Đề tài Ứng dụng các mô hình tài chính định giá danh mục đầu tư trên thị trường chứng khoán Việt Nam
TÓM TẮT ĐỀ TÀI 1.Lý do chọn đề tài : Sau 2007, thị trường chứng khoán khủng hoảng, thị trường giảm điểm liên tiếp và vẫn chưa có dấu hiệu hồi phục. Ngoài ra, những tín hiệu từ nền kinh tế vĩ mô cũng không mấy khả quan. Để thực hiện mục tiêu kiềm chế lạm phát cho định hướng tăng trưởng biền vững, nhà nước đã tăng lãi suất, thắt chặt chi tiêu. Dẫn đến doanh nghiệp khó khăn trong việc huy động vốn từ ngân hàng với lãi suất cao. Trong khi đó, thị trường chứng khoán, một kênh huy động vốn khác của doanh nghiệp, lại cũng chờ, chờ những tín hiệu khả quan hơn, chờ doanh nghiệp thông báo lợi nhuận để đầu tư. Dẫn đến doanh nghiệp càng không có vốn, mà không có vốn thì không tái đầu tư, thực hiện dự án để tăng lợi nhuận. Mà doanh nghiệp không tăng lợi nhuận hay có những tín hiệu khả quan khác thì nhà đầu tư không đầu tư. Vòng luẩn quẩn này đang diễn ra trên thị trường. Với mong muốn đóng góp một mô hình hồi quy đa nhân tố để mục đích đánh giá đúng bản chất của các danh mục đầu tư trên thị trường chứng khoán Việt Nam trong giai đoạn hiện nay. Em xin giới thiệu đề tài: “Ứng dụng các mô hình tài chính định giá danh mục đầu tư trên thị trường chứng khoán Việt Nam ”. 2. Mục tiêu nghiên cứu : Chúng ta hồi quy các danh mục để định giá, tìm ra danh mục đang định giá thấp để mua vào, còn những danh mục đang nắm giữ mà bị định giá cao thì bán ra. Ngoài ra, còn so sánh độ phù hợp của các mô hình với tình hình hiện tại trên thị trường để ra quyết định phù hợp nhất. 3.Phạm vi nghiên cứu Tất cả chứng khoán trên thị trường chứng khoán Việt Nam từ tháng 1 năm 2006 đến tháng 12 năm 2010. 4.Phương pháp nghiên cứu Đề tài sử dụng những phương pháp nghiên cứu sau : ã Nghiên cứu cơ sở lý thuyết các mô hình CAPM, Fama, Carhart ã Thu thập dữ liệu từ các nguồn khác nhau. ã Thống kê tổng hợp những thông tin thu thập được. ã Sau đó dùng phương pháp tổng hợp, so sánh ; phương pháp phân tích suy luận, phương pháp phân tích thống kê, chạy mô hình bằng Eviews để đưa ra những kết luận cụ thể. MỤC LỤC TÓM TẮT ĐỀ TÀI LỜI MỞ ĐẦU 1 CHƯƠNG 1 : CƠ SỞ LÝ LUẬN . . 2 1. Khái niệm các mô hình: 2 1.1 Mô hình CAPM: 2 1.1.1 Lý thuyết quá trình định giá: 4 1.1.2 Quy trình định giá trên thực tế: 5 1.2 Mô hình Fama - French: 5 1.2.1 Những phát hiện của Fama – French: 5 1.2.2 Mô hình Fama – French ba nhân tố: 8 1.3 Mô hình Carhart: . 10 2. Mục đích của các mô hình: . 11 3. Theo dõi kết quả dự báo và đánh giá lại mô hình đã sử dụng: 11 KẾT LUẬN CHƯƠNG 1: . 12 CHƯƠNG 2: THỰC TIỄN ỨNG DỤNG MÔ HÌNH TÀI CHÍNH XÂY DỰNG DANH MỤC ĐẦU TƯ TỐI ƯU . . 13 1. Thực tiễn ứng dụng mô hình Fama - French xây dựng danh mục đầu tư ở các nước trên thế giới: . 13 1.1. Ứng dụng ở những nước phát triển: . 13 1.2 Ứng dụng ở những nước đang phát triển: 16 2. Thực tiễn ứng dụng mô hình Carhart xây dựng danh mục đầu tư ở các nước trên thế giới: 19 3. Thực tiễn áp dụng mô hình tài chính vào thị trường chứng khoán Việt Nam: 21 3.1. Những nghiên cứu về mô hình tài chính tại Việt Nam: . 21 3.2 Thực trạng thị trường chứng khoán: 22 4. Sự cần thiết phải có một mô hình dự báo tỷ suất sinh lợi trong đầu tư chứng khoán ở Việt Nam: 29 KẾT LUẬN CHƯƠNG 2: . 31 CHƯƠNG 3: XÂY DỰNG DANH MỤC ĐẦU TƯ TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM: . 32 1. Xây dựng danh mục đầu tư – Mô hình Fama – French: 32 1.1. Thu thập dữ liệu sơ bộ: 32 1.2. Phân loại các danh mục đầu tư: 33 1.3 Dữ liệu nghiên cứu: . 34 1.4. Kiểm định hiện tượng đa cộng tuyến: 34 1.4.1. Hậu quả của đa cộng tuyến: 34 1.4.1.1. Hậu quả của đa cộng tuyến hoàn hảo: 34 1.4.1.2. Hậu quả của đa cộng tuyến không hoàn hảo: . 35 1.4.2. Phát hiện đa cộng tuyến: . 36 1.5. Kiểm định tự tương quan, thống kê Breusch – Godfrey: 37 1.5.1 Hậu quả của tự tương quan: . 37 1.5.2 Kiểm định tự tương quan Breusch – Godfrey: . 37 1.6. Kiểm định phương sai thay đổi, Kiểm định White: 38 1.6.1. Hậu quả phương sai thay đổi: . 38 1.6.2 Phát hiện hiện tượng phương sai thay đổi: . 38 1.7. Kết quả hồi quy: . 39 2. Xây dựng danh mục đầu tư - Mô hình Carhart: 41 2.1 Thu thập dữ liệu sơ bộ: . 41 2.3 Dữ liệu nghiên cứu: . 42 2.4 Kiểm định hiện tượng đa cộng tuyến: . 42 2.5 Kiểm định tự tương quan Breusch – Godfrey: 43 2.6. Kiểm định phương sai thay đổi, Kiểm định White: 44 2.7. Kết quả hồi quy: . 44 KẾT LUẬN CHƯƠNG 3: . 46 CHƯƠNG 4: KHUYẾN NGHỊ ĐẦU TƯ VÀ CÁC BIỆN PHÁP NÂNG CAO TÍNH CHÍNH XÁC CỦA MÔ HÌNH DỰ BÁO: . . 47 1. Khuyến nghị đầu tư: . 47 2. Các biện pháp nâng cao tính chính xác của mô hình: 49 2.1 Nguyên nhân ảnh hưởng đến kết quả thực nghiệm của mô hình: 49 2.1.1 Phân tích gỉa định của các mô hình: . 49 2.1.2 Thu thập số liệu: 50 2.2 Giải pháp nâng cao hiệu quả ứng dụng các mô hình đầu tư tài chính hịên đại vào thị trường chứng khoán Việt Nam: . 51 KẾT LUẬN CHƯƠNG 4 53 KẾT LUẬN . . 54
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• Phụ lục kiểm định danh mục mô hình Fama - French:
• Phụ lục 1.4.2 kiểm định đa cộng tuyến:
59
Dependent Variable: SMB
Method: Least Squares
Date: 03/29/11 Time: 23:47
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.004114 0.003897 -1.055726 0.2955
HML -0.179118 0.171801 -1.042590 0.3015
R-squared 0.018396 Mean dependent var -0.003448
Adjusted R-squared 0.001472 S.D. dependent var 0.029798
S.E. of regression 0.029776 Akaike info criterion -4.157490
Sum squared resid 0.051422 Schwarz criterion -4.087678
Log likelihood 126.7247 F-statistic 1.086993
Durbin-Watson stat 1.230687 Prob(F-statistic) 0.301465
Dependent Variable: RMRF
Method: Least Squares
Date: 03/29/11 Time: 23:45
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.003206 0.006802 -0.471379 0.6391
HML 0.431811 0.299878 1.439954 0.1553
R-squared 0.034516 Mean dependent var -0.004812
Adjusted R-squared 0.017869 S.D. dependent var 0.052444
S.E. of regression 0.051973 Akaike info criterion -3.043418
Sum squared resid 0.156670 Schwarz criterion -2.973606
Log likelihood 93.30253 F-statistic 2.073469
Durbin-Watson stat 1.009466 Prob(F-statistic) 0.155256
Dependent Variable: RMRF
