Đầu tư giá trị và tỷ suất sinh lời tại việt nam chuyên ngành tài chính ngân hàng tt tiếng anh

SUMMARY The main content of the thesis is to study the impact of three factors: the value of the stock, the quality of the stock and the investment horizon of the stock on the equity val

MINISTRY OF EDUCATION AND TRAINING SATE BANK OF VIET NAM

BANKING UNIVERSITY HO CHI MINH CITY

TRAN TUAN VINH

VALUE INVESTING AND RETURN IN VIET NAM

SUMMARY OF DOCTORAL THESIS IN ECONOMICS

Major: Finace - Banking Code: 9.34.02.01

Scientific instructor: ASSOC PROF., PHD LE THI TUYET HOA

Ho Chi Minh City - 12/2019

1

2 LIST OF PUBLICATIONS RELATED TO THE THESIS

1 Le, H T T., Tran, V T., Nguyen, N T P., Ngo, N S., & Huynh, T L D (2018) The Influence of Peg and F_Score on Stock Return by Valued Investment Portfolios: Empirical

Evidence from Vietnam Asian Economic and Financial Review, 8(3), 366

2 Le Thi Tuyet Hoa, Tran Tuan Vinh & Nguyen Pham Thi Nhan (2018) Effectiveness of

application of value-investing methods on Vietnam's stock market Journal of Banking Technology.

SUMMARY

The main content of the thesis is to study the impact of three factors: the value of the stock, the quality of the stock and the investment horizon of the stock on the equity value of the stock in value investing on Vietnam's stock market In particular, the thesis uses PEG coefficient as a value factor and F_Score score as a quality factor

The thesis uses Athanassakos (2013) model to study the relationship of the impact of PEG and F_Score coefficients on return of value investing and GMM regression model to estimate parameters In addition, to study the relationship of term to the return of value investing, the thesis uses the research directions of Li, Liu, Bianchi & Su (2012) and Bennyhoff (2009) The research data includes 1,667 observations, summarized in the period from 5/2007 - 5/2017, are enterprises listed on the Ho Chi Minh Stock Exchange, collected from FiinPro financial software, website of listed businesses, website of Ho Chi Minh Stock Exchange and IMF The research results show that: firstly, the average of average return of the portfolio of value stocks on Vietnam's stock market is higher than the average of the market portfolio of 15.65% And the PEG coefficient is inversely proportional to the stock's return Secondly, when integrating F_Score score into value investing, the superiority of return of the stock portfolio compared to the market increased to 20.66% And the F_Score score is proportional to the stock's return Thirdly, the investment term is proportional to the return of the investment value This means that the longer the investment term, the higher the return on return of investment

Key keywords: value investing, return, PEG, F_Score, investment horizon, GMM, Vietnam

stock market

CHAPTER 1: INTRODUCTION OF THE STUDY

1.1 The necessity of the subject

1.1.1 Practical context

The theory of value investing was first mentioned in the Theory of Investment Value in 1938

by John B Williams Completed and popularized when Benjamin Graham published The Intelligent Investor in 1949 The theory of value investing helps investors identify stocks what can bring high return, by selecting stocks with good quality, good growth and intrinsic value higher than market value

Today, the theory of value investing is considered to be one of the most effective methods for stock investors in the world, there are many successful investors in the world are using this theory, such as: Warren Buffett, Peter Lynch, Joel Greenblatt, Walter Schloss (Vanhaverbeke, 2014)

Along with the development of the stock market, the application of value investing theory is also very popular in Vietnam According to the research of Le Thi Tuyet Hoa, Tran Tuan Vinh

& Nguyen Pham Thi Nhan (2018) shows that value investing theory is the most applicable theory on Vietnam stock market, with the rate of this theory application for 77% of total investors surveyed

However, in Vietnam, the return of applying value investing theory is not really outstanding compared to the application of other investment theories (Le Thi Tuyet Hoa, Tran Tuan Vinh

& Nguyen Pham Thi Nhan, 2018 )

