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MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY -o0o - TA THU TIN WHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIST IN VIETNAM STOCK MARKET MAJOR: FINANCE – BANKING MAJOR CODE: 60.31.12 MASTER THESIS ADVISOR: Ph.D TRAN PHUONG NGOC THAO HO CHI MINH CITY, 2011 123doc ACKNOWLEDGEMENT At first, I would like to express my deep gratitude to my instructor, Dr Tran Phuong Ngoc Thao for her intensive guidance and valuable suggestions during time of my study I would like to thank Dr Vo Xuan Vinh for valuable comments and suggestions he share with me In addition, I also give my appreciation to all of my lecturers at Faculty of Banking and Finance, University of Economics Hochiminh City for their teaching and knowledge during my master course My sincere thank goes to Nguyen Hiep Phat, my colleague at Au Viet Securities, he spent a lot of time to help me make a software program to process raw data in this thesis Finally, I am thankful to my family for giving me facilitation to complete my thesis i 123doc ABSTRACT This thesis investigates whether momentum or contrarian phenomenon exist on Vietnamese Stock Market over the period from January 2005 to June 2011 We employ the famous methodology by Jegadeesh and Titman (1993) to calculate the profit of momentum and contrarian strategies which were built base on the historical return of 424 stocks listed on Ho Chi Minh Stock Exchange and Ha Noi Stock Exchange We found that all 16 trading contrarian strategies always make abnormal profit with statistical significance at the level of 10% The most profitable contrarian strategy with portfolio based on month formation and month holding has a average monthly return of 2,829% (equivalent to annually return of 33,95%) with significance level of 2% Our research demonstrates that the abnormal profit on trading contrarian strategy can not be accounted for by beta-risk as well as market size But we found a evidence of P/B ratio explaining contrarian phenomenon on Vietnamese Stock Market Key words: Momentum; Contrarian strategies ii 123doc TABLE OF CONTENTS ACKNOWLEDGEMENT……………………………………………………………… i ABSTRACT…………………………………………………………………………… ii TABLE OF CONTENTS……………………………………………………………… iii LIST OF FIGURES…………………………………………………………………… vi LIST OF TABLES…………………………………………………………………… vii ABBREVIATIONS…………………………………………………………………… viii Introduction………………………………………………………………………… 1.1 Overview of Momentum and Contrarian strategies…………………………… 1.2 Research Objective……………………………………………………………… 1.3 Research Methodology and Scope……………………………………………… 1.4 Thesis Structure………………………………………………………………… 1.5 Vietnamese Stock Market……………………………………………………… Literature Review………………………………………………………………… 2.1 Efficient Market Hypothesis…………………………………………………… 2.2 Momentum Strategy…………………………………………………………… 2.3 Contrarian Strategy…………………………………………………………… 15 Data Collection and Research Method………………………………………… 18 3.1 Data Collection………………………………………………………………… 18 3.1.1 Stock Prices…………………………………….……………………… 18 3.1.2 Adjusted Stock Prices………………………………………………… 19 3.1.3 P/B ratio………………………………………………………………… 21 3.1.4 Market Capitalization…………………………………………………… 22 3.2 Research Method……………………………………………………………… 22 Empirical Result…………………………………………………………………… 24 4.1 Raw Data Processing………………………………………………………… 24 4.2 Empirical Result……………………………………………………………… 28 4.3 Why does the contrarian phenomenon exist in Vietnam stock market? 