Documente Academic
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Ion STANCU
Andrei Tudor STANCU
Rezumat
Pentru c modelul de pia simplific foarte mult relaia dintre rentabilitatea valorilor
mobiliare, alternativ s-au cercetat modele multifactoriale de explicare a acestei rentabiliti
prin mai muli factori macroeconomici (PIB, Dobnda, Inflaia, Cursul de schimb etc.) sau
microeconomici (Beta, Capitalizarea bursier, Gradul de ndatorare, ROE, ROA etc.).
n lucrarea noastr, folosim modele factoriale care urmresc explicarea rentabilitii aciunilor
analizate prin factorii microeconomici semnificativi: coeficienii alfa i beta, mrimea
companiei emitente, free float-ul, multiplii MBR i PER, rata ndatorrii, ratele de
rentabilitate ROE i ROE.
Mai nti, am fost ateni la evoluia coeficienilor beta, respectiv, la tendina acestora de a se
apropia, n timp, de valoarea unu. Cu excepia celor dou SIF-uri din eantion, analiza grafic
indic ponderi mici ale coeficienilor beta (> 1 i < 1) care s se apropie, n timp, de valoarea
unu. n consecin, este nevoie de ajustarea lor doar la nivelul SIF1 i SIF4. Chiar i aa,
valorile ajustate nu modific semnificativ valorile statistice ale acestor serii de date. n
consecin, n analiza noastr statistic, vom folosi seriile cu coeficieni beta iniiali
(neajustai).
Analiza noastr cu modele de regresie n pool de date privind cele 34 de companii, fiecare cu
cte 33 de date trimestriale nregistrate, a fost invalidat ca urmare a nestaionaritii
variabilelor independente, semnificative d.p.v. statistic. Din acest motiv, am procedat la
diferenierea de gradul doi sub forma variaiilor procentuale trimestriale ale variabilelor de
analizat.
n modelul de regresie cu interceptul constant, att pe companii, ct i pe trimestre,
rentabilittile valorilor noastre mobiliare se explic, cel mai mult, prin variaia procentual a
capitalizrii bursiere i a raportului valoare de pia / valoare contabil a celor 34 de titluri
financiare. Dei semnificativ statistic, coeficientul de sensibilitate al rentabilitii bursiere n
raport cu variaia volatilitii beta este destul de mic (0,8%).
Prof. univ. dr., Academia de Studii Economice din Bucuresti, finstancu@yahoo.com.
*
Asist. univ. drd., Henley Business School at the University of Reading, stancudoru@yahoo.com.
Pentru a gsi modele mai performante, s-a procedat la introducerea succesiv n modelul de
regresie a efectelor fixe, pe companii, temporare i, respectiv, mixte. Dintre toate acestea,
modelul cu efecte temporare a performat mult mai bine:
VPRICE = 0.022 + 0.007*VBETA + 0.188*VMKT_CAP + 0.297*VMBR + [CX=F, PER=F]
Coeficientul de determinare R2 este cel mai mare n raport cu celelalte modele (0,287 %). La
acest nivel, este evident faptul c cei trei factori independeni, semnificativi statistic,
(VBETA, VMKT_CAP i VMBR), nu sunt singurii care explic evoluia rentabilitii celor 34
de valori mobiliare.
Din testul de verosimilitate al efectelor fixe (temporare) rezult c i variabila independent
VBETA nu este destul de relevant pentru explicaia evoluiei rentabilitii valorilor
mobiliare. n consecin, modelul de regresie care urmeaz este cel mai performant dintre cele
analizate anterior:
VPRICE = 0.022 + 0.196*VMKT_CAP + 0.284*VMBR+ [PER=F]
Este un model obinut prin metoda White Period a coeficienilor de covariaie. Are o uoar
cretere a coeficientului R2 ajustat (0,289 > 0,287), o semnificaie statistic mai bun a
interceptului i a coeficientului de sensibilitate VMKT_CAP, precum i o mbuntire a
criteriului informaional Akaike (1,2 < 1,21).
n consecin, evoluia rentabilitii celor 34 de valori mobiliare este explicat, n proporie de
29%, de variaia procentual trimestrial a capitalizrii bursiere (coeficient de sensibilitate =
0,196), precum i cea a raportului dintre valoarea de pia i valoarea contabil a valorilor
mobiliare analizate (coeficient = 0,284). Cu alte cuvinte, performana valorilor mobiliare este
influenat de mrimea valorii de pia a companiilor i de reputaia (brandul) lor pe piaa
bursier.
La modele anterioare era identificat i o variabil de risc, VBETA, dar cu un coeficient de
sensibilitate (a rentabilitii n raport cu acest risc) destul de redus, n jur de 1%. Relevana
foarte sczut a factorului beta n explicarea rentabilitii valorilor mobiliare analizate
invalideaz CAPM va model explicativ al acesteia din urm.
Cele mai frecvent utilizate sunt modele multifactoriale macro sau microeconomice, or o
combinaie ntre ele.
2 Fama, Eugen, Kenneth French, The cross-section of expected stock returns, Journal of
Finance 47, 1992,, 427-465; Fama, Eugen, Kenneth French, Value versus growth: the
international evidence, Journal of Finance 53, 1998, 427-465.
