B GIÁO D O I H C KINH T TP H CHÍ MINH o0o - NG D NG H S BÊTA TRONG MÔ HÌNH NH GIÁ TÀI S N V N TRÊN TH NG CH NG KHOÁN VI T NAM LU Thành ph H Chí Minh T B GIÁO D O I H C KINH T TP H CHÍ MINH o0o - NG D NG H S BÊTA TRONG MƠ HÌNH NH GIÁ TÀI S N V N TRÊN TH NG CH NG KHOÁN VI T NAM Chuyên ngành : Mã s : Tài 60340201 Ngân hàng LU ng d n khoa h c: PGS.TS BÙI KIM Y N Thành ph H Chí Minh L IC ng lu tài s n v n th ng d ng h s nh giá ng ch ng khốn Vi t Nam uc a riêng tơi, th c hi n Các thông tin, d li dung trích d lu c s d ng lu y, n i c ghi rõ ngu n g c k t qu nghiên c c trình bày c cơng b t i b t k cơng trình nghiên c u khác Trân tr ng Ch (CAPM) 1.1 1.2 1.2.1 : 1.2.2 1.2.2.1 1.2.2.2 Ph 1.2.3 1.3 1.3.1 1.3.2 10 1.3.3 10 1.3.4 u 11 1.4 16 1.4.1 -Security Market Line) 16 1.4.2 21 1.4.2.1 21 1.4.2.2 21 1.4.2.3 22 ng 23 CH 24 2.1 24 2.1.1 24 2.1.2 25 2.2 34 2.2.1 34 2.2.1.1 34 2.2.1.2 35 2.2.1.3 37 2.2.2 37 2.2.2.1 38 2.2.2.2 39 2.3 40 2.3.1 40 2.3.2 41 2.3.3 42 2.3.4 43 2.3.5 45 2.4 46 2.5 CAPM 49 2.5.1 50 2.5.2 54 ng 57 CH 59 3.1 59 3.2 tr 62 3.2.1 62 3.2.2 69 ng 73 74 BTC CAPM : Capital Asset Pricing Model CML : Capital Market Line CP CTCP EMH : Efficient Market Hypothesis - HOSE : Hochiminh Stock Exchange SGDCK SML : Stock Market Line TTCK VN TSSL TPHCM VNI-Index UBCKNN : CÁC 53 56 CÁC HÌNH 12 13 SML) 18 Hình 1.5: Các tr 20 - 27 - 28 - 29 - 30 - 31 - 32 - 33 PH N M - U a b Dependent Variable: RRIC_RF Method: Least Squares Date: 09/12/13 Time: 20:26 Sample (adjusted): 70 Included observations: 70 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.021750 1.308016 0.020456 0.198694 -1.063252 6.583058 0.2914 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.389240 0.380258 0.169918 1.963311 25.75950 43.33665 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.037869 0.215841 -0.678843 -0.614600 -0.653325 2.258934 Dependent Variable: RSAM_RF Method: Least Squares Date: 09/12/13 Time: 20:26 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.017716 1.342538 0.014181 0.126685 -1.249284 10.59748 0.2154 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.599587 0.594248 0.124122 1.155474 52.41457 112.3066 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.028411 0.194858 -1.309469 -1.248591 -1.285119 2.485753 Dependent Variable: RSAV_RF Method: Least Squares Date: 09/12/13 Time: 20:27 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.013405 0.797921 0.013539 0.120951 -0.990075 6.597074 0.3253 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.367203 0.358765 0.118504 1.053245 55.98102 43.52138 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.019761 0.147988 -1.402104 -1.341226 -1.377754 2.028678 27 Dependent Variable: RSBT_RF Method: Least Squares Date: 09/12/13 Time: 20:27 Sample (adjusted): 63 Included observations: 63 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.000905 0.848841 0.012551 0.126121 0.072104 6.730362 0.9428 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.426140 0.416733 0.099321 0.601750 57.11488 45.29777 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.005636 0.130050 -1.749679 -1.681643 -1.722920 2.076868 Dependent Variable: RSC5_RF Method: Least Squares Date: 09/12/13 Time: 20:28 Sample (adjusted): 67 Included observations: 67 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.005345 1.464076 0.019417 0.187684 -0.275277 7.800752 0.7840 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.483519 0.475573 0.157268 1.607662 29.88316 60.85173 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.027200 0.217169 -0.832333 -0.766522 -0.806291 2.257416 Dependent Variable: RSCD_RF Method: Least Squares Date: 09/12/13 Time: 20:28 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.006035 0.583287 0.016140 0.144186 -0.373894 4.045369 0.7095 0.0001 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.179117 0.168172 0.141270 1.496788 42.45036 16.36501 0.000126 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.010681 0.154893 -1.050659 -0.989781 -1.026308 2.347537 28 Dependent Variable: RSFC_RF Method: Least Squares Date: 09/12/13 Time: 20:29 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.004259 0.855238 0.017182 0.153491 0.247906 5.571921 0.8049 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.292762 0.283332 0.150386 1.696197 37.63527 