KẾT LUẬN CHƯƠNG 2

40



Fama – French cho rằng ba nhân tố trong mô hình giải thích được trên 60% lợi

suất cổ phiếu ước lượng. Đối với hai cổ phiếu vốn hóa nhỏ thì nhân tố quy mô vốn

hóa có ý nghĩa thống kê rất lớn, đối với các cổ phiếu vốn hóa lớn nhân tố quy mô

vốn hóa có độ ảnh hưởng nhỏ. Nhân tố thị trường ảnh hưởng mạnh nhất đến lợi

suất cổ phiếu là một điều rất hợp lý với thực tế tại thị trường chứng khoán Việt

Nam. Nhân tố giá trị cổ phiếu gần như không ảnh hưởng đến lợi suất cổ phiếu

cũng có thể được lý giải là do trong giai đoạn qua thị trường đi ngang, các cổ

phiếu gần như cũng không có biến động giá nhiều dù là các cổ phiếu rẻ hơn so với

giá trị sổ sách. Với độ tin cậy 70% thì mô hình Fama – French cho rằng bốn cổ

phiếu BMP, REE, SD6, SD9 được định giá thấp là khá phù hợp với việc định giá

bằng phân tích cơ bản của tôi. Để mô hình Fama – French chính xác hơn có thể

cần phải đưa thêm biến tốc độ tăng trưởng vào mô hình vì thường những cổ

phiếu có tốc độ tăng trưởng cao sẽ có giai đoạn lặp lại tốc độ đó. Để xác định

được thời điểm nào tốt để nắm giữ cổ phiếu hoặc chốt lời, nhà đầu tư cần phải

dùng thêm các phân tích kĩ thuật sẽ cho kết quả tốt hơn.



PHỤ LỤC

Phụ lục 2.3.1



41



42



Phụ lục 2.3.2

Phụ lục kiểm tra tính dừng

ADF Test Statistic



-6.167523



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(MF)

Method: Least Squares



43

Date: 11/18/13 Time: 09:48

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints

Variable

Coefficient

Std. Error

t-Statistic

MF(-1)

-0.808710

0.131124 -6.167523

C

-0.004068

0.012497 -0.325506

R-squared

0.400242 Mean dependent var

Adjusted R-squared

0.389720 S.D. dependent var

S.E. of regression

0.095738 Akaike info criterion

Sum squared resid

0.522452 Schwarz criterion

Log likelihood

55.72206 F-statistic

Durbin-Watson stat

1.945421 Prob(F-statistic)



ADF Test Statistic



Prob.

0.0000

0.7460

0.001495

0.122552

-1.821087

-1.750662

38.03834

0.000000



-7.184425



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SMB)

Method: Least Squares

Date: 11/18/13 Time: 09:49

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints

Variable

Coefficient

Std. Error

t-Statistic

SMB(-1)

-0.969993

0.135013 -7.184425

C

-0.014255

0.010070 -1.415598

R-squared

0.475215 Mean dependent var

Adjusted R-squared

0.466008 S.D. dependent var

S.E. of regression

0.076261 Akaike info criterion

Sum squared resid

0.331493 Schwarz criterion

Log likelihood

69.14235 F-statistic

Durbin-Watson stat

1.960187 Prob(F-statistic)



ADF Test Statistic



-6.835810



Prob.

0.0000

0.1623

-0.002156

0.104360

-2.276012

-2.205587

51.61596

0.000000



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(HML)

Method: Least Squares

Date: 11/18/13 Time: 09:49

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints



44

Variable

HML(-1)

C

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



ADF Test Statistic



Coefficient

-0.899480

-0.029123

0.450487

0.440847

0.076366

0.332413

69.06061

1.925356



Std. Error

t-Statistic

0.131584 -6.835810

0.010781 -2.701259

Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

F-statistic

Prob(F-statistic)



Prob.

0.0000

0.0091

-0.000616

0.102126

-2.273241

-2.202816

46.72830

0.000000



-5.486584



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(BMPF)

Method: Least Squares

Date: 11/18/13 Time: 09:50

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints

Variable

Coefficient

Std. Error

t-Statistic

BMPF(-1)

-0.695592

0.126781 -5.486584

C

0.010931

0.018383

0.594639

R-squared

0.345599 Mean dependent var

Adjusted R-squared

0.334119 S.D. dependent var

S.E. of regression

0.140649 Akaike info criterion

Sum squared resid

1.127588 Schwarz criterion

Log likelihood

33.02761 F-statistic

Durbin-Watson stat

1.939702 Prob(F-statistic)



ADF Test Statistic



-6.231394



Prob.

