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

4.1. Giới thiệu chương

## Kích thước bộ dữ liệu: 2497 dòng và 11 cột

## tibble [2,497 × 11] (S3: tbl_df/tbl/data.frame)
##  $ Date    : POSIXct[1:2497], format: "2015-01-05" "2015-01-06" ...
##  $ VCB     : num [1:2497] 16822 17929 17718 18245 19458 ...
##  $ MBB     : num [1:2497] 4270 4401 4434 4467 4697 ...
##  $ BID     : num [1:2497] 8197 8388 8642 8642 9214 ...
##  $ CTG     : num [1:2497] 9134 9200 9463 9266 9529 ...
##  $ SHB     : num [1:2497] 3922 3984 4181 4230 4230 ...
##  $ ACB     : num [1:2497] 3780 3820 3985 3989 4042 ...
##  $ STB     : num [1:2497] 13462 13692 13769 13923 14231 ...
##  $ EIB     : num [1:2497] 10667 10833 11000 10917 11167 ...
##  $ VN_INDEX: num [1:2497] 550 552 553 570 574 ...
##  $ RF_daily: num [1:2497] 0.000182 0.000183 0.000183 0.000183 0.00018 ...

## # A tibble: 6 × 10
##   Date                 ret_VCB  ret_MBB ret_BID  ret_CTG ret_SHB  ret_ACB
##   <dttm>                 <dbl>    <dbl>   <dbl>    <dbl>   <dbl>    <dbl>
## 1 2015-01-05 00:00:00 NA       NA       NA      NA       NA      NA      
## 2 2015-01-06 00:00:00  0.0637   0.0303   0.0230  0.00717  0.0156  0.0106 
## 3 2015-01-07 00:00:00 -0.0118   0.00742  0.0298  0.0282   0.0482  0.0422 
## 4 2015-01-08 00:00:00  0.0293   0.00737  0      -0.0211   0.0117  0.00108
## 5 2015-01-09 00:00:00  0.0644   0.0502   0.0641  0.0280   0       0.0130 
## 6 2015-01-12 00:00:00  0.00809 -0.00703  0.0667  0.0137   0.0455  0.0128 
## # ℹ 3 more variables: ret_STB <dbl>, ret_EIB <dbl>, ret_VN_INDEX <dbl>

4.2. Thống kê mô tả

## # A tibble: 9 × 8
##   asset        n mean_ret sd_ret skew_ret kurt_ret  mean_ex  sd_ex
##   <chr>    <int>    <dbl>  <dbl>    <dbl>    <dbl>    <dbl>  <dbl>
## 1 ACB       2496 0.000769 0.0191 -1.02       12.4  0.000651 0.0191
## 2 BID       2496 0.000610 0.0228 -0.198       2.37 0.000500 0.0228
## 3 CTG       2496 0.000569 0.0217 -0.150       2.30 0.000461 0.0217
## 4 EIB       2496 0.000238 0.0220 -0.0810      3.85 0.000130 0.0220
## 5 MBB       2496 0.000654 0.0193 -0.771       7.23 0.000546 0.0194
## 6 SHB       2496 0.000385 0.0251 -0.0359      4.27 0.000277 0.0251
## 7 STB       2496 0.000404 0.0236  0.00696     1.47 0.000289 0.0236
## 8 VCB       2496 0.000677 0.0181 -0.259       4.76 0.000558 0.0181
## 9 VN_INDEX  2496 0.000335 0.0114 -0.942       4.58 0.000230 0.0114

##              ret_VCB ret_MBB ret_BID ret_CTG ret_SHB ret_ACB ret_STB ret_EIB
## ret_VCB        1.000   0.494   0.542   0.561   0.085   0.155   0.398   0.181
## ret_MBB        0.494   1.000   0.608   0.698   0.193   0.293   0.599   0.244
## ret_BID        0.542   0.608   1.000   0.708   0.138   0.220   0.498   0.219
## ret_CTG        0.561   0.698   0.708   1.000   0.146   0.250   0.568   0.284
## ret_SHB        0.085   0.193   0.138   0.146   1.000   0.181   0.189   0.108
## ret_ACB        0.155   0.293   0.220   0.250   0.181   1.000   0.261   0.126
## ret_STB        0.398   0.599   0.498   0.568   0.189   0.261   1.000   0.267
## ret_EIB        0.181   0.244   0.219   0.284   0.108   0.126   0.267   1.000
## ret_VN_INDEX   0.495   0.632   0.548   0.597   0.221   0.313   0.554   0.248
##              ret_VN_INDEX
## ret_VCB             0.495
## ret_MBB             0.632
## ret_BID             0.548
## ret_CTG             0.597
## ret_SHB             0.221
## ret_ACB             0.313
## ret_STB             0.554
## ret_EIB             0.248
## ret_VN_INDEX        1.000

