PHAT TRIEW KINH TE • S6'269, Thang Ba nam 2013
XEP HANG TIN NHIEM DOANH NGHIEP NIEM YET TREN THI TRUONG CHUNG KHOAN
TAI VIET NAM: SU DUNG LI THUYET MO
v6 H6NG Dire* & NGUYDN DINH THIEN**
Xep hang tin nhiem ludn Id de tdi ndng bdng, gdy tranh cdi trong thdi gian ddi vd den nay vdn Id de tdi hdp ddn ddi v&i cdc td chirc tin dung vd cdc nhd qudn li kinh te. Hien nay, cdc ngdn hdng thucmg mgi trong nir&c deu cd he thong xep hang rieng. Tuy nhien, ket qud xep hang cd the dirge
"dieu chinh " theo y kien chu quan cua ngdn hdng thdng qua cdc chi tieu dinh tinh. Ben cgnh dd, cdc to chirc xep hgng quoc te nhu Moody's, Standard & Poor's hay Fitch deu bi quan, ddnh gid thdp cdc doanh nghiep VN vd cdng dugc dieu khien bdng cdc chi tieu dinh tinh. Trong khi dd, mgt doanh nghiep (DN) xep hgng A & VN vd & qude gia khdc khdng cd nghia Id cd su dn dinh tuarng ddng. Do do, nghien cuu ndy dua ra cdch tiep can m&i trong xep hgng tin nhiem DN thdng qua cdc chi tieu tdi chinh cda 643 DN niem yet tgi VN tren nen tdng li thuyet m&.
Tir khda: Li thuyet m&, logic m&, xep hgng tin nhiem.
1. Gidi thieu
Xep hang tin nhiem rat quan trpng doi vdi nha dau tu, ban quan tri eong ty, doi tae va eae ehii no ciia eong ty. Cong ty eo tinh hinh tai ehinh va trien trpng tang tmdng tot se eo mire tin nhiem eao. Qua do, eo dong se yen tam dau tu; ban quan tri eo nhirng ehien lupe hpp h de phat trien DN; doi tae tin eay trong hpp tae kinh doanh; va dupe ngan hang uu dai hon trong viee eap tin dung eho DN.
Trong khi do, ket qua xep hang tin nhiem eua cae to ehue Uong nude eon rat ban ehe (ca lupng va chat). Nguyen nhan la do eae to ehue tin dung ehua tao dupe su tin eay trong danh gia do eon nhieu yeu to djnh tinh. Ben eanh do, phuang phap va ket qua xep hang tin nhiem chua dupe eong bo rpng rai de ngudi su dung phan bien va tham khao.
Li thuySt md (Fuzzy logic) dupe nhSe den lan dau tien Uong nghien cuu tap md (Zadeh, 1965) tren
tap ehi Cong nghe thong tin vd dieu khien. Den nay, li thuyet md da dupe ung dung rpng rai d hau het
eac chuyen nganh kT thuat. Trong nhirng nam cuoi the ki 20, nghien eiru ung dung li thuyet md dang CAC CHiNH SACH VA TANG TRUPNG,
X1^ PHAT TRIEN KINH Tt B^N VONG GIAI OOAN 2011-2020
lan dan sang ITnh vue kinh te, tai ehinh - tien te va dat dupe nhirng ket qua rat dang quan tam.
Tai VN, nghien cuu ung dung li thuyet md eon rat ban che, dac biet la trong ITnh vue kinh te. Voi nhurng ung dung rpng rai va hieu qua eua li thuyet md tren the gidi, tac gia de xuat xay dung mo hinh xep hang tin nhiem su dung li thuyet md de giai quyet mpt so van de: (i) Dua ra bp tieu ehi xSp hang;
(ii) de xuat phuang phap danh gia dinh lupng dua tren toan hpc va xae suat thong ke; va (iii) phan loai
"sue khoe tai ehinh" va trien vpng eua DN.
Nghien eiiu thue hien khao nghiem, danh gia dii lieu tai ehinh eua toan bp eong ty dang niem yet ehinh thue d thj tmdng ehiing khoan VN (trir to chuc tin dung). So lupng eong ty eo day dii dii lieu can xem xet trong nam 2011 la 643 eong ty. Thong qua khao lupc li thuyet, nghien cuu da chpn Ipc 34 ehi so tai chinh lam tieu chinh xep hang. Va cuoi eung, thang bang xep bang tin nhiem dupe de xuat nhim phan loai chat lupng eua hang hoa tren thi trudng ehiing khoan VN.
•TS., Tnrang Dai hgc tvl& TP.HCI\A & D^i /ipc Edith Cowan, Australia
"ThS., Trudmg D^i hgc Ma TP.HCM
Email: [email protected], [email protected]
PHAT TRIEN KINH TE So 269, Thing Ba ngm 2Q13|
2. Cd sd II thuyet
2.1. Xep hgng tin nhiem
Xep hang tin nhiem (Credit rating) xuat hien tir the ki tmoe tai My do nhu eiu danh gia tin nhiem eiia eae DN nganh duong sSt. Theo dinh nghTa eiia 3 t6 ehiie xSp hang uy tin tren thi gioi (Fiteh's, Moody's va Standard & Poor's), xip hang tin nhiem la danh gia nii ro tin dung trong tuong lai dua Uen nhiing yeu to hien tai eua to ehiic doi vdi mot nghTa vu tai ehinh eu the. Hay noi each khae, xip hang tin dyng dugre eoi nhu la ehi bao vl do an toan khi d4u m vao eae giay td eo gia cua tl ehiie. Miie xep hang tin dung eho thay kha nang ehi tra ng vay eua tl chirc duge xep hang.
Cae phuong phap danh gia xep hang hien nay eua eac to ehiie uy tin diu dua Uen 2 nhom: ehi tieu dinh lugng va dinh tinh. Chi tieu dinh lugng thudng la eae ti so tai ehinh trong phan tich bao eao tai chinh.
Chi tieu dinh tinh la eae yeu to ve moi trudng kinh doanh, he thing phap luat, kha nang lanh dao, Uiln vgng tang tmdng eua DN.
