TAI CHiNH-TIEN TE
Anh hudng cua co hoi ddu tu den tin hieu cd turc
TRirOtNG T H I T H U HtTONG
J d i vii't sti diing mo hinh hoi quy binh phUdng nho nhat (OLS) vd mo hinh tdc dgng co' ' dinh (FEM) - dUa tren dU lieu cda cdc cdng ty phi tdi chinh niem yet tren thi trUdng chiing khodn Viet Nam tU ndm 2008 dS'n ndm 2017 - di ddnh gid anh hudng cua cd hoi ddu tU den ly thuyet tin hieu; tU do, dUa ra khuyen nghi cho nhd ddu tU vd cho doanh nghiep khi quye't dinh thay doi co tiic.
Tfl k h o a : co tiic, ldi nhuan, ly thuyet tin hieu, cd hoi tidu tU.
1. D a t v a n d e
Ly thuyd't t i n hieu dfldc dd cap dd'n t r o n g nghien cflu cua P e t t i t (1972), B h a t t a c h a r y a (1979), Miller va Rock (1985) h a m f r a n g : nhflng t h a y ddi t r o n g c h i n h sach cd tflc chfla dflng t h d n g tin vd ldi n h u a n tfldng lai cua doanh nghiep, cac n h a q u a n ly sfl dung t h a y ddi co tflc de t r u y e n t a i t h d n g tin ve ddng tidn tdi cac n h a d a u tfl. T a n g cd tflc cho biet t h d n g tin tieh cflc ve ldi n h u a n hidn t a i va tridn vong ldi n h u a n tfldng lai eua doanh nghiep; ngfldc lai, giam cd tflc ndi len t h d n g tin tieu cflc ve k h a n a n g sinh ldi tfldng lai cua d o a n h nghiep. N h i i u nghien cflu thfle n g h i e m da tim r a b i n g chflng u n g hd ly thuye't n a y nhfl: Healy va Palepu (1988) ke't l u ^ n t h u n h a p eua doanh nghidp t a n g 1 n a m s a u k h i doanh nghiep t r a ed tflc l i n d i u va giam 1 n a m sau khi khdng t r a ed tflc; Nissim va Ziv (2001) eho r i n g t h a y ddi ed tflc cd tfldng q u a n tich cflc vdi t h a y ddi k h a n a n g s i n h ldi t r o n g 2 n a m tie'p theo; H a r a d a va N g u y e n (2005) tim tha'y b i n g chflng ve md'i tfldng q u a n gifla t h a y ddi cd tflc va t h a y ddi ldi n h u a n cac n a m tidp thee; Reza va cong sfl (2014) ciing k h a n g dinh t a n g ed tflc se d i n ddn k h a n a n g t i n g ldi n h u a n t r o n g 2 n a m tidp theo.
M a t khac, ldi n h u a n sau t h u e cua doanh nghiep dfldc chia lam h a i p h a n : t r a ed tflc eho ed ddng va gifl lai de t a i d i u tfl. Mdt cdng ty CO nhieu cd hdi d i u tfl td't trong tfldng lai ed xu hfldng giam p h i n ldi n h u a n
d a n h t r a cd tflc hoac khdng t r a co tflc, t h a y vao dd doanh nghidp d a n h p h i n Idn ldi n h u a n de t a i d i u tfl tao r a gia tri gia t a n g cho doanh nghiep trong tfldng lai. Nhieu nghien eflu da chflng minh a n h hfldng cua cd hdi d i u tfl de'n chinh sach co tflc cua doanh nghiep. Nghien cflu cua Smith va W a t t s (1992), F a m a va French (2001), Denis va Osobov (2008) deu k h a n g dinh cd hdi d i u tfl cd mdi q u a n hd nghieh vdi ty le ehi t r a ed tflc. Do dd, ed hdi d i u tfl ed t h e a n h hfldng den tin hieu co tflc. Vi vdy, bai vidt nay n h a m kiem ^ n h a n h hfldng cua cd hdi d i u tfl dd'n tin hieu vd k h a nang sinh ldi tfldng lai cua cac doanh nghiep tfl t h a y dd'i cd tflc.
2. T o n g q u a n n g h i e n c i h i v a phflcfug p h a p n g h i e n cijfu
2,1. Tong quan nghien cilu ve l;^ thuye't tin hieu
Ly thuye't tin hieu d\la t r e n quan diem cho rang: eac n h a quan 1;^ thfldng d i dang tidp can eae thdng tin ve doanh nghiep hdn cd ddng ben ngoai. Do dd, ed tflc dfldc cac n h a quan ly sfl dung dd truyen tai thdng tin de'n thi trfldng, n h a m giam v i n de b i t can xflng thdng tin. Trong md h i n h nghien cflu cua Lintner's (1956) ve chinh saeh co tflc da nha'n m a n h r i n g : cac doanh nghidp ehi t a n g cd tflc khi nhflng n h a quan ly tin rang t h u n h a p t a n g , n g h i a la viec t a n g cd tflc t r u y e n tai sfl
TnRmg Thi Tliu Huong, ThS., Trafmg dai hoc C6ng nghiip Ha N6i.
