{"id":30198,"date":"2023-12-07T09:02:54","date_gmt":"2023-12-07T09:02:54","guid":{"rendered":"https:\/\/masterskills.org\/blog\/mo-hinh-ba-yeu-to-fama-va-french-fama-and-french-three-factor-model-la-gi-dac-diem.html"},"modified":"2023-12-23T06:12:18","modified_gmt":"2023-12-22T23:12:18","slug":"mo-hinh-ba-yeu-to-fama-va-french-fama-and-french-three-factor-model-la-gi-dac-diem","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/mo-hinh-ba-yeu-to-fama-va-french-fama-and-french-three-factor-model-la-gi-dac-diem.html","title":{"rendered":"M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French (Fama and French Three Factor Model) l\u00e0 g\u00ec? \u0110\u1eb7c \u0111i\u1ec3m"},"content":{"rendered":"
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\u1ea2nh minh h\u1ecda. Ngu\u1ed3n: John Loeber.<\/p>\n<\/div>\n<\/div>\n

M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French<\/font><\/b><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French<\/b> trong ti\u1ebfng Anh l\u00e0\u00a0Fama and French Three Factor Model.<\/b><\/p>\n

M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French (g\u1ecdi t\u1eaft l\u00e0 M\u00f4 h\u00ecnh Fama v\u00e0 French)<\/b> l\u00e0 m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n v\u00e0o n\u0103m 1992, m\u1edf r\u1ed9ng\u00a0m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n\u00a0(CAPM) b\u1eb1ng c\u00e1ch th\u00eam c\u00e1c y\u1ebfu t\u1ed1 r\u1ee7i ro k\u00edch th\u01b0\u1edbc v\u00e0 r\u1ee7i ro gi\u00e1 tr\u1ecb v\u00e0o y\u1ebfu t\u1ed1 r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng trong m\u00f4 h\u00ecnh CAPM.\u00a0<\/p>\n

M\u00f4 h\u00ecnh n\u00e0y xem x\u00e9t kh\u00eda c\u1ea1nh th\u1ef1c t\u1ebf r\u1eb1ng c\u1ed5 phi\u1ebfu gi\u00e1 tr\u1ecb v\u00e0 c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a nh\u1ecf th\u01b0\u1eddng xuy\u00ean c\u00f3 l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t tr\u1ed9i so v\u1edbi th\u1ecb tr\u01b0\u1eddng. B\u1eb1ng c\u00e1ch bao g\u1ed3m hai y\u1ebfu t\u1ed1 b\u1ed5 sung n\u00e0y, m\u00f4 h\u00ecnh s\u1ebd \u0111i\u1ec1u ch\u1ec9nh theo xu h\u01b0\u1edbng v\u01b0\u1ee3t tr\u1ed9i n\u00e0y, khi\u1ebfn n\u00f3 tr\u1edf th\u00e0nh m\u1ed9t c\u00f4ng c\u1ee5 t\u1ed1t h\u01a1n \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 hi\u1ec7u su\u1ea5t c\u1ee7a ng\u01b0\u1eddi qu\u1ea3n l\u00ed. <\/p>\n

C\u00f4ng th\u1ee9c c\u1ee7a M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French<\/font><\/b><\/h3>\n
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\n<\/figcaption><\/figure>\n

\u0110\u1eb7c \u0111i\u1ec3m c\u1ee7a M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French<\/font><\/b><\/h3>\n

Ng\u01b0\u1eddi \u0111o\u1ea1t gi\u1ea3i Nobel, \u00f4ng Dave Fama v\u00e0 nh\u00e0 nghi\u00ean c\u1ee9u Kenneth French, c\u1ef1u gi\u00e1o s\u01b0 t\u1ea1i Tr\u01b0\u1eddng Kinh doanh \u0110\u1ea1i h\u1ecdc Chicago, \u0111\u00e3 c\u1ed1 g\u1eafng \u0111o l\u01b0\u1eddng l\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng v\u00e0 qua c\u00e1c nghi\u00ean c\u1ee9u, nh\u1eadn th\u1ea5y r\u1eb1ng c\u1ed5 phi\u1ebfu gi\u00e1 tr\u1ecb c\u00f3 m\u1ee9c t\u0103ng tr\u01b0\u1edfng c\u1ed5 phi\u1ebfu v\u01b0\u1ee3t tr\u1ed9i. T\u01b0\u01a1ng t\u1ef1, c\u00e1c c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a nh\u1ecf c\u00f3 xu h\u01b0\u1edbng v\u01b0\u1ee3t tr\u1ed9i so v\u1edbi c\u00e1c c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a l\u1edbn.\u00a0<\/p>\n

Theo \u0111\u00e1nh gi\u00e1 c\u1ee7a m\u00f4 h\u00ecnh n\u00e0y, hi\u1ec7u su\u1ea5t c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 v\u1edbi s\u1ed1 l\u01b0\u1ee3ng l\u1edbn c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a nh\u1ecf ho\u1eb7c gi\u00e1 tr\u1ecb s\u1ebd th\u1ea5p h\u01a1n k\u1ebft qu\u1ea3 CAPM, v\u00ec m\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 \u0111i\u1ec1u ch\u1ec9nh gi\u1ea3m cho hi\u1ec7u su\u1ea5t c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a nh\u1ecf v\u00e0 c\u1ed5 phi\u1ebfu gi\u00e1 tr\u1ecb.<\/p>\n

