Luận án Phân tích đầu tư chứng khoán trên thị trường chứng khoán Việt Nam bằng phương pháp thống kê phân vị

Khi xét nhóm cổ phiếu thuộc ba ngành Tài chính, Ngân hàng và Bảo hiểm, nhóm Bất động sản, Xây dựng, nhóm Hàng tiêu dùng thiết yếu, luận án mở rộng mô hình CAPM bằng cách đưa thêm 2 nhân tố quy mô vốn và giá trị sổ sách vào mô hình – đây chính là mô hình Fama-French. Kết quả cho thấy rằng khi thị trường ổn định cũng như biến động, lợi suất cổ phiếu không phụ thuộc vào quy mô vốn cũng như giá trị công ty. Cuối cùng, nghiên cứu bổ sung nhân tố ngành vào mô hình FamaFrench, kết quả cho thấy rằng trong trường hợp thị trường ổn định cũng như bất ổn, lợi suất cổ phiếu phụ thuộc vào lợi suất thị trường cũng như yếu tố ngành. Mức độ phụ thuộc vào nhân tố thị trường và nhân tố ngành nhiều hay ít còn do đặc thù của ngành quyết định.

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6061 0.059489 19.93753 0 0.8 1.252236 0.069888 17.91779 0 0.9 1.222384 0.07887 15.49878 0 0.95 1.050887 0.134527 7.811703 0 0.99 0.808039 0.573525 1.408901 0.1591 Quantile Process Estimates Equation: UNTITLED Specification: PVD C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.018388 0.00222 -8.283144 0 0.1 -0.013095 0.002163 -6.05541 0 0.2 -0.008408 0.001602 -5.248772 0 0.3 -0.004424 0.001607 -2.752697 0.006 0.4 -0.0017 0.001724 -0.986445 0.3241 0.5 0.002066 0.001701 1.214947 0.2246 0.6 0.006267 0.001877 3.338305 0.0009 0.7 0.013571 0.001846 7.35034 0 0.8 0.01889 0.002296 8.228133 0 152 0.9 0.028185 0.002801 10.06258 0 0.95 0.040903 0.003716 11.00777 0 0.99 0.053126 0.007961 6.672958 0 VNINDEX 0.05 1.278543 0.063928 19.99969 0 0.1 1.267442 0.069396 18.26388 0 0.2 1.1759 0.051321 22.91271 0 0.3 1.151712 0.051568 22.33379 0 0.4 1.105312 0.053611 20.61733 0 0.5 1.102394 0.049666 22.19599 0 0.6 1.122386 0.052937 21.20228 0 0.7 1.197639 0.050067 23.92079 0 0.8 1.19097 0.06891 17.28296 0 0.9 1.205092 0.075326 15.99825 0 0.95 1.342889 0.090172 14.89261 0 0.99 1.078602 0.263866 4.087692 0 Quantile Process Estimates Equation: UNTITLED Specification: STB C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.037992 0.003143 -12.08728 0 0.1 -0.02767 0.001852 -14.94293 0 0.2 -0.022043 0.001714 -12.85829 0 0.3 -0.017463 0.001867 -9.35183 0 0.4 -0.015344 0.001679 -9.14111 0 0.5 -0.013779 0.001795 -7.676971 0 0.6 -0.00886 0.002175 -4.074445 0 0.7 -0.00502 0.002432 -2.064121 0.0392 0.8 0.003023 0.002635 1.147103 0.2516 0.9 0.01936 0.002704 7.158488 0 0.95 0.024759 0.003019 8.201075 0 0.99 0.026139 0.003581 7.300268 0 153 VNINDEX 0.05 0.706546 0.089493 7.894954 0 0.1 0.773764 0.052207 14.82106 0 0.2 0.722464 0.052202 13.83983 0 0.3 0.697456 0.062796 11.10675 0 0.4 0.652652 0.053902 12.10807 0 0.5 0.605667 0.056313 10.75533 0 0.6 0.646735 0.065646 9.851829 0 0.7 0.638431 0.072649 8.787895 0 0.8 0.704477 0.069388 10.15275 0 0.9 0.832742 0.078231 10.64468 0 0.95 0.671247 0.118858 5.647484 0 0.99 0.26639 0.120025 2.219459 0.0266 Quantile Process Estimates Equation: UNTITLED Specification: VCB C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.011333 0.001736 -6.529333 0 0.1 -0.009785 0.001468 -6.665987 0 0.2 -0.002908 0.001622 -1.792973 0.0732 0.3 -0.001489 0.00143 -1.041381 0.2979 0.4 0.001004 0.001485 0.676333 0.499 0.5 0.003486 0.001456 2.393449 0.0168 0.6 0.008224 0.001603 5.130313 0 0.7 0.011992 0.001614 7.430521 0 0.8 0.017909 0.001836 9.75409 0 0.9 0.030282 0.003813 7.94272 0 0.95 0.036765 0.0023 15.9864 0 0.99 0.037223 0.003509 10.60669 0 VNINDEX 0.05 1.33096 0.0639 20.82884 0 0.1 1.243975 0.046739 26.61524 0 0.2 1.252285 0.052335 23.92828 0 154 0.3 1.180975 0.045883 25.73887 0 0.4 1.151725 0.046161 24.94995 0 0.5 1.141784 0.043652 26.15667 0 0.6 1.190274 0.046038 25.85429 0 0.7 1.206702 0.045629 26.44582 0 0.8 1.239289 0.051056 24.27311 0 0.9 1.343473 0.108098 12.42834 0 0.95 1.261689 0.076467 16.4998 0 0.99 0.708596 0.173292 4.08902 0 Quantile Process Estimates Equation: UNTITLED Specification: VNM C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.022974 0.001004 -22.87569 0 0.1 -0.021522 0.001347 -15.9792 0 0.2 -0.019609 0.001309 -14.97673 0 0.3 -0.017477 0.001413 -12.36712 0 0.4 -0.014876 0.001273 -11.68597 0 0.5 -0.013423 0.001287 -10.43141 0 0.6 -0.011412 0.001301 -8.773556 0 0.7 -0.008441 0.001468 -5.749488 0 0.8 -0.001883 0.001925 -0.977996 0.3283 0.9 0.013698 0.002416 5.669119 0 0.95 0.022029 0.002908 7.575889 0 0.99 0.030042 0.006294 4.772995 0 VNINDEX 0.05 0.836165 0.029247 28.59004 0 0.1 0.720133 0.051394 14.01207 0 0.2 0.621644 0.04208 14.77305 0 0.3 0.594189 0.044442 13.37001 0 0.4 0.596172 0.040064 14.88052 0 0.5 0.571192 0.039805 14.34958 0 155 0.6 0.565326 0.039953 14.14994 0 0.7 0.583576 0.04222 13.82221 0 0.8 0.658969 0.0482 13.67146 0 0.9 0.896593 0.051016 17.57458 0 0.95 0.956083 0.079939 11.96019 0 0.99 0.740723 0.263247 2.813794 0.005 Quantile Process Estimates Equation: UNTITLED Specification: AAM C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.061044 0.005199 -11.74183 0 0.1 -0.042376 0.004091 -10.35705 0 0.2 -0.032124 0.002207 -14.55527 0 0.3 -0.029325 0.001253 -23.39635 0 0.4 -0.029172 0.000877 -33.27395 0 0.5 -0.031504 0.000946 -33.2992 0 0.6 -0.031504 0.000917 -34.37173 0 0.7 -0.020284 0.001968 -10.30551 0 0.8 -0.005771 0.002994 -1.927637 0.0541 0.9 0.007232 0.003648 1.982783 0.0476 0.95 0.020618 0.005934 3.474555 0.0005 0.99 0.030167 0.007178 4.202885 0 VNINDEX 0.05 0.460125 0.117379 3.920008 0.0001 