TAI CHINH-TIEN TE
Moi trudng thong tin cua cong ty va tianh vi nang gia co phieu trong thj trudng M&A Viet Nam
DANG HUtJ MAN HOANG DirONG VIET ANH LE THUY DUNG TRAN THANH TOAN
^ ghien cdu nay khao sat anh h udng cua moi trUdng thong tin cua cong ty den phan dng
• gia CO phieu cua cac cong ty muc tieu d thi triidng sap nhap va mua lai (M&A) ViSt Nam. Miu nghien cdu gdm 486 thUdng vu trong giai doan 2005-2018. Diia tren cac ky thu$t Udc lUdng thich hop, ke't qua nghien cdu khdng dinh sii bat ddi xdng thong tin noi rieng va hiSu qua thi trudng chdng khoan noi chung anh hudng manh den lai tdc co phie'u cua cac cong ty muc tieu va dong mpt vai tro quan trpng trong qua trinh lap ke hoach chao mua cua cac cong ty thau torn; ddng thai cung cap nhdng ham y chinh sach co gia tri tham khao ddi vdi nha dau tti va nha quan tri cong ty.
Tfl khoa: moi trudng thong tin, sap nh$p va mua lai, M&A, hanh vi nang gia cophiS'u, cong ty thau tom, cong ty muc tieu.
1. Gidi thi^u
Cac nghien cflu trfldc day da n h a n tha'y sfl tdn tai efla loi n h u a n ba't thiidng dang ke trong gia cd phie'u cua cac cdng ty mue tieu (cdng ty dfldc mua lai) trfldc khi cd thdng bao m u a lai va dieu nay thfldng dfldc goi la h a n h vi nang gia cd phie'u cua eac cdng ty muc tieu (Keown va Pinkerton, 1981; Barclay va Warner, 1993; Schwert, 1996; Brigida va Madura, 2012). H a n h vi nay cd t h i ddn dd'n viec cac cdng ty t h a u tdm (cdng ty di m u a lai) phai nang gia chao m u a va t h a n h toan mot phan bu thfldng v u ' ldn hdn cho cac cdng ty muc t i d u l Schwert (1996), King va Padalko (2005) eho rang, cac h a n h vi nay la he qua eua sfl ba't doi xflng t h d n g tin gifla cdng ty mue tieu va cdng ty t h a u tdm ve gia tri thflc cua cdng ty mue tieu. H u d d a r t va Ke (2007), Haggard va cong sfl (2008), Dasgupta va eong sfl (2010) chi r a rdng, cac cdng ty mue tieu vdi mflc do t h d n g tin ba't ddi xflng ldn thudng cd xu hfldng bi rd ri thdng t m tnidc sfl kidn t h d n g bao m u a lai.
O phUdng dien edng ty t h a u tdm, nghien cflu cua Schwert (1996), Betton va cdng sfl
(2007) n h a n tha'y, vai trd q u a n trong cua gia chao m u a ddi vdi k h a n a n g t h a n h edng eua tbuong vu. Chang b a n , cdng ty muc tieu CO the yeu edu cdng ty t h a u tdm tang gia chao mua, hoac tfl chdi mflc gia chao m u a ban ddu khi so s a n h vdi mflc gia dl nghi cua mot edng ty t h a u torn khac trong mdt thfldng vu canh t r a n h . Cac tac gia de nghi rdng, cac cong ty t h a u tdm cdn xem xet can trong gia chao m u a t r o n g qua trinh r a quyet dinh m u a lai, n h d m tdi da hda gia tri cdng hfldng cua thfldng vu. Mot so' nghien cflu da tap t r u n g giai quyet va'n dl, phai chang h a n h vi n a n g gia co phie'u cua cac Oang Httu Man, TS.; HoSng Ducmg Viet Anh, TS.;
Trin Thanh To^n. Tnrdng dai hoc Kinh te', Dai hoc Da Nang, Le Thdy Dung, ThS., Truimg dai hoc Kinh t^
Nghe An.
1. Ph^n bit thucmg vu la su chfinh Iftch giQa gjg chlo mua cua c6ng ty thau tom va gia c& phitfu tnrdc thdi di^m th6ng b^o mua lai ciia c6ng ly muc tidu.
2. Barclay & Warner (1993) vk Schwert (1996) nhfln tha'y loi nhuan bat thucmg ding k^ niy chi^m la^ i^^jf p 50% va 57% trong tong phSn bii thuong vu.
2 8 NghiSn cilu Kinh tgsS9(496)'^^rh^
Moi trtfoing thong tin
edng ty muc t i e u da d i n de'n vide cac cong ty t h a u tdm p h a i n a n g gia chao m u a ? Betton va cdng sfl (2008) n h a n thd'y, md'i quan he eung ehi^u gifla p h a n b u thfldng vu va h a n h vi n a n g gia, ke't q u a n a y xae nhan rang cac cdng ty t h a u tdm da it n h i e u dieu chinh mflc gia chao m u a sau sfl kien thdng bao thfldng vu.
0 mot khia canh lien quan, eae nghien cflu trfldc day da kiem t r a a n h hfldng cua sfl ba't ddi xflng t h d n g t m dd'n p h d n bu thfldng vu mua lai (Dong va cdng sfl, 2006;
Chemmanur va cong sfl, 2009). Cac tac gia nhan tha'y rdng, n e u cong ty t h a u tdm va edng ty muc tieu cd thdng tin b a t doi xflng ve gia tri t h a t cua cd' phieu, n h i e u k h a nang se ddn de'n rd ri t h d n g tin, do dd a n h hfldng de'n p h d n bu, chi p h i thfldng vu cung nhfl gia tri cdng hfldng dflde t a o r a . Nhflng phat hien nay cho tha'y r a n g , sfl ba't doi xflng thdng tin trong hoat ddng sap n h a p va mua lai (M&A) la ly do ddn den h a n h vi nang gia co phie'u trfldc thfldng vu.
Trong thi trfldng sap n h a p va m u a lai doanh nghiep, Moeller va cdng sfl (2004) nhan tha'y, cac n h a dau tfl thfldng p h a n flng tieu cflc trfldc cac sfl kien t h a u tdm cua cac tap doan ldn. B u e h l m a i e r (2016) kiem tra each truyen thdng dai c h u n g tien doan kha nang t h a n h cdng cua thUdng vu, n h a n tha^y xae sua't thfldng vu m u a lai se cao hdn ne'u bao chi truyen t h d n g cdng bd' nhflng thdng tin cd ldi cho cdng ty t h a u tdm.