Nghien ciiU Kinh tdsd9(484) - Thdng 9/2018 3 5
Anh hifdng cua co hoi dau to .
phan phoi thu nhap. Miller and Modigliani (1961) gdi y rang: trong thi triicfng hoan hao, CO tiSc CO the truyen tai thong tin ve dong tien S ttldng lai. Nam 1972, Pettit cung k h i n g dinh: co tiic noi len thong tin tich ciic ve hieu qua ciia doanh nghiep, lam thi gia tang dang ki va ngUdc lai (Pettit, 1972).
Cac mo hinh ly thuyet ve tin hieu cd tiic ndi tieng duoc biet den b6i Bhattacharya (1979), Miller va Rock (1986), John va Williams (1985). Cae mo hinh nay cho thay, khi nha quan ly du bao trien vong boat dong trong cac nam sau ciia doanh nghiep to't htfn, hp se gu(i tin hieu nay den thi truong b i n g each tra cd tiic; nguac lai, khi cac n h a quan ly khong ky vong vao su cai thien ldi nhuSn trong tUdng lai se khong phan chia cd tiic.
Nhieu nghien cflu thuc nghiem da duoc thflc bi§n n h i m kiem dinh noi dung ly thuyet tin hieu. Mot sd nghien ciiu ung hg manh me ly thuyet tin hieu, nhflng mot sd nghien cflu khong tim tha'y minh chflng hoac cho ket luan nguoc lai. Healy va Palepu (1988) tap trung vao cac cong ty tra cd tflc iSn dSu va khong tra cd tflc. Ke't qua nghien cflu khang dinh rang cac cong ty tra cd tflc lan dSu (hoac khong t r a cd tflc) o6 t h u nhap tang (hoac giam) it nha't 1 nam trudc va 1 nam sau khi thay ddi cd tflc.
Nghien cflu ciia Benartzi va cong sfl (1997) da m5 rong m l u nghien ciiu len 1025 cong ty.
Ke't qua cho tha'y cac doanh nghiep tang cd tflc thfldng la tang loi nhuiin trong nam trudc va nam tra cd tflc, nhung khong du doan dudc loi nhuan trong cac nam tie'p theo. Cac doanh nghiep giam cd tflc thuttog giam ldi nhuan trong nam trudc va ngay nam tra cd tiic, nhung nhflng doanh nghiep nay l^i c6 da'u hieu tang lgi nhuan trong nam sau do.
^Nghien cflu cua Nissim va Ziv (2001) da kiem dinh gia thuye't tin hieu cd tflc vdi dfl heu tii cac cong ty niem yet tren Sd Giao dich chflng khoan New York tfl nam 1964-1997 Ke't qua thay ddi cd tflc co tUdng quan tich cue vdi su thay ddi lai nhuan trong 2 nam tiSp theo (Nissim va Ziv, 2001).
3 6
Nghien cflu ciia Gruilon va cong su (2005) chi ra b a n che trong mo hinh nghien cflu cua Nissim va Ziv (2001) la gia dinh ty le thu nhap tuye'n tinh. Theo cac tac gia, dieu nay khong phai dung trong mgi trfldng hgp. Do d6, ong da kiem t r a lai mo hinh vdi gia dinh la phi tuye'n tinh. Mo h i n h tuye'n tinh cho ke't qua tdn tai mdi t u a n g quan tich cue gifla tang cd tflc va thay ddi Idi n h u a n 2 nam tie'p theo, nhung khong tim tha'y mdi quan h§
trong trudng hdp cd tflc giam. Tuy nhien, m6 hinh phi tuye'n t i n h lai khong tim tha'y mdi tfldng quan nao gifla t h a y ddi cd tflc va thay ddi ldi n h u a n cac n a m sau. Ke't luan nay cung dugc Reza va cong sU (2014) tim tha'y khi thiic hien thuc hien tai cac cong ty niem yet tren thi trflcing chflng khoan Trung Quoc.
Lie (2005) da tap t r u n g vao doanh nghiep giam CO tflc va khong t r a cd tflc. Nghien cflu sfl dung dii lieu hieu qua hoat dpng va cd tflc theo quy cua cac doanh nghiep My tfl nam 1980 ddn 1998. Tuy nhien, tac gia tim thiy It bang chflng ve t h a y ddi lai n h u a n tfl 661 quan sat giam cd tflc va 484 quan sat khdng t r a cd tflc.
Nghien cflu cua Choi va cong su (2011) da van dung mo hinh tuye'n tinh ciia Nissim va Ziv (2001) va mo h i n h phi tuye'n tinh cua Gruilon va cong sfl (2005) de danh gia npi dung thong tin tii cd tiic tai Han Quoc giai doan trudc k h u n g hoang kinh te'My. Ket qua chi liiig hp ly thuye't tin hieu trong tnidng hdp cd tflc giam vdi mo hinh tuye'n ti'nh, ma chua k h a n g dinh duac khi cd tflc tSng. Ket qua cua mo h i n h phi tuye'n tinh cung tfldng ddng vdi ke't qua cua Gruilon va cong sfl (2005) la khong tim tha'y minh chflng ung ho ly thuyet tin hiSu.
