qud, nen chien lugc F-Score mang lai suat sinh ldi cao hon ttong dai ban nhu da dugc

neu len trudc dd trong nghien ciin cua Piotroski (2002) vd Lopes & Galdi (2008).

Hieu ung quy mo vd chien luac ddu tu F-Score

Muc dfch thii hai ciia nghien ciiu la xem xet suat sinh ldi cua chien lugc F-Score cd

bi anh hudng theo nhdm quy md khong, ket qua dugc trinh bay tdm tat ttong Bang 5a

va Bang 5b cho ki dau tu 1 nam va 2 nam.

Bang 5a

Kiem dinh chien Iugc F-Score theo quy md ttong ki dau tu 1 nam

Large Medium

Lgi Trung _ Trung

. . . . , L Trung VI Trung vi n nhuan bbih , , , ., , N bmh

(Median) , . , , (Median) (Mean) ^ (Mean)

Small

Trung Trung VI

binh (Median)

(Mean)

All -0,009

Low Score -0,213

High Score 0,113

High-All 0,122

p-value

Bootsttap

p-value

-0,119

-0,110

-0,114

0,005

0,090 0,054 132 0,050 -0,049 230

0,001 0,001 13 -0,128 -0,254 21

0,074 0,053 22 0,038 0,032 34

-0,015 -0,001 -0,012 0,081

High-Low 0,326

e Thl Qu? & Bill Thanh Trtc Tap chi Phit aiin Kinh ti. 26(12), 69-87

Medium Large

Lgi nhuan ^™"S TnMgvi , , ;™°^ Tnrugvi ^ "•^ (Median) ^ ^ ' * , (Median) "

' (Mean) (Mean) (Mean)

Trung

(Mean)

Trung vj (Median)

p-value

Bootstrap

p-value

Bang 5b Kiem dinh chiln lugc F-Score theo quy mo trong ki dau tu 2 nam

Large

Trung

(Mean)

Trung vi (Median)

Trung Trung vi

binh .. ^ N (Median)

Trung

(Mean)

Trung vi (Median)

All

Low Score

High Score

All-High

p-vaiue

-0,081

-0,312

-0,138

0,057

-0,175

-0,329

-0,325

0,150

37

6

7

0,028

-0,173

0,302

-0,274

0,046

-0,089

-0,196

0,196

-0,285

0,056

96

-18

-0,041

-0,243

0,182

-0,224

0,067

-0,137

-0,449

-0,041

-0,096

0,075

171

16

27

p-vaiue

High-Low 0,174

p-value

0,475

0,009

0,392

0,034

0,426

0,022

0,408

0,006

p-value

Phan Ion co phieu gia trj la nhung co phieu CO quy mo nho, trong lei dau tu 1 nam co den 230 co phieu nho (56,09%) va rat it cong ty co quy mfi Ion (48 c6 phieu chiem 11,7%).

Bang 5a cho thay lgi nhuan 1 nam ciia cac c6 phi8u gia tri tap trung chli y6u cr nhom

CO quy mo nho. Chi co chien lugc High-Low a nhom quy mo nho la co y nghta thong

ke, v' mang lai lgi sujt cao nhat.

va Thl Qu? & Bill Thanh Trtc, Tap chi Phit triSn Kinh te. 26(12), 69-87

Trong ki ddu tu 2 nam, chien lugc F-Score cd sudt sinh Idi tdt hon va c6 y nghta thing

ke trong ca 2 nhdm Medium va Small. Chiln lugc High-Low cho Igi nhuan vugt muc

frung binh (tnmg vj) la 47,5% (39,2%) doi vdi nhom quy mo tmng binh va 42,6%

(40,8%i) doi vdi nhom quy mo nho. Va chiln lugc chi mua High Score ciing lam tang

Igi nhuan trung binh ciia danh muc c l philu gid tri la 28,5% vdi nhom Medium va 22,4%

vdi nhdm Small; nhu vdy, co xay ra hieu iing quy mo trong chiln lugc ddu tu F-Score

nhu cac nghien ciiu trudc do.

