Влияние структурного капитала компании как компонента интеллектуального капитала на затраты на собственный капитал

av. r2 < - rowMeans (r2. r2mat)

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alha. panel < - coefmat. panel [,1]

market. panel < - coefmat. panel [, 2]

smb. panel < - coefmat. panel [, 3]

hml. panel < - coefmat. panel [, 4]

licmhic. panel < - coefmat. panel [, 5]

y. panel < - returns. panel [, 1]

eq. panel < - glm (y. panel ~ market. panel + smb. panel + hml. panel + licmhic. panel)

(eq. panel$coefficients+1) ^12-1

temp < - summary (eq. panel) $coef [, 1]

finreg. mat < - rbind (finreg. mat, temp)

temp < - summary (eq. panel) $coef [, 2]

finreg. mat < - rbind (finreg. mat, temp)

temp < - summary (eq. panel) $coef [, 3]

finreg. mat < - rbind (finreg. mat, temp)

temp < - summary (eq. panel) $coef [, 4]

finreg. mat < - rbind (finreg. mat, temp)

Программный код R для файлов с данными по России (8 портфелей).

start. obs < - 1

window < - 36 #set window size

step < - 1 #set srep size

file. length < - nrow (Data) - start. obs + 1 #get file length

num. rolls < - round ( (file. length-window) /step) #get number of rolls

premiums. mat < - matrix (ncol=5, nrow=0)

colnames (premiums. mat) < - c ("Intercept", "Market", "SMB", "HML", "LicMHic")

pvalues2. mat < - matrix (ncol=5, nrow=0)

colnames (pvalues2. mat) < - c ("Intercept", "Market", "SMB", "HML", "LicMHic")

intercept. coefmat < - matrix (ncol=0, nrow=8)

rownames (intercept. coefmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

market. coefmat < - matrix (ncol=0, nrow=8)

rownames (market. coefmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

smb. coefmat < - matrix (ncol=0, nrow=8)

rownames (smb. coefmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

hml. coefmat < - matrix (ncol=0, nrow=8)

rownames (hml. coefmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

licmhic. coefmat < - matrix (ncol=0, nrow=8)

rownames (licmhic. coefmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

intercept. tstatmat < - matrix (ncol=0, nrow=8)

rownames (intercept. tstatmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

market. tstatmat < - matrix (ncol=0, nrow=8)

rownames (market. tstatmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

smb. tstatmat < - matrix (ncol=0, nrow=8)

rownames (smb. tstatmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

hml. tstatmat < - matrix (ncol=0, nrow=8)

rownames (hml. tstatmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

licmhic. tstatmat < - matrix (ncol=0, nrow=8)

rownames (licmhic. tstatmat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

r2. r2mat < - matrix (ncol=0, nrow=8)

rownames (r2. r2mat) < - c ("LicHS", "LicHB", "LicLS", "LicLB", "HicHS", "HicHB", "HicLS", "HicLB")

finreg. mat < - matrix (ncol=5,nrow=0)

colnames (finreg. mat) < - c ("Intercept", "Market", "SMB", "HML", "LicMHic")

temp. mat < - matrix (ncol=5,nrow=1)

av. coef. mat < - matrix (nrow=0, ncol=5)

colnames (av. coef. mat) < - c ("Intercept", "Market", "SMB", "HML", "LicMHic")

################

coefmat. panel < - matrix (nrow=0, ncol=5)

colnames (coefmat. panel) < - c ("Intercept", "Market", "SMB", "HML", "LicMHic")

returns. panel < - matrix (nrow=0, ncol=1)

colnames (returns. panel) < - c ("Average Return")

for (i in 1: num. rolls) {

coefmat < - matrix (nrow=0, ncol=5)

colnames (coefmat) < - c ("Intercept","Market", "SMB", "HML", "LicMHic")

av. return. mat < - matrix (nrow=0, ncol=1)

tstat. mat < - matrix (nrow=0, ncol=5)

pvalues1. mat < - matrix (nrow=0, ncol=5)

r2. mat < - matrix (nrow=0, ncol=1)

first. obs < - start. obs + (i - 1) *step

last. obs < - first. obs + window - 1

subdata < - Data [first. obs: last. obs,]

#data. y < - Y [first. obs: last. obs,]

rp < - subdata$Rp

smb < - subdata$SMB

hml < - subdata$HML

licmhic < - subdata$LicMHic

for (j in 1: 27) {

p. return < - subdata [, j+1] - subdata$RF

eq1 < - lm (p. return ~ rp + smb + hml + licmhic)

coefs1 < - eq1$coefficients

coefmat <-rbind (coefmat, coefs1)

pvalues1 < - summary (eq1) $coef [,4]

pvalues1. mat < - rbind (pvalues1. mat, pvalues1)

av. return. mat < - rbind (av. return. mat, mean (p. return))

tstat1 < - summary (eq1) $coef [,4]

tstat. mat < - rbind (tstat. mat, tstat1)

r2 < - summary (eq1) $r. squared

r2. mat < - rbind (r2. mat, r2)

coefmat. panel < - rbind (coefmat. panel, coefs1)

returns. panel < - rbind (returns. panel, mean (p. return))