Mazboudi va Khalil (2017) dieu t r a lieu cac cdng ty ldn cd t h a t sfl giam sfl ba't dd'i xflng thdng tin vdi cac n h a d a u tfl ne'u ho sii dung phfldng tidn t r u y e n thdng xa hoi (nhfl Twitter) de phd' bie'n tin tflc. Cac tac gia nhan tha'y rdng, nhflng tin tflc do chfnh ban t h a n cdng ty t h a u tdm d a n g t a i (firm- initiated news) CO k h a n a n g lam t a n g t i n h t h a n h khoan ciia gia co phie'u, do do ke't qua nay u n g ho gia thuye't giam ba't dd'i xflng thdng tin gifla cong ty va cae n h a ddu tfl. Nhin ehung, cac nghien cflu hidn cd da lam rd vai trd cua mdi trfldng t h d n g tin
cdng ty ddi vdi h a n h vi n a n g gia co phid'u cua eae cdng ty muc tieu va ddng t h a i dieu ehinh gia chao m u a cua cac cdng ty t h a u tdm d cac quo'c gia cd mdi trfldng the chd' td't va cha't lifdng m i n h bach thdng tin cao.
Thi trfldng M&A Viet N a m trong nhflng n a m qua da chflng kie'n nhflng eon so' ky luc. Theo bao cao eua SDC P l a t i n u m , trong giai doan 2007-2018, da cd gdn 4.000 t h u o n g vu M&A dUdc thflc hien t h a n h cong tai Viet N a m , vdi tong gia tri len tdi 48,8 ty USD. Ndu nhfl trfldc day, da p h d n n h a ddu tfl nudc ngoai lUa ebon lap dfl an, xay n h a may mdi de ddu tfl d Viet Nam, thi nhflng n a m vfla qua, d a u tfl trfle tid'p nfldc ngoai dUdc p h a t trien chu ye'u thong qua m u a lai eac dfl an dang p h a t tri^n. Sfl p h a t trien cua t h i trflcJng M&A Viet Nam trong thdi gian qua gan lien vdi tie'n t r i n h co phdn hda doanh nghidp n h a nfldc, dac biet la ehinh sach thoai vd'n t a i cac doanh nghiep n h a nfldc theo Quye't dinh sd' 1232/2017/QD-TTg phe c h u a n d a n h mue 406 doanh nghiep n h a nfldc p h a i thoai vd'n trong giai doan 2017 - 2020 dang dUdc day m a n h tri^n khai thflc hien. Tuy vay, thi trfldng M&A Viet Nam v a n edn nhieu t h a e h thflc, dae biet boat dong M&A dang dfldc quy dinh tai nhieu l u a t va v a n b a n quy p h a m p h a p l u a t khac n h a u va mdi chi quy dinh chung, chfla cd nhflng quy dinh chi tie't. Didu nay vfla lam cho cac chu t h e t h a m gia hoat dong M&A gap khd k h a n trong vide thflc hien, vfla lam eho cac cd q u a n q u a n ly n h a nfldc khd kiem soat cac boat dong M&A. Ngoai ra, thflc t r a n g bao cao t a i chi'nh va cdng bd' thdng tin chfla m i n h bach, t h a o t u n g bao cao tai chinh (McGee, 2009), gay a n h hfldng dd'n dinh gia chao m u a trong thfldng vu, can trd ddng vd'n M&A xuyen bien gidi vao Viet N a m . Do vay, viec p h a n tich a n h hfldng cua moi trfldng t h d n g tin cua cdng ty de'n sfl t h a n h cdng cua eac thfldng vu la va'n de edn thidt. Cho den nay, day la mot va'n de chfla dfldc n g h i e n cflu mdt each toan dien d Viet Nam.
Nghien cQu Kinh tesi9(496) • Thing 9/2019 2 9
Moi trtfoing tiidng tin ...
2. Cd sol ly t h u y e t
2.1, Moi trudng thong tin cua cong ty Mdi trfldng thdng tin cua cdng ty p h a n a n h tinh minh bach cua cdng ty t r e n cd sd sfl san cd eua nhflng thdng tin lien quan de'n cdng ty dUdc cdng bd' r a cho cac n h a dau tu va nhflng ddi tae kinh doanh ben ngoai (Bushman va cdng sfl, 2004). Mdi trUdng thdng tin cua cdng ty td't nghia la cdng ty cd sfl minh bach thong tin, dac biet la minh bach trong edng bo' t h u n h a p (George va edng sfl, 2009). Dieu nay the hien trong thdng tin bao cao tai chinh va mdt phdn phan dnh mflc do bd't can xflng thdng tin gifla nhflng ngfldi ben trong va ben ngoai cdng ty. Healy va Palepu (2001) cho rang, ngay ca trong mot thi trfldng vd'n hieu qua, vdn cd kha n a n g xay r a va'n de quan tri ldi n h u a n tfl cae n h a q u a n ly cdng bd' r a ben ngoai^. Sfl minh bach trong cdng bd' thdng tin cua cdng ty cd vai trd q u a n trong, a n h hflcing de'n eac quyd't dinh cua n h a ddu tfl t r e n thi trfldng chflng khoan. Do la ly do tai sao cd ba't ky t h a y doi nao ve tinh minh bach trong cdng bd' thdng tin se dan den sfl ba't can xflng thdng tin va a n h hfldng den gia tri t h a t eua cdng ty. Nghien cflu cfla E a r t h va cdng sfl (2013) k i l m t r a mdi lien quan gifla tinh minh bach trong edng bd' t h u nhap (phan a n h sfl ba't can xflng thdng tin thu nhap) va chi phi vd'n cd p h d n cung nhfl nhflng t h a y ddi ve gia tri thi trfldng cua cdc cdng ty. Nghien cflu n h a n tha'y rang, nhflng cdng ty it cd ba't can xflng trong cdng bd' thdng tin t h u n h a p se cd chi phi vd'n tha'p hdn va phan a n h chinh xac hdn gia tri cong ty.
