Tải bản đầy đủ
Phụ lục A: Dữ liệu quan sát

Phụ lục A: Dữ liệu quan sát

Tải bản đầy đủ

DPR
DPR
DRC
DRC
DRC
FMC
FMC
FMC
FPT
FPT
FPT
GIL
GIL
GIL
GMC
GMC
GMC
GMD
GMD
GMD
GTA
GTA
GTA
HBC
HBC
HBC
HDC
HDC
HDC
HRC
HRC
HRC
HSI
HSI
HSI
ICF
ICF
ICF
ITA
ITA
ITA
KDC
KDC

2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010

0.1724
-0.3191
6.2619
-0.3443
-0.6794
0.3333
-0.1938
-0.2326
0.5800
0.0886
-0.4221
1.4615
-0.1513
0.0377
2.7865
-0.6522
-0.2139
1.6000
-0.4615
-0.5738
0.1650
-0.2250
-0.3011
1.0926
0.3628
-0.3804
2.5093
-0.2153
-0.6490
0.5328
0.6043
-0.2383
-0.0342
-0.0265
-0.1818
0.9079
-0.3517
-0.4894
0.9517
-0.4941
-0.7553
1.8139
-0.2400

0.3837
0.5465
1.0163
0.3045
0.2457
0.0922
0.1695
0.1680
0.5233
0.4847
0.4392
0.1730
0.1045
0.1931
0.2970
0.2704
0.2842
0.1421
0.0676
0.0028
0.0601
0.0789
0.0736
0.0887
0.2253
0.1848
0.4825
0.2985
0.1573
0.1937
0.2468
0.2949
0.1250
0.1412
0.1589
0.1615
0.1099
0.0637
0.0891
0.1250
0.0166
0.2330
0.1881

0.3836
0.4670
0.2167
0.0908
0.0750
0.0149
0.0182
0.0149
0.0764
0.0845
0.0480
0.1000
0.0883
0.0924
0.0983
0.0569
0.0483
0.1882
0.1014
0.0049
0.0321
0.0311
0.0255
0.0279
0.0790
0.0417
0.2538
0.2269
0.2027
0.3230
0.2312
0.1857
0.0178
0.0231
0.0240
0.0652
0.0661
0.0327
0.3568
0.2694
0.2620
0.3419
0.2992

2.0367
3.8804
2.9623
2.6599
2.1858
1.0695
1.1327
1.0756
1.6112
1.6952
1.3754
3.0345
2.2538
1.4224
1.3907
1.2330
1.2299
1.3384
2.1909
1.6232
2.0484
2.9876
2.3592
1.2378
1.0796
1.1842
1.4753
1.9388
2.3071
1.6362
1.3934
1.3824
1.0778
1.1488
1.0726
1.1603
1.1127
1.0921
3.2829
2.3982
2.0353
1.5328
2.2529

0.0484
0.0839
0.2451
0.2989
0.5423
3.0229
1.8436
3.3273
1.3809
1.1842
0.8874
0.1498
0.3365
0.9872
0.3429
0.6934
0.5845
0.5723
0.4631
0.4128
0.0005
0.0009
0.0008
0.5762
0.8604
1.7718
1.3728
0.6530
0.7790
0.0299
0.0223
0.0771
4.1970
2.0170
3.1174
0.6959
0.8959
1.1233
0.3128
0.4293
0.3628
0.2246
0.1423

0.7038
0.8906
2.5937
2.3362
1.9634
1.9615
2.6125
2.9674
2.2281
1.7636
3.1835
1.3812
0.8415
1.1079
1.7839
2.3564
2.4508
0.4102
0.3885
0.3543
1.3889
1.8837
2.1750
1.4000
1.0818
1.1972
0.4521
0.4683
0.3398
0.4916
0.8772
1.2269
1.1046
1.2438
1.3688
1.1306
0.8218
0.8806
0.1810
0.3097
0.0401
0.4230
0.4164

0.0023
0.0010
0.0034
0.0017
0.0009
0.0008
0.0006
0.0004
0.0030
0.0025
0.0017
0.0010
0.0008
0.0011
0.0020
0.0012
0.0008
0.0014
0.0008
0.0004
0.0008
0.0006
0.0004
0.0008
0.0010
0.0006
0.0033
0.0017
0.0007
0.0018
0.0025
0.0017
0.0009
0.0007
0.0006
0.0013
0.0010
0.0003
0.0015
0.0010
0.0004
0.0019
0.0013