}

rownames (coefmat) < - c ("LicHS", "LicHM", "LicHB", "LicMS", "LicMM", "LicMB", "LicLS", "LicLM", "LicLB", "MicHS", "MicHM", "MicHB", "MicMS", "MicMM", "MicMB", "MicLS", "MicLM", "MicLB", "HicHS", "HicHM", "HicHB", "HicMS", "HicMM", "HicMB", "HicLS", "HicLM", "HicLB")

rownames (pvalues1. mat) < - c ("LicHS", "LicHM", "LicHB", "LicMS", "LicMM", "LicMB", "LicLS", "LicLM", "LicLB", "MicHS", "MicHM", "MicHB", "MicMS", "MicMM", "MicMB", "MicLS", "MicLM", "MicLB", "HicHS", "HicHM", "HicHB", "HicMS", "HicMM", "HicMB", "HicLS", "HicLM", "HicLB")

intercept. coefmat < - cbind (intercept. coefmat, coefmat [,1])

market. coefmat < - cbind (market. coefmat, coefmat [,2])

smb. coefmat < - cbind (smb. coefmat, coefmat [,3])

hml. coefmat < - cbind (hml. coefmat, coefmat [,4])

licmhic. coefmat < - cbind (licmhic. coefmat, coefmat [,5])

intercept. tstatmat< - cbind (intercept. tstatmat, tstat. mat [,1])

market. tstatmat < - cbind (market. tstatmat, tstat. mat [,2])

smb. tstatmat < - cbind (smb. tstatmat, tstat. mat [,3])

hml. tstatmat < - cbind (hml. tstatmat, tstat. mat [,4])

licmhic. tstatmat < - cbind (licmhic. tstatmat, tstat. mat [,5])

r2. r2mat < - cbind (r2. r2mat, r2. mat)

av. return < - av. return. mat [,1]

rp. beta < - coefmat [, 2]

smb. beta < - coefmat [, 3]

hml. beta < - coefmat [, 4]

licmhic. beta < - coefmat [, 5]

eq3 < - lm (av. return ~ rp. beta + smb. beta + hml. beta + licmhic. beta)

premiums < - eq3$coefficients

premiums. mat < - rbind (premiums. mat, premiums)

pvalues2 < - summary (eq3) $coef [,4]

pvalues2. mat < - rbind (pvalues2. mat, pvalues2)

}

rownames (premiums. mat) < - c (1: num. rolls)

rownames (pvalues2. mat) < - c (1: num. rolls)

av. premiums < - colMeans (premiums. mat)

tstat. premium < - cbind (t. test (premiums. mat [, 2]) $statistic, t. test (premiums. mat [, 3]) $statistic,

t. test (premiums. mat [, 4]) $statistic, t. test (premiums. mat [, 5]) $statistic)

colnames (tstat. premium) < - c ("Market", "SMB", "HML", "LicMHic")

av. betas < - cbind (rowMeans (market. coefmat), rowMeans (smb. coefmat), rowMeans (hml. coefmat), rowMeans (licmhic. coefmat))

colnames (av. betas) < - c ("Market", "SMB", "HML", "LicMHic")

av. tstats < - cbind (rowMeans (market. tstatmat), rowMeans (smb. tstatmat), rowMeans (hml. tstatmat), rowMeans (licmhic. tstatmat))

colnames (av. tstats) < - c ("Market", "SMB", "HML", "LicMHic")

av. r2 < - rowMeans (r2. r2mat)

##########################################################

alha. panel < - coefmat. panel [,1]

market. panel < - coefmat. panel [, 2]

smb. panel < - coefmat. panel [, 3]

hml. panel < - coefmat. panel [, 4]

licmhic. panel < - coefmat. panel [, 5]

y. panel < - returns. panel [, 1]

eq. panel < - glm (y. panel ~ market. panel + smb. panel + hml. panel + licmhic. panel)

(eq. panel$coefficients+1) ^12-1

temp < - summary (eq. panel) $coef [, 1]

finreg. mat < - rbind (finreg. mat, temp)

temp < - summary (eq. panel) $coef [, 2]

finreg. mat < - rbind (finreg. mat, temp)

temp < - summary (eq. panel) $coef [, 3]

finreg. mat < - rbind (finreg. mat, temp)

temp < - summary (eq. panel) $coef [, 4]

finreg. mat < - rbind (finreg. mat, temp)

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