-i- L ng lu báo t su t sinh l i ch ng khốn: Mơ hình h i quy truy n th c u c a tơi Ngo i tr nh ng tài li u tham kh c trích d n lu ng nh ng ph n lu nh n b ng c p c công b ho c s d ng nh Khơng có s n ph m/nghiên c u c c trích d c s d ng lu n nh Lu i h c ho n này, cam cn nh n b t k b ng c p t o khác Thành ph H L Xuân Trang ng - ii - L IC hoàn thành t t lu c h t xin g i l i c m i h c M thành ph H i p cho nh ng ki n th c chun mơn v tài ngân hàng b c th c s c bi t g i l i tri ân chân thành t i th ng d n c a tôi, TS Lê i h c M thành ph H kim ch p ng d n tơi su t q trình làm lu n c khoa h c, ki n th c chuyên môn sâu s c s nhi t tâm c a th m ng l c r t l n giúp tơi hồn thành lu Cu il ic i quý th i h c M thành ph H Chí Minh b n l trình h c t p th c hi n lu Thành ph H Chí Minh, ngày 18 tháng 03 n L Xuân Trang ih ng tơi q - iii TĨM T T Lu c th c hi n v i m c tiêu ch n mơ hình d báo t su t sinh l i ch ng khoán phù h p v i th ng Vi th c hi n nghiên c u này, lu d ng nghiên c u lý thuy ng c a y u t u th c nghi n t sinh l i ch nh c s d ng d báo kinh t Nghiên c d ng thông tin t báo cáo tài b n cáo b ch c a cơng ty sàn ch ng khốn thành ph H Chí - 2011 v i 261 quan sát Thơng qua th ng kê phân tích mơ t mơ hình h i quy Fixed effect v i d li u b ng cân b ng, nghiên c khoán T y y u t n t su t sinh l i ch ng c hi n trình d báo TSSL theo bi n Ngồi lu ng mơ hình d báo TSSL b ng m ng th n kinh nhân t ng th i so sánh hai mơ hình v i thơng qua các ch tiêu MSE, RMSE, cs truy n th ng t tr i c a mơ hình ANN so v i mơ hình h i quy - iv M CL C L i L IC ii TÓM T T iii DANH M C CÁC B NG viii DANH M TH ix DANH M C CÁC T VI T T T x I THI U T NG QUAN V TÀI NGHIÊN C U 1 Lý nghiên c u V Câu h i m c tiêu nghiên c u g pháp nghiên c u .3 nghiên c u .2 N i dung nghiên c u k t c u lu .3 LÝ THUY T T su t sinh l i ch ng khoán c kh o nghiên c 2.1 Mô hình CAPM 2.2 Mơ hình Fama French 2.3 Nghiên c u c a Greg Tkacz (2001) .11 Ch tiêu so sánh mơ hình d báo 11 3.1 Các ch c l a ch n .11 3.2 Công th c tính ch tiêu .12 3.2.1 Sai s trung bình (ME-Mean Error) 12 -v 3.2.2 Sai s i trung bình (MAE- Mean Absolute Error) 13 3.2.3 Sai s -Mean Square Error) 13 3.2.4 Sai s -Root mean Square Error) 13 3.2.5 Sai s ph i (MAPE-Mean Absolute Percentage Error) 3.2.6 H s không ngang b 14 Kh o sát mơ hình s d ng cho d li u b ng 14 4.1 Mơ hình h i quy Pool .15 4.2 Mơ hình h i quy v h i quy v ng c nh (Fixed effect model FEM) mơ hình ng ng u nhiên (Random effect model REM) 15 U VÀ D LI U NGHIÊN C U 17 MƠ HÌNH H I QUY TRUY N TH NG 17 u 17 1.2 Mơ hình nghiên c u .17 1.2.1 Các bi n mơ hình hình nghiên c u gi thuy t nghiên c u 18 1.2.2 K v ng v d u 20 1.3 D li u nghiên c u 22 ng ph m vi nghiên c u 22 x lý s li u .23 MƠ HÌNH M NG TH N KINH NHÂN T O 24 u 24 2.1.1 L a ch n bi n s thu th p d li u 24 2.1.2 Ti n x lý d li u 25 2.1.3 L a ch n thông s cho mơ hình 26 2.1.4 Ti n hành th c hi n cho mô hình 30 2.1.5 D báo phân tích k t qu 30 - vi 2.2 Mơ hình nghiên c u .31 2.3 D li u nghiên c u 33 T QU NGHIÊN C U 34 Mơ hình h i quy 34 1.1 Th ng kê mô t bi n 34 1.2 K t qu h i quy (ph l c 1) 36 1.2.1 L a ch 1.2.2 Ki 36 nh gi thuy t mơ hình (ph l c 2) 39 Mơ hình m ng th n kinh nhân t o 42 2.1 Phân tích m a bi u vào .43 2.2 Phân tích m a bi u vào .43 So sánh k t qu d báo th c t TSSL c a mơ hình 44 3.1 D báo b ng mơ hình h i quy truy n th ng 44 3.1.1 D báo .44 3.1.2 Ki nh 45 3.2 D báo b ng mơ hình m ng th n kinh nhân t o 46 3.2.1 D báo 46 3.2.2 Ki nh 46 3.3 K t qu so sánh 48 3.3.1 So sánh d a s li u TSSL d báo 48 3.3.2 So sánh d a ch tiêu d báo .49 T LU N 50 K t lu n 50 Gi i h n c a lu a lu .50 51 - vii ng phát tri n s p t i c a lu n 51 DANH M C TÀI LI U THAM KH O 52 PH L C 1: MƠ HÌNH H I QUY V I D LI U B NG 55 PH L C 2: KI NH GI THUY T MƠ HÌNH 58 PH L C 3: D LI U 62 - viii DANH M C CÁC B NG B ng 2.1: Tóm t t ch B so sánh mơ hình d báo nh bi n mơ hình d u d ki n B ng 3.2: Tóm t t vi c thu th p tính toán bi n nghiên c u B ng 3.3: T ng h m ti n x lý d li u B ng 3.4: Tóm t t vi c thu th p thơng s nghiên c u mơ hình B ng 3.5: Các thơng s c tác gi l a ch n B ng 3.6: K t qu l a ch n s p n B ng 3.7: K t qu l a ch n hàm bi i l p B ng 3.8: K t qu l a ch n hàm bi il p n B ng 3.9: B ng t ng h p thông s hu n luy n m ng B ng 4.1: Th ng kê mô t bi n B ng 4.2: Ma tr a bi