Do do, xep hang tin nhiem la danh gia tong quan ve miic do nii ro khi dau Ur vao mgt to chire bang each phan tich, tong hgp eac yeu to tae dgng ben Uong va ben ngoai den trien vgng boat dgng san xuat kinh doanh eiia eong ty. Yeu to ben ngoai la eae yeu tl kho eo thi dinh lugng nhu: ehinh Ui, nganh nghe kinh doanh, moi tnrong kinli tl vT mo v.v.. Yeu to ben Uong bao gim ylu to ve tai ehinh va phi tai chinh. YIU tl tai ehinh bao ham eae ehi tieu tai chinh dugc tinh toan thong qua eae bao eao tai ehinh. Trong pham vi nghien eiiu nay, xep hang tin nhiem hay xep hang la ten ggi ehung de tiep can van dl. 2.2. Li thuyet mif Li thuyit md hay logic md la he thong logic md rpng dua tren logic dai so co dien va dugc mo ta bang ham thanh vien. Chinh nhd ham thanh vien da giiip eho trang thai eiia phan tir lien tuc, qua do danh gia phSn tir chinh xac hon. Tap md dugc su dung de mo ta tap hgp ma thanh vien thupe ve. Va ham thanh vien duge dung de the hien miie do pbu thugc eua thanh vien doi vdi mgt tap hgrp. Vi vay, logic md se giup mo ta mpt each tot hon nhirng khai niem khong
ehinh xac, khong ro rang nhu "khoang", "hinh nhu",
"gan nhu", "co the" hoac la mgt khoang gia tri.
Tap md (Fuzzy set) la mpt tap hpp ma moi phin tu eo ban x duge gan them mpt gia Ui thue p(x) Uong khoang gia Ui [0;1] dl chi dp phu thupe cua phan tii do Uong tap hgp (Nguyen Nhu Phong, 2005).
Ham thanh vien (Membership funehon) la ham giup danh gia dugc miic dp thanh vien (Membership degree) trong tap hgp. Miie dp thanh vien eua phan tii la gia tri Uong khoang [0;1] tuy vao tinh chit eua phan tu do (Nguyen Nhu Phong, 2005). Sau day la each bieu dien thudng gap eua logic md:
A={(x,fiA(x))\xBX}
Trong do:
x: Phan tu thupe tap X.
A: Ham thanh vien.
pA(x): Miie dp thanh vien eiia x.
Cae ham thanh vien thudng gap la:
Hdm lien tuc don dieu tdng/gidm ROE (%) 0 3 12 16 22 3?
Hinh 1. Dd thj bieu diln ham thanh vien ve mu'c dp
"tdt" cua ROE Nguon: Nghien ciru ciia tac gia
Hinh 1 bilu dien ham thanh vien cua ROE ve mue dp "tot". Vdi ham thanh vien trong tmdng hgp nay, nlu ROE < 3% thi eong ty do co gia tri ham thanh vien la 0. Dieu nay eo nghTa cong ty nay co mire ROE khong thupe trong tap hpp "tot". Ngugc lai, neu gia tri ham thanh vien la 1 thi ROE cua eong ty nay thupe tap hgp "tot". ROE eang eao se nhan dugc dilm thanh vien cang cao, cho thay mue dp
"tit" eua ehi tieu nay eang ro ret. Khi ROE > 22% cAc CHiNH sAcH vA TANG TRUONG. •
PHATTRISN KINH TEBfeNVONG GIAI OOAN 2011-2020 |
jraV, PHAT TRIEN KINH TE
thi mtrc dp thanh vien la 1, nic la d muc dp nay cong ty c6 miic sinh ldi "tot" va co miic diem myet doi.
Hdm lien tuc dgng phdn phdi xde sudt Hinh 2 bieu diln ham thanh vien ve miie dp "tot"
eiia CO eau von. Doi vdi ham thanh vien trong tmdng hop nay gia trj "tit nhit" ehi ton tai d mpt diem duy nhat - diem nhpn cua ham thanh vien. Gia tri ham thanh vien trong tmdng hpp nay cung thupe khoang [0;1] , gia tri 0 the bien eho phan tit khong thupe tap "tot" va gia tri 1 la phan tii thupe tap "tot"
eua eo eau von.
Hinh 2. Dd thj bieu dien ham thanh vien ve mu'c dd
"tdt" cua cd cau vdn Nguon: Nghien cuu cua tac gia
Vdi hai each bieu dien nhu tren, li thuyet md dang md ra each ung dung trong tinh toan diem so eac chi tieu tai chinh. Ham thanh vien bieu dien nhu Hinh 1 dai dien rat tot eho ehi tieu co tinh chat "eang Idn cang tot". Va ddi vdi eae ehi tieu eo tinh chat
"tinh toan tdi uu" thi each bieu dien nhu Hinh 2 la phu hpp. Khi do, diem nhpn se la diem dai dien gia trj toi uu.
2.3. Mgt sd nghien ciru trw&c Vlaehos, D. & Tolias, Y. A. (2003) da bao cao nghien euu tai hpi nghj Van tni hpc (Operational Research) tai Balkan ve ung dung logic md trong dp bao pha san. Nham muc dich so sanh ket qua vdi mo hinh eua Altman, nghien eiru ehi xem xet 5 ehi so tai ehinh ma Altman da dua ra trude do. Dir lieu bao gom 129 eong ty xem xet giai doan 1975 - 1982, trong do eo 65 eong ty pha san. Dii lieu su dung de dp bao la bao cao tai chinh nam cuoi cimg trude khi
eong ty myen bo pha san. Kit qua thu dupe ngoai su mong dori eua cac tac gia khi du bao chinh xae 100%, tit hon bin so vdi eac mo hinh djnh lupng (ehi dat 85%). Mae du, nghien eiiu ehpn lua Uen eae eong ty da pha san, nen su ngau nhien khach quan Uong danh gia chua tuyet doi. Tuy nhien, ket qua cung cho thiy nbirng uu diem vupt Upi eua logic ma.
