TAI CHINH DOANH NGHIEP CS& 01 (162)-2017^
U'ng dung mo hinh kinh tl lirotig trong nghien cihi co* cau nguon vdn cua cac doanh nghiep nganh xay dmig niem yet tren thj truong chung khoan o* Viet Nam
Cu Thu Thuy', Dang Phuong MaiS Tnrcmg Thi Anh Dao^*
TOM TAT
V&i sd lieu thu thdp iir bdo cdo tdi chinh cua 29 doanh n^hipp ngdnh x&y dung niem yet tren thi trudng chirng khodn & Viet Nam, bdi viit sir dung phdn mem Stata tron^ phdn tich dir lieu bdng di xdy dung vd kiim dinh mo hinh cdc nhdn tS dnh hu&ng din cff cau ngudn von cua cdc DN. Cdc kit ludn rut ra tir bdi nghiin cCru se Id nhirng ggiy huu ich trong qud trinh hodn thi$n off cau ngudn vdn cua cdc DN ngdnh xdy dung & Viet Nam.
• Tir khoa: md hinh kinh te luffng; cff cdu nguon von; doanh nghiip niem yet
ABSTRACT
This paper developed a regression model to test factors that affect the corporate capital structure.
The Stata software was used to analyze panel data collected from the financial statements of 29 construction enterprises listed on Vietnam stock exchanges. The conclusions drawn from the study would he useful for Vietnamese construction enterprises in optimizing their capital structure.
• Keywords: quantitative modeling, capital structure, listed companies. ~^
Nghien cifu tac ddng ciia cac nhan id ben trong va ben ngoai doanh nghiep den ca cdu ngudn vdn ciia DN cd y nghTa quan trgng trong hoach dinh chinh sach tai trg ciia DN, Viec ddnh gia chicu hudng va mirc do tac ddng ciia cac nhdn td den ca cau ngudn \dn la can cir giiip DN hoach dmh ca cau ngudn vdn dam bao muc lieu ldi da hoa gia tri DN
Clio den nay. cac nghien cuu dmh lugng danh gia lac ddng ciia cac nhiin id den ca cdu nguon
\dn da duac thuc hien kha phd bicn cho cac DN trong timg qudc gia hay cho cac DN trong tirng nganh cu the Trong pham vi bai
\iet. nhdm lac gia sir dung phan mem Stata lam cdng cu phan lich
• Hgc vien Tdi chinb
•' TS, P. Bp mon Kinh li lifo-ng.
va kiem djnh md hinh hdi quy dif lieu bang danh gia tac ddng ciia cac nhan td den co cdu nguon vdn ciia DN xay dung niem yet tren thi trudng chimg khodn d Viet Nam.
\. Ccr sd ly thuyet ve co eau nguon vdn
Ly Ihuyet ve co cau ngudn vdn ciia Modigliani va Merlon Miller (M&M) dugc coi la nghien cim md dau cho nhifng nghien cim K' thuyet ve CO cau ngudn vdn sau nay, Trong nghien cuu ddu tien vao nam 1958. M&M cho ring ca cau ngudn \dn khdng tac ddng den gia in doanh nghiep tren ca sd nhung gia dinh khdng cd thue thu nhap DN. ihi trudng hoan hao. bd qua chi phi pha san. bat can xirng thdng lin va chi phi dai
dien. Tiep theo trong nghien cim vao nam 1963, sau khi tfnh den lac dgng ciia thue trong md hinh, ly thuyet M&M chi ra rdng viec gia tang sir dung ng se Idm gia tang gia trj DN. Ket qua nghien ctfu ciia M&M da gay ra nhieu tranh cai do nhifng gid dinh dua ra la khdng thuc te. Vi vdy, sau M&M nhieu ly thuyet ve ca cdu ngudn vdn dugc phdt trien tren CO sd luac bd bdt cac gia ihuyel ma ly thujet na\' dat ra Ly thuyet danh ddi (The static tradeoff the- orv'l dua them gia dinh \ e chi phi khanh kiet tai chinh phat sinh khi na vay gia tang. Theo I\' ihuyet danh ddi, ca cau ngudn vdn toi uu dat dugc khi tdi thieu hoa cbi phi sir dung \dn. tdi thi^u hod rill ro \'a tdi da hoa gia in DN.