n B ng 4.3: K t qu h i quy v i t ng c nh B ng 4.4: K t qu h i quy t ng h p B ng 4.5: K t qu ki nh Hausman B ng 4.6: K t qu h i quy v ng c nh B ng 4.7: Ki nh Wald cho h s h i quy ME B ng 4.8 : Ki nh Wald cho h s h i quy bi n BETA B ng 4.9: Ki nh Wald cho h s h i quy bi n cịn l i mơ hình B ng 4.10: K t qu ki B ng 4.11: K t qu ki nh mơ hình d báo TSSL nh d báo TSSL b ng ph n m m Neurosolutions B ng 4.12: So sánh hai mơ hình d báo TSSL - ix DANH M Hình 2.1: Di n bi n th TH ng ch n 2000-2011 Hình 3.1: Mơ hình nghiên c u Hình 4.1: Mơ hình d báo TSSL ch ng khốn Hình 4.2: M a bi u vào Hình 4.3: MSE trình hu n luy n Hình 4.4: K t qu d báo Hình 4.5: K t qu d báo b ng ph n m m Eview Hình 4.6: K t qu d báo TSSL b ng ph n m m Neurosolutions Hình 4.7: K t qu ki nh d báo TSSL b ng ph n m m Neurosolutions -x DANH M C CÁC T CTCK : Cơng ty ch ng khốn TTCK : Th TSSL : T su t sinh l i BM :T s ME : Quy mơ v n hóa th ROA : Kh VI T T T ng ch ng khoán giá ng i IA ài s n ANN : Mô hình m ng th n kinh nhân t o MSE : Sai s MAE : Sai s MAPE : Sai s ph RMSE i trung bình c hai c a sai s : H s không ngang b ng CAPM : Mơ hình PBV : Giá tr th PE : T s giá thu nh p OLS HoSE nh giá tài s n v n ng giá tr s sách nh ng : S giao d ch ch ng khốn thành ph H Chí Minh - 52 DANH M C TÀI LI U THAM KH O A TI NG ANH Bailey, D & Thompson, D.(1990), Developing neural network applications, Al Expert, 34-41 Curak Marijana, Klime Pososki & Curk Ivan, Forecasting economic growth using financial variables- Comparision of linear regression and neural network model, Proceedings of the 10th WSEAS international conference on Mathematics and computers in business and economics, 255-260 Damodar n Gujarati (1995), Basic Econometrics rd Edition, 10, 335-375 Elhaj Mabrouk Walid Mabrouk & Elhaj Mohamed Ahlem (2007), New Envidence on the Applicability of Fama and French Three-Factor Model to the Japanese Stock Market Erdinc Altay & M Hakan Satman (2005), Stock market forecasting: Aftificial Neural Network & linear regression comparision in an emerging market, Journal of Finacial Management & Analysis, 18, 18-33 Eugene F fama and Kenneth R.French (1993), Common risk factor in the returns on stock and bonds, Journal of Financial Economics, 33, 3-56 G.Cybenko (1989), Approximation by Superpositions of a Sigmoidal Function, Math Control Signals Systems, 2, 303-314 Greg Tkacz (2001), Neural Network Forecasting of Canada GDP Growth, International journal of Forcasting, 17, 57-69 Guoqiang Zhang, B.Eddy Patuwo & Micheal Y.Hu, Forecasting with artificial neural networks: The state of the art, International Journal of Forecasting, 14, 35-62 10 Hausman, Jerry A (1978), Specification Tests in Econometrics, Econometrica,46, 1251-1271 11 Long Chen & Lu Zhang (2010), A Better Three Factor Model That Explains More Anomalies, The Journal of Finance , 65, 563-595 - 53 12 Mohd Zukime HJ Mat Junoha, Kolej Universiti Kejuruteraan Utara Malaysia (2004), Predicting GDP growth in Malaysia using knowledge based economy indicators: A comparison between neural network and econometric approaches, Sunway College Journal, 1, 39-50 13 James L Mc Clelland and Rumelhart,D.E (1988), Explorations in parallel distributed processing: A handbook of models, programs, and exercises Cambridge, MA: MIT Press 14 Pierre baldi & Kurt Hornik (1989), Meural Networks and Principal Component Analysis: Learning from Examples without Local Minima, Neural Network, 2, 53 58 15 Pengyi Shi, Zhuo Chen & Gaungming Xie (2006), Using Artificial neural network trained with genetic algorithm to model GDP prediction, Center for systems and control, LTCS and Dept, of Mech & Eng Sci, Pecking University 16 Perdana Wahyu Santosa & Harry Yusuf Laksana (2011), Journal of Applied Finance &Banking, 1, 239-268 17 Ruey-Shiang Guh (2002), Robustness of the neural network based control chart pattern recognition system to non-normality, International Journal of Quality & Reliability Management, 19, 97 112 18 Wei Huang et al (2004), Forecasting foreign exchange rate with artificial neural network, International Journal of Information technology & Decision Making,3,145165 B TI NG VI T Nguy n Tr ng Hoài (2009), D báo phân tích d li u kinh t tài chính, Nhà xu t b n th ng kê Hoàng Ng c Nh m (2008), Giáo