2.2. Phuang phdp nghien citu 2.2.1. Gid thuyet va mo hinh nghien cihi Dua tren nen t a n g ly thuyet tin hieu, bai viet n h i m kie'm dinh a n h hudng cua cd hpi dau tu de'n tin hieu cd tflc, truclng hdp nghien cflu tai cac cong ty phi tai chi'nh niem ydt tren thi truclng chflng khoan Viet Nam. Vi vay, gia thuyet nghien cflu dudc xay dilng nhfl sau:
Nghien ciru Kinh tes69{4S4} - Thdng 9/2018
Anh hiioing cua ca hoi dau tu .
HO: Cd hoi ddu tu cua doanh nghiep dnh hudng den moi quan he giiCa thay dot co tUc vd khd ndng sinh ldi tUdng lai cua cdc cong ty cong ty phi tdi chinh niem yet trSn thi trUdng chiing khodn Viet Nam.
De kiem dinh gia thuye't tren, tae gia sfl dung 2 md hinh tuyen t i n h dUdc dfla ra bdi Nissim va Ziv (2001):
M H I : (Et Et.i)/B.i = a^ + ajADIVo + ajROE^i + Et
Nissim and Ziv (2001) eung chi r a r i n g mdi quan he gifla t h a y doi cd tflc vd t h a y doi ldi n h u a n tfldng lai khdng tfldng dong gifla trfldng hdp ed tflc t a n g va trfldng hdp cd tflc giam. Do dd, tae gia de x u i t md h i n h p h a n tach gifla 2 nhdm nhfl sau:
MH2: (Et - E^i)/B.i = do + aiDPC.ADIVo + OaDNC.ADrVo + agROE^i + a4(Eo - E.J/B.i + e^
Ngoai ra, nghien eflu sfl dung md hinh phi tuye'n t i n h cua Gruilon va cdng su (2005):
MH3: (Et - Et.i)/B.i = Oo + aiDPC.ADIVo + OaDNC.ADIVo +
+ (pi + paNDFEDo + P3NDFED0.DFE0 + p4PDFEDo.DFEo).DFEo
+ (^1 ^ X2NCED0 +
^NCEDo.CEo + >.4PCEDo.CEo).CEo + Et Trong dd:
ADIV: mfle eo tflc b i n g tien mat t r e n mgt cd phieu h a n g n a m
ADIVQ la t h a y ddi ed tflc n a m 0 so vdi n a m - 1 , dfldc do Ifldng theo phfldng trinh:
ADIVo = (DIVo - DIV.,)/DIV.i
EQ: ldi n h u a n sau thue' cua doanh nghiep trong n a m t h a y ddi cd tflc (nam 0)
E.i. ldi n h u a n sau t h u e eua doanh nghiep 1 nam trflde khi t h a y ddi cd tflc
Et: ldi n h u a n sau t h u e eua doanh nghiep t nam sau khi t h a y ddi cd tflc
ROE: t h u n h a p t r e n vd'n chu sd hflu B.i: gia tri sd saeh eua vd'n ehii sd hflu n a m trflde khi t h a y ddi cd tflc
DPC (DNC): bie'n gia n h a n gia tri b i n g 1 ndu ed tflc t a n g (giam) va n h d n gia tri bang 0
trong cac trfldng hdp khac.
DFEo = ROEo - ECROEo], vdi E[ROEo] la gia tri ky vong cua R O E Q dude xac dinh b a n g each hdi quy phfldng t r i n h : E[ROEo]=
do + a,log(TA_i) + a2log(MTB.|) + ajROE.i + E, E[ROEo]= ao + ailog(TA,t) + a2log(MTB.[) + agROE.i + et
TA.^: tdng t a i s a n n a m - 1
MTB.i: gia t r i thi trfldng/gia tri sd sach cua vdn c h u sd hflu n a m - 1
C E o = ( E o - E . , ) / B . ,
NDFEDo ( P D F E D Q ) la bien gia n h a n gia tri b a n g 1 ne'u D F E Q a m (dfldng) va n h a n gia t r i b i n g 0 t r o n g trfldng hdp edn lai.
NCEDo ( P C E D O ) la bie'n gia n h a n gia tri b a n g 1 ne'u CEQ a m (dfldng) va n h a n gia t r i b a n g 0 trong t r u d n g hdp cdn lai.
Phfldng p h a p nghien cflu thfldng dfldc sfl dung n h i e u ve chu de ndi dung thong tin trong cd tflc la hdi quy binh phfldng nhd nha't (OLS). M a t khac, theo Greene (2007), md h i n h FEM va REM cho phep k h i e phuc dfldc mot so' b a n che' cua md h i n h hdi quy OLS. Dd Ifla chon gifla md h i n h FEM hay REM tae gia sfl d u n g kiem dinh H a u s m a n . Ke't q u a k i e m dinh H a u s m a n eho tha'y, md h i n h tae ddng cd' dinh (FEM) p h u hdp hdn md h i n h tac ddng n g i u n h i e n (REM). Do dd, nghien cflu nay tac gia sfl dung phfldng p h a p hdi quy OLS va FEM.