2.2. Hdnh vi ndng gid co phie'u trUdc khi cae thiidng vu M&A dttac thong bdo
0 ca'p dp cdng ty, ly thuye't thdng tin ba't ddi xflng de xua't rdng, mflc do minh bach thong tin khac n h a u dang ke gifla cac cdng ty mtic tieu la do sfl khac biet ve mdi trfldng thdng tin cua cdng ty. Do dd, cac cdng ty muc tieu vdi mflc do thong tin ba't ddi xflng
cao hdn cd the ddn dd'n h a n h vi tang S^
phieu dang ke trUde khi thdng bao m^f^.^f va phu hdp vdi gia thuye't nang gia co P le trudc thdng bao mua lai dUdc de xuat bdi Keown va Pinkerton (1981)- Jensen ya Rubaek (1983), J a r r e l l va Poulsen (1989) i^p luan rang, viec t a n g gia co phieu cong ty muc tieu trudc khi thfldng vta dfldc ^ehmh thflc thong bao xua't phat dfl bao cua thi trudng dfla t r e n thong tin eong k h a i eua cdng ty. Nghien cflu nha'n manh vai tro eong bo thdng tin cua cdng ty ddi vdi sfl bidn ddng gia CO phie'u cdng ty muc tieu tiem nang trfldc ngay cong bo thfldng vii. Mac du ho khdng giai thich dfldc cd ehe tai sao thdng tin duoc dua vao trong gia eo' phieu. Ma va cdng sii (2009) chi r a rang, rd ri thdng tin do mdi trfldng p h a p ly kem va thie'u thflc thi p h a p luat cd the tao r a sfl t a n g gia co phieu.
Nghien cflu eua ho dfla ra gia thuye't rdng, eae nfldc p h a t trien cd hd thd'ng p h a p ly td't di bao ve ldi ieh cfla co ddng cflng nhfl phuc ldi eua ngfldi tieu dung, khac vdi nhieu n i n kinh te mdi noi hoac dang p h a t trien vdi moi trfldng p h a p ly kem cung nhfl cdng tac thflc thi ludt p h a p ye'u. Nghien cflu di nghi rang, rd ri thdng tin tai eac thi trfldng dang phat trien cd the dfldc p h a n a n h trong dinh gia co phie'u trfldc ngay cong bd' sfl kidn t h a u tom.
0 khia canh lien quan, Schwert (1996) n h a n tha'y r a n g , h a n h vi n a n g gia co phi^u cua cdng ty muc t i e u se ap d a t chi phi mua lai len edng ty t h a u tdm va tfl dd gia tang ldi tflc phu trdi (abnormal r e t u r n s ) cung nhfl gia tri cong hfldng (synergies) cua cac co ddng cdng ty muc tidu sau khi thfldng vu dfldc hoan t h a n h . Ly giai cho h a n h vi nang gia nay, mot sd'nghien cflu cho rdng sfl tang gia phan a n h ky vong va p h a n flng cua cae n h a ddu tfl dd'i vdi sfl kien thdng bao thfldng vu sdp tdi. Giai thich thfl h a i la su t a n g gia 3. Quan tri lgi nhufln duoc djnh nghTa ik hanh vi hoSc c5c thii thuat di^u chinh bdo cdo tSi chmh cits nha quin Iy c6ng ty din de'n vite phan dnh thi^u thiSn l6ch hoSc phong dai kfi't qua hoat dfing kinh doanh cua cbne ty (Healy va Palepu, 2001).
30 Nghidn cdu Kinh t^si9(496)^yi;S^^^^oi^
Moi trirdng tliong tin
den tfl Sfl gia t a n g khdi Ifldng giao dich ba't thfldng cua nhflng ngfldi ben trong cdng ty trfldc ngay sfl kien dflde cdng bd'. Nghien cflu cua Jabbour (2000) n h a n tha'y nhflng ngfldi ben trong cdng ty cd cd hdi dat dfldc ldi tflc phu trdi dfldng trong khoang thdi gian trfldc khi cdng bd' sfl kien. Jabbour, J a h l v a n d va Switzer (2000) bd' sung them, t h a y vi giao dich ndi gian, ky vong cua nhflng n h a dau tfl ve kha nang t h a n h cdng ciia thfldng vu sdp tdi la sfl giai thich quan trong nha't cho viec tang gia ed phie'u cua cdng ty muc tieu trfldc ngay cdng bd' thfldng vu.
Ve phfldng dien ldi tflc cd' phie'u, mot sd' nghien cflu khac n h a n tha'y rdng, dac di^m thi trfldng anh hfldng khae n h a u ddn ldi tflc phu trdi xung quanh ngay thdng bao thfldng vu. Y;ylmaz va Tanyeri (2016) n h a n tha'y ldi tfle phu trdi cua cdng ty muc tidu cao hdn dang ki d cac thi trfldng p h a t tri^n so vdi cac thi trfldng mdi n^i. Sfl khac bidt nay cd the dfldc giai thich bdi hieu qua thi trfldng.
Hieu qua thi trfldng khac n h a u gifla cac nfldc phat trien va dang p h a t trien do sfl khac biet v l t h a n h khoan (Chordia va cong sfl, 2008), hoac sfl khac biet ve h a n h vi q u a n tri ItJi nhuan (George va cdng sfl, 2009). Ne'u thi trfldng k6m hidu qua hdn d mot sd' qud'e gia so vdi cac qudc gia khae, p h a n flng thi trfldng cd the cham hdn d cac quo'c gia kem hidu qua hdn.
Hien tai d Viet N a m van chfla ghi n h a n nghien cflu nao danh gia tac ddng ciia mdi trfldng thdng tin cua cdng ty de'n h a n h vi nang gia cd phieu cua cac cong ty muc tieu trong thfldng vu sap n h a p va mua lai.
Nghien cflu nay hoan thien khoang trd'ng neu trdn va cho rang, moi trfldng thong tin ciia cdng ty k^m cd t h e lam giam n h a n thflc va tdm nhin cua n h a ddu tfl, do dd gia t a n g hanh vi nang gia co phieu trfldc khi thfldng vu dfldc cdng bo. Nghien cflu nay de xua't hai gia thuye't nhfl sau:
Gia thuyet Hi: cac cdng ty mtic tieu cd hanh vi nang gia cd' phieu trfldc khi thfldng vii dfldc thdng bao.
