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Phụ lục B: Các kết quả hồi quy mô hình tác động cố định

Phụ lục B: Các kết quả hồi quy mô hình tác động cố định

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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

2. Kiểm định WALD (biến nào không cần thiết trong mô hình)
Wald Test:
Equation: Untitled
Test Statistic

Value

df

Probability

F-statistic

0.090999 (1, 111)

Chi-square

0.090999

Normalized Restriction (= 0)

0.7635
1

Value

0.7629

Std. Err.
1.399366

0.422133

C(3)

Wald Test:
Equation: Untitled
Test Statistic

Value

df

F-statistic

2.5335 (1, 111)

Chi-square

2.5335

Probability
0.1143
1

Normalized Restriction (= 0)

0.1115

Value

C(6)

Std. Err.

-0.4076

0.256076

df

Probability

Wald Test:
Equation: Untitled
Test Statistic

Value

F-statistic

2.1245

(1, 111)

0.1478

Chi-square

2.1245

1.0000

0.1450

Normalized Restriction (= 0)

Value

C(8)

-0.59167

Std. Err.
0.405935

Nguồn: Dữ liệu từ HoSE và tính toán của tác giả
3. Kiểm định White:
Dependent Variable: RESID^2
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60
Total panel (balanced) observations: 180

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.0000

0.0000

-1.9070

0.0585

ROE

0.0000

0.0000

-1.4859

0.1395

NPM

0.0000

0.0000

0.7756

0.4393

CR

0.0000

0.0000

0.7224

0.4712

DER

0.0000

0.0000

0.0912

0.9275

TATO

0.0000

0.0000

1.1278

0.2613

PBV

0.0000

0.0000

0.8819

0.3793

SIZE

0.0000

0.0000

1.7908

0.0755

ROE^2

0.0000

0.0000

-0.3567

0.7218

NPM^2

0.0000

0.0000

0.3338

0.7390

CR^2

0.0000

0.0000

1.0931

0.2762

DER^2

0.0000

0.0000

-0.2124

0.8321

TATO^2

0.0000

0.0000

0.9536

0.3419

PBV^2

0.0000

0.0000

-1.7673

0.0793

SIZE^2

0.0000

0.0000

-1.6535

0.1004

ROE*NPM

0.0000

0.0000

-0.3842

0.7014

ROE*CR

0.0000

0.0000

-0.0147

0.9883

ROE*DER

0.0000

0.0000

1.2430

0.2159

ROE*TATO

0.0000

0.0000

-0.0588

0.9532

ROE*PBV

0.0000

0.0000

0.7965

0.4270

ROE*SIZE

0.0000

0.0000

1.2818

0.2020

NPM*CR

0.0000

0.0000

-1.0839

0.2803

NPM*DER

0.0000

0.0000

-1.8626

0.0646

NPM*TATO

0.0000

0.0000

1.6973

0.0918

NPM*PBV

0.0000

0.0000

2.3039

0.0227

NPM*SIZE

0.0000

0.0000

-0.7892

0.4313

CR*DER

0.0000

0.0000

1.2993

0.1959

CR*TATO

0.0000

0.0000

-0.7628

0.4468

CR*PBV

0.0000

0.0000

-1.2329

0.2197

CR*SIZE

0.0000

0.0000

-0.5986

0.5504

DER*TATO

0.0000

0.0000

-0.6368

0.5253

DER*PBV

0.0000

0.0000

0.4167

0.6775

DER*SIZE

0.0000

0.0000

-0.1282

0.8982

TATO*PBV

0.0000

0.0000

0.0330

0.9737

TATO*SIZE

0.0000

0.0000

-1.2571

0.2108

PBV*SIZE

0.0000

0.0000

-0.7652

0.4454

Effects Specification
Period fixed (dummy variables)
R-squared

0.2580

Mean dependent var

0.0000

Adjusted R-squared

0.0646

S.D. dependent var

0.0000

S.E. of regression

0.0000

Akaike info criterion

-431.2175

Sum squared resid

0.0000

Schwarz criterion

-430.5434

Hannan-Quinn criter.

-430.9442

Log likelihood

38,847.5700

F-statistic

1.3343

Prob(F-statistic)

0.1185

Durbin-Watson stat

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

1.7357

4. Mô hình hồi quy phụ:
Dependent Variable: ROE
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60
Total panel (balanced) observations: 180

Variable

Coefficient

Std. Error

C

t-Statistic

Prob.

-0.0209

0.2249

-0.0927

0.9262

0.5486

0.0951

5.7705

0.0000

CR

-0.0140

0.0065

-2.1671

0.0316

DER

-0.0126

0.0094

-1.3375

0.1828

PBV

88.3419

10.7562

8.2132

0.0000

SIZE

-0.0016

0.0083

-0.1914

0.8485

TATO

0.1056

0.0141

7.4846

0.0000

NPM

R-squared

0.5812

Mean dependent var

0.2147

Adjusted R-squared

0.5666

S.D. dependent var

0.1721

S.E. of regression

0.1133

Akaike info criterion

-1.4801

Sum squared resid

2.2193

Schwarz criterion

-1.3559

Hannan-Quinn criter.

-1.4298

Log likelihood
F-statistic
Prob(F-statistic)

Dependent Variable: NPM
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3

140.2105
40.0087
0.0000

Durbin-Watson stat

1.0062

Cross-sections included: 60
Total panel (balanced) observations: 180

Variable
C

Coefficient

Std. Error

t-Statistic

Prob.