0.1 0.526629 0.110833 4.75155 0 0.2 0.364283 0.084673 4.302256 0 0.3 0.24754 0.049968 4.953969 0 0.4 0.109051 0.027872 3.912533 0.0001 0.5 1.39E-17 0.029714 4.67E-16 1 0.6 0 0.028869 0 1 0.7 0.208288 0.047666 4.369729 0 0.8 0.423524 0.061223 6.917752 0 156 0.9 0.416726 0.107967 3.859762 0.0001 0.95 0.452657 0.224391 2.017265 0.0439 0.99 0.022058 0.199842 0.110376 0.9121 Quantile Process Estimates Equation: UNTITLED Specification: ACC C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.071979 0.006784 -10.60935 0 0.1 -0.045754 0.005378 -8.507473 0 0.2 -0.028257 0.002094 -13.49523 0 0.3 -0.028281 0.001342 -21.07897 0 0.4 -0.031504 0.000894 -35.24015 0 0.5 -0.031504 0.000932 -33.81978 0 0.6 -0.027944 0.000952 -29.36573 0 0.7 -0.015844 0.002358 -6.718291 0 0.8 0.000733 0.002828 0.259225 0.7955 0.9 0.015274 0.004009 3.810079 0.0001 0.95 0.019331 0.002225 8.686391 0 0.99 0.02456 0.004476 5.487651 0 VNINDEX 0.05 0.23096 0.182496 1.265559 0.2059 0.1 0.626807 0.105043 5.967118 0 0.2 0.541059 0.092392 5.856133 0 0.3 0.215464 0.052501 4.10398 0 0.4 5.55E-17 0.026748 2.08E-15 1 0.5 0 0.027877 0 1 0.6 0.085366 0.028012 3.047518 0.0024 0.7 0.306553 0.053388 5.741985 0 0.8 0.539157 0.057776 9.331938 0 0.9 0.467968 0.128679 3.636704 0.0003 0.95 0.220158 0.066064 3.332503 0.0009 0.99 -0.45168 0.207724 -2.17442 0.0299 157 Quantile Process Estimates Equation: UNTITLED Specification: CCI C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.083994 0.006182 -13.58775 0 0.1 -0.071311 0.003478 -20.50619 0 0.2 -0.032048 0.002958 -10.835 0 0.3 -0.025636 0.002254 -11.37416 0 0.4 -0.031504 0.001603 -19.65081 0 0.5 -0.031504 0.00167 -18.8609 0 0.6 -0.031504 0.001603 -19.65081 0 0.7 -0.013791 0.003605 -3.825263 0.0001 0.8 -0.001526 0.008284 -0.184198 0.8539 0.9 0.017746 0.004161 4.265191 0 0.95 0.023629 0.005028 4.699772 0 0.99 0.035258 0.003704 9.519831 0 VNINDEX 0.05 0.260157 0.140477 1.85195 0.0643 0.1 0.198324 0.085387 2.322648 0.0204 0.2 0.692337 0.075337 9.189882 0 0.3 0.491606 0.094892 5.180667 0 0.4 1.11E-16 0.051952 2.14E-15 1 0.5 3.70E-32 0.054125 6.83E-31 1 0.6 5.47E-48 0.051952 1.05E-46 1 0.7 0.32095 0.091749 3.498136 0.0005 0.8 0.260227 0.280446 0.927906 0.3536 0.9 0.207885 0.145004 1.433652 0.1519 0.95 -0.158313 0.142133 -1.113835 0.2656 0.99 0.009423 0.105642 0.089196 0.9289 Quantile Process Estimates Equation: UNTITLED Specification: DAG C VNINDEX 158 Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.069181 0.002944 -23.50184 0 0.1 -0.054376 0.006979 -7.790972 0 0.2 -0.025936 0.00251 -10.33197 0 0.3 -0.021343 0.002978 -7.167945 0 0.4 -0.022532 0.002451 -9.19226 0 0.5 -0.031504 0.001799 -17.50916 0 0.6 -0.017783 0.002332 -7.62429 0 0.7 -0.007177 0.002963 -2.422086 0.0156 0.8 0.006059 0.004644 1.304757 0.1922 0.9 0.022791 0.003941 5.782317 0 0.95 0.031911 0.004967 6.424095 0 0.99 0.035023 0.003664 9.558297 0 VNINDEX 0.05 0.306399 0.087489 3.502159 0.0005 0.1 0.47906 0.154627 3.098161 0.002 0.2 0.810741 0.070641 11.47688 0 0.3 0.648918 0.115469 5.619849 0 0.4 0.395105 0.082494 4.789498 0 0.5 2.22E-16 0.05384 4.12E-15 1 0.6 0.338047 0.068784 4.914581 0 0.7 0.486446 0.079581 6.112613 0 0.8 0.546551 0.127105 4.30001 0 0.9 0.521955 0.141436 3.690397 0.0002 0.95 0.458516 0.139163 3.294809 0.001 0.99 0.06357 0.144063 0.441264 0.6591 Quantile Process Estimates Equation: UNTITLED Specification: DSN C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 159 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.035827 0.002668 -13.4305 0 0.1 -0.030849 0.001964 -15.71036 0 0.2 -0.029212 0.001265 -23.0952 0 0.3 -0.026669 0.001152 -23.1532 0 0.4 -0.028198 0.001051 -26.82494 0 0.5 -0.031504 0.000958 -32.8882 0 0.6 -0.025381 0.001337 -18.98922 0 0.7 -0.01609 0.001563 -10.29179 0 0.8 -0.011331 0.002039 -5.557992 0 0.9 0.002754 0.003986 0.690885 0.4898 0.95 0.017871 0.00379 4.714721 0 0.99 0.01873 0.00248 7.552609 0 VNINDEX 0.05 0.651575 0.06224 10.46873 0 0.1 0.559547 0.074784 7.482181 0 0.2 0.351033 0.042912 8.180362 0 0.3 0.29531 0.043629 6.768647 0 0.4 0.137008 0.034946 3.920583 0.0001 0.5 5.55E-17 0.030007 1.85E-15 1 0.6 0.149831 0.039471 3.796022 0.0002 0.7 0.317917 0.042362 7.50474 0 0.8 0.332021 0.056853 5.840026 0 0.9 0.455604 0.091464 4.981247 0 0.95 0.562827 0.128228 4.389273 0 0.99 0.090948 0.124022 0.733324 0.4635 Quantile Process Estimates Equation: UNTITLED Specification: VNA C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. 160 C 0.05 -0.064149 0.003274 -19.59098 0 0.1 -0.054377 0.002901 -18.7454 0 0.2 -0.041422 0.005298 -7.819129 0 0.3 -0.018945 0.002768 -6.844755 0 0.4 -0.016514 0.002936 -5.624973 0 0.5 -0.031504 0.002877 -10.94983 0 0.6 -0.015952 0.003452 -4.621564 0 0.7 0.008896 0.002964 3.001037 0.0027 0.8 0.01783 0.003497 5.098463 0 0.9 0.017284 0.002833 6.100998 0 0.95 0.027155 0.00487 5.576054 0 0.99 0.036566 0.008071 4.530751 0 VNINDEX 0.05 0.488354 0.083991 5.814371 0 0.1 0.546075 0.081149 6.729279 0 0.2 0.642006 0.135059 4.75353 0 0.3 0.886276 0.087471 10.13228 0 0.4 0.625443 0.097954 6.385056 0 0.5 3.33E-16 0.090806 3.67E-15 1 0.6 0.425039 0.104833 4.054437 0.0001 0.7 0.895307 0.073435 12.19178 0 0.8 0.721376 0.136017 5.303573 0 0.9 0.4027 0.097501 4.130224 0 0.95 0.50344 0.144852 3.47556 0.0005 0.99 0.134206 0.27871 0.481526 0.6302 Quantile Process Estimates Equation: UNTITLED Specification: CLW C VNINDEX Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 0.99 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.071275 