Tài chính 2

##      Package LibPath Version Priority Depends Imports LinkingTo Suggests
##      Enhances License License_is_FOSS License_restricts_use OS_type Archs
##      MD5sum NeedsCompilation Built

## # A tibble: 6 × 10
##   Date                  VCB   MBB   BID   CTG   SHB   ACB   STB   EIB `VN-INDEX`
##   <dttm>              <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>      <dbl>
## 1 2024-12-31 00:00:00 91200 21826 37550 37800 10250 25800 36900 19300      1267.
## 2 2024-12-30 00:00:00 92000 21565 38250 38900 10250 25400 37850 19300      1272.
## 3 2024-12-27 00:00:00 92200 21783 39150 38800 10300 25550 37400 19450      1275.
## 4 2024-12-26 00:00:00 92100 21652 39000 38200 10300 25550 37100 19250      1273.
## 5 2024-12-25 00:00:00 92400 21261 38650 38200 10300 25450 36250 19500      1274.
## 6 2024-12-24 00:00:00 92100 20783 38100 36200 10250 25000 34700 19600      1260.

##      Package LibPath Version Priority Depends Imports LinkingTo Suggests
##      Enhances License License_is_FOSS License_restricts_use OS_type Archs
##      MD5sum NeedsCompilation Built

4.1. Giới thiệu chương

## $Giai_doan
## [1] "NA → NA"
## 
## $So_thang
## [1] 120
## 
## $Tan_suat
## [1] "Tháng"
## 
## $Thi_truong
## [1] "VN-INDEX"
## 
## $Ma_ngan_hang
## [1] "VCB" "MBB" "BID" "CTG" "SHB" "ACB" "STB" "EIB"

4.2. Thống kê mô tả

Bảng 4.2. Thống kê mô tả lợi suất tháng (đầy đủ)

Biến	N	Mean	SD	Min	P01	P05	P25	Median	P75	P95	P99	Max	Mode (KDE)	Skew	Kurtosis(excess)	W	p
ACB	119	1.81%	8.29%	-23.74%	-17.11%	-11.74%	-2.16%	1.38%	5.42%	17.75%	23.41%	32.76%	0.71%	0.3712314	2.0205911	0.9576122	0.0008670
BID	119	1.59%	10.62%	-32.20%	-23.10%	-16.24%	-5.23%	1.15%	9.21%	16.89%	30.52%	34.12%	-2.07%	0.0637016	0.9289345	0.9828682	0.1348748
CTG	119	1.49%	10.17%	-33.20%	-22.46%	-15.09%	-4.31%	1.47%	6.46%	17.59%	29.39%	30.15%	2.78%	0.1032437	1.2882661	0.9768578	0.0377783
EIB	119	0.98%	10.36%	-40.54%	-28.84%	-13.05%	-4.59%	0.71%	6.23%	19.72%	23.42%	36.57%	0.31%	-0.1369978	2.7898517	0.9535348	0.0004219
MBB	119	1.72%	9.00%	-33.58%	-23.30%	-12.44%	-2.60%	1.07%	6.36%	16.73%	24.14%	25.59%	0.51%	-0.3236355	1.9047846	0.9670056	0.0050653
SHB	119	1.46%	13.16%	-35.45%	-28.92%	-13.74%	-4.83%	-0.61%	5.69%	21.36%	43.83%	71.23%	-1.24%	1.6201155	7.0700566	0.8639273	0.0000000
STB	119	1.41%	11.27%	-37.07%	-21.19%	-14.99%	-5.22%	0.00%	8.40%	20.72%	26.38%	41.42%	-1.23%	0.2615043	1.3986608	0.9780887	0.0489955
VCB	119	1.66%	8.16%	-24.76%	-16.43%	-10.83%	-2.60%	0.80%	6.45%	14.90%	22.11%	25.29%	-1.17%	0.0790500	0.7964677	0.9787507	0.0563724
VN-INDEX	120	0.36%	7.84%	-57.02%	-22.37%	-9.24%	-1.47%	1.27%	3.74%	10.34%	13.66%	16.09%	1.53%	-3.4797740	22.9171310	0.7479496	0.0000000

4.3. Ước lượng Camp

Bảng 4.3. Ước lượng CAPM: beta, alpha, R² và p-value

Ticker	alpha	beta	p_alpha	p_beta	R2	Adj_R2
ACB	0.0104	0.8750	0.0888972	0.0000000	0.3770	0.3717
BID	0.0058	1.2815	0.4051925	0.0000000	0.4928	0.4885
CTG	0.0049	1.2873	0.4450955	0.0000000	0.5424	0.5385
EIB	0.0040	0.5260	0.6643711	0.0010985	0.0874	0.0796
MBB	0.0076	1.1896	0.1529214	0.0000000	0.5925	0.5890
SHB	0.0091	0.4681	0.4458490	0.0239065	0.0428	0.0347
STB	0.0044	1.2212	0.5901204	0.0000000	0.3978	0.3926
VCB	0.0079	1.0464	0.1185249	0.0000000	0.5564	0.5526

Công thức tổng quát \[ r_{i,t}-r_{f,t}=\alpha_i+\beta_i\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{i,t}. \]

Cụ thể \[ \begin{aligned} \text{ACB:}\quad & r_{\mathrm{ACB},t}-r_{f,t}=0.0104+0.8750\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{ACB},t},\\ \text{BID:}\quad & r_{\mathrm{BID},t}-r_{f,t}=0.0058+1.2815\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{BID},t},\\ \text{CTG:}\quad & r_{\mathrm{CTG},t}-r_{f,t}=0.0049+1.2873\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{CTG},t},\\ \text{EIB:}\quad & r_{\mathrm{EIB},t}-r_{f,t}=0.0040+0.5260\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{EIB},t},\\ \text{MBB:}\quad & r_{\mathrm{MBB},t}-r_{f,t}=0.0076+1.1896\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{MBB},t},\\ \text{SHB:}\quad & r_{\mathrm{SHB},t}-r_{f,t}=0.0091+0.4681\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{SHB},t},\\ \text{STB:}\quad & r_{\mathrm{STB},t}-r_{f,t}=0.0044+1.2212\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{STB},t},\\ \text{VCB:}\quad & r_{\mathrm{VCB},t}-r_{f,t}=0.0079+1.0464\,\big(r_{M,t}-r_{f,t}\big)+\varepsilon_{\mathrm{VCB},t}. \end{aligned} \]

4.4. Lợi suất kỳ vọng CAPM & phân loại định giá

Bảng 4.4. Lợi suất kỳ vọng theo CAPM & phân loại định giá

Mã	Beta	Alpha	R²	Lợi suất TB (tháng)	E[Ri]_CAPM	Định giá
ACB	0.8750290	0.0103877	0.3770026	1.81%	0.35%	Undervalued (α > 0)
BID	1.2814697	0.0058458	0.4928495	1.59%	0.38%	Undervalued (α > 0)
CTG	1.2873106	0.0048765	0.5424456	1.49%	0.38%	Undervalued (α > 0)
EIB	0.5260171	0.0039804	0.0873876	0.98%	0.33%	Undervalued (α > 0)
MBB	1.1896159	0.0076403	0.5925028	1.72%	0.38%	Undervalued (α > 0)
SHB	0.4681216	0.0091110	0.0428429	1.46%	0.32%	Undervalued (α > 0)
STB	1.2211863	0.0043691	0.3977656	1.41%	0.38%	Undervalued (α > 0)
VCB	1.0464024	0.0079091	0.5564065	1.66%	0.37%	Undervalued (α > 0)