3 Blume, M., Betas and Their Regression Tendencies, Journal of Finance 30, 1975, 785-795.
Analiza evoluiei n timp a coeficientilor beta ai celor 34 de actiuni cotate la BVB ne va indica
faptul dac este nevoie de ajustarea lor.
BETA
Aerostar
Amonil
Antibiotice
2.0
1.5
1.0
-1
0.5
-2
0.0
-3
-1
05
06
07
08
09
10
11
12
13
06
07
08
09
10
11
12
13
0.5
0.0
-0.5
05
06
07
08
09
10
11
12
13
06
07
08
09
10
11
12
13
1
0
-2
05
06
07
08
09
10
11
12
13
0
05
06
07
Gr.ind.electr.
08
09
10
11
12
13
0
05
06
07
08
Mecanica
1.6
07
08
09
10
11
12
13
05
06
07
08
09
10
11
12
13
10
11
12
13
10
11
12
13
11
12
13
11
12
13
Energopetrol
1.0
0.0
06
Electroputere
0.5
0
-1
05
Compa
1.5
2
-1
05
Comelf
Azomures
4
Carbochim
2.0
Artrom
3
1.0
-0.5
05
Biofarm
2.5
Armatura
1.5
09
10
11
12
13
-2
-1
05
06
07
08
Mefin
09
10
11
12
13
-4
05
06
07
Oil
08
09
10
11
12
13
05
06
07
08
Oltchim
1.6
1.2
09
OMV
1.2
1
0.8
0
0.8
0
0.4
-1
-2
05
06
07
08
09
10
11
12
13
-2
05
06
07
Petrolexim
08
09
10
11
12
13
-1
05
06
07
Prodplast
-1
08
09
10
11
12
13
-2
05
06
07
Rompetrol Ref.
08
09
10
11
12
13
1.2
1.0
07
08
09
10
11
12
13
07
08
09
10
11
12
13
07
SIF4 Muntenia
08
09
10
11
12
13
07
08
09
10
11
12
13
2.0
0.5
1.5
0
05
06
07
Titan
1.0
09
0
06
Sinteza
08
2
1
05
07
0.2
06
06
0.4
05
05
-2
06
06
SC Transilvania
0.6
05
0.0
05
Rompetrol Well
0.8
-1
0.4
-1
08
09
10
11
12
13
-1
05
06
07
Turbomecanica
08
09
10
11
12
13
05
06
07
UAMT Oradea
2.5
2.0
08
09
10
UCM Resita
4
1.5
0.0
1.0
-0.5
0.5
-1.0
0.0
0.0
-1
-1
-1.5
-0.5
-0.5
-2
1.0
05
06
07
08
09
10
11
12
13
05
06
07
Voest alpine
08
09
10
11
12
13
05
06
07
Vrancart
1.6
2.0
1.2
1.5
0.5
08
09
10
11
12
13
05
06
07
Zentiva
08
09
10
11
12
13
10
11
12
13
-2
05
06
07
08
09
10
11
12
13
05
06
07
08
09
10
Zimtub
2.5
2.0
1.5
0.8
1.0
-1
1.0
0.4
0.5
0.0
0.0
05
06
07
08
09
10
11
12
13
-2
0.5
0.0
05
06
07
08
09
10
11
12
13
-3
05
06
07
08
09
10
11
12
13
05
06
07
08
09
Cu excepia celor dou SIF-uri, graficele de mai sus indic ponderi mici ale coeficienilor beta
(> 1 i < 1) care s se apropie, n timp, de valoarea 1. n consecin, este nevoie de ajustarea
lor doar la nivelul SIF1 i SIF4. Coeficienii beta SIF1 au tendina de a se apropia de valoarea
unu ncepnd cu trimestrul I, 2011, iar coeficienii beta SIF4, ncepnd cu trimestrul I, 2009,
motiv pentru care vom face ajustarea pornind de la aceste perioade.
Tabelul 2: Evoluia n timp a coeficienilor beta pentru SIF1 i SIF4 cu tendina lor de a se apropia,
n timp, de valoarea unu
Ecuaiile de regresie, semnificative din punct de vedere statistic, au valori foarte apropiate, la
toi parametrii acestora, att cu coeficienii beta iniiali ct i cu coeficienii beta ajustai (a se
vedea tabelul 2_a, de mai jos). Era de ateptat deoarece s-au ajustat doar 2,8% dintre
coeficieni beta (30 dintr-un total de 1063).
De aceea, vom folosi n continuare, pentru analiza statistic, seriile cu coeficienii beta iniali
(neajustai).
Avem deci o bun dovad a faptului c piaa celor 36 de valori mobiliare se caracterizeaz
prin ineficien informaional; bun semnal pentru speculaii bursiere, identificabile prin
analiz grafic.