0.005981 -11.91628 0 0.1 -0.058166 0.003566 -16.31281 0 161 0.2 -0.028996 0.002522 -11.49732 0 0.3 -0.026399 0.001906 -13.85131 0 0.4 -0.031504 0.001274 -24.72506 0 0.5 -0.031504 0.001334 -23.61324 0 0.6 -0.031504 0.001274 -24.72506 0 0.7 -0.009934 0.003382 -2.93696 0.0034 0.8 0.00679 0.003584 1.894458 0.0584 0.9 0.019762 0.003005 6.575355 0 0.95 0.024378 0.004877 4.998341 0 0.99 0.048442 0.005121 9.460074 0 VNINDEX 0.05 0.246395 0.176934 1.392584 0.164 0.1 0.329602 0.084891 3.882648 0.0001 0.2 0.589392 0.077766 7.579053 0 0.3 0.293695 0.074064 3.965396 0.0001 0.4 5.55E-17 0.038571 1.44E-15 1 0.5 1.23E-32 0.040408 3.05E-31 1 0.6 2.74E-48 0.038571 7.10E-47 1 0.7 0.434096 0.080911 5.365132 0 0.8 0.580746 0.098683 5.884962 0 0.9 0.512091 0.087662 5.841663 0 0.95 0.331163 0.136359 2.428618 0.0153 0.99 0.644951 0.130892 4.927338 0 162 PHỤ LỤC 7 KẾT QUẢ ƯỚC LƯỢNG MÔ HÌNH FAMA-FRENCH VỚI YẾU TỐ NGÀNH BẰNG PHƯƠNG PHÁP ƯỚC LƯỢNG HỒI QUY PHÂN VỊ Quantile Process Estimates Equation: UNTITLED Specification: AGR C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.06396688 0.007147995 -8.9489261 1.37E-18 0.1 -0.05135184 0.005854926 -8.77070778 6.13E-18 0.2 -0.03599363 0.004777178 -7.53449653 9.76E-14 0.3 -0.03152805 0.004726488 -6.67050353 3.92E-11 0.4 -0.02292108 0.004344401 -5.27600542 1.57E-07 0.5 -0.01718146 0.003788132 -4.53560296 6.33E-06 0.6 -0.01399702 0.003594428 -3.89408941 1.04E-04 0.7 -0.01031293 0.003496295 -2.94967223 0.003244164 0.8 -0.00499464 0.00449993 -1.10993757 0.267253223 0.9 0.001607796 0.005620279 0.286070413 0.774874661 0.95 0.006921538 0.009106315 0.760081125 0.447358702 RM_RF 0.05 0.303901868 0.196386886 1.547465179 0.122020624 0.1 0.402738614 0.179840847 2.239416801 0.025315463 0.2 0.54866186 0.14230199 3.855616221 0.0001217 0.3 0.455327017 0.144561082 3.149720603 1.68E-03 0.4 0.511933268 0.131125668 3.90414229 9.99E-05 0.5 0.511630096 0.116579742 4.388670688 1.24E-05 0.6 0.440816953 0.111356594 3.958606653 7.99E-05 0.7 0.377798491 0.107007314 3.530585671 0.000430704 0.8 0.338366962 0.141744792 2.387156225 0.017136794 0.9 0.1726537 0.171441526 1.007070483 0.31410842 0.95 0.025790942 0.294010478 0.087721166 0.930113256 163 SMB 0.05 0.177064631 0.176806521 1.001459848 0.316810907 0.1 0.135507828 0.130887077 1.035303344 0.300740472 0.2 0.077179031 0.080690584 0.956481252 0.339026066 0.3 -0.05000071 0.097495905 -0.51284936 0.608153182 0.4 0.101881291 0.100351555 1.015243764 0.310198824 0.5 0.043665112 0.102199758 0.427252601 0.669273699 0.6 -0.00827242 0.100436969 -0.08236433 0.934371042 0.7 -0.13577589 0.091567199 -1.48280056 0.138395788 0.8 -0.08159357 0.102726197 -0.79428199 0.427191809 0.9 0.214355685 0.133774753 1.602362777 0.109344414 0.95 0.284409861 0.267589325 1.062859519 0.288064238 HML 0.05 -0.07814442 0.128690875 -0.60722583 0.543818471 0.1 -0.17706232 0.103346961 -1.71328039 0.086924975 0.2 -0.04744779 0.097193672 -0.48817774 0.625515115 0.3 -0.0864772 0.088772623 -0.97414263 0.330186396 0.4 -0.087726 0.086473967 -1.01447876 0.310563386 0.5 -0.04453631 0.078471386 -0.56754844 5.70E-01 0.6 0.002435771 0.072956559 0.033386589 9.73E-01 0.7 -0.03808861 0.066275681 -0.57469962 5.66E-01 0.8 -0.00031245 0.062866748 -0.00497009 9.96E-01 0.9 -0.10493214 0.076773024 -1.36678405 1.72E-01 0.95 -0.09182413 0.185873578 -0.49401389 6.21E-01 NGANH_TCNH 0.05 0.516916815 0.124829689 4.140976557 3.71E-05 0.1 0.627027304 0.135692954 4.620927526 4.24E-06 0.2 0.594766137 0.085005093 6.996829433 4.39E-12 0.3 0.616718243 0.089292371 6.906729363 8.11E-12 0.4 0.603146135 0.095653218 6.305549832 4.06E-10 0.5 0.53579165 0.087653281 6.112625113 1.33E-09 0.6 0.605470335 0.086294923 7.016291509 3.84E-12 0.7 0.588211794 0.083371736 7.05529023 2.94E-12 0.8 0.623623671 0.098171923 6.35236282 3.03E-10 0.9 0.734612518 0.099428208 7.388371289 2.81E-13 0.95 0.747459311 0.176026385 4.246291319 2.35E-05 Quantile Process Estimates Equation: UNTITLED Specification: BVH C RM_RF SMB HML NGANH_TCNH 164 Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.03069769 0.008630624 -3.55683333 0.000390308 0.1 -0.00657314 0.005414735 -1.21393637 0.225016169 0.2 0.000620739 0.004502397 0.137868567 0.890367935 0.3 0.005387271 0.003668426 1.468550967 0.142222501 0.4 0.011185467 0.003370497 3.318639708 0.000932322 0.5 0.011642593 0.003481337 3.344287835 8.51E-04 0.6 0.020243665 0.003759012 5.385369314 8.73E-08 0.7 0.026881374 0.003560196 7.550532755 8.68E-14 0.8 0.029320334 0.004120944 7.114956289 1.94E-12 0.9 0.043142209 0.005087441 8.480139839 6.67E-17 0.95 0.052544362 0.004239521 12.39393919 3.06E-33 RM_RF 0.05 1.16147107 0.22102685 5.25488678 1.76E-07 0.1 1.570178285 0.158644856 9.897442132 3.08E-22 0.2 1.513981025 0.141044452 10.73407001 1.05E-25 0.3 1.493969049 0.111603153 13.38644128 3.89E-38 0.4 1.530164916 0.102920441 14.86745397 6.13E-46 0.5 1.425554941 0.104268055 13.67202005 1.35E-39 0.6 1.575990951 0.110542294 14.25690473 1.18E-42 0.7 1.63231725 0.106541583 15.32094051 1.94E-48 0.8 1.491841171 0.134820189 11.06541369 3.84E-27 0.9 1.528369055 0.132244876 11.55711363 2.46E-29 0.95 1.55374457 0.114975654 13.51368327 8.76E-39 SMB 0.05 -0.14316533 0.159290541 -0.89876855 0.368960248 0.1 0.001225517 0.112840949 0.010860571 0.991336512 0.2 0.01000747 0.079531822 0.125829762 0.899888226 0.3 0.054364052 0.077290016 0.703377415 0.481960042 0.4 0.105163593 0.069282768 1.517889593 0.129311459 0.5 0.040653396 0.069150617 0.587896364 