2.2.2. DU lieu nghien cHu
M a u n g h i e n cflu bao gdm cac cdng t y phi t a i c h i n h n i e m yet t r e n Sd Giao dich chflng k h o a n t h a n h p h d Hd Chi M i n h va Sd Giao dich chflng k h o a n H a Ndi giai doan 2008-2017, vi cac cdng t y t a i c h i n h cd ca'u t r u e bao cao t a i c h i n h k h a c va ddn b a y cao so vdi cac n g a n h cdn lai n e n loai khdi m l u n g h i e n eflu. De dfl bao k h a n a n g s i n h ldi 2 n a m s a u k h i t h a y ddi eo tflc, dfl lieu cd tflc t i e n m a t dfldc t h u t h a p tfl n a m 2008 de'n n a m 2016. Cac edng ty dfldc chon vao m a u n g h i e n cflu d a m bao cac yeu cau
Nghiin cdu Kinh tesd9(484) - Thdng 9/2018 37
Anh hudng cua ca hoi ddu tu .
- Dang cdn giao dieh t r e n thi trfldng chflng khoan tinh de'n ngay 31-12-2017.
- Thflc Men tra co tflc bang tien mat it nha't 2 nam hen tie'p de tinh toan dfldc thay ddi cd tflc.
- Cdng ty khdng cd thdng bao tra cd tflc bang cd phieu hoac chia tach cd phieu gifla 2 nam lien tie'p tra cd tflc bang tien mat.
- Loai khdi mhx nghien eflu trfldng hdp thay ddi ed tflc qua cao (tren 500%) (Choi va cdng sfl, 2011) va trfldng hdp t h a y ddi cd tflc qua tha'p (dfldi 10%) (Fairchild va cdng sfl, 2014).
Cac thdng tin ve co tflc va cac chi tieu tai chinh (ldi nhuSn sau thud, t h u nhap tren vdn chu sd hflu (ROE), gia tri sd sach cua vd'n chu sd hflu, gia tri thi trfldng/gia tri sd sach eua cd phieu, tong tai san) dfldc chidt xua't tfl
ngudn dfl hdu cua StockPlus. M l u nghien cflu cudi Cling bao gdm 657 quan sat cd tflc tang, 893 quan sat cd tflc giam va 643 quan sat cd tflc khdng ddi.
Theo F a m a va F r e n c h (2001), chi tieu gia tri tbi trfldng/gia tri sd saeh (MTB) dfldc sii dung dd danh gia cd hdi dau tfl tfldng lai cua doanh nghiep. Ty sd MTB >1 tflc la gia tri thi trfldng cua co phieu cao hdn gia tri sd sach.
Dieu nay ndi len r a n g eac n h a dau tfl dang c6 k^ vong td't vao ed hdi t a n g trfldng eua doanh nghidp tfldng lai. Do dd de kiem dinh gia thuyet tren, tac gia chia m l u t h a n h 2 nhdm:
Cac cdng ty ed n h i e u cd hdi d i u tu tdt (MTB>1) va cae cdng ty it cd hdi d i u tfl diu tfl (MTB<1).
3 . Kdt q u a v a t h a o l u a n
2.3. Thong ke mo td mdu nghien cUu
Bien
BANG 1: Tho'ng k e m o t a m l u n g h i g n c i i u
Mean | Std,Dev | Min { Max Bang A: Ci tiic tang (N= 657)
/DIV„
YLD logTA MTB ROA ROE
0,649622 0,082885 26,76029 0,827282 0.070292 0,143316
0,770919 0,139665 1,526033 1,248674 0,094764 0,201485
0.1 0 20,72016 0,045662 -0,98828 -2,16785
5 2,083333
31.9056 49,75124 0,839056 4,655722 Bang B: C6 nic giam (N= 893)
/DTVO YLD logTA MTB ROA ROE
-0,52315 0,071863 26,91765 0,654477 0,057005 0,112496
0,334967 0,096484 1,390015 0,547082 0,070492 0,122919
-1 0 23,40907 0,065114 -0,25422 -0,71439
-0,1 0,990099 31,92203 4,624554 0,561994 1,015535 Bang C: C6 tiic kh6ng ddi (N= 643)
YLD logTA MTB ROA ROE
0,108023 26,87998 0,730009 0,088533 0,17301
0,11948 1,33577 0,709786 0,065586 0,091593
0,010363 23,40154 0,061643 -0,0028 -0,00477
1,076923 31,01134 10,98446 0,398354 0,642945 Nguon: Tmh todn cua tac gia.
3 8 Nghiin aiu Kmh tdsd 9(484) - Thdng 9/2018
Anh hilding cua co hoi aiu to .