Malagoli, S. & cpng su (2007) da xep hang va danh gia tin nhiem tai eong ty phan phoi gas Camuzzi eua Y su dung y kiln chuyen gia kit hpp logic md. Tae gia da dung menh de hop thanh
"neu... thi...." de tong hop diem va danh gia tin nhiem dua Uen ea tieu ehi djnh tinh va djnh lupng.
Vdi 21 ehi heu dau vao, nghien eiru da tong hpp lai thanh eae bien tmng gian thong qua eac luat md de ra ket qua. Bien gia tri DN se dupe giai md ra ket qua trong khoang [0;1] bieu hien cho "siie khoe tai chinh" eua DN. Tuy nghien cim chi tap Uung vao mpt eong ty eu the nhung mo hinh van eo the dung danh gia eho eae DN Uong cung nganh.
Tac gia Kheherem, F. va Bouri, A. (2009) da nghien cim va irng dung logic md trong viee ra quyet djnh mua ban ehirng khoan tai thi tmdng Tho NhT Ki vdi so lieu nghien cim tir nam 2001 - 2008.
Hai tae gia tinh toan ti le thanh eong len den 93,26%
khi su dung phuomg phap nay de lua chpn mua ban CO phieu.
Yildiz, B. va Akkoe, S. (2010) da thuc hi?n nghien cuu dp bao pha san ngan hang su dung logic md, thuc nghiem d Tho NhT Ki. Cupc khung hoang tai ehinh toan eau da cuon di kha nhieu DN yeu kem. Do vay, danh gia "siie khoe tai ehinh" eong ty va nii ro pha san, dae biet he thong ngan hang trd nen cue ki can thiet. Nghien cim xem xet dii lieu 55 ngan hang, chpn Ipc 24 ehi tieu tir 36 ti so tai chinh, vdi miie y nghTa thong ke la 5%. Thue nghiem so sanh dua Uen 2 phuang phap: (i) Mo hinh hoi quy tuyen tinh; va (ii) ham phi tuyen dua tren logic md, su dung luat hop thanh vdi menh de "neu ....
thi....". Kit qua dat dupe cho thay dung phuang phap md eo kha nang du bao dung la 90,91% trong khi mo hinh hii quy chi dat 81,82%. Othman, S. va Euenne, S. (2010) da su dung logic md kit bop tri tue nhan tao dl thue hien nghien euu "Ra quyet djnh su dung logic md trong giao M CAC CHiNH SACH VA TANG TRUONG,
PHAT TRlEN KINH Jt BEN VCTNG GIAI OOAN 2011-2020
PHAT TRIEN KINH TE So 269, Thang Ba n5m 2013|
dich chung Idioan". Cac yeu to dau vao cho mo hinh ma cac tac gia quan tam la y kien chuyen gia, loi nhuan tren timg c6 phi6u va ti le lgi nhuan mong muon. Viee ket hgp tri me nhan tao ma dae biet la logic md trong thi tmdng ehdng khoan day bien dpng va phue tap la each don gian de mang lai lgi nhuan eho nha dau tu.
Korol, T. va Korodian, A. (2011) tien hanh nghien euu, danh gia mue dp hieu qua cua mo hinh logic md trong viee du bao pha san eua DN. Trong qua Uinh nghien euu, tae gia da su dung bao eao tai ehinh eua 132 eong ty Uen thi trudng ehung khoan (Uong do CO 25 cong ty da pha san). Cae tae gia da sir dung ea dii lieu chae ehan (djnh lugng) va khong chde chin (djnh tinh) lam dii lieu dau vao de du bao kha nang pha san cua cong ty trong 1, 2 va 3 nam tdi. Kit qua khi su dung dir lieu chae chan thi ket qua khong mSy khae biet so vdi eac mo hinh dp bao nii ro, pha san khae nhu Z-seore. Nhung ket qua khi su dung dir lieu khong chae chan thi ket qua tir mo hinh logic md t6t hon ban. Tuy nhien, ban ehe eua nghien cum nay la phan bo xac suat cua eae ehi tieu phai la phan phoi chuan.
Tuu Uung lai, Uong thi Uudng biln dpng nhanh, phirc t^p va thong tin do so nhu thj trudng tai chinh thi viee nhan biet dugc sPm trang thai eua thj trudng se giup eac nha dau tu co nhieu quyet dinh tot hon.
Ben eanh do, nhiing thong tin bat can xung, khong ro rang, kliong diy du, va thilu su chinh xac Uong thue tl se khiln eae quyet djnh eua nha dau tu rui ro nhilu hon. Do do, viee sir dung logic md trong tai chinh tien te ngay eang phat Uien va nghien ciiu sau rpng nham giam thieu nii ro Uong eac quyet dinh dau Ur.
3. DC lieu nghien cuTu bang bao cao tai chinh hing nam (da duge kiem toan) cua cae eong ty dang niem yet (trir eac to ehue tai chinh, tin dung) d ca 2 san niem yet chinh thiie Nghien cim su dung dii lieu duge thu thap tir cae ciia thj tmdng ehung khoan VN. Khoang thdi gian nghien euu Uong 3 nam, tir nam 2009 - 2011, de danh gia xip hang d 2 nam gan nhat la 2010 - 2011.
Cd tdng cpng 643 eong ty dat yeu eau tren tong so 701 ma niem yit tinh den cuoi nam 2011.
Dir lieu tho tir bang bao cao tai chinh dugc dung de tinh toan eae chi tieu tai chinh nham danh gia
"siic khoe tai ehinh", rui ro va trien vpng tang tmdng cua DN. Cae eong ty khong eo day du dii lieu se bi loai bo va khong duge danh gia xep hang Uong nam do. Trong qua trinh "md hoa" (fuzzification), eae diem "dot bien" (outlier) se dugc xu li bang phuong phap thong ke dua Uen phan phoi chuan.
Cae gia tri dot bien la diem can loai bo de tranh lam nhieu Uong phan tich dir lieu. Vi vay, theo li thuyet thong ke cae gia tri nam trong khoang [p - 3a ; p + 3a] (ehilm 99,8% dii lieu) la eae diem khong dot bien va se duge giii lai de xem xet.