The question is why the effectiveness of the application of value investing theory of investors

on Vietnam's stock market is limited? How to improve investment efficiency for value investors in Vietnam stock market? In order to answer these questions, it is necessary to study the factors that affect the stock return in value investing of investors in Vietnam stock market

1.1.2 Theoretical context

If other investment theories show that the factors affecting the stock return come from the outside of the stock, the value investing theory provides the view that the factor influences the stock return come from inside of stocks This theory shows that stocks have intrinsic value and that this value is determined through valuation (William, 1938; Graham, 1949) Studies on the impact of intrinsic value factors on stock return of Basu (1977), Chan, Hamao, and Lakonishok (1991), Fama and French (1992 & 1998), Chen and Zhang (1998), Kang and Ding (2005), Chahine (2008), Athanassakos (2009) and Pham Huu Hong Thai & Nguyen Vu Hong Phuong (2015) all show that stocks with intrinsic value higher than market prices bring return higher than stocks has intrinsic value lower than market price

The second factor affecting the stock return in value investing is the quality factor of the stock (such as revenue, profit, growth rate, debt ) According to Graham (1949), stocks with good quality will have high return Sharing the view with Graham (1949), Fisher (2003) also argued that the quality of a stock affects the stock return Studies of Piotroski (2000), Mohr (2012), Galdi et al (2013), Hyde (2014) and Vo Thi Quy & Bui Thanh Truc (2015), Lynch (1989),

Greenblatt (2010), Novy- Marx (2013), Athanassakos (2013), and Fama (2015) also show that the quality factors affect the stock return

Warren Buffett adds a third factor which is that investment horizon also affects the return of stocks in value investment (Nikki Rose, 2000); According, holding long term value stocks will result in the stock return higher than short term holdings

From the practical and theoretical contexts, we can be seen that the study of the impact of three factors: the value of the stock, the quality of the stock and the investment horizon of the stock

on the return of the stock in the value investing in Vietnam stock market is a very necessary issue From there, it is possible to make policy suggestions to help improve return in value investing on Vietnam's stock market

1.2 Research gaps

From reviewing and discussing researches on the impact of the value investing theory on stock returns, th thesis found the following research gaps:

• The first gap, when using P/E and BM as a valuation factor, the above studies ignore the

importance of the growth factor for the valuation of stocks as mentioned in Graham (1949, 1973), Lynch (1989), Fisher (2003) and Buffett (Hangstrom, 2005) To solve the first gap, the thesis will use the PEG ratio as a value factor to study the impact of the stock value factor on the return of value investment

• The second gap, the F_Score built in Piotroski's (2000) research, reflects well the quality of

the stock; however, the model used to study the impact of F_Score on return of value investment is inappropriate; Meanwhile, the model of the impact of the quality factor of the stock on stock return in Athanassakos (2013) is very suitable but the Score was built by Athanassakos (2013) to represent the quality factor of the stock is not appropriate again; To solve the second gap, the thesis will use the F_Score score as a representative of the stock's quality factor to study the impact of a stock's quality factor on the return of value investment

At the same time, using the economic model in the research of Athanassakos (2013) to study the impact of the value and quality factors of stocks on the return of value investment

• The third gap, there is very little research on the impact of the investment horizon on the

return of value investment Therefore, the study of the impact of the investment horizon on the return of value investment is considered a gap To solve the third gap, the thesis will study the effect of the investment horizon on the return of valuable investment with terms from 1 to 5 years

1.3 Objectives of the study

• Determining the impact of the stock value factor on the stock return in value investing on Vietnam's stock market

• Determining the impact of the quality factor of stocks on the stock return in value investing

on Vietnam's stock market

• Determining the impact of the investment horizon on the stock return in value investing on Vietnam's stock market

• Proposing solutions and recommendations for the State and investors to improve the quality

of the return of value investing in Vietnam's stock market

1.5 Object and scope of the study

• Object of the study: the impact of factors on the stock return in value investing on Vietnam

stock market

•Research scope:

- Scope of space: limited research on stocks listed on Ho Chi Minh Stock Exchange