32 4.4 Some factors may account for the contrarian phenomenon in Vietnam Stock Market………………………………………………………………………… 35 4.4.1 Market Risk…………………………………………………………… 36 iii 123doc 4.4.2 Firm Size……………………………………………………………… 39 4.4.3 Price to Book…………………………………………………………… 40 Conclusion………………………………………………………………………… 42 5.1 Main findings………………………………………………………………… 42 5.2 Implications of Research……………………………………………………… 43 5.3 Limitations of Research……………………………………………………… 44 REFERCENCES……………………………………………………………………… 45 APPENDIX…………………………………………………………………………… 48 Table A1: List of 424 investigated stocks……………………………………………………48 Table B1-Table B16: The average monthly return of Winner and Loser Portfolios in 16 strategies…………………………………………………………………… 59 Table C1-Table C16: The average monthly return of Loser portfolio compare to the one of Winner portfolio in 16 strategies………………………………… 75 Table D11: Estimation of Beta of Winner portfolio in J=3/K=3 strategy……………… 83 Table D12: Estimation of Beta of Loser portfolio in J=3/K=3 strategy……………… 84 Table D21: Estimation of Beta of Winner portfolio in J=6/K=3 strategy……………… 85 Table D22: Estimation of Beta of Loser portfolio in J=6/K=3 strategy……….……… 86 Table D31: Estimation of Beta of Winner portfolio in J=9/K=3 strategy……………….87 Table D32: Estimation of Beta of Loser portfolio in J=9/K=3 strategy…………………88 Table D41: Estimation of Beta of Winner portfolio in J=12/K=3 strategy…………… 89 Table D42: Estimation of Beta of Loser portfolio in J=12/K=3 strategy……………….90 Table E1: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=3/K=3 strategy………………………………… 91 Table E2: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=6/K=3 strategy………………………………… 91 iv 123doc Table E3: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=9/K=3 strategy………………………………… 92 Table E4: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=12/K=3 strategy……………………………… 92 Table F1: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=3/K=3 strategy……………………… 93 Table F2: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=6/K=3 strategy……………………… 93 Table F3: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=9/K=3 strategy……………………….94 Table F4: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=12/K=3 strategy…………………… 94 v 123doc C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an LIST OF FIGURES Figure 1.1 VN-Index Chart over the period from July 2000 to September 2011………….6 Figure 3.1 Formation and Holding periods in two strategies…………………………… 23 Figure 4.1 The screen of the Analyzing Stock Price Data program after importing data from Excel file…………………………………………………………….25 Figure 4.2 The screen of the Analyzing Stock Price Data after stocks are ranked in descending order on the basis of their average monthly returns…………… 26 Figure 4.3: The screen of Stock Grouping program shows the Winner and Loser portfolios, and their average returns…………………………………………… 27 vi 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an LIST OF TABLES Table 3.1 Adjusting price of KDC share………………………………………………….… 20 Table 3.2 Adjusting price of OPC share………………………………………………….… 21 Table 4.1 The average return of Winner and Loser Portfolios and their difference in J=3/K=3 Strategy (Formation Period: months; Holding Period: months)…… ……28 Table 4.2 Summary of the average monthly return of loser and winner portfolio; and their differences (profitability of contrarian strategies) for 16 strategies over the period from 01/2005 to 06/2011……………………………………………….… 30 Table 4.3 Monthly and annually profitability of 16 contrarian strategies are ranking in descending and their significances……………………………………… 31 Table 4.4 Beta coefficient after perform regression……………………………………… 38 Table 4.5 The comparison in average market capitalization between loser and winner portfolios and their differences……………………………………… .39 Table 4.6 The comparison in average P/B ratio between loser and winner portfolios…41 vii 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ABBREVIATIONS CAPM Capital Asset Pricing Model EMH Efficient Market Hypothesis HOSE Ho Chi Minh City Stock Exchange HNX Ha Noi Stock Exchange VND Vietnam Dong viii 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an