trình kinh t Ph H Chí Minh C THƠNG TIN T WEBSITE ng i h c Kinh t Thành - 54 http://cophieu68.com http://willamette.edu/~gorr/classes/cs449/intro.html http://vietstock.vn/ - 55 PH L C 1: MÔ HÌNH H I QUY V I D Mơ hình h i quy OLS (b LI U B NG ng c a th i gian không gian c a d li u b ng: Pooled Model) Dependent Variable: TSSL Method: Panel Least Squares Date: 11/14/12 Time: 10:59 Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Variable Coefficient C Std Error t-Statistic Prob 0.35058 0.111477 3.144851 0.0019 BM -0.43297 0.041545 -10.4217 0.0000 ME -1.72E-11 9.83E-12 -1.74437 0.0824 ROA 1.104322 0.422838 2.611693 0.0096 IA 0.091214 0.140912 0.647309 0.5181 BETA -0.06858 0.055751 -1.23009 0.2199 R-squared 0.419316 Mean dependent var -0.16721 Adjusted R-squared 0.406582 S.D dependent var 0.718345 S.E of regression 0.553367 Akaike info criterion 1.679717 Sum squared resid 69.81709 Schwarz criterion 1.768315 Log likelihood -190.527 F-statistic Durbin-Watson stat 1.303698 Prob (F-statistic) Mơ hình h i quy v - ng c 32.9281 0.0000 nh (Fixed effects Model) Fixed effects cho Cross section Dependent Variable: TSSL Method: Panel Least Squares Date: 11/15/12 Time: 13:04 Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Variable Coefficient Std Error t-Statistic Prob C 0.533966 0.125585 4.251829 0.0000 BM -0.69595 0.040952 -16.9943 0.0000 ME 1.90E-11 1.64E-11 1.160068 0.2479 ROA 2.879558 0.565906 5.088405 0.0000 -1.4009 0.44983 -3.11429 0.0022 -0.08663 0.055332 -1.56556 0.1195 IA BETA Effects Specification - 56 Cross-section fixed (dummy variables) R-squared 0.785367 Mean dependent var -0.16721 Adjusted R-squared 0.668812 S.D dependent var 0.718345 Akaike info criterion 1.342558 S.E of regression 0.4134 Sum squared resid 25.80584 Schwarz criterion 2.568164 Log likelihood -74.0793 F-statistic 6.738138 Durbin-Watson stat 2.690421 Prob(F-statistic) - 0.0000 Fixed effects cho period Dependent Variable: TSSL Method: Panel Least Squares Date: 11/15/12 Time: 13:06 Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Variable Coefficient Std Error t-Statistic Prob C 0.194751 0.087812 2.217832 0.0276 BM -0.24191 0.036895 -6.55668 0.0000 ME -5.25E-12 7.72E-12 -0.6798 0.4973 ROA 1.098844 0.32977 3.33215 0.001 IA 0.251931 0.110637 2.277096 0.0237 BETA -0.18068 0.045634 -3.95929 0.0001 Effects Specification Period fixed (dummy variables) R-squared 0.65054 Mean dependent var -0.16721 Adjusted R-squared 0.639716 S.D dependent var 0.718345 S.E of regression 0.431177 Akaike info criterion 1.188994 Sum squared resid 42.01647 Schwarz criterion 1.307124 Log likelihood -131.112 F-statistic 60.10171 Durbin-Watson stat 1.590596 Prob(F-statistic) - 0.0000 Fixed effects cho c Cross section period Dependent Variable: TSSL Method: Panel Least Squares Date: 11/15/12 Time: 13:07 Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Variable Coefficient Std Error t-Statistic Prob C 0.338615 0.102078 3.31721 0.0011 BM -0.55026 0.042924 -12.8193 0.0000 ME 2.59E-11 1.11E-11 2.332977 0.0208 - 57 ROA 2.29211 0.475139 4.824085 0.0000 IA -0.55076 0.387214 -1.422359 0.1568 BETA -0.07529 0.047199 -1.595168 0.1126 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.856467 Mean dependent var Adjusted R-squared 0.776536 S.D dependent var 0.739534 S.E of regression 0.349592 Akaike info criterion 1.009682 Sum squared resid 20.40987 Schwarz criterion 2.293456 Log likelihood -37.7635 F-statistic 10.71504 Durbin-Watson stat Mơ hình h i quy v 2.71631 -0.1735 Prob(F-statistic) 0.0000 ng ng u nhiên (Random effects Model) Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C 0.374567 0.087429 4.284225 0.0000 BM -0.45926 0.032149 -14.2851 0.0000 ME -1.76E-11 7.86E-12 -2.23823 0.0262 1.15356 0.333918 3.454624 0.0007 IA 0.069791 0.114308 0.610549 0.5421 BETA -0.06284 0.043148 -1.45635 0.1467 ROA Effects Specification S.D Rho Cross-section random 0.132313 0.0902 Idiosyncratic random 0.420327 0.9098 Weighted Statistics R-squared 0.44164 Mean dependent var -0.15298 Adjusted R-squared 0.429396 S.D dependent var 0.707056 S.E of regression 0.534099 Sum squared resid 65.03958 F-statistic 36.06779 Durbin-Watson stat 1.353441 Prob(F-statistic) 0.0000 Unweighted Statistics R-squared 0.417774 Mean dependent var -0.16721 Sum