- Time range: The study was conducted with review data from 5/2007 - 5/2017

- Scope of content: research on value investment in stocks with the following content limits: (i) with respect to the quality factors of stocks, only quantitative criteria are used; (ii) For the stock valuation method, only the multipliers (or comparison) method does not use the discounted cash flow valuation method or asset valuation method

1.6 Contribution of the research topic

• About practice

- See the impact of the value factor, the quality factor of the stock and the investment horizon

on the stock return in value investing in Vietnam

- Disseminate PEG valuation method and F_Score model to investors in Vietnam

- Providing for value investors in Vietnam with reasonable solutions and recommendations to improve the return through the good selection of valuation factors, quality factors of stocks and investment horizon

- Making recommendations for the State to develop the application of value investing theory

- Adding research on the impact of the investment horizon on the return of value stocks

1.7 Methods and research data

To prove the 1st and 2nd hypothesis, the thesis uses economic model of Athanassakos (2013) The formula of the model is as follows:

At the same time, the PhD student used the System-GMM method to estimate the coefficients

of the model, after checking the table data parameter estimation methods: Pooled OLS, FEM and REM

To prove the third hypothesis, the thesis uses the research direction of Li, Liu, Bianchi & Su (2012) to prove the following four specific hypotheses: Hypothesis 3.1: Average annual return

of value and good quality stock portfolio is proportional to the investment horizon Hypothesis 3.2: The difference between return of good value stock portfolio and risk-free rate is proportional to the investment horizon Hypothesis 3.3: The difference between the return of good value stock portfolio and the return of market portfolio is proportional to the investment horizon And hypothesis 3.4: Sharpe ratio of good value stock portfolio is proportional to the investment horizon

1.7.2 Research data

The research data includes 1,667 observations, synthesized in the period from 5/2007 - 5/2017, are businesses listed on the Ho Chi Minh Stock Exchange, collected from FiinPro financial software, website of listed businesses, website of Ho Chi Minh Stock Exchange and IMF

1.8 The new points of the thesis

• The first new point is that the thesis uses the F_Score to select good quality stocks, and uses

the PEG valuation to identify undervalued stocks (or value stocks) to research on the return of value investment This valuation is more prominent than the P/E or BM valuation that most researches on value investing use, because it integrates the growth rate of the business

• The second new point is the thesis using Athanassakos model (2013) to study the impact of

F_Score and PEG valuation on stock return, while most previous studies all use the research model of Piotroski (2000)

• The third new point is that the thesis studies the impact of the investment horizon on the

return of value stocks; Meanwhile, most of the studies on the impact of the term of investment

on the efficiency of investment are studied on the overall stock of the entire market

• The fourth new point is that the thesis uses four criteria at the same time to study the impact

of the investment horizon on the return of value stocks, including: (i) return of value stocks, (ii) outperform return of the portfolio of value stocks against risk-free rate, (iii) outperform return of the portfolio of value stocks compared to the market average return, and (iv) Sharpe ratio of the portfolio of value stocks

• The fifth new point is that the thesis uses system-GMM method to estimate the coefficients

in the regression model Meanwhile, most other researches use the Pooled OLS method

• The sixth new point is that the thesis offers solutions and recommendations to help value

investors to improve their return on equity in the Vietnam stock market

1.9 The structure of the thesis

The thesis is structured with 5 chapters:

Chapter 1: Introduction of study

Chapter 2: Theoretical basis of the factors affecting the return of value investing

Chapter 3: Research methodology

Chapter 4: Research results and analysis

Chapter 5: Conclusions and recommendations

CHAPTER 2: THEORETICAL BASIS OF THE FACTORS AFFECTING THE RETURN OF VALUE INVESTING

2.1 The theories of investment

According to Burton, G Malkiel (2007), investment is a method of buying assets to make a profit in the form of reasonably predictable income (such as dividends, coupon or rental income) and / or investment value will increase after a long time Therefore, one of the important research topics of modern finance is the development of investment theories to help investors identify high stock return by studying the factors impact on the stock's return Common investment theories such as:

 Castle-in-the-Air Theory

 Value Investing

 Modern Portfolio Theory – MPT

 Capital Asset Pricing Model_ CAPM

 Arbitrage Pricing Theory – APT

 Efficient Market Hypothesis

 Behavioral Finance Theory

2.2 Value Investing

2.2.1 Outline the development of value investing

In 1938, The theory of Investment Value was first presented in the work of The Theory of Investment Value by John B Williams William (1938) proposed a formula to determine the intrinsic value of a stock based on dividend income and the concept of discount

In 1949, Value Investing was perfected and became popular when Benjamin Graham published The Intelligent Investor Unlike Williams (1938) who only provided the method of determining intrinsic value, Graham (1949) proposed a method (later called the Value Investing theory) to help investors is possible to identify stocks which are likely to bring about high returns by selecting stocks with good quality and growth, determining the intrinsic value of these stocks, and then buying stocks which have intrinsic value higher than market value (called stocks underpriced by market _ UnderValue) The content of the Graham theory (1949,1973) revolves around two basic assumptions that (i) each stock has an intrinsic value that can be determined

by the valuation method (ii) stock price will oscillate around and be affected by intrinsic value Therefore, return of stocks will be influenced by two main groups of factors, namely the value and quality factors of stocks

According to Graham (1973), the criteria for selecting good quality stocks are: (i) Company size (ii) Financial status of the company (iii) The stability of company profits (iv) History of dividend payment of the company (v) Growth potential of the company At the same time, Graham (1973) used the comparative method (also called the multiplier method) to determine the intrinsic value of a stock, namely the P/E ratio (market price on EPS) and P/B (market price

on book value)

Graham's (1973) theory has two major limitations:

- Firstly, the criteria presented by Graham (1973) lack the criteria to evaluate the profitability

of the company In addition, the criteria for selecting quality stocks by Graham (1973) are still disjointed and unconnected to make a reasonable assessment of the quality of stocks

- Secondly, when determining the intrinsic value of the stock, Graham (1973) uses P/E and P/B valuation, which shows that Graham did not care about the impact of growth on intrinsic value of stock

In 2003, Fisher (2003) added qualitative criteria when determining quality stocks, highlighting the effects of growth when determining the intrinsic value of stocks and proposing equity investments with long tern for high return However, Fisher's theory (2003) also has some limitations such as: (i) Focusing on qualitative criteria, it will cause many difficulties for investors when applying to assess the company; (ii) This theory has little focus on financial indicators; (iii) It is not clear about the relationship of the P/E ratio and the growth potential of the company to see clearly when the stock is undervalued

According to Hagstrom (2005), Warren Buffett developed the Value Investing theory by combining Graham's quantitative criteria (1949) and Fisher's qualitative (2003) to select quality stocks and use the discount cash flow model (DCF) of Williams (1938) to valuate stock;

at the same time, adding investment horizon factors However, Buffett's theory has two limitations: first, the criteria for selecting quality stocks proposed by Buffett are still disjointed

so that they can not properly assess the quality of stocks In this respect, the F_Score system

to select quality stocks of Piotroski (2000) performed better Second, Buffett's intrinsic value that based DCF method is quite complicated for application investors and difficult to research

In this respect, the PEG method of Lynch (1989) is more appropriate

2.2.2 Content of value investing theory

2.2.2.1 Identify undervalued stocks

According to Damodaran (2012), there are currently three methods of determining the intrinsic value of common stocks that have been used: discounted cash flow; asset valuation; and comparison valuation (multipliers) The thesis uses the method of comparison with PEG ratio

as a value factor to determine the value of stocks

Determine the PEG ratio:

PEG = P E⁄

g x 100

In which, g is the estimated growth rate

Indicators for measuring growth rate

Graham (1973) used EPS to measure growth According to Hangstrom (2005), Buffett uses the free cash flow of equity (FCFE) to calculate growth and this growth rate must be stable for many years in the past Lynch (1998) uses profits to assess business growth Fisher (2003) places the interest of a growth company in revenue

