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Kết Quả Hồi Quy Trên 11 Danh Mục S, B, H, M, L, Sh, Sm, Sl, Bh, Bl, Bm

Phụ lục 9: Lãi suất phi rủi ro từ 7/2012 đến 7/2018



2012

2013

2014

2015

2016

2017

2018

Tháng 1


0.0081

0.0073

0.0059

0.0056

0.0050

0.0041

Tháng 2


0.0078

0.0072

0.0059

0.0056

0.0049

0.0040

Tháng 3


0.0078

0.0072

0.0058

0.0055

0.0049

0.0039

Tháng 4


0.0077

0.0071

0.0058

0.0054

0.0048

0.0039

Tháng 5


0.0075

0.0071

0.0058

0.0054

0.0047

0.0036

Tháng 6


0.0074

0.0071

0.0058

0.0054

0.0047

0.0035

Tháng 7

0.0084

0.0074

0.0070

0.0057

0.0054

0.0046

0.0034

Tháng 8

0.0084

0.0074

0.0067

0.0057

0.0053

0.0045


Tháng 9

0.0083

0.0074

0.0060

0.0057

0.0052

0.0045


Tháng 10

0.0083

0.0074

0.0059

0.0057

0.0051

0.0044


Tháng 11

0.0082

0.0074

0.0059

0.0057

0.0050

0.0044


Tháng 12

0.0082

0.0074

0.0059

0.0057

0.0050

0.0042


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Phụ lục 10: Kết quả hồi quy trên 11 danh mục S, B, H, M, L, SH, SM, SL, BH, BL, BM


1. Kết quả hồi quy của danh mục S


Dependent Variable: S Method: Least Squares

Included observations: 73



Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.001981


0.004542 -0.436076


0.6641

RM

0.512671

0.086287 5.941450

0.0000


R-squared


0.332084


Mean dependent var


0.001414

Adjusted R-squared

0.322677

S.D. dependent var

0.046778

S.E. of regression

0.038498

Akaike info criterion

-3.649384

Sum squared resid

0.105231

Schwarz criterion

-3.586632

Log likelihood

135.2025

Hannan-Quinn criter.

-3.624376

F-statistic

35.30083

Durbin-Watson stat

1.418603

Prob(F-statistic)

0.000000



Date: 12/26/18 Time: 12:31 Sample: 2012M07 2018M07








2. Kết quả hồi quy của danh mục B


Dependent Variable: B Method: Least Squares

Date: 12/26/18 Time: 12:13 Sample: 2012M07 2018M07

Included observations: 73



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


-0.004377


0.002995 -1.461499


0.1483

RM

0.908915

0.056899 15.97423

0.0000


R-squared


0.782326


Mean dependent var


0.001641

Adjusted R-squared

0.779260

S.D. dependent var

0.054033

S.E. of regression

0.025386

Akaike info criterion

-4.482197

Sum squared resid

0.045757

Schwarz criterion

-4.419444

Log likelihood

165.6002

Hannan-Quinn criter.

-4.457189

F-statistic

255.1759

Durbin-Watson stat

1.700379

Prob(F-statistic)

0.000000




3. Kết quả hồi quy của danh mục H


Dependent Variable: H Method: Least Squares

Included observations: 73



Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.006589


0.006823 -0.965711


0.3375

RM

0.579937

0.129627 4.473890

0.0000


R-squared


0.219915


Mean dependent var


-0.002750

Adjusted R-squared

0.208928

S.D. dependent var

0.065026

S.E. of regression

0.057835

Akaike info criterion

-2.835423

Sum squared resid

0.237489

Schwarz criterion

-2.772671

Log likelihood

105.4929

Hannan-Quinn criter.

-2.810415

F-statistic

20.01569

Durbin-Watson stat

1.460897

Date: 12/26/18 Time: 12:23 Sample: 2012M07 2018M07







Prob(F-statistic) 0.000029



4. Kết quả hồi quy của danh mục M


Dependent Variable: M Method: Least Squares

Included observations: 73



Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.001312


0.003740 -0.350867


0.7267

RM

0.582240

0.071053 8.194481

0.0000


R-squared


0.486064


Mean dependent var


0.002543

Adjusted R-squared

0.478826

S.D. dependent var

0.043912

S.E. of regression

0.031701

Akaike info criterion

-4.037903

Sum squared resid

0.071353

Schwarz criterion

-3.975150

Log likelihood

149.3834

Hannan-Quinn criter.