squared resid 70.00247 Durbin-Watson stat 1.257488 - 58 PH L C 2: KI NH GI THUY T MƠ HÌNH Ki i (Breusch- Godfrey) V is 77 B c t ct nh tra b ng ki -1 = u tiên mơ hình h i quy g c Dependent Variable: TSSL Method: Panel Least Squares Date: 11/15/12 Time: 13:04 Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Variable Coefficient Std Error t-Statistic Prob C 0.533966 0.125585 4.251829 0.0000 BM -0.69595 0.040952 -16.9943 0.0000 ME 1.90E-11 1.64E-11 1.160068 0.2479 ROA 2.879558 0.565906 5.088405 0.0000 -1.4009 0.44983 -3.11429 0.0022 -0.08663 0.055332 -1.56556 0.1195 IA BETA Effects Specification Cross-section fixed (dummy variables) R-squared 0.785367 Mean dependent var -0.16721 Adjusted R-squared 0.668812 S.D dependent var 0.718345 Akaike info criterion 1.342558 S.E of regression 0.4134 Sum squared resid 25.80584 Schwarz criterion 2.568164 Log likelihood -74.0793 F-statistic 6.738138 Durbin-Watson stat 2.690421 Prob(F-statistic) T k t qu h i quy t c ph hai v i bi n ph thu c ei K t qu pt 0.0000 ng mơ hình h i quy th - 59 Dependent Variable: RESID^2 Method: Panel Least Squares Date: 11/15/12 Time: 15:48 Sample: 2009 2011 k= n-1 77 Cross-sections included: 78 n= 78 Total panel (balanced) observations: 234 Variable Coefficient Std Error t-Statistic C -0.24133 0.111259 -2.16907 0.0318 BM 0.116552 0.054944 2.121273 0.0357 ME -1.42E-11 2.86E-11 -0.4953 0.6212 ROA 1.472463 0.83682 1.759594 0.0807 -0.0949 0.291242 -0.32585 0.745 BETA 0.371553 0.07775 4.778797 0.0000 BM^2 0.016191 0.004957 3.266287 0.0014 ME^2 7.73E-22 5.58E-22 1.385741 0.1681 ROA^2 -1.25766 1.11072 -1.13229 0.2595 IA^2 -0.23608 0.338912 -0.69658 0.4873 BETA^2 -0.02979 0.015185 -1.96195 0.0518 BM*ME -7.07E-12 2.63E-11 -0.26843 0.7888 BM*ROA -0.02826 0.324336 -0.08713 0.9307 BM*IA 0.107649 0.083473 1.289626 0.1994 BM*BETA -0.13422 0.03498 -3.83709 0.0002 ME*ROA -4.39E-12 1.16E-10 -0.03781 0.9699 ME*IA 1.52E-11 5.06E-11 0.300787 0.764 ME*BETA -2.16E-11 1.17E-11 -1.85231 0.0661 ROA*IA 0.865682 0.945426 0.915653 0.3615 ROA*BETA -0.68687 0.237147 -2.8964 0.0044 IA*BETA -0.00829 0.102084 -0.08123 0.9354 IA Prob Effects Specification Cross-section fixed (dummy variables) R-squared 0.716929 Mean dependent var 0.110281 - 60 Adjusted R-squared 0.515034 S.D dependent var 0.213965 S.E of regression 0.149004 Akaike info criterion -0.67474 Sum squared resid 3.019516 Schwarz criterion Log likelihood 176.9447 Hannan-Quinn criter F-statistic 3.550986 Ki 0.77236 -0.09127 nh t Dependent Variable: TSSL Method: Panel Least Squares Date: 11/15/12 Time: 13:04 Sample: 2009 2011 Cross-sections included: 78 Total panel (balanced) observations: 234 Variable Coefficient Std Error t-Statistic Prob C 0.533966 0.125585 4.251829 0.0000 BM -0.69595 0.040952 -16.9943 0.0000 ME 1.90E-11 1.64E-11 1.160068 0.2479 ROA 2.879558 0.565906 5.088405 0.0000 -1.4009 0.44983 -3.11429 0.0022 -0.08663 0.055332 -1.56556 0.1195 IA BETA Effects Specification Cross-section fixed (dummy variables) R-squared 0.785367 Mean dependent var -0.16721 Adjusted R-squared 0.668812 S.D dependent var 0.718345 Akaike info criterion 1.342558 S.E of regression 0.4134 Sum squared resid 25.80584 Schwarz criterion 2.568164 Log likelihood -74.0793 F-statistic 6.738138 Durbin-Watson stat 2.690421 Prob(F-statistic) 0.0000 - 61 Ki ng n Ma tr a bi n s BETA BM IA ME ROA BETA -0.01951 0.102972 -0.07081 -0.1126 BM -0.01951 -0.01207 -0.23506 -0.41669 IA 0.102972 -0.01207 -0.12623 -0.05511 ME -0.07081 -0.23506 -0.12623 0.285804 ROA -0.1126 -0.41669 -0.05511 0.285804 - 62 PH L C 3: D STT Mã ck TSSL LI U ME BM ROA I/A BETA STT Mã ck TSSL ME BM ROA I/A BETA ABT 2011 -0.044369 324008395.1 1.211604 0.18 0.13014 0.357749 31 CII 2011 -0.635036 1028609700 1.182482 0.03 0.026612 1.228508 ABT 2010 0.039216 416380534.2 1.315033 0.16 0.101685 0.062898 32 CII 2010 -0.022321 1681814400 0.834821 0.12 0.035334 1.093839 ABT 2009 0.64966 238139970.6 1.355442 0.2 0.093701 0.824044 33 CII 2009 0.563319 1146236600 0.704367 0.14 -0.006289 1.172318 ACL 2011 0.167742 285194962.5 1.045161 0.15 0.270881 0.136196 34 CLC 2011 -0.4 144142130 1.572727 0.1 -0.17253 0.039588 ACL 2010 0.186047 141900000 0.964341 0.09 0.25721 1.826877 35 CLC 2010 -0.136364 201798982 0.08 -0.063406 0.681699 ACL 2009 0.342857 