28.0103
28.3481
27.2740
27.5526
27.9258
26.8955
27.0560
27.1848
29.7425
30.0602
30.2458
26.7329
26.9266
27.2087
26.0138
26.2859
26.5904
29.0957
29.3407
29.5331
26.0520
26.0661
26.0607
27.8618
28.1223
28.5751
27.2364
27.5797
27.7996
26.7448
26.8748
27.0531
27.4258
27.2505
27.3071
26.6946
26.6428
26.6823
29.5254
29.7248
29.8499
28.9163
29.1665

KDC
KHA
KHA
KHA
KHP
KHP
KHP
KSH
KSH
KSH
L10
L10
L10
LAF
LAF
LAF
LBM
LBM
LBM
MCP
MCP
MCP
NSC
NSC
NSC
NTL
NTL
NTL
PGC
PGC
PGC
PVD
PVD
PVD
SAV
SAV
SAV
SFI
SFI
SFI
SSC
SSC
SSC

2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011

-0.5961
1.0763
-0.2816
-0.5284
1.4528
-0.6040
-0.3333
1.7558
-0.1624
-0.8312
0.6639
0.1111
-0.7409
1.5835
-0.0359
-0.3444
0.1268
-0.2750
-0.3879
0.4876
-0.5263
0.3645
1.3165
-0.3304
0.2063
3.2515
-0.0986
-0.8016
1.2366
-0.3293
-0.5753
0.0588
-0.4111
-0.3736
1.8601
-0.1296
-0.4354
1.8911
-0.8029
-0.4118
2.0278
-0.3109
-0.2544

0.0792
0.1880
0.1587
0.0883
0.2060
0.2376
0.1479
0.1562
0.1821
0.0037
0.2007
0.2152
0.1631
0.2188
0.4712
0.0428
0.1111
0.0985
0.1182
0.0997
0.1462
0.2262
0.2127
0.2305
0.2966
1.3056
0.7874
0.1067
0.1353
0.0918
0.0592
0.2580
0.1874
0.1851
0.0514
0.0333
0.0231
0.2375
0.1873
0.1601
0.3256
0.2629
0.2641

0.0709
0.2650
0.3528
0.2449
0.0491
0.0738
0.0474
0.2783
0.3362
0.0082
0.0499
0.0501
0.0346
0.0406
0.0919
0.0114
0.0685
0.0709
0.0693
0.0618
0.0694
0.0921
0.1237
0.1106
0.1279
0.3845
0.4202
0.1510
0.0426
0.0209
0.0118
0.1996
0.1169
0.1137
0.0362
0.0242
0.0144
0.2828
0.1814
0.1506
0.1962
0.1600
0.1495

1.4433
2.8733
2.6758
2.7991
1.1887
1.9324
1.5252
1.0532
0.9686
0.9167
1.0629
0.9089
1.0068
1.4277
2.7100
1.2934
2.0577
2.0735
2.4306
2.8550
2.0202
1.8992
2.6305
2.2584
1.9546
2.0097
1.8194
1.6666
1.6072
1.2610
1.2805
1.0254
0.8043
0.7891
1.8325
2.1467
1.8566
1.0579
1.1290
1.1195
3.0793
3.9858
2.8037

0.2804
0.0466
0.0835
0.0175
1.4593
0.7980
0.5551
0.4149
0.2053
0.6885
1.4583
2.3295
2.5151
0.8090
0.0291
1.9483
0.3373
0.3208
0.2749
0.4700
0.4466
0.4787
0.0037
0.0027
0.0028
0.0881
0.0633
0.0754
0.3754
0.6112
0.5055
1.5228
1.3070
1.5177
0.4617
0.4769
0.5442
0.0009
0.0014
0.0017
0.1465
0.0207
0.0102

0.7707
0.4889
0.3177
0.2501
1.2460
1.2630
1.5059
0.3912
0.3912
0.2931
1.1389
1.0128
1.0010
2.4436
3.2041
1.6818
0.8312
0.8597
1.0722
0.9726
1.2373
1.4264
1.1978
1.4216
1.4622
1.2909
0.8406
0.2915
1.8890
2.1677
2.3797
0.3901
0.5607
0.5620
0.6947
0.6991
0.7909
0.4033
0.5047
0.5033
1.2827
1.2626
1.3291

0.0008
0.0012
0.0008
0.0004
0.0024
0.0009
0.0005
0.0015
0.0009
0.0004
0.0014
0.0014
0.0003
0.0014
0.0012
0.0009
0.0010
0.0007
0.0004
0.0010
0.0007
0.0008
0.0018
0.0014
0.0016
0.0042
0.0022
0.0009
0.0010
0.0007
0.0003
0.0034
0.0021
0.0011
0.0013
0.0012
0.0007
0.0016
0.0008
0.0005
0.0032
0.0019
0.0018