However, using the company's after-tax profit or EPS to calculate growth is more appropriate Because for investors, profit after tax or EPS is the most concerned target, because it accurately

reflects the performance of the company and the ultimate benefit of investors when buying stocks, all benefits of investors are calculated based on the results of this indicator In addition, this is also data that investors can easily understand and calculate

Ways to quantify growth

According to Damodaran (2012), there are currently 3 common ways to forecast the growth rate of revenue or profit or any cash flow of the company:

Firstly, estimate the growth rate based on the company's fundamentals The intrinsic growth rate of the enterprise is calculated by the formula: g = b * ROE, where b is the rate of retained earnings and ROE is return on equity

Second, use data from stock analysts to give a reasonable estimate of the growth rate

Third, use historical data In value investing, thesis recommends using this calculation method

to determine the future growth rate Because the nature of value stocks is good stock, one of the important criteria to evaluate good stocks of value investing is that the company must have

a stable growth in the past

2.2.2.2 Choose good quality stocks

Piotroski (2000) selected good quality stocks by using the F_Score score determined by using nine signals to score the financial performance of the business F_Score is the total score of the criteria, so the score will range from 0 - 9 points F_Score of 9 indicates the business with the best financial signal, with 0 representing the worst financial signal F_Score points will be divided into 3 grades: 0 - 4 points is low, 5 points are average, 6 - 9 points are high

Table 2.1: Criteria for scoring financial indicators in F_Score

Indicator group Indicators Symbol Point =1 Point = 0

assets turnover ∆TURN ∆TURN > 0 ∆TURN < 0

Source: Piotroski (2000)

2.2.2.3 Horizon of Value Investing

• Concept of investment term

According to the SEC (2009) (US Securities Commission), the investment horizon is the period

of time, usually expressed in months, years or decades that investors plan to invest to achieve the financial goals of yourself Long term investment period (long term) is the investment period of 3 years or more Short-term investment (short term) is the investment period of 1 year or less The period from over 1 to less than 3 years is considered as the medium term (According to the definition of NASDAQ Stock Exchange, USA)

• Factors affecting investor's choice of investment horizon

- Characteristics of the source of capital used for investment

- Freedom of trading and ability to tolerate liquidity shortage

- Organizational structure of the investor

- How to evaluate investment results and pay rewards for investment managers

- The degree of freedom of capital rotation on the stock market

- Investment philosophy of investors

- Information used to make investment decisions

• Investment horizon of value investing

The investment term of value investments is long term, so value investors are long-term investors Long-term investment will bring benefits to value investors:

- Facilitate increasing investment efficiency

- Bring more opportunities for value investors

- Ability to invest in stocks that are illiquid but have high profit potential

- Bring lower costs to value investors

- Helps reduce risks for value investors

2.3 Return of value investing in the stock market

2.3.1 The concept of the return on value investing on the stock market

The return of value investing on the stock market is the result of a comparison between the amount of money that investors gain and the initial capital they spend to invest in one or a number of value stocks (called a stock value portfolio) in the stock market in a certain period Usually to see the real effect of the investment, investors often calculate this return per unit of risk or compare it with the return of a reference porfolio Investors can calculate gross return for the total investment period or calculate the average return for an investment period to determine the efficiency of their investment, the most common calculation is the average return for the 1-year term

2.3.2 Indicators for measuring the return of value investing on the stock market

Sharpe ratio: this ratio indicates the return per unit of overall risk, which is used to evaluate

the performance of diversified portfolios

Where Sh is the Sharpe ratio, Ṝ is the portfolio's return, Rf is the risk-free return, Ϭ is the portfolio's standard deviation

Treynor ratio: This ratio reflects the systematic risk compensation or return per unit of

systematic risk This factor is used to evaluate the performance of the portfolio that has been fully diversified