4. Cac gia thuyet
Nhim danh gia mpt each khaeh quan, trong nghien eiai nay trung binh nganh (neu so sanh Uong nganh) hoac tnmg binh thi tmdng (neu danh gia toan thj tmdng) la chuan de so sanh, danh gia xep hang cae eong ty. Do vay, nhirng chi tieu co tinh chat
"tinh toan tii uu" thi gia trj tmng binh nganh, tmng binh thi trudng la gia Ui tli uu. Vi the, diem nhpn hay dilm dinh eua ham thanh vien la dai dien tmng binh nganh hay trung binh thi tmdng cua chi tieu tai chinh dang xem xet.
Trong mpi dieu kien kinh te deu ton tai cong ty hoat dpng noi trpi do: (i) Tan dung dupe su thuan Ipi cua nin kinh tl de biit pha so vdi so dong; hoac (ii) nhd vao quan tn rui ro, danh gia tinh hinh tot ma tru vung so vdi da si cae eong ty trong dieu kien kinh te kho khan. 0 chieu ngupc lai cung xuat hien nhiing eong ty: (i) Tang tmdng cham trong dieu kien kinh tl thuan lgi; hoac (ii) thua lo Idn trong giai doan khung hoang. Vi vay, phan bo tinh trang hoat dpng san xuit kinh doanh cua eong ty trong nen kinh te tai mpt thdi dilm nhit dinh se phan bo theo phan phoi ehuin (Normal). Vi vay, miie on djnh, nii ro pha san cua DN ciing tuan theo phan phoi chuan.
5. Phu'dng phap thvtc hien hinh tinh toan dl danh gia xep hang. Tuy nhien, dilm si Z dugc dl eao va kiem dinh ve kha nang du bao pha san (Altman, E.l. & Sabato, G., 2007) ma chua duge su dung de danh gia xep hang. Trong khi do, vdi each tilp can mdi su dung li thuyet md thi viee xIp hang da trd nen khoa hpc hon va kho bi ehi Hien nay, dilm si Z da dirge phat trien thanh mo CAC CHiNH SACH VA TANG TRU'ONG.
PHAT TRIEN KINH TE BEN VUNG GIAI OOAN 2011 -2020 O
PHAT TREEN KINH TE So 269, Thang Ba nam 2013
phoi bdi ngudi xep hang. Nhd vao li thuySt md ma cac DN dupe danh gia dua tren tinh trang "sue khoe" eua nhau tai thdi diem danh gia.
5.1. Lira chgn chi tieu, trgng so Cae ehi Ueu tai chinh dimg de xem xet danh gia dupe chon Ipc tir cae nhom phan tich tai ehinh: (i) Kha nang thanh khoan; (ii) kha nang sinh ldi; (iii) hieu qua boat dpng; (iv) eo eau von va kha nang Ua np; va (iv) co cau ehi phi. Chpn ipc eae ehi Ueu trong qua trinh xep hang nham mue dich lam eho viec phan tich thuan lpi ban va tranh su trimg lap ve y nghTa cua eae chi tieu, dong thdi phai phan anh day du "sue khoe tai ehinh" va rui ro eua DN. Ben eanh do, mpt so ehi tieu khong nhirng the hien tinh chat dinh lugng ma eon an chua nhirng yeu to djnh tinh. Do do, nghien euu ehpn Ipe 34 chi tieu tai ehinh de thue hien danh gia tin nhiem DN sir dung li thuyet md.
Mpt bude quan Upng trong viee xep hang tin nhiem la danh gia mue dp quan trpng, tam anh hudng eua ehi tieu, nhom ehi tieu den boat dpng kinh doanh va Uien vpng phat trien eua DN. Ve co ban, eae ehi tieu eo vai tro, y nghTa phan tich nhu nhau. Do do, trong pham vi nghien cuu nay vdi so ehi tieu xem xet bao quat toan bp hoat dpng ciia DN nhu da de cap d phan Uen, nghien ciiu danh gia miic dp quan Upng nhu nhau eho timg chi tieu ma khong dat nang ehi tieu nao.
5.2. M&lwa
Budc "md hoa" la giai doan xay dung ham thanh vien eho eac chi tieu chpn lua. Ham thanh vien dupe xay dung dua tren bp dir lieu mau xem xet va ehi duge chip nhan la phu hgp thong qua kiem dinh thing ke Chi - square va Komogorov-Sminov vdi mue y nghTa la 1%. Trong Bang 1, ham thanh vien cua eiing chi tieu CO thi khae nhau trong 2 nam xem xet. Dieu nay the hien uu diem eua logic md khi danh gia xep hang.
Cu thi, xem xet gia trj tmng binh va dp lech chuan cua ehi tieu tang trudng lpi nhuan sau thue. Nam 2010, mue tang trudng lgi nhuan sau thue binh quan la 37,1% the hien su thuan lgi trong moi trudng kinh tl va ehinh sach vT mo (GDP nam 2010 eua VN tang 6,78%). Tuy nhien, mue dp phan hoa tang trudng lpi nhuan sau thul nam 2010 kha ro ret thong qua dp lech chuan la 110%. Trong khi do, kho khan cua nen
kmh tl da anh hudng dang kl din muc tang Uudng lpi nhuan sau thul eua eac DN khien mue tang GDP nam 2011 cua VN ehi dat 5,89%. Theo tinh toan, binh quan eae DN Uen san eo mue sut giam lpi nhuan sau thul nam 2011 la 28,6% va dp phan hoa tang tmdng ehi d miic 87,3%
Do vay, mpt eong ty eo mue tang Uudng lgi nhuan sau thul nam 2010 bdng 0% duge eho la kem hieu qua, "khong tot" d chi tieu nay khi ma eae DN khac deu tan dung duge eo hpi de tang tmdng.
Nhung vdi mue tang trudng lgi nhuan sau thue la 0% nam 2011 thi eong ty duge danh gia hieu qua do eac DN khac deu khong giii virng duge thanh qua va sut giam lgi nhuan. Dieu nay se khae phuc dugc
"tinh tinh" Uong Uong danh gia xep hang eiia eac ngan hang la eong ty co eiing gia tri d 2 nam thi diem so la nbu nhau.
