ỨNG DỤNG MÔ HÌNH TÀI CHÍNH ĐỊNH GIÁ DANH MỤC ĐẦU TƯ TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM - Tài liệu tham khảo

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
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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

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