M\u00f4 h\u00ecnh Fama v\u00e0 French c\u00f3 ba y\u1ebfu t\u1ed1: qui m\u00f4 c\u1ee7a c\u00e1c c\u00f4ng ty, t\u1ec9 l\u1ec7 s\u1ed5 s\u00e1ch tr\u00ean th\u1ecb tr\u01b0\u1eddng v\u00e0 l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t m\u1ee9c tr\u00ean th\u1ecb tr\u01b0\u1eddng. N\u00f3i c\u00e1ch kh\u00e1c, ba y\u1ebfu t\u1ed1 \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng l\u00e0 SMB (nh\u1ecf tr\u1eeb l\u1edbn), HML (cao tr\u1eeb th\u1ea5p) v\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u00edt h\u01a1n t\u1ec9 l\u1ec7 ho\u00e0n v\u1ed1n phi r\u1ee7i ro. SMB t\u00ednh \u0111\u1ebfn tr\u01b0\u1eddng h\u1ee3p c\u00e1c c\u00f4ng ty giao d\u1ecbch c\u00f4ng ch\u00fang c\u00f3 gi\u1edbi h\u1ea1n th\u1ecb tr\u01b0\u1eddng nh\u1ecf t\u1ea1o ra l\u1ee3i nhu\u1eadn cao h\u01a1n, trong khi HML t\u00ednh \u0111\u1ebfn tr\u01b0\u1eddng h\u1ee3p c\u00e1c c\u1ed5 phi\u1ebfu gi\u00e1 tr\u1ecb v\u1edbi t\u1ec9 l\u1ec7 s\u1ed5 s\u00e1ch tr\u00ean th\u1ecb tr\u01b0\u1eddng cao t\u1ea1o ra l\u1ee3i nhu\u1eadn cao h\u01a1n.<\/p>\n

C\u00f3 r\u1ea5t nhi\u1ec1u tranh lu\u1eadn v\u1ec1 vi\u1ec7c xu h\u01b0\u1edbng l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t tr\u1ed9i x\u1ea3y ra l\u00e0 do t\u00ednh hi\u1ec7u qu\u1ea3 hay phi hi\u1ec7u qu\u1ea3 c\u1ee7a th\u1ecb tr\u01b0\u1eddng. V\u1edbi nh\u1eefng ng\u01b0\u1eddi cho r\u1eb1ng do t\u00ednh hi\u1ec7u qu\u1ea3 c\u1ee7a th\u1ecb tr\u01b0\u1eddng, l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t tr\u1ed9i th\u01b0\u1eddng \u0111\u01b0\u1ee3c gi\u1ea3i th\u00edch b\u1edfi r\u1ee7i ro v\u01b0\u1ee3t m\u1ee9c m\u00e0 c\u1ed5 phi\u1ebfu gi\u00e1 tr\u1ecb v\u00e0 c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a nh\u1ecf ph\u1ea3i \u0111\u1ed1i m\u1eb7t do chi ph\u00ed v\u1ed1n cao h\u01a1n v\u00e0 r\u1ee7i ro kinh doanh l\u1edbn h\u01a1n.\u00a0<\/p>\n

V\u1edbi nh\u1eefng ng\u01b0\u1eddi cho r\u1eb1ng do t\u00ednh phi hi\u1ec7u qu\u1ea3 c\u1ee7a th\u1ecb tr\u01b0\u1eddng, s\u1ef1 v\u01b0\u1ee3t tr\u1ed9i \u0111\u01b0\u1ee3c gi\u1ea3i th\u00edch nh\u01b0 sau: nh\u1eefng ng\u01b0\u1eddi tham gia th\u1ecb tr\u01b0\u1eddng \u0111\u1ecbnh gi\u00e1 kh\u00f4ng ch\u00ednh x\u00e1c gi\u00e1 tr\u1ecb c\u1ee7a c\u00e1c c\u00f4ng ty n\u00e0y, \u0111i\u1ec1u n\u00e0y mang l\u1ea1i l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t m\u1ee9c trong th\u1eddi gian d\u00e0i khi gi\u00e1 tr\u1ecb t\u1ef1 \u0111i\u1ec1u ch\u1ec9nh l\u1ea1i. C\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 tin v\u00e0o\u00a0Gi\u1ea3 thuy\u1ebft th\u1ecb tr\u01b0\u1eddng hi\u1ec7u qu\u1ea3\u00a0(EMH) c\u00f3 nhi\u1ec1u kh\u1ea3 n\u0103ng \u0111\u1ed3ng \u00fd v\u1edbi ph\u00eda \u1ee7ng h\u1ed9 xu h\u01b0\u1edbng l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t tr\u1ed9i x\u1ea3y ra l\u00e0 do t\u00ednh hi\u1ec7u qu\u1ea3 c\u1ee7a th\u1ecb tr\u01b0\u1eddng.<\/p>\n

(Theo\u00a0Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n M\u00f4 h\u00ecnh ba y\u1ebfu t\u1ed1 Fama v\u00e0 French (ti\u1ebfng Anh: Fama and French Three Factor Model) l\u00e0 m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n v\u00e0o n\u0103m 1992, m\u1edf r\u1ed9ng m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n (CAPM) b\u1eb1ng c\u00e1ch th\u00eam c\u00e1c y\u1ebfu t\u1ed1 r\u1ee7i ro k\u00edch th\u01b0\u1edbc v\u00e0 r\u1ee7i ro gi\u00e1 tr\u1ecb v\u00e0o y\u1ebfu t\u1ed1 r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng trong m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n CAPM.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30198"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=30198"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30198\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=30198"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=30198"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=30198"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}