94500000 0.921905 0.1 0.153038 1.256549 36 CLC 2009 0.434286 229317025 0.84 0.12 -0.159817 0.645018 AGF 2011 0.034314 260697475.2 2.514706 0.04 0.171086 0.410659 37 COM 2011 -0.376 343809200 1.04 0.07 0.002599 -0.054608 AGF 2010 -0.294416 253327973.6 2.477157 0.03 0.14364 0.690815 38 COM 2010 0.06686 473081459.2 0.755814 0.08 0.100901 1.48805 AGF 2009 0.545098 327911844 1.925882 0.01 0.091296 0.988915 39 COM 2009 0.392523 268393396.5 0.784112 0.16 0.302823 0.595013 10 ALP 2011 -0.826667 484383097.5 1.733333 0.01 0.119182 0.454479 40 DCC 2011 -1.736842 0 -0.01 0.225723 1.976412 11 ALP 2010 0.20438 600339397.8 0.821898 0.06 0.114783 3.252377 41 DCC 2010 -0.026923 267800000 -0.05 0.216923 0.544705 12 ALP 2009 0.376147 450605934.6 0.93945 0.05 0.109664 0.722412 42 DCC 2009 0.70412 264330000 0.771536 0.06 0.134593 1.022547 13 ANV 2011 -0.861538 426434125 3.4 0.02 -0.026158 0.841062 43 DCT 2011 -1.341463 111616952.7 3.487805 0.03 0.032662 0.973733 14 ANV 2010 -0.247934 793823525 1.809917 0.03 -0.039161 1.167543 44 DCT 2010 -0.552083 261347011.2 1.5 0.03 -0.058255 0.467136 15 ANV 2009 -0.086093 990639275 1.483444 -0.05 0.022699 1.435423 45 DCT 2009 0.456376 270421560.2 0.778523 0.06 -0.063889 0.907036 16 BBC 2011 -0.78 153711920 3.74 0.06 -0.1067 1.225899 46 DHA 2011 -1.266667 112959097.5 2.813333 0.1 -0.002411 0.814675 17 BBC 2010 -0.241573 273607217.6 1.988764 0.06 -0.088053 1.568094 47 DHA 2010 -0.223529 256040621 1.305882 0.14 0.018512 1.515872 18 BBC 2009 0.570136 339703343.2 1.538462 0.08 -0.106345 1.590834 48 DHA 2009 0.576923 208851489.6 1.019231 0.21 -0.005415 0.778516 19 BHS 2011 -0.030864 485960796 1.12963 0.13 0.009674 0.789039 49 DHG 2011 0.174545 3584146445 0.384364 0.22 0.163998 -0.111318 20 BHS 2010 0.185629 309478054 0.991617 0.15 0.026406 0.006162 50 DHG 2010 0.077093 1232738573 0.431938 0.23 0.112512 0.474212 21 BHS 2009 0.441176 252030032 1.049265 0.16 -0.045106 0.887782 51 DHG 2009 0.22673 1116795980 0.371838 0.28 0.127253 0.753187 22 BMC 2011 0.126667 123927300 1.013333 0.43 -0.116728 1.195094 52 DIC 2011 -1.928571 84000000 2.648214 0.03 0.12413 1.01244 23 BMC 2010 -1.40458 108229842 0.742748 0.14 -0.035761 1.482679 53 DIC 2010 0.182927 205000000 0.790244 0.06 0.21985 3.389584 24 BMC 2009 0.025397 260247330 0.308889 0.15 -0.039385 1.02908 54 DIC 2009 0.522388 109880000 0.65597 0.05 0.234425 1.073878 25 BMP 2011 -0.295031 1105763198 0.950311 0.27 -0.03485 -0.040721 55 DMC 2011 -0.347368 338377384 1.7 0.1 0.082544 1.109664 26 BMP 2010 -0.323741 1458814118 0.596163 0.3 0.014609 0.099975 56 DMC 2010 -0.863281 448097177.6 1.197656 0.11 0.135442 0.440037 27 BMP 2009 0.778986 965546035.2 0.357065 0.36 0.036722 1.543227 57 DMC 2009 0.375262 834931069.2 0.591405 0.12 0.130798 0.440037 28 BT6 2011 -2.16129 204560010 2.209677 0.03 0.118938 1.947393 58 DPM 2011 -0.546296 8157114720 1.009722 0.38 -0.474795 1.084729 29 BT6 2010 0.132653 215557860 0.707653 0.1 0.002887 0.246997 59 DPM 2010 0.143713 12613434516 0.491018 0.25 -0.638076 0.602273 30 BT6 2009 0.082353 186963450 0.725294 0.11 -0.004362 0.476546 60 DPM 2009 0.013986 10839400000 0.512587 0.23 -0.656797 0.744833 - 63 STT Mã ck 61 DPR 2011 -0.362791 1849000000 1.032558 0.39 -0.031629 62 DPR 2010 0.191126 2519800000 0.486348 0.27 -0.084364 63 DPR 2009 0.464135 1896000000 0.425949 0.18 64 DRC 2011 -0.495575 521538674.5 1.121239 0.15 65 DRC 2010 -0.502959 520000291.2 0.626036 66 DRC 2009 0.862205 390769449.6 0.317717 67 FMC 2011 63559144 68 FMC 2010 -0.045455 69 FMC 2009 70 FPT 71 FPT 72 TSSL ME BM ROA I/A BETA STT Mã ck TSSL ME BM ROA I/A BETA 0.246767 91 HMC 2011 -0.653846 163800000 2.102564 0.07 0.345459 0.697793 0.922488 92 HMC 2010 -0.108527 270900000 1.116279 0.04 0.363091 2.220752 -0.143524 1.129593 93 HMC 2009 0.391608 300300000 1.020979 0.03 0.41513 1.30865 0.189946 1.351211 94 HPG 2011 -1.31677 5049263163 1.332298 0.08 0.267458 0.871646 0.21 -0.024758 2.199334 95 HPG 2010 0.037534 11855796048 0.496515 0.11 0.228832 -0.696876 0.56 -0.109614 2.045636 96 HPG 2009 0.479109 7049467528 0.394708 0.16 0.17563 1.046139 2.704545 0.04 0.272587 0.742413 97 HRC 2011 -0.226757 761208777 0.600907 0.23 0.064007 0.531567 63515144 2.611364 0.05 0.159815 1.23243 98 HRC 2010 0.408503 928408477 0.439187 0.2 0.025186 