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Đầu tư giá trị và tỷ suất sinh lời tại Việt Nam - 26


SSC

6

0.94225

(0.03525)

TDW

6

0.71451

(0.03264)

TMS

6

0.33583

0.33979

TMT

6

0.07695

0.37891

TS4

6

0.28585

(0.00936)

TV1

6

0.86654

0.15822

VHC

6

0.13560

(0.15181)

VNL

6

0.07800

0.16239

VNS

6

0.10582

(0.08230)

VTB

6

0.96256

0.16504




0.35452

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Đầu tư giá trị và tỷ suất sinh lời tại Việt Nam - 26


2016

SYB

F_SCORE (t)

PEG (t)

return (Ri) (t+1)

DHC

9

0.13734

0.01442

DTT

9

0.36113

0.03573

HTV

9

0.19499

0.06995

MDG

9

0.03392

0.67292

VSI

9

0.12801

0.15051

BCI

8

0.09635

0.11367

C32

8

0.15765

0.03050

CDC

8

0.26910

0.57920

CLC

8

0.29059

0.01741

CMG

8

0.19138

0.04393

CTD

8

0.26212

0.61389

DRC

8

0.40532

(0.14239)

DVP

8

0.56157

0.04318

GDT

8

0.61499

0.42999

GSP

8

0.23598

(0.07196)

HPG

8

0.64481

0.49476

HT1

8

0.16348

(0.03560)

HTI

8

0.23562

0.31658

HTL

8

0.05324

(0.52389)

HU3

8

0.33659

0.17507

KSB

8

0.35814

0.82479

LBM

8

0.19696

0.45874

MCP

8

0.56365

1.40512

PJT

8

0.22696

0.20885

POM

8

0.62713

0.84951

PTL

8

0.13032

0.41667

PXT

8

0.00375

(0.33962)


SKG

8

0.13381

(0.16298)

SVC

8

0.30573

0.49290

TYA

8

0.16484

(0.10074)

AGM

7

0.04057

(0.24480)

BBC

7

0.60533

0.58816

BGM

7

0.03192

(0.64167)

CAV

7

0.38651

0.35266

CCI

7

0.26853

0.40287

CMX

7

0.03117

(0.28750)

COM

7

0.16901

0.48336

DPM

7

0.23868

(0.11819)

FMC

7

0.09603

0.08166

GIL

7

0.26994

0.16244

HAS

7

0.01328

(0.05405)

HSG

7

0.11333

0.48109

HU1

7

0.77284

0.14791

KHA

7

0.42963

0.11735

KHP

7

0.22273

0.06997

L10

7

0.35197

0.10006

LHG

7

0.12153

(0.12449)

LIX

7

0.10241

(0.02528)

NNC

7

0.41109

0.58897

NTL

7

0.11122

(0.03021)

PAC

7

0.88852

0.46767

RAL

7

0.55016

0.80186

RDP

7

0.07793

(0.32717)

SCD

7

0.89915

0.02855

SII

7

0.12625

(0.10659)

SRC

7

0.51651

(0.19884)

SVT

7

0.24173

(0.01759)

TNA

7

0.22858

0.27888

VFG

7

0.18604

0.19890

VNM

7

0.89977

0.29853

VPH

7

0.03430

0.21907

AMD

6

0.45665

0.17488

BCE

6

0.47229

0.05402

BHS

6

0.17990

0.14801

BMP

6

0.30727

0.38305

CIG

6

0.01858

0.40000

CMV

6

0.43221

0.38678

CTI

6

0.16813

0.35615


DHA

6

0.16648

0.40544

EVE

6

0.18819

(0.34256)

HDC

6

0.24219

(0.09039)

HQC

6

0.00921

(0.51497)

KBC

6

0.21107

0.08394

LCM

6

0.00550

(0.65714)

MHC

6

0.02082

(0.38728)

PGC

6

0.05783

0.37428

RIC

6

0.03028

(0.02159)

SBA

6

0.00255

0.52270

TCO

6

0.35211

0.16097

TIX

6

0.28387

0.60664

TLG

6

0.87807

0.46571

TNT

6

0.14176

(0.89456)

TRA

6

0.84372

0.53413

VMD

6

0.10393

0.06236




0.15459


Phục lục 6 : Kết quả chạy mô hình hồi quy FEM từ phần mềm stata



Phục lục 7: Kết quả chạy mô hình hồi quy REM từ phần mềm stata



Phục lục 8 : Kết quả chạy mô hình hồi quy GMM từ phần mềm stata


. xtabond2 rirf l2.rirf rmrf pmarketcap ppeg pfscore, gmm(rirf rmrf pmarketcap, eq(diff) lag(5 5)) iv(ppeg pfscore) small noconst


Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.

Dynamic panel-data estimation, one-step system GMM

------------------------------------------------------------------------------

Group variable: firm_code Number of obs = 1142 Time variable : year Number of groups = 252 Number of instruments = 10 Obs per group: min = 1

F(5, 1137) = 12.03 avg = 4.53

Prob > F = 0.000 max = 7

-------------------------------------------------------------------------------------------------------

rirf | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------------------------------- rirf |L2.| -.3081595 .1227942 -2.51 0.012 -.5490882 -.0672307

rmrf | -.592092 .2987597 -1.98 0.048 -1.178274 -.0059098

pmarketcap | -.9614451 .5008498 -1.92 0.055 -1.944139 .0212487


ppeg |

4.100485 .8335022

4.92

0.000

2.465109

5.73586

pfscore |

4.925397 .7637237

6.45

0.000

3.42693

6.423863

-------------------------------------------------------------------------------------------------------

Instruments for first differences equation Standard

D.(ppeg pfscore)

GMM-type (missing=0, separate instruments for each period unless collapsed) L5.(rirf rmrf pmarketcap)

Instruments for levels equation Standard


ppeg pfscore

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -9.39 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 1.52 Pr > z = 0.127

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(5) = 3.74 Prob > chi2 = 0.588 (Not robust, but not weakened by many instruments.)

Difference-in-Sargan tests of exogeneity of instrument subsets: iv(ppeg pfscore)

Sargan test excluding group: chi2(3) = 1.69 Prob > chi2 = 0.640 Difference (null H = exogenous): chi2(2) = 2.05 Prob > chi2 = 0.359

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