31.04631 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.002553 0.177643 -0.925592 -0.864713 -0.901241 2.176180 Dependent Variable: RSFI_RF Method: Least Squares Date: 09/12/13 Time: 20:29 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.006652 1.488869 0.018131 0.161971 0.366898 9.192212 0.7147 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.529771 0.523501 0.158695 1.888797 33.49455 84.49675 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.005208 0.229896 -0.818040 -0.757162 -0.793690 2.072003 Dependent Variable: RSGT_RF Method: Least Squares Date: 09/12/13 Time: 20:31 Sample (adjusted): 64 Included observations: 64 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.036008 0.857025 0.018288 0.175240 -1.968906 4.890577 0.0534 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.278380 0.266741 0.145366 1.310145 33.62779 23.91774 0.000007 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.046130 0.169760 -0.988368 -0.920903 -0.961791 1.565956 29 Dependent Variable: RSJD_RF Method: Least Squares Date: 09/12/13 Time: 20:31 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.008639 0.694784 0.009625 0.085981 -0.897562 8.080686 0.3723 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.465422 0.458294 0.084242 0.532250 82.25796 65.29748 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.014173 0.114458 -2.084622 -2.023744 -2.060272 2.348612 Dependent Variable: RSJS_RF Method: Least Squares Date: 09/12/13 Time: 20:32 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.025073 0.992711 0.021524 0.192281 -1.164901 5.162813 0.2478 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.262208 0.252371 0.188392 2.661860 20.28578 26.65463 0.000002 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.032981 0.217881 -0.474955 -0.414077 -0.450605 1.760432 Dependent Variable: RSMC_RF Method: Least Squares Date: 09/12/13 Time: 20:32 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.000497 1.020755 0.012698 0.113440 0.039151 8.998220 0.9689 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.519132 0.512720 0.111145 0.926493 60.91765 80.96796 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.007634 0.159221 -1.530329 -1.469451 -1.505978 2.363420 30 Dependent Variable: RSSC_RF Method: Least Squares Date: 09/12/13 Time: 20:32 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.000432 0.757672 0.014539 0.129882 -0.029717 5.833540 0.9764 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.312117 0.302945 0.127255 1.214537 50.49528 34.03019 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.006468 0.152420 -1.259618 -1.198740 -1.235267 1.995284 Dependent Variable: RSSI_RF Method: Least Squares Date: 09/12/13 Time: 20:33 Sample (adjusted): 74 Included observations: 74 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.004229 1.502183 0.017394 0.168210 0.243107 8.930387 0.8086 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.525541 0.518951 0.148322 1.583959 37.23165 79.75180 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.016285 0.213851 -0.952207 -0.889935 -0.927366 1.845691 Dependent Variable: RST8_RF Method: Least Squares Date: 09/12/13 Time: 20:33 Sample (adjusted): 65 Included observations: 65 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.016381 0.765738 0.012657 0.121715 -1.294273 6.291243 0.2003 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.385844 0.376095 0.101264 0.646029 57.63616 39.57974 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.026182 0.128203 -1.711882 -1.644978 -1.685484 2.478410 31 Dependent Variable: RSTB_RF Method: Least Squares Date: 09/12/13 Time: 20:34 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.007186 0.918633 0.013152 0.117491 -0.546402 7.818777 0.5864 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.449069 0.441724 0.115114 0.993844 58.21596 61.13328 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.014504 0.154065 -1.460155 -1.399277 -1.435804 1.773464 Dependent Variable: RSVC_RF Method: Least Squares Date: 09/12/13 Time: 20:34 Sample (adjusted): 74 Included observations: 74 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.008195 0.987153 0.018506 0.178962 -0.442811 5.515991 0.6592 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.297055 0.287291 0.157802 1.792917 32.64673 