CHAPTER 1: INTRODUCTION 1.1 Overview of Momentum and Contrarian Strategies In 1970, Efficient Market Hypothesis (EMH) developed by Professor Eugene Fama proclaimed that in the efficient market no one could consistently beat the market and stock prices follow a random walk Thus, future prices of stocks could not be predicted from their past prices, it means that the abnormal return from trading should be zero However, a lot of investors and researchers have doubts about the efficient market hypothesis both empirically and theoretically They always try to find some abnormal returns to prove the inefficiency of the markets Consequently, forecasting the price movements in stock markets has become a major challenge for investors, brokers and speculators Studying the movement of stock prices become one of the most attractive fields of research due to its commercial applications and benefits it offers Recently, there are many researchers and traders have studied stock price predictions such as Fundamental Analysis, Technical Analysis, CANSLIM, etc… And one of the most attractive trading strategies is momentum (and contrarian) strategy The momentum strategy appeared firstly in the 1960s However, it became widely known only in the early 1990s after Narasimham Narasimhan Jegadeesh and Sheridan Titman published their study Momentum and contrarian strategies are two opposite investment strategies which use historical price/return data in order to forecast the future development of stock performance to make excess returns Momentum investing strategy, also sometimes known as “Trend following”, believes that stocks which have good performance in the past will keep doing so in the future, it buys (go long) stocks that have outperformed in the recent past, and short sell (go short) those that have underperformed over the same period In contrast, a contrarian strategy believes that stocks which have good historical performance will be bad in the future, so it suggests short selling past winning stocks and buying past losing stock The contrarian strategy was introduced first 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B10: The average return of Winner and Loser Portfolios and their difference in J=9/K=6 Strategy (Formation Period: months; Holding Period: months) Month Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.1249 0.0434 0.0739 0.0243 0.0628 0.0318 -0.0556 0.0076 0.0041 0.1831 0.1772 0.1119 0.1093 0.0867 0.0764 -0.0395 -0.046 -0.0112 0.0606 0.0229 0.031 0.019 -0.0044 -0.0882 -0.2106 -0.2489 -0.2528 -0.2003 -0.0774 -0.0426 -0.0546 -0.046 0.1289 0.0978 0.0956 0.0583 0.0712 0.0741 -0.0137 -0.0045 -0.0211 0.0459 0.078 0.0469 0.0754 0.0461 0.0768 0.0543 -0.002 0.004 0.0429 0.0598 0.046 0.0084 -0.0248 -0.1103 -0.141 -0.1738 -0.1603 -0.1415 -0.057 -0.0283 -0.0834 -0.0276 Winner minus Loser Month -0.004 -0.0544 -0.0217 -0.034 -0.0084 -0.0423 -0.0419 0.0121 0.0252 0.1372 0.0992 0.065 0.0339 0.0406 -0.0004 -0.0938 -0.044 -0.0152 0.0177 -0.0369 -0.015 0.0106 0.0204 0.0221 -0.0696 -0.0751 -0.0925 -0.0588 -0.0204 -0.0143 0.0288 -0.0184 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Average Average return of return of Winner Loser Portfolio Portfolio -0.034 -0.0488 -0.1493 -0.0905 -0.037 0.0227 0.0327 0.0514 0.0947 0.1336 0.101 0.0378 0.0169 0.0136 -0.012 -0.0156 -0.0007 0.0174 0.0144 0.0216 -0.015 -0.0301 -0.0923 -0.0699 -0.0771 -0.088 -0.0701 -0.0776 -0.0623 -0.079 -0.0741 68 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.0112 -0.0475 -0.1285 -0.0803 -0.0091 0.0581 0.0731 0.078 0.1379 0.1175 0.1169 0.0329 0.0193 0.0109 0.0008 -0.0199 -0.019 0.0002 0.0157 0.0183 -0.0076 -0.024 -0.0538 -0.0387 -0.0367 -0.0453 -0.0399 -0.0556 -0.0456 -0.0751 -0.0852 Winner minus Loser -0.0228 -0.0013 -0.0208 -0.0102 -0.0279 -0.0354 -0.0404 -0.0266 -0.0432 0.0161 -0.0159 0.0049 -0.0024 0.0027 -0.0128 0.0043 0.0183 0.0172 -0.0013 0.0033 -0.0074 -0.0061 -0.0385 -0.0312 -0.0404 -0.0427 -0.0302 -0.022 -0.0167 -0.0039 0.0111 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B11: The average return of Winner and Loser Portfolios and their difference in J=9/K=9 Strategy (Formation Period: months; Holding Period: months) Month Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.0306 0.0339 0.0251 0.051 0.0832 0.0254 -0.0077 0.0689 0.044 0.1092 0.1089 0.0584 0.0534 0.0486 0.0662 -0.0144 -0.0342 0.0167 0.0163 -0.0378 -0.0589 -0.0583 -0.081 -0.1212 -0.1577 -0.0961 -0.1219 -0.156 -0.1255 -0.0775 0.0442 0.0588 0.062 0.0486 0.043 0.0583 0.0035 0.0556 0.0535 0.0482 0.0374 0.0324 0.0552 0.0318 0.0741 0.1036 0.0416 0.0299 0.0058 -0.0022 -0.0342 -0.0476 -0.0844 -0.1117 -0.1302 -0.0819 -0.0963 -0.0974 -0.0938 -0.0687 Winner minus Loser Month -0.0136 -0.0249 -0.0369 0.0024 0.0402 -0.0329 -0.0112 0.0133 -0.0095 0.061 0.0715 0.026 -0.0018 0.0168 -0.0079 -0.118 -0.0758 -0.0132 0.0105 -0.0356 -0.0247 -0.0107 0.0034 -0.0095 -0.0275 -0.0142 -0.0256 -0.0586 -0.0317 -0.0088 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Average Average return of return of Winner Loser Portfolio Portfolio -0.0538 -0.0469 -0.0374 -0.0328 -0.0584 -0.0262 0.0062 0.0375 0.0447 0.0622 0.071 0.0778 0.0396 0.0182 0.0103 0.0247 -0.008 -0.0147 -0.0195 -0.013 -0.0123 -0.0193 -0.0213 -0.0403 -0.072 -0.068 -0.0822 -0.0976 -0.0959 -0.0873 69 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.0712 -0.0508 -0.012 -0.0127 -0.0188 0.001 0.0368 0.0661 0.0855 0.0968 0.1026 0.0747 0.0512 0.0132 0.0113 0.0259 0.016 -0.004 -0.0139 -0.0125 -0.0098 -0.0174 -0.0197 -0.0192 -0.0334 -0.0283 -0.0442 -0.0537 -0.0631 -0.0654 Winner minus Loser 0.0174 0.0039 -0.0254 -0.0201 -0.0396 -0.0272 -0.0306 -0.0286 -0.0408 -0.0346 -0.0316 0.0031 -0.0116 0.005 -0.001 -0.0012 -0.024 -0.0107 -0.0056 -0.0005 -0.0025 -0.0019 -0.0016 -0.0211 -0.0386 -0.0397 -0.038 -0.0439 -0.0328 -0.0219 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B12: The average return of Winner and Loser Portfolios and their difference in J=9/K=12 Strategy (Formation Period: months; Holding Period: 12 months) Month Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.0408 0.0406 0.0164 0.063 0.1096 0.045 0.0063 0.0543 0.0448 0.0714 0.0718 0.0486 0.0544 0.0275 0.0412 -0.0307 -0.0606 -0.0454 -0.0553 -0.0952 -0.0952 -0.0706 -0.0436 -0.0534 -0.1298 -0.1316 -0.1378 -0.1337 -0.1163 0.0502 0.0361 0.0286 0.0534 0.0843 0.104 0.0318 0.0401 0.0238 0.0394 0.0211 0.0318 0.0601 0.0594 0.0806 0.072 0.0169 -0.0232 -0.0406 -0.0448 -0.044 -0.0648 -0.0318 -0.0742 -0.1024 -0.0988 -0.0937 -0.0876 -0.092 Winner minus Loser Month -0.0094 0.0045 -0.0122 0.0096 0.0253 -0.059 -0.0255 0.0142 0.021 0.032 0.0507 0.0168 -0.0057 -0.0319 -0.0394 -0.1027 -0.0775 -0.0222 -0.0147 -0.0504 -0.0512 -0.0058 -0.0118 0.0208 -0.0274 -0.0328 -0.0441 -0.0461 -0.0243 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Average Average return of return of Winner Loser Portfolio Portfolio -0.0611 -0.0351 -0.0033 0.0034 0.0009 -0.0328 -0.0058 0.0198 0.0272 0.0275 0.0288 0.0492 0.0602 0.0381 0.0184 0.0059 0.0017 -0.0226 -0.0268 -0.0422 -0.0188 -0.0162 -0.019 -0.0287 -0.049 -0.0831 -0.0952 -0.0912 70 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.0563 -0.0384 0.02 0.0351 0.0192 0.0088 0.033 0.081 0.0584 0.0568 0.0486 0.0694 0.0546 0.0556 0.0174 0.0206 0.011 0.007 -0.0181 -0.0313 -0.0197 -0.0137 -0.0127 -0.0207 -0.0286 -0.0397 -0.0383 -0.0487 Winner minus Loser -0.0048 0.0033 -0.0233 -0.0317 -0.0183 -0.0416 -0.0388 -0.0612 -0.0312 -0.0293 -0.0198 -0.0202 0.0056 -0.0175 0.001 -0.0147 -0.0093 -0.0296 -0.0087 -0.0109 0.0009 -0.0025 -0.0063 -0.008 -0.0204 -0.0434 -0.0569 -0.0425 