Method: Least Squares
Date: 03/29/11 Time: 23:43
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.007644 0.006080 -1.257168 0.2137
SMB -0.821407 0.204387 -4.018882 0.0002
R-squared 0.217817 Mean dependent var -0.004812
Adjusted R-squared 0.204331 S.D. dependent var 0.052444
S.E. of regression 0.046780 Akaike info criterion -3.253958
Sum squared resid 0.126925 Schwarz criterion -3.184147
Log likelihood 99.61875 F-statistic 16.15141
Durbin-Watson stat 1.394663 Prob(F-statistic) 0.000171
• Phụ lục tự tương quan 1.5.2:
60
BH:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.390912 Probability 0.534406
Obs*R-squared 0.423440 Probability 0.515226
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 03/29/11 Time: 11:53
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -5.21E-05 0.002260 -0.023060 0.9817
RMRF -0.004951 0.049967 -0.099079 0.9214
HML -0.004575 0.100278 -0.045624 0.9638
SMB -0.004914 0.084814 -0.057941 0.9540
RESID(-1) 0.049866 0.142633 0.349614 0.7280
R-squared 0.002217 Mean dependent var -7.23E-19
Adjusted R-squared -0.070349 S.D. dependent var 0.016339
S.E. of regression 0.016904 Akaike info criterion -5.242867
Sum squared resid 0.015716 Schwarz criterion -5.068338
Log likelihood 162.2860 F-statistic 0.030557
Durbin-Watson stat 1.982052 Prob(F-statistic) 0.998147
BL
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 3.620706 Probability 0.062305
Obs*R-squared 3.705898 Probability 0.054220
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 15:43
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -6.69E-05 0.001324 -0.050524 0.9599
SMB -0.011661 0.049496 -0.235588 0.8146
HML 0.021991 0.059513 0.369514 0.7132
RM_RF -0.018201 0.029720 -0.612431 0.5428
RESID(-1) 0.265735 0.139653 1.902815 0.0623
R-squared 0.061765 Mean dependent var -8.53E-19
Adjusted R-squared -0.006470 S.D. dependent var 0.009894
S.E. of regression 0.009926 Akaike info criterion -6.307615
Sum squared resid 0.005419 Schwarz criterion -6.133086
Log likelihood 194.2285 F-statistic 0.905177
Durbin-Watson stat 2.047950 Prob(F-statistic) 0.467411
61
BM
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.426916 Probability 0.516229
Obs*R-squared 0.462139 Probability 0.496626
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 03/29/11 Time: 11:59
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -6.47E-05 0.002745 -0.023581 0.9813
RMRF -0.005713 0.058959 -0.096906 0.9232
SMB -0.003797 0.101940 -0.037248 0.9704
HML -0.018745 0.124329 -0.150767 0.8807
RESID(-1) 0.093490 0.143086 0.653388 0.5162
R-squared 0.007702 Mean dependent var -4.63E-19
Adjusted R-squared -0.064465 S.D. dependent var 0.019936
S.E. of regression 0.020569 Akaike info criterion -4.850429
Sum squared resid 0.023269 Schwarz criterion -4.675901
Log likelihood 150.5129 F-statistic 0.106729
Durbin-Watson stat 1.936911 Prob(F-statistic) 0.979694
SH
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.854166 Probability 0.359414
Obs*R-squared 0.917568 Probability 0.338114
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 03/29/11 Time: 12:04
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000140 0.002619 -0.053501 0.9575
RMRF -0.010189 0.056657 -0.179844 0.8579
SMB -0.007421 0.097336 -0.076246 0.9395
HML -0.008718 0.115689 -0.075354 0.9402
RESID(-1) 0.127581 0.138043 0.924211 0.3594
R-squared 0.015293 Mean dependent var -4.05E-19
Adjusted R-squared -0.056322 S.D. dependent var 0.019075
S.E. of regression 0.019605 Akaike info criterion -4.946430
Sum squared resid 0.021139 Schwarz criterion -4.771901
Log likelihood 153.3929 F-statistic 0.213542
Durbin-Watson stat 1.915846 Prob(F-statistic) 0.929828
62
SL
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.362440 Probability 0.130021
Obs*R-squared 2.471067 Probability 0.115959
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 15:59
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000202 0.004109 -0.049167 0.9610
SMB 0.000882 0.152356 0.005789 0.9954
HML -0.053376 0.184397 -0.289462 0.7733
RM_RF -0.011578 0.087609 -0.132156 0.8953
RESID(-1) 0.208905 0.135915 1.537023 0.1300
R-squared 0.041184 Mean dependent var -4.25E-18
Adjusted R-squared -0.028548 S.D. dependent var 0.030361
S.E. of regression 0.030791 Akaike info criterion -4.043511
Sum squared resid 0.052146 Schwarz criterion -3.868982
Log likelihood 126.3053 F-statistic 0.590610
Durbin-Watson stat 1.932761 Prob(F-statistic) 0.670839
SM
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 1.400384 Probability 0.241749
Obs*R-squared 1.489760 Probability 0.222254
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:01
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000198 0.003810 0.052018 0.9587
SMB 0.001924 0.141194 0.013629 0.9892
HML 0.039258 0.171066 0.229490 0.8193
RM_RF -0.014441 0.081800 -0.176537 0.8605
RESID(-1) 0.165371 0.139745 1.183378 0.2417
R-squared 0.024829 Mean dependent var -1.62E-18
Adjusted R-squared -0.046092 S.D. dependent var 0.027898
S.E. of regression 0.028534 Akaike info criterion -4.195808
Sum squared resid 0.044779 Schwarz criterion -4.021279
Log likelihood 130.8742 F-statistic 0.350096
Durbin-Watson stat 1.860215 Prob(F-statistic) 0.842852
• Phụ lục phương sai 1.6.2:
BH
63
White Heteroskedasticity Test:
F-statistic 1.928786 Probability 0.093085
Obs*R-squared 107.57808
75320
Probability 0.096310
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 03/29/11 Time: 12:17
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 1.40E-07 4.59E-08 3.058731 0.0035
RMRF 2.50E-06 8.70E-07 2.870975 0.0059
RMRF^2 1.07E-05 1.15E-05 0.926554 0.3584
SMB 3.60E-06 1.42E-06 2.531532 0.0144
SMB^2 -5.56E-07 2.58E-05 -0.021541 0.9829
HML -3.03E-06 1.98E-06 -1.531749 0.1315
HML^2 -8.30E-05 4.11E-05 -2.019450 0.0485
R-squared 0.179220 Mean dependent var 1.13E-07
Adjusted R-squared 0.086301 S.D. dependent var 2.73E-07
S.E. of regression 2.61E-07 Akaike info criterion -27.36948
Sum squared resid 3.61E-12 Schwarz criterion -27.12514
Log likelihood 828.0843 F-statistic 1.928786
Durbin-Watson stat 1.734888 Prob(F-statistic) 0.093085
BL
White Heteroskedasticity Test:
F-statistic 0.822549 Probability 0.557552
Obs*R-squared 5.111179 Probability 0.529635
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 16:47
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000117 2.45E-05 4.804078 0.0000
SMB -0.001365 0.000758 -1.801049 0.0774
SMB^2 -0.001666 0.013740 -0.121245 0.9040
HML -0.000257 0.001052 -0.244677 0.8077
HML^2 0.000883 0.021883 0.040350 0.9680
RM_RF -0.000246 0.000464 -0.529889 0.5984
RM_RF^2 -0.009917 0.006125 -1.619080 0.1114
R-squared 0.085186 Mean dependent var 9.63E-05
Adjusted R-squared -0.018377 S.D. dependent var 0.000138
S.E. of regression 0.000139 Akaike info criterion -14.81389
Sum squared resid 1.03E-06 Schwarz criterion -14.56955
Log likelihood 451.4167 F-statistic 0.822549
Durbin-Watson stat 1.386033 Prob(F-statistic) 0.557552
64
BM
White Heteroskedasticity Test:
F-statistic 1.675379 Probability 0.145277
Obs*R-squared 7.565657 Probability 0.144175
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 16:51
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 2.85E-07 1.56E-07 1.822614 0.0740
SMB 6.15E-06 4.84E-06 1.268687 0.2101
SMB^2 -5.89E-05 8.78E-05 -0.670736 0.5053
HML -1.33E-05 6.72E-06 -1.985933 0.0522
HML^2 -0.000200 0.000140 -1.432549 0.1579
RM_RF 8.99E-06 2.96E-06 3.035345 0.0037
RM_RF^2 5.02E-05 3.91E-05 1.283286 0.2050
R-squared 0.159428 Mean dependent var 2.52E-07
Adjusted R-squared 0.064268 S.D. dependent var 9.19E-07
S.E. of regression 8.89E-07 Akaike info criterion -24.92012
Sum squared resid 4.18E-11 Schwarz criterion -24.67578
Log likelihood 754.6035 F-statistic 1.675379
Durbin-Watson stat 2.069731 Prob(F-statistic) 0.145277
SH
White Heteroskedasticity Test:
F-statistic 0.703784 Probability 0.647823
Obs*R-squared 4.427652 Probability 0.619009
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 16:53
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 3.06E-07 1.18E-07 2.589400 0.0124
SMB -7.91E-07 3.66E-06 -0.216039 0.8298
SMB^2 5.02E-05 6.64E-05 0.756106 0.4529
HML -2.08E-06 5.08E-06 -0.409075 0.6841
HML^2 2.33E-05 0.000106 0.220710 0.8262
RM_RF 9.65E-07 2.24E-06 0.430937 0.6683
RM_RF^2 -3.66E-05 2.96E-05 -1.236048 0.2219
R-squared 0.073794 Mean dependent var 2.68E-07
Adjusted R-squared -0.031059 S.D. dependent var 6.61E-07
S.E. of regression 6.72E-07 Akaike info criterion -25.47994
Sum squared resid 2.39E-11 Schwarz criterion -25.23560
Log likelihood 771.3982 F-statistic 0.703784
Durbin-Watson stat 2.092315 Prob(F-statistic) 0.647823
65
SL:
White Heteroskedasticity Test:
F-statistic 8.556724 Probability 0.000002
Obs*R-squared 29.52281 Probability 0.000048
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 16:55
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 5.34E-07 4.00E-07 1.334277 0.1878
SMB 1.40E-05 1.24E-05 1.128667 0.2641
SMB^2 0.000221 0.000225 0.981035 0.3310
HML 4.24E-05 1.72E-05 2.463943 0.0170
HML^2 0.001679 0.000358 4.687242 0.0000
RM_RF 8.26E-06 7.59E-06 1.088456 0.2813
RM_RF^2 2.82E-05 0.000100 0.281654 0.7793
R-squared 0.492047 Mean dependent var 1.42E-06
Adjusted R-squared 0.434543 S.D. dependent var 3.03E-06
S.E. of regression 2.28E-06 Akaike info criterion -23.03843
Sum squared resid 2.75E-10 Schwarz criterion -22.79409
Log likelihood 698.1528 F-statistic 8.556724
Durbin-Watson stat 2.401183 Prob(F-statistic) 0.000002
SM
White Heteroskedasticity Test:
F-statistic 5.769314 Probability 0.000112
Obs*R-squared 23.70521 Probability 0.000592
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 16:58
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000447 0.000210 2.130181 0.0378
SMB -0.004034 0.006507 -0.619918 0.5380
SMB^2 0.582215 0.117925 4.937176 0.0000
HML 0.012801 0.009030 1.417724 0.1621
HML^2 -0.153324 0.187811 -0.816376 0.4179
RM_RF -0.002404 0.003979 -0.604173 0.5483
RM_RF^2 -0.035209 0.052568 -0.669768 0.5059
R-squared 0.395087 Mean dependent var 0.000765
Adjusted R-squared 0.326606 S.D. dependent var 0.001455
S.E. of regression 0.001194 Akaike info criterion -10.51441
Sum squared resid 7.55E-05 Schwarz criterion -10.27007
Log likelihood 322.4323 F-statistic 5.769314
Durbin-Watson stat 2.050047 Prob(F-statistic) 0.000112
66
• Phụ lục hồi quy 1.7:
CAPM:
SH
Dependent Variable: SH
Method: Least Squares
Date: 04/13/11 Time: 22:32
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001853 0.004049 -0.457558 0.6490
RM_RF 0.924064 0.077527 11.91925 0.0000
R-squared 0.710099 Mean dependent var -0.006299
Adjusted R-squared 0.705101 S.D. dependent var 0.057509
S.E. of regression 0.031230 Akaike info criterion -4.062107
Sum squared resid 0.056568 Schwarz criterion -3.992296
Log likelihood 123.8632 F-statistic 142.0686
Durbin-Watson stat 1.432354 Prob(F-statistic) 0.000000
SM
Dependent Variable: SM
Method: Least Squares
Date: 04/13/11 Time: 22:35
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002387 0.005686 -0.419811 0.6762
RM_RF 0.771877 0.108862 7.090437 0.0000
R-squared 0.464323 Mean dependent var -0.006101
Adjusted R-squared 0.455088 S.D. dependent var 0.059406
S.E. of regression 0.043853 Akaike info criterion -3.383202
Sum squared resid 0.111537 Schwarz criterion -3.313391
Log likelihood 103.4961 F-statistic 50.27429
Durbin-Watson stat 1.632234 Prob(F-statistic) 0.000000
SL
Dependent Variable: SL
Method: Least Squares
Date: 04/13/11 Time: 22:36
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.006454 0.005542 -1.164440 0.2490
RM_RF 0.689003 0.106119 6.492734 0.0000
R-squared 0.420901 Mean dependent var -0.009769
Adjusted R-squared 0.410917 S.D. dependent var 0.055696
67
S.E. of regression 0.042748 Akaike info criterion -3.434237
Sum squared resid 0.105987 Schwarz criterion -3.364426
Log likelihood 105.0271 F-statistic 42.15560
Durbin-Watson stat 1.799955 Prob(F-statistic) 0.000000
BH
Dependent Variable: BH
Method: Least Squares
Date: 04/13/11 Time: 22:36
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002549 0.002575 0.989895 0.3263
RM_RF 1.211360 0.049308 24.56707 0.0000
R-squared 0.912326 Mean dependent var -0.003280
Adjusted R-squared 0.910814 S.D. dependent var 0.066511