30.42616 0.000001 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.021675 0.186921 -0.828290 -0.766018 -0.803449 2.405175 Dependent Variable: RTAC_RF Method: Least Squares Date: 09/12/13 Time: 20:35 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.005264 0.725366 0.018634 0.166465 0.282494 4.357477 0.7783 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.202022 0.191383 0.163098 1.995060 31.38729 18.98760 0.000041 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.000514 0.181374 -0.763306 -0.702428 -0.738956 1.611049 32 Dependent Variable: RTBC_RF Method: Least Squares Date: 09/12/13 Time: 20:37 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.004377 0.211210 0.016332 0.145897 -0.267985 1.447664 0.7894 0.1519 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.027183 0.014213 0.142946 1.532526 41.54193 2.095730 0.151879 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.006059 0.143973 -1.027063 -0.966185 -1.002712 1.913026 Dependent Variable: RTCM_RF Method: Least Squares Date: 09/12/13 Time: 20:37 Sample (adjusted): 67 Included observations: 67 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.004196 1.389991 0.014423 0.139417 -0.290926 9.970052 0.7720 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.604628 0.598545 0.116823 0.887094 49.80178 99.40194 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.024946 0.184378 -1.426919 -1.361107 -1.400877 1.952399 Dependent Variable: RTCR_RF Method: Least Squares Date: 09/12/13 Time: 20:38 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.028215 0.599681 0.009818 0.087706 -2.873898 6.837416 0.0053 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.383985 0.375771 0.085932 0.553819 80.72854 46.75026 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.032992 0.108763 -2.044897 -1.984019 -2.020546 2.081105 33 Dependent Variable: RTMS_RF Method: Least Squares Date: 09/12/13 Time: 20:38 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.007606 0.388868 0.016711 0.149284 -0.455171 2.604885 0.6503 0.0111 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.082966 0.070739 0.146265 1.604500 39.77496 6.785425 0.011077 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.010704 0.151730 -0.981168 -0.920290 -0.956817 2.622070 Dependent Variable: RTNA_RF Method: Least Squares Date: 09/12/13 Time: 20:39 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.002657 0.868273 0.017510 0.156422 0.151767 5.550853 0.8798 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.291196 0.281745 0.153258 1.761592 36.17885 30.81197 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.004259 0.180835 -0.887762 -0.826884 -0.863412 1.995310 Dependent Variable: RTNC_RF Method: Least Squares Date: 09/12/13 Time: 20:39 Sample (adjusted): 69 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.007002 0.944137 0.010058 0.096991 -0.696195 9.734256 0.4887 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.585795 0.579613 0.082938 0.460877 74.89446 94.75574 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.018778 0.127918 -2.112883 -2.048126 -2.087192 1.959393 34 Dependent Variable: RTPC_RF Method: Least Squares Date: 09/12/13 Time: 20:39 Sample (adjusted): 66 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.006265 1.157192 0.013748 0.132664 -0.455700 8.722756 0.6501 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.543139 0.536001 0.110697 0.784249 52.62861 76.08647 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.022204 0.162509 -1.534200 -1.467847 -1.507981 2.280225 Dependent Variable: RTRC_RF Method: Least Squares Date: 09/12/13 Time: 20:40 Sample (adjusted): 70 Included observations: 70 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.004571 1.137182 0.011863 0.115225 0.385298 9.869222 0.7012 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.588879 0.582833 0.098538 0.660256 63.90109 97.40154 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.009443 0.152562 -1.768602 -1.704360 -1.743084 2.346544 Dependent Variable: RTS4_RF Method: Least Squares Date: 09/12/13 Time: 20:40 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.003668 1.334408 0.016663 0.148859 0.220112 8.964232 0.8264 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.517242 0.510806 0.145848 1.595377 39.99449 80.35745 