Exprimarea seriilor de date n scale de valori diferite (coeficieni, valori absolute, rate etc.),
precum i nestaionaritatea seriilor de date n aceste valori, ne sugereaz c trebuie s
preocedm la diferenierea lor, respectiv la exprimarea acestora ca variaii procentuale de la
un trimestru la cellalt.
a) b)
Dependent Variable: VPRICE
Method: Panel Least Squares
Sample (adjusted): 2005Q1 2013Q2
Periods included: 34
Cross-sections included: 34
Total panel (unbalanced) observations: 1119
Coefficient Std. ErrorDependent
t-Statistic Variable:
Prob. VPRICE
Variable
Least Squares
0.02
0.01 Method:
1.40Panel0.16
C
0.01
0.00
0.03
Sample 2.17
(adjusted):
2005Q1 2013Q2
VBETA
0.21
0.03
6.93
0.00
Periods
included:
34
VMKT_CAP
0.33
0.02 Cross-sections
13.62
0.00
included: 34
VMBR
Total dependent
panel (unbalanced)
var 0.05observations: 1119
Adj R-squared 0.2563 Mean
128.12 Variable
Akaike info Coefficient
criterion 1.23
Std. Error t-Statistic Prob.
F-statistic
0.00
Durbin-Watson
stat 2.250.01
0.02
1.40
0.16
C
Prob(F-statistic)
0.01
0.00
2.17
0.03
VBETA_ADJ
0.21
0.03
6.93
0.00
VMKT_CAP
0.33
0.02
13.62
0.00
VMBR
n model au fost Adj R-squared 0.2543 Mean dependent var 0.05
128.11 Akaike info criterion 1.23
F-statistic
companii i n Prob(F-statistic) 0.00 Durbin-Watson stat 2.25
considerai
constani,
pe
coeficienii (pantele) variabilelor independente. Pentru a relaxa aceste restricii, vom proceda,
pe rnd, n a considera aceti coeficieni (interceptul i pantele) difereniate pe companii i n
timp. Modelul este valid la un prag de semnificaie mai mic de 1% cu un coeficient de
determinare, asustat (R2 ajustat), de 25,5%, existnd i alte variabile explicative pentru
rentabilitatea de la burs a valorilor mobiliare analizate, altele dect cele considerate de noi ca
relevante.
Tabelul 3: Ecuaia de regresie a rentabilitii valorilor mobiliare analizate cu efecte fixe pe companii:
a) cu VPRICE(-1)
Dependent Variable: VPRICE
Method: Panel Least Squares
Sample (adjusted): 2005Q2 2013Q2
Periods included: 33
Cross-sections included: 34
Total panel (unbalanced) observations: 1086
Variable Coefficient Std. Error
t-Statistic
0.03
0.01
1.85
C
0.01
0.00
2.26
VBETA
0.20
0.03
6.53
VMKT_CAP
0.34
0.03
13.58
VMBR
-0.06
0.03
-2.19
VPRICE(-1)
Effects Specification
Cross-section fixed (dummy variables)
0.25
Mean dependent var
Adj R-squared
10.91
Akaike info criterion
F-statistic
0.00
Durbin-Watson stat
Prob(F-statistic)
b) fr VPRICE(-1)
Prob.
0.06
0.02
0.00
0.00
0.03
0.06
1.28
1.48
a) cu VPRICE(-1)
Dependent Variable: VPRICE
Method: Panel Least Squares
Sample (adjusted): 2005Q2 2013Q2
Periods included: 33
Cross-sections included: 34
Total panel (unbalanced) observations: 1086
Variable
Coefficient Std. Error t-Statistic Prob.
0.03
0.01
2.16
0.03
C
Dependent
Variable: VPRICE
0.01 Method:
0.00
1.62Squares
0.11
VBETA
Panel Least
0.19 Sample
0.03
6.10
0.00
VMKT_CAP
(adjusted):
2005Q1
2013Q2
0.28 Periods
0.03
11.20
0.00
VMBR
included: 34
-0.05Cross-sections
0.03
-1.77
0.08
VPRICE(-1)
included:
34
Effects Total
Specification
panel (unbalanced) observations: 1119
Period fixed (dummy
variables) Coefficient Std. Error t-Statistic
Variable
0.28
Mean
Adj R-squared
0.02 0.06 0.01
1.69
C dependent var
12.89 Akaike
info criterion
F-statistic
0.01 1.24 0.00
1.68
VBETA
0.00 VMKT_CAP
Durbin-Watson stat
Prob(F-statistic)
0.1931.45 0.03
6.20
0.287
0.03
11.46
Effects Specification
Period fixed (dummy variables)
0.287 Mean dependent var
Adj R-squared
13.50 Akaike info criterion
F-statistic
0.00
Durbin-Watson stat
Prob(F-statistic)
VMBR
Testul
temporare
VPRICE(-1),
de
b) fr VPRICE(-1)
Prob.
0.09
0.09
0.00
0.00
invalideaz
variabila
anterior, ca fiind explicativ pentru rentabilitatea curent. n consecin, modelul 4_b are
urmtoarea expresie:
a) cu VPRICE(-1)
Dependent Variable: VPRICE
Dependent Variable: VPRICE
Method: Panel Least Squares
Method: Panel Least Squares
Periods included: 34
Periods included: 33
Cross-sections included: 34
Cross-sections included: 34
Total panel (unbalanced) observations: 1119
Total panel (unbalanced) observations: 1086
Variable
Coefficient Std. Error t-Statistic
Coefficient Std. Error t-Statistic Prob.
