Bảng 4.15 Hệ số chặn của các danh mục sau khi đã chia theo ngưỡng
1. GIAI ĐOẠN 2009-2015
1 ABT 31 HAX 61 PVD 91 UIC
2 ACL 32 HBC 62 PVT 92 VHC
3 AGF 33 HDC 63 RAL 93 VHG
4 ANV 34 HMC 64 REE 94 VIC
5 ASP 35 HPG 65 RIC 95 VID
6 BBC 36 HRC 66 SAM 96 VIP 7 BHS 37 HT1 67 SAV 97 VIS 8 BMC 38 ICF 68 SBT 98 VNA 9 BMP 39 IMP 69 SC5 99 VNE 10 BT6 40 ITA 70 SCD 100 VNM 11 CII 41 KDC 71 SFI 101 VNS 12 CLC 42 KHA 72 SJD 102 VPK 13 COM 43 KHP 73 SJS 103 VSC 14 DHA 44 KMR 74 SMC 104 VSH 15 DHG 45 L10 75 SSC 105 VTB
16 DIC 46 LAF 76 ST8 106 VTO
17 DMC 47 LBM 77 SZL 18 DPM 48 LGC 78 TAC 19 DPR 49 MCP 79 TCM 20 DQC 50 MHC 80 TCR 21 DRC 51 NAV 81 TDH 22 DXV 52 NSC 82 TNA 23 FMC 53 NTL 83 TNC 24 FPT 54 PAC 84 TPC 25 GIL 55 PET 85 TRC 26 GMC 56 PGC 86 TS4 27 GMD 57 PIT 87 TSC 28 GTA 58 PJT 88 TTF 29 HAP 59 PNC 89 TTP 30 HAS 60 PPC 90 TYA Trang 1/9
2. GIAI ĐOẠN 2012 – 2015
1 AAM 41 HTI 81 QCG 121 ASP 161 ITA 201 SSC 2 ACC 42 HTV 82 RDP 122 BBC 162 KBC 202 ST8 3 APC 43 HU3 83 SBA 123 BHS 163 KDC 203 SZL 4 ATA 44 HVG 84 SHI 124 BMC 164 KHA 204 TAC 5 BTP 45 HVX 85 SMA 125 BMP 165 KHP 205 TCM 6 BTT 46 IDI 86 SPM 126 BT6 166 KMR 206 TCR 7 C47 47 IJC 87 SRC 127 CII 167 KSH 207 TDH 8 CCI 48 ITC 88 SRF 128 CLC 168 L10 208 TMS 9 CCL 49 KAC 89 STG 129 COM 169 LAF 209 TNA 10 CDC 50 KDH 90 STT 130 CYC 170 LBM 210 TNC 11 CIG 51 KSA 91 SVC 131 DCL 171 LCG 211 TPC 12 CLG 52 KSB 92 TBC 132 DHA 172 LGC 212 TRA 13 CLW 53 KSS 93 TCL 133 DHG 173 MCP 213 TRC 14 CMG 54 KTB 94 TDC 134 DIC 174 MHC 214 TS4 15 CMT 55 LGL 95 THG 135 DMC 175 NAV 215 TSC 16 CMV 56 LHG 96 TIC 136 DPM 176 NSC 216 TTF 17 CMX 57 LM8 97 TIE 137 DPR 177 NTL 217 TTP 18 CSM 58 LSS 98 TIX 138 DQC 178 OPC 218 TYA 19 CTD 59 MCG 99 TLG 139 DRC 179 PAC 219 UIC 20 CTI 60 MDG 100 TLH 140 DTT 180 PET 220 VHC 21 D2D 61 MSN 101 TMP 141 DXV 181 PGC 221 VHG 22 DAG 62 NBB 102 TMT 142 FMC 182 PIT 222 VIC 23 DHC 63 NHS 103 TNT 143 FPT 183 PJT 223 VID 24 DIG 64 NKG 104 TV1 144 GIL 184 PNC 224 VIP 25 DLG 65 NNC 105 UDC 145 GMC 185 PPC 225 VIS 26 DRH 66 NVT 106 VFG 146 GMD 186 PTC 226 VNA 27 DSN 67 OGC 107 VLF 147 GTA 187 PVD 227 VNE 28 DTA 68 PAN 108 VMD 148 HAG 188 PVT 228 VNM 29 DTL 69 PDR 109 VNG 149 HAP 189 RAL 229 VNS 30 DVP 70 PGD 110 VNH 150 HAS 190 REE 230 VPK 31 DXG 71 PHR 111 VNL 151 HAX 191 RIC 231 VSC 32 ELC 72 PNJ 112 VOS 152 HBC 192 SAM 232 VSH 33 EVE 73 POM 113 VPH 153 HDC 193 SAV 233 VTB 34 FDC 74 PPI 114 VRC 154 HMC 194 SBT 234 VTO 35 GDT 75 PTB 115 VSI 155 HPG 195 SC5
36 GTT 76 PTL 116 VTF 156 HRC 196 SCD 37 HAI 77 PXI 117 ABT 157 HSG 197 SFI 38 HDG 78 PXL 118 ACL 158 HT1 198 SJD 39 HLG 79 PXS 119 AGF 159 ICF 199 SJS 40 HQC 80 PXT 120 ANV 160 IMP 200 SMC
KIỂM ĐỊNH CHÊNH LỆCH HỆ SỐ CHẶN (αhigh – αlow)
3. GIAI ĐOẠN 2009 – 2015 3.1. CAPM
3.2. Fama - French
3.3. Carhart
4. GIAI ĐOẠN 2009 – 2011 4.1. CAPM
4.2. Fama - French
4.3. Carhart
5. GIAI ĐOẠN 2012 – 2015 5.1. CAPM
5.2. Fama - French
5.3. Carhart