- Gidng vien Khoa TCDN;' Ths, Phd tru&ng Ban Td chdc can hd
&^/ Tap chi nghien cCifu Tai chinh ke toan
(jd'Ol (162) • 2017^ TAI CHINH DOANH NGHIEP
Ly thuy6t trat t\r phan h^ng (Tlie peckmg order theory) dua them gia thiet bdt cdn xiing thdng tin vd ^idi thich quySt djnh ca cau ngudn von khdng lien quan d6n ca cdu ngudn vdn tdi uu ma phu thudc chu yeu vdo trat t^r uu tien ede ngudn vdn. Ly thuyet dinh diem thj trudng (Market timing theory) cho rang su khac biet giii'a gid tri thi trudng va gia tri ndi tai ciia DN chinh la yeu td quyet dinh ca cdu ngudn von.
Theo do, cac nha qudn ly se quan sat thj trudng vd chi phdt hdnh cd phieu khi tin rang gia cd phieu cua hg dugc dinh gia cao ban bdi cac nhd ddu tu.
Su ra ddi cua cdc ly thuyet ve CO cau ngudn vdn tren day la CO sd de phat trien hang loat cdc nghien cim thuc nghiem ve co cau ngudn vdn tai hau khap cac qudc gia tren ihe gidi cung nhu trong cac nhdm DN boat ddng trong nhifng ITnh vuc d timg nudc. Nghien cuu thuc nghiem ve CO cau ngudn vdn lap trung giai quyel hai van de: (1) Danh gia cac nhdn td tac ddng den co cau ngudn vdn ciia cac DN; (2) Danh gia tdc ddng ciia ca cdu ngudn vdn den gia trj ciia DN hay hieu qua hoal ddng kinh doanh. Ket qua ciia cac nghien ciiu da giai thich dugc cdc yeu td quyet dmh den viec sir dung ng cua DN cung nhu dua ra khuyen nglu ddi vdi cac DN trong viec ihirc hicn chfnh sach tai tig,
2. Xay dung md hinh kinh to luong
2.1. Dir lieu nghiin cuu Dir lieu sir dung trong md hinh nghien ciru duac thu thap
\ a xu h' til' cac bao cao lai chinh da duoc kicm loan va cac lai lieu khac cua 29 DN xay dung niem
\ct ircn san chirng khoan d Viet Nam lil nam 2009 - 2015. Du
li€u Id d ^ g bang can bdng vdi 203 quan sat
2.2. Chgn Ipc cdc biSn cho mo Mnh
Dua trfin co sd ly thuyet v8 ca cau nguon vdn, bdi viet lira chgn cdc bien la:
Bien phu thudc la chi tieu he sd ng (LEV) dugc tfnh bdng tdng ng phdi tra tren tdng ngudn vdn vd he sd ng ddi ban (LLEV) tinh theo gid tri sd sach dugc xdc dinh bang tdng ng dai han tren tdng ngudn vdn.
Bien ddc lap the hien cdc nhan td ben trong doanh nghiep gdm: (1) Quy md doanh nghiep (LSIZETA) dugc do bang bam logarit ciia chi tieu tdng tdi san, (2) Hieu qua boat ddng kinh doanh (BEP) dugc tinh bang khd nang sinh Idi vd dugc do ludng bang chi lieu ty suat sinh Idi kinh le ciia tdi san (BEP), (3) Mtic do tang trudng (GROWTTL) dugc do ludng thdng qua tdc do tang tdi sdn hay doanh thu. (4) Co cdu tdi san (TANG) duge do ludng thdng qua chi lieu ti ie tdi sdn dai ban tren tdng tdi sdn. (5) Kha nang thanb loan (LIQUID) dugc xac dinh bang ly le tdi sdn ngdn ban tren ng ngan ban. (6) Lgi ich ciia la chan thue tir khau hao (NDTS) dugc do bang khdu bao TSCD tren tdng lai san.
Bien ddc lap the hien cac nhan td ben ngoai doanh nghiep gdm: (1) Tdc do tang trudng ciia n§n kinh l6 (GDP), (2) Chi sd gia tieu diing (CPl). (3) Lai sudt vay vdn binh quan (INTEREST): Cbi lieu nay duac ihu thdp tir sd lieu lai suat qua dem lien ngan hang,
2.3. Md hinh nghiin cuu vd phuffng phdp u&c luffng
Nghien cuu se xdy dung md hinh hdi quy tuyen tinh cd dang nhu sau
LEV/LLEV,,=p,+p/^, + 8, Tron§ dd: LEV/LLEV, la chi tieu he sd ng/he so ng ddi h ^ cua DN i ndm t
F^^^ Id nhdn t6 thu k quan sat tai DN i ndm t
Bdi nghien cuu thuc hi?n xay dung md hinh theo cdc budc:
(I) Md td dii lieu vd kiem dinh dir lieu trudc khi phdn tich hdi quy nhdm nhdn dugc cac thdng sd thdng ke ca ban ve timg bien, mdi quan he giiia cdc bien, chieu tdc ddng cua cdc bien len he sd ng cua doanh nghiep. (2) Lua chgn phucmg phdp udc lugng va ki6m dinh md hinh. (3) Trinh bay ket qud udc lugng vd thdo ludn ket qud nghien cim.