S.E. of regression 0.019863 Akaike info criterion -4.967176
Sum squared resid 0.022883 Schwarz criterion -4.897365
Log likelihood 151.0153 F-statistic 603.5410
Durbin-Watson stat 1.667712 Prob(F-statistic) 0.000000
BM
Dependent Variable: BM
Method: Least Squares
Date: 04/13/11 Time: 22:37
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001540 0.003381 -0.455411 0.6505
RM_RF 1.090709 0.064741 16.84733 0.0000
R-squared 0.830326 Mean dependent var -0.006788
Adjusted R-squared 0.827401 S.D. dependent var 0.062774
S.E. of regression 0.026079 Akaike info criterion -4.422577
Sum squared resid 0.039448 Schwarz criterion -4.352765
Log likelihood 134.6773 F-statistic 283.8325
Durbin-Watson stat 1.266928 Prob(F-statistic) 0.000000
BL
Dependent Variable: BL
Method: Least Squares
Date: 04/13/11 Time: 22:37
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.004203 0.001377 3.053222 0.0034
RM_RF 1.007827 0.026359 38.23429 0.0000
R-squared 0.961839 Mean dependent var -0.000646
Adjusted R-squared 0.961181 S.D. dependent var 0.053893
S.E. of regression 0.010618 Akaike info criterion -6.219721
Sum squared resid 0.006539 Schwarz criterion -6.149909
Log likelihood 188.5916 F-statistic 1461.861
Durbin-Watson stat 1.454207 Prob(F-statistic) 0.000000
68
FAMA:
SH
Dependent Variable: SH
Method: Least Squares
Date: 04/13/11 Time: 22:41
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.004019 0.002612 1.538762 0.1295
SMB 0.724982 0.096888 7.482673 0.0000
HML 0.734023 0.115166 6.373595 0.0000
RM_RF 1.057639 0.055508 19.05393 0.0000
R-squared 0.889961 Mean dependent var -0.006299
Adjusted R-squared 0.884066 S.D. dependent var 0.057509
S.E. of regression 0.019581 Akaike info criterion -4.964141
Sum squared resid 0.021472 Schwarz criterion -4.824518
Log likelihood 152.9242 F-statistic 150.9697
Durbin-Watson stat 1.721337 Prob(F-statistic) 0.000000
SM
Dependent Variable: SM
Method: Least Squares
Date: 04/13/11 Time: 22:42
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.004866 0.003820 1.273946 0.2079
SMB 1.233705 0.141688 8.707188 0.0000
HML 0.427438 0.168418 2.537964 0.0140
RM_RF 1.064859 0.081174 13.11826 0.0000
R-squared 0.779462 Mean dependent var -0.006101
Adjusted R-squared 0.767648 S.D. dependent var 0.059406
S.E. of regression 0.028636 Akaike info criterion -4.203998
Sum squared resid 0.045920 Schwarz criterion -4.064375
Log likelihood 130.1199 F-statistic 65.97500
Durbin-Watson stat 1.661700 Prob(F-statistic) 0.000000
SL
Dependent Variable: SL
Method: Least Squares
Date: 04/13/11 Time: 22:44
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002916 0.004157 -0.701485 0.4859
SMB 1.045382 0.154197 6.779504 0.0000
HML -0.420098 0.183287 -2.292023 0.0257
RM_RF 0.999791 0.088340 11.31748 0.0000
R-squared 0.702844 Mean dependent var -0.009769
69
Adjusted R-squared 0.686925 S.D. dependent var 0.055696
S.E. of regression 0.031164 Akaike info criterion -4.034788
Sum squared resid 0.054386 Schwarz criterion -3.895165
Log likelihood 125.0436 F-statistic 44.15115
Durbin-Watson stat 1.598716 Prob(F-statistic) 0.000000
BH
Dependent Variable: BH
Method: Least Squares
Date: 04/13/11 Time: 22:44
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.004020 0.002288 1.756863 0.0844
SMB -0.019077 0.084875 -0.224762 0.8230
HML 0.468142 0.100886 4.640287 0.0000
RM_RF 1.168882 0.048625 24.03865 0.0000
R-squared 0.936868 Mean dependent var -0.003280
Adjusted R-squared 0.933486 S.D. dependent var 0.066511
S.E. of regression 0.017153 Akaike info criterion -5.228904
Sum squared resid 0.016477 Schwarz criterion -5.089281
Log likelihood 160.8671 F-statistic 277.0088
Durbin-Watson stat 1.830205 Prob(F-statistic) 0.000000
BM
Dependent Variable: BM
Method: Least Squares
Date: 04/13/11 Time: 22:44
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002312 0.002735 0.845240 0.4016
SMB 0.386949 0.101446 3.814334 0.0003
HML 0.606977 0.120584 5.033639 0.0000
RM_RF 1.144802 0.058119 19.69756 0.0000
R-squared 0.898750 Mean dependent var -0.006788
Adjusted R-squared 0.893326 S.D. dependent var 0.062774
S.E. of regression 0.020503 Akaike info criterion -4.872199
Sum squared resid 0.023540 Schwarz criterion -4.732576
Log likelihood 150.1660 F-statistic 165.6963
Durbin-Watson stat 1.762150 Prob(F-statistic) 0.000000
70
BL
Dependent Variable: BL
Method: Least Squares
Date: 04/13/11 Time: 22:45
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.003355 0.001355 2.476359 0.0163
SMB -0.121623 0.050251 -2.420319 0.0188
HML -0.082237 0.059731 -1.376791 0.1741
RM_RF 0.982149 0.028789 34.11539 0.0000
R-squared 0.966294 Mean dependent var -0.000646
Adjusted R-squared 0.964488 S.D. dependent var 0.053893
S.E. of regression 0.010156 Akaike info criterion -6.277194
Sum squared resid 0.005776 Schwarz criterion -6.137571
Log likelihood 192.3158 F-statistic 535.1369
Durbin-Watson stat 1.526709 Prob(F-statistic) 0.000000
• Phụ lục kiểm định danh mục mô hình Carhart
• Phụ lục đa cộng tuyến 2.4:
RmRf và WML:
Dependent Variable: RM_RF
Method: Least Squares
Date: 04/13/11 Time: 13:56
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.004301 0.006844 -0.628410 0.5322
WML 0.222466 0.329124 0.675933 0.5018
R-squared 0.007816 Mean dependent var -0.004812
Adjusted R-squared -0.009291 S.D. dependent var 0.052444
S.E. of regression 0.052687 Akaike info criterion -3.016139
Sum squared resid 0.161002 Schwarz criterion -2.946327
Log likelihood 92.48416 F-statistic 0.456886
Durbin-Watson stat 1.069279 Prob(F-statistic) 0.501770
SMB và WML:
Dependent Variable: SMB
Method: Least Squares
Date: 04/13/11 Time: 13:57
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.004109 0.003824 -1.074576 0.2870
WML -0.287784 0.183895 -1.564938 0.1230
R-squared 0.040514 Mean dependent var -0.003448
Adjusted R-squared 0.023971 S.D. dependent var 0.029798
S.E. of regression 0.029438 Akaike info criterion -4.180279
71
Sum squared resid 0.050263 Schwarz criterion -4.110468
Log likelihood 127.4084 F-statistic 2.449031
Durbin-Watson stat 1.370272 Prob(F-statistic) 0.123038
HML và WML:
Dependent Variable: HML
Method: Least Squares