Khd ndng du bdo lai nhudn c6 phiiu cua diim F-Score

Theo Piotroski (2002), ngoai nhdn td Id dilm F-Score thi Igi nhuan ciia cdc co phieu

CO thl cdn chiu sy tac dgng bdi cac ylu 16 khac nhu: Nhdn to suat sinh ldi trong qua khii

(chiln lugc thuan xu the ciia Chan, Jegadeesh & Lakonishok, 1996); yeu to Igi nhudn ke

toan ddn tfch (Sloan, 1996) hay viec phat hanh them von cd phdn (Loughran& Ritter,

1995); hieu iing gia trj va hieu iing quy mo (Fama & French, 1995). Do dd, dl kiem tta

miic do tdc dgng ciia diem F-Score doi vdi lgi nhuan vugt miic ttong tuong lai cua co

philu cung can phdi kiem sodt va tach biet miic do dnh hudng ciia cac nhan to khac den

Igi nhuan, nen can dua them mgt so bien nhan td nay vdo mo hinh hoi quy. Vi the, bien

phu thugc (MARl) la lgi sudt vugt miic 1 nam, va cac bien gidi thich lan lugt Id: Quy

mo (MVE), BM, suat sinh Idi trong qua khii 6 thdng trudc (MOMENT), Igi nhudn kl

todn din tich tren gia tri tdi san (ACCRUAL), co phat hdnh them cd phdn (biln gia

EQ_OFFER = 0), va diem F-Score. Mo hinh co dang long qudt:

MARl = a + p,log(MVE) + ji2log(BM) + (isMOMENT + ACCRUAL +

psEQJDFFER + peF-Score.

Tuang ty Lopes & Galdi (2008) va Dosamantes (2013), md hinh hli quy FGLS

(Heteroskedasticity-Robust Standard Error) dugc sir dung dl kilm dinh cdc mli quan he

tten, vl day la mo hinh hl i quy vdi sai s6 chudn manh de khac phuc cdc nhugc diem ciia

phuong sai khong d6ng nhdt co thl dugc tao ra bdi cdc Outliers.

v a Thi Qu? & BCri Thanh Trtc Tap chi Phat trien Kmh t^. 26(12), 69-87

Bang 6

Kit qua tdm tdt phan tfch mo hinh hdi quy FGLS

Model

(1)

(P-value)

(2)

(P-value)

Intercept

-0,261

-0,170

logMVE

0,028

-0,017

logBM

0,634

(0,000)

0,712

(0,004)

MOMENT

0,043

ACCRUAL

0,186

EQ_OFFER

-0,162

(0,006)

F-Score

0,023

(0,063)

0,046

(0,003)

R=

0,07S

0,096

Cac mo htnh hoi quy da bien chi ra diem F-Score co quan he tucmg quan duong (cc

y nghia thdng ke) voi lgi nhuan v u g t mijrc c6 phi6u 1 n a m sau do , sau khi da ki6m soat

cac nhan to co kha nang tac dong khac.

iVlo hinh (1) cho thay sau khi kiam soat s u khac biet ciia quy m o va he s6 B M thi khi

diem F-Score tang 1 diem suat sinh loi v u g t miic cOa c6 p h i l u gia tri 1 nam sau 66 se

tang 2 , 3 % (p-value 10%). Va sau khi k i l m soat them cac nhan td lien quan khac

( M O M E N T , A C C R U A L , E Q _ O F F E R ) thi khi d iem F-Score tang 1 diSm thi lgi nhuan

vugt miic cija c6 philu se tang 4,6% (Mo hinh 2),

4. Ket luSn va kien nghi

4.1. Ket lugn

Nhi6u bang chiing thuc nghiem cho thay chiln lugc dau tu F-Score tao ra lgi nhuan

vugt miic tai san HOSE trong giai doan 2006-2013. Trong ki dau tu 1 nam, nha dau tu

se tim kiem dugc 16,1% lgi nhuan vugt mirc khi thuc hien chiln lirgc mua co philu gia

tri CO F-Score cao d6ng thoi ban khing c l philu gia trj co F-Score thap; va vice chon

cac CO phieu gia tri co diem F-Score cao giup nha diu tu giam dugc 9,3% ti le co philu

