KIỂM ĐỊNH MÔ HÌNH ĐẦU TƯ TÀI CHÍNH FAMA - FRENCH VÀ CARHART TRÊN THỊ TRƯỜNG CHỨNG KHOÁN LUẬN VĂN THẠC SĨ.PDF

BÙI ANH HỒNG FAMA FRENCH VÀ CARHART TRÊN Chí Minh 2013 BÙI ANH HOÀNG FAMA FRENCH VÀ CARHART TRÊN Chuyên ngành: Tài Chí Minh Ngân hàng 2013 Bùi Anh Hoàng 1.1 1.1.1 1.1.2 1.1.3 1.1.4 10 1.2 11 1.2.1 11 1.2.2 12 1.2.3 13 1.3 Mô hình Fama French: 14 1.3.1 14 1.3.2 16 1.3.3 French: 16 1.4 Mô hình Carhart: 19 1.4.1 19 1.4.2 20 1.4.3 20 Nam: 21 21 22 23 24 2.1 2.1.1 24 24 2012: 24 2.1.3 25 29 29 30 33 TP.HCM: 33 34 2.3.3 BE/ME: 36 37 38 2.3.6 2.4 French Carhart: 38 French mơ hình Carhart: 39 39 42 42 43 45 45 French: 48 2.5.4 K 50 50 51 51 53 54 2.5.6 55 56 58 58 58 58 59 60 61 hông tin: 61 61 62 63 63 3.3.3.1 C 64 65 66 67 68 Error! Bookmark not defined CAPM CTCK DN BE BE/ME ME HML High Minus Low HOSE HNX RMRF SMB Small Minus Big TP.HCM TSSL TTCK UBCKNN WML Win Minus Lose HÌNH Hình 1.1 Hình 1.6 (VIF) 7: French mơ hình Carhart -Berra 10 11 Godfrey 1 : ình Fama French Bali Nusret Cakici ng: mơ hình Fama l Fama French tin : French mơ hình 77 Dependent Variable: RMRF Method: Least Squares Date: 07/16/13 Time: 12:50 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C HML -0.028653 0.845214 0.012555 0.225431 -2.282191 3.749320 0.0262 0.0004 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.195086 0.181208 0.094071 0.513258 57.70335 14.05740 0.000411 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.016714 0.103960 -1.856778 -1.786967 -1.829471 1.583325 Dependent Variable: RMRF Method: Least Squares Date: 07/16/13 Time: 12:51 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C WML -0.021317 -0.579082 0.013136 0.256206 -1.622840 -2.260215 0.1100 0.0276 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.080949 0.065103 0.100519 0.586038 53.72516 5.108570 0.027578 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.016714 0.103960 -1.724172 -1.654360 -1.696865 1.346179 78 Dependent Variable: SMB Method: Least Squares Date: 07/16/13 Time: 12:53 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C HML -0.000110 -0.077146 0.004966 0.089165 -0.022165 -0.865205 0.9824 0.3905 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.012742 -0.004280 0.037208 0.080297 113.3548 0.748580 0.390491 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.001200 0.037129 -3.711828 -3.642016 -3.684521 2.035605 K Dependent Variable: SMB Method: Least Squares Date: 07/16/13 Time: 12:54 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C WML -0.000523 0.085153 0.004860 0.094789 -0.107588 0.898339 0.9147 0.3727 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.013723 -0.003282 0.037189 0.080217 113.3847 0.807014 0.372719 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.001200 0.037129 -3.712822 -3.643011 -3.685515 1.986021 79 Dependent Variable: HML Method: Least Squares Date: 07/16/13 Time: 12:55 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C WML 0.008030 -0.766814 0.004962 0.096780 1.618220 -7.923242 0.1110 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.519779 0.511500 0.037970 0.083622 112.1375 62.77777 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.014125 0.054327 -3.671251 -3.601440 -3.643944 1.772477 Dependent Variable: BHM Method: Least Squares Date: 06/25/13 Time: 13:34 Sample: 60 Included observations: 60 Variable C RMRF R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic Prob 0.005253 1.127318 0.007562 0.072412 0.694671 15.56804 0.4900 0.0000 0.806901 0.803572 0.057824 0.193927 86.90219 242.3640 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.013589 0.130468 -2.830073 -2.760261 -2.802766 1.795433 80 Dependent Variable: BLM Method: Least Squares Date: 06/25/13 Time: 13:37 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF -0.006857 0.884105 0.005151 0.049320 -1.331340 17.92599 0.1883 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.847103 0.844467 0.039383 0.089961 109.9453 321.3412 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.021634 0.099863 -3.598177 -3.528366 -3.570870 2.135258 Dependent Variable: SHM Method: Least Squares Date: 07/16/13 Time: 13:56 Sample: 60 Included observations: 60 Variable C RMRF R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic Prob 0.009662 1.099148 0.007491 0.071729 1.289826 15.32366 0.2022 0.0000 0.801923 0.798507 0.057278 0.190284 87.47123 234.8147 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.008709 0.127602 -2.849041 -2.779230 -2.821734 1.663958 81 Dependent Variable: SLM Method: Least Squares Date: 07/16/13 Time: 13:57 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF -0.014193 0.880736 0.007018 0.067195 -2.022463 13.10711 0.0477 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.747603 0.743251 0.053658 0.166990 91.38859 171.7963 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.028914 0.105895 -2.979620 -2.909808 -2.952313 1.995117 Dependent Variable: BWIN Method: Least Squares Date: 07/16/13 Time: 13:58 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF -0.011196 0.870615 0.005450 0.052182 -2.054416 16.68407 0.0445 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.827565 0.824592 0.041669 0.100707 106.5601 278.3582 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.025748 0.099493 -3.485336 -3.415525 -3.458029 1.607586 82 Dependent Variable: BLOSE Method: Least Squares Date: 07/16/13 Time: 13:59 Sample: 60 Included observations: 60 Variable C RMRF R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic Prob 0.006409 1.178786 0.006673 0.063897 0.960399 18.44820 0.3408 0.0000 0.854394 0.851884 0.051024 0.151000 94.40838 340.3360 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.013293 0.132578 -3.080279 -3.010468 -3.052972 1.767402 Dependent Variable: SWIN Method: Least Squares Date: 07/16/13 Time: 14:00 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF -0.003837 0.949230 0.007675 0.073488 -0.499934 12.91674 0.6190 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.742041 0.737594 0.058683 0.199734 86.01715 166.8421 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.019702 0.114558 -2.800572 -2.730760 -2.773264 1.992288 83 Dependent Variable: SLOSE Method: Least Squares Date: 07/16/13 Time: 14:01 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF -0.000870 0.920636 0.008603 0.082373 -0.101187 11.17647 0.9198 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.682910 0.677443 0.065777 0.250946 79.16954 124.9135 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.016258 0.115817 -2.572318 -2.502507 -2.545011 1.327096 FRENCH Dependent Variable: BHM Method: Least Squares Date: 06/25/13 Time: 13:33 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.006775 0.974211 -0.425895 0.634243 0.006364 0.063753 0.161184 0.122664 -1.064723 15.28096 -2.642294 5.170573 0.2916 0.0000 0.0107 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.883681 0.877449 0.045673 0.116818 102.1082 141.8114 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.013589 0.130468 -3.270272 -3.130649 -3.215658 1.999306 84 Dependent Variable: BLM Method: Least Squares Date: 06/25/13 Time: 13:36 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.001794 0.949582 -0.162090 -0.294755 0.005157 0.051663 0.130617 0.099402 -0.347901 18.38022 -1.240951 -2.965277 0.7292 0.0000 0.2198 0.0044 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.869620 0.862635 0.037012 0.076713 114.7245 124.5043 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.021634 0.099863 -3.690818 -3.551195 -3.636203 1.984317 Dependent Variable: SHM Method: Least Squares Date: 06/25/13 Time: 13:38 