0.589923 0.304348 66240000 2.28587 0.03 0.005188 1.160314 99 HRC 2009 0.36875 549151040 0.668125 0.16 -0.077873 1.153228 2011 -0.280105 8249430500 0.670157 0.15 0.135133 0.195992 100 HSI 2011 0.013514 73153366 2.027027 0.03 0.516074 0.255538 2010 0.079755 9436664494 0.376483 0.15 0.120984 0.625808 101 HSI 2010 0.164384 72164807 2.041096 0.03 0.393374 1.5587 FPT 2009 0.397778 6419213865 0.317111 0.17 0.069605 0.736843 102 HSI 2009 -0.032787 60302099 2.180328 0.02 0.375767 0.655806 73 GIL 2011 0.365854 330755675.6 0.95122 0.1 0.139717 -0.524326 103 HT1 2011 -2.689655 574060800 3.103448 -0.085801 0.994724 74 GIL 2010 -0.076923 232497501.6 1.662637 0.07 0.073011 0.991301 104 HT1 2010 -0.317757 2118086400 0.859813 0.01 -0.023464 0.939021 75 GIL 2009 0.596939 192860432.8 1.442857 0.14 0.073737 0.838217 105 HT1 2009 -0.070922 1550323200 0.751773 0.02 -0.001533 0.327591 76 GMC 2011 -0.1 114651043 1.415385 0.12 0.175212 0.498053 106 IMP 2011 -0.528767 555329250 1.293699 0.1 0.130246 -0.399587 77 GMC 2010 -0.391608 126769800.3 1.068531 0.13 0.048623 1.164242 107 IMP 2010 -0.189964 650617956 0.702867 0.11 0.107141 0.533317 78 GMC 2009 0.738693 176413917.9 0.696985 0.18 -0.061552 1.034797 108 IMP 2009 0.134036 770413968 0.544729 0.1 0.143958 0.55803 79 GMD 2011 -0.884393 1893438446 2.254335 -0.129414 1.007654 109 ITA 2011 -1.82 1709912845 2.63 0.01 0.28747 1.188268 80 GMD 2010 -0.779141 3260000000 1.112577 0.04 -0.10839 1.32294 110 ITA 2010 -0.390071 4803807523 0.924113 0.08 0.218225 1.165707 81 GMD 2009 0.624138 2796325000 0.389655 0.08 -0.121275 1.492391 111 ITA 2009 0.479592 4036576743 0.579082 0.07 0.250864 1.480694 82 HAP 2011 -3.458333 58273821.6 9.083333 0.01 -0.01425 1.087692 112 KDC 2011 -0.926471 2407722750 1.415196 0.05 -0.040953 1.229273 83 HAP 2010 -0.373832 197909425.6 1.943925 0.07 -0.027265 1.663517 113 KDC 2010 0.086514 3939565699 0.720611 0.12 -0.015108 0.65147 84 HAP 2009 0.360544 271894257.6 1.290476 0.07 -0.020916 1.757767 114 KDC 2009 0.649025 2818619321 0.510306 0.14 -0.019425 1.721689 85 HBC 2011 -0.475728 198668109.8 4.127184 0.06 0.022817 0.528134 115 KHA 2011 -0.794521 96129604.7 2.994521 0.06 0.404983 0.057149 86 HBC 2010 0.315789 246711245.6 2.579605 0.08 0.034704 0.855835 116 KHA 2010 -0.351145 184976047.9 1.755725 0.11 0.342876 0.743804 87 HBC 2009 0.509615 157243216 3.298077 0.04 0.107626 1.167812 117 KHA 2009 0.559322 249929469.3 1.262147 0.13 0.26929 0.930098 88 HDC 2011 -0.934307 320571958.1 1.751825 0.07 0.63129 1.30225 118 KHP 2011 -0.344262 247362905.6 2.040984 0.07 -0.772666 0.548635 89 HDC 2010 0.018868 516737041.5 0.773585 0.11 0.545903 0.739085 119 KHP 2010 -0.390244 340720627.2 1.506098 0.09 -0.613403 0.776428 90 HDC 2009 0.723077 211328000 0.332692 0.11 0.629682 1.180579 120 KHP 2009 0.570175 238146775.2 0.567544 0.06 -0.708271 1.005168 - 64 STT Mã ck 121 LAF 2011 -0.340278 212083473.6 1.097222 0.02 122 LAF 2010 0.367876 258415690.2 0.880829 0.29 123 LAF 2009 0.581967 99044284.8 0.587705 124 LGC 2011 -0.173228 210402449.4 125 LGC 2010 0.003356 246850117.8 126 LGC 2009 0.390572 127 MCP 2011 0.336 128 MCP 2010 129 MCP 2009 130 MPC 131 TSSL ME BM ROA I/A BETA STT Mã ck TSSL ME BM ROA I/A BETA 0.671861 1.030374 151 PVD 2011 -0.547468 6622322414 0.934177 0.06 -0.059416 0.50769 0.228172 1.060227 152 PVD 2010 -0.269939 10256296514 0.50818 0.06 -0.063118 0.524846 0.1 0.377181 1.152997 153 PVD 2009 0.062802 9804583297 0.324155 0.08 -0.02659 0.893979 0.759843 0.01 0.123922 0.583091 154 PVT 2011 -2.290323 721060000 3.16129 0.01 -0.239437 1.0631 0.627517 0.09 0.066861 1.327955 155 PVT 2010 -0.5 2372520000 0.990196 0.01 -0.193058 0.696921 246021761.7 0.622896 0.08 0.068254 0.813488 156 PVT 2009 0.052288 2258280000 0.406536 -0.163828 0.998382 122889525 1.3184 0.13 0.054843 0.27279 157 RAL 2011 0.145161 213900000 2.139785 0.05 0.389839 -0.104545 -0.216867 67888057.2 1.518072 0.09 -0.062102 0.935456 158 RAL 2010 -0.232704 182850000 2.371069 0.03 0.34976 1.684714 0.366337 82610768.4 1.177228 0.06 -0.179217 1.266791 159 RAL 2009 0.392857 225400000 1.908163 0.04 0.272321 1.07874 2011 -1.047945 1022000000 1.506849 0.06 0.343181 1.523895 160 REE 2011 -0.48 2405192250 1.61 0.1 0.120449 0.604225 MPC 2010 -0.107023 2093000000 0.64214 0.1 0.270991 0.034447 