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B13: The average return of Winner and Loser Portfolios and their difference in J=12/K=3 Strategy (Formation Period: 12 months; Holding Period: months) Month Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.185 0.1121 0.0089 -0.2062 -0.1055 -0.0028 0.076 0.0939 0.0684 0.2237 0.2137 0.1527 -0.0405 -0.0245 -0.0651 0.047 -0.0389 0.0475 0.1271 0.1263 0.018 -0.0866 -0.1436 -0.3453 -0.3339 -0.3011 -0.1548 -0.0777 0.0634 0.0549 -0.0159 -0.2441 0.2421 0.1365 0.0705 -0.0334 -0.0194 0.0124 0.0425 -0.0062 -0.013 0.0086 0.1406 0.16 0.1164 -0.004 -0.0364 0.0385 -0.0193 0.0043 0.068 0.0477 0.0444 -0.0665 -0.1206 -0.2339 -0.2076 -0.2292 -0.1277 -0.122 0.1068 0.1229 -0.0315 -0.1547 Winner minus Loser Month -0.0571 -0.0244 -0.0616 -0.1728 -0.0861 -0.0152 0.0335 0.1001 0.0814 0.2151 0.0731 -0.0073 -0.1569 -0.0205 -0.0287 0.0085 -0.0196 0.0432 0.0591 0.0786 -0.0264 -0.0201 -0.023 -0.1114 -0.1263 -0.0719 -0.0271 0.0443 -0.0434 -0.068 0.0156 -0.0894 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Average Average return of return of Winner Loser Portfolio Portfolio -0.1571 -0.072 -0.0454 -0.0301 0.0042 0.0981 0.1101 0.1116 0.0772 0.0953 0.1122 -0.0136 -0.0602 -0.08 -0.0015 0.0222 0.0698 0.0263 -0.0092 -0.0568 -0.0794 -0.0945 -0.1564 -0.0606 -0.0835 -0.0342 -0.0447 -0.0607 -0.0815 -0.1014 -0.0574 71 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.1257 -0.0603 -0.0875 -0.0004 0.0429 0.2433 0.1524 0.1267 0.0669 0.0951 0.1103 0.0251 -0.0435 -0.0839 -0.0276 -0.0189 0.0561 0.0469 0.0412 -0.0237 -0.0492 -0.0635 -0.0742 -0.0433 -0.0154 0.0018 -0.0361 -0.0731 -0.1051 -0.1382 -0.1121 Winner minus Loser -0.0314 -0.0117 0.0421 -0.0297 -0.0387 -0.1452 -0.0423 -0.0151 0.0103 0.0002 0.0019 -0.0387 -0.0167 0.0039 0.0261 0.0411 0.0137 -0.0206 -0.0504 -0.0331 -0.0302 -0.031 -0.0822 -0.0173 -0.0681 -0.036 -0.0086 0.0124 0.0236 0.0368 0.0547 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B14: The average return of Winner and Loser Portfolios and their difference in J=12/K=6 Strategy (Formation Period: 12 months; Holding Period: months) Month Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.0272 0.0628 0.0318 -0.0529 -0.0414 0.049 0.1499 0.13 0.1019 0.0971 0.0854 0.0725 -0.0265 -0.0315 -0.01 0.0298 -0.0171 0.0317 0.026 -0.0002 -0.0954 -0.1628 -0.2015 -0.2748 -0.2009 -0.0624 -0.0648 -0.0712 -0.0605 -0.0402 0.0583 0.0833 0.0327 -0.0219 -0.0172 -0.0341 0.0444 0.0828 0.0662 0.0656 0.077 0.0706 0.0696 -0.0003 0.0081 0.0836 0.0739 0.0416 0.0049 -0.0315 -0.0672 -0.1153 -0.1569 -0.1748 -0.1601 -0.06 -0.0475 -0.077 -0.0334 -0.0218 Winner minus Loser Month -0.0311 -0.0205 -0.0009 -0.031 -0.0242 0.0831 0.1055 0.0472 0.0357 0.0315 0.0084 0.0019 -0.0961 -0.0312 -0.0181 -0.0538 -0.091 -0.0099 0.0211 0.0313 -0.0282 -0.0475 -0.0446 -0.1 -0.0408 -0.0024 -0.0173 0.0058 -0.0271 -0.0184 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Average Average return of return of Winner Loser Portfolio Portfolio -0.0493 -0.157 -0.0989 -0.0269 0.0346 0.0352 0.0402 0.0886 0.093 0.1049 0.0299 0.0266 0.0153 -0.0163 -0.0239 -0.0086 0.0101 0.0104 0.0085 -0.0308 -0.038 -0.091 -0.0585 -0.0781 -0.0966 -0.0624 -0.0843 -0.0651 -0.086 -0.0712 72 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.0366 -0.1202 -0.0644 -0.0045 0.061 0.0822 0.0803 0.1588 0.1354 0.1278 0.0609 0.0383 0.0115 0.004 -0.0312 -0.0141 0.0042 0.0063 0.0253 0.0042 -0.0078 -0.0522 -0.0487 -0.0338 -0.025 -0.027 -0.0465 -0.0508 -0.0818 -0.0845 Winner minus Loser -0.0127 -0.0368 -0.0345 -0.0224 -0.0264 -0.047 -0.0401 -0.0702 -0.0424 -0.0229 -0.031 -0.0117 0.0038 -0.0203 0.0073 0.0055 0.0059 0.0041 -0.0168 -0.035 -0.0302 -0.0388 -0.0098 -0.0443 -0.0716 -0.0354 -0.0378 -0.0143 -0.0042 0.0133 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B15: The average return of Winner and Loser