Bang A gom cac doanh nghiep cd co tflc tang, bang B gdm cac doanh nghiep cd cd tflc giam, bang C gdm cac doanh nghiep cd cd tflc khdng ddi. Qua so^ lieu bang 1 cho tha'y, mflc CO tflc tang t r u n g binh la 65%, so vdi mflc ed tflc giam trung binh la 52%. Nhfl vky, cac cdng ty phi tai chinh niem yd't trdn thi trfldng chflng khoan Viet N a m ed mfle cd tflc tang hang nam cao hdn mflc cd tflc giam trong giai doan 2008-2016. Ke't qua nay cung tfldng ddng vdi mdt sd thi trfldng khac, dd la nghien
BANG 2: A n h hfldrng c u a c d h o i d a u
ctiu cua Choi va cdng sfl (2011) tai thi trfldng chflng khoan H a n Quoc vdi mflc cd tflc tang la 41,39%, trong khi mflc cd tflc giam la 27,28%
hay nghien cflu cua Gruilon va cdng sfl (2005) tai My vdi mflc t a n g (giam) la 45,5% (17,9%).
Ngoai ra, tai cac doanh nghiep trong nhdm cd cd tflc t a n g tin cac chi tieu ldi n h u a n trdn tai san (ROA), ldi n h u a n tren von ehu sd hiiu (ROE), ty sutft cd tflc (YLD) va gia tri thi trfldng/gia tri so saeh (MTB) deu cao hdn tai eae ddanh nghiep cd co tflc giam.
tfl d ^ n t i n h i e u c d tflc t r o n g m o h i n h 1 BUh
fOTV,
ROE,.i
Hang s6
Sci quan sat R^
T = l O L S MTB>1 0,0294*
(0,0177) -0,0688 (0,116) 0,0171 (0,0247)
417 0,011
MTB<1 0,0224»»*
(0,00492) -0,215**»
(0,0515) 0,0366*»*
(0,00694) 1,777 0,041
FEM MTB>1 0,0725»*
(0,0295) -0,500 (0,334) 0,107 (0,0715)
417 0,103
MTB<1 0,0224»*»
(0,00450) -0,64O»««
(0,0757) 0,0962«»*
(0,0106) 1,777 0,181
T=2 OLS MTB>1 -0,00721 (0,0232) -0,170 (0,128) 0,0193 (0,0278)
289 0,016
MTB<1 -0,00200 (0,00576) -0,159**
(0,0630) 0,0314***
(0,00855) 1,611 0,020
FEM MTB>1 -0,0122 (0,0246) -0,819**
(0,342) 0,148**
(0,0677) 289 0,273
MTB<I -0,00780 (0,00593) -0,636***
(0,0953) 0,0933***
(0,0124) 1,611 0,159 Robust standard e rors in parentheses **'
Nguon Tinh toan cua fxO.Ol, * tdc gia
= p<0,05, * p < 0 , l
Tfl so' lieu b a n g 2 eho tha'y, t h a y ddi cd tflc cua 2 n h d m d o a n h nghidp cd MTB>1 va MTB<1 deu u n g hd ly t h u y e t tin hieu vdi T = l , nhflng khdng u n g hd khi T=2. Ndi each khac, t h a y ddi co tflc eua eac doanh nghiep ed cd hdi d a u tfl eao va doanh nghiep ed cd hdi d i u tfl tha'p deu eho bie't eae t h d n g tin du bao t h a y dd'i ldi n h u a n cua n a m tiep theo, nhflng mflc y n g h i a k h a c n h a u . D o a n h nghiep t h a y ddi ed tflc va cd cd hdi d i u tfl cao t h i hd sd' B e t a trong md h i n h OLS va F E M l i n Ifldt la 0,0294 (mfle y n g h i a 10%) va 0,0725 (mfle y n g h i a 5%), t r o n g khi hd so' B e t a eua cac doanh nghiep t h a y ddi co tflc nhflng cd cd hdi d a u t u tha'p trong md h i n h OLS va FEM ddu la 0,0224 va deu cd y nghia d mfle 1%. Kd't q u a n a y cd
sfl khac biet vdi ke't qua trong nghien cflu cua Nissim va Ziv (2001) va Gruilon va cdng sfl (2005) la t h a y doi cd tflc cd tfldng q u a n dfldng va ed y n g h i a thd'ng ke vdi t h a y ddi ldi n h u a n trong 2 n a m tie'p theo. Nhfl vay, cd hdi d a u tfl tfldng lai cd a n h hfldng den dfl bao k h a n a n g sinh ldi trong tfldng lai tfl t h a y ddi ed tflc eua eae cdng ty phi t a i chinh niem yet t r e n thi trfldng chflng khoan Viet N a m . Ke't l u a n nay dflde chflng m i n h rd hdn k h i hdi quy md h i n h 2 vdi trfldng hdp d o a n h nghiep t a n g cd tflc va doanh nghiep giam eo tflc. Ngoai ra, he sd tfldng quan eua bien R O E ^ trong md hinh hdi quy eho thfiy k h a nang sinh ldi trdn vd'n chu sd hflu cua n a m trflde cd a n h hfldng ngfldc den t h a y ddi ldi n h u a n trong tfldng lai cua
NghiSn ciiu Kmh tesd 9(484) - Th^g 9/2018 3 9
Anh hudng cua ca hoi dau tu .
doanh nghiep vdi T = l va T=2, nhflng chi cd y nghia giai thich vdi cac doanh nghiep thay ddi cd tflc va co MTB<1, trong khi he sd hdi quy bie'n ROE^i cua cac doanh nghidp thay ddi cd tflc va co MTB>1 gan nhu khdng cd y nghia (trfl trfldng hdp T=2 vdi md hinh FEM). Kdt qua nay cho thay, khi ROE cua cac doanh nghiep thay ddi cd tflc va it cd hdi dau tfl tang thi ldi n h u a n n a m sau ed xu BANG 3: A n h hfldng c u a cd h o i d a u
hfldng giam va ngfldc lai, nhflng chfla khing dinh dfldc trong trfldng hdp doanh nghiep t h a y ddi ldi n h u a n va cd nhieu cd hdi d i u tti.