Date: 04/13/11 Time: 13:58
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.005263 0.002317 -2.271690 0.0268
WML -0.672402 0.111419 -6.034872 0.0000
R-squared 0.038572 Mean dependent var -0.003718
Adjusted R-squared 0.375130 S.D. dependent var 0.022564
S.E. of regression 0.017836 Akaike info criterion -5.182407
Sum squared resid 0.018452 Schwarz criterion -5.112596
Log likelihood 157.4722 F-statistic 3.641968
Durbin-Watson stat 1.978641 Prob(F-statistic) 0.000500
• Phụ lục tự tương quan 2.5
BW
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 8.119578 Probability 0.006186
Obs*R-squared 7.842530 Probability 0.005103
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:22
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000209 0.001869 -0.111670 0.9115
SMB -0.011782 0.068957 -0.170864 0.8650
HML -0.023017 0.106340 -0.216448 0.8295
RM_RF -0.012737 0.038290 -0.332646 0.7407
WML -0.018779 0.115165 -0.163065 0.8711
RESID(-1) 0.366105 0.128481 2.849487 0.0062
R-squared 0.130709 Mean dependent var -8.89E-19
Adjusted R-squared 0.050219 S.D. dependent var 0.013669
S.E. of regression 0.013321 Akaike info criterion -5.704292
Sum squared resid 0.009582 Schwarz criterion -5.494857
Log likelihood 177.1287 F-statistic 1.623916
Durbin-Watson stat 2.057058 Prob(F-statistic) 0.169398
72
BLc
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 12.66218 Probability 0.000787
Obs*R-squared 11.39673 Probability 0.000736
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:23
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000790 0.003042 -0.259683 0.7961
SMB -0.189869 0.123875 -1.532743 0.1312
HML -0.093940 0.174225 -0.539185 0.5920
RM_RF -0.038373 0.062697 -0.612045 0.5431
WML 0.082719 0.188179 0.439576 0.6620
RESID(-1) 0.518592 0.145738 3.558396 0.0008
R-squared 0.189945 Mean dependent var -2.89E-18
Adjusted R-squared 0.114940 S.D. dependent var 0.022997
S.E. of regression 0.021635 Akaike info criterion -4.734327
Sum squared resid 0.025277 Schwarz criterion -4.524893
Log likelihood 148.0298 F-statistic 2.532436
Durbin-Watson stat 2.064935 Prob(F-statistic) 0.039408
BMc
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.211794 Probability 0.142776
Obs*R-squared 2.360851 Probability 0.124414
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:24
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C 3.21E-06 0.002327 0.001378 0.9989
SMB 0.005623 0.085829 0.065510 0.9480
HML 0.001905 0.132092 0.014420 0.9885
RM_RF -0.001522 0.047382 -0.032119 0.9745
WML -0.020376 0.143880 -0.141617 0.8879
RESID(-1) 0.201624 0.135572 1.487210 0.1428
R-squared 0.039348 Mean dependent var -2.66E-18
Adjusted R-squared -0.049602 S.D. dependent var 0.016197
S.E. of regression 0.016594 Akaike info criterion -5.264891
Sum squared resid 0.014870 Schwarz criterion -5.055457
Log likelihood 163.9467 F-statistic 0.442359
Durbin-Watson stat 1.941043 Prob(F-statistic) 0.816915
73
SLc
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 4.046095 Probability 0.049275
Obs*R-squared 4.182292 Probability 0.040848
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:26
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C 1.11E-05 0.002494 0.004450 0.9965
SMB 0.016941 0.092270 0.183607 0.8550
HML 0.009504 0.141623 0.067109 0.9467
RM_RF -0.013834 0.051227 -0.270061 0.7881
WML -0.018808 0.153766 -0.122315 0.9031
RESID(-1) 0.273087 0.135763 2.011491 0.0493
R-squared 0.069705 Mean dependent var -3.47E-18
Adjusted R-squared -0.016434 S.D. dependent var 0.017638
S.E. of regression 0.017782 Akaike info criterion -5.126574
Sum squared resid 0.017076 Schwarz criterion -4.917140
Log likelihood 159.7972 F-statistic 0.809219
Durbin-Watson stat 1.929958 Prob(F-statistic) 0.548226
SW:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 1.094358 Probability 0.300168
Obs*R-squared 1.191800 Probability 0.274967
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:27
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C 6.71E-05 0.002823 0.023764 0.9811
SMB 0.002473 0.104022 0.023774 0.9811
HML 0.009858 0.160476 0.061428 0.9512
RM_RF -0.014914 0.059196 -0.251937 0.8020
WML 0.010288 0.173989 0.059131 0.9531
RESID(-1) 0.149196 0.142619 1.046116 0.3002
R-squared 0.019863 Mean dependent var -5.09E-18
Adjusted R-squared -0.070890 S.D. dependent var 0.019449
S.E. of regression 0.020126 Akaike info criterion -4.878958
Sum squared resid 0.021873 Schwarz criterion -4.669523
Log likelihood 152.3687 F-statistic 0.218872
Durbin-Watson stat 1.875393 Prob(F-statistic) 0.952934
74
SMC:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.017297 Probability 0.895855
Obs*R-squared 0.019212 Probability 0.889760
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/13/11 Time: 16:28
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C -5.26E-06 0.003747 -0.001405 0.9989
SMB 0.002872 0.139763 0.020550 0.9837
HML 0.004170 0.215004 0.019395 0.9846
RM_RF -0.000415 0.076331 -0.005431 0.9957
WML 0.004971 0.233666 0.021276 0.9831
RESID(-1) 0.022098 0.168022 0.131517 0.8959
R-squared 0.000320 Mean dependent var -5.09E-18
Adjusted R-squared -0.092243 S.D. dependent var 0.025563
S.E. of regression 0.026716 Akaike info criterion -4.312471
Sum squared resid 0.038542 Schwarz criterion -4.103036
Log likelihood 135.3741 F-statistic 0.003459
Durbin-Watson stat 1.681812 Prob(F-statistic) 0.999998
• PHỤ LỤC PHƯƠNG SAI 2.6
BW
White Heteroskedasticity Test:
F-statistic 0.999127 Probability 0.448258
Obs*R-squared 8.129452 Probability 0.420928
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 17:11
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 1.14E-07 5.65E-08 2.022677 0.0484
SMB 1.67E-06 1.75E-06 0.953149 0.3450
SMB^2 -2.75E-05 3.09E-05 -0.890472 0.3774
HML -4.24E-06 3.14E-06 -1.349333 0.1832
HML^2 -4.06E-05 5.41E-05 -0.749889 0.4568
RM_RF 2.69E-06 1.05E-06 2.557057 0.0136
RM_RF^2 1.73E-05 1.39E-05 1.248484 0.2176
WML -6.59E-07 2.85E-06 -0.231405 0.8179
WML^2 -8.07E-05 7.89E-05 -1.022311 0.3115
R-squared 0.135491 Mean dependent var 8.01E-08
75
Adjusted R-squared -0.000118 S.D. dependent var 3.06E-07