-0.1502

0.1643

-0.9143

0.3618

ROE

0.2942

0.0510

5.7705

0.0000

CR

0.0321

0.0041

7.7937

0.0000

DER

-0.0069

0.0069

-0.9917

0.3227

PBV

17.1448

9.1940

1.8648

0.0639

SIZE

0.0092

0.0060

1.5200

0.1303

TATO

-0.0940

0.0095

-9.8946

0.0000

R-squared

0.6675

Mean dependent var

0.1368

Adjusted R-squared

0.6560

S.D. dependent var

0.1414

S.E. of regression

0.0829

Akaike info criterion

-2.1033

Sum squared resid

1.1900

Schwarz criterion

-1.9792

Hannan-Quinn criter.

-2.0530

Log likelihood
F-statistic
Prob(F-statistic)

Dependent Variable: CR
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60

Total panel (balanced) observations: 180

196.2989
57.8830
0.0000

Durbin-Watson stat

0.6077

Variable
C

Coefficient

Std. Error

t-Statistic

Prob.

0.3808

2.6134

0.1457

0.8843

ROE

-1.8888

0.8716

-2.1671

0.0316

NPM

8.0882

1.0378

7.7937

0.0000

DER

-0.3551

0.1069

-3.3213

0.0011

PBV

-50.4410

147.2826

-0.3425

0.7324

SIZE

0.0210

0.0962

0.2181

0.8276

TATO

0.6763

0.1814

3.7273

0.0003

R-squared

0.3772

Mean dependent var

2.0903

Adjusted R-squared

0.3556

S.D. dependent var

1.6393

S.E. of regression

1.3159

Akaike info criterion

3.4251

Sum squared resid

299.5763

Schwarz criterion

3.5492

Hannan-Quinn criter.

3.4754

Durbin-Watson stat

1.0412

Log likelihood
F-statistic
Prob(F-statistic)

-301.2561
17.4640
0.0000

Dependent Variable: DER
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60
Total panel (balanced) observations: 180

Variable

Coefficient Std. Error

t-Statistic

Prob.

C

-6.3951

1.7353

-3.6853

0.0003

ROE

-0.8105

0.6060

-1.3375

0.1828

NPM

-0.8225

0.8294

-0.9917

0.3227

CR

-0.1688

0.0508

-3.3213

0.0011

PBV

14.7769

101.5855

0.1455

0.8845

SIZE

0.2744

0.0630

4.3568

0.0000

TATO

0.2740

0.1284

2.1345

0.0342

R-squared

0.2514

Mean dependent var

0.8854

Adjusted R-squared

0.2254

S.D. dependent var

1.0310

S.E. of regression

0.9074

Akaike info criterion

2.6816

Sum squared resid

142.4383

Schwarz criterion

2.8058

Hannan-Quinn criter.

2.7320

Durbin-Watson stat

0.4711

Log likelihood

-234.3446

F-statistic

9.6808

Prob(F-statistic)

0.0000

Dependent Variable: TATO
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60
Total panel (balanced) observations: 180

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

2.6069

1.0349

2.5191

0.0127

ROE

2.3166

0.3095

7.4846

0.0000

NPM

-3.8454

0.3886

-9.8946

0.0000

CR

0.1099

0.0295

3.7273

0.0003

DER

0.0937

0.0439

2.1345

0.0342

PBV

-48.1741

59.2852

-0.8126

0.4176

SIZE

-0.0590

0.0385

-1.5302

0.1278

R-squared

0.4914

Mean dependent var

1.1996

Adjusted R-squared

0.4738

S.D. dependent var

0.7313

S.E. of regression

0.5305

Akaike info criterion

1.6082

Sum squared resid

48.6920

Schwarz criterion

1.7324

Hannan-Quinn criter.

1.6586

Durbin-Watson stat

0.4388

Log likelihood

-137.7392

F-statistic

27.8580

Prob(F-statistic)

0.0000

Dependent Variable: PBV
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.

-0.0028

0.0013

-2.0926

0.0378

ROE

0.0032

0.0004

8.2132

0.0000

NPM

0.0011

0.0006

1.8648

0.0639

CR

0.0000

0.0000

-0.3425

0.7324

DER

0.0000

0.0001

0.1455

0.8845

SIZE

0.0001

0.0000

2.5263

0.0124

TATO

-0.0001

0.0001

-0.8126

0.4176

R-squared

0.4982

Mean dependent var

0.0013

Adjusted R-squared

0.4808

S.D. dependent var

0.0009

S.E. of regression

0.0007

Akaike info criterion

-11.7136

Sum squared resid

0.0001

Schwarz criterion

-11.5894

Hannan-Quinn criter.

-11.6633

Log likelihood
F-statistic
Prob(F-statistic)

1061.2250
28.6235
0.0000

Durbin-Watson stat

1.1531

Dependent Variable: SIZE
Method: Panel Least Squares
Sample: 2009 2011
Periods included: 3
Cross-sections included: 60
Total panel (balanced) observations: 180

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

26.9619

0.2490

108.2772

0.0000

ROE

-0.1336

0.6978

-0.1914

0.8485

NPM

1.4391

0.9468

1.5200

0.1303

CR

0.0131

0.0601

0.2181

0.8276

DER

0.3603

0.0827

4.3568

0.0000

PBV

288.7950

114.3162

2.5263

0.0124

-0.2265

0.1480

-1.5302

0.1278

TATO

R-squared

0.2061

Mean dependent var

27.5904

Adjusted R-squared

0.1786

S.D. dependent var

1.1472

S.E. of regression

1.0397

Akaike info criterion

2.9538

Sum squared resid

187.0074

Schwarz criterion

3.0780

Hannan-Quinn criter.

3.0042

Durbin-Watson stat

0.2122

Log likelihood

-258.8461

F-statistic

7.4859

Prob(F-statistic)

0.0000