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