0.0000

0.5544

0.002018

0.172361

-1.051783

-0.981358

30.10261

0.000001



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(HPGF)

Method: Least Squares

Date: 11/18/13 Time: 09:51

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints



45

Variable

HPGF(-1)

C

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



ADF Test Statistic



Coefficient

-0.816888

0.000704

0.405198

0.394763

0.152416

1.324141

28.28744

1.838795



Std. Error

t-Statistic

0.131092 -6.231394

0.019844

0.035484

Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

F-statistic

Prob(F-statistic)



Prob.

0.0000

0.9718

0.002241

0.195915

-0.891100

-0.820675

38.83027

0.000000



-6.915743



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(REEF)

Method: Least Squares

Date: 11/18/13 Time: 09:52

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints

Variable

Coefficient

Std. Error

t-Statistic

REEF(-1)

-0.933864

0.135035 -6.915743

C

0.011725

0.023812

0.492383

R-squared

0.456250 Mean dependent var

Adjusted R-squared

0.446710 S.D. dependent var

S.E. of regression

0.182753 Akaike info criterion

Sum squared resid

1.903725 Schwarz criterion

Log likelihood

17.57752 F-statistic

Durbin-Watson stat

1.935104 Prob(F-statistic)



ADF Test Statistic



-6.550014



Prob.

0.0000

0.6243

0.004964

0.245690

-0.528051

-0.457626

47.82750

0.000000



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SD6F)

Method: Least Squares

Date: 11/18/13 Time: 09:52

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints



46

Variable

SD6F(-1)

C

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



ADF Test Statistic



Coefficient

-0.859585

-0.001675

0.429445

0.419435

0.163474

1.523255

24.15492

1.928349



Std. Error

t-Statistic

0.131234 -6.550014

0.021286 -0.078689

Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

F-statistic

Prob(F-statistic)



Prob.

0.0000

0.9376

0.000747

0.214548

-0.751014

-0.680589

42.90269

0.000000



-8.491151



1% Critical Value*

-3.5437

5% Critical Value

-2.9109

10% Critical Value

-2.5928

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SD9F)

Method: Least Squares

Date: 11/18/13 Time: 09:53

Sample(adjusted): 7/02/2008 8/29/2008

Included observations: 59 after adjusting endpoints

Variable

Coefficient

Std. Error

t-Statistic

SD9F(-1)

-1.118548

0.131731

-8.491151

C

-0.010641

0.026820 -0.396757

R-squared

0.558481 Mean dependent var

Adjusted R-squared

0.550735 S.D. dependent var

S.E. of regression

0.205722 Akaike info criterion

Sum squared resid

2.412322 Schwarz criterion

Log likelihood

10.59259 F-statistic

Durbin-Watson stat

1.995520 Prob(F-statistic)



Prob.

0.0000

0.6930

0.001332

0.306923

-0.291274

-0.220849

72.09965

0.000000



Phụ lục 2.2

Phụ lục kiểm tra đa cộng tuyến

Dependent Variable: HML

Method: Least Squares

Date: 11/17/13 Time: 17:00

Sample(adjusted): 7/01/2008 8/29/2008

Included observations: 60 after adjusting endpoints

Variable

Coefficie Std. Error t-Statistic Prob.

nt



47



C



- 0.007294 -2.993561 0.0040

0.021834

SMB

0.690734 0.096267 7.175212 0.0000

R-squared

0.470241 Mean dependent

var

0.03177

0

Adjusted R0.461107 S.D. dependent var 0.07555

squared

9

S.E. of regression 0.055468 Akaike info

criterion

2.91327

2

Sum squared

0.178446 Schwarz criterion

resid

2.84346

1

Log likelihood

89.39817 F-statistic

51.4836

7

Durbin-Watson

2.194813 Prob(F-statistic)

0.00000

stat

0

Dependent Variable: MF

Method: Least Squares

Date: 11/17/13 Time: 17:06

Sample(adjusted): 7/01/2008 8/29/2008

Included observations: 60 after adjusting endpoints

Variable

Coefficie Std. Error t-Statistic Prob.

