Biến động tỷ suất sinh lợi thị trường chứng khoán, hiệu quả và rủi ro: Bằng chứng thực nghiệm từ các ngân hàng thương mại Việt Nam niêm yết - 23

(1)

(2)

(3)

(4)

(5)

(6)

ZSCORE

DROA

DROE

ZSCORE

DROA

DROE

SMV1 * DUM_SIZE

-0.013

-0.000

-0.002

(0.647)

(0.001)

(0.007)

SMV2 * DUM_SIZE

-4.072

0.000

0.016

(5.538)

(0.005)

(0.060)

SIZE

0.118

-0.000

-0.000

0.149

-0.000

-0.001

(0.141)

(0.000)

(0.002)

(0.141)

(0.000)

(0.002)

CAP

3.798**

0.005**

-0.015

3.914**

0.005**

-0.015

(1.929)

(0.002)

(0.021)

(1.930)

(0.002)

(0.021)

CE

-128.459***

0.136***

1.377***

-128.467***

0.136***

1.377***

(26.412)

(0.026)

(0.285)

(26.399)

(0.026)

(0.285)

NTA

0.200

-0.000

-0.003

0.179

-0.000

-0.003

(0.356)

(0.000)

(0.004)

(0.355)

(0.000)

(0.004)

LOTA

0.416***

-0.000***

-0.004***

0.407***

-0.000***

-0.004***

(0.109)

(0.000)

(0.001)

(0.109)

(0.000)

(0.001)

INF

0.937

-0.001

-0.008

0.996

-0.001*

-0.008

(0.819)

(0.001)

(0.009)

(0.814)

(0.001)

(0.009)

CONS

-6.437***

0.010***

0.111***

-6.808***

0.010***

0.114***

(1.685)

(0.002)

(0.018)

(1.684)

(0.002)

(0.018)

N

584

584

584

584

584

584

R2

0.165

0.204

0.151

0.166

0.204

0.151

Hausman

0.137

0.298

0.560

0.071

0.245

0.512

Method

REM

REM

REM

FEM

REM

REM

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(8)

EVA

N_EROE

ROE

NIM

EVA

N_EROE

ROE

NIM

SMV1

2.884**

0.289

0.079***

0.012***

(1.108)

(0.180)

(0.016)

(0.002)

SMV2

20.972**

2.299*

0.527***

0.062**

(8.254)

(1.086)

(0.145)

(0.025)

SIZE

-0.536

-0.175**

0.011**

0.001**

-0.830*

-0.173***

0.006**

0.001**

(0.445)

(0.061)

(0.004)

(0.000)

(0.415)

(0.057)

(0.002)

(0.000)

LIQ

0.864

0.293**

0.052***

0.007***

1.679*

0.280**

0.056***

0.007***

(1.130)

(0.135)

(0.014)

(0.002)

(0.851)

(0.108)

(0.012)

(0.002)

CAP

-8.726

-2.884***

-0.030

0.004

-12.478*

-2.837***

-0.150**

0.001

(6.674)

(0.609)

(0.100)

(0.007)

(6.709)

(0.653)

(0.056)

(0.006)

CE

303.504

15.850

-3.628

0.526***

248.223

9.485

1.456*

0.515***

(198.245)

(27.819)

(3.232)

(0.150)

(190.979)

(7.808)

(0.794)

(0.127)

NTA

-7.809**

-0.280

0.012

0.007**

-6.154**

-0.134

-0.046

0.008**

(3.533)

(0.395)

(0.012)

(0.003)

(2.743)

(0.415)

(0.028)

(0.003)

LOTA

-0.022

0.020

-0.004**

-0.000

0.041

0.014

-0.003*

-0.000

(0.163)

(0.032)

(0.002)

(0.000)

(0.183)

(0.030)

(0.002)

(0.000)

GDPG

23.985***

2.732***

0.079*

-0.009*

21.337***

2.521***

0.103**

-0.010*

(5.751)

