Trương Đông Lộc, Dương Thị Hoàng Trang (2014). Mô hình 3 nhân tố Fama – French: Các bằng chứng thực nghiệm từ Sở giao dịch chứng khoán Thành phố Hồ Chí Minh. Tạp chí Khoa học Trường Đại học Cần Thơ, 32, trang 61-68.
PHỤ LỤC
2. Unit root test 1.1. IVEW
1.1.1. Constant
Null Hypothesis: IVEW has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.168222 0.0000 Test critical values: 1% level -3.525618
5% level -2.902953 10% level -2.588902 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IVEW)
Method: Least Squares Date: 10/23/17 Time: 00:32 Sample (adjusted): 2 72
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. IVEW(-1) -0.548474 0.106124 -5.168222 0.0000 C 0.009974 0.001956 5.099475 0.0000 R-squared 0.279076 Mean dependent var -5.70E-05 Adjusted R-squared 0.268628 S.D. dependent var 0.002381 S.E. of regression 0.002037 Akaike info criterion -9.527342 Sum squared resid 0.000286 Schwarz criterion -9.463605 Log likelihood 340.2207 Hannan-Quinn criter. -9.501996 F-statistic 26.71052 Durbin-Watson stat 1.851146 Prob(F-statistic) 0.000002
1.1.2. Constant and trend
Null Hypothesis: IVEW has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.129686 0.0004 Test critical values: 1% level -4.092547
5% level -3.474363 10% level -3.164499 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IVEW)
Method: Least Squares Date: 10/23/17 Time: 00:32 Sample (adjusted): 2 72
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. IVEW(-1) -0.549218 0.107067 -5.129686 0.0000 C 0.010040 0.002043 4.914441 0.0000 @TREND(1) -1.44E-06 1.19E-05 -0.121202 0.9039 R-squared 0.279232 Mean dependent var -5.70E-05 Adjusted R-squared 0.258033 S.D. dependent var 0.002381 S.E. of regression 0.002051 Akaike info criterion -9.499389 Sum squared resid 0.000286 Schwarz criterion -9.403783 Log likelihood 340.2283 Hannan-Quinn criter. -9.461370 F-statistic 13.17189 Durbin-Watson stat 1.850131 Prob(F-statistic) 0.000015
1.2. IVVW 1.2.1. Constant
Null Hypothesis: IVVW has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.468584 0.0005 Test critical values: 1% level -3.525618
5% level -2.902953 10% level -2.588902 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IVVW)
Method: Least Squares Date: 10/23/17 Time: 00:23 Sample (adjusted): 2 72
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. IVVW(-1) -0.448706 0.100413 -4.468584 0.0000 C 0.006914 0.001582 4.370757 0.0000 R-squared 0.224442 Mean dependent var -6.00E-06 Adjusted R-squared 0.213202 S.D. dependent var 0.003066 S.E. of regression 0.002720 Akaike info criterion -8.948702 Sum squared resid 0.000510 Schwarz criterion -8.884964 Log likelihood 319.6789 Hannan-Quinn criter. -8.923355 F-statistic 19.96825 Durbin-Watson stat 2.128469 Prob(F-statistic) 0.000030
1.2.2. Constant and trend
Null Hypothesis: IVVW has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.113671 0.0004 Test critical values: 1% level -4.092547
5% level -3.474363 10% level -3.164499 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IVVW)
Method: Least Squares Date: 10/23/17 Time: 00:24 Sample (adjusted): 2 72