5.3. Lugt mff
Luat md duge xay dung dua tren hai each the hien eua phan bo lien tue la mat dp xae suat (Probability density) hoac phan bo tich luy (Cumulative distribution). Phu thuoc vao tinh chat cua chi tieu dang xem xet thi: (i) Cach the hien ham thanh vien theo mat dp xae suat phii hpp vdi eae chi tieu can tinh toan toi uu va (ii) bieu dien ham thanh vien theo dang phan bo tich liiy eho cac chi tieu eang Idn cang tot.
Vdi each the hien theo mat dp xac suat eho thay gia tri eua true mng (diem so) ehi dat duge eao nhat d vi tri gia Ui tmng binh va giam deu ve 2 phia (doi vdi phan bo chuan). Con each the hien theo phan bo tich liiy thi diem so eang ngay eang lon va tien ve 1 de dat gia tri Idn nhat va xuat phat diem la 0 eo gia trj thap nhat. Day se la co sd de xae djnh diem thanh vien eua tirng eong ty. lieu CO the duge tinh toan bang toan hpc thong thudng. Dua vao ham thanh vien da dupe xay dung d bude md hoa va luat md dupe xay dung dua tren tinh chat cua ehi tieu, giai md giup xae djnh diem so thanh phan cua DN d Prng chi tieu. Diem thanh phan dupe xac dinh tir gia trj tinh toan c6 dupe cua ehi tieu. 5.4. Giai ma Giai md la qua trinh cu the h6a va qua do eae so
g^m CACCHINHSACHVATANGTRUONG,
PHAT TRIEN KINH T6 BEN VUNG GIAI OOAN 2011-2020
PHAT TRIEN KINH TE
sd 269, Thang Ba nam 20131 Bang 1. Ket qua xay difng ham thanh vien cac chi tieu xep hang nam 2010 va 2011
STT Nhom chi so thanh toan Nam 2010 Nam 2011
1 Ty sd thanh toan bang tien mat LOGN(0,613; 1,76) LOGN(0,368; 1,23) 2 Ty sd thanh toan nhanh LOGN(l,23; 1,14) L0GN(1,14; 1,15) 3 Ty so thanh toan hien hanh LOGN(l,92; 1,28) LOGN(l,85; U)
Nhom chi so hoat ddng
4 Vong quay phai thu khach hang EXP0(I5,5) WE1B(9,59; 0,869) 5 Vong quay hang tdn kho EXPO(12,7) WE1B(7,64; 0,725) 6 Vpng quay phai Ua nha cimg cap EXP0(I9,9) EXPO(13.8) 7 Vong quay tai san c6 dinh EXP0(9,6) WEIB(6,87; 0,819) 8 Vong quay tong tai san GAMM(0,632; 1,9) GAMM(0,973; 1,24) 9 Vong quay von chu sd hiru GAMM(2,34; 1,38) WEIB(3,22; 1,06)
Nhom chi so cff cau von va ddn bay tai chinh
10 Np dai han/Tdng tai san WEIB(6,61;0,54) WE1B(6,84; 0,547) 11 Tong np/T6ng tai san NORM(40,6; 20,4) NORM(42,1;20,8) 12 Np dai hanA^CSH WE1B(17,4; 0,478) GAMM(129; 0,336)
13 TTSA/CSH NORM(2,8; 1,82) NORM(3,06; 2,5)
14 Np ngan han/Tdng np NORM(79,8; 23,3) N0RM(81,5; 21,6) 15 Kha nang thanh toan lai vay WEIB(16,4; 0,491) WE1B(5,79; 0,542)
Nhdm chi so sinh loi
16 ROAA NORM(12,6; 9,73) NORM(10,I; 10,2)
17 ROE NORM(16; 12,5) NORM(10,7; 14,3)
18 Lpi nhuan gdp bien GAMM(6,07; 4,8) GAMM(5,53; 6,26)
19 EPS N0RM(3.143; 3.003) NORM(2.120; 2.870)
20 ROS GAMM(5,1; 6,9) N0RM(11,5; 15,8)
21 EBITDA/DTT GAMM(6,77; 4,77) NORM(14,2; 193)
22 EBITDAm-S GAMM(5,65; 2,99) N0RM(11,9; 10,2)
23 EBITDA/VCSH NORM(34,4; 21,4) NORM(30,3; 24,9)
Cc cau ty trong chi phf
24 Gia vdn hang ban/Doanh thu thuan NORM(78,9; 14) NORM(80,9; 14,9) 25 Chi phi ban hang/DTT GAMM(9,94; 0,326) EXPO(3,48) 26 Chi phi quan ly doanh nghiep/DTT GAMM(3,47; 1,71) WE1B(7,75; 1.2)
Co cau ty trong tai san
_27 Tai san ngdn han/Tong tai san NORM(61,7; 22,6) NORM(61,3; 22,9)
"28" Phai thu ngdn han/Tai san ngan han NORM(39,7; 20,3) NORM(39,5; 20,2) 29 Hang ton kho/Tai san ngan ban NORJvl(34,l; 21,4) NORM(36,6: 23,1) 30 Tai san co dinh/Tdng tai san WEIB(30,7; 1,3) GAMM(22,7; 1,25) 31 Tai san cd dinh him hinh/TSCD NORM(69,5; 30) NORM(70,4; 29,1)
Nhom chi tieu tang tnrdng
32 Doanh thu thuan NORM(33; 58,3) NORM(8,68;41) 33 Loi nhuan sau thue NORM(37,l; 110) NORM{-28,6; 873)
34 EPS NORM(30,8; 181) NORM(^3,8; 174)
Ngu6n: Ket qud nghien ciru
CAC CHlNH SACH vA TANG TRI/ONG. m
PHAT TRIEN KINH TE BEN VCPNG GIAI OOAN 2011-2020 Jt 3
PHAT TRIEN KINH TE So 269, Thang Ba nam 2013
(a) mat do xac suat (b) phan bd tich luy Hinh 3. Hai each the hien ham lien tuc
5.5. Diem so va xep logi
Diem xep hang se la diem tmng binh cong co trong so tir eac diem thanh phan. Do trong so trong nghien euu nay eo gia tri bang nhau nen diem xep hang duge tinh toan nhu sau: Diem em = ^ —
Trong do: n n: so chi tieu di: diem so eiia ehi tieu i
Y nghTa, mue dieb eua xep hang la xae dinh dp on djnh, Uien vpng, mue rui ro hay xae suat pha san eua DN. Tong diem eua mpt DN nhan gia trj tir [0;l]. Vdi gia thuyet ban diu, xae suit pha san eua DN man theo phan phdi ehuin. Do vay, nghien eiiu de nghj thong so eua phan phoi chuan de xae djnh miie diem xep hang eo gia tri la: (i) Uung binh p = 0,5; va (ii) dp lech ehuin a = 0,166 de tinh toan.