CO lgi suat am trong danh muc. Ngoai ra, chiln lugc co lgi nhuan cao hon trong giai doan

dau tu 2 nam, cu the trong viec thuc hien chien lugc mua nhung co philu gia trj CO diem

F-Score cao dong thdi ban khing cac CO philu gia trj c6 diem F-Score thap se mang lai

lgi nhuan vugt miic la 41,3%. Ben canh do, frong ki ddu tu nay nlu chi mua cac co philu

gia tri CO diem F-Score cao cung lam tang 20,5% lgi sufa vugt miic cua danh muc c6

phieu gia tri (chiln lugc nay khong co lgi nhuan trong ki dau tu 1 nam tai HOSE),

v a Thi Qu? & BCil Thanh Trtc T«) chi Phat trien Kinh t^, 26(12), 69-87

Nghien ciiu cung cho thay cd tac dgng cua hieu ling quy md trong chiln lugc F-Score,

cy the ttong ki dau tu 1 nam chien lugc F-Score co lgi nhuan t i t nhat d nhdm cong ty

nho va ttong ki dau tu 2 nam chiln Iugc ndy phat huy hieu qud tit d ca nhom quy mo

trung binh va quy mo nhd. Ngoai ra, dilm F-Score ciing dugc chiing minh Id co tac dgng

ciing chieu vdi igi nhuan vugt miic ciia c6 philu sau khi da kiem soat cac nhan to Ii6n

quan nhu quy mo, BM, sudt sinh Idi ttong qua khii, Igi nhudn din tfch, viec phdt hdnh

them CO phieu.

4.2. Kien nghi

Nghien ciiu nay cd mgt sd ham y doi vdi cac nha dau tu c l philu gia tti va cac nghien

ciiu tiep theo nhu sau:

Thic nhdt, viec chgn lua cdc co phieu gid tti co diem F-Score cao giiip gidm dugc ti

le CO phieu cd suat sinh ldi kem trong danh muc.

Thir hai, ttong ki ddu tu 1 nam, chiln lugc mua nhQng co philu gia tti von hoa nho

CO diem F-Score cao dong thdi ban khong cdc co phieu gid tti von hod nho co dilm F-

Score thdp (chien lugc High-Low) la co Igi nhudn tot nhat

Thir ba, chien lugc F-Score mang lai sudt sinh Idi cao hon ttong ddi han nen nha dau

tu gia tti se co Igi nhuan cao nhit khi thuc hien chiln lugc High - Low d nhom co phieu

CO quy md tir trung binh ttd xuong ttong ki dau tu 2 ndm.

Thic tu, diem F-Score cd khd ndng gidi thich Igi nhuan co phieu ttong tuong lai; do

do nha ddu tu c6 thl xem xet dua ylu to nay vao cdc mo hinh nhu la mgt nhan to giiip

xac dinh lgi nhuan ki vong cua c6 phieu gia tti.

Thie ndm, tir mgt so mat cdn han chl tac gid ggi md cdc nghien ciiu tiep theo nen bo

sung them viec xem xet anh hudng ciia cdc nhdn 16 khac ttong chien lugc F-Score (ngodi

quy md vdn hoa) nhu: Tinh thanh khodn cua co phieu, hieu iing thang Gieng, v.v. hodc

CO thl md rgng viec kilm dinh chiln lugc nay d nhom co phieu tang trudng nhu Piotroski

dd thuc hien nam 2004B

Chii thich ' Chon thdi diem nay de dam bao cac bdo cao tai chinh kiem toan ciia nam OTIOC do dugc cong bl diy

dil. ^ BO dtr lieu tir nguon StoxPro. 3 LSy dil lieu mic thai gian la nam tir thang 05/2006 - 05/2014, nguin HOSE.