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.001794 0.949582 0.837910 0.705245 0.005157 0.051663 0.130617 0.099402 -0.347901 18.38022 6.415002 7.094854 0.7292 0.0000 0.0000 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.920145 0.915867 0.037012 0.076713 114.7245 215.0897 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.008709 0.127602 -3.690818 -3.551195 -3.636203 1.984317 85 Dependent Variable: SLM Method: Least Squares Date: 06/25/13 Time: 13:39 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.006775 0.974211 0.574105 -0.365757 0.006364 0.063753 0.161184 0.122664 -1.064723 15.28096 3.561808 -2.981787 0.2916 0.0000 0.0008 0.0042 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.823436 0.813977 0.045673 0.116818 102.1082 87.05485 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.028914 0.105895 -3.270272 -3.130649 -3.215658 1.999306 Dependent Variable: BWIN Method: Least Squares Date: 06/25/13 Time: 13:40 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.007305 0.921175 -0.205911 -0.233124 0.005608 0.056181 0.142039 0.108094 -1.302696 16.39664 -1.449685 -2.156678 0.1980 0.0000 0.1527 0.0353 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.844674 0.836353 0.040248 0.090715 109.6949 101.5105 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.025748 0.099493 -3.523164 -3.383541 -3.468549 1.522002 86 Dependent Variable: BLOSE Method: Least Squares Date: 06/25/13 Time: 13:41 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.000504 1.090961 -0.300770 0.359951 0.006532 0.065442 0.165454 0.125914 -0.077191 16.67057 -1.817845 2.858710 0.9387 0.0000 0.0744 0.0060 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.881307 0.874948 0.046883 0.123090 100.5392 138.6014 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.013293 0.132578 -3.217972 -3.078349 -3.163358 1.917964 Dependent Variable: SWIN Method: Least Squares Date: 06/25/13 Time: 13:41 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.002356 0.966357 0.622306 -0.031685 0.007625 0.076390 0.193133 0.146978 -0.309052 12.65026 3.222159 -0.215577 0.7584 0.0000 0.0021 0.8301 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.783389 0.771785 0.054726 0.167719 91.25804 67.50929 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.019702 0.114558 -2.908601 -2.768978 -2.853987 1.971551 87 Dependent Variable: SLOSE Method: Least Squares Date: 06/25/13 Time: 13:42 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML -0.013598 0.755410 0.618161 0.758076 0.007206 0.072193 0.182522 0.138902 -1.887109 10.46375 3.386781 5.457617 0.0643 0.0000 0.0013 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.810723 0.800583 0.051719 0.149795 94.64872 79.95413 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.016258 0.115817 -3.021624 -2.882001 -2.967010 1.679967 Dependent Variable: BHM Method: Least Squares Date: 07/17/13 Time: 11:12 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.006444 0.977278 -0.418517 0.531189 -0.149047 0.006387 0.063973 0.161718 0.169490 0.168797 -1.008978 15.27632 -2.587945 3.134035 -0.882994 0.3174 0.0000 0.0123 0.0028 0.3811 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.885307 0.876965 0.045763 0.115185 102.5305 106.1350 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.013589 0.130468 -3.251015 -3.076486 -3.182747 2.007111 88 Dependent Variable: BLM Method: Least Squares Date: 06/25/13 Time: 13:45 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.002011 0.947569 -0.166931 -0.227132 0.097803 0.005188 0.051968 0.131369 0.137684 0.137121 -0.387632 18.23369 -1.270699 -1.649671 0.713263 0.6998 0.0000 0.2092 0.1047 0.4787 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.870815 0.861419 0.037175 0.076010 115.0007 92.68623 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.021634 0.099863 -3.666692 -3.492163 -3.598424 1.956001 Dependent Variable: SHM Method: Least Squares Date: 06/25/13 Time: 13:46 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.002011 0.947569 0.833069 0.772868 0.097803 0.005188 0.051968 0.131369 0.137684 0.137121 -0.387632 18.23369 6.341418 5.613363 0.713263 0.6998 0.0000 0.0000 0.0000 0.4787 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.920877 0.915122 0.037175 0.076010 115.0007 160.0293 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.008709 0.127602 -3.666692 -3.492163 -3.598424 1.956001 89 Dependent Variable: SLM Method: Least Squares Date: 06/25/13 Time: 13:47 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.006444 0.977278 0.581483 -0.468811 -0.149047 0.006387 0.063973 0.161718 0.169490 0.168797 -1.008978 15.27632 3.595670 -2.766006 -0.882994 0.3174 0.0000 0.0007 0.0077 0.3811 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.825903 0.813242 0.045763 0.115185 102.5305 65.22918 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.028914 0.105895 -3.251015 -3.076486 -3.182747 2.007111 Dependent Variable: BWIN Method: Least Squares Date: 06/25/13 Time: 13:47 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.008039 0.914369 -0.222283 -0.004452 0.330729 0.005411 0.054199 0.137009 0.143594 0.143006 -1.485715 16.87066 -1.622402 -0.031005 2.312684 0.1431 0.0000 0.1104 0.9754 0.0245 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.858440 0.848145 0.038771 0.082675 112.4790 83.38190 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.025748 0.099493 -3.582633 -3.408105 -3.514366 1.453143 90 Dependent Variable: BLOSE Method: Least Squares Date: 06/25/13 Time: 13:48 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML 0.000265 1.098088 -0.283627 0.120506 -0.346310 0.006362 0.063720 0.161077 0.168819 0.168129 0.041618 17.23299 -1.760812 0.713817 -2.059786 0.9670 0.0000 0.0838 0.4784 0.0442 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.889807 0.881793 0.045582 0.114275 102.7685 111.0311 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.013293 0.132578 -3.258949 -3.084420 -3.190681 2.014597 Dependent Variable: SWIN Method: Least Squares Date: 06/25/13 Time: 13:48 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.003788 0.953090 0.590395 0.414033 0.644643 0.006970 0.069813 0.176480 0.184962 0.184206 -0.543453 13.65203 3.345398 2.238477 3.499583 0.5890 0.0000 0.0015 0.0293 0.0009 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.822838 0.809954 0.049941 0.137174 97.28925 63.86270 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.019702 0.114558 -3.076308 -2.901780 -3.008041 2.009099 91 Dependent Variable: SLOSE Method: Least Squares Date: 06/25/13 Time: 13:49 Sample: 60 Included observations: 60 Variable Coefficient Std Error t-Statistic Prob C RMRF SMB HML WML -0.012092 0.769370 0.651739 0.289074 -0.678319 0.006409 0.064192 0.162271 0.170070 0.169375 -1.886767 11.98539 4.016356 1.699734 -4.004832 0.0645 0.0000 0.0002 0.0948 0.0002 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.853457 0.842799 0.045920 0.115975 102.3255 80.07890 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.016258 0.115817 -3.244182 -3.069653 -3.175914 1.430123 ... Win Minus Lose HÌNH Hình 1.1 Hình 1.6 (VIF) 7: French mơ hình Carhart -Berra 10 11 Godfrey 1 : ình Fama French Bali Nusret Cakici ng: mô hình Fama l Fama French tin : French mô hình : 77 Ph S... French: French so Fama 17 Nghiên c Fama Walid Elhaj Ahlem (2007): Fren ình Fama French 18 -Ho Park (2008): ian (1984 French 19 1.4 Mơ hình Carhart: 1.4.1 : Fama Carha bao French Fama French Mô hình. .. hình Fama French Trong nghiên c mơ hình 21 French /2003 1.5 có mơ hình Nam: 1.5.1 mơ hình French Carhart French Hai t 22 oa Fama French mơ SMB 1.5.2 mơ hình 23 u Frenc : 24 2: À 2.1 2.1.1 - -Index