Theo li thuyet thong ke eae gia Uj nam trong khoang [p - 3a ; p + 3cr] (ehilm 99,8% dir lieu). Do dd, phan ph6i chuan eo tmng binh la 0,5 va dp lech ehuin 0,166 se bao phu dupe gia tri tu [0;1].
6. Ket qua
6. /. .Y4P ligng toan thi tru&ng nam 2011 Trong qua Uinh xep hang eo 2 each thue hien: (1) Danh gia eae nhom eo phieu rieng nganh, sau do tinh toan he s6 dilu chinh de eo miic xep hang tong
the; hoac (2) danh gia, xem xet toan bp eo phieu trong pham vi toan thj tmdng. Moi each danh gia deu CO uu va nhupc diem neng. Neu danh gia theo nganh thi gia trj tmng binh nganh, diem toi uu dupe danh gia tot hon va the hien dupe ban chat rieng eua timg nganh, nhung viee xae djnh he so dieu ehinh eho nganh la kho khan. Trong khi do, each danh gia toan thj tradng chju thiet thoi ve gia trj tmng binh nganh nhung eo lgi ich la bude thue hien it hon khi ehi thue hien 1 lan de danh gia toan bp eae DN xem xet. Tuy vay, nhupc diem tren ciing dupe khae phuc mpt phan do lpi the nganh da dupe phan anh trong ket qua boat dpng kinh doanh eua ehinh eong ty.
Ben eanh do, gia tri trang binh thj tradng eiing dupe coi la gia trj de phan anh tinh Uang cua nen kinh te va miie xep hang se la tinh trang eua DN trong tong the eac DN. Sau day la ket qua xep hang tin nhiem eae eo phieu Uen thi tradng ehiing khoan VN nam 2011.
Phan bo xep hang toan thj tradng theo phan bo chuan (Normal) eang the hien mire dp nii ro pha san eua eac cong ty tuan theo phan bo nay nhu gia thiet ban dau. Va trong mpi thdi ki, mpi dieu kien, nhung eong ty tan dung dupe thdi co de tang tradng hoac thay dupe eo hpi trong nii ro de phat trien va bih pha. Ngupe lai, neu ban dieu hanh khong nhay cam, nhan biet sdm duge tinh hinh se lam ebo DN chju nhilu biln dpng khi eo nhihig nii ro bat ngd. Khi do, DN tang tradng khong nhanh bang cac DN khae khi g^M. CAC CKIVH SACH VA TANG TRUONG,
^ O P"*"'' ^'''^'^ ^^'^ V'^*"^ 2011-2020
PHAT TRIEN KINH TE Sd 269, Thang Ba nam 2013
32
n
54 55 55 49
28 29
AAA AA+ AA AA- A+ A B+ B B- CCC+ CCC CCC- D
Hinh 4. Bieu dd phan bd xep hang toan thi tru'dng nam 2011 Nguon: Nghien CLFU cua tac gia
% 100 90 80 70 60 40 50 30 20 10 0
HOSE HNX
Hinh 5. Bieu do ti le tich luy xep hang d 2 san nam 2011 Nguon: Nghien cuu cua tac gia
dieu kien kinh te thuan lgi va se sut giam manh hon khi CO tae dong tieu cue bdi ben ngoai.
Di sau phan tich chk lugng eo phieu thong qua xep lo^i tin nhiem 2 san thi HOSE dang eho thdy uu the eua minh. So lugng cong ty dat muc on djnh cao (tir AA- trd len) d san HOSE nhieu hon ban so vdi san HNX, 13,48% d HOSE so vdi 6,65% cua HNX.
Hon nira, nhd vao nhung dieu kien niem yet khat
khe eua Sd Giao djch Chung khoan TP.HCM da giiip chdt lugng hang hoa san HOSE tot hon. Hinh 5 bi6u diln ti le tich liiy cae mue xep hang tren ea 2 san eho thdy ro hon "sire khoe tai chinh" eua cac DN d san HOSE. Dudng ti le tich luy xep loai cua HNX luon ndm dudi dudng tich liiy eua HOSE minh ehiing eho ehinh sach cua HOSE dang eo nhiing hieu qua nhat dinh.