Do sd lieu thu thdp vd dugc xur ly d dang bang can bang nen cd the lua chgn su dung mdt trong ba phuang phdp udc lugng md hinh Id: (1) Phuang phdp binb phuang nhd nhdt pooled (Pooled OLS); (2) Md hinh hdi quy tdc ddng cd dinh (FEM); (3) Md hinh bdi quy tdc ddng ngdu nhien (REM). Nghien cim sir dung phdn mem STATA Idm cdng cu phdn tfch vd kiem dinh md hinh hdi quy dif lieu bang.
3. Ket qua thuc nghidm tren mau so li^u nghien cihi
Trudc lien cdn tien hdnh kiem dinh tinh dimg ciia cac bien trong md hinh. Tren thuc le, de tranh hien tugng hdi quy gid mao, tat cd cac bien dugc xem xet trong md binh phai la cac bien dimg.
Bai Viet su dung tieu chuan Levin-Lin-Cbu (LLC,2002) de kiem tra tinh dimg ciia cac bien trong md hinb ddi vdi dtf lieu bang, Tir kel qua kiem dinh cd kcl luan rang cac bien dai dien ca cdu ngudn vdn va cac nhdn Id anh hudng den co cau ngudn vdn la cac chudi dims. Vice sir
Tap chi nghien cCfu Tai chinh ke toan <6
TAI CHINH DOANH NGHIEP Cs^Ol(162)-2017j dung cdc biln trong md hinh hdi
quy vdi dii lieu bdng la hoan toan chdp nhan.
Kit qua thdng ke md td cac bign cho thdy he sd ng trung binh cua cdc DN trong giai doan 2009-2015 la 0,71, tuy nhien ty sudt ndy tuang ddi khdc biet giOa cdc DN bi6n ddng tir 0,17 den 1,37. He sd ng ddi ban cua cdc DN nganh xdy dung Id khd nhd vdi muc trung binh 18%, cd bien dgng khd Idn giiia cac DN tir 0%
d6n 77% uong giai doan nghien cim. Thdng ke md td cdc bien nghien cuu cdn cung edp thdng lin bao gdm gid uj trung binh, gid iri tdi da, tdi thieu, do lech chuan
\a he sd bien thien ciia cac bien ddc lap trong md binh.
Kel qua tir ma trdn he sd tuong quan nhdn dugc trong 6 nhan id ben trong dugc dua vao md hinh. chi cd nhdn td quy md DN va kha nang tang trudng cd mdi quan he thudn chieu vdi he sd ng ciia DN. Tuong tu khi xem
\et mdi quan he giifa he sd ng dai han vdi cac bien ddc lap cd the thay hau bet cac bien ddc lap cd mdi quan be thuan chieu vdi he so ng dai ban ngoai trir bien lgi
ich thui til khdu hao. Cac bien dgc 1 ^ khdng cd h6 s6 tuong quan qua ldn (ldn hon 0,6). Gid tri he s6 VIF deu r^t t h ^ vi vaiy mo liinh khong bj anh hudng cua khuylt tat da cgng tuyln.
Ban ddu, xay dung md imh danh gia cac nhan to ben trong DN dnh hudng den h? so ng vd he sd ng ddi han cua cac DN nganh xay dung. Nghien cdu sir dung kiim dinh Hausman de lira chgn giua 2 md hinh REM vd FEM. Kiam dinh cho kit ludn vdi md hinh cac nhdn td tdc dgng din he sd ng vd ng ddi han ciia cdc DN nganh xdy dung thi REM la md hinh phii hgp han.
Tilp theo, su dung kiem dinh Breusch-Pagan d l lua chgn giifa md binh REM va md hinh OLS.
Kit qud cudi cimg thi REM Id md hinh phu hgp hon vd dugc lira chgn trong nghien cuu,
Thuc hien kiem djnh phu thudc cheo vdi md hinh REM, nghien cim sir dung kiem djnh Pasaran CD. Ket qua nhan dugc Id khdng cd bien tugng tuang quan cheo d md hinh cac nhan td tac ddng den he sd ng va he sd no dai han ciia cdc DN nganh
xfty (^ng. K^ qui udc luong hm m6 hinh vdi ba phuong phdp the hi$n trong bdng 1 vd bang 2.