S.E. of regression 3.06E-07 Akaike info criterion -27.02462
Sum squared resid 4.77E-12 Schwarz criterion -26.71047
Log likelihood 819.7386 F-statistic 0.999127
Durbin-Watson stat 2.035976 Prob(F-statistic) 0.448258
• BLC:
White Heteroskedasticity Test:
F-statistic 5.533242 Probability 0.000048
Obs*R-squared 27.87939 Probability 0.000498
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 17:19
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000456 0.000155 2.940732 0.0049
SMB -0.003712 0.004808 -0.772070 0.4436
SMB^2 0.354737 0.084832 4.181640 0.0001
HML -0.000619 0.008624 -0.071730 0.9431
HML^2 -0.162498 0.148361 -1.095284 0.2785
RM_RF 0.005428 0.002890 1.878333 0.0661
RM_RF^2 0.056989 0.038094 1.496026 0.1408
WML -0.004965 0.007809 -0.635832 0.5277
WML^2 -0.745406 0.216543 -3.442301 0.0012
R-squared 0.464657 Mean dependent var 0.000520
Adjusted R-squared 0.380681 S.D. dependent var 0.001066
S.E. of regression 0.000839 Akaike info criterion -11.19083
Sum squared resid 3.59E-05 Schwarz criterion -10.87667
Log likelihood 344.7248 F-statistic 5.533242
Durbin-Watson stat 1.787949 Prob(F-statistic) 0.000048
BMc:
White Heteroskedasticity Test:
F-statistic 1.600752 Probability 0.147921
Obs*R-squared 7.042141 Probability 0.149334
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 17:26
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 2.00E-07 1.04E-07 1.922005 0.0602
SMB 6.70E-06 3.22E-06 2.080152 0.0426
SMB^2 0.000134 5.69E-05 2.355393 0.0224
HML 8.47E-07 5.78E-06 0.146587 0.8840
76
HML^2 -0.000166 9.94E-05 -1.672378 0.1006
RM_RF 1.26E-06 1.94E-06 0.651799 0.5175
RM_RF^2 -2.19E-05 2.55E-05 -0.858963 0.3944
WML -3.85E-06 5.23E-06 -0.734736 0.4659
WML^2 0.000138 0.000145 0.947590 0.3478
R-squared 0.200702 Mean dependent var 2.09E-07
Adjusted R-squared 0.075322 S.D. dependent var 5.85E-07
S.E. of regression 5.62E-07 Akaike info criterion -25.80648
Sum squared resid 1.61E-11 Schwarz criterion -25.49233
Log likelihood 783.1944 F-statistic 1.600752
Durbin-Watson stat 1.080609 Prob(F-statistic) 0.147921
SLc:
White Heteroskedasticity Test:
F-statistic 0.969440 Probability 0.470152
Obs*R-squared 7.197853 Probability 0.441345
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 17:36
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 2.02E-07 6.69E-08 3.013155 0.0040
SMB 3.49E-07 2.07E-06 0.168228 0.8671
SMB^2 -3.42E-05 3.66E-05 -0.936261 0.3536
HML -5.56E-06 3.72E-06 -1.495571 0.1409
HML^2 -5.62E-05 6.40E-05 -0.877685 0.3842
RM_RF 3.17E-06 1.25E-06 2.544952 0.0140
RM_RF^2 1.06E-05 1.64E-05 0.647124 0.5205
WML -3.39E-06 3.37E-06 -1.006816 0.3188
WML^2 -7.37E-05 9.34E-05 -0.788894 0.4338
R-squared 0.131996 Mean dependent var 1.52E-07
Adjusted R-squared -0.004161 S.D. dependent var 3.61E-07
S.E. of regression 3.62E-07 Akaike info criterion -26.68865
Sum squared resid 6.68E-12 Schwarz criterion -26.37449
Log likelihood 809.6594 F-statistic 0.969440
Durbin-Watson stat 1.592025 Prob(F-statistic) 0.470152
SW
White Heteroskedasticity Test:
F-statistic 2.473256 Probability 0.023916
Obs*R-squared 6.771140 Probability 0.032582
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 21:23
Sample: 1 60
77
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 1.67E-07 7.54E-08 2.217822 0.0310
SMB 5.32E-06 2.34E-06 2.275182 0.0271
SMB^2 4.61E-05 4.12E-05 1.117170 0.2692
HML 2.05E-06 4.19E-06 0.488963 0.6270
HML^2 -7.22E-05 7.21E-05 -1.000414 0.3218
RM_RF 1.82E-06 1.41E-06 1.292799 0.2019
RM_RF^2 -1.04E-05 1.85E-05 -0.563354 0.5757
WML -5.33E-06 3.80E-06 -1.403022 0.1667
WML^2 0.000188 0.000105 1.788248 0.0797
R-squared 0.279519 Mean dependent var 2.01E-07
Adjusted R-squared 0.166502 S.D. dependent var 4.47E-07
S.E. of regression 4.08E-07 Akaike info criterion -26.44859
Sum squared resid 8.49E-12 Schwarz criterion -26.13444
Log likelihood 802.4577 F-statistic 2.473256
Durbin-Watson stat 2.088988 Prob(F-statistic) 0.023916
SMC
White Heteroskedasticity Test:
F-statistic 0.153075 Probability 0.995786
Obs*R-squared 1.406925 Probability 0.994148
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/13/11 Time: 21:30
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000770 0.000318 2.421027 0.0191
SMB -0.005015 0.009862 -0.508557 0.6133
SMB^2 0.053994 0.174007 0.310297 0.7576
HML -0.002780 0.017690 -0.157136 0.8758
HML^2 -0.040542 0.304318 -0.133224 0.8945
RM_RF 0.000742 0.005928 0.125202 0.9009
RM_RF^2 -0.072333 0.078138 -0.925716 0.3590
WML -0.004245 0.016017 -0.265058 0.7920
WML^2 0.020264 0.444172 0.045623 0.9638
R-squared 0.023449 Mean dependent var 0.000643
Adjusted R-squared -0.129736 S.D. dependent var 0.001619
S.E. of regression 0.001721 Akaike info criterion -9.753982
Sum squared resid 0.000151 Schwarz criterion -9.439831
Log likelihood 301.6195 F-statistic 0.153075
Durbin-Watson stat 1.186894 Prob(F-statistic) 0.995786
Phụ lục hồi quy 2.7:
CAPM
BLc
78
Dependent Variable: BLC
Method: Least Squares
Date: 04/13/11 Time: 23:23
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.004917 0.003726 -1.319539 0.1922
RM_RF 0.888075 0.071345 12.44765 0.0000
R-squared 0.727628 Mean dependent var -0.009190
Adjusted R-squared 0.722932 S.D. dependent var 0.054599
S.E. of regression 0.028740 Akaike info criterion -4.228311
Sum squared resid 0.047906 Schwarz criterion -4.158500
Log likelihood 128.8493 F-statistic 154.9439
Durbin-Watson stat 1.046331 Prob(F-statistic) 0.000000
BMc
Dependent Variable: BMC
Method: Least Squares
Date: 04/13/11 Time: 23:29
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006307 0.002162 2.916953 0.0050
RM_RF 1.033213 0.041400 24.95676 0.0000
R-squared 0.914811 Mean dependent var 0.001335
Adjusted R-squared 0.913342 S.D. dependent var 0.056652
S.E. of regression 0.016677 Akaike info criterion -5.316792
Sum squared resid 0.016131 Schwarz criterion -5.246981
Log likelihood 161.5038 F-statistic 622.8397
Durbin-Watson stat 1.639044 Prob(F-statistic) 0.000000
BW
Dependent Variable: BW
Method: Least Squares
Date: 04/13/11 Time: 23:29
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001228 0.002146 -0.571969 0.5696