CAC CHiNH SACH VA TANG TRirONG, J% V
PHAT TRI6N KINH re BEN VUNG GIAI DOAN 2011.2020 Jt g
PHAT TRIEN KINHTE So 269, Thang B;
B- B+ B B- CCC+ CCC CCC- D Hinh 6. Bieu do xep hang bn nhiem san HOSE nam 2011 Nguon: Nghien ci>u cua tac gia
AAA AA+ 0 CCC-t^ CCC CCC- D
Hinh 7. Bieu do phan bd xep hang tin nhiem san HNX nam 2011 Nguon: Nghien ciiu cua tac gia
Mac du phan bo xep hang tai san HNX khong c6 dang phan phoi chuan nhung ti le cong ty xep hang tir BB- den BBB+ van chilm 49,58%, tuong d6ng vdi xac suat tich luy trong \aing nay cua phan phoi chudn. Tai HOSE, phan bo mong doi deu hon va so cong ty d mue A- trd len chiem den 39%. Phan bo xep hang d 2 san nay duge bieu dien trong Hinh 6 va 7. Nhu da trinh bay khi danh gia DN trong nganh va so vdi thi Uirdng se eo su khae biet do tac dong eiia
ySu t6 nganh. K6t qua eo 51 tren tong so 55 cong ty trong nganh thue phdm eo miic xep hang eao hon tu 2 dSn 3 bac khi danh xem xet xep hang trong nganh va toan thj tmdng. Tuy nhien, cae eong ty co miic hoat dpng khong hieu qua thi loai xep hang hau nhu khong ddi. Trong khi do, nganh bat dpng san the hien su kho khan eua minh khi eo den 81,6% eong ty bi rdt hang khi danh gia trong nganh va so sanh vdi thi tmdng. Muc rdt hang tir 3 den 4 bae eang cho thay mue diSu chinh nganh bat dpng san vdi thi 2 8
PHAT TRIEN KINH TE
Bang 2. Thong ke ve ket qua danh gia xep hang nam 2011 theo logic md Hang Toan th|
truoTig San Nganh
Hang Toan th|
truoTig HOSE HNX 1 2 3 4 5 6 7 8 9 10 11
AAA 0 0 0 0 0 0 0 0 0 0 0 0 0 0
AA+ 10 7 3 0 0 2 4 0 0 0 1 0 0 3
AA 22 17 5 2 2 2 7 2 2 0 2 2 0 1
AA- 32 15 17 4 3 4 6 3 0 4 2 3 0 3
A+ 54 25 29 6 6 9 7 6 0 10 5 1 1 3
A 51 22 29 6 5 13 8 2 0 6 2 3 1 5
A- 56 26 30 9 4 17 3 2 1 7 5 2 2 4
BBB+ 54 19 35 5 5 17 4 1 1 13 4 1 1 2
BBB 55 23 32 4 5 17 4 4 1 6 5 0 5 4
BBB- 49 19 30 3 6 17 4 3 2 6 2 1 4 1
BB+ 42 17 25 4 6 18 1 1 0 3 4 1 2 2
BB 55 22 ^~~33~~ 5 5 22 2 1 2 6 6 1 4 1
BB- 37 16 21 4 3 10 2 1 2 2 5 2 6 0
B+ 28 12 16 1 5 11 0 2 0 3 0 0 4 2
B 29 12 17 0 2 10 0 2 2 3 2 0 7 1
B- 17 9 8 1 4 5 0 1 1 1 2 0 2 0
CCC+ 17 8 9 3 1 9 1 0 0 0 2 0 1 0
CCC 19 6 13 4 1 4 2 0 1 0 2 1 3 1
CCC- 13 6 7 1 1 2 0 0 3 0 1 0 5 0
Tong 1 643 0 Ml 0
282 1 361 62 1 64 1 1901 56 1 31 1 18 1 71 1 52 i 18 48 33 Nguon: Thing l<e cua tac gia
Ghi chu:
1 : Co khi, thiet bj dien va dien td; cong nghiep tong hap.
2: Giao thong van tai; djch vu ho trg.
3: V§t li$u xay dyng.
4: Thyc pham, do uong.
5: G to, linh ki$n va phy tung; vgt dyng ca nhan va gia dinh.
6: Cong nghp thong tin, vien thong.
7: Dich vy tif n ich; djch vy tieu dung.
8: Khoang san.
9: Y t4.
10: Bit dgng san.
11: Khdc cAC CHINH SACHVATANG TRI/ONG. ^
PHAT TRI^N KINH Te B^N VUNG GIAI DOAN 2011 -2020 2 "
PHAT TRIEN KINH TE
tnrang la lan. Tuy vay, vai muc hoat dong hieu qua trong nhieu nam mac du nganh bat dpng san dang gap kho Idian thi van co 2/49 DN trong nganh nay co cimg muc xep hang khi xem xet Uong nganh va xem xet toan thj tmdng.
Theo Bang 3, nganh 4 (thuc pham, do uong) va nganh 9 (Y te) la nganh co hieu qua boat dpng tot nhat, dn djnh va trien vpng phat trien cao nhat. S6 luong CO phieu dat bang AA- trd len ciia 2 nganh nay chiem lan lupt 30,4% va 27,8% (so vdi nganh) va bo xa cac nganh con lai. CJ chieu ngupc lai nganh 6 (cong nghe thong tin; viln thong) va nganh hk dpng san cho thay dp nii ro cua minh va chiu tac dpng Idn bdi nen kinh te. So luong eong ty ndm trong vung nguy hiem (tu CCC+ Ud xudng) eiia nganh cong nghe thong tin la 22,2% va nganh bdt
dpng san la 18,8%. Thdng ke ehung toan thj Uudng e6 64 eong ty dat hang tir AA- Ud len (chiem 10%) va CO 52 cong ty rai vao vung nguy hiem 8,1%.
6.2. So sdnh kit qud xep hang tin nhigm ndm 2010 vd 2011
Trong nam 2010, ehi co 601 eong ty eo day du so lieu xem xet. Tuy vay, each danh gia van dupe thuc hien theo diing trinh tu va phuang phap da Uinh bdy d mue 5. Ndm 2010 Id nam thudn lpi doi vdi hau hk ede DN. Ti sudt lpi nhudn Uen von ehu (ROE) binh quan nam 2010 dat 16% eao ban so vdi nam 2011, dat 10,7%. Dae biet, tdng tmdng lpi nhudn sau thue nam 2010 eua eae DN niem yet len den 37,1% tmdc khi CO dpt gidm manh (-28,6%) vao nam 2011.
Neu nhu vdi edeh danh gia "tTnh" Uong phuong Bang 3. Ma tran thdng ke cac DN tang, giam va giu' nguyen mu'c tin nhiem AAA-t- AA AA- A-i- A- BBB4BBBBBB-BB+ BB BB- B-i- B • CCC4 CCC ccc-l
CCC+
ccc-CCC
Ghi chii: Thang hang;
3 0
PHAT TRIEN KINH TE ^ So 269. Thang Ba nam 2Q13|
phap xep hang tai cac to chuc tin dung trong nam 2010 thi lugmg DN dat muc "tdt" se rit nhilu. Do cac tieu chudn danh gia cac chi tieu tai ehinh ehi thay doi qua sau mot thoi gian nhit dinh nen DN
"tot" se rp len nhu "nam sau mua". Chinh vi diem yeu nay ma cac ngan hang dua trgng so phi tai ehinh len eao nham mue dich dieu tiet x6p hang eua DN danh gia. Voi each x6p hang theo logic md, tinh
"tinh" nay dupe khae phue.