(0.381)

(0.043)

(0.005)

(5.017)

(0.439)

(0.043)

(0.005)

CONS

9.091

2.887***

-0.064

-0.005

13.947*

3.021***

-0.010

-0.006

(7.809)

(0.734)

(0.074)

(0.008)

(6.968)

(0.680)

(0.035)

(0.008)

Lag_BP

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

N

591

591

595

592

591

591

591

592

AR (1)

0.001

0.000

0.001

0.031

0.002

0.000

0.000

0.008

AR (2)

0.983

0.625

0.138

0.948

0.716

0.411

0.130

0.164

Hansen

0.475

0.256

0.276

0.262

0.351

0.346

0.228

0.320

(1)

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(3)

(4)

(5)

(6)

ZSCORE

DROA

DROE

ZSCORE

DROA

DROE

SMV1

-0.637

0.001**

0.009

(0.791)

(0.001)

(0.008)

SMV2

-22.447**

0.019**

0.175*

(8.848)

(0.008)

(0.084)

SIZE

0.034

-0.000

-0.000

0.012

-0.000

-0.000

(0.025)

(0.000)

(0.000)

(0.023)

(0.000)

(0.000)

CAP

0.960

0.002*

-0.010

1.514

0.001

-0.013

(1.327)

(0.001)

(0.009)

(1.419)

(0.001)

(0.012)

CE

-14.380

0.060***

0.585***

-79.550***

0.059***

0.647***

(44.052)

(0.018)

(0.168)

(10.382)

(0.019)

(0.085)

NTA

-0.708***

0.000***

0.003***

-0.557***

0.000***

0.004***

(0.198)

(0.000)

(0.001)

(0.140)

(0.000)

(0.001)

MMR

-1.552

0.002**

0.021**

-3.569***

0.002*

0.020

(1.428)

(0.001)

(0.010)

(1.026)

(0.001)

(0.012)

INF

1.303

-0.001

-0.013

2.622**

-0.001

-0.011

(1.334)

(0.001)

(0.009)

(1.088)

(0.001)

(0.010)

_cons

0.689

-0.000

-0.001

1.680***

-0.000

-0.002

(0.666)

(0.000)

(0.005)

(0.487)

(0.000)

(0.005)

Lag_RISK

Yes

Yes

Yes

Yes

Yes

Yes

N

555

555

555

555

555

555

AR (1)

0.000

0.003

0.001

0.001

0.002

0.001

AR (2)

0.151

0.228

0.794

0.223

0.165

0.534

Hansen

0.366

0.466

0.551

0.232

0.558

0.539

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(8)

EVA

EROE

ROE

NIM

EVA

EROE

ROE

NIM

SMV1 * SIZE

0.188***

0.030***

0.003***

0.001***

(0.059)

(0.009)

(0.001)

(0.000)

SMV2 * SIZE

1.545***

0.237***

0.023***

0.003**

(0.426)

(0.061)

(0.008)

(0.001)

SIZE

-0.310

-0.163*

0.004

0.001**

-0.842

-0.211**

0.004*

0.001**

(0.587)

(0.078)

(0.003)

(0.000)

(0.639)

(0.079)

(0.002)

(0.000)

LIQ

0.337

0.207

0.063***

0.007***

1.118

0.255*

0.059***

0.007***

(1.300)

(0.144)

(0.015)

(0.002)

(1.087)

(0.123)

(0.012)

(0.002)

CAP

-15.935

-2.770**

-0.149**

0.004

-13.146

-3.494***

-0.138***

0.001

(13.342)

(1.062)

(0.058)

(0.006)

(11.350)

(1.120)

(0.046)

(0.006)

CE

329.902

19.756

-2.027

0.522***

279.864

22.448

-0.210

0.510***

(189.789)

(23.500)

(2.968)

(0.149)

(213.793)

(26.472)