Variable
0.02
0.01
1.66
C
0.03
0.01
2.21
0.03
C
0.01
0.00
1.77
VBETA
0.01
0.00
1.80
0.07
VBETA
0.19
0.03
5.95
VMKT_CAP
0.18
0.03
5.81
0.00
VMKT_CAP
0.30
0.03
11.66
VMBR
Effects Specification
Cross-section fixed (dummy variables)
Period fixed (dummy variables)
0.284 Mean dependent var
Adj R-squared
7.44
Akaike info criterion
F-statistic
0.00
Durbin-Watson stat
Prob(F-statistic)
b) fr VPRICE(-1)
Prob.
0.10
0.08
0.00
0.00
0.05
1.25
2.33
VMBR
VPRICE(-1)
0.30
0.03
11.48
-0.07
0.03
-2.53
Effects Specification
Cross-section fixed (dummy variables)
Period fixed (dummy variables)
Adj R-squared
0.285
Mean dependent var
F-statistic
7.27
Akaike info criterion
Prob(F-statistic)
0.00
Durbin-Watson stat
0.00
0.01
0.06
1.26
1.46
Tabelul 6 sintetizeaz rezultatele acestor modele de regresie, fr efecte fixe i cu efecte fixe,
pe companii, pe trimestre i mixte.
Tabelul 2: Analiza comparativ a modelelor de regresie dintre DPRICE i
VBETA, VMKT_CAP, VMBR; cu i fr VPRICE(-1)
DPRICE
Variable/Model
C
VBETA
VMKT_CAP
VMBR
VPRICE(-1)
Cu efecte fixe
Pe companii
Temporare
Mixte
Cu
Fr
Cu
Fr
Cu
Fr
VPRICE(-1) VPRICE(-1) VPRICE(-1) VPRICE(-1) VPRICE(-1) VPRICE(-1)
0.02
0.019
0.03**
0.03**
0.02***
0.03**
0.02***
0.01**
0.01**
0.009**
0.01***
0.01***
0.01**
0.01***
0.21*
0.20*
0.203*
0.19*
0.193*
0.18*
0.19*
0.33*
0.34*
0.343*
0.28*
0.287*
0.30*
0.30*
-0.06**
-0.05***
-0.07*
Fr
efecte
fixe
0.256
0.253
Adj R-squared
0.00
0.00
Prob(F-statistic)
2.25
1.48
Durbin-Watson stat
* Semnificant at 1%
** Semnificant at 5%
***Semnificant at 10%
0.252
0.000
2.31
0.283
0.00
1.45
0.287
0.00
2.27
0.285
0.00
1.46
0.284
0.00
2.33
Cel mai bine performeaz modelul de regresie 4_b, cu efecte temporare i fr variabil
regresiv VPRICE(-1). Coeficientul de determinare R2 este cel mai mare n raport cu celelalte
modele (0,287 %). Este totui evident faptul c cei trei factori independeni, semnificativi
statistic (VBETA, VMKT_CAP i VMBR), nu sunt singurii care explic evoluia rentabilitii
celor 34 de valori mobiliare.
Din testul de verosimilitate al efectelor fixe (temporare) rezult c i variabila independent
VBETA este ne relevant pentru explicaia evoluiei rentabilitii valorilor mobiliare. n
consecin, modelul de regresie care urmeaz este cel mai performant dintre cele analizate
anterior:
VPRICE = 0.022 + 0.196*VMKT_CAP + 0.284*VMBR+ [PER=F]
Este un model obinut prin metoda White Period a coeficienilor de covariaie de corecie a
reziduurilor. Are o uoar cretere a coeficientului R2 ajustat (0,289 > 0,287), o semnificaie
statistic mai bun a interceptului i a coficientului de sensibilitate VMKT_CAP, precum i o
mbuntire a criteriului informaional Akaike (1,2 < 1,21):
Variable
C
VMKT_CAP
VMBR
Prob.
0.04
0.02
0.00
0.05
1.20
2.28
5. Concluzii
Pentru c modelul de pia simplific foarte mult relaia dintre rentabilitatea valorilor
mobiliare, alternativ s-au cercetat modele multifactoriale de explicare a acestei rentabiliti
prin mai muli factori macroeconomici ((PIB, Dobnda, Inflaia, Cursul de schimb etc.) sau
microeconomici (Beta, Capitalizarea bursier, Gradul de ndatorare, ROE, ROA etc.).
n lucrarea noastr, folosim modele factoriale care urmresc explicarea rentabilitii aciunilor
analizate prin factorii microeconomici semnificativi: coeficienii alfa i beta, mrimea
companiei emitente, free float-ul, multiplii MBR i PER, rata ndatorrii, ratele de
rentabilitate ROE i ROE.
Mai nti, am fost ateni la evoluia coeficienilor beta, respectiv, la tendina acestora de a se
apropia, n timp, de valoarea unu. Cu excepia celor dou SIF-uri, analiza grafic indic
ponderi mici ale coeficienilor beta (> 1 i < 1) care s se apropie, n timp, de valoarea 1. n
consecin, este nevoie de ajustarea lor doar la nivelul SIF1 i SIF4. Chiar i aa, valorile
ajustate nu modific semnificativ valorile statistice ale acestor serii de date. n consecin, n
analiza noastr statistic, am folosit seriile cu coeficieni beta iniiali (neajustai).