4.3. Ước lượng Camp

## # A tibble: 9 × 9
##   asset     alpha alpha_ci           beta beta_ci p_alpha p_beta r_squared     n
##   <chr>     <dbl> <chr>             <dbl> <chr>     <dbl>  <dbl>     <dbl> <int>
## 1 VCB      0.0004 [-0.0002, 0.001]  0.788 [0.733…   0.231      0    0.246   2495
## 2 MBB      0.0003 [-0.0003, 0.0009] 1.07  [1.021…   0.320      0    0.399   2495
## 3 BID      0.0002 [-0.0005, 0.001]  1.10  [1.032…   0.518      0    0.301   2495
## 4 CTG      0.0002 [-0.0005, 0.0009] 1.14  [1.075…   0.566      0    0.356   2495
## 5 SHB      0.0002 [-0.0008, 0.0011] 0.489 [0.404…   0.738      0    0.049   2495
## 6 ACB      0.0005 [-0.0002, 0.0012] 0.525 [0.462…   0.144      0    0.0984  2495
## 7 STB      0      [-0.0007, 0.0008] 1.15  [1.080…   0.948      0    0.307   2495
## 8 EIB      0      [-0.0008, 0.0009] 0.479 [0.405…   0.964      0    0.0615  2495
## 9 VN_INDEX 0      [0, 0]            1     [1, 1]    0.237      0    1       2495

Phương trình CAPM cho từng mã

Phương trình tổng quát:

\[ R_{i,t} - R_{f,t} = \hat{\alpha}_i + \hat{\beta}_i \,\big( R_{m,t} - R_{f,t} \big) + \varepsilon_{i,t} \]

VCB
\[ R_{\text{VCB},t} - R_{f,t} = 0.0004 + 0.7876 \,\big( R_{m,t} - R_{f,t} \big) \]

MBB
\[ R_{\text{MBB},t} - R_{f,t} = 0.0003 + 1.0731 \,\big( R_{m,t} - R_{f,t} \big) \]

BID
\[ R_{\text{BID},t} - R_{f,t} = 0.0002 + 1.0987 \,\big( R_{m,t} - R_{f,t} \big) \]

CTG
\[ R_{\text{CTG},t} - R_{f,t} = 0.0002 + 1.1352 \,\big( R_{m,t} - R_{f,t} \big) \]

SHB
\[ R_{\text{SHB},t} - R_{f,t} = 0.0002 + 0.4887 \,\big( R_{m,t} - R_{f,t} \big) \]

ACB
\[ R_{\text{ACB},t} - R_{f,t} = 0.0005 + 0.5253 \,\big( R_{m,t} - R_{f,t} \big) \]

STB
\[ R_{\text{STB},t} - R_{f,t} = 0.0000 + 1.1479 \,\big( R_{m,t} - R_{f,t} \big) \]

EIB
\[ R_{\text{EIB},t} - R_{f,t} = 0.0000 + 0.4793 \,\big( R_{m,t} - R_{f,t} \big) \]

VN_INDEX
\[ R_{\text{VN\_INDEX},t} - R_{f,t} = 0.0000 + 1.0000 \,\big( R_{m,t} - R_{f,t} \big) \]

4.4. Lợi suất kì vọng Camp và phân loại định giá

## # A tibble: 9 × 13
##   asset     alpha alpha_ci  beta beta_ci p_alpha p_beta r_squared     n mean_ret
##   <chr>     <dbl> <chr>    <dbl> <chr>     <dbl>  <dbl>     <dbl> <int>    <dbl>
## 1 VCB      0.0004 [-0.000… 0.788 [0.733…   0.231      0    0.246   2495 0.000677
## 2 MBB      0.0003 [-0.000… 1.07  [1.021…   0.320      0    0.399   2495 0.000654
## 3 BID      0.0002 [-0.000… 1.10  [1.032…   0.518      0    0.301   2495 0.000610
## 4 CTG      0.0002 [-0.000… 1.14  [1.075…   0.566      0    0.356   2495 0.000569
## 5 SHB      0.0002 [-0.000… 0.489 [0.404…   0.738      0    0.049   2495 0.000385
## 6 ACB      0.0005 [-0.000… 0.525 [0.462…   0.144      0    0.0984  2495 0.000769
## 7 STB      0      [-0.000… 1.15  [1.080…   0.948      0    0.307   2495 0.000404
## 8 EIB      0      [-0.000… 0.479 [0.405…   0.964      0    0.0615  2495 0.000238
## 9 VN_INDEX 0      [0, 0]   1     [1, 1]    0.237      0    1       2495 0.000335
## # ℹ 3 more variables: er_capm <dbl>, gap <dbl>, price_flag <chr>