Nghien cflu cua Nissim va Ziv (2001), Gruilon va edng stl (2005) va nhieu nghien cflu khac cung deu tira t h a y mdi quan he ngUdc chieu gifla bien ROEt.i vdi sfl thay ddi ldi n h u a n cua n a m tiep theo sau khi thay ddi cd tflc.
d e n t i n h i e u co tufc t r o n g m o h i n h 2
Bien
DPC, iDW
DNCi.aon'
ROEt,
(£„-£.,) IB.,
Hangs6
sci quan sat R'
T=l OLS MTB>1
0,0143 (0,0189) 0,0867*
(0,0496) -0,0157 1 (0,140)
-0,167
(0,163) 0,0238 (0,0343) 417 0,025
MTB<1 0,0189***
(0,00667) 0,0381***
(0,0106) -0,173***
(0,0429)
-0,0931
(0,0837) 0,0353***
(0,00680) 1,776 0,046
FEM MTB>1
0,0241 (0,0322) 0,159*
(0,0889) -0,918**
(0,404)
0,375*
(0,213) 0,210**
(0,0937) 417 0,160
MTB<1 0,0152**
(0,00599) 0,0402***
(0,0115) -0,681***
(0,0868)
0,0251
(0,0916) 0,107***
(0.0133) 1,776 0,183
T=2 OLS MTB>1
0,0139 (0,0293) 0,00212 (0,0453) -0,0951 (0,154)
-0,454*
(0,243) 0,0176 (0,0295)
289 0,073
MTB<1 0,00153 (0,00756) -0,00476 (0,0137) -0,146**
(0,0692)
-0,0371
(0,0660) 0,0286***
(0,0103) 1,610 0,020
FEM MTB>1
0,0152 (0,0440) -0,0826 (0,0826) -0,770**
(0,324)
-0,0754
(0,177) 0,123**
(0,0621) 289 0387
MTB<1 0,00617 (0,00825) -0,0316**
(0,0149) -0,612"*
(0,102)
-0,0758
(0,0630) 0,0825***
(0,0141) 1,610 0,167 Robuststandard errors in parentheses ***p<0,01,**p<0,05, * p<0,l
Nguon: Tinh toan cua tac gia.
Tfl sd lieu bang 3 cho tha'y, khi T = l , cac doanh nghiep tang ed tflc ddu ed md'i tfldng quan dfldng vdi thay dd'i ldi nhuan nam tie'p theo, nhflng chi eo y nghia giai thich vdi doanh nghiep ed cd hdi d i u tfl tha'p, ma khdng ed y nghia vdi doanh nghiep cd cd hdi d i u tfl cao. Trong khi dd, cac doanh nghiep giam CO tflc deu cd y nghia vdi thay ddi ldi nhuan nam sau vdi ca 2 nhdm tren. Cu the, vdi eae doanh nghiep giam co tflc va cd cd hdi d i u tfl cao thi mflc y nghia thdng ke la 10%
ea 2 md hinh OLS va FEM, he sd Beta l i n Ifldt la 0,0867 va 0,159, cdn mfle y nghia
thdng ke cua doanh nghiep giam cd tflc nhung cd ed hdi d i u tfl tha'p la 1% trong ca 2 md hinh OLS va FEM, h e sd Beta l i n Ifldt 11 0,0381 va 0,0402. Ket qua nay khdng tfldng dong vdi kdt qua nghidn cflu cua Lie (2005) rang hidu qua hoat ddng cua doanh nghiep v i n binh thfldng sau k h i giam cd tflc, Jensen (2010) ke't luan ldi n h u a n eua doanh nghidp bat lai sau n a m giam cd tflc.
Mat khae, khi T=2 khdng tun thSy minh chflng ve ly thuyet tin hieu trong trfldng hdp co tflc tang vdi ca 2 nhdm. Trfldng hdp cd tflc giam, nghien cflu tim thiiy minh chflng ve moi quan
40 Nghien cOu Kmh tdsd9(434) • Thdng 9/2018
Anh huding cua cd hoi dau tu .
he ngude chieu gifla giam cd tflc va thay ddi ldi n h u a n 2 n a m sau dd vdi eac doanh nghidp cd c6 hdi d i u t u thafp vdi mflc y nghia 5% (he sd Beta
= -0,0316), cac doanh nghiep cd cd hdi dau tfl
cao khdng cd y nghia thdhg ke. Ke't qua nay cho tha'y, cac doanh nghiep giam cd tflc nhimg cd ed hdi dau tfl t h a p k h a n a n g ldi n h u a n se bat tang trd lai sau 2 n a m giam eo tflc.