Portfolios and their difference in J=12/K=9 Strategy (Formation Period: 12 months; Holding Period: months) Month Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.0416 0.0832 0.0254 -0.0072 0.036 0.0771 0.102 0.0817 0.0622 0.0517 0.0324 0.0503 -0.0078 -0.027 -0.0027 -0.0028 -0.0716 -0.0678 -0.0569 -0.0809 -0.1358 -0.1455 -0.0956 -0.1369 -0.148 -0.121 -0.09 -0.0639 -0.0573 0.0486 0.0642 -0.0022 -0.0072 0.0464 0.0426 0.05 0.0436 0.0439 0.0489 0.0408 0.0504 0.0797 0.0471 0.0342 0.0409 0.0207 -0.0347 -0.0558 -0.0697 -0.0647 -0.1144 -0.0701 -0.1111 -0.1187 -0.0955 -0.0737 -0.072 -0.0556 Winner minus Loser Month -0.007 0.019 0.0276 -0.0104 0.0345 0.052 0.0381 0.0183 0.0028 -0.0084 -0.0001 -0.0875 -0.0741 -0.0369 -0.0437 -0.0923 -0.0331 -0.0011 -0.0112 -0.0711 -0.0311 -0.0255 -0.0258 -0.0293 -0.0255 -0.0163 0.0081 -0.0017 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Average Average return of return of Winner Loser Portfolio Portfolio -0.0354 -0.0223 -0.0516 -0.021 0.0153 0.0477 0.0484 0.0491 0.0557 0.0488 0.0427 0.017 0.0192 0.0219 -0.0089 -0.0195 -0.0222 -0.0173 -0.0151 -0.0262 -0.0326 -0.0341 -0.0681 -0.0577 -0.0804 -0.1069 -0.096 -0.0926 73 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.0182 -0.0035 -0.0118 0.0231 0.0411 0.0701 0.0945 0.1205 0.1139 0.0835 0.0551 0.0321 0.0248 0.0285 0.0125 -0.005 -0.0161 -0.0064 -0.0144 -0.0121 -0.0145 -0.0143 -0.0328 -0.0377 -0.0404 -0.0366 -0.0472 -0.0553 Winner minus Loser -0.0172 -0.0188 -0.0398 -0.0441 -0.0258 -0.0224 -0.0461 -0.0714 -0.0582 -0.0347 -0.0124 -0.0151 -0.0056 -0.0066 -0.0214 -0.0145 -0.0061 -0.0109 -0.0007 -0.0141 -0.0181 -0.0198 -0.0353 -0.02 -0.04 -0.0703 -0.0488 -0.0373 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table B16: The average return of Winner and Loser Portfolios and their difference in J=12/K=12 Strategy (Formation Period: 12 months; Holding Period: 12 months) Month Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Average Average return of return of Winner Loser Portfolio Portfolio 0.0534 0.1096 0.045 0.0025 0.0366 0.0646 0.0894 0.0613 0.0469 0.0595 0.0277 0.0232 -0.0236 -0.0615 -0.0645 -0.058 -0.1172 -0.0968 -0.0689 -0.041 -0.0836 -0.1164 -0.1205 -0.1448 -0.1269 -0.1097 -0.075 0.0534 0.0868 0.0509 0.0288 0.0218 0.0149 0.0378 0.0273 0.0346 0.0572 0.0639 0.0673 0.064 0.0184 -0.0291 -0.023 -0.044 -0.0513 -0.056 -0.0091 -0.0194 -0.076 -0.0913 -0.1095 -0.1019 -0.0932 -0.061 Winner minus Loser Month 0.0228 -0.0059 -0.0263 0.0148 0.0497 0.0516 0.034 0.0123 0.0023 -0.0362 -0.0441 -0.0876 -0.0799 -0.0354 -0.035 -0.0732 -0.0455 -0.0129 -0.0319 -0.0642 -0.0404 -0.0292 -0.0353 -0.025 -0.0165 -0.014 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Average Average return of return of Winner Loser Portfolio Portfolio -0.0413 -0.0171 0.0038 0.0041 -0.0239 0.0025 0.0321 0.0366 0.0308 0.0193 0.0384 0.0377 0.0428 0.0166 0.0099 0.0029 -0.018 -0.027 -0.04 -0.0223 -0.0234 -0.0226 -0.0341 -0.0428 -0.0781 -0.0799 -0.0892 74 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn -0.044 0.0119 0.0324 0.0309 0.0137 0.0396 0.066 0.0592 0.065 0.0625 0.0791 0.0647 0.0623 0.0357 0.0284 0.0148 -0.0064 -0.0179 -0.0298 -0.0168 -0.0147 -0.008 -0.0172 -0.024 -0.0432 -0.0537 -0.0414 Winner minus Loser 0.0027 -0.029 -0.0286 -0.0268 -0.0376 -0.0371 -0.0339 -0.0226 -0.0342 -0.0432 -0.0407 -0.027 -0.0195 -0.0191 -0.0185 -0.0119 -0.0116 -0.0091 -0.0102 -0.0055 -0.0087 -0.0146 -0.0169 -0.0188 -0.0349 -0.0262 -0.0478 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C1: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=3) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 009093 72 1112028 0131054 ReturnW -.013969 72 1024642 0120755 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 72 Sig .786 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0230625 0704474 