Tiep ftec, nghiSn cuu dua th6m cdc bien nhfim ddnh gid cac nhdn t6 ben ngodi cua DN. Quy trinh thyc hi$n h6i quy dugc thyc hi^n tirong t^r nhu d phan tren.
Kit qua md hinh hdi quy REM id phil hgp. Tuy nhien, trong cd hai md hinh, anh hudng ba nhan to ben ngoai la toe do tdng trudng cua nln kinh tl, chi so gia tieu dimg va lai suat vay von binh qudn tdi he so ng vd be sd ng ddi ban ciia cac DN nganh xa^ dung diu khdng co y nghTa thdng ke (mirc y nghTa 5%) ung vdi mdu dif lieu ndy.
Thuc bien cdc budc hdi quy tuang tu, khi ddnh gia tdc dgng cua ca cau ngudn vdn tdi hieu qud boat dgng kinh doanh ciia DN (dai dien bdng chi tieu ROA) cho ket qud he sd ng cd mdi quan he ngugc chieu vdi ty suat Igi nhudn sau thue tren vdn kinh doanh. Dieu nay chi ra rang, cac DN trong mdu nghien cim duy tri be sd ng d muc cao thudng ed hieu qud boat dgng kinh doanb thap han vd ngugc lai.
g 2: Kel qua ir6c lirong m6 hinh cic ah&n to inh hiri den h | s o n ? dii han (LLEV)
li'aWef"'
ISIZL'U bep
ar,>-
,
: ( 1 ) Pooled OLS
0 IM — (0 0:23t -0 175 (0 167) 0 0212 (0 01441 i " i « 4 9 l
(2) Fixed EfTecis
0 0958-- (0 0463) 0213*
(0 125) 00130 (0 00816) 0 4 8 7 " * (0 0819) 0 IO'?"-
(3) Random EtTects
0 1 1 6 * "
(0 0341) 0 174 00139-
o ' ^ i i - -
M r w - "
S8/ Tap chi nghien ciiu Tai chinh ke toan
(jo01(162)-2017) TAI CHINH DOANH NGHIEP
4. Ket lu^n va m^t s6 ggd y doi vdi vi|c hodn tbifn cff c^u nguon v6n cua cac DN ngdnh xdy difng d Vi|t Nam
Tir kit qua nghi6n cihi mo hinh, cd Uil kit luan tdc ddng cua cdc nhdn t6 den h8 so ng vd h | sd ng ddi ban cOa cdc DN trong ngatA xdy dimg nhu sau:
Biln quy m6 DN (LSIZETA) cd mdi quan he cung chieu vdi he so ng va he so ng dai han. Dilu ndy cd nghTa cdc DN trong ngdnh xay dimg co quy md Idn cd xu hudng su dung nhieu ng hon cDng nhu cd mirc do sii dung ng ddi ban cao hem. Nguyen nhdn td do cdc DN quy md ldn thudng cd tinh minh bach cao hon, cd uy tin tdt ban tren thj trudng von vi vdy cd khd nang dl ddng tilp can ngudn tin dung ciia ngan hang cung nhu cdc khodn tin dung ciia nhd cung cdp. Hon nira, cdc DN cd quy md Idn la cac DN cd ty trgng tai sdn ddi ban khd cao, vi vdy de ddm bdo nguyen tdc tdi trg ve vdn cac DN ndy cdn cd ly trgng ng ddi ban d muc cao ban.
Bien khd nang thanh todn (LIQUID) ed quan bS ngugc chieu vdi he sd ng vd quan he ciing chieu vdi he sd ng dai ban.
Dieu nay cd nghTa cdc DN cd khd nang thanh toan eao thudng duy tri mgt lugng tdi sdn ngdn ban tuong ddi Idn, cd ngudn lire tdi trg ndi bg doi ddo nen gidm nhu cau vay ng.
Bien ca cdu tdi sdn (TANG) c6 mdi quan he ngugc chieu vdi he sd ng vd quan he ciing chieu vdi he sd ng dai ban, Dieu ndy dugc giai thich la do cdc DN cd ty trgng tai san dai ban Idn se cd nhieu lai san dam bao tdt hem de liep can vdi ngudn von vay dai ban. Hon nira, cac DN cdn cd ngudn vdn thudng xuyen dl dap img nhu cdu dau tu tdi sdn dai han, Vi vay, khi ngudn vdn
cht^ <sd hihj khdng du ddp ung nhu diu von ( ^ tu, DN can tdi trg bdng cdc ngu6n v6n vay ddi h ^ . Trong ca cdu ng cua cac DN ngdnh xdy d^ng, ng chilm dving cua nha cung c^p chilm mdt ty trgng kha ldn. NhiJng k h o ^ chiem dvmg nay chii ylu d\ra trSn uy tin ciia DN vd m6i quan he ciia DN vdi nhd cung c^p md khdng cdn cii* vao tai sdn dam bao. Ddy ciing chinh la 1^ do t?i sao cac DN xay dung cd ^ trgng tdi sdn ddi han d mdc thdp van cd khd ndng duy tri hf so ng d miic cao ban.