Gia thuye't H2: moi trfldng thdng tin cfla cdng ty da tae ddng de'n h a n h vi dieu chinh gia chao mua va ldi tfle co phie'u xung quanh ngay thdng bao thfldng vu.
3 . DuT l i e u v a p h t f d n g p h a p n g h i e n cflu
3.1. Dd lieu
Trong nghien cflu nay, mau khao sat bao gdm toan bd eac cdng ty muc tieu cd niem ye't t r e n h a i Sd Giao dich chflng khoan t h a n h pho Ho Chf Minh (HOSE) va H a Ndi (HNX) trong k h o a n g thdi gian 2005-2018.
Dfl lieu ke' toan, ke't qua tai ehinh va gia co phieu dfldc sti dung trong nghien cflu nay dflde cung ca'p bdi StoxPlus, mot cdng ty uy tin chuyen t h u t h a p va p h a n tich dfl lidu tai chinh cua cac cdng ty d Viet Nam. Dfl lieu ve thuong vu M&A dfldc t h u thap tfl cd sd dfl lieu cd tra phi Thomson Reuters SDC Platinum.
De xfl ly va'n de thien lech mdu, nghien cflu nay loai bd cac thfldng vu ma cdng ty t h a u tdm chao m u a cd p h d n tai cac cdng ty muc tieu it hdn 5% va ndm gifl it hdn 5%
sau khi thfldng vu dfldc hoan thanh. Kd't qua cudi cung, nghien cflu da t h u t h a p dfldc 486 thfldng vu M&A trong giai doan 2005- 2018.
3.2. Phiidng phdp nghien cdu
• Phiidng phap nghien cdu siJ kien (Event study)
Phfldng p h a p nay dfldc sfl dung de do Ifldng a n h hfldng cua nhflng sfl kien nha't dinh de'n sfl bien dong gia ed phieu cua doanh nghiep (goi la ldi tflc ba't thfldng hoac Idi tflc p h u troi) xung q u a n h ngay thdng bao sfl kien. Theo do, ty sua't ldi tflc ky vong eua cd' phie'u i vao ngay t dfldc xac dinh tfl md hinh thi trfldng c h u a n (Standard market model):
£(/;„) = a;-H/fJ^,-^£(£„) (1) Trong dd, R„t la ty sua't ldi tflc thi trfldng vao ngay t; Oi, p., va e,tldn Ifldt la he so'ehan, rui ro he thd'ng cua ed' phie'u i va khoan muc sai so' (trong dd E(eit)=0)).
Nghi6n ciiu Kinh tisS9(496) • Thing 9/2019 3 1
Moi trtfdng tiidng tin ,
Ldi tflc ba't t h u d n g cua ed' phie'u i vao ngay t (AR,t) dUdc xae dinh n h u sau:
AR„=R,,-(a,-i-b,.R_^,) (2) Trong dd, Rmtia ldi tflc vao ngay t cua t h i trudng; ai va hi la cae h e so' fldc Ifldng tfl viee hoi quy R,ttheo Rmt vdi mgt khoang thdi gian fldc Ifldng T (Estimation period) dfldc xae dinh trfldc.
Theo B e r t r a n d va Zitouna (2008), a n h hudng cfla mdi sfl kien M&A de'n bie'n ddng gia cd' phie'u dfldc p h a n a n h khdng chi vao ngay thdng bao thfldng vu m a cdn dflde t h e hien trong mot k h o a n g thdi gian xung q u a n h ngay thdng bao thUdng vu, ggi la cfla sd sfl kien. Moi cfla sd su kien b a t dau tfl Ti ngay trudc ngay thdng bdo su kien de'n T2 ngay sau ngay thdng bao sfl kien, cfla sd sU kien (Ti, T2). Sfl chenh lech gifla ldi tfle thflc va ldi tflc ky vong cua mdi ed' phie'u trong khoang thdi gian cfla sd' sfl kien (Ti, T2) dfldc goi la ldi tflc p h u trgi tich luy (cumulative abnormal r e t u r n , CAR):
CAR,,
.=!:
AR. (3)Kie'm dinh cross-sectional t-test dfldc sii dung de kiem dinh y nghia thd'ng ke cua CAR.
CAR IN ' S^l^ (4)
Trong dd, CAR l a ldi tfle p h u trdi tich luy cua ta't ca cd phidu trong mdu q u a n s a t trong mdi ciia sd sfl kien; N la so' ngay trong khoang thdi gian cua efla so sfl kidn (Tl, T2); SCAR la do lech c h u a n ciia CAR trong khoang thdi gian fldc Ifldng T.
Nghien cflu nay dfla t r e n phfldng p h a p eua Danbolt va Maciver (2012) sh dung khoang thdi gian Udc lUdng T=220 ngay trUdc thdi diem thong bao thUdng v u de Udc lUdng t h a m sd' md h i n h t h i trUdng'*.
• Hoi quy da bien vdi dd lieu cheo De khao s a t a n h h u d n g cfla mdi trUdng thong tin cua cdng ty de'n bie'n thien ldi tflc phti trdi cd' phie'u cdng ty muc tieu, c h u n g
, -. J Kion vdi dfl tdi dua t r e n md h i n h hoi quy da Diew lieu cheo nhfl s a u :
CARHO.-3I>= PO + PiClBa-i
p2C0NTR0LS,,t-i + YJ + 5t + ^.t (5) Trong dd:
- Bie'n p h u thude (CAR(.40,.3.)): p h a n a n h ldi n h u d n ba't thfldng ticb luy trong 10 ngay. tfl ngay t-40 de'n ngay t-31 trfldc ngay thong bao sii kien M&A.
- Bien doc lap (CIE): sCl dung 2 biS'n thay the cho moi t r u o n g thong tin cua cong ty la:
+ Tfnh t h a n h k h o a n kem cua cd phieu (ILLIQ):
Bushman va cong sU (2004) chi r a rang, moi trUdng thong tin cua cong ty phan anh tinh minh bach eua mSi cong ty va c6 the duoc dinh nghia la sU san co cua thong tin cu the cua eong ty doi vfli nhQng nguoi ben ngoai.