(1.879)

(0.129)

NTA

-7.210**

-0.308

-0.065**

0.007**

-6.314*

-0.280

-0.030

0.007**

(2.882)

(0.301)

(0.028)

(0.003)

(3.203)

(0.365)

(0.028)

(0.003)

LOTA

-0.241

0.024

-0.002

-0.000

0.018

0.035

-0.004**

-0.000

(0.392)

(0.040)

(0.002)

(0.000)

(0.226)

(0.038)

(0.002)

(0.000)

GDPG

25.260***

3.386**

0.118***

-0.009*

19.790*

2.690**

0.074**

-0.010*

(8.024)

(1.187)

(0.031)

(0.005)

(9.954)

(1.064)

(0.033)

(0.005)

CONS

9.666

2.488**

0.027

-0.005

14.545

3.239***

0.040

-0.006

(7.365)

(0.921)

(0.048)

(0.008)

(9.601)

(0.956)

(0.029)

(0.008)

Lag_BP

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

N

591

591

591

592

591

591

591

592

AR (1)

0.001

0.001

0.000

0.031

0.002

0.001

0.000

0.008

AR (2)

0.835

0.621

0.161

0.942

0.577

0.638

0.122

0.171

Hansen

0.450

0.263

0.310

0.288

0.237

0.288

0.280

0.250

(1)

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(6)

ZSCORE

DROA

DROE

ZSCORE

DROA

DROE

SMV1 * SIZE

-0.039

0.000***

0.000

(0.039)

(0.000)

(0.000)

SMV2 * SIZE

-0.792**

0.001***

0.008***

(0.340)

(0.000)

(0.002)

SIZE

0.020

-0.000

-0.000

0.019

-0.000*

-0.000

(0.022)

(0.000)

(0.000)

(0.024)

(0.000)

(0.000)

CAP

2.008

0.001

-0.004

2.303*

0.001

-0.006

(1.391)

(0.001)

(0.010)

(1.214)

(0.001)

(0.012)

CE

-60.698

0.068***

0.549

-89.867*

0.072***

0.502

(52.550)

(0.015)

(0.399)

(48.195)

(0.015)

(0.709)

NTA

-0.607***

0.001***

0.004*

-0.576***

0.000***

0.003

(0.190)

(0.000)

(0.002)

(0.180)

(0.000)

(0.003)

LOTA

0.181***

-0.000***

-0.002***

0.200***

-0.000***

-0.002***

(0.047)

(0.000)

(0.000)

(0.030)

(0.000)

(0.000)

INF

2.119***

-0.002***

-0.020***

2.620***

-0.002***

-0.028***

(0.703)

(0.000)

(0.004)

(0.612)

(0.000)

(0.003)

CONS

-2.897***

0.003***

0.036***

-3.039***

0.003***

0.044***

(0.934)

(0.001)

(0.008)

(0.730)

(0.001)

(0.009)

Lag_RISK

Yes

Yes

Yes

Yes

Yes

Yes

N

555

555

555

555

555

555

AR (1)

0.001

0.003

0.001

0.001

0.002

0.001

AR (2)

0.168

0.174

0.858

0.204

0.109

0.565

Hansen

0.471

0.571

0.638

0.386

0.532

0.453

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

EVA

EROE

ROE

NIM

EVA

EROE

ROE

NIM

SMV1 * DUM_SIZE

-0.550

0.228

0.175***

0.010**

(2.979)

(0.390)

(0.037)

(0.003)

SMV2 * DUM_SIZE

-34.325

1.196

1.550***

0.094**

(22.016)

(3.364)

(0.333)

(0.033)

SIZE

0.297

-0.018

-0.017***

0.000

1.032*

0.001

-0.019***

0.000

(0.690)

(0.092)

(0.004)

(0.000)

(0.535)

(0.089)

(0.004)

(0.000)