BANG 4: A n h h f l d n g c u a c d h o i d a u d e n t i n h i e u c o tflc t r o n g m o h i n h 3
Bien
DPC, MIIV
DNC,.M>N
P,
A A A
i-i
X,
^
X,
Hingstf
S6' quan sat R '
T OLS MTB>1 0,0364**
(0,0167) 0,0605 (0,0371)
0,0238 (0,794) -0,380 (1,130) 2,910**
(1,176) 3,583 (3,419) -0,179 (0,728) 0,552 (0,981) -0,370 (0,440) -2,182*
(1,208) 0,0116 (0,0221) 374 0.109
MTB<1 0,0183**
(0,00748) 0,0292***
(0,0106) 0,0944 (0,230) -0,288 (0,339) 0,837**
(0,375) -0,446 (1,003) -0,0625 (0,177) 0,195 (0,281) 0,0688 (0,867) -0,104 (0,395) 0,00739 (0,00524) 1.706 0,075
=1 F E M MTB>1
0,0534 (0,0450)
0.128 (0.0813)
0,236 (0,834) -1,003 (1,026) 3,251**
(1,463) 0,0925 (4,612) -0,538 (0,808) 0,317 (0,985) -2,828***
(0,592) 1,806 (2,395) 0,00580 (0,0301) 374 0,298
MTB<1 0.0228***
(0.00695) 0,0236*
(0,0125) -0,597 (0,422) -0,424 (0,459) 0,443 (0,670)
0,525 (1,548) -0,0264 (0,259) 0,749**
(0,379) 1,029 (1,332) -0,203 (0,537) 0,0163**
(0,00696) 1,706 0,177
T O L S MTB>1
0,0287 (0,0303) -0,0271 (0,0431) 0,581**
(0.288) 0,195 (0,724) 2,515**
( l . I l l ) -1,600***
(0,605) 0,680 (0,660) -1,533 (1,054) -2,644 (1,944) -3,756*
(2,012) -0,0367 (0,0291) 264 0,309
MTB<1 -0,00299 (0,00765) -0,0125 (0,0134) 0,236 (0,177) -0,401 (0,317) 0,537 (0,377) -0.810*
(0.488) 0,00503 (0,128) 0,154 (0,238) 0,935 (0,583) -0,134 (0,148) -0.000312 (0.00722) 1,607 0,049
=2 FEM MTB>1 0,00260 (0,0591) -0.0591 (0,0640) -1,002**
(0,444) 1,146 (0,952) 4,107***
(1,089) 1,687**
(0.848) -0,454 (0,792) 0,694 (1.597)
3.030 (3.244) -0,00976
(1,832) 0,0130 (0,0540) 264 0,531
MTB<1 0,00481 (0,00813) -0,0566***
(0.0155) -0,324 (0,223) -0,448 (0,383) 0,0112 (0,578) -0,426 (0,736) -0,198 (0,134) 0,468 (0,310) 2,215**
(1.054) -0.0994 (0.166) -0,00450 (0,0119) 1,607 0,162 Robust standard errors in parentheses ***
Ngudn • Tinh toan cua p<0,01,^
tac gia.
' p<0,05, * p<0.1
Anh hfldng eua cd hdi d i u tfl den t i n hidu CO tflc dfldc chflng m i n h rd hdn qua ket qua hdi quy 2 nhdm theo md h i n h phi t u y e n t i n h (bang 4). Vdi T = l , doanh nghiep cd cd hdi d i u
tfl Idn (MTB>1) chi t i m tha'y b a n g chflng u n g hd ly t h u y e t t i n hieu k h i cd tflc t a n g trong md h i n h OLS (he sd Beta = 0,0364). Trong khi, cac doanh nghiep cd ed hdi d i u tfl thifp
Nghiin ciiu Kmh tdsd 9(434) - Thdng 9/2018 41
Anh hudng cua cu hoi dau tu .
(MTB<1) lai tim tha'y minh chflng u n g hd ly thuyet tin hieu trong 2 trfldng hdp cd tflc tang va cd tflc giam, he sd Beta = 0,0183 va 0,0292 trong md hinh OLS, md h i n h FEM la 0,0228 va 0,0236. Vdi T=2, nghien cflu chi tim tha'y md'i quan he co y nghia thd'ng ke gifla giam cd tflc va k h a n a n g sinh ldi tudng lai cua doanh nghiep cd MTB<1 (he sd Beta=-0,0566), nghia la cac doanh nghiep giam cd tflc nhflng cd cd hdi d i u tfl tha'p ed k h a nang ldi n h u a n se t a n g trd lai 2 nam sau dd.