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. IVVW(-1) -0.557855 0.109091 -5.113671 0.0000 C 0.009977 0.002058 4.848900 0.0000 @TREND(1) -3.83E-05 1.71E-05 -2.240590 0.0283 R-squared 0.277763 Mean dependent var -6.00E-06 Adjusted R-squared 0.256521 S.D. dependent var 0.003066 S.E. of regression 0.002644 Akaike info criterion -8.991762 Sum squared resid 0.000475 Schwarz criterion -8.896156 Log likelihood 322.2075 Hannan-Quinn criter. -8.953742 F-statistic 13.07597 Durbin-Watson stat 2.042142 Prob(F-statistic) 0.000016
1.3. MVOL 1.3.1. Constant
Null Hypothesis: MVOL has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.836990 0.0000 Test critical values: 1% level -3.525618
5% level -2.902953 10% level -2.588902 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(MVOL)
Method: Least Squares Date: 10/23/17 Time: 00:24 Sample (adjusted): 2 72
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. MVOL(-1) -0.894176 0.114097 -7.836990 0.0000 C 0.009939 0.001380 7.201448 0.0000 R-squared 0.470934 Mean dependent var -0.000192 Adjusted R-squared 0.463266 S.D. dependent var 0.005558 S.E. of regression 0.004072 Akaike info criterion -8.141531 Sum squared resid 0.001144 Schwarz criterion -8.077793 Log likelihood 291.0243 Hannan-Quinn criter. -8.116184 F-statistic 61.41841 Durbin-Watson stat 2.042845 Prob(F-statistic) 0.000000
1.3.2. Constant and trend
Null Hypothesis: MVOL has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.342020 0.0000 Test critical values: 1% level -4.092547
5% level -3.474363 10% level -3.164499 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(MVOL)
Method: Least Squares Date: 10/23/17 Time: 00:24 Sample (adjusted): 2 72
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. MVOL(-1) -0.975713 0.116964 -8.342020 0.0000 C 0.012789 0.001861 6.873679 0.0000 @TREND(1) -5.35E-05 2.42E-05 -2.212557 0.0303 R-squared 0.506464 Mean dependent var -0.000192 Adjusted R-squared 0.491948 S.D. dependent var 0.005558 S.E. of regression 0.003962 Akaike info criterion -8.182880 Sum squared resid 0.001067 Schwarz criterion -8.087274 Log likelihood 293.4922 Hannan-Quinn criter. -8.144860 F-statistic 34.89060 Durbin-Watson stat 2.017285 Prob(F-statistic) 0.000000
4. Time trend 3.1. IVEW
Dependent Variable: IVEW Method: Least Squares Date: 10/23/17 Time: 00:34 Sample: 1 72
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob. C 0.018545 0.000546 33.96284 0.0000 T -7.47E-06 1.30E-05 -0.574597 0.5674 R-squared 0.004694 Mean dependent var 0.018273 Adjusted R-squared -0.009524 S.D. dependent var 0.002282 S.E. of regression 0.002293 Akaike info criterion -9.290875 Sum squared resid 0.000368 Schwarz criterion -9.227634 Log likelihood 336.4715 Hannan-Quinn criter. -9.265699 F-statistic 0.330162 Durbin-Watson stat 1.079420 Prob(F-statistic) 0.567406
3.2. IVVW
Dependent Variable: IVVW Method: Least Squares Date: 10/23/17 Time: 00:33 Sample: 1 72
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob. C 0.017870 0.000694 25.75926 0.0000 T -6.71E-05 1.65E-05 -4.060150 0.0001 R-squared 0.190609 Mean dependent var 0.015422 Adjusted R-squared 0.179047 S.D. dependent var 0.003215 S.E. of regression 0.002913 Akaike info criterion -8.812119 Sum squared resid 0.000594 Schwarz criterion -8.748879 Log likelihood 319.2363 Hannan-Quinn criter. -8.786943 F-statistic 16.48482 Durbin-Watson stat 1.108740 Prob(F-statistic) 0.000126
3.3. MVOL