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0083023 0065082 Upper t 0396168 2.778 df Sig (2-tailed) 71 007 Table C2: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=6) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 008788 69 0693194 0083451 ReturnW -.006994 69 0842553 0101431 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 69 Sig .861 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0157826 0429396 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0051693 0054674 Upper 0260978 75 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 3.053 df Sig (2-tailed) 68 003 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C3: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=9) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 006773 66 0567266 0069826 ReturnW -.004079 66 0618026 0076074 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 66 Sig .862 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0108515 0314995 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0038773 0031080 Upper 0185951 t df 2.799 Sig (2-tailed) 65 007 Table C4: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=12) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 007530 63 0517789 0065235 ReturnW -.004087 63 0584398 0073627 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 63 Sig .910 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0116175 0243265 Paired Differences 95% Confidence Interval Std of the Difference Error Mean Lower 0030649 0054909 Upper 0177440 76 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 3.791 df Sig (2-tailed) 62 000 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C5: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=3) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 010851 69 1080747 0130107 ReturnW -.017445 69 1164953 0140244 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 69 Sig .801 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0282957 0712812 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0085812 0111720 Upper 0454193 t df 3.297 Sig (2-tailed) 68 002 Table C6: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=6) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 005923 66 0717814 0088357 ReturnW -.010538 66 0858055 0105619 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 66 Sig .893 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0164606 0389569 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0047953 0068838 Upper 0260374 77 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 3.433 df Sig (2-tailed) 65 001 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C7: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=9) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 001278 63 0560527 0070620 ReturnW -.011011 63 0648093 0081652 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 63 Sig .904 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0122889 0278651 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0035107 0052711 Upper 0193066 t df 3.500 Sig (2-tailed) 62 001 Table C8: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=12) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 003820 60 0531356 0068598 ReturnW -.011123 60 0587922 0075900 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 60 Sig .902 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0149433 0253331 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0032705 0083991 Upper 0214876 78 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 4.569 df Sig (2-tailed) 59 000 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C9: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=3) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 001215 66 1018164 0125327 ReturnW -.013812 66 1170498 0144078 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 