RM_RF 1.052796 0.041098 25.61702 0.0000
R-squared 0.918794 Mean dependent var -0.006294
Adjusted R-squared 0.917394 S.D. dependent var 0.057601
S.E. of regression 0.016555 Akaike info criterion -5.331464
Sum squared resid 0.015896 Schwarz criterion -5.261652
Log likelihood 161.9439 F-statistic 656.2319
Durbin-Watson stat 1.335427 Prob(F-statistic) 0.000000
79
SLc
Dependent Variable: SLC
Method: Least Squares
Date: 04/13/11 Time: 23:29
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000204 0.004251 0.047893 0.9620
RM_RF 0.892456 0.081393 10.96473 0.0000
R-squared 0.674569 Mean dependent var -0.004091
Adjusted R-squared 0.668958 S.D. dependent var 0.056986
S.E. of regression 0.032787 Akaike info criterion -3.964774
Sum squared resid 0.062351 Schwarz criterion -3.894963
Log likelihood 120.9432 F-statistic 120.2253
Durbin-Watson stat 1.586778 Prob(F-statistic) 0.000000
SMc
Dependent Variable: SMC
Method: Least Squares
Date: 04/13/11 Time: 23:31
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002516 0.005011 -0.502148 0.6175
RM_RF 0.933111 0.095944 9.725562 0.0000
R-squared 0.619888 Mean dependent var -0.007006
Adjusted R-squared 0.613334 S.D. dependent var 0.062154
S.E. of regression 0.038649 Akaike info criterion -3.635827
Sum squared resid 0.086637 Schwarz criterion -3.566015
Log likelihood 111.0748 F-statistic 94.58656
Durbin-Watson stat 1.391326 Prob(F-statistic) 0.000000
SW
Dependent Variable: SW
Method: Least Squares
Date: 04/13/11 Time: 23:34
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002551 0.003955 -0.644886 0.5215
RM_RF 0.930674 0.075733 12.28893 0.0000
R-squared 0.722512 Mean dependent var -0.007029
Adjusted R-squared 0.717727 S.D. dependent var 0.057421
S.E. of regression 0.030507 Akaike info criterion -4.108941
Sum squared resid 0.053980 Schwarz criterion -4.039129
Log likelihood 125.2682 F-statistic 151.0179
Durbin-Watson stat 1.600043 Prob(F-statistic) 0.000000
FAMA
80
BLc
Dependent Variable: BLC
Method: Least Squares
Date: 04/13/11 Time: 23:35
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001933 0.003329 -0.580533 0.5639
SMB 0.173470 0.123491 1.404717 0.1656
HML 0.649348 0.146788 4.423714 0.0000
RM_RF 0.882171 0.070749 12.46908 0.0000
R-squared 0.801677 Mean dependent var -0.009190
Adjusted R-squared 0.791052 S.D. dependent var 0.054599
S.E. of regression 0.024958 Akaike info criterion -4.478916
Sum squared resid 0.034882 Schwarz criterion -4.339293
Log likelihood 138.3675 F-statistic 75.45579
Durbin-Watson stat 1.304417 Prob(F-statistic) 0.000000
BMc
Dependent Variable: BMC
Method: Least Squares
Date: 04/13/11 Time: 23:36
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006678 0.002254 2.963108 0.0045
SMB 0.040224 0.083605 0.481126 0.6323
HML 0.054330 0.099377 0.546711 0.5867
RM_RF 1.039536 0.047898 21.70335 0.0000
R-squared 0.915568 Mean dependent var 0.001335
Adjusted R-squared 0.911045 S.D. dependent var 0.056652
S.E. of regression 0.016897 Akaike info criterion -5.259056
Sum squared resid 0.015988 Schwarz criterion -5.119433
Log likelihood 161.7717 F-statistic 202.4198
Durbin-Watson stat 1.639056 Prob(F-statistic) 0.000000
BW
Dependent Variable: BW
Method: Least Squares
Date: 04/13/11 Time: 23:38
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002007 0.002201 -0.911814 0.3658
SMB -0.079083 0.081647 -0.968589 0.3369
HML -0.121686 0.097050 -1.253851 0.2151
RM_RF 1.041552 0.046776 22.26676 0.0000
R-squared 0.922106 Mean dependent var -0.006294
Adjusted R-squared 0.917933 S.D. dependent var 0.057601
81
S.E. of regression 0.016501 Akaike info criterion -5.306438
Sum squared resid 0.015248 Schwarz criterion -5.166815
Log likelihood 163.1931 F-statistic 220.9750
Durbin-Watson stat 1.430435 Prob(F-statistic) 0.000000
SLc
Dependent Variable: SLC
Method: Least Squares
Date: 04/13/11 Time: 23:38
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006000 0.002937 2.043066 0.0458
SMB 0.616386 0.108934 5.658329 0.0000
HML 0.865221 0.129485 6.682024 0.0000
RM_RF 0.986747 0.062409 15.81098 0.0000
R-squared 0.858331 Mean dependent var -0.004091
Adjusted R-squared 0.850742 S.D. dependent var 0.056986
S.E. of regression 0.022016 Akaike info criterion -4.729766
Sum squared resid 0.027143 Schwarz criterion -4.590143
Log likelihood 145.8930 F-statistic 113.0961
Durbin-Watson stat 1.583772 Prob(F-statistic) 0.000000
SMc
Dependent Variable: SMC
Method: Least Squares
Date: 04/13/11 Time: 23:39
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.003987 0.003721 1.071328 0.2886
SMB 0.811406 0.138035 5.878247 0.0000
HML 0.800846 0.164076 4.880949 0.0000
RM_RF 1.084262 0.079081 13.71077 0.0000
R-squared 0.808787 Mean dependent var -0.007006
Adjusted R-squared 0.798543 S.D. dependent var 0.062154
S.E. of regression 0.027897 Akaike info criterion -4.256236
Sum squared resid 0.043582 Schwarz criterion -4.116613
Log likelihood 131.6871 F-statistic 78.95547
Durbin-Watson stat 1.617943 Prob(F-statistic) 0.000000
SW
Dependent Variable: SW
Method: Least Squares
Date: 04/13/11 Time: 23:40
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002737 0.002663 1.027776 0.3085
SMB 0.826531 0.098793 8.366335 0.0000
HML 0.415004 0.117430 3.534062 0.0008
82
RM_RF 1.116677 0.056599 19.72973 0.0000
R-squared 0.885240 Mean dependent var -0.007029
Adjusted R-squared 0.879092 S.D. dependent var 0.057421
S.E. of regression 0.019966 Akaike info criterion -4.925211
Sum squared resid 0.022324 Schwarz criterion -4.785588
Log likelihood 151.7563 F-statistic 143.9919
Durbin-Watson stat 1.699706 Prob(F-statistic) 0.000000
CARHART
BLc
Dependent Variable: BLC
Method: Least Squares
Date: 04/13/11 Time: 23:41
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -0.004558 0.003340 -1.364484 0.1780
SMB 0.083164 0.123078 0.675707 0.5021
HML 0.324072 0.189594 1.709290 0.0930
RM_RF 0.902614 0.067996 13.27448 0.0000
WML -0.523445 0.205584 -2.546134 0.0137
R-squared 0.822588 Mean dependent var -0.009190
Adjusted R-squared 0.809685 S.D. dependent var 0.054599
S.E. of regression 0.023819 Akaike info criterion -4.557007