4. K e t l u a n v a k h u y e n n g h i Ket qua nghidn cflu da chflng minh dfldc cd hdi dau tfl tfldng lai cua doanh nghiep cd anh hfldng den tin hieu co tflc. Cac ket luan dudc r u t ra tfl nghien cflu n h u sau:
Trfldng hdp t a n g cd tflc chi u n g hd ly thuye't tin hieu vdi eac doanh nghiep cd cd hdi d i u tu tha'p, ma khdng u n g hd vdi cae doanh nghiep cd cd hdi dau tfl cao. Ket qua nay cd the dflde giai thich rang: ne'u doanh nghiep cd n h i i u cd hdi d i u tfl trong tfldng lai, thi cac cd ddng se flu tien ldi n h u a n t h u dude de tai dau tfl, mang lai gia tri gia t a n g cho doanh nghiep t h a y vi n h a n ed tflc tidn mat. Ndi each khac, khi doanh nghiep cd nhieu cd hdi d i u tfl, trflde het doanh nghidp se flu tien sfl dung ngudn vd'n ndi bd de dap flng nhu cau vd vd'n cho hoat ddng tai d i u tfl. Vi vay, tin hieu cd tflc trong trudng hdp nay khdng dang ke. Trong khi, cac doanh nghiep cd cd hdi dau tfl tha'p, n h u n g n h a quan ly k^ vong ldi n h u a n tfldng lai se tang, do dd se tang chi t r a ed tflc eho cd ddng.
Trfldng hdp cd tflc giam, deu tdn tai mdi quan he gifla thay ddi cd tflc va k h a nang sinh ldi tfldng lai d 2 nhdm doanh nghiep tren, nhflng mflc giam ldi n h u a n cua eae doanh nghiep cd cd hdi d i u tfl cao Idn hdn so vdi doanh nghiep cd cd hdi d i u tfl tha'p.
Nhfl vay, khi cac n h a quan ly n h a n tha'y kha nang ldi n h u a n tfldng lai cua doanh nghiep giam, thi ho se giam mflc co tflc tien mat cho du doanh nghiep cd nhidu cd hdi dau tfl hay khdng. Ngoai ra, ldi n h u a n cua
doanh nghiep giam ed tflc nhflng eo ed hdi d i u tfl tha'p cd t h e b a t t a n g trd lai sau dd 2 nam. Ke't qua n a y ngfldc lai vdi ndi dung eua ly thuye't tin hidu. Qua day cd the k h a n g dinh la tai eac t h i trfldng chflng khoan mdi ndi, eac quy dinh ve viec cdng bd thdng tin chfla c h a t che n e n nhflng tin hieu truyen tai q u a chinh sach cd tflc den nha d i u tfl chi m a n g t i n h n g ^ n b a n .
Tfl ket qua nay, tac gia dfla r a khuyen nghi cho cae n h a d i u tfl cd t h e dfla vao thay ddi cd tflc cua cac d o a n h nghiep ed cd hdi d i u tfl tha'p (MTB<1) de dfl bao ldi nhuan cua doanh nghiep trong n a m tid'p theo. Tuy nhien, trong dai b a n n h a d i u tfl cd the dfla vao chi tidu ty sua't sinh ldi t r e n vd'n chu sd hflu (ROE) cua n a m trflde de dfl bao kha n a n g sinh ldi n a m sau eua doanh nghiep, vi R O E t - 1 cd md'i q u a n h e ngfldc chidu vdi thay ddi ldi n h u a n eua doanh nghiep nam tie'p theo. Dd'i vdi cac doanh nghiep, bang chflng thflc nghiem t a i Viet Nam cho tha'y, t h a y ddi ed tflc la mdt t h d n g tin hflu ich dfldc n h a d i u tfl sfl dung de dfl bao ldi nhuSn n a m tid'p theo, a n h hfldng de'n quydt dinh cua n h a d i u tfl. Vi vay, cac doanh nghiep e i n lflu y va'n de nky khi quydt dinh t h a y ddi cd tflc, dac biet la eat giam manh CO tflc vi se a n h hfldng xa'u de'n tam 1^ cua n h a d i u tfl, cho r a n g hieu qua hoat ddng cua doanh nghiep n a m sau giam. Dieu nay se d i n de'n quydt dinh b a n ed phieu cua cac cd ddng, lam giam gia cd phid'u tren thi trfldng, a n h hfldng de'n gia tri doanh nghiep. Tuy nhien, d o a n h nghiep cd nhieu cd hdi d i u tfl tfldng lai t h i tin hieu tfl thay ddi ed tflc den t h i trfldng tha!p hdn cac doanh nghiep cd it cd hdi d i u tfl. Do d6, doanh nghidp c i n s\i d u n g ehinh sach cd tflc linh boat, ty le va h i n h thfle ehi t r a phu hdp vdi t i n h h i n h va ed hdi d i u tfl eua doanh nghiep. Mdt chinh sach cd tflc td't khdng nen dflng biet lap, nd p h a i hoach dinh kdt hdp nhip n h a n g vdi c h i n h sach d i u tfl va chinh sach tai trd, dfldc dinh hfldng nha't quan mang t i n h dai ban./.
42 Nghien cut/ Kinh tesd 9(484) • Thdng 9/S}18
Anh hudfng cua ca hoi dau tu .
TAI LIEU THAM KHAO
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Ngay n h | n bai:
Ngily duyftt dang:
4-7-2018 8-8-2018
Nghiin ciiu Kmh tdsd 9(484) - Thdng 9/2018 43