66 Sig .850 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0150273 0617361 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower Upper 0075992 -.0001494 0302039 t df 1.977 Sig (2-tailed) 65 052 Table C10: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=6) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL -.000354 63 0721406 0090889 ReturnW -.010997 63 0899648 0113345 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 63 Sig .910 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0106429 0385642 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0048586 0009306 Upper 0203551 79 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 2.191 df Sig (2-tailed) 62 032 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C11: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=9) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 001168 60 0577317 0074531 ReturnW -.013718 60 0651826 0084150 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 60 Sig .898 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0148867 0287110 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0037066 0074698 Upper 0223035 t df 4.016 Sig (2-tailed) 59 000 Table C12: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=12) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 004667 57 0526694 0069762 ReturnW -.014268 57 0602593 0079815 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 57 Sig .891 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0189351 0273923 Paired Differences 95% Confidence Interval Std of the Difference Error Mean Lower 0036282 0116669 Upper 0262033 80 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 5.219 df Sig (2-tailed) 56 000 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C13: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=3) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL -.003749 63 1018228 0128285 ReturnW -.019383 63 1203549 0151633 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 63 Sig .852 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0156333 0630585 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower Upper 0079446 -.0002478 0315144 t df 1.968 Sig (2-tailed) 62 054 Table C14: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=6) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL -.001422 60 0717755 0092662 ReturnW -.019410 60 0829858 0107134 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 60 Sig .899 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0179883 0364293 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0047030 0085777 Upper 0273990 81 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 3.825 df 59 Sig (2-tailed) 000 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Table C15: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=9) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 001579 57 0573630 0075979 ReturnW -.019600 57 0641303 0084943 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 57 Sig .889 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0211789 0293178 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0038832 0133999 Upper 0289580 t 5.454 df Sig (2-tailed) 56 000 Table C16: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=12) strategy Paired Samples Statistics Mean Pair N Std Deviation Std Error Mean ReturnL 003915 54 0512852 0069790 ReturnW -.017980 54 0604985 0082328 Paired Samples Correlations N Pair ReturnL & ReturnW Correlation 54 Sig .897 000 Paired Samples Test Pair ReturnL ReturnW Mean Std Deviation 0218944 0268918 Paired Differences 95% Confidence Interval of the Difference Std Error Mean Lower 0036595 0145544 Upper 0292345 82 123doc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn t 5.983 df Sig (2-tailed) 53 000
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