29.3342
26.6233
26.7327
26.7461
27.4368
27.5863
27.6606
25.9820
26.0100
26.0491
26.7688
27.0721
27.2573
26.0996
26.3753
27.0130
25.9322
26.0155
26.0163
26.0384
26.0941
26.2931
26.1398
26.3399
26.5307
27.6975
28.1337
28.3860
27.4990
27.7378
27.7974
29.9825
30.2340
30.4360
27.0874
27.0531
27.0933
26.4547
26.6150
26.7633
26.0277
26.2306
26.3881

TCM
TCM
TCM
TCR
TCR
TCR
TMS
TMS
TMS
TNA
TNA
TNA
TS4
TS4
TS4
TSC
TSC
TSC
TTF
TTF
TTF
TTP
TTP
TTP
VHC
VHC
VHC
VIC
VIC
VIC
VIP
VIP
VIP
VIS
VIS
VIS
VNE
VNE
VNE
VNM
VNM
VNM
VSC

2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009

1.3172
0.2006
-0.6530
0.1600
0.0230
-0.4045
0.1227
-0.1663
-0.2752
0.8004
-0.0297
-0.2933
3.2935
-0.4228
-0.6359
0.0736
-0.4800
-0.2857
1.6963
-0.2788
-0.7680
1.4561
-0.2000
-0.1667
1.8421
-0.2716
-0.2780
0.9531
0.1506
-0.4430
1.5842
-0.5939
-0.6038
2.4375
-0.2945
-0.8024
0.8571
-0.0490
-0.7794
0.8071
-0.4266
0.5087
1.2155

0.1105
0.3305
0.1611
0.0070
0.1016
0.1217
0.1418
0.1230
0.1007
0.1946
0.3609
0.1797
0.1624
0.1284
0.1609
0.1626
0.0793
0.1620
0.0364
0.0810
0.0586
0.1936
0.1792
0.1269
0.4034
0.2896
0.3564
0.6181
0.5459
0.1608
0.0651
0.0926
0.0642
0.6399
0.2172
0.0493
0.2638
0.0331
0.0322
0.4273
0.5015
0.4127
0.4380

0.0421
0.1049
0.0515
0.0045
0.0524
0.0568
0.2201
0.1945
0.1649
0.0459
0.0813
0.0381
0.0926
0.0701
0.0534
0.0112
0.0057
0.0115
0.0128
0.0255
0.0139
0.0803
0.0640
0.0413
0.0751
0.0760
0.0926
0.5580
0.6279
0.4638
0.0428
0.0545
0.0320
0.1090
0.0358
0.0070
0.1842
0.0565
0.0389
0.2239
0.2295
0.1950
0.3389

0.9322
1.0744
1.1417
1.3722
1.4294
1.1025
3.2255
4.5849
2.8963
1.3136
1.4110
1.3703
2.7089
1.4084
1.0767
1.0609
1.0470
1.0623
1.1294
1.1373
1.0548
4.8864
3.3565
3.9439
1.4555
1.5819
1.6483
5.1322
2.5383
0.8730
1.0545
1.1594
0.8603
1.3235
1.2467
1.3824
1.9820
2.9514
1.8913
2.9219
2.2381
3.2132
1.9016

1.8224
1.1618
1.4279
0.6953
0.4700
0.8593
0.2466
0.4297
0.2751
1.0940
1.1056
1.2213
1.0416
0.9872
1.2487
3.4656
3.0676
3.3677
1.5405
2.3367
2.6377
0.0000
0.0118
0.0003
0.9501
0.4731
0.5758
4.5734
1.7007
1.5780
1.5939
1.4051
1.2894
1.9997
0.9185
1.3469
2.5545
1.2298
1.2086
0.0418
0.0919
0.0127
0.1450

0.7474
1.0459
1.1065
0.7927
1.0450
1.0636
0.4967
0.4407
0.4311
1.6730
1.6190
1.6707
0.9488
0.8299
1.1813
2.8961
2.9402
3.0209
0.9693
0.8982
1.0086
2.0447
2.2377
2.4124
2.0290
1.8028
1.9645
0.1942
0.1914
0.0754
0.6591
0.6440
0.7953
1.6414
1.9549
2.6305
0.2551
0.1623
0.2844
1.4691
1.6362
1.6412
0.8429

