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 |
Có thể bạn quan tâm!
-
Đầu tư giá trị và tỷ suất sinh lời tại Việt Nam - 23 -
Danh Mục Cổ Phiếu Giá Trị Và Tssl 2008 -
Đầu tư giá trị và tỷ suất sinh lời tại Việt Nam - 25
Xem toàn bộ 211 trang tài liệu này.
2016
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) |
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 |
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
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