Trang chủ / Chứng Khoán

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overall = 0.4666 max = 53

F(6,43) = 67.19

corr(u_i, Xb) = -0.1497 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ACCR

0.3188267

0.118073

2.7

0.010

0.08071

0.556944

TAGR

0.1277691

0.047396

2.7

0.010

0.032187

0.223351

D

-0.0523909

0.042692

-1.23

0.226

-0.13849

0.033705

NWC

0.0491089

0.004177

11.76

0.000

0.040685

0.057533

lnTA

-0.0013519

0.00698

-0.19

0.847

-0.01543

0.012725

entropy

0.0054392

0.022442

0.24

0.810

-0.03982

0.050698

_cons

0.0249831

0.096894

0.26

0.798

-0.17042

0.220388

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

sigma_u | .0296402

sigma_e | .11632027

rho | .06097196 (fraction of variance due to u_i)

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


k = 1

xtreg F.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,682

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.3545 min = 6

between = 0.1004 avg = 38.2

overall = 0.2429 max = 52

F(7,43) = 77.39

corr(u_i, Xb) = -0.4307 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

-0.69965

0.231387

-3.02

0.004

-1.16629

-0.23302

ACCR

0.033508

0.024925

1.34

0.186

-0.01676

0.083773

TAGR

0.05905

0.016609

3.56

0.001

0.025556

0.092545

D

-0.0373

0.054272

-0.69

0.496

-0.14675

0.072152

NWC

0.032647

0.019003

1.72

0.093

-0.00568

0.07097

lnTA

-0.02843

0.009959

-2.85

0.007

-0.04852

-0.00835

entropy

-0.0922

0.1215

-0.76

0.452

-0.33723

0.15283

_cons

0.446489

0.1413

3.16

0.003

0.161531

0.731448

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

sigma_u | .06639446

sigma_e | .13143526

rho | .20329904 (fraction of variance due to u_i)

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


k = 2

xtreg F2.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,637

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.2350 min = 5

between = 0.1809 avg = 37.2

overall = 0.2240 max = 51

F(7,43) = 172.19

corr(u_i, Xb) = -0.1780 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

0.356611

0.031549

11.3

0

0.292986

0.420235


ACCR

0.003988

0.019457

0.2

0.839

-0.03525

0.043228

TAGR

0.019881

0.038082

0.52

0.604

-0.05692

0.096681

D

0.03493

0.047773

0.73

0.469

-0.06141

0.131273

NWC

0.038742

0.006517

5.94

0.000

0.025599

0.051886

lnTA

-0.01483

0.005486

-2.7

0.01

-0.02589

-0.00377

entropy

0.042593

0.054912

0.78

0.442

-0.06815

0.153334

_cons

0.205243

0.073476

2.79

0.008

0.057063

0.353422

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

sigma_u | .03109944

sigma_e | .1449093

rho | .04403081 (fraction of variance due to u_i)

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


k = 3

xtreg F3.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,593

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.0512 min = 4

between = 0.0606 avg = 36.2

overall = 0.0115 max = 50

F(7,43) = 3.90

corr(u_i, Xb) = -0.6993 Prob > F = 0.0023

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

-0.311

0.329633

-0.94

0.351

-0.97577

0.353768

ACCR

-0.0476

0.042925

-1.11

0.274

-0.13416

0.03897

TAGR

-0.06007

0.03768

-1.59

0.118

-0.13606

0.015919


D

0.018208

0.039537

0.46

0.647

-0.06152

0.097941

NWC

0.039328

0.04805

0.82

0.418

-0.05757

0.13623

lnTA

-0.02895

0.01191

-2.43

0.019

-0.05297

-0.00494

entropy

-0.05661

0.053544

-1.06

0.296

-0.16459

0.051368

_cons

0.43693

0.16348

2.67

0.011

0.107242

0.766619

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

sigma_u | .06184075

sigma_e | .16321844

rho | .12553212 (fraction of variance due to u_i)

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


k = 4

xtreg F4.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,549

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.0085 min = 3

between = 0.0000 avg = 35.2

overall = 0.0014 max = 49

F(7,43) = 6.01

corr(u_i, Xb) = -0.6555 Prob > F = 0.0001

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

-0.01928

0.063711

-0.3

0.764

-0.14777

0.109204

ACCR

0.018879

0.03154

0.6

0.553

-0.04473

0.082486

TAGR

-0.01786

0.016677

-1.07

0.29

-0.05149

0.015774

D

0.104893

0.058

1.81

0.078

-0.01208

0.221862

NWC

-0.02543

0.012609

-2.02

0.05

-0.05086

-3.87E-06


lnTA

-0.02159

0.008188

-2.64

0.012

-0.03811

-0.00508

entropy

0.021513

0.023276

0.92

0.361

-0.02543

0.068453

_cons

0.332678

0.112387

2.96

0.005

0.106028

0.559329

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

sigma_u | .04330534

sigma_e | .1689151

rho | .06167368 (fraction of variance due to u_i)

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


PHỤ LỤC 2


Kết quả kiểm định các mô hình tác động dài hạn tới khả năng sinh lời.