Where Th is the Treynor ratio, Ṝ is the portfolio's return, Rf is the risk-free return, β is the beta

of the portfolio calculated according to the CAPM model

Jensen's alpha index: This index reflects the difference between real profit and reasonable

profit determined through CAPM theoretical models

α = Rp (real) – (Rf + βp (Rm – Rf))

In where, Rp (real) is the real profit of the portfolio, Rf is the risk-free profit, βp is the beta of the portfolio, Rm is the expected return of the market

The Treynor-Black ratio, or appraisal ratio: indicates the excess returns of the real return

to the theoretical return per unit of non-systematic risk of the portfolio

𝐴𝑅 =𝛼

𝜎With α being the alpha index of Jensen (1968), σ is the standard deviation of the portfolio calculated according to the standard deviation of the stocks that make up the portfolio The higher of AR, the more effective of the porfolio

Compare with return of the portfolio: With this measure of investment efficiency, investors will calculate return of the portfolio being studied; After that, compare with return of a standard portfolio selected for comparison, the most popular being the market portfolio

2.3.3 The impact of factors on the return of value investing

2.3.3.1 Impact of stock value factor on the return of value investing

The PEG will be used to represent the value factor Most studies show that stocks with low PEG will bring higher return to investors than stocks with high PEG Therefore, the PEG ratio

is inversely proportional to the stock return of value investing in Vietnam stock market

2.3.3.2 The impact of quality factor on the return of value investing

The F_Score score will be used to represent a good stock factor in this study Research results

of Piotroski (2000) showed that the list of value stocks with high F_Score resulted in excess return (23%) compared to the portfolio of value stocks with F_Score low and excess return (7.5% ) compared to return of the market average Therefore, the F_Score will have a positive impact on the stock return of value investing in Vietnam stock market

2.3.3.3 The impact of the investment horizon factor on the return of value investing

Studies show that the investment horizon has a positive impact on the return of value investing The impact of the term of investment on the return of value investing on the stock market takes place according to the following transmission mechanisms:

• Firstly, the basic elements of value stocks tend to increase sharply over time, thereby affecting the return of value investing

• Secondly, the investment horizon will affect the ability to maintain the investment status, thereby affecting the return of value investing

• Thirdly, the term of investment will impact on the ability of value investors to exploit opportunities, thereby affecting the return

• Fourthly, the investment horizon will impact on transaction costs, thereby affecting the return

of value investing

2.4 Literature review

2.4.1 Study the impact of value factor on the return of value investing

When studying the impact of the valuation factor on the return of value investing, in most studies, the selected factor is P/E and / or BM Basu's study (1977), Chahine (2008) showed that stocks with low P/E ratio (ie high intrinsic value) will have return higher than stocks with high P/E ratio (i.e low intrinsic value) Research by Chan, Hamao, and Lakonishok (1991), Fama and French (1992), Fama and French (1998), Chen and Zhang (1998) and Kang and Ding (2005) show that stocks have high BM ratios (ie high intrinsic value) will have return larger than stocks with low BM (ie low intrinsic value) The studies of Athanassakos (2009), Pham Huu Hong Thai and Nguyen Vu Hong Phuong (2015) used two P/E and BM valuation factors together, the results showed that stocks with low P/E ratio will have return larger than stocks with high P/E ratios and stocks with high BM will have return higher than stocks with low BM Thus, most of the researches in the scope of PhD student's profile have agreed with the value investing theory, which means that stocks with high intrinsic value will have return higher than stocks with low intrinsic

However, these studies have two important disadvantages: Firstly, the scientists stated that value stocks are only stocks that are undervalued, ignoring the quality of stocks as per opinion

of Graham (1949); The porfolio that are sorted by P/E and BM, is return not as high as the quality and undervalued portfolio (Athanassakos, 2012) Research by Le Thi Tuyet Hoa, Tran Tuan Vinh & Nguyen Pham Thi Nhan (2018) also shows that investors use P/E or BM to evaluate and select value stocks have low investment return Second, when using P/E and BM

as a valuation factor, the above studies ignore the importance of the growth factor for determining the value of stocks as mentioned in Graham ( 1949, 1973), Lynch (1989), Fisher (2003) and Buffett (Hangstrom, 2005)