Bien khd nang tang trudng (GROWTH) CO mli quan h?
thuan chilu vdi hS sd ng vd h?
so ng ddi ban cd y nghia thong ke tucmg dng d mirc ^ nphia 5% vd 10%. Dieu ndy cho thdy khd nang tang trudng ciia cdc DN la mdt yeu td ho trg cho viec tilp c|in nguon vdn tir ben ngoai thdng qua vay ng ciia DN. Vi vay, cdc DN cd khd nang tang trudng cao thudng su dung ng vdi muc dg ldn ban.
Biln hieu qua boat dgng (BEP) cd moi quan he ngugc chi8u vdi he so ng. Ket ludn nay phil hgp vdi ly thuyet trat tg phan hang, cdc DN cd hieu qud boat dgng kinh doanh cao thudng tm tien diing ngudn ngi sinh de tdi trg nhu cdu vdn trudc khi sir dung ng vay. Tae ddng cua BEP ddi vdi be sd ng dai ban khdng cd y nghTa thdng ke.
Bien Igi ich cua Id chdn thue tir khdu hao (NDTS) khdng cd y nghTa thdng ke trong cd hai md hinh tren mdu sd lieu tren.
Tdm lai, ket qua nghien cihi cbi ra co cau ngudn vdn ciia cdc DN ngdnh xdy dung trong mau nghien cim cdn tdn tai nhieu bat cap bao gdm: He sd ng ciia cdc DN d mirc cao; Ng ngan han chiem ty trgng chii ylu trong tdng
ng; Chmh sach tai trg cua cdc DN cdn thilu an todn do nguSn von tiiudng xuyen d miic thdp, th§m chi cdn dm d mOt s6 DN; H^ s6 ng d miic cao cd tdc d$ng ti€u c\ic den hieu qua hoat dgng Icinh doanh cua DN. Cac DN can khdc phuc nhung ton tai neu tren nhdm lanh m ^ hoa tuih hinh tdi chmh vd dat myc tiSu gia tdng gid tri.
Doi vdi khd nang tai trg ng ciia DN. Nhihig DN cd quy md Idn, khd nang tdng trudng cao la cdc DN d l ddng cd thi tilp c ^ vdi nguon von vay. Khd nang vay ng dai ban ciia cdc DN phu thuOc vdo quy mo von kinh doanh, dong thdi cdn cti trSn t^
trgng tai san dai han va kha nang thanh todn cua cac DN.
Ket qua nghien ciiu ciing chi ra cac DN ngdnh xdy dung cdn ndng cao hieu qua hoat dgng kinh doanh thdng qua cac bien phdp tilt ki8m chi phi, sd dung hi?u qud vdn kinh doanh nhdm tich luy lgi nhuan dl Iai ddp iing nhu cdu von. Cdc DN cdn uu tien nguon von huy dgng tu chu sd hihi nham gia tang nang lire tu chu tdi chinh. Cdn than trgng trong viec sir dung ng do h? so ng cao Id mdt yeu to suy giam bieu qud hoat dgng kinh doanh./.
Tai lifu tham khao:
Booth LV. Aivazian V. Demirguc- Kunt A, Maksimovic V(2001). "Capi- tal structure in developing countries"
The Journal of Finance. Vol. LVI, Noi.pp.87-130.
Damadar N. Gujarati. "Basic Econometrics: McGraw-Hill", Fourth Edition, 2003-
John R Graham. Campbell R Har- vey (2001) "The theory and practice of corporate finance: evidence from the field", Journal of Financial Economics,
Volume 60. pages 187-243 Joshua Abor (2005). "The effect of capital structure on profitability an empirical analysis oflisted firms in Ghama" Journal of Risk Finance. Vol6 No 5, 2005 pp 438-445.
Lee C Adians. R. Carter Hill."Using Stala for Principles of Econometrics ".John Wiley & Sons. Inc;
2011
Tap chi nghien ctfu Tai chinh Ice toan <69)>