Theo Dow va Gorton (1997), Subrahmanyam va Titman (2001), m o t t h i trilong co thanh khoan tdt se thiic day hoat dong giao dich, dac biet la giao dich dUa t r e n thong tin, do vay cai thien t h e m t i n h thong t i n cua gia cd phieu, giam bdt hien tUdng thong tin b a t ddi xiing. Do do, h mot goc do nao do, thanh khoan cd phieu mot p h a n th§ hien moi trudng thong tin cua cong ty. Nghien cQu nay sii dung chi sd t h a n h khoan kem cua co phieu do Amihud (2002) xay dung. Tinh t h a n h khoan k e m (ILLIQ) diiOc do luSng nhu sau:
ILLIQ,,
" D„ h v,„
Trong do: ILLQ.i la chi s d k e m thanh k h o a n ciia c6 phiSu; R,dt la lgi n h u a n giao dich ciia cd phieu i mdi ngay d trong mdi n a m t; Du l a sd ngay giao dich ma cd phieu i giao dich t r o n g moi n a m t; V,j, l|i khoi lugng cd p h i f o i dugc giao dich mdi ngay d trong moi n a m t.
4. Nghifin clhl ciia Danbolt vS Maciver (2012) nhan thiy khoang thiri gian 220 ngiy Inlfc ngiy j , ^ y^
thrcong vu (mac dinh ngay 1=0) co kha nang cu,, ^t, M„
du th6ng lin qua khU c4n Ihift d6 u6c luq„g cic i|,L ,6 thi trutmg, lam co si cho viic dii bao Icii tuc i^j "
32 Nghien cAi Kinh tesd9(496^7y^^T~—
Moi truang tiidng tin ...
Khi ty Id kem t h a n h khoan cao, tflc ILLQ,t ldn, CO phie'u i dfldc xem la co t h a n h khoan tha'p. Ty Id nay dflde coi la p h a n flng cua gia CO phie'u hang ngay vdi khoi lUdng giao dieh.
Cach tinh nay dong thdi quan tam de'n do sau tflc la khdi Ifldng cd' phieu dfldc giao dich va do rdng, tflc la ehenh leeh gia co phie'u. Ty le t h a n h khoan k e m cua eo phieu cang eao thi t h a n h khoan cd' phie'u cang tha'p va ngfldc lai.
+ Quan tri ldi n h u a n (EM):
Theo Lang va Maffett (2011), sfl m i n h bach cd th^ dfldc th^ hien t h d n g q u a mflc do cdng bo thdng tin t h u n h a p eua cdng ty.
Leuz va cdng sfl (2003) va E a r t h va cdng sfl (2008) tap t r u n g vao k h i a canh q u a n t r i ldi n h u a n nhfl la chi d a u cho mdi trfldng thdng tin efla cdng ty. Dfla t r e n cac n g h i e n cflu hidn cd, chdng h a n S h i v a k u m a r (2000), chung tdi sd; dung tieu ehi don tich ba't thfldng, hoac don tieh p h u trgi (abnormal accruals) tai cuoi n a m tai k h d a de do Ifldng quan tri ldi n h u a n cua edng ty. Don tich ba't thfldng la sfl chenh leeh gifla don tich ky vpng so vdi don tich thflc te'. Cu t h e nhfl sau:
E
Don tich ky vong:
Acqt 1
= « i i
r+«2-;
AREVjt CPPE, + «3 Ait - 1 Art - 1 " Ait - 1 "* A.t - 1
trong dd: Ait-i la tong tai s a n vao cudi nam t-1 cua cdng ty i; REVu la chenh lech doanh thu t h u a n gifla n a m t va n a m t - 1 ; GPPEit la tai san co^ dinh gdp vao cud'i n a m t; Ql, a2, tta la t h a m so cua mdi cdng ty.
Cac t h a m so' cfla md h i n h ai, a2, aa dfldc fldc Ifldng sfl dung hoi quy OLS:
ACCjt 1
= a i AREVji GPPE.t
- 1 ^ - ^ A i t - l
trong dd: ACCt la don tich thflc te' cua cdng ty i trong n a m t; ai, a2, as la kd't q u a fldc Ifldng cua ai, a2, aa sii d u n g hoi quy OLS.
- Bien k i e m soat (CONTROLS): de kiem soat md h i n h , n g h i e n cflu sii d u n g 2 nhdm bien kiem soat s a u : (i) cac bie'n ngi
t a i ciia cdng ty muc tieu (firm-level) gom:
LEVERAGE: ddn bay t a i chinh, ROA: ty Id ldi n h u a n t r e n t a i san, SALESGROWTH: ty le t a n g trfldng doanh t h u ; (ii) cac bie'n dac diem cua thfldng vu (deal-specific) gom:
RELATED: bie'n nhi p h a n (nhan gia tri b a n g 1 ne'u cdng ty mue tieu va edng ty t h a y tdm boat ddng trong cflng mot Hnh VUe, n h a n gia t r i b a n g 0 cho trUdng hdp ngUdc lai), CASH: bie'n nhi p h a n (nhan gia tri bang 1 n e u thfldng vu dfldc t h a n h toan b a n g tien m a t va n h a n gia tri b a n g 0 cho cac trfldng hdp cdn lai), TOEHOLD: bien nhi p h a n (nhan gia t r i bdng 1 n e u edng ty t h a u tdm cd sd hflu vdii ed p h d n trong edng ty muc tieu t a i thdi diem thfldng vu va n h a n gia tri bdng 0 cho trfldng hdp ngUde lai).
Md h i n h (5) cung bao gom a n h hfldng cd' dinh n g a n h (YJ) va a n h hfldng cd' dinh nam (5t) n h d m kiem soat tac ddng chi phdi cfla n g a n h va n a m len a n h hfldng eua quan tri cdng ty de'n chinh sach p h a n phd'i cd tfle.
Ngoai ra, sai sd' e h u a n cflng da dfldc didu chinh (robust s t a n d a r d errors) de giai quyd't hien t u d n g phfldng sai khdng ddng nha't va dfldc fldc Ifldng theo n g a n h de giai quyd't va'n de tfl tfldng quan.