161 REE 2010 -0.162162 2770139724 0.814865 0.09 0.109381 1.202604 132 MPC 2009 0.691843 2317000000 0.468278 0.11 0.283038 1.021512 162 REE 2009 0.5 1393918926 0.595349 0.14 0.064836 1.333429 133 NSC 2011 0.268657 331897672.2 0.646766 0.19 0.342366 -0.144722 163 RIC 2011 -1.666667 348431821.5 2.980392 0.02 -0.107105 2.103198 134 NSC 2010 -0.068027 235616333.4 0.845238 0.16 0.274815 0.447193 164 RIC 2010 -1.242647 884933204.8 0.994118 0.03 -0.091387 2.219919 135 NSC 2009 0.576433 251644655.4 0.66465 0.15 0.176353 1.055967 165 RIC 2009 0.57377 1725733005 0.407213 0.04 -0.07495 1.737393 136 NTL 2011 -1.15748 781050000 1.055906 0.05 0.590792 2.460977 166 SAM 2011 -1.372093 562433257.6 3.976744 -0.07 0.044601 0.702634 137 NTL 2010 -0.065693 890500000 0.562044 0.35 0.365494 2.697179 167 SAM 2010 -0.490196 656056003.2 1.817647 0.04 0.026607 0.388778 138 NTL 2009 0.794521 476446472 0.313356 0.5 0.410973 0.918571 168 SAM 2009 0.526316 975828083.2 1.220395 0.09 0.057756 1.125505 139 PAC 2011 -1.852941 362153488.8 1.514706 0.08 0.281477 1.050095 169 SAV 2011 -0.762887 186264444 1.541237 0.01 0.459988 0.984258 140 PAC 2010 -0.195876 861019025.6 0.465979 0.15 0.290778 0.988039 170 SAV 2010 -0.102339 330379866 0.888596 0.02 0.286196 0.847919 141 PAC 2009 0.633621 936183196.8 0.336422 0.25 0.024738 0.773973 171 SAV 2009 0.68435 358502495 0.769761 0.03 0.336098 0.693575 142 PET 2011 -0.308411 738868384 1.64486 0.07 0.279048 1.275505 172 SC5 2011 -3.126761 96718734.7 3.225352 0.01 0.721896 0.122759 143 PET 2010 -0.3 973851200 1.144286 0.05 0.334818 1.544373 173 SC5 2010 -0.491468 332613365.6 0.736519 0.03 0.608293 1.382242 144 PET 2009 0.423077 1020091800 0.593407 0.05 0.285258 1.153783 174 SC5 2009 0.684211 450984000 0.405721 0.03 0.670086 1.232756 145 PGC 2011 -1.348837 148106387.8 3.860465 0.03 -0.075219 1.858534 175 SCD 2011 -1.320755 89862984 1.877358 0.1 -0.02176 -0.318331 146 PGC 2010 -0.435644 267614347 1.592079 0.05 -0.036791 1.215385 176 SCD 2010 0.101626 208549944 0.731707 0.13 -0.067508 0.902016 147 PGC 2009 0.565517 384198815 1.093103 0.08 -0.03488 1.201018 177 SCD 2009 0.493213 187355844 0.769231 0.19 -0.083675 0.611432 148 PPC 2011 -0.671429 2227082298 1.328571 -0.835439 0.804208 178 SFC 2011 -0.024793 248519673.6 0.702066 0.13 -0.054285 0.232891 149 PPC 2010 -0.495726 3780908984 0.998291 -0.794749 1.632506 179 SFC 2010 -0.28629 254681318.4 0.644758 0.23 0.105141 -0.025042 150 PPC 2009 -0.005714 5690205745 0.776571 0.08 -0.718195 0.584322 180 SFC 2009 0.579937 258666413.5 0.40815 0.24 0.107756 1.099253 - 65 STT Mã ck 181 SFI 2011 -0.590909 91189791 2.290909 0.07 182 SFI 2010 -0.634286 145074667.5 1.314286 0.09 183 SFI 2009 0.660839 237093456.6 0.688811 184 SJD 2011 -0.123711 348027755 185 SJD 2010 -0.321101 391082735 186 SJD 2009 0.277778 187 SJS 2011 188 SJS 189 TSSL ME BM ROA I/A BETA STT Mã ck TSSL ME BM ROA I/A BETA -0.058117 0.739111 211 TNA 2011 -0.248677 151200000 1.539683 0.06 0.453506 0.730962 -0.052581 1.758023 212 TNA 2010 0.347458 188800000 1.161017 0.13 0.479982 4.568242 0.11 -0.055699 1.485502 213 TNA 2009 0.480519 123200000 1.357143 0.08 0.453606 0.996003 1.587629 0.09 -0.474312 0.285935 214 TNC 2011 -0.342857 202125000 1.52381 0.22 -0.029024 0.197701 1.330275 0.07 -0.404919 1.307314 215 TNC 2010 0.219858 271425000 1.007092 0.18 -0.115463 0.845893 430554657.6 0.885417 0.1 -0.348428 0.526558 216 TNC 2009 0.463636 211750000 1.154545 0.11 -0.124483 1.211464 -1.697368 2258156232 0.815789 -0.02 0.040379 1.14604 217 TPC 2011 -0.263158 121233049.2 2.859649 0.05 0.111677 0.499709 2010 -0.292683 6091079310 0.357724 0.12 0.025424 1.946361 218 TPC 2010 0.041667 153136483.2 2.194444 0.1 0.208889 0.39681 SJS 2009 0.719497 6360000000 0.224528 0.31 0.022471 1.55327 219 TPC 2009 0.405797 137202084 2.221739 0.18 0.115841 1.483194 190 SMC 2011 -1.421875 157397676.8 3.020313 0.03 0.147726 0.980201 220 TRC 2011 -1.012987 911680000 1.301948 0.4 -0.050178 0.215974 191 SMC 2010 -0.148387 381197498.5 1.188387 0.04 0.330847 1.664784 221 TRC 2010 0.193548 1835200000 0.417742 0.3 -0.095361 0.602148 192 SMC 2009 0.494382 260818861 0.594382 0.06 0.201461 1.523266 222 TRC 2009 0.584 1500000000 0.4236 0.21 -0.171623 1.436193 193 SSC 2011 0.122605 386055200.7 0.590038 0.2 