Analiza noastr cu modele de regresie n pool de date privind cele 34 de companii, fiecare cu
cte 33 de date trimestriale nregistrate, a condus la modele invalide de regresie ca urmare a
nestaionaritii variabilelor independente, semnificative d.p.v. statistic. Din acest motiv, am
procedat la diferenierea de gradul doi sub forma variaiilor procentuale trimestriale ale
variabilelor de analizat.
n modelul de regresie cu interceptul constant, att pe companii, ct i pe trimestre,
rentabilittile valorilor noastre mobiliare (VPRICE) se explic, cel mai bine, prin variaia
procentual a capitalizrii bursiere (VMKT_CAP) i a raportului valoare de pia / valoare
contabil (VMBR) a celor 32 de titluri financiare. Dei semnificativ statistic, coeficientul de
sensibilitate al rentabilitii bursiere n raport cu variaia volatilitii beta (VBETA) este foarte
mic (0,8%).
Pentru a gsi modele mai performante, s-a procedat la introducerea succesiv, n modelul de
regresie, a efectelor fixe, pe companii, temporare i, respectiv, mixte. Dintre toate acestea,
modelul cu efecte temporare a performat mult mai bine:
VPRICE = 0.022 + 0.007*VBETA + 0.188*VMKT_CAP + 0.297*VMBR + [CX=F, PER=F]
Coeficientul de determinare R2 este cel mai mare n raport cu celelalte modele (0,287 %). Este
evident faptul c cei trei factori independeni, semnificativi statistic, (VBETA, VMKT_CAP i
VMBR), nu sunt singurii care explic evoluia rentabilitii celor 34 de valori mobiliare.
Din testul de verosimilitate al efectelor fixe (temporare) rezult c i variabila independent
VBETA nu este destul de relevant pentru explicaia evoluiei rentabilitii valorilor
mobiliare. n consecin, modelul de regresie care urmeaz este cel mai performant dintre cele
analizate anterior:
VPRICE = 0.022 + 0.196*VMKT_CAP + 0.284*VMBR+ [PER=F]
Este un model obinut prin metoda White Period a coeficienilor de covariaie. Are o uoar
cretere a coeficientului R2 ajustat (0,289 > 0,287), o semnificaie statistic mai bun a
interceptului i a coeficientului de sensibilitate VMKT_CAP, precum i o mbuntire a
criteriului informaional Akaike (1,2 < 1,21).
n consecin, evoluia rentabilitii celor 34 de valori mobiliare (VPRICE) este explicat, n
proporie de 29%, de variaia procentual trimestrial a capitalizrii bursiere (VMKT_CAP,
6. Bibliografie
1. Banz, Rolf, The relationship between return and market value of common stocks, Journal
of Financial Economics 9, 1981, 13-18;
2.
Basu, Sanjoy, The relationship between earnings yields, market value, and return for
NYSE common stocks: Further evidence, Journal of Financial Economics 12, 1983, 129156;
3.
Bhandari, Laxmi Chand, Debt/equity ratio and expected common stocks returns:
empirical evidence, Journal of Finance 43, 1988, 507-528;
4.
Blume, M., Betas and Their Regression Tendencies, Journal of Finance 30, 1975, 785795.
5.
6.
Brown, P., Kleidon, A., Marsh, T., New Evidence on the Nature of Size-Related
Anomalies in Stock Prices, Journal of Financial Economics 12, 1983, 33-56.
7.
Capaul, C., I. Rowley, and W.F. Sharpe, International Value and Growth Stock Returns,
Financial Analysts Journal, January/February 1993, 27-36.
8.
Chan, Louis, Yasuchi Hamao, Josef Lakonishok, Fundamentals and stock returns in
Japan, Journal of Finance 46, 1991, 1739-1764;
9.
10.
Dennis, P., Perfect, S., Snow, K., Wiles, K., The Effects of Rebalancing on Size and
Book-to-Market Ratio Portfolio Returns, Financial Analysts Journal 51, no. 3 (May-June),
1995, 47-57.
11.
Fama, Eugen, Kenneth French, The cross-section of expected stock returns, Journal of
Finance 47, 1992;
12.
Fama, Eugen, Kenneth French, Value versus growth: the international evidence,
Journal of Finance 53, 1998;
13.
Lakonishok, Josef, Alan Shapiro, Systematic risk, total risk and size as determinants of
stock market returns, Journal of Banking and Finance 10, 1986, 115-132;
14.
Levis, M., Are Small Firms Big Performers? Investment Analyst 76, 1985, 21-27.
15.
16.
Peavy III, J. W., Goodman, D. A., The Significance of P/Es for Portfolio Returns,
Journal of Portfolio Management 9, 1983, 43-47.
17.
18.
Rosenberg, B., Reid, K., Lanstein, R., Persuasive Evidence of Market Inefficiency.
Journal of Portfolio Management 11, 1985, 9-17.
19.
20.