-4.012895

F-statistic

67.14952

Durbin-Watson stat

1.500614

Prob(F-statistic)

0.000000



Date: 12/26/18 Time: 12:28 Sample: 2012M07 2018M07








5. Kết quả hồi quy của danh mục L


Dependent Variable: L Method: Least Squares

Date: 12/26/18 Time: 12:27 Sample: 2012M07 2018M07

Included observations: 73



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


1.35E-05


0.003074 0.004380


0.9965

RM

0.645847

0.058391 11.06068

0.0000


R-squared


0.632769


Mean dependent var


0.004290

Adjusted R-squared

0.627596

S.D. dependent var

0.042691

S.E. of regression

0.026052

Akaike info criterion

-4.430414

Sum squared resid

0.048189

Schwarz criterion

-4.367661

Log likelihood

163.7101

Hannan-Quinn criter.

-4.405406

F-statistic

122.3386

Durbin-Watson stat

1.591556

Prob(F-statistic)

0.000000




6. Kết quả hồi quy của danh mục SH


Dependent Variable: SH Method: Least Squares

Included observations: 73



Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.006133


0.006825 -0.898656


0.3719

RM

0.554278

0.129658 4.274910

0.0001


R-squared


0.204703


Mean dependent var


-0.002463

Adjusted R-squared

0.193502

S.D. dependent var

0.064416

S.E. of regression

0.057849

Akaike info criterion

-2.834940

Sum squared resid

0.237603

Schwarz criterion

-2.772188

Log likelihood

105.4753

Hannan-Quinn criter.

-2.809932

F-statistic

18.27486

Durbin-Watson stat

1.444395

Prob(F-statistic)

0.000059



Date: 12/26/18 Time: 12:34 Sample: 2012M07 2018M07








7. Kết quả hồi quy của danh mục SM


Dependent Variable: SM Method: Least Squares

Included observations: 73





Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.000331


0.003839 -0.086155


0.9316

RM

0.512559

0.072929 7.028198

0.0000


R-squared


0.410277


Mean dependent var


0.003063

Adjusted R-squared

0.401971

S.D. dependent var

0.042076

S.E. of regression

0.032538

Akaike info criterion

-3.985774

Sum squared resid

0.075171

Schwarz criterion

-3.923021

Log likelihood

147.4807

Hannan-Quinn criter.

-3.960766

F-statistic

49.39556

Durbin-Watson stat

1.516521

Prob(F-statistic)

0.000000



Date: 12/26/18 Time: 12:36 Sample: 2012M07 2018M07








8. Kết quả hồi quy của danh mục SL


Dependent Variable: SL Method: Least Squares

Date: 12/26/18 Time: 12:33 Sample: 2012M07 2018M07

Included observations: 73



Variable Coefficient Std. Error t-Statistic Prob.



C

0.002222

0.004096

0.542414

0.5892

RM

0.444859

0.077817

5.716751

0.0000


R-squared


0.315209


Mean dependent var


0.005167

Adjusted R-squared

0.305564

S.D. dependent var

0.041663

S.E. of regression

0.034719

Akaike info criterion

-3.856032

Sum squared resid

0.085585

Schwarz criterion

-3.793280

Log likelihood

142.7452

Hannan-Quinn criter.

-3.831025

F-statistic

32.68124

Durbin-Watson stat

1.556719

Prob(F-statistic)

0.000000




9. Kết quả hồi quy của danh mục BH


Dependent Variable: BH Method: Least Squares

Included observations: 73



Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.016553


0.014006 -1.181843


0.2412

RM

1.684788

0.266089 6.331680

0.0000


R-squared


0.360880


Mean dependent var


-0.005398

Adjusted R-squared

0.351878

S.D. dependent var

0.147467

S.E. of regression

0.118720

Akaike info criterion

-1.397086

Sum squared resid

1.000702

Schwarz criterion

-1.334334

Log likelihood

52.99365

Hannan-Quinn criter.

-1.372078

F-statistic

40.09017

Durbin-Watson stat

2.004298

Prob(F-statistic)

0.000000



Date: 12/26/18 Time: 12:15 Sample: 2012M07 2018M07








10. Kết quả hồi quy của danh mục BL


Dependent Variable: BL Method: Least Squares

Included observations: 73





Variable


Coefficient


Std. Error t-Statistic


Prob.


C


-0.001722


0.002914 -0.591004


0.5564

RM

0.825132

0.055358 14.90527

0.0000


R-squared


0.757817


Mean dependent var


0.003741

Adjusted R-squared

0.754406

S.D. dependent var

0.049839

S.E. of regression

0.024699

Akaike info criterion

-4.537089

Sum squared resid

0.043313

Schwarz criterion

-4.474337

Log likelihood

167.6038

Hannan-Quinn criter.

-4.512081

F-statistic

222.1670

Durbin-Watson stat

1.696800

Prob(F-statistic)

0.000000



Date: 12/26/18 Time: 12:19 Sample: 2012M07 2018M07








11. Kết quả hồi quy của danh mục BM


Dependent Variable: BM Method: Least Squares

Date: 12/26/18 Time: 12:20 Sample: 2012M07 2018M07

Included observations: 73



Variable Coefficient Std. Error t-Statistic Prob.


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