B1. Mô hình ROA

ROAi,t+k = α + β’1×ROAi,t + β’2×ACCRi,t + β’3×TAGRi,t + β’4×Di,t + β’5×NWCi,t +

β’6×lnTAi,t + β’7×DIVi,t + uit

k = 1

Fixed-effects (within) regression Number of obs = 416

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.2340 min = 3

between = 0.0009 avg = 9.5

overall = 0.0283 max = 13

F(19,43) = 22.14

corr(u_i, Xb) = -0.5442 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)

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

| Robust

ROA(t+1) | Coef. Std. Err. t P>|t| [95% Conf. Interval]

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


ROA** | .1307444

.0637778

2.05

0.046

.0021243

.2593645

ACCR* | -.055225

.0307763

-1.79

0.080

-.1172913

.0068413

TAGR | -.0022586

.0014122

-1.60

0.117

-.0051066

.0005893

D*** | .0045415 .0011699 3.88 0.000 .0021822 .0069008

NWC** | .0637668 .027059 2.36 0.023 .0091973 .1183364

lnTA*** | -.0379715 .0126658 -3.00 0.005 -.0635145 -.0124285

Div*** | -.0006338 .0001145 -5.53 0.000 -.0008647 -.0004028

t |


2005

|

.0119538

.0303775

0.39

0.696

-.0493082

.0732157

2006

|

.0457228

.0309056

1.48

0.146

-.0166043

.1080499

2007

|

.0242624

.0422089

0.57

0.568

-.06086

.1093849

2008

|

.054545

.0406692

1.34

0.187

-.0274722

.1365622

2009

|

.0593995

.0422471

1.41

0.167

-.0257998

.1445989

2010

|

.0685791

.0424169

1.62

0.113

-.0169628

.154121

2011

|

.0320826

.0414636

0.77

0.443

-.0515367

.1157019

2012

|

.0227599

.0455964

0.50

0.620

-.069194

.1147139

2013

|

.035534

.0423396

0.84

0.406

-.049852

.12092

2014

|

.0696717

.0449762

1.55

0.129

-.0210313

.1603748


2015 |

.0479381

.0461123

1.04

0.304

-.0450562

.1409324

2016 |

.0488578

.0466688

1.05

0.301

-.0452589

.1429745

_cons |

.5172814

.1576004

3.28

0.002

.19945

.8351128

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

sigma_u | .08885061

sigma_e | .0643936

rho | .65563098 (fraction of variance due to u_i)

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

k = 2

Fixed-effects (within) regression Number of obs = 372

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.1550 min = 2

between = 0.3994 avg = 8.5

overall = 0.0024 max = 12

F(18,43) = 36.67

corr(u_i, Xb) = -0.4204 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)

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

| Robust

ROA(t+2) | Coef. Std. Err. t P>|t| [95% Conf. Interval]

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


ROA* | -.1217019 .0707517

-1.72 0.093 -.2643863 .0209825

ACCR* | .0394552 .0199174

1.98 0.054 -.0007121

.0796225

TAGR* | .001518 .0007923

1.92 0.062 -.0000799

.0031158

D** | .0066335 .0031299

2.12 0.040 .0003215

.0129455

NWC | .0348638 .0360583

0.97 0.339 -.0378548

.1075824

lnTA | -.0068281 .0065726

-1.04 0.305 -.020083

.0064267

Div*| -.0001846 .0001032 -1.79 0.081 -.0003927 .0000234

t |


2005

|

.0432553

.0302266

1.43

0.160

-.0177025

.1042131

2006

|

-.0091702

.0456572

-0.20

0.842

-.1012467

.0829063

2007

|

.0349735

.0513718

0.68

0.500

-.0686276

.1385746

2008

|

.0460968

.0522917

0.88

0.383

-.0593596

.1515531


2009

|

.0470624

.051074

0.92

0.362

-.0559382

.150063

2010

|

.0006758

.0508776

0.01

0.989

-.1019287

.1032803

2011

|

-.010096

.0523498

-0.19

0.848

-.1156695

.0954775

2012

|

.0013311

.0511254

0.03

0.979

-.1017731

.1044353

2013

|

.0230688

.0510993

0.45

0.654

-.0799826

.1261203

2014

|

.0006969

.0510961

0.01

0.989

-.1023481

.1037419

2015

|

|

.0016412

.050498

0.03

0.974

-.1001977

.1034802

_cons

|

.1482613

.1032729

1.44

0.158

-.0600083

.3565309

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

sigma_u | .08084992

sigma_e | .06229174

rho | .62750583 (fraction of variance due to u_i)

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

k = 3


Fixed-effects (within) regression

Number of obs =

328

Group variable: IDCode

Number of groups =

44


R-sq:


Obs per group:


within = 0.1265

min =

1

between = 0.0175

avg =

7.5

overall = 0.0142

max =

11


corr(u_i, Xb) = -0.2011

F(17,43) = 64.40

Prob > F =


0.0000

(Std. Err. adjusted for 44 clusters in IDCode)

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

| Robust

ROA(t+3) | Coef. Std. Err. t P>|t| [95% Conf. Interval]

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

ROA | -.0058142 .0933591 -0.06 0.951 -.1940909 .1824624

ACCR*** | -.0337571 .0119426 -2.83 0.007 -.0578416 -.0096725

TAGR | -.0005946 .00084 -0.71 0.483 -.0022886 .0010995

D | .00259 .0034989 0.74 0.463 -.0044662 .0096461

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