Staatman, Dennis, Book values and stock returns, The Chicago MBA: A Journal of
Selected Papers 4, 1980;
21. Tudor, Cristiana, Price Ratios and the Cross-section of Common Stock Returns on
Bucharest Stock Exchange: Empirical Evidence, Journal for Economic Forecasting,
Institute for Economic Forecasting, vol. 6(2), pages 132-146, June 2009;
22.
Ziemba, W., S. Scwartz, The Growth in the Japanese Stock Market, 1949-90 and
Prospects for the Future, Managerial and Decision Economics 12, 1991, 183-195;
ANEXA 1
Rezultatele testului de verosimilitate al efectelor fixe pe companii
FIRM
Effect
0.014
1 cu
Aerostar
-0.030
2 Amonil
0.003
3 Antibiotice
-0.090
4 Armatura
-0.010
5 Artrom
0.052
6 Azomures
0.026
7 Biofarm
0.017
8 Carbochim
0.002
9 Comelf
0.009
10 Compa
-0.216
11 Electroputere
0.035
12 Energopetrol
-0.027
13 Gr.ind.electr.
-0.007
14 Mecanica
-0.002
15 Mefin
-0.006
16 Oil
0.112
17 Oltchim
0.003
18 OMV
-0.045
19 Petrolexim
-0.038
20 Prodplast
21 Rompetrol Ref. 0.017
22 Rompetrol Well 0.024
23 SC Transilvania -0.012
24 SIF1 Bat Crisa -0.016
25 SIF4 Muntenia -0.007
-0.010
26 Sinteza
-0.014
27 Titan
28 Turbomecanica -0.051
29 UAMT Oradea -0.010
0.050
30 UCM Resita
-0.051
31 Voestalpine
0.384
32 Vrancart
-0.007
33 Zentiva
-0.061
34 Zimtub
Equation:
VPRICE_3IN
D_CROSS
Test cross-section fixed effects
Effects Test
VPRICE(-1)
Statistic
Cross-section F
Cross-section Chi-square
1.074
36.131
d.f.
Prob.
(33,105)
33
0.357
0.324
0.014
0.004
0.030
0.025
0.026
t-Statistic Prob.
1.815
2.056
6.816
13.272
-1.496
0.070
0.040
0.000
0.000
0.135
0.055
0.521
1.251
1.274
1.260
1.472
ANEXA 2
Rezultatele testului de verosimilitate al efectelor fixe pe companii
fr VPRICE(-1)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
FIRM
Effect
Aerostar
0.011413
Amonil
-0.027469
Antibiotice
0.005780
Armatura
-0.065210
Artrom
-0.011296
Azomures
0.042845
Biofarm
0.023055
Carbochim
0.009080
Comelf
0.005167
Compa
0.009520
Electroputere
-0.205253
Energopetrol
0.035388
Gr.ind.electr. Redundant
-0.023626Fixed Effects Tests
Equation:
VPRICE_3IND_CROSS
Mecanica
-0.004918
Test0.008037
cross-section fixed effects
Mefin
Oil
-0.003851
Effects
Test
Oltchim
0.101218
Statistic
d.f.
Prob.
OMV
0.003926
Cross-section
Petrolexim
-0.043689 F
0.888901 (33,1082)
0.6492
Cross-section
Prodplast
-0.030842 Chi-square
29.932890
33
0.6206
Rompetrol Ref. 0.021793
Rompetrol WellCross-section
0.022486 fixed effects test equation:
SC TransilvaniaDependent
-0.011779Variable: VPRICE
Panel Least Squares
SIF1 Bat Crisa Method:
-0.014441
01/12/14 Time: 02:16
SIF4 Muntenia Date:
-0.005527
Sample
(adjusted): 2005Q1 2013Q2
Sinteza
-0.011274
Periods
included: 34
Titan
-0.013037
TurbomecanicaCross-sections
-0.045442 included: 34
panel (unbalanced) observations: 1119
UAMT Oradea Total
-0.009744
UCM Resita
0.045821
Variable
Voestalpine
-0.050826
Coefficient Std. Error
t-Statistic
Prob.
Vrancart
0.329106
C
Zentiva
-0.005413
0.018885 0.013457 1.403373
0.1608
VBETA
Zimtub
-0.055275
0.008068 0.003720 2.169131
0.0303
VMKT_CAP
0.208388 0.030090
Effect
Redundant 6.925449
Fixed Effects 0.0000
Tests
TIME
VMBR
0.333164 0.024466
13.61765
0.0000
Equation: Untitled
1 2005-06-30 0.394399
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
2005-09-30
2005-12-30
2006-03-31
2006-06-30
2006-09-29
2006-12-29
2007-03-30
2007-06-29
2007-09-28
2007-12-31
2008-03-31
2008-06-30
2008-09-30
2008-12-31
2009-03-31
2009-06-30
2009-09-30
2009-12-31
2010-03-31
2010-06-30
2010-09-30
2010-12-31
2011-03-31
2011-06-30
2011-09-30
2011-12-30
2012-03-30
2012-06-30
2012-09-30
2012-12-30
2013-03-30
2013-06-30
0.162601
R-squared
-0.030011
Adjusted R-squared
-0.043305
S.E. of regression
-0.012897
Sum
squared resid
0.136907
Log
likelihood
0.057240
F-statistic
-1.45E-05
Prob(F-statistic)
0.212523
-0.061648
-0.088416
-0.025469
-0.140189
-0.263815
-0.173954
0.264163
0.006694
0.015856
-0.021411
-0.033459
-0.060158
-0.031235
-0.077009
0.079976
-0.074739
-0.071614
0.079831
-0.128507
0.004365
-0.051455
0.047653
-0.038378
-0.017988
0.256346
0.254345
0.446712
222.4997
-684.0515
128.1177
0.000000
ANEXA 3
Rezultatele
testului de
verosimilitate
al efectelor
fixe pe
trimestrele de
analiz
cu VPRICE(1)
Statistic
2.502638
79.896734
d.f.