4. K e t q u a v a t h a o l u a n
4.1. Bien dgng ldi tUc co phieu cua cong ty muc tieu
B a n g 1 t r i n h b a y bie'n ddng ldi tflc cd' p h i e u cua cdng t y muc t i e u x u n g q u a n h n g a y t h d n g bao sfl k i e n M&A. Ke't qua cho tha'y ldi tfle p h u t r d i cdng don (CAR) cd xu hfldng t a n g ca trfldc va sau n g a y t h d n g bao thfldng v u (ngay thfldng vu dflde gia d i n h la t=0). Ke't q u a n a y p h u hdp vdi cac n g h i e n cflu h i e n cd d b i n h dien qud'e te' k h i cac cdng ty muc tieu cd k h u y n h hfldng n h a n ldi tflc dfldng so vdi cac edng ty t h a u tdm. Dac biet, n g h i e n cflu n a y n h a n tha'y h e sd' CAR ed xu h u d n g t a n g m a n h tfl 30-40 n g a y trfldc n g a y t h d n g bao thfldng vu vdi ldi tflc 45%
va 5 1 % eho l a n Ifldt la eac ciia so sfl kien
Nghiin cdu Kinh te si9(496) - Thing 9/2019 33
iVIoi truang tiidng tin
T=(-30,-21) va T=(-40,-31). K h u y n h hfldng ldi tflc dfldng tie'p t u c d u y t r i eho de'n n g a y hdm trfldc cua sfl k i e n , ldi tflc cfla cfla so sfl k i e n T=(-1,0) len d e n 212%. Kd't
q u a n a y flng hd gia thuye't H I va dd n g h i r d n g da ed h a n h vi n a n g gia cd' phieu c edng ty muc t i e u trfldc n g a y thdng bao kidn t h u d n g vu.
BANG 1: Ltfi tflc co p h i e u cua cong ty m u c tieu x u n g q u a n h ngay t h o n g bao thfldng v u Ciiasdsilki^n
CAR(0,1) CAR(0,5) CAR(0,10) CAR(0,1S) CAK(0,20) CAR(0,30) CAR(0,40) CAR(-1,0) CAR(-1,I) CAR(-i,0) CAR(-S.5) CAR(-20,-l) CAR(-30,-21) CAR(.40,-3I)
N 302 302 302 302 302 302 302 302 302 302 302 302 302 302
Mean 0.02 0.47 0.16 0,61 0.85 0.85 1.44 2.12 0.05 0.02 0.18 0.34 0.45 0.51
Std.
Dev, 0.82 2.50 2.15 5.65 7.43 7.43 10.78 14.17 1.11 0.74 2.15 3.81 3.37 2.92
initio 0.40 3.27*»*
1.30 1.89*
1.99»*
2.00»*
2 . 3 2 "
2.61 • • • 0.07 0.57 1.45 1.57 2,34»»
3.05*»*
Ghi chii: Ky hiftu ***, ** vS * I ^ luat chi miic y nghia 1%, 5% vk 10%.
Nguin:'\'\\A\ toan cua nhom t^c gia.
Tuy nhien, de dam bao ke't q u a n g h i e n eflu d trdn khdng hi t h i e n lech t r o n g m l u nghien cflu, nghien cflu n a y tiep t u c k h a o s a t bie'n ddng ldi tfle cd' phie'u edng ty muc tieu theo tflng nhom phfldng thflc t h a n h toan. Cu t h e , cac n g h i e n cflu trfldc day da n h a n tha'y h a n h vi n a n g gia co phie'u cua edng ty mue tieu la de gay ap Iflc k h i e n cac cdng ty t h a u tdm p h a i t h a n h t o a n b a n g hoan ddi cd' phie'u va la'y flu thd' ve minh, hoac b a t budc cac cdng ty t h a u tdm p h a i n a n g gia chao m u a va t h a n h t o a n b a n g tien mat, hoac b a t huge cac cdng t y t h a u tdm phai r u t lai de n g h i chao m u a
nhfl mgt each p h d n g vd. Nhfl vay, nghien cflu bie'n ddng ldi tflc t h e o phfldng thflc t h a n h t o a n se c u n g ca'p nhflng p h a t hidn nha't dinh. Ke't q u a d b a n g 2 mot lan nfla cho tha'y, t o n t a i h a n h vi n a n g gia co' phie'u cua cdng ty muc t i e u tfl 30-40 ngay trfldc ngay t h d n g bao thfldng vu cho ca hai h i n h thflc, h o a n dd'i cd p h i e u (Non-Cash) va t i e n m a t (Cash); ldi tflc p h u troi 3 n h d m thfldng v u h o a n dd'i cd' phie'u cao hdn b a n n h d m thfldng vu t h a n h toan bang tid'n mat; h a n h vi n a n g gia cd xu hudng dien r a m a n h h nhflng thfldng v u t h a n h toan b a n g h o a n dd'i cd' p h i e u . K e t q u a nay ciing cho
34 Nghien cihi Kinh ti'si^9(496)'^yj^^^
Moi truang tiidng tin ,
tha'y mflc do ky vong cao ciia cd ddng edng edng ty t h a u tdm k h i h a i cong ty "ve ty muc tieu dd'i vdi vide sd hflu cd' phie'u e h u n g mot nha".
BANG 2: L d i tflc c o phie'u c u a c o n g t y m u c t i e u t h e o p h f l d n g thiJ^c t h a n h t o a n x u n g q u a n h n g a y t h o n g b a o t h f l d n g v u
Cutasdsiikien
CARfOJ) CAR(0,5) CAR(0,IO) CAR(0,15) CAR(0,20) CAR(0,30) CAR(0,40) CAR(-l,0) CAR(-1,]) CAR(-S,0) CAR(-S,S) CAR(-20,-lI) CAR(-30,-2l) CAR(-40,-3l)
Non-Cash N 177 177 177 177 177 177 177 177 177 177 177 177 177 177
Mean 0.06 0,28 0,57 0,87 1,14 1,83 2,61 0,06 0,10 0,30 0,55 0,76 0,78 0,74
Std.Dcv 0.74 1.94 3.49 0.11 6.80 9.80 12,85 0.70 1.01 1.95 3.41 3.06 2.70 2.39
Cash N 125 125 125 125 125 125 125 125 125 125 125 125 125 125
Mean -0.04 0.00 0.07 0.25 0.44 0.88 1.43 -0.03 -0.02 0.01 0.05 0,03 0.13 0.09
Std.Dev 0.91 2,41 4,29 -0,87 8.26 1.08 15.87 0.79 1.23 2.39 4.32 3,73 3.17 2.62
Difference testing
0.97 1.12 1.11 0.94 0.80 0.76 0.72 1.01 0,91 1,<2 1,13 1,86*
1.92*
2,22»*
Ghi chu: Ky hiftu ***, ** \h. * 1 ^ luot chi miic y nghTa 1 %, 5% v i 10%.