2.4.2 Study the impact of value and quality factors on the return of value investing

When studying the simultaneous impact of the value and quality factors of the stock on the return of value investing, the study will follow three steps: Step 1 using valuation ratios to choice in the data sample a list of undervalued stocks Step 2 will continue to sort this portfolio

by using stock quality indicators; after two filtering times, there will be stock porfolio that ensure two factors: stocks are undervalued and good quality; Next, the performance of these portfolios will be measured by comparing their return with the market return or the portfolio

of high-value stocks to evaluate the effectiveness of the portfolio of value stocks And, step 3, the research will find the correlation between the return of the stock portfolio with the valuation and quality factors In this group of researches, Piotroski (2000) and Athanassakos (2013) are more prominent in the study of the effect of quality factors on stock returns, because in their research model, the two authors have built a scoring system of stock quality criteria

Piotroski (2000) used BM valuation ratio and a system of financial indicators to calculate the points of stocks (called F_Score) to select stocks with high intrinsic value and good quality to include in the portfolio The research results show that the quality factor (F_Score) is directly proportional to the return of value stocks and value stock portfolios with high F_Score are excess returns 23% compared to the stock portfolio with low F_Score Inheriting the research direction of Piotroski (2000), the studies of Mohr (2012), Galdi et al (2013), Hyde (2014) and

Vo Thi Quy & Bui Thanh Truc (2015) also show that the portfolio with a high F_Score score will be return better than a stock portfolio with a low F_Score

The emphasis of this study is to build an F_Score that fully links three key aspects of corporate financial health, including: profitability, performance and financial leverage However, these studies have three major disadvantages: First, the use of BM valuation factor will lead to ignoring the growth factor of the company Secondly, in research methodology, when studying the effect of F_Score on the return of the value stock portfolio, most previous studies used the research model of Piotroski (2000) In this model, the presence of two accumulating interest variables (Accrual) and the new offering variable (Offer) coincide with the calculation of the F_Score score, this will falsify the impact of the F_Score on the return of value investing The thesis found that the research model of Athanassakos (2013) will be better than the model used

in Piostroski (2000) Thirdly, in the regression method to estimate parameters of independent variables, most of the research-oriented works of Piotroski (2000) use the Pooled OLS model

to run table data However, the results obtained from running the Pooled OLS model are very prone to defects such as heteroskedasticity, autocorrelation and especially endogenous phenomena when running research data

Unlike Piotroski (2000), the study of Athanassakos (2013) uses P/E as a valuation factor and Score as a quality factor of stocks to study the impact of value and quality factors on the return The most prominent point of Athanassakos (2013) is that like Piotroski (2000), a system of financial indicators (Score) is used to measure the quality of stocks Research results of Athanassakos (2013) showed that the return of the stock portfolio with low Score outperformed

the return of the stock portfolio with high Score The results of this research agree with the viewpoint of value investing theory Unlike the F_Score score, the criteria used to calculate the Score do not overlap with independent variables in the research model; however, the limitation of Score is to cover a wide range of internal and external indicators, qualitative and quantitative This will make it difficult to appreciate the quality of the stock and hard to calculate for investors Therefore, in the content of this thesis, the PhD student uses the F_Score as the quality factor of stocks combined with the model of Athanassakos (2013) to study the impact of quality factors on stock returns

2.4.1.3 Study the impact of the investment horizon on the return of value investing

Through a review of the before researches, it shows that there are very few studies on the impact of the investment horizon on the return of value investment Piotroski (2000) when studying the impact of the valuation and quality factors of stocks that mention the impact of the term of investment on the return of value investment; The research results show that the high F_Score and value stock group has return after 1 and 2 years holding respectively 23.9% and 47.9% higher 5.9% and 12.7% compared to the market Vo Thi Quy & Bui Thanh Truc (2015) applied the research method of Piotroski (2000) to study the effects of the valuation and quality factors of stocks also show that the return is in the investment period 1 year and 2 years