Prob.
(32,1049)
32
0.0000
0.0000
Coefficient
Std. Error
t-Statistic
Prob.
C
VBETA
VMKT_CAP
VMBR
VPRICE(-1)
0.025189
0.007960
0.207508
0.329512
-0.039111
0.013877
0.003871
0.030446
0.024828
0.026136
1.815143
2.056004
6.815528
13.27166
-1.496423
0.0698
0.0400
0.0000
0.0000
0.1348
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.253739
0.250977
0.451209
220.0804
-674.1960
91.88865
0.000000
0.055267
0.521351
1.250821
1.273797
1.259519
1.472382
ANEXA 4
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
TIME
Effect
TIME
Effect
2005-03-31 -0.153468
1 2005-06-30 0.386121
Rezultatele
testului de verosimilitate al
2005-06-30 0.411530
2 2005-09-30 0.169231
efectelor
fixe
pe trimestrele de analiz
3
2005-12-30
-0.030614
Redundant
Fixed
Effects
Tests
2005-09-30 0.145549
4 2006-03-31 -0.042797
Equation: Untitled fr
2005-12-30 -0.036640
VPRICE(-1)
5 2006-06-30 -0.014953
Test period fixed effects
2006-03-31 -0.043284
6 2006-09-29 0.134988
2006-06-30 -0.004982
7 Statistic
2006-12-29 0.064009
Effects Test
2006-09-29 0.140952
d.f.
Prob.
8
2007-03-30 0.000728
2006-12-29 0.048906
ANEXA 5
9 2.545539
2007-06-29
0.211999 0.0000
Period F
2007-03-30 0.001907
(33,1082)
Rezultatele 10
2007-09-28 -0.054678
Period Chi-square
2007-06-29 0.206533
83.667974
33
0.0000testului de verosimilitate al
11 2007-12-31 -0.091667
2007-09-28 -0.073029
efectelor
fixe pe companii i pe trimestre
Period fixed effects test equation: 12 2008-03-31 -0.030475
2007-12-31 -0.076971
cu
VPRICE(-1)
13 2008-06-30 -0.140788
Dependent Variable: VPRICE
2008-03-31 -0.011777
14 2008-09-30 -0.268798
Method: Panel Least Squares
2008-06-30 -0.133317
15 2008-12-31 -0.180234
Date: 01/12/14 Time: 03:02
2008-09-30 -0.242930
16 2009-03-31 0.254560
Sample (adjusted):
2005Q1 2013Q2
2008-12-31
-0.145574
FIRM
Effect
17 2009-06-30 0.016098
Periods0.013184
included: 34
2009-03-31
1
Aerostar 0.279996
18 2009-09-30 0.013440
Cross-sections
included: 34
2009-06-30
2
Amonil -0.012071
-0.033147
19 2009-12-31
-0.022368
Total panel
(unbalanced) observations:
1119
2009-09-30
3
Antibiotice0.020297
-0.001245
20 2010-03-31 -0.034740
2009-12-31
4
Armatura -0.016855
-0.090746
2010-06-30
-0.063121 Prob.
Variable
2010-03-31
Coefficient 21Std.
Error
t-Statistic
5
Artrom -0.030175
-0.009764
22 2010-09-30 -0.034422
2010-06-30
6
Azomures-0.050426
0.055475
2010-12-31
-0.081448 0.1608
C
2010-09-30
0.018885 230.013457
1.403373
7
Biofarm -0.022411
0.025488
2011-03-312.169131
0.077483 0.0303
VBETA
2010-12-31
-0.070962
0.008068 240.003720
8
Carbochim
0.017009
2011-06-306.925449
-0.073900 0.0000
VMKT_CAP
2011-03-31
0.208388 250.030090
9
Comelf 0.081831
0.001353
2011-09-3013.61765
-0.075207 0.0000
VMBR
2011-06-30
0.333164 260.024466
10
Compa -0.074348
0.010027
27 2011-12-30 0.073831
2011-09-30 -0.060582
R-squared
2012-03-30
-0.125643
2011-12-30 0.088960
0.256346 28Mean
dependent
var 0.047597
Adjusted R-squared
2012-06-30
2012-03-30 -0.129095
0.254345 29S.D.
dependent-0.003051
var
0.517319
S.E. of regression
2012-09-30
-0.055683
2012-06-30 0.016777
0.446712 30Akaike
info criterion
1.229761
Sum squared resid
2012-12-30
0.053447
2012-09-30 -0.047600
222.4997 31Schwarz
criterion
1.247707
Log likelihood
2013-03-30 -0.023744
2012-12-30 0.055523
-684.0515 32Hannan-Quinn
criter. 1.236545
F-statistic
2013-06-30 -0.007602
2013-03-30 -0.039307
128.1177 33Durbin-Watson
stat
2.254818
Prob(F-statistic)
2013-06-30 -0.009385
0.000000
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
Electroputere
Energopetrol
Gr.ind.electr.