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.006962 0.208526 -0.986870 -0.925992 -0.962519 2.033963 35 Dependent Variable: RTSC_RF Method: Least Squares Date: 09/12/13 Time: 20:41 Sample (adjusted): 67 Included observations: 67 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.027758 0.902084 0.015858 0.153282 -1.750437 5.885142 0.0848 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.347618 0.337581 0.128441 1.072310 43.44952 34.63490 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.041224 0.157811 -1.237299 -1.171487 -1.211257 2.107931 Dependent Variable: RTTF_RF Method: Least Squares Date: 09/12/13 Time: 20:42 Sample (adjusted): 63 Included observations: 63 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.010159 1.631701 0.019906 0.200031 -0.510341 8.157251 0.6117 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.521721 0.513881 0.157526 1.513679 28.05751 66.54074 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.022732 0.225933 -0.827222 -0.759186 -0.800464 2.431734 Dependent Variable: RTTP_RF Method: Least Squares Date: 09/12/13 Time: 20:42 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.000725 0.958212 0.016944 0.151371 0.042776 6.330213 0.9660 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.348232 0.339542 0.148309 1.649676 38.70594 40.07159 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.006908 0.182493 -0.953401 -0.892523 -0.929050 2.384855 36 Dependent Variable: RTYA_RF Method: Least Squares Date: 09/12/13 Time: 20:43 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.018734 1.120324 0.013695 0.122347 -1.367936 9.156959 0.1754 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.527856 0.521561 0.119872 1.077697 55.09742 83.84990 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.027659 0.173302 -1.379154 -1.318276 -1.354803 2.491765 Dependent Variable: RUIC_RF Method: Least Squares Date: 09/12/13 Time: 20:43 Sample (adjusted): 66 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.003859 1.320294 0.016980 0.163857 -0.227256 8.057593 0.8209 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.503587 0.495830 0.136726 1.196414 38.69081 64.92480 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.022045 0.192558 -1.111843 -1.045490 -1.085623 1.814617 Dependent Variable: RVHC_RF Method: Least Squares Date: 09/12/13 Time: 20:44 Sample (adjusted): 65 Included observations: 65 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.005282 1.001515 0.016343 0.157168 0.323169 6.372258 0.7476 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.391925 0.382273 0.130760 1.077193 41.01993 40.60567 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.007538 0.166371 -1.200613 -1.133709 -1.174215 1.803339 37 Dependent Variable: RVHG_RF Method: Least Squares Date: 09/12/13 Time: 20:44 Sample (adjusted): 64 Included observations: 64 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.013305 1.347197 0.021911 0.209950 -0.607254 6.416744 0.5459 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.399077 0.389385 0.174159 1.880551 22.06212 41.17460 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.029216 0.222876 -0.626941 -0.559476 -0.600363 1.867479 Dependent Variable: RVIC_RF Method: Least Squares Date: 09/12/13 Time: 20:45 Sample (adjusted): 68 Included observations: 68 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.004837 0.712519 0.019898 0.193723 0.243074 3.678022 0.8087 0.0005 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.170102 0.157528 0.162329 1.739156 28.15984 13.52785 0.000474 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.005824 0.176856 -0.769407 -0.704127 -0.743541 2.124016 Dependent Variable: RVID_RF Method: Least Squares Date: 09/12/13 Time: 20:45 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.031977 0.519803 0.017078 0.152564 -1.872426 3.407125 0.0650 0.0011 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.134034 0.122488 0.149478 1.675769 38.10176 11.60850 0.001058 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.036118 0.159570 -0.937708 -0.876830 -0.913357 1.981671 38 Dependent Variable: RVIP_RF Method: Least Squares Date: 09/12/13 Time: 20:45 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.011217 1.082233 0.014203 0.126878 -0.789819 8.529743 0.4321 