0.55671492 0.6 0.031284281 0.071615468 0.436836921 0.662309953 0.7 -0.04906844 0.059805737 -0.82046383 0.412118295 165 0.8 -0.05056633 0.10457876 -0.48352387 0.628813983 0.9 -0.11122838 0.174268039 -0.63826033 0.523428711 0.95 0.114412518 0.219346524 0.521606251 0.602042895 HML 0.05 0.057534234 0.088576703 0.649541384 0.516115566 0.1 0.001411534 0.070932492 0.019899685 0.984126767 0.2 -0.11929456 0.057770138 -2.06498662 0.039143417 0.3 -0.11508632 0.056266924 -2.04536366 0.041041548 0.4 -0.10098694 0.055703659 -1.81293186 0.070097636 0.5 -0.08535783 0.053233379 -1.6034644 0.109101141 0.6 -0.06597472 0.059967497 -1.10017473 0.271481535 0.7 -0.0900707 0.080557825 -1.1180875 0.263758363 0.8 -0.07511867 0.073114542 -1.02741085 0.304438678 0.9 0.054692246 0.100290124 0.545340297 0.585623083 0.95 -0.0072215 0.110713954 -0.06522661 0.948004679 NGANH_TCNH 0.05 0.077819448 0.126742544 0.613996257 0.539336755 0.1 0.071302744 0.111202339 0.641198239 0.521519043 0.2 0.178807603 0.083173999 2.149801676 0.031774716 0.3 0.204915327 0.074262333 2.759344053 0.005881792 0.4 0.189485595 0.074300511 2.550259626 0.010890398 0.5 0.221878549 0.077161241 2.875518152 0.004106492 0.6 0.160960039 0.076227156 2.111583939 0.034933009 0.7 0.124809281 0.075849604 1.645483617 0.100137797 0.8 0.257256077 0.090240668 2.850777628 0.004437562 0.9 0.179297387 0.105784781 1.694926104 0.090354628 0.95 0.206212662 0.110950546 1.858599792 0.063334003 Quantile Process Estimates Equation: UNTITLED Specification: CTG C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.03862058 0.00384919 -10.0334297 8.73E-23 166 0.1 -0.03176358 0.002495879 -12.7264099 7.53E-35 0.2 -0.0246865 0.002553009 -9.66957038 2.47E-21 0.3 -0.02222677 0.00261685 -8.49371113 5.98E-17 0.4 -0.02109641 0.002409747 -8.75461744 7.01E-18 0.5 -0.01972522 0.002472791 -7.97690761 3.54E-15 0.6 -0.01653506 0.002830884 -5.84095462 6.71E-09 0.7 -0.0138387 0.003867047 -3.57862163 0.000359496 0.8 -0.00908511 0.006293558 -1.44355628 1.49E-01 0.9 -0.00436381 0.003298466 -1.32298239 1.86E-01 0.95 0.003450662 0.004754959 0.725697369 4.68E-01 RM_RF 0.05 0.575304342 0.12026117 4.783791313 1.94E-06 0.1 0.565125579 0.071154553 7.942226549 4.62E-15 0.2 0.593013047 0.076215485 7.780742246 1.57E-14 0.3 0.529139443 0.08453807 6.259185245 5.42E-10 0.4 0.474664873 0.075448626 6.291232789 4.44E-10 0.5 0.426812004 0.077164591 5.531189854 3.92E-08 0.6 0.430149756 0.087769188 4.900919858 1.09E-06 0.7 0.392425529 0.118317845 3.316706183 0.000938736 0.8 0.363953719 0.200061788 1.819206568 0.069134555 0.9 0.214897751 0.105028803 2.046083975 0.040970515 0.95 0.217043653 0.148540388 1.461176018 0.144234726 SMB 0.05 0.194048219 0.123674825 1.569019557 0.116912852 0.1 -0.0069892 0.081078652 -0.0862027 0.931319982 0.2 0.06211657 0.060694674 1.023427023 0.30631682 0.3 0.065130284 0.039571041 1.645907741 0.100050417 0.4 0.065755192 0.039494336 1.664927163 0.09619411 0.5 0.053012974 0.046096745 1.150037252 0.250362736 0.6 0.090666402 0.059168619 1.532339325 0.125708134 0.7 0.016549588 0.072165194 0.229329218 0.818652991 0.8 0.061755335 0.086521329 0.713758518 0.475518383 0.9 0.057274115 0.105702106 0.541844593 0.588028388 0.95 0.028723279 0.235298146 0.122071844 0.902863012 HML 0.05 0.03441321 0.096542889 0.356455154 0.721563781 0.1 -0.02701861 0.072737706 -0.37145258 0.710367492 0.2 -0.02573039 0.040286496 -0.6386853 5.23E-01 0.3 0.013946045 0.034376814 0.405681711 6.85E-01 0.4 0.031784689 0.03582453 0.887232561 3.75E-01 167 0.5 0.07179886 0.03763495 1.907770837 5.67E-02 0.6 0.063133152 0.046438896 1.359488647 1.74E-01 0.7 0.08664715 0.056971448 1.520887272 1.29E-01 0.8 0.158892641 0.074760973 2.125342084 3.38E-02 0.9 0.097860428 0.107004531 0.914544714 0.360618485 0.95 0.133963782 0.08951014 1.496632474 1.35E-01 NGANH_TCNH 0.05 0.511846384 0.057783044 8.858072333 2.95E-18 0.1 0.407674839 0.051689048 7.887064235 7.04E-15 0.2 0.343210467 0.057351668 5.98431534 2.88E-09 0.3 0.302828531 0.053094775 5.70354671 1.48E-08 0.4 0.350851993 0.054642556 6.42085619 1.96E-10 0.5 0.353358487 0.059073393 5.981686024 2.93E-09 0.6 0.388556733 0.069414141 5.597659584 2.70E-08 0.7 0.41722317 0.083248483 5.011781048 6.22E-07 0.8 0.51228102 0.13484284 3.799096938 0.000152666 0.9 0.67325222 0.073275387 9.187972164 1.76E-19 0.95 0.710354193 0.083952793 8.461352673 7.77E-17 Quantile Process Estimates Equation: UNTITLED Specification: EIB C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.04540846 0.003817794 -11.8938998 6.98E-31 0.1 -0.03647861 0.00339956 -10.7303934 1.09E-25 0.2 -0.02979561 0.002428899 -12.2671272 1.23E-32 0.3 -0.02801518 0.002132614 -13.1365457 7.06E-37 0.4 -0.02683804 0.002421643 -11.0825752 3.23E-27 0.5 -0.02520192 0.001959371 -12.8622486 1.62E-35 0.6 -0.02239476 0.001678491 -13.3421971 6.52E-38 0.7 -0.02084565 0.001703583 -12.2363567 1.72E-32 0.8 -0.01952588 0.001950907 -10.0086163 1.10E-22 168 0.9 -0.0115343 0.003347369 -3.44577994 0.000589535 0.95 -0.00686226 0.003266895 -2.10054526 3.59E-02 RM_RF 0.05 0.233320947 0.102574357 2.274651813 2.31E-02 0.1 0.30942604 0.096451757 3.208091281 0.001372311 0.2 0.370091433 0.073660804 5.02426544 5.84E-07 0.3 0.291238326 0.068721278 4.237964318 2.43E-05 0.4 0.244436391 0.077068927 3.171659443 0.001554974 0.5 0.210516821 0.060175164 3.49840045 0.000485572 0.6 0.223538233 0.051684305 4.325069882 1.65E-05 0.7 0.198787629 0.053164021 3.739138359 0.000193554 0.8 0.135367885 0.061126717 