Sum squared resid 0.031204 Schwarz criterion -4.382478
Log likelihood 141.7102 F-statistic 63.75329
Durbin-Watson stat 1.248570 Prob(F-statistic) 0.000000
BMc
Dependent Variable: BMC
Method: Least Squares
Date: 04/13/11 Time: 23:41
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.005702 0.002353 2.423573 0.0187
SMB 0.006627 0.086685 0.076455 0.9393
HML -0.066684 0.133533 -0.499380 0.6195
RM_RF 1.047142 0.047890 21.86541 0.0000
WML -0.194740 0.144795 -1.344937 0.1842
R-squared 0.918257 Mean dependent var 0.001335
Adjusted R-squared 0.912312 S.D. dependent var 0.056652
S.E. of regression 0.016776 Akaike info criterion -5.258082
Sum squared resid 0.015479 Schwarz criterion -5.083553
Log likelihood 162.7425 F-statistic 154.4598
Durbin-Watson stat 1.604224 Prob(F-statistic) 0.000000
BW
Dependent Variable: BW
83
Method: Least Squares
Date: 04/13/11 Time: 23:42
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000807 0.001985 0.406249 0.6861
SMB 0.017703 0.073152 0.242004 0.8097
HML 0.226931 0.112687 2.013808 0.0489
RM_RF 1.019642 0.040414 25.22981 0.0000
WML 0.561007 0.122191 4.591224 0.0000
R-squared 0.943688 Mean dependent var -0.006294
Adjusted R-squared 0.939593 S.D. dependent var 0.057601
S.E. of regression 0.014157 Akaike info criterion -5.597548
Sum squared resid 0.011023 Schwarz criterion -5.423019
Log likelihood 172.9264 F-statistic 230.4256
Durbin-Watson stat 1.283446 Prob(F-statistic) 0.000000
SLc
Dependent Variable: SLC
Method: Least Squares
Date: 04/13/11 Time: 23:43
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.001942 0.002562 0.758037 0.4517
SMB 0.476795 0.094395 5.051046 0.0000
HML 0.362422 0.145411 2.492398 0.0157
RM_RF 1.018347 0.052150 19.52720 0.0000
WML -0.809122 0.157675 -5.131593 0.0000
R-squared 0.904199 Mean dependent var -0.004091
Adjusted R-squared 0.897232 S.D. dependent var 0.056986
S.E. of regression 0.018268 Akaike info criterion -5.087654
Sum squared resid 0.018355 Schwarz criterion -4.913125
Log likelihood 157.6296 F-statistic 129.7772
Durbin-Watson stat 1.487105 Prob(F-statistic) 0.000000
SMc
Dependent Variable: SMC
Method: Least Squares
Date: 04/13/11 Time: 23:44
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000917 0.003713 0.247057 0.8058
SMB 0.705820 0.136808 5.159215 0.0000
HML 0.420533 0.210745 1.995461 0.0510
RM_RF 1.108164 0.075582 14.66183 0.0000
WML -0.612012 0.228519 -2.678170 0.0097
R-squared 0.830846 Mean dependent var -0.007006
Adjusted R-squared 0.818544 S.D. dependent var 0.062154
84
S.E. of regression 0.026476 Akaike info criterion -4.345484
Sum squared resid 0.038554 Schwarz criterion -4.170955
Log likelihood 135.3645 F-statistic 67.53690
Durbin-Watson stat 1.663384 Prob(F-statistic) 0.000000
SW
Dependent Variable: SW
Method: Least Squares
Date: 04/13/11 Time: 23:44
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002616 0.002825 0.926141 0.3584
SMB 0.822367 0.104085 7.900949 0.0000
HML 0.400005 0.160337 2.494781 0.0156
RM_RF 1.117620 0.057503 19.43578 0.0000
WML -0.024137 0.173859 -0.138832 0.8901
R-squared 0.885280 Mean dependent var -0.007029
Adjusted R-squared 0.876937 S.D. dependent var 0.057421
S.E. of regression 0.020143 Akaike info criterion -4.892228
Sum squared resid 0.022317 Schwarz criterion -4.717699
Log likelihood 151.7668 F-statistic 106.1074
Durbin-Watson stat 1.696966 Prob(F-statistic) 0.000000
85
DANH MỤC TÀI LIỆU THAM KHẢO
DANH MỤC TÀI LIỆU TIẾNG VIỆT
1. PGS TS Trần Ngọc Thơ, Tài chính doanh nghiệp hiện đại
2. PGS TS Phan Thị Bích Nguyệt, Đầu tư tài chính
3. ThS Hoàng Ngọc Nhậm, Giáo trình Kinh tế lượng, NXB Thống Kê (2008).
4. Đinh Trọng Hưng, Ứng dụng một số mô hình đầu tư tài chính hiện đại vào thị
trường chứng khoán Việt Nam, Luận văn thạc sĩ kinh tế (2008) .
5. Ts Vương Đức Hoàng Quân, Hồ Thị Huệ, Mô hình Fama-French- một nghiên
cứu thực nghiệm đối với thị trường chứng khoán Việt Nam (2008).
DANH MỤC TÀI LIỆU TIẾNG ANH
1. Eugene F.Fama and Kenneth R. French, The Cross-Section of Expected Stock
Returns (6/1992).
2. Eugene F.Fama and Kenneth R. French,Fama-French three- factors model (1993).
3. Variables- Ralita Petkova, Do the Fama-French Factors Proxy for Innovations in
Predictive (2/2005).
4. Eugene F.Fama and Kenneth R. French, Mulìactor Explanations of Asset Pricing
Anomalies (3/1996).
5. Eugene F. Fama, and Kenneth R. French, Common Risk Factors in the Returns on
Stocks and Bonds, Journal of Financial Economics (1993.
6. Michael A. O’Brien, Fama and French Factors in Australia, (2007)
7. Ajili, Souad, The Capital Asset Pricing Model and the Three Factor Model of
Fama and French Revisited in the Case of France, Working Paper, (2005).
8. Nartea, G.V. and H. Djajadikerta, Size and Book to Market Effects and the Fama-
French Three-Factor Model: Evidence from New Zealand, Proceedings of the
UM-FBA Asian Business Conference, Kuala Lumpur, Malaysia, (2005).
86
9. Nima Billou, Tests of the CAPM and Fama and French three factor model,
(2004).
10. Sunil K Bundoo, An Augmented Fama and French Three-Factor Model: New
Evidence From An Emerging Stock Market, (2004).
11. Bhavna Bahl, Testing the Fama and French Three-Factor Model and Its
Variants for the Indian Stock Returns, (9/2006).
12. Drew, M.E and M. Veeraraghan, Beta, Firm Size, Book-to-Market Equity and
Stock Returns, Journal of the Asia Pacific Economy (2003).
13. Jean- Francois L’Her, Tarek Masmoudi, Jean-Marc Suret, Evidence to support the
four-factor pricing model from the Canadian stock market (7/2003).
14. Rogér Otten , Dennis Bams , European Mutual Fund Performance (2002).
15. Lakshman Alles,Managed Funds Performance with Alternative Benchmarks: The
Carhart Four- Factor Model versus Traditional Models (2002)
16. Kevin Aretz, Sohnke M. Bartram, Peter F. Pope, Macroeconomics Risks and the
Fama French/ Carhart Model (9/2005).
DANH MỤC WEBSITE THAM KHẢO
1. www.vneconomy.vn
2. www.gso.gov.vn
3. www.imf.org
4. www.worldbank.org
5. www.cia.gov
6. www.mpi.gov.vn
7. www.mof.gov.vn
8. www.econstats.com
9. www.gfmag.com
87
10. www.tradingeconomics.com
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