Open AccessINVESTMENT PERFORMANCE BY INDUSTRY IN VIETNAM
Author(s) -
Liem Thanh Nguyen,
Thien Dinh Nguyen,
Hung Nhu Duong
Publication year - 2015
Publication title -
khoa học công nghệ
Language(s) - English
Resource type - Journals
ISSN - 1859-0128
DOI - 10.32508/stdj.v18i1.1019
Subject(s) - capital asset pricing model , sharpe ratio , profitability index , cash flow , economics , econometrics , consistency (knowledge bases) , investment (military) , financial economics , actuarial science , business , computer science , portfolio , finance , politics , political science , law , artificial intelligence
This paper evaluates the performance of nine industries under ICB classification scheme from Datastream, employing 3 popular measures: Sharpe ratio (1994), alpha based on CAPM model (Sharpe, 1964; Lintner, 1965) and Fama and French (1993). These measures allow the comparison of operating performance of portfolios taking into consideration of the risk born by investors. CAPM and Fama and French models are utilized to test the systematicness rather than randomness in obtaining positive/negative excess returns.Analyzing industry performance using risk-adjusted measures is critical because present studies in Vietnam are mostly involved in dissecting conventional indicators and qualitative analysis of macroeconomic news. In addition, we conduct further analysis of profitability, cash flow management and EPS to verify the rationality of the 3 indicators and examine problems that firms in some industries are faced. The findings show a consistency among the 3 measures and the comprehensiveness of performance measurement isbetter guaranteed.