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.492408 0.485640 0.124311 1.158996 52.29742 72.75651 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.019838 0.173331 -1.306426 -1.245548 -1.282076 2.094386 Dependent Variable: RVIS_RF Method: Least Squares Date: 09/12/13 Time: 20:46 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.019513 1.077438 0.031068 0.277539 0.628090 3.882114 0.5319 0.0002 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.167322 0.156219 0.271925 5.545752 -7.973498 15.07081 0.000221 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.010930 0.296029 0.259052 0.319930 0.283403 2.099829 Dependent Variable: RVNE_RF Method: Least Squares Date: 09/12/13 Time: 20:46 Sample (adjusted): 69 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.008008 1.230197 0.016685 0.160906 -0.479956 7.645419 0.6328 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.465933 0.457962 0.137593 1.268432 39.96646 58.45244 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.023352 0.186888 -1.100477 -1.035720 -1.074786 1.849221 39 Dependent Variable: RVNM_RF Method: Least Squares Date: 09/12/13 Time: 20:47 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.005943 0.671965 0.012818 0.114513 0.463607 5.868033 0.6443 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.314654 0.305516 0.112197 0.944104 60.19272 34.43381 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000590 0.134632 -1.511499 -1.450621 -1.487148 1.861500 Dependent Variable: RVPK_RF Method: Least Squares Date: 09/12/13 Time: 20:48 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF 0.010455 0.606929 0.016477 0.147196 0.634507 4.123264 0.5277 0.0001 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.184794 0.173925 0.144219 1.559930 40.85957 17.00131 0.000096 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.005620 0.158676 -1.009340 -0.948461 -0.984989 2.060317 Dependent Variable: RVSC_RF Method: Least Squares Date: 09/12/13 Time: 20:48 Sample (adjusted): 64 Included observations: 64 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF 9.83E-05 1.102406 0.013621 0.130515 0.007217 8.446616 0.9943 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.535042 0.527542 0.108265 0.726725 52.48682 71.34532 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.012921 0.157510 -1.577713 -1.510248 -1.551135 2.190359 40 Dependent Variable: RVSH_RF Method: Least Squares Date: 09/12/13 Time: 20:49 Sample (adjusted): 76 Included observations: 76 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.010473 0.782985 0.011287 0.110017 -0.927930 7.116960 0.3565 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.406343 0.398321 0.097552 0.704213 70.05417 50.65112 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.020977 0.125763 -1.790899 -1.729564 -1.766387 1.852197 Dependent Variable: RVTB_RF Method: Least Squares Date: 09/12/13 Time: 20:49 Sample: 77 Included observations: 77 Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.016950 0.625203 0.012789 0.114254 -1.325328 5.472069 0.1891 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.285330 0.275801 0.111943 0.939835 60.36720 29.94354 0.000001 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.021931 0.131543 -1.516031 -1.455153 -1.491680 1.941317 Dependent Variable: RVTO_RF Method: Least Squares Date: 09/12/13 Time: 20:50 Sample (adjusted): 67 Included observations: 67 after adjustments Variable Coefficient Std Error t-Statistic Prob C RM_RF -0.028551 1.064058 0.010087 0.097498 -2.830651 10.91359 0.0062 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.646943 0.641512 0.081698 0.433846 73.76305 119.1065 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.044436 0.136450 -2.142180 -2.076369 -2.116139 2.168195 41 ...B GIÁO D O I H C KINH T TP H CHÍ MINH o0o - NG D NG H S BÊTA TRONG MÔ HÌNH NH GIÁ TÀI S N V N TRÊN TH NG CH NG KHOÁN VI T NAM Chuyên ngành : Mã s : Tài 60340201 Ngân... LU ng d n khoa h c: PGS.TS BÙI KIM Y N Thành ph H Chí Minh L IC ng lu tài s n v n th ng d ng h s nh giá ng ch ng khoán Vi t Nam uc a riêng tơi, tơi th c hi n Các thơng tin, d li dung trích d lu... E(RM) M RF M j Hình 1.4 SML) -trang 90 SML) ng hóa t tr ng c a m i lo i ch ng khoán i ( i = i E(Ri) = RF Rf i[E(RM) Rf] iM 19 E(RM) i P - - Trong 20 E(r) 16 15 14 M RF M =1,0 j =1,2 Hình 1.5: -trang