2.214545319 0.026982773 0.9 0.182523586 0.104667407 1.743843577 0.081448109 0.95 0.103318996 0.102100929 1.011930025 0.311780019 SMB 0.05 0.043921849 0.093522033 0.469641723 0.638698225 0.1 0.044269608 0.046175586 0.958723267 0.337895568 0.2 0.088906728 0.035507381 2.503894268 0.01241832 0.3 0.070363812 0.049486125 1.421889723 0.155323869 0.4 0.069994146 0.050529758 1.385206418 0.166252493 0.5 -0.00989136 0.047656963 -0.20755329 0.835613775 0.6 -0.05066167 0.041330204 -1.22577837 0.220527917 0.7 -0.01785168 0.042343406 -0.42159293 0.67339935 0.8 -0.05879768 0.055217247 -1.06484259 0.28716612 0.9 0.066560009 0.141348664 0.47089238 0.637805069 0.95 0.12707156 0.094410059 1.345953605 0.178577326 HML 0.05 0.015557405 0.128785642 0.120800774 0.903869508 0.1 0.0851745 0.047940763 1.776661342 0.07588288 0.2 0.066159419 0.034207261 1.934075332 0.053343956 0.3 0.075678244 0.037425612 2.022097715 4.34E-02 0.4 0.071641098 0.034529766 2.074763502 3.82E-02 0.5 0.055728658 0.029414394 1.894605012 5.84E-02 0.6 0.085263927 0.028897124 2.950602543 3.23E-03 0.7 0.088265028 0.031436655 2.807710558 5.07E-03 0.8 0.091039141 0.042827941 2.125695024 3.37E-02 0.9 0.116957884 0.082445098 1.418615373 1.56E-01 0.95 0.08359432 0.067015087 1.247395525 2.13E-01 NGANH_TCNH 0.05 0.443998595 0.088928767 4.992744327 6.85E-07 0.1 0.29497047 0.065211152 4.523313316 6.71E-06 169 0.2 0.222268038 0.047977193 4.632785418 4.01E-06 0.3 0.182223109 0.039551592 4.607225604 4.53E-06 0.4 0.179796438 0.04192274 4.288756818 1.94E-05 0.5 0.163125125 0.037873217 4.307136702 1.79E-05 0.6 0.167577832 0.036352167 4.609844423 4.47E-06 0.7 0.195790665 0.038002789 5.152007835 3.02E-07 0.8 0.267024272 0.046219931 5.777253854 9.72E-09 0.9 0.346127481 0.088576898 3.907649594 9.85E-05 0.95 0.548128709 0.093258296 5.877532991 5.42E-09 Quantile Process Estimates Equation: UNTITLED Specification: SSI C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.03664161 0.002644643 -13.8550311 1.53E-40 0.1 -0.0375867 0.003019332 -12.4486797 1.67E-33 0.2 -0.03022333 0.002546763 -11.8673513 9.27E-31 0.3 -0.02620426 0.002838495 -9.23174437 1.21E-19 0.4 -0.02415672 0.002998984 -8.05496994 1.94E-15 0.5 -0.0225808 0.003209927 -7.03467556 3.39E-12 0.6 -0.02317031 0.003141981 -7.37442788 3.11E-13 0.7 -0.02136172 0.003009448 -7.09822072 2.18E-12 0.8 -0.01703333 0.003060152 -5.56617111 3.22E-08 0.9 -0.01103801 0.001898846 -5.81301045 7.90E-09 0.95 -0.00142274 0.003422183 -0.41574133 6.78E-01 RM_RF 0.05 0.550357035 0.083373421 6.601108929 6.17E-11 0.1 0.408039217 0.093218029 4.377256421 1.31E-05 0.2 0.403654648 0.076888081 5.249898882 1.81E-07 0.3 0.407555876 0.087939738 4.634490456 3.98E-06 0.4 0.383611322 0.09462569 4.05398706 5.37E-05 0.5 0.335726226 0.101794818 3.298067934 0.001002705 170 0.6 0.226918626 0.099225555 2.286897006 2.24E-02 0.7 0.179933006 0.092293671 1.949570364 0.051465176 0.8 0.198934244 0.089445415 2.224085435 0.026332333 0.9 0.216288442 0.055224902 3.916502047 9.50E-05 0.95 0.340302257 0.091249061 3.729378159 0.000201115 SMB 0.05 -0.13178515 0.051892562 -2.53957696 0.011226779 0.1 -0.06237568 0.05624498 -1.10900001 0.267657301 0.2 -0.04506819 0.046467896 -0.96987791 0.332307119 0.3 -0.05588277 0.059782245 -0.93477206 0.350098004 0.4 -0.05080261 0.062252005 -0.81607997 0.414619946 0.5 -0.07795678 0.057875441 -1.34697518 0.178248169 0.6 -0.04562636 0.053608493 -0.85110316 0.39488561 0.7 -0.07627755 0.050665179 -1.50552211 0.132458887 0.8 -0.09853429 0.055568905 -1.77319119 0.076456254 0.9 -0.07905108 0.063051117 -1.25376176 0.210178213 0.95 -0.06179941 0.095404007 -0.6477654 0.517263352 HML 0.05 -0.13061673 0.056315461 -2.31937595 0.02054558 0.1 -0.13696082 0.055121385 -2.48471298 0.013104103 0.2 -0.0176604 0.055280059 -0.31947138 0.749425929 0.3 -0.01831637 0.041963351 -0.43648499 6.63E-01 0.4 -0.01813342 0.039870149 -0.45481203 6.49E-01 0.5 -0.01887934 0.038121536 -0.49524091 6.21E-01 0.6 -0.00524658 0.040442168 -0.12973042 8.97E-01 0.7 0.010539736 0.044338884 0.237708653 8.12E-01 0.8 -0.02040608 0.051943989 -0.39284779 6.95E-01 0.9 -0.05931349 0.05973931 -0.99287198 3.21E-01 0.95 -0.04681162 0.060505425 -0.77367641 4.39E-01 NGANH_TCNH 0.05 0.599834198 0.04248118 14.1199985 6.27E-42 0.1 0.685548164 0.047793566 14.34394267 4.08E-43 0.2 0.740965374 0.058173622 12.73713668 6.67E-35 0.3 0.737754975 0.065947964 11.18692581 1.12E-27 0.4 0.783739193 0.068534438 11.43569892 8.69E-29 0.5 0.812501879 0.079472258 10.223717 1.46E-23 0.6 0.92835092 0.07873432 11.79093089 2.09E-30 0.7 0.98089851 0.07344035 13.35639761 5.52E-38 0.8 0.990699406 0.068821011 14.39530451 2.17E-43 0.9 0.984182113 0.037518385 26.23199555 9.63E-120 171 0.95 0.864654864 0.048980019 17.65321613 4.87E-62 Quantile Process Estimates Equation: UNTITLED Specification: STB C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.04885987 0.005452484 -8.96102974 1.24E-18 0.1 -0.03537891 0.002683123 -13.1857201 4.00E-37 0.2 -0.03033186 0.003179192 -9.54074511 7.88E-21 0.3 -0.02725405 0.003194776 -8.5308168 4.42E-17 0.4 -0.02391445 0.00248291 -9.63162207 3.48E-21 0.5 -0.02025697 0.002452809 -8.25868401 3.93E-16 0.6 -0.01628004 0.003011001 -5.40685163 7.77E-08 0.7 -0.01357687 0.003841633 -3.53413976 0.000425014 0.8 -0.0071416 0.004208019 -1.69714038 0.089935176 0.9 0.005524516 0.007221832 0.764974399 4.44E-01 0.95 0.008219501 0.007859194 1.045845191 2.96E-01 RM_RF 0.05 0.387679497 0.145339417 2.667407817 7.75E-03 0.1 0.54148302 