0.200849 -0.209757 223 TS4 2011 -1.519481 87710299.6 2.766234 0.04 0.34699 1.051884 194 SSC 2010 -0.436681 343302762.3 0.610917 0.2 0.194875 0.827769 224 TS4 2010 -0.520619 223089873.2 1.097938 0.06 0.311812 3.297792 195 SSC 2009 0.683891 328967758 0.359574 0.25 0.139087 1.317717 225 TS4 2009 0.776271 249875325 0.514237 0.09 0.110191 1.952242 196 ST8 2011 -0.723404 111830878.8 2.106383 0.11 0.058616 0.015981 226 TSC 2011 -0.323077 104167895 1.915385 0.03 0.382163 0.839626 197 ST8 2010 -0.17284 192729812.4 1.17284 0.14 0.209702 -0.024285 227 TSC 2010 -0.767442 142982138 1.356977 0.02 0.300414 2.032481 198 ST8 2009 0.478947 178695380 0.948421 0.24 0.135582 1.015747 228 TSC 2009 0.118421 252712616 0.788158 0.03 0.304309 0.846591 199 TAC 2011 -0.14 379604000 0.93 0.03 0.344625 0.778743 229 TTP 2011 -0.088889 404999946 1.288889 0.1 -0.362658 0.443802 200 TAC 2010 0.105263 432748560 0.855263 0.11 0.298077 1.592729 230 TTP 2010 -0.197279 440999941.2 1.132653 0.14 -0.181955 1.319918 201 TAC 2009 0.127451 387196080 0.769608 0.04 0.058502 1.38466 231 TTP 2009 0.627841 527999929.6 0.869318 0.16 -0.401043 1.149624 202 TCM 2011 -1.592105 339241473.6 2.131579 0.06 0.00934 1.377207 232 VFC 2011 -2.043478 234435234.9 2.086957 0.07 -0.150203 0.169258 203 TCM 2010 0.279188 853754522.1 0.773604 0.11 -0.054321 1.47942 233 VFC 2010 0.428571 419498541 0.417143 0.04 -0.152897 1.665131 204 TCM 2009 0.556338 530196660.6 0.830282 0.03 -0.207943 1.125765 234 VFC 2009 0.433333 239713452 0.695833 0.06 -0.222999 1.1662 205 TDH 2011 -1.894737 429723114 3.070175 0.01 0.160111 1.469951 235 VHC 2011 0.021978 1254503878 0.992674 0.2 0.227045 -0.06207 206 TDH 2010 -0.854545 1249875000 1.108182 0.12 0.167339 1.777104 236 VHC 2010 -0.434457 1258938989 0.764794 0.14 0.245325 0.551958 207 TDH 2009 0.728758 1545300000 0.540686 0.18 0.242036 1.034761 237 VHC 2009 0.657963 1149000000 0.369974 0.14 0.137555 1.127718 208 TMS 2011 -0.027668 462379511 1.01581 0.08 -0.184534 0.065845 238 VIC 2011 0.038505 34538535552 0.104983 0.03 0.260614 0.546888 209 TMS 2010 0.119231 343524688 0.861923 0.09 -0.153778 0.28885 239 VIC 2010 0.451119 31173623516 0.114841 0.12 0.085503 2.675355 210 TMS 2009 0.174672 231350135.4 0.815721 0.11 -0.171552 0.420561 240 VIC 2009 0.45279 8799726984 0.06309 0.11 -0.000161 1.134989 - 66 STT Mã ck 241 VID 2011 -1.6 102091068 2.75 -0.01 0.140134 0.670762 242 VID 2010 -0.038462 265436776.8 1.096154 0.02 0.067738 1.650872 243 VID 2009 0.351852 231651262.8 1.012037 0.06 0.064025 0.775714 244 VIP 2011 -1.594595 219496561.5 3.891892 0.03 -0.30627 1.152938 245 VIP 2010 -1.40625 574154736 1.491667 0.04 -0.239096 2.466052 246 VIP 2009 0.649351 1355236460 0.595238 0.03 -0.225414 1.024648 247 VIS 2011 -1.552381 315000000 1.666667 0.02 0.073631 1.671775 248 VIS 2010 -0.391791 804000000 0.723881 0.07 0.387331 1.118446 249 VIS 2009 0.737265 559500000 0.392761 0.18 0.093624 0.941197 250 VNE 2011 -2.433333 186366423 3.433333 0.01 0.005275 1.025941 251 VNE 2010 0.097087 646244052.3 1.009709 0.01 0.001325 0.692914 252 VNE 2009 0.408602 295006044 0.696774 0.05 0.030167 1.438857 253 VNM 2011 0.345367 46203877055 0.269675 0.32 0.09397 1.250548 254 VNM 2010 0.178309 19105240832 0.263603 0.38 0.076854 0.717016 255 VNM 2009 0.467562 15699898305 0.267114 0.33 0.001396 0.473493 256 VSH 2011 -0.204819 1678602342 1.39759 0.1 -0.556552 0.556315 257 VSH 2010 -0.32 2022412460 1.2 0.11 -0.570471 0.65937 258 VSH 2009 -0.037879 2722384447 0.85 0.15 -0.62215 0.927437 259 VTO 2011 -1.081081 295506664.2 3.513514 0.02 -0.449594 0.406502 260 VTO 2010 -0.545455 614973328.2 1.675325 0.03 -0.344722 0.798499 261 VTO 2009 0.235294 714000000 0.826891 0.01 -0.240771 1.117132 TSSL ME BM ROA I/A BETA ... m Neurosolutions B ng 4.12: So sánh hai mơ hình d báo TSSL - ix DANH M Hình 2.1: Di n bi n th TH ng ch n 2000-2011 Hình 3.1: Mơ hình nghiên c u Hình 4.1: Mơ hình d báo TSSL ch ng khốn Hình 4.2:... M Hakan Satman (2005), so sánh ho Lu d ng ch tiêu : RMSE, MAPE, ng d báo c a mơ hình ch n ch so sánh hai mơ hình d báo: MSE MAPE, B ng 2.1 : Tóm t t ch so sánh mơ hình d báo Tác gi Các ch tiêu... xác d báo H s t s gi a RMSE c a mơ hình d báo RMSE c a mơ hình d báo thơ gi U (Y Y ) t t (Y Y ) t t U1: mơ hình d báo cịn x Trong th c t báo thơ