tailieunhanh - Estimating beta of Vietnam listed contrusction company group during the financial crisis 2007 - 2009
This paper provides both internal and external investors with two risk parameters, Equity and asset beta, indicating investment parameters, as reference in their investment activities, because of a normal concept that riskier investment requyring better ROI. It alsogives financial institutions, companies and government more evidence in managing their policies. | International Integration Dinh Tran Ngoc Huy MBA, University of Economics and Finance (UEF)– GSIM, International University of Japan, Japan A fter the financial crisis 2007-2009, the Vietnam stock market, in general, has certain unexpected movements and the Vietnam construction industry, in detail, has to re-evaluate the risk level. First, we use proper traditional model to estimate Equity beta and asset beta of three (3) groups of listed companies in Vietnam construction industry and found out that the values of beta during 2007-2009 acceptable, excluding a few cases. Second, through comparison among three (3) different groups, we find out that there is not large disperse in beta values in these construction firms. Besides, beta values of firms in real estate industry tend to be higher than those in building material and construction industries. Finally, this paper provides both internal and external investors with two risk parameters, Equity and asset beta, indicating investment parameters, as reference in their investment activities, because of a normal concept that riskier investment requyring better ROI. It also gives financial institutions, companies and government more evidence in managing their policies. Keywords: Equity beta, financial structure, financial crisis, risk, asset beta, construction industry 84 PHÁT TRIỂN & HỘI NHẬP Số 5 (15) - Tháng 7-8/2012 International Integration construction companies tend to impose a high risk level or beta should higher than (>) 1. Literature review Introduction Although the issue of measuring beta as one main factor in the CAPM model has been done by lots of researchers, this paper emphasizes on analyzing a very short period in construction industry in one of emerging markets: Vietnam stock market during the financial crisis 2007-2009. Then, we compare the estimated results of listed Vietnam building material companies to those in its supply chain activities such as construction and real estate companies to .
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