LIQ

0.002

0.060

0.094***

0.009***

-0.584

-0.010

0.099***

0.009***

(0.709)

(0.092)

(0.011)

(0.003)

(0.660)

(0.096)

(0.012)

(0.003)

CAP

5.590

-0.469

-0.384***

0.003

16.956**

-0.436

-0.415***

0.004

(10.260)

(1.315)

(0.073)

(0.010)

(6.570)

(1.375)

(0.079)

(0.010)

CE

213.043

37.610

-1.306

0.527*

94.730**

57.043*

-1.051

0.561*

(167.960)

(25.584)

(1.858)

(0.252)

(33.726)

(27.178)

(1.974)

(0.272)

NTA

-3.975*

-0.660

0.076*

0.014**

-4.573**

-0.825**

0.067*

0.014**

(1.981)

(0.394)

(0.039)

(0.005)

(1.924)

(0.350)

(0.037)

(0.005)

LOTA

-0.440*

-0.041

0.003

-0.000

-0.666***

-0.049*

0.003

-0.000

(0.226)

(0.030)

(0.003)

(0.000)

(0.188)

(0.026)

(0.002)

(0.000)

GDPG

19.082***

3.115***

-0.016

-0.024***

19.420***

3.235***

-0.019

-0.025***

(3.134)

(0.417)

(0.048)

(0.006)

(3.348)

(0.421)

(0.051)

(0.006)

CONS

2.189

0.986

0.305***

0.008

-6.864

0.721

0.338***

0.009

(8.432)

(1.154)

(0.049)

(0.011)

(6.598)

(1.152)

(0.055)

(0.011)

Lag_BP

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

N

591

581

591

592

591

581

591

592

AR (1)

0.001

0.001

0.001

0.050

0.001

0.001

0.001

0.078

AR (2)

0.593

0.554

0.134

0.968

0.582

0.594

0.134

0.919

Hansen

0.363

0.331

0.478

0.298

0.410

0.337

0.485

0.312

(1)

(2)

(3)

(4)

(5)

(6)

ZSCORE

DROA

DROE

ZSCORE

DROA

DROE

SMV1 * DUM_SIZE

-0.271

0.001*

0.010**

(1.346)

(0.001)

(0.005)

SMV2 * DUM_SIZE

-12.510

0.012*

0.090*

(10.745)

(0.006)

(0.048)

SIZE

0.000

-0.000

-0.000

0.051

-0.000

-0.000

(0.052)

(0.000)

(0.000)

(0.049)

(0.000)

(0.000)

CAP

0.876

0.002**

-0.000

0.452

0.002**

-0.001

(0.633)

(0.001)

(0.010)

(0.761)

(0.001)

(0.010)

CE

-106.830***

0.057***

0.355

-53.750***

0.058***

0.395

(28.805)

(0.008)

(0.446)

(16.387)

(0.009)

(0.439)

NTA

-0.367**

0.000***

0.004

-0.480***

0.000***

0.004

(0.154)

(0.000)

(0.003)

(0.145)

(0.000)

(0.003)

LOTA

0.158***

-0.000***

-0.002***

0.187***

-0.000***

-0.003***

(0.041)

(0.000)

(0.000)

(0.047)

(0.000)

(0.000)

INF

1.523**

-0.002***

-0.036***

2.422***

-0.002***

-0.038***

(0.669)

(0.001)

(0.005)

(0.650)

(0.001)

(0.005)

CONS

-1.836

0.004**

0.061***

-3.733***

0.004**

0.063***

(1.244)

(0.001)

(0.011)

(1.213)

(0.001)

(0.012)

Lag_RISK

Yes

Yes

Yes

Yes

Yes

Yes

N

555

555

555

555

555

555

AR (1)

0.001

0.003

0.001

0.001

0.003

0.001

AR (2)

0.155

0.379

0.928

0.137

0.373

0.974

Hansen

0.427

0.478

0.537

0.334

0.440

0.532