Dependent Variable: MVOL Method: Least Squares Date: 10/23/17 Time: 00:34 Sample: 1 72
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob. C 0.013685 0.000964 14.19153 0.0000 T -6.55E-05 2.30E-05 -2.854265 0.0057 R-squared 0.104250 Mean dependent var 0.011293 Adjusted R-squared 0.091454 S.D. dependent var 0.004248 S.E. of regression 0.004049 Akaike info criterion -8.153432 Sum squared resid 0.001147 Schwarz criterion -8.090192 Log likelihood 295.5236 Hannan-Quinn criter. -8.128256 F-statistic 8.146831 Durbin-Watson stat 1.885707 Prob(F-statistic) 0.005670
5. Khả năng dự đoán tỷ suất lợi nhuận 1 tháng sau đó của rủi ro đặc thù và rủi ro thị trường
4.1. IVEW
Dependent Variable: MKTR Method: Least Squares Date: 10/23/17 Time: 00:36 Sample (adjusted): 1 71
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. C -0.075736 0.054942 -1.378490 0.1725 IVEW 3.756832 2.981023 1.260249 0.2118 R-squared 0.022500 Mean dependent var -0.007027 Adjusted R-squared 0.008333 S.D. dependent var 0.057447 S.E. of regression 0.057207 Akaike info criterion -2.856520 Sum squared resid 0.225811 Schwarz criterion -2.792782 Log likelihood 103.4064 Hannan-Quinn criter. -2.831173 F-statistic 1.588228 Durbin-Watson stat 2.081907 Prob(F-statistic) 0.211825
4.2. IVVW
Dependent Variable: MKTR Method: Least Squares Date: 10/23/17 Time: 00:37 Sample (adjusted): 1 71
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. C -0.048422 0.033263 -1.455737 0.1500 IVVW 2.684298 2.111575 1.271230 0.2079 R-squared 0.022885 Mean dependent var -0.007027 Adjusted R-squared 0.008724 S.D. dependent var 0.057447 S.E. of regression 0.057196 Akaike info criterion -2.856913 Sum squared resid 0.225723 Schwarz criterion -2.793176 Log likelihood 103.4204 Hannan-Quinn criter. -2.831567 F-statistic 1.616025 Durbin-Watson stat 1.971010 Prob(F-statistic) 0.207916
4.3. MVOL
Dependent Variable: MKTR Method: Least Squares Date: 10/23/17 Time: 00:37 Sample (adjusted): 1 71
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. C -0.022292 0.019513 -1.142397 0.2572 MVOL 1.347163 1.613083 0.835148 0.4065 R-squared 0.010007 Mean dependent var -0.007027 Adjusted R-squared -0.004341 S.D. dependent var 0.057447 S.E. of regression 0.057571 Akaike info criterion -2.843820 Sum squared resid 0.228697 Schwarz criterion -2.780083 Log likelihood 102.9556 Hannan-Quinn criter. -2.818474 F-statistic 0.697472 Durbin-Watson stat 2.015746 Prob(F-statistic) 0.406517
6. Mối quan hệ giữa rủi ro đặc thù và tỷ suất lợi nhuận cổ phiếu một tháng sau đó
5.1 Mô hình Pure Pooled OLS
Dependent Variable: R Method: Panel Least Squares Date: 10/23/17 Time: 00:45 Sample: 2010M01 2015M11 Periods included: 71
Cross-sections included: 113
Total panel (unbalanced) observations: 3053
Variable Coefficient Std. Error t-Statistic Prob. C -0.017271 0.005905 -2.924720 0.0035 IV 0.752459 0.302678 2.486009 0.0130 R-squared 0.002022 Mean dependent var -0.003509 Adjusted R-squared 0.001694 S.D. dependent var 0.113704 S.E. of regression 0.113607 Akaike info criterion -1.511480 Sum squared resid 39.37820 Schwarz criterion -1.507534 Log likelihood 2309.275 Hannan-Quinn criter. -1.510062 F-statistic 6.180241 Durbin-Watson stat 1.897068 Prob(F-statistic) 0.012972
5.2 Mỗ hình REM
Dependent Variable: R