Nguin: Tmh toan cua nhom t^c gia.
4.2. Moi triidng thong tin cua cong ty muc tieu
Nghien cflu tiep t u c xem xet cha't Ifldng mdi trflcJng t h d n g tin cua cdng ty m u c tieu trfldc, trong va s a u k h i thfldng vu h o a n t h a n h . Trong b a n g 3, n g h i e n cflu sfl d u n g bie'n t h a n h k h o a n co phid'u va t r o n g b a n g 4 la q u a n t r i ldi n h u a n . K e t q u a d b a n g 3, ve cd ban, khdng cho tha'y cd sfl k h a c b i e t ro ret trong t h a n h k h o a n cd' p h i e u trfldc va sau khi thfldng vu dfldc h o a n t h a n h . Ket qua k i l m dinh so s a n h trfldc ( n a m -1), trong (nam 0) va s a u ( n a m +1) k h i h o a n t h a n h thfldng v u cho tha'y, t h a n h k h o a n cd'
phie'u cdng ty muc t i e u k h d n g ed k h a c biet cd y n g h i a thd'ng kd. Tuy nhien, khi xem xet cac h i n h thflc cua moi thfldng vu thi cho kd't q u a k h a phfl hdp vdi cac n g h i e n cflu hidn cd. C h a n g b a n , mdi trfldng thdng tin cua nhflng cdng t y muc tieu t r o n g cac thfldng vu t h a n h t o a n b a n g hoan doi cd p h i e u la to't hdn trfldc k h i thfldng vu dfldc t h d n g bao. Dieu n a y cho tha'y, de dam bao cho vide edng ty t h a u tdm se sap n h a p mdt ddi tac ed cha't Ifldng, cac cd ddng cua ho yeu cau Ifla chgn nhflng dd'i tae cd cha't Ifldng mdi trfldng va cong bd' t h d n g tin tot hdn.
Nghiin cOu Kinh li so 9(496} - Thing 9/2019 35
Moi triritng thong t i n . .
B A N G 3 . T h a n h k h o a n c o p h i e u
All deals Paymenl
Toehold
Location Cash Non-Cash
Toehold Non- Toehold
Cross- border Domestic
Pre-bidyear(-l)
N 345 141 193 114 220 40 293
Mean
•2.39 -2.73 -2.16 -2.08 -2,56 -2,37 -2.41
Std.
Dev 3.17 3.20 3.11 2.92 3.27 3.09 3,18
t r i f d c v a s a u k h i t h i f o l n g Announcement year
(0) N 346 141 193 114 220 40 293
Mean -2.62 -2.84 -2.47 -2.03 -2.93 -2.14 -2.68
Std.
Dev 3.17 3.26 3.09 2.82 3.29 2,86 3,20
Post-bid year (1)
N 331 141 176 108 209 40 276
Mean -2,57 -2.56
•2.66, -1.89 -2.99 -2.21 -2.67
Std.
Dev 3.37 3.41 3.38 3.09 3.49 3.48 3,39
vu dlidc hoan tbanh
(-1 ) vs. (0)
diff 0,23 0,11 0.31 -0.05 0,37 -0,23 0.27
t-ratio 1.54 0.50 I J 7 -0.23 1,99**
-0.63 1.72*
( - 1 ) "
diff 0,18
•0,17 0.42 -0.29 0.41 -0.16 0.21
. ( + 1 ) t-ratio
0,94 -0,62 1,84*
-0,97 1.78*
-0.34 1.06 Ngudn: Tinh loan cua nhom lac gia.
Bang 4 trinh bay ket qua khao sat Men quan tri left nhuan tnidc khi thUOng vu ciuclc thong tri Im nhuan. Ket qua cho thay, co sU chenh lech bao la cao hdn va co y nghia thong ke, dieu nay trong hanh vi quan tri ldi nhuan ciia cong ty cho thay, moi trUdng thong tin kem hdn, dong muc tieu triidc va sau khi thudng vu dUdc hoan nghTa vdi sU bat doi xflng thong tin cac hdn. Ket thanh. Theo do, he so phan anh hanh vi quan qua nay phii hdp vdi gia thuyet H2.
BANG 4. Quan tri ldi n h u a n triiflc va sau khi t h i i d n g v u diidc h o a n t h a n h
All deals
Toehold
Location Cash Non-Ca,sh
Toehold Non- Toehold
Cross- border Domestic
Pre-bidyear(-l)
N 345 141 193 114 220
40 293
Mean 0.15 0.16 0.13 0.14 0.14
0.10 0.15
Std.
Dev 0.27 0,35 0.21 0.20 0.31
0.08 0.29
Announcement year (0) N 346 141 193 114 220
40 293
Mean 0.11 0.12 0.11 0.15 0.10
0.09 0.12
Std.
Dev 0.19 0.19 0.18 0.24 0.15
0.12 0.19
Post-bid year (1)
N 331 14!
193 114 220 40 293
Mean 0.15 0,09 0.21 0.20 0.13 0.35 0.02
Std.
Dev 0,42 0.09 0.57 0.64 0.27 1,10 0,20
(-l)vs.CO)
diff 0.04 0.04 0,01 -0,01 0.04 0.00 0.02
t-ratio 1.79*
1.12 0.60 -0.30 1.66*
0.13 1.23
(-1) vs. (-1-1)
diff 0.00 0.07 -0.08 -0.06 0.01 -0.26 •
0.02 t-ratio
0.47 2.41**
-1.84*
-0.98 0.42
-1.47 0.99 Nguin.Tinh toan cua nhom tac gia.