0.077470524 6.98953602 4.61E-12 0.2 0.474359624 0.097422323 4.869106057 1.27E-06 0.3 0.40179241 0.101212223 3.969801257 7.63E-05 0.4 0.392248098 0.076366178 5.136411293 3.28E-07 0.5 0.414924753 0.074653919 5.557976873 3.38E-08 0.6 0.42859081 0.092518897 4.632467792 4.02E-06 0.7 0.378007049 0.11760477 3.214215275 0.001343626 0.8 0.383997959 0.12307032 3.120150804 0.001851654 0.9 0.426563986 0.218890429 1.948755766 0.051562546 0.95 0.202926542 0.234638766 0.86484661 0.387299662 SMB 0.05 0.303640677 0.132340264 2.29439377 0.021943747 0.1 0.197152683 0.106126065 1.8577216 0.063458783 0.2 0.093869384 0.064765941 1.449363399 0.147503184 172 0.3 0.027297399 0.065363635 0.417623633 0.676298679 0.4 -0.02085858 0.056720082 -0.367746 0.713128925 0.5 -0.00628075 0.04944273 -0.12703076 0.898937807 0.6 0.004109882 0.047364745 0.086770914 0.930868403 0.7 0.031087002 0.056143559 0.55370559 0.579885787 0.8 0.010966282 0.106260022 0.103202328 0.917820018 0.9 0.031437372 0.208748589 0.150599209 0.880317756 0.95 -0.05381716 0.224521401 -0.23969722 0.81060683 HML 0.05 -0.00533591 0.115949014 -0.04601947 0.963302551 0.1 0.032342254 0.070604023 0.458079472 0.64698012 0.2 -0.07756377 0.055646729 -1.39386038 0.163623541 0.3 -0.09143688 0.046818842 -1.95299325 0.051057713 0.4 -0.0813094 0.043488841 -1.86966134 0.061779618 0.5 -0.04253534 0.044660494 -0.9524154 3.41E-01 0.6 -0.06999744 0.050021847 -1.39933727 1.62E-01 0.7 -0.01473487 0.049680215 -0.29659425 7.67E-01 0.8 0.006492248 0.082895425 0.078318527 0.937588025 0.9 -0.05019695 0.155800103 -0.32218817 0.747367511 0.95 -0.26670913 0.12965963 -2.05699437 0.039907302 NGANH_TCNH 0.05 0.382436797 0.08488868 4.505156614 7.29E-06 0.1 0.218362205 0.061187579 3.568734208 0.000373185 0.2 0.277353035 0.074056361 3.745161552 0.000189023 0.3 0.236790698 0.055655697 4.254563531 2.26E-05 0.4 0.208778406 0.044334958 4.709114765 2.78E-06 0.5 0.176212601 0.044445091 3.964725843 7.79E-05 0.6 0.182177056 0.054960269 3.31470459 0.00094542 0.7 0.263722857 0.083061693 3.175023849 0.001537211 0.8 0.249951346 0.081902408 3.051819258 0.002325687 0.9 0.360304683 0.129351868 2.785461778 0.005431134 0.95 0.372562448 0.196978271 1.891388558 0.058818467 Quantile Process Estimates Equation: UNTITLED Specification: VCB C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 173 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.02159321 0.002566154 -8.41462 1.13E-16 0.1 -0.01703159 0.002474235 -6.88357691 9.48E-12 0.2 -0.01312245 0.002580966 -5.08431677 4.29E-07 0.3 -0.00867262 0.002649563 -3.27322698 0.001094251 0.4 -0.00528707 0.002352121 -2.24778858 0.024774693 0.5 -0.00257933 0.002502228 -1.03081394 0.30284039 0.6 -0.00029127 0.00283878 -0.10260505 0.91829396 0.7 0.003384656 0.00333707 1.014259658 0.310667849 0.8 0.006732599 0.003656692 1.841172085 0.065848524 0.9 0.011194701 0.004107316 2.725551489 6.51E-03 0.95 0.00942852 0.005800332 1.625513965 1.04E-01 RM_RF 0.05 1.023463339 0.076729417 13.33860448 6.80E-38 0.1 1.023524801 0.074702887 13.70127507 9.54E-40 0.2 0.965713967 0.078222409 12.34574572 5.20E-33 0.3 0.964296623 0.07847073 12.28861548 9.73E-33 0.4 0.957749311 0.071276499 13.43709804 2.15E-38 0.5 0.957404041 0.076446677 12.52381499 7.26E-34 0.6 0.933253271 0.086993642 10.72783308 1.12E-25 0.7 0.941300798 0.102883414 9.149198665 2.47E-19 0.8 0.867540514 0.119028037 7.288539176 5.74E-13 0.9 0.758208028 0.124573996 6.086406907 1.56E-09 0.95 0.456468718 0.192574171 2.370352762 0.017931956 SMB 0.05 0.236201078 0.101211854 2.333729374 0.019777976 0.1 0.133327976 0.069042166 1.931109399 0.05371004 0.2 0.16924939 0.063275978 2.674781106 0.007581713 0.3 0.143635231 0.057482617 2.49875943 0.012598712 0.4 0.063581774 0.050067895 1.269911071 0.204367952 0.5 0.048612033 0.050947969 0.954150553 0.340203854 0.6 0.015765256 0.054924398 0.28703558 0.774135728 0.7 0.010428321 0.049776012 0.209504962 0.83409041 0.8 -0.013089 0.076651997 -0.1707588 0.864442848 0.9 -0.1250734 0.084668326 -1.47721595 0.139885955 0.95 -0.28628768 0.156825448 -1.825518 0.068176843 174 HML 0.05 -0.12609733 0.06030839 -2.09087535 0.036753826 0.1 -0.05249601 0.061857633 -0.84865862 0.39624428 0.2 -0.02856029 0.052724988 -0.54168414 0.588138903 0.3 0.008970967 0.045691263 0.196338783 8.44E-01 0.4 0.044155586 0.03641604 1.212531261 2.26E-01 0.5 0.052177521 0.03461011 1.507580346 0.131931 0.6 0.007977422 0.038396899 0.20776213 0.835450737 0.7 -0.02601827 0.041061953 -0.63363449 0.526442812 0.8 0.009589424 0.063181145 0.151776681 0.879389152 0.9 0.03090853 0.100577447 0.307310746 0.758661361 0.95 0.023297202 0.11291263 0.206329459 0.836569345 NGANH_TCNH 0.05 0.349122837 0.049919617 6.9937003 4.49E-12 0.1 0.278288999 0.056995073 4.882685164 1.19E-06 0.2 0.265415987 0.05632031 4.712615894 2.74E-06 0.3 0.220911966 0.060567219 3.647385015 0.000276538 0.4 0.16732387 0.053467417 3.129454893 0.001794481 0.5 0.184012982 0.056177028 3.275591247 0.001085216 0.6 0.210892375 0.060575655 3.481470824 0.000516989 0.7 0.214630875 0.060880769 3.525429745 0.000439085 0.8 0.294837922 0.08264434 3.567551298 0.000374855 0.9 0.370429999 0.072389735 5.117161977 3.62E-07 0.95 0.532817428 0.107288054 4.966232578 7.84E-07 Quantile Process Estimates Equation: UNTITLED Specification: BSI C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.07391068 0.005576196 -13.2546765 3.58E-37 0.1 -0.06068761 0.007071957 -8.58144468 3.35E-17 0.2 -0.05280211 0.007071857 -7.46651221 