•a Thl Qu? & Bill Thanh Trtc T p chl Ph&t tnSn Kinh t , 26(12), 69-87

** MVE =Sl lugng c l philu dang luu hanh * gia dong ciia tai ngay lap danh muc.

* Gia tri s l sdch ciia vin chii sd hiiu culi nam chia cho MVE, trong do MVE dugc tfnh tai th&i di m

\^p danh muc con gia tri s l sach ciia vin chu sa hihi dugc Idy t^i thdi dilm culi n5m tnr6c nSm I p

danh muc.

* Piotroski chgn top 20% cl philu co BM cao nhdt Id c l philu gid ttj, toi chgn theo tl 1? 1/3 top BM

la \a mau nghien ciiu d VN kha nho nen chn ndng ti le de gia tang kich cO mSu.

' Lgi nhuan mua va ndm giii 1 (hoac 2) nSm = (gia d6ng cua culi kl - gia d6ng ciia ddu kl)/ gid dong

cira ddu k:i),trong do gia dong cira la gia da dilu chinh duac sii dung trong cdc phan mim ph8n tfch

kT thuit mua tir cong ty Phu Toan.

' Lgi nhuan dilu chinh thi truong 1 hoac 2 nam = lgi nhuan mua vd nSm gift 1 hoSc 2 nSm cda co

phieu - lgi n h u ^ mua va nam gift 1 hoac 2 nam cua chi so Vn-Index.

Ta i l i | u t h a m k h a o

Abarbanell, J., & Bushee, B (1998). Abnormal returns to a fundamental analysis strategy. The

Accounting Review, 73(1), 19-45.

Aggarwal, N., &. Gupta, M. (2009). Do high book-to-market stocks offer returns to fimdamenlal

analysis in India?. Decision, 36(2), 155-175.

Banz, R. (1981). The relationship between retum and market value of common stocks. Journal of

Financial Economics. 9, 3-18,

Chan, K., Jegadeesh, N., & Lakonishok, J, (1996). Momentum strategies. The Journal of Finance,

51(5), 1681-1713.

DeBondt, F , & Thaler, R. (1987). Further evidence on investor overreaction and stock fnarket

seasonality. Journal of Finance, 42(3), 557-581.

Dosamantes, C (2013), The relevance of using accounting fiindamentals in the mexican stock market

Journal of Economics, Finance and Administrative Science, 18, 2-10.

Fama, E,, & French, K. (1995) Size and book-to-market factors in earnings and returns. Journal of

Finance, 50(1), 131-155

Fama, E,, & French, K. (1998).Value versus growth: The intemational evidence. Journal of Finance,

53(6), 1975-1999.

Lakonishok, J., Shleifer, A., & Vishny, R. (1994). Contrarian investment, extrapolation, and risk.

Journal of Finance, 49(5), 1541-1578.

Lev, B. &Thiagarajan, S (1993). Fundamental information analysis. Journal of Accounting Research,

31(2), 190-215.

Lopes, A. B., & Galdi, F. C. (2008). Financiai statement analysis also separate winners from lasers

in Brazil. Sao Paulo: University of Sao Paulo working paper.

Loughran, T., & Ritter, J, (1995). The new issues puzzle. Journal of Finance, 50(1), 23-51.

v e Thl Qu? & Bill Thanh Trtc Tap chi PhSt tri6n Kinh t^. 26(12), 69-87

Piotroski, J. (2002). Value mvesting: The use of historical fmancial statement information to separate

winners from losers. Journal of Accounting Research, 38, 1-41.

Sloan, R. (1996). Do stock price fully reflect information in accruals and cash flows about fiiture

earnings?. Accounting Review, 71(3), 289-316.

Tantipanichkul, P. (2011). Seperating winners from losers in Thai stock markets using financial

statement analysis. Barcelona: The 2011 Barcelona European Academic Conference.

Tran Mmh Nggc. (2011). Kiim dinh cdc mo hinh CAPM. Fama French. Carhart tren thi tru&ng chimg khodn Viet Nam. Luan van thac si Trutmg Dai hgc Md TP.HCM.