Nhu da thao luan, mpt DN tang tmdng trong khi eae DN khae tang tradng manh hom thi DN do ciing khong dupe danh gia la "tot". Vi vay, ket qua xep hang toan thi tradng nam 2010 c6 phan bl kha diu chir khong bi lech hin vl phia xIp hang "tot". Tuy nhien, kit qua DN dat mue eo thi diu tu tang dang ke. NIU trong nam 2011 chi co 34,2% dat xIp hang tir A- Ud len thi trong nam 2010 c6 din 52,2% DN.
Vdi nam kho khan 2011, DN eo rui ro pha san tang dang kl, hr 10 eong ty nam 2010 (1,7%) len 50 DN nam 2011 (7,8%).
Viee rdt hang kha manh d mpt si eong ty la do lpi nhuan cua DN sut giam "manh hom" so vdi eae eong ty khac. Do do, nhiimg eong ty Uong kho khan vin duy tri dupe thanli qua tot hoac sut giam nhe, khong roi vao tinh huong 16 thi se dirpc danh gia tot.
Thong ke eo 373 eong ty rdt hang trong 2 nam xem xet (ehilm 62,23%). S6 DN giam hi 1 din 2 bac la 144 eong ty, ehilm 24%. Ci chieu ngupe lai, so eong ty thang hang la 157 eo phieu.
Tir viec so sanh ket qua xep hang trong 2 nam 2010 va 2011 cho thiy ton tai ylu tl dinh tinh ma eac to ehiie tin dung xem xet ngay trong phan bo xac suit. GDP, lpi thi nganh nghe, nang lue dieu hanh deu dupe phan anh ro net. GDP the hien Uong gia Uj trung binh eua phan bo eae chi tieu qua timg nam.
Lpi the nganh thuc pham do uong giup eac DN Uong nganh dat nhiing hieu qua nhat dinh qua do dat dupe mue xIp hang kha tot. Nang lue dieu hanh da giiip mpt si DN giir viing hieu qua kinh doanh de cai thien "siie khoe tai chinh" cua DN.
7. Ket luan va kien nghi xep hang tin nhiem DN niem yet tai VN dua tren li thuyit md. Thong qua ehpn Ipc va xem xet 34 ehi Nghien ciiu da dua ra each tiep can mdi Uong tieu tai ehinh, nghien cim da eho thay eac ti so tai
chinh c6 the phan anh ro net "sire khoe tai chinh"
eua DN ma khong ein din eae ylu to dinh tinh. Cae bude tiln hanh danh gia dua Uen phuomg phap dinh lupng va thong ke, qua do loai bo gin nhu hoan toan y kien ehu quan eua ngudi danh gia. Vi vay, eac ngan hang thuomg mai va Ngan hang Nha nude ein xem xet kT hom each thiic xIp hang dang thuc hien tai eac ngan hang hien nay. Viec dua qua nhieu cac yeu to dinh tinh se lam kit qua xep hang bj ehi phoi kha nhieu bdi ngudi thuc hien danh gia, mang tinh chu quan.
Cach danh gia toan bp thi tradng mpt lin ma khong thong qua danh gia rieng nganh da to ra hieu qua. Ve eo ban, eae thuan lpi hoac bat lpi eua nganh da anh hudng den hieu qua boat qua boat dpng san xuat kinh doanh eua eong ty. Do do, gia tri trang binh cua thi tradng la gia tri dai dien cho nen kinh tl noi ehung. Dong thdi, gia Ui Uung binh ciing la chuan de danh gia "sue khoe" eong ty Uong nen kinh tl.
Nghien euu eho thiy ring eo din 59,5% DN niem yet tren thi trudng chung khoan VN eo the dau tu (tir miic BBB- trd len) trong nam 2011. Trong do, nganh thuc pham la nganh co mue dp on dinh eao nhat vdi 84% eo phieu dupe xep loai dau tu. Ngupe lai, nganh bat dpng san la nganh ton tai su bat on trong nam 2011 vdi 71% co phieu dupe xep loai d miic dau co (tir muc BB+ trd xuong). Nganh bat dpng san eang eho thay dp nii ro eao khi ti le eo phieu CO the dau tu cua nganh nay trong nam 2010 la 89,6%. Do vay, nha dau tu can than trpng hon, tinh toan miic bu nii ro nhieu hom va danh gia tung tradng hpp trude khi quyet dinh dau tu.
Nhd vao nhiing dieu kien khat khe khi niem yet, chit lugmg hang hoa d san TP.HCM eao hem so vdi HNX. Kit qua nghien euu cung eho thay dieu do vdi ti le CO phieu dupe xep loai dau tu tai san TP.HCM va san Ha Npi lin lupt la 61,35% va 58,17%. Do do, Uy ban Chung khoan can nang dan chat lupng hang hoa d san Ha Npi va tien den nang eao chat lupng niem yIt eua ca 2 san trong mong lai de cai thien chit lupng hang hoa tren thj tradng ehung khoan.
Khi do, thj tradng ehiing khoan mdi Ud lai vai U6 la noi thu hut von dl phat Uien kinh te»
CAC CHlNH SACH vA TANG TRUONG. 4^ •
PHATTRI^N KINH T^B^NVCrNG GIAI OOAN 2011-2020 ^ |
i!r5*-^ PHAT TRIEN KIWH TE
TAI LIEU THAM KHAO
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Yildiz, B. & Akkoc, S. (2010), "Bankruptcy Prediction Using Neuro Fuzzy: An Application in Turkish Banks", International Research Joumal of Finance and Economics, Issue (60).
CAC CHiNH SACHVATANGTRUPNG,
PHAT TRI^N KINH re BEN VI/NG GIAI DOAN 2011-2020