1.74E-13 0.3 -0.03693132 0.005839205 -6.32471671 3.76E-10 175 0.4 -0.03250346 0.005079611 -6.39880841 2.36E-10 0.5 -0.02819226 0.004947993 -5.69771639 1.58E-08 0.6 -0.01618291 0.005085328 -3.1822737 0.001504421 0.7 -0.00945727 0.006047139 -1.56392457 0.118138625 0.8 -0.00393098 0.00723561 -0.54328295 0.587051086 0.9 0.005329567 0.005704552 0.934265659 0.350383112 0.95 0.021909737 0.00909118 2.409999099 0.016124841 RM_RF 0.05 0.149251615 0.159189415 0.937572479 0.348681208 0.1 0.271899118 0.211138283 1.28777744 0.198109096 0.2 0.135830526 0.209810382 0.647396593 0.517517763 0.3 0.29253531 0.178511309 1.63874945 0.101567039 0.4 0.207760521 0.155639369 1.334884107 0.182205579 0.5 0.17052707 0.149244167 1.142604592 0.253465014 0.6 0.321410133 0.150404073 2.136977589 0.03283193 0.7 0.31709474 0.180654906 1.755251195 0.079509908 0.8 0.164718635 0.224506872 0.733690841 0.463302066 0.9 0.056583419 0.182614187 0.309852261 0.756735203 0.95 0.195334387 0.265775213 0.73496089 0.462528528 SMB 0.05 -0.10188297 0.203022196 -0.50183169 0.615891834 0.1 -0.06632433 0.160679554 -0.41277395 0.679857075 0.2 -0.05515479 0.150325403 -0.36690264 0.713766063 0.3 -0.23379016 0.11901953 -1.96430085 0.049760435 0.4 -0.29190936 0.118522494 -2.46290262 0.013942408 0.5 -0.20299905 0.127692519 -1.58974898 0.112194447 0.6 -0.2271692 0.128257689 -1.77119362 0.076820497 0.7 -0.20334215 0.112012729 -1.81534863 0.069757434 0.8 -0.18176221 0.107944185 -1.68385368 0.092509172 0.9 -0.08134748 0.124246269 -0.65472772 0.512787431 0.95 -0.1972757 0.19315625 -1.02132702 0.307336358 HML 0.05 -0.03046424 0.129614659 -0.23503702 0.814226139 0.1 0.076989687 0.155714893 0.494427256 0.621108588 0.2 -0.04025251 0.12460002 -0.32305379 0.746719258 0.3 0.030064518 0.091342405 0.329140865 0.742115297 0.4 0.083808377 0.094811922 0.883943446 3.77E-01 0.5 0.06148935 0.096275705 0.638679826 5.23E-01 0.6 0.142915392 0.101202885 1.412167177 1.58E-01 0.7 0.063821533 0.111929638 0.570193329 5.69E-01 176 0.8 0.071199549 0.13522266 0.526535634 5.99E-01 0.9 -0.06212272 0.128067049 -0.48507968 6.28E-01 0.95 -0.16135601 0.167410869 -0.96383233 3.35E-01 NGANH_TCNH 0.05 0.303977026 0.107084511 2.83866475 4.62E-03 0.1 0.407220354 0.143940899 2.829080239 0.004757672 0.2 0.658174793 0.151581226 4.342060106 1.55E-05 0.3 0.587458489 0.115499891 5.086225484 4.33E-07 0.4 0.561700201 0.104794966 5.359992232 1.02E-07 0.5 0.571787559 0.110980043 5.152165606 3.08E-07 0.6 0.526091392 0.119387137 4.406600267 1.16E-05 0.7 0.586055579 0.136677669 4.287866372 1.97E-05 0.8 0.648736318 0.143695361 4.514664303 7.06E-06 0.9 0.638774639 0.122202945 5.227162395 2.08E-07 0.95 0.383055114 0.131113987 2.921542718 0.003558098 Quantile Process Estimates Equation: UNTITLED Specification: SII C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.09940268 0.006809433 -14.5977906 1.10E-42 0.1 -0.05786021 0.017764058 -3.25715065 0.001175791 0.2 -0.03228416 0.012411037 -2.60124615 9.47E-03 0.3 -0.02703896 0.004897196 -5.52131502 4.63E-08 0.4 -0.02519003 0.004469553 -5.63591784 2.46E-08 0.5 -0.0315036 0.004419597 -7.12816103 2.39E-12 0.6 -0.0233429 0.004454494 -5.24030274 2.08E-07 0.7 -0.01832339 0.007229177 -2.53464475 0.011457578 0.8 -0.01852275 0.011298686 -1.63937164 0.10155357 0.9 -0.00382054 0.008463378 -0.45141984 0.651816966 0.95 0.023041466 0.007865477 2.929442907 0.003498305 RM_RF 0.05 0.033101979 0.195687552 0.169157306 0.86571834 177 0.1 0.540663544 0.523087229 1.033601117 0.301654514 0.2 5.84E-01 0.385552744 1.52E+00 0.130031352 0.3 0.374183701 0.153282054 2.44114487 0.014870095 0.4 0.256864872 0.142783278 1.798984278 0.072421474 0.5 5.55E-17 0.140226318 3.96E-16 1 0.6 0.136033962 0.140406542 0.968857724 0.332927266 0.7 0.044812666 0.23017148 0.194692522 0.845686182 0.8 -0.42442346 0.395680871 -1.07264083 0.283775935 0.9 -0.61196151 0.240183273 -2.54789396 0.011035123 0.95 -0.14988345 0.22415649 -0.66865539 0.503920256 SMB 0.05 4.12E-02 0.187436443 2.20E-01 0.826073331 0.1 -0.24695992 0.407273313 -0.60637393 0.544449231 0.2 0.111750053 0.262104424 0.426356991 0.669969589 0.3 0.012652539 0.108980265 0.116099356 9.08E-01 0.4 0.008701743 0.086390081 0.100726185 0.919794637 0.5 -4.16E-17 0.089543501 -4.65E-16 1.00E+00 0.6 -0.14492547 0.09315403 -1.55576165 0.120184953 0.7 -0.32493612 0.124116211 -2.61799903 0.009022394 0.8 -0.70624961 0.167973434 -4.20453158 2.93E-05 0.9 -3.85E-01 0.219433998 -1.76E+00 0.079515719 0.95 -0.110077 0.151754795 -0.72536095 0.468455978 HML 0.05 -0.09218041 0.171196464 -0.53844807 0.590426871 0.1 -0.96103486 0.206434541 -4.65539759 3.82E-06 0.2 -0.39520567 0.134448849 -2.93944999 0.003388554 0.3 -0.14588581 0.079529922 -1.8343512 0.066996293 0.4 -0.04220327 0.072147657 -0.58495697 0.558751882 0.5 0 0.0751815 0 1 0.6 -0.00671181 0.086333638 -0.07774275 0.938053343 0.7 -5.60E-02 0.152040507 -3.68E-01 0.712848491 0.8 0.010511483 0.169682893 0.061947805 0.950620834 0.9 0.009111108 0.148240347 0.061461732 0.951007797 0.95 -0.0118025 0.101689729 -0.11606383 0.907632903 NGANH_TCNH 0.05 0.02839568 0.117118387 0.242452795 0.808495351 0.1 0.016916653 0.429115124 0.039422179 0.96856424 0.2 0.059494853 0.292008954 0.203743248 0.838609192 0.3 0.056401716 0.104086387 0.541874083 0.588065554 0.4 -0.00364132 0.076189873 -0.0477927 0.961894123 178 0.5 1.43E-17 0.075248715 1.90E-16 1 0.6 0.081506146 0.071428926 1.141080374 0.254199242 0.7 0.235383868 0.134130473 1.754887336 0.079685247 0.8 0.563573991 