Method: Panel EGLS (Cross-section random effects) Date: 10/23/17 Time: 00:47
Sample: 2010M01 2015M11 Periods included: 71
Cross-sections included: 113
Total panel (unbalanced) observations: 3053 Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob. C -0.017271 0.005909 -2.922731 0.0035 IV 0.752459 0.302884 2.484318 0.0130 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 0.113685 1.0000 Weighted Statistics
R-squared 0.002022 Mean dependent var -0.003509 Adjusted R-squared 0.001694 S.D. dependent var 0.113704 S.E. of regression 0.113607 Sum squared resid 39.37820 F-statistic 6.180241 Durbin-Watson stat 1.897068 Prob(F-statistic) 0.012972
Unweighted Statistics
R-squared 0.002022 Mean dependent var -0.003509 Sum squared resid 39.37820 Durbin-Watson stat 1.897068
5.3 Mô hình FEM
Dependent Variable: R Method: Panel Least Squares Date: 10/23/17 Time: 00:46 Sample: 2010M01 2015M11 Periods included: 71
Cross-sections included: 113
Total panel (unbalanced) observations: 3053
Variable Coefficient Std. Error t-Statistic Prob. C -0.028103 0.006812 -4.125629 0.0000 IV 1.344726 0.355057 3.787349 0.0002
Effects Specification Cross-section fixed (dummy variables)
R-squared 0.037348 Mean dependent var -0.003509 Adjusted R-squared 0.000335 S.D. dependent var 0.113704 S.E. of regression 0.113685 Akaike info criterion -1.474149 Sum squared resid 37.98430 Schwarz criterion -1.249216 Log likelihood 2364.289 Hannan-Quinn criter. -1.393313 F-statistic 1.009057 Durbin-Watson stat 1.929660 Prob(F-statistic) 0.456831
5.4 Kiểm định Breusch-Pagan Lagrange multiplier
Lagrange Multiplier Tests for Random Effects Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided (all others) alternatives
Test Hypothesis
Cross-section Time Both Breusch-Pagan 0.001376 13536.91 13536.91 (0.9704) (0.0000) (0.0000) Honda -0.037098 116.3482 82.24438 (0.5148) (0.0000) (0.0000) King-Wu -0.037098 116.3482 71.74275 (0.5148) (0.0000) (0.0000) Standardized Honda 0.096293 117.3882 76.40261 (0.4616) (0.0000) (0.0000) Standardized King-Wu 0.096293 117.3882 65.90119 (0.4616) (0.0000) (0.0000) Gourieroux, et al.* -- -- 13536.91 (0.0000)
5.5 Kiểm định Hausman
Correlated Random Effects - Hausman Test Equation: Untitled
Test cross-section random effects
Test Summary
Chi-Sq.
Statistic Chi-Sq. d.f. Prob. Cross-section random 10.218719 1 0.0014 ** WARNING: estimated cross-section random effects variance is zero.
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob. IV 1.344726 0.752459 0.034327 0.0014
Cross-section random effects test equation: Dependent Variable: R
Method: Panel Least Squares Date: 10/23/17 Time: 00:48 Sample: 2010M01 2015M11 Periods included: 71
Cross-sections included: 113
Total panel (unbalanced) observations: 3053
Variable Coefficient Std. Error t-Statistic Prob. C -0.028103 0.006812 -4.125629 0.0000 IV 1.344726 0.355057 3.787349 0.0002
Effects Specification Cross-section fixed (dummy variables)
R-squared 0.037348 Mean dependent var -0.003509 Adjusted R-squared 0.000335 S.D. dependent var 0.113704 S.E. of regression 0.113685 Akaike info criterion -1.474149 Sum squared resid 37.98430 Schwarz criterion -1.249216 Log likelihood 2364.289 Hannan-Quinn criter. -1.393313 F-statistic 1.009057 Durbin-Watson stat 1.929660 Prob(F-statistic) 0.456831