4.3. Moi triidng thong tin cua cong ty vd ldi tdc CO phieu
Bang 5 xem xet md'i tfldng q u a n gifla mdi trfldng t h d n g tin cua edng ty muc tieu va ldi tflc ed phie'u. Bie'n phu thude (CAR(..jo,.3ii)
p h a n a n h ldi tflc p h u trdi tich Ifly trong 10 ngay, tfl n g a y t-40 de'n n g a y t-3l trifdc ngay t h d n g bao sfl kidn M&A (day cflng la k h o a n g thdi gian chflng kie'n su gi^ t a n g trong h a n h vi n a n g gia cd' p h i e u nhu da de
36 NghiencAiKinh tesd9(496) -IhS^^^^
Moi trurang thong tin
cap t r o n g b a n g 1 va 2). Kd't q u a hoi quy CAR(.4o,-3i), n g h i a la cdng ty mue tieu vdi eho tha'y rang, bie'n t h a n h k h o a n ed' p h i e u moi trfldng t h d n g t i n k e m hdn thi ldi tflc kem (ILLIQ) cd tfldng q u a n d j d n g va co y ba't thifdng eao hdn va ke't qua nay eung ngbia thdng ke d mflc 1% doi vdi bien phfl hgp vdi gia thuye't H2.
BANG 5: A n h htfdrng c u a m o i trridfng t h o n g t i n c u a c o n g ty d e n ldi tflc co p h i e u
Bi6i
ILLIQ
EM
SALESGROWTH
LEVERAGE
ROA
RELATED
CASH
TOEHOLD
Constant
Industry. Year effects Adj.R=
N
Loi tile c6 phifu (1)
0.097**
(2.04)
0.686***
(3.61)
n
0.04 262
(2) 0.107**
(2.10)
0.302 (1.26) 1,047 (1,51) -0,119 (-1,03) 0,605 (1,01) -0,690**
(-2,21) 0,225 (0,68) 0.469 (1.12) IY 0.07 260
(3)
0.458 (1.45)
0.393**
(2,11) TY 0.02
262 (4)
0.198 (0.25) 0.161 (0.68) 0.966 (1.38) -0.068 (-0.59) 0.656 (1,08) -0,800***
(-2,58) 0.268 (0.80) 0.226 (0.55) TY 0.04 260
Ghi chu: KJ hieu ***, ** va * ldn luoi chi miic y nghia \%, 5% va 10%. Cdc m6 hmh 6 trSn da bao g6m anh hucmg co djnh ng&nh (jj) va anh hudng c6' dinh nam (Si) nhSm ki^m soat tac dfing chi ph6'i cfia nganh (I) vii nam (Y) d6i v6i anh
hucmg cua thanh khoan c^ phieu den sU Ilia chon khu vuc M&A. Trong ngoac dem la gid tri l-rafio.
Nguon: Ti'nh toin cua nhom Eac gia.
5. Ket l u a n v a h a m y c h i n h s a c h Sfl dung bd dfl lieu toan dien ve cac thfldng vu d Viet Nam trong giai doan 2005- 2018, kd't qua nghien cflu cho tha'y, cd h a n h vi nang gia cd phie'u cua cdng ty muc tieu trfldc ngay thdng bao sfl kien thfldng vu M&A d Vidt Nam. H a n h vi n a n g gia cd xu hfldng diln r a m a n h 5 nhflng thfldng vu
t h a n h toan bang hoan doi co phie'u va cho tha'y, mflc do ky vong cao cua cd ddng cdng ty mue tieu dd'i vdi vide sd hflu cd phieu cua edng ty t h a u tdm d thi trfldng M&A Viet Nam. De kiem chflng gia thuyet lieu mdi trfldng thdng tin kem hay sfl ba't dd'i xflng thdng tin cao hdn trong cac cdng ty mue tieu la nguyen n h a n d i n de'n h a n h vi nang gia ed
NghiSn alU Kinh le sd9(496) - Thing 9/2019 37
Moi trudng ttiong tin .
phid'u, nghien cflu sfl dung 2 chi tieu: tinh t h a n h khoan kem va q u a n tri ldi nhuan. Ke't qua nghien cflu eho tha'y, cd sfl ehenh Idch trong h a n h vi quan tri ldi n h u a n eua cdng ty mue tieu triidc va sau khi thUdng vu diidc hoan thanh. Dieu nay cho tha'y mdi trfldng thdng tin kem hdn, dong nghia vdi sfl ba't dd'i xflng thdng tin cao hdn cua cac cdng ty muc tieu ed h a n h vi nang gia. Ke't qua nay khang dinh mdi trfldng thdng tin ddng mot vai trd quan trong trong h a n h vi eua cac edng ty mue tieu ndi rieng va qua trinh lap kd' hoach thfldng vu ndi chung. Nghien cflu nay ddng gdp them vao cd sd thflc nghiem ve md'i quan he gifla hidu qua mdi trfldng thdng tin va qua trinh tai ca\i true doanh nghiep theo dinh hfldng thi trfldng d Viet Nam.
Ke't qua nghien cflu cung cap mdt sd' ham y chinh sach quan trong:
- Dd'i vdi cac nha hoach dinh chinh sach, ke't qua nghien cflu giup cac nha hoach dinh chinh sach va quan ly trong linh vflc tai chinh hieu ro them vai trd va tam quan trong cua mdi trfldng thdng tin dd'i vdi thi trflcfng M&A, tfl dd, dfla r a nhflng chinh sach, dinh hfldng hanh ddng phu hdp nham thue day sfl minh bach cua mdi trfldng thdng tin doanh nghiep, khuyd'n khich phat trien thi trfldng M&A tai Viet Nam. Dae biet, hd thd'ng phap luat cln cd quy dinh chi tie't de b a n che rui ro cho ca ben ban va ben mua tren ca hai phfldng dien: (i) cac t h u tuc, nguyen tac, phfldng phap dinh gia, quyen va nghia vu ciia cac ben tham gia...; (ii) cac tinh hud'ng xfl ly cac va'n de phat sinh sau khi thflc hidn thfldng vu M&A.
- Dd'i vdi cac n h a quan tri cdng ty di mua, ye'u to' hieu qua mdi trfldng thdng tin cua cong ty mue tieu mang tinh quye't dinh den gia tri cdng ty va lap ke' hoach chao m u a eua cdng ty thau tdm. Viec n h a n dien va Ifla chon cdng ty muc tieu tiem n a n g nen dfla vao cha't