0.232134037 2.427795594 0.015424274 0.9 0.455483654 0.168765621 2.698912563 0.007112584 0.95 0.141218809 0.117696053 1.199860197 0.230571014 Quantile Process Estimates Equation: UNTITLED Specification: PGI C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 User-specified process quantiles: 0.05 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.95 Display all coefficients Quantile Coefficient Std. Error t-Statistic Prob. C 0.05 -0.06985843 0.008114059 -8.6095541 2.69E-17 0.1 -0.05269693 0.007383464 -7.13715531 1.79E-12 0.2 -0.03384825 0.0055003 -6.15389204 1.08E-09 0.3 -0.02559253 0.004598353 -5.56558574 3.33E-08 0.4 -0.01869671 0.004271701 -4.3768783 1.33E-05 0.5 -0.01882221 0.004211204 -4.46955607 8.70E-06 0.6 -0.01225811 0.00500669 -2.44834671 0.014516467 0.7 -0.00023494 0.006098933 -0.03852177 0.969279094 0.8 0.008695767 0.006092872 1.427203178 0.153822952 0.9 0.016812029 0.006020499 2.79246426 0.005327188 0.95 0.023515949 0.00577559 4.071609872 5.02E-05 RM_RF 0.05 0.214645867 0.233747075 0.918282579 0.358684885 0.1 0.432025439 0.224604917 1.923490571 5.47E-02 0.2 0.55022032 0.15735404 3.496702841 0.000491034 0.3 0.517425697 0.142960395 3.619363935 0.000309616 0.4 0.541167866 0.134480701 4.024130303 6.14E-05 0.5 0.410131319 0.130951885 3.131923763 0.001785396 0.6 0.482221424 0.153431041 3.142919592 0.001720285 0.7 0.619484174 0.179324421 3.454544399 0.000573564 0.8 0.596595418 0.184087732 3.240821168 0.001229855 179 0.9 0.492465129 0.182845017 2.693347276 0.007188208 0.95 0.36442185 0.186121558 1.957977652 0.050500991 SMB 0.05 0.042996974 0.245378382 0.175227229 0.860935363 0.1 0.18165396 0.228820036 0.793872614 0.427451564 0.2 0.151778456 0.145930045 1.040076811 0.298547116 0.3 0.116615634 0.099274513 1.174678477 0.24039356 0.4 0.076967952 0.07998497 0.962280193 0.336133635 0.5 0.02878464 0.073230988 0.393066397 0.694351387 0.6 -0.0532228 0.086570504 -0.61479143 0.5388276 0.7 -0.02396786 0.108270798 -0.22136955 0.824848366 0.8 0.14576162 0.135618168 1.0747942 0.28271737 0.9 0.152914787 0.179936261 0.849827523 0.39561752 0.95 0.067663404 0.093650593 0.722509082 0.470144761 HML 0.05 -0.11593227 0.219686509 -0.52771686 0.59780898 0.1 -0.15267454 0.137755899 -1.10829768 0.267990752 0.2 0.029158428 0.106556317 0.273643352 0.784413312 0.3 0.018376446 0.073861268 0.248796783 0.803567339 0.4 -0.06354904 0.061949292 -1.02582356 0.305214445 0.5 -0.03011195 0.06486879 -0.46419773 0.642603706 0.6 -0.01585695 0.073559261 -0.21556697 0.829367773 0.7 0.106913067 0.091525096 1.168128432 0.243023967 0.8 0.129376718 0.10140511 1.275840221 0.202298257 0.9 0.057020067 0.135113731 0.422015339 0.673101464 0.95 -0.10546327 0.13211734 -0.79825456 0.424905899 NGANH_TCNH 0.05 0.212790026 0.165503411 1.285713837 0.198830533 0.1 0.146672823 0.183221304 0.800522752 0.423591698 0.2 0.184593493 0.124384615 1.484054065 0.138099039 0.3 0.121359465 0.080388507 1.509661898 0.131434925 0.4 0.038290526 0.071130751 0.53831185 0.590477516 0.5 0.018553074 0.069866431 0.26555062 0.790638202 0.6 0.091329486 0.09038808 1.010415155 0.312532583 0.7 0.110501187 0.117358406 0.941570283 0.3466324 0.8 0.290507463 0.136828394 2.123151894 0.033977927 0.9 0.296702076 0.141889869 2.091073009 0.036764906 0.95 0.149816926 0.114667766 1.306530428 0.191662484 180 PHỤ LỤC 8 KiỂM ĐỊNH SỰ KHÁC NHAU CỦA CÁC HỆ SỐ TRONG MÔ HÌNH FAMA-FRENCH VỚI HỆ SỐ NGÀNH ỨNG VỚI CÁC MỨC PHÂN VỊ KHÁC NHAU Quantile Slope Equality Test Equation: UNTITLED Specification: AGR C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 53.34466378 32 0.010340875 Quantile Slope Equality Test Equation: UNTITLED Specification: CTG C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 68.43961921 32 0.000186989 Quantile Slope Equality Test Equation: UNTITLED Specification: EIB C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. 181 Wald Test 77.64555123 32 1.15E-05 Quantile Slope Equality Test Equation: UNTITLED Specification: SSI C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 68.69661203 32 0.000173515 Quantile Slope Equality Test Equation: UNTITLED Specification: STB C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 45.64730844 32 0.055803112 Quantile Slope Equality Test Equation: UNTITLED Specification: VCB C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 49.91252 32 0.0227 Quantile Slope Equality Test Equation: UNTITLED 182 Specification: BID C RM SMB HML TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 58.3679 32 0.003 Quantile Slope Equality Test Equation: UNTITLED Specification: MBB C RM SMB HML TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 99.55092 32 0 Quantile Slope Equality Test Equation: UNTITLED Specification: PGI C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 91.36097 32 0 Quantile Slope Equality Test Equation: UNTITLED Specification: SII C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients 183 Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 186.8105 32 0 Quantile Slope Equality Test Equation: UNTITLED Specification: HCM C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 62.8674 32 0.0009 Quantile Slope Equality Test Equation: UNTITLED Specification: OGC C RM_RF SMB HML NGANH_TCNH Estimated equation quantile tau = 0.5 Number of test quantiles: 10 Test statistic compares all coefficients Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Wald Test 59.81127 32 0.002

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