0.0012
0.0015
0.0005
0.0005
0.0005
0.0003
0.0013
0.0012
0.0011
0.0010
0.0010
0.0007
0.0019
0.0010
0.0004
0.0015
0.0008
0.0004
0.0008
0.0007
0.0002
0.0014
0.0010
0.0008
0.0024
0.0014
0.0010
0.0050
0.0037
0.0047
0.0019
0.0007
0.0003
0.0028
0.0016
0.0007
0.0010
0.0009
0.0003
0.0041
0.0038
0.0039
0.0023

28.0409
28.2242
28.3159
27.7818
27.7624
27.9215
26.5603
26.9941
27.1383
26.5360
26.9952
27.1798
26.4459
26.8502
27.1837
27.5308
27.5038
27.5225
28.3049
28.5121
28.7171
26.9594
27.1141
27.2019
27.9427
28.1433
28.3730
29.9502
30.6382
31.0551
28.2411
28.4190
28.3978
27.8621
28.0870
28.0286
28.3226
28.2682
28.2591
29.6085
29.8956
30.2096
27.0200

VSC
VSC
VSH
VSH
VSH
VTB
VTB
VTB
VTO
VTO
VTO

2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011

-0.3778
-0.1651
-0.1054
-0.5050
-0.3306
0.1571
-0.1358
-0.5357
0.1859
-0.3640
-0.5169

0.3731
0.3228
0.1695
0.1290
0.1443
0.1347
0.1126
0.0743
0.0439
0.0915
0.0641

0.3276
0.2965
0.7210
0.7124
0.7705
0.0911
0.0957
0.0777
0.0294
0.0615
0.0399

2.0165
2.8062
16.7512
6.2879
2.4812
1.8851
3.0352
3.2989
0.3304
0.8432
0.8883

0.0506
0.0060
0.1238
0.2135
0.3311
0.2658
0.1389
0.1208
2.8644
1.8199
1.6098

0.7519
0.7722
0.2044
0.1513
0.1406
1.0459
0.8301
0.7261
0.3480
0.4260
0.5607

0.0028
0.0010
0.0015
0.0010
0.0007
0.0008
0.0007
0.0003
0.0013
0.0007
0.0003

27.3156
27.4498
28.5601
28.6624
28.7895
26.3926
26.4442
26.3802
28.8392
28.7861
28.7198

Nguồn: Dữ liệu từ HoSE và tính toán của tác giả
Ghi chú: (1) Tỷ suất sinh lợi cổ phiếu đã được tính trên giá cổ phiếu đã điều chỉnh.
Phụ lục B: Các kết quả hồi quy mô hình tác động cố định
1. Kết quả kiểm định Hausman lựa chọn mô hình hồi quy:
Correlated Random Effects - Hausman Test
Equation: Untitled
Test cross-section random effects

Test Summary

Chi-Sq. Statistic

Cross-section random

Chi-Sq. d.f.
33.340182

Prob.
7

0.0000

Cross-section random effects test comparisons:
Variable

Fixed

Random

Var(Diff.)

Prob.

ROE

3.1922

2.4259

0.2685

0.1392

NPM

0.4221

-0.5078

1.7026

0.4760

CR

-0.0811

-0.0429

0.0010

0.2356

DER

-0.3553

-0.0430

0.0167

0.0158

TATO

-0.4076

-0.0456

0.0593

0.1371

PBV

317.8801

-51.0669

10890.5172

0.0004

SIZE

-0.5917

-0.0521

0.1630

0.1814

Cross-section random effects test equation:
Dependent Variable: RET
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60
Total panel (balanced) observations: 180

Variable

Coefficient

C

Std. Error

t-Statistic

Prob.

16.3287

11.2507

1.4513

0.1495

ROE

3.1922

0.6363

5.0165

0.0000

NPM

0.4221

1.3994

0.3017

0.7635

CR

-0.0811

0.0454

-1.7872

0.0766

DER

-0.3553

0.1376

-2.5820

0.0111

TATO

-0.4076

0.2561

-1.5917

0.1143

PBV

317.8801

125.7200

2.5285

0.0129

SIZE

-0.5917

0.4059

-1.4576

0.1478

Cross-section fixed (dummy variables)

R-squared

0.8095

Mean dependent var

0.1985

Adjusted R-squared

0.6928

S.D. dependent var

0.9887

S.E. of regression

0.5480

Akaike info criterion

1.9182

Sum squared resid

33.3367

Schwarz criterion

3.1422

Hannan-Quinn criter.

2.4145

Durbin-Watson stat

2.6226

Log likelihood

-103.6422

F-statistic

6.9353

Prob(F-statistic)

0.0000

Nguồn: Dữ liệu từ HoSE và tính toán của tác giả