上市公司尾部风险测度检验（基于风险调整收益率）部二

检验分组后三因子、五因子风险调整收益率

# 直接生成表格 
m1=numeric();m2=numeric();m3=numeric();m4=numeric();m5=numeric();m6=numeric()
for(o in 1:2){
  for(i in 1:5){
    m1[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"b",o),get)[[i]])}
  m1[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]])
  
  for(i in 1:5){
    m1[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"b",o),get)[[i]])$statistic[[1]]}
  m1[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]])$statistic[[1]]}

# 投资组合收益率经过CAPM模型回归的截距项
for(o in 1:2){
  for(i in 1:5){
    m2[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"d",o),get)[[i]])}
  m2[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]])
  
  for(i in 1:5){
    m2[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"d",o),get)[[i]])$statistic[[1]]}
  m2[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]])$statistic[[1]]}

#投资组合收益率经过FF3模型回归的截距项
for(o in 1:2){
  for(i in 1:5){
    m3[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"e",o),get)[[i]])}
  m3[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]])
  
  for(i in 1:5){
    m3[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"e",o),get)[[i]])$statistic[[1]]}
  m3[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]])$statistic[[1]]}

#投资组合收益率经过FF5模型回归的截距项
for(o in 1:2){
  for(i in 1:5){
    m4[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"g",o),get)[[i]])}
  m4[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]])
  
  for(i in 1:5){
    m4[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"g",o),get)[[i]])$statistic[[1]]}
  m4[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]])$statistic[[1]]}

mm1<-matrix(c(m1,m2,m3,m4),16,6,byrow=TRUE)
#经过规模细分的投资组合收益率经过FF5模型回归的截距项
for(o in 1:2){
  for(v in 1:5){
    for(l in 1:5){
      m5[l+(v-1)*5+(o-1)*60]=mean(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]])}}
  for(l in 1:5){
    m5[l+(v-1)*5+(o-1)*60+5]=mean(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]])}
  
  for(v in 1:5){
    for(l in 1:5){
      m5[l+(v-1)*5+(o-1)*60+30]=t.test(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]])$statistic[[1]]}}
  for(l in 1:5){
    m5[l+(v-1)*5+(o-1)*60+35]=t.test(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]])$statistic[[1]]}}

# 平均
for(o in 1:2){
  for(v in 1:5){
    m6[v+(o-1)*12]=mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean))}
  m6[v+(o-1)*12+1]=mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
                          apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean))
  
  for(v in 1:5){   
    m6[v+(o-1)*12+6]=t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean))$statistic[[1]]}
  m6[v+(o-1)*12+7]=t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
                            apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean))$statistic[[1]]}

mm2<-matrix(m6,4,6,byrow = TRUE)
mm3<-rbind(mm1,matrix(m5[1:30],5,6),mm2[1,],matrix(m5[31:60],5,6),mm2[2,],matrix(m5[61:90],5,6),mm2[3,],matrix(m5[91:120],5,6),mm2[4,])
write.csv(mm3,"E:/R/tail risk/table/mm.csv",row.names = FALSE)

# 计算出各值
# 尾部beta分组
for(o in 1:2){
  for(i in 1:5){
    print(mean(lapply(paste0("a",0:4,"b",o),get)[[i]]))}
  print(mean(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]]))}

for(o in 1:2){
  for(i in 1:5){
    print(t.test(lapply(paste0("a",0:4,"b",o),get)[[i]])$statistic[[1]])}
  print(t.test(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]])$statistic[[1]])}
# 差价分组1
for(o in 1:2){
  for(i in 1:5){
    print(mean(lapply(paste0("a",0:4,"c",o),get)[[i]]))}
  print(mean(lapply(paste0("a",0:4,"c",o),get)[[1]]-lapply(paste0("a",0:4,"c",o),get)[[5]]))}

for(o in 1:2){
  for(i in 1:5){
    print(t.test(lapply(paste0("a",0:4,"c",o),get)[[i]])$statistic[[1]])}
  print(t.test(lapply(paste0("a",0:4,"c",o),get)[[1]]-lapply(paste0("a",0:4,"c",o),get)[[5]])$statistic[[1]])}
# 差价分组2
for(o in 1:2){
  for(i in 1:5){
    print(mean(lapply(paste0("a",0:4,"d",o),get)[[i]]))}
  print(mean(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]]))}

for(o in 1:2){
  for(i in 1:5){
    print(t.test(lapply(paste0("a",0:4,"d",o),get)[[i]])$statistic[[1]])}
  print(t.test(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]])$statistic[[1]])}
# 差价分组3
for(o in 1:2){
  for(i in 1:5){
    print(mean(lapply(paste0("a",0:4,"e",o),get)[[i]]))}
  print(mean(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]]))}

for(o in 1:2){
  for(i in 1:5){
    print(t.test(lapply(paste0("a",0:4,"e",o),get)[[i]])$statistic[[1]])}
  print(t.test(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]])$statistic[[1]])}
# 差价分组4
for(o in 1:2){
  for(i in 1:5){
    print(mean(lapply(paste0("a",0:4,"g",o),get)[[i]]))}
  print(mean(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]]))}

for(o in 1:2){
  for(i in 1:5){
    print(t.test(lapply(paste0("a",0:4,"g",o),get)[[i]])$statistic[[1]])}
  print(t.test(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]])$statistic[[1]])}
# 差价分组5
for(o in 1:2){
  for(v in 1:5){
    for(l in 1:5){
      print(mean(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]]))}}
  for(l in 1:5){
    print(mean(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]]))}}

for(o in 1:2){
  for(v in 1:5){
    for(l in 1:5){
      print(t.test(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]])$statistic[[1]])}}
  for(l in 1:5){
    print(t.test(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]])$statistic[[1]])}}
# 平均
for(o in 1:2){
  for(v in 1:5){
    print(mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean)))}
  print(mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
               apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean)))}

for(o in 1:2){
  for(v in 1:5){
    print(t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean))$statistic[[1]])}
  print(t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
                 apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean))$statistic[[1]])}