of the value stock portfolio with high F_Score compared to the portfolio with low F_Score is 16.1% and 41.3% respectively However, these two studies only mentioned the 1-year and 2-year terms so it was impossible to conclude that the investment term was directly proportional

to the return of value investing

Although, the research on the topic of the impact of the investment horizon on the return of value stocks is very little mentioned, but there are many studies on the topic of the impact of the term on the investment efficiency of the general stock (not a group of value stocks) Most studies suggest that long-term investments will be more effective than short-term investments from the perspective of return and/or risks Or the term of investment will have a positive impact on the return and inversely to the risk

CHAPTER 3: RESEARCH METHODOLOGY

3.1 Research hypotheses

• Hypothesis 1: PEG coefficient is inversely proportional to the return of stocks in value

investing in Vietnam stock market

• Hypothesis 2: F_Score score is proportional to the stock return in value investing in

Vietnam stock market

• Hypothesis 3: the investment horizon will be proportional to the return of the stock in value

investment in Vietnam stock market

3.2.1.2 Proposed research model

Based on the Athanassakos model (2013), in order to find the relationship of the impact of PEG and F_Score to return of value investment, the thesis changed P E to PEG and SCORE becomes F_Score, to form the model as follows:

Rit – Rft = a + b(R mt – R ft) + c(Rst – Rbt) + d(R lt – R ht) + e(Rhft – Rlft)+ eit

In which:

Rft is the risk-free return at time t

Rmt is the of the market portfolio

Rst is the return of the portfolio of stocks with small market capitalization at time t

Rbt is the return of the portfolio of stocks with large market capitalization at time t

Rlt is the return of the portfolio of stock with PEG less than or equal to 1 at time t

Rht is a return of the portfolio of stocks with PEG greater than 1 at time t

Rlft is a return of a portfolio of stocks with low F_ Score at time t

Rhft is a return of a portfolio of stocks with high F_ Score at time t

This model is abbreviated as follows:

RIRF it = a + bRMRF t + cPMARKETCAP t + dPPEG t + ePFSCORE t + eit

In which, RIRFit is (Rit – Rft ); RMRFt is (Rmt – R ft); PMARKETCAPt is (Rst – Rbt); PPEGt is (Rlt – R ht); and PFSCOREt is (Rhft – Rlft)

3.2.1.3 Explain the variables in the proposed model

a Dependent variable: RIRF is the difference between return of value investment and the

risk-free rate (Fama & French, 1992)

RIRFit = (Rit – Rft )

In which, return of i stock at time t (Rit):

 1 , 1 , ,

P

P P R

with, Pi,t and Pi, t-1, in turn, is the adjusted market price for dividend payment and new

offering at time t and t-1 of i stock

b Independent variables

RMRFt: market premium

This is the difference between the market's return and the risk-free rate (Fama & French,

1992 and Athanassakos 2013), calculated by the following formula:

mt

VnIndex VnIndex VnIndex

R

PMARKETCAP: Size premium

This is the difference between the return of the small market capitalization stocks portfolio and the return of the large-cap stock portfolio (Fama & French, 1992 and Athanassakos 2013), calculated by the following formula:

In which,

Rist is the return of i stock at time t in the small market capitalization stocks portfolio

nist is the outstanding number of i shares at time t in the small market capitalization stocks portfolio

Return of the big market capitalization stocks portfolio at time t (Rst) is the average annual return of big market capitalization stocks listed on the Ho Chi Minh Stock Exchange

Rbt = ∑ Ri1 ibt nibt

∑ ni ibt1

In which,

Ribt is the return of i stock at time t in the big market capitalization stocks portfolio

nibt is the outstanding number of i shares at time t in the big market capitalization stocks portfolio

PPEG: valuation premium

This is the difference between the return of the stock portfolio with PEG greater than 0 and less than 1 compared to the stock portfolio with PEG greater than 1 (Schatzberg & Vora,

2009 and Lynch, 1989), calculated by the following formula:

PPEG t = (Rlt – R ht )