A Two Factor Model Influences the Risk Level of Viet Nam Commercial Electric Companies

This research shows marketing factors such as business competitors could affect business marketrisk, from a quantitative point of view. Using a two (۲) factors model, this research paper estimatesthe impacts of not only the size of firms’ competitors, but also leverage in the commercial electricindustry, on the market risk of ۹۹ listed companies in this category.This paper founds out that the risk dispersion level in this sample study could be minimized in casethe competitor size doubles (measured by equity beta var of ۰,۱۵۷) and leverage down to ۲۰% orremaining as current.Beside, the emprical research findings show us that when financial leverage increases up to ۳۰%,max asset beta value decreases from ۰,۲۴۰ to ۰,۲۲۹ in case the size of competitor doubles.Last but not least, this paper illustrates calculated results that might give proper recommendationsto relevant governments and institutions in re-evaluating their policies during and after the financialcrisis ۲۰۰۷-۲۰۱۱.

Keywords:

risk management , competitive firm size , market risk , asset and equity beta , commercial electric industry