Trang chủ / Chứng Khoán

Kết Quả Hồi Quy Từ Phần Mềm Stata


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PHỤ LỤC 1: KẾT QUẢ HỒI QUY TỪ PHẦN MỀM STATA

Kết quả hồi quy cột (3) Bảng 3.3


reg ret_annual zeros_local beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, cluster(firmid)

note: year_dummy1 omitted because of collinearity note: sic1 omitted because of collinearity

note: sic8 omitted because of collinearity note: sic10 omitted because of collinearity note: sic11 omitted because of collinearity


Linear regression

Number of obs

=

4,426


F(22, 584)

=

63.35


Prob > F

=

0.0000


R-squared

=

0.3091


Root MSE

=

.4867

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(Std. Err. adjusted for 585 clusters in firmid)

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

|

ret_annual |


Coef.

Robust

Std. Err.


t


P>|t|


[95% Conf. Interval]

--------------+----------------------------------------------------------------

zeros_local

|

2.72658

.4887086

5.58

0.000

1.76674

3.686421

beta

|

.0099352

.0179182

0.55

0.579

-.0252567

.0451272

ln_asset_mv

|

.0100238

.0061065

1.64

0.101

-.0019695

.0220171

lev_mv

|

-.0813543

.0347768

-2.34

0.020

-.1496571

-.0130515

profitability

|

.9351666

.1729792

5.41

0.000

.5954296

1.274904

mtb

|

.1287637

.0210759

6.11

0.000

.0873699

.1701574

year_dummy1

|

0

(omitted)





year_dummy2

|

-.7162094

.0532767

-13.44

0.000

-.8208467

-.6115721

year_dummy3

|

-.9891464

.0550171

-17.98

0.000

-1.097202

-.881091

year_dummy4

|

-.238281

.0507227

-4.70

0.000

-.3379022

-.1386598

year_dummy5

|

-.1443724

.0502966

-2.87

0.004

-.2431566

-.0455882

year_dummy6

|

-.1419717

.0499381

-2.84

0.005

-.2400519

-.0438915

year_dummy7

|

-.3993829

.051275

-7.79

0.000

-.5000888

-.2986771

year_dummy8

|

-.3648677

.0588877

-6.20

0.000

-.4805252

-.2492102

year_dummy9

|

-.3662211

.0542086

-6.76

0.000

-.4726886

-.2597535

year_dummy10

|

-.5408738

.0523189

-10.34

0.000

-.64363

-.4381177

sic1

|

0

(omitted)





sic2

|

-.0007107

.0546914

-0.01

0.990

-.1081265

.1067051

sic3

|

.089321

.0488912

1.83

0.068

-.0067031

.185345

sic4

|

.0560612

.0468351

1.20

0.232

-.0359245

.1480469

sic5

|

.0470726

.0477464

0.99

0.325

-.0467029

.1408482

sic6

|

.018627

.051575

0.36

0.718

-.0826681

.1199221

sic7

|

.0537353

.0619389

0.87

0.386

-.0679147

.1753854

sic8

|

0

(omitted)





sic9

|

.0387741

.0662537

0.59

0.559

-.0913504

.1688987

sic10

|

0

(omitted)





sic11

|

0

(omitted)





_cons

|

.064609

.0852863

0.76

0.449

-.1028962

.2321142

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


Kết quả hồi quy cột (1) Bảng 3.4


reg ret_annual l.(ln_amihud_local_yearly beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*), cluster(firmid)

note: L.year_dummy3 omitted because of collinearity note: L.year_dummy10 omitted because of collinearity note: L.sic1 omitted because of collinearity

note: L.sic8 omitted because of collinearity note: L.sic10 omitted because of collinearity note: L.sic11 omitted because of collinearity


Number of obs

=

3,877

F(21, 568)

=

77.33

Prob > F

=

0.0000

R-squared

=

0.3092

Root MSE

=

.401

Linear regression


(Std. Err. adjusted for 569 clusters in firmid)

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

|

ret_annual |


Coef.

Robust

Std. Err.


t


P>|t|


[95% Conf. Interval]

-----------------------+----------------------------------------------------------------

ln_amihud_local_yearly

|







L1.

|

.0323139

.0042597

7.59

0.000

.0239472

.0406805


|







beta

|







L1.

|

.0013633

.0091506

0.15

0.882

-.0166099

.0193366


|







ln_asset_mv

|







L1.

|

.0203964

.0076568

2.66

0.008

.0053572

.0354356


|







lev_mv

|







L1.

|

.0242126

.031976

0.76

0.449

-.038593

.0870182


|







profitability

|







L1.

|

1.254601

.1346513

9.32

0.000

.9901255

1.519076


|







mtb

|







L1.

|

-.0918898

.017215

-5.34

0.000

-.1257026

-.058077


|







year_dummy1

|







L1.

