Risk and Return Analysis, Stock Valuation, and Application of Capital Asset Pricing Model for Real Estate in Ho Chi Minh Stock Exchange (HOSE)

Abstract

This study aims to analyze the risk characteristics and return rates of real estate investments on the Ho Chi Minh Stock Exchange (HOSE) using the Capital Asset Pricing Model (CAPM). The analysis was conducted based on the closing price data of securities in the real estate group listed on HOSE from December 31, 2015, to December 31, 2020, comprising a total of 33 securities. Additionally, the study incorporated the 5-year government bond yield as a risk-free rate. The findings of the study indicated that there were securities within the real estate group that exhibited an average yield higher than their expected rate of return, suggesting that their prices were undervalued. These securities present potential investment opportunities. Conversely, the study identified 11 real estate securities with an average yield lower than their expected rate of return, indicating that investing in such assets may not be advisable. Furthermore, a comparative analysis of securities' price growth as of December 31, 2020, and April 30, 2022, revealed that out of the 22 securities with an average yield lower than their expected rate of return, 18 experienced price growth. On the other hand, out of 11 securities with an average yield lower than their expected rate of return, 10 also exhibited growth.