Mecanica
Mefin
Oil
Oltchim
OMV
Petrolexim
Prodplast
Rompetrol Ref.
Rompetrol Well
SC Transilvania
SIF1 Bat Crisa
SIF4 Muntenia
Sinteza
Titan
Turbomecanica
UAMT Oradea
UCM Resita
Voestalpine
Vrancart
Zentiva
Zimtub
-0.189475
0.034949
-0.030852
0.007267
-0.003796
-0.008918
0.110547
0.000432
-0.050716
-0.040904
0.032074
0.025800
-0.003546
-0.016058
-0.011115
-0.006396
-0.020100
-0.056567
-0.011966
0.056349
-0.050216
0.386526
-0.009465
-0.066547
Statistic
Cross-section F
Cross-section Chi-square
Period F
Period Chi-square
Cross-Section/Period F
Cross-Section/Period Chi-square
d.f.
Prob.
1.094053 (33,1016)
37.921351
33
2.480295 (32,1016)
81.687138
32
1.791156 (65,1016)
117.818085
65
0.3293
0.2549
0.0000
0.0000
0.0002
0.0001
Coefficient
C
VBETA
VMKT_CAP
VMBR
VPRICE(-1)
0.025189
0.007960
0.207508
0.329512
-0.039111
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.253739
0.250977
0.451209
220.0804
-674.1960
91.88865
0.000000
Std. Error
t-Statistic
0.013877 1.815143
0.003871 2.056004
0.030446 6.815528
0.024828 13.27166
0.026136 -1.496423
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
Prob.
0.0698
0.0400
0.0000
0.0000
0.1348
0.055267
0.521351
1.250821
1.273797
1.259519
1.472382
ANEXA 6
Rezultatele testului de verosimilitate al efectelor fixe pe companii i pe trimestre
fr VPRICE(-1)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
TIME
Effect
FIRM
Effect -0.151785
1 2005-03-31
Aerostar 2 2005-06-30
0.0106020.409583
Amonil 3 2005-09-30
-0.0299850.143074
Antibiotice4 2005-12-30
0.002397
-0.041121
Armatura 5 2006-03-31
-0.064185
-0.044232
Artrom 6 2006-06-30
-0.011296
-0.005448
Azomures7 2006-09-29
0.0450430.139045
Biofarm 8 2006-12-29
0.0226580.049733
Carbochim9 2007-03-30
0.0084240.001428
Comelf 10 2007-06-29
0.0047600.202360
Compa 11 2007-09-28
0.010225
-0.073071
Electroputere
-0.181054
12 2007-12-31
-0.077144
Energopetrol
0.035403
13 2008-03-31
-0.012525
Gr.ind.electr.
-0.026833
14 2008-06-30
-0.132882
Mecanica15 2008-09-30
0.005567
-0.240941
Mefin
0.006149
16 2008-12-31
-0.142125
Oil
-0.0065670.276168
17 2009-03-31
Oltchim 18 2009-06-30
0.098127
-0.013169
OMV
0.0011790.018100
19 2009-09-30
Petrolexim
-0.048637
20 2009-12-31
-0.017951
Prodplast21 2010-03-31
-0.032688
-0.031845
Rompetrol22Ref.
0.033013
2010-06-30
-0.051204
Rompetrol23Well
0.024210
2010-09-30
-0.023689
SC Transilvania
-0.003809
24 2010-12-31
-0.074331
SIF1 Bat 25
Crisa2011-03-31
-0.0142650.078689
SIF4 Muntenia
-0.009038
26 2011-06-30
-0.075316
Sinteza 27 2011-09-30
-0.007929
-0.061368
Titan
-0.0185910.085668
28 2011-12-30
Turbomecanica
-0.049406
29 2012-03-30
-0.128988
UAMT Oradea
-0.0112440.013218
30 2012-06-30
UCM Resita
0.051400
31 2012-09-30
-0.051329
Voestalpine
-0.0495230.061518
32 2012-12-30
Vrancart 33 2013-03-30
0.328244
-0.028991
Zentiva 34 2013-06-30
-0.0070010.000871
Zimtub
-0.058395
Statistic
d.f.
Prob.
0.885429 (33,1049)
30.742773
33
2.492705 (33,1049)
84.477857
33
1.711037 (66,1049)
114.410747
66
0.6548
0.5800
0.0000
0.0000
0.0005
0.0002
Variable
Coefficient
C
VBETA
VMKT_CAP
VMBR
0.018885
0.008068
0.208388
0.333164
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.256346
0.254345
0.446712
222.4997
-684.0515
128.1177
0.000000
Prob.
0.013457
0.003720
0.030090
0.024466
0.1608
0.0303
0.0000
0.0000
1.403373
2.169131
6.925449
13.61765
0.047597
0.517319
1.229761
1.247707
1.236545
2.254818