|

-.1523088

.0315727

-4.82

0.000

-.2143223

-.0902954


|







year_dummy2

|







L1.

|

-.6519631

.0334356

-19.50

0.000

-.7176356

-.5862906


|







year_dummy3

|







L1.

|

0

(omitted)






|







year_dummy4

|







L1.

|

.1595515

.0252765

6.31

0.000

.1099048

.2091982


|







year_dummy5

|







L1.

|

.2096276

.027949

7.50

0.000

.1547315

.2645237


|







year_dummy6

|







L1.

|

.022221

.0296018

0.75

0.453

-.0359212

.0803633


|







year_dummy7

|







L1.

|

.0190349

.0300683

0.63

0.527

-.0400238

.0780936


|







year_dummy8

|







L1.

|

.0716666

.0305141

2.35

0.019

.0117324

.1316008


|







year_dummy9

|







L1.

|

-.1281584

.029486

-4.35

0.000

-.1860734

-.0702434


|







year_dummy10

|







L1.

|

0

(omitted)






|







sic1

|







L1.

|

0

(omitted)






|







sic2

|







L1.

|

-.0071729

.0537042

-0.13

0.894

-.112656

.0983102



|


sic3

|

L1.

|

-.000075

.0515352

-0.00

0.999

-.1012978

.1011479


|







sic4

|







L1.

|

.0309245

.0484376

0.64

0.523

-.0642142

.1260632


|







sic5

|







L1.

|

.0543577

.048575

1.12

0.264

-.0410509

.1497664


|







sic6

|







L1.

|

-.0136013

.0523963

-0.26

0.795

-.1165155

.0893129


|







sic7

|







L1.

|

.1081863

.0586465

1.84

0.066

-.0070042

.2233768


|







sic8

|







L1.

|

0

(omitted)






|







sic9

|







L1.

|

.0414756

.0556825

0.74

0.457

-.0678931

.1508444


|







sic10

|







L1.

|

0

(omitted)






|







sic11

|







L1.

|

0

(omitted)






|







_cons

|

-.3444608

.1034235

-3.33

0.001

-.5476

-.1413215

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


Kết quả hồi quy cột (4) Bảng 3.5


xtreg ret_annual ln_amihud_local_yearly beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, fe cluster(firmid)

note: year_dummy10 omitted because of collinearity note: sic1 omitted because of collinearity

note: sic2 omitted because of collinearity note: sic3 omitted because of collinearity note: sic4 omitted because of collinearity note: sic5 omitted because of collinearity note: sic6 omitted because of collinearity note: sic7 omitted because of collinearity note: sic8 omitted because of collinearity note: sic9 omitted because of collinearity note: sic10 omitted because of collinearity note: sic11 omitted because of collinearity


Fixed-effects (within) regression

Number of obs =

4,408

Group variable: firmid

Number of groups =

582

R-sq:

within = 0.3502

Obs per group:

min =


1

between = 0.2250

avg =

7.6

overall = 0.2741

max =

10


F(15,581) =

101.63

corr(u_i, Xb) = -0.4849

Prob > F =

0.0000


(Std. Err. adjusted for 582 clusters in firmid)

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

| Robust

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

-----------------------+----------------------------------------------------------------

ln_amihud_local_yearly | .0479868 .0095931 5.00 0.000 .0291454 .0668282

beta | .0087863 .019635 0.45 0.655 -.0297779 .0473505

ln_asset_mv | .0941438 .0312139 3.02 0.003 .032838 .1554496

lev_mv | -.4734975 .0850253 -5.57 0.000 -.6404919 -.3065031

profitability | 1.600834 .206421 7.76 0.000 1.195411 2.006256

mtb | .1632888 .0357703 4.56 0.000 .0930339 .2335438

year_dummy1 | .4682417 .0550515 8.51 0.000 .3601176 .5763659

year_dummy2 | -.2112623 .0402064 -5.25 0.000 -.29023 -.1322946

year_dummy3 | -.4549281 .0354663 -12.83 0.000 -.5245859 -.3852702

year_dummy4 | .3115578 .0320871 9.71 0.000 .248537 .3745786

year_dummy5 | .4011969 .0284686 14.09 0.000 .345283 .4571108

year_dummy6 | .368286 .0281396 13.09 0.000 .3130182 .4235538

year_dummy7 | .1174164 .0269397 4.36 0.000 .0645053 .1703276

year_dummy8 | .1556079 .0350215 4.44 0.000 .0868236 .2243921

year_dummy9 | .1709709 .0265677 6.44 0.000 .1187905 .2231513

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -1.428773 .2964241 -4.82 0.000 -2.010966 -.8465796

-----------------------+----------------------------------------------------------------

sigma_u | .32004074

sigma_e | .47028677

rho | .31652481 (fraction of variance due to u_i)

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

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