nt

C

- 0.012705 -0.461987 0.6458

0.005869

SMB

- 0.167689 -0.238625 0.8122

0.040015

R-squared

0.000981 Mean dependent

var

0.00529

4

Adjusted R- S.D. dependent var 0.09584

squared

0.016244

5

S.E. of regression 0.096620 Akaike info

criterion

1.80329

5

Sum squared

0.541456 Schwarz criterion

resid

1.73348

3



48



Log likelihood



56.09885



F-statistic



Durbin-Watson

stat



1.601477



Prob(F-statistic)



0.05694

2

0.81223

8



Dependent Variable: MF

Method: Least Squares

Date: 11/17/13 Time: 17:07

Sample(adjusted): 7/01/2008 8/29/2008

Included observations: 60 after adjusting endpoints

Variable

Coefficie Std. Error t-Statistic Prob.

nt

C

0.002369 0.013308 0.178009 0.8593

HML

0.241191 0.163520 1.474997 0.1456

R-squared

0.036154 Mean dependent

var

0.00529

4

Adjusted R0.019536 S.D. dependent var 0.09584

squared

5

S.E. of regression 0.094904 Akaike info

criterion

1.83913

8

Sum squared

0.522392 Schwarz criterion

resid

1.76932

6

Log likelihood

57.17414 F-statistic

2.17561

6

Durbin-Watson

1.579987 Prob(F-statistic)

0.14562

stat

1

Phụ lục 2.3.3

Phụ lục kiểm tra tự tương quan



BMPF

Breusch-Godfrey Serial Correlation LM Test:

F-statistic

0.028230 Probability



0.86718

4



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Obs*R-squared



0.030781



Probability



0.86073

0



Test Equation:

Dependent Variable: RESID

Method: Least Squares

Date: 11/17/13 Time: 20:36

Presample missing value lagged residuals set to zero.

Variable

Coefficie Std. Error t-Statistic Prob.

nt

C

-2.41E- 0.013759 -0.001749 0.9986

05

MF

0.003215 0.139447 0.023054 0.9817

SMB

0.005666 0.240432 0.023567 0.9813

HML

- 0.241693 -0.015900 0.9874

0.003843

RESID(-1)

- 0.136999 -0.168019 0.8672

0.023018

R-squared

0.000513 Mean dependent

9.24Evar

18

Adjusted R- S.D. dependent var 0.09391

squared

0.072177

4

S.E. of regression 0.097244 Akaike info

criterion

1.74352

4

Sum squared

0.520106 Schwarz criterion

resid

1.56899

5

Log likelihood

57.30571 F-statistic

0.00705

8

Durbin-Watson

2.006789 Prob(F-statistic)

0.99989

stat

8

HPGF

Breusch-Godfrey Serial Correlation LM Test:

F-statistic

7.681209 Probability

Obs*R-squared



7.352643



Probability



0.00759

9

0.00669

6



50



Test Equation:

Dependent Variable: RESID

Method: Least Squares

Date: 11/17/13 Time: 20:50

Presample missing value lagged residuals set to zero.

Variable

Coefficie Std. Error t-Statistic Prob.

nt

C

0.002264 0.012659 0.178835 0.8587

MF

0.084552 0.130446 0.648177 0.5196

SMB

0.126063 0.223263 0.564640 0.5746

HML

0.005735 0.220934 0.025957 0.9794

RESID(-1)

- 0.135663 -2.771499 0.0076

0.375989

R-squared

0.122544 Mean dependent

3.93Evar

18

Adjusted R0.058729 S.D. dependent var 0.09203

squared

3

S.E. of regression 0.089289 Akaike info

criterion

1.91421

9

Sum squared

0.438490 Schwarz criterion

resid

1.73969

0

Log likelihood

62.42656 F-statistic

1.92030

2

Durbin-Watson

1.958800 Prob(F-statistic)

0.11999

stat

8

REEF

Breusch-Godfrey Serial Correlation LM Test:

F-statistic

0.199403 Probability

Obs*R-squared

0.216745 Probability

Test Equation:

Dependent Variable: RESID

Method: Least Squares

Date: 11/17/13 Time: 20:51

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

C

0.000100

0.013797

0.007281

MF

-0.006946

0.139373 -0.049836

SMB

-0.004958

0.238958 -0.020748

HML

0.011961

0.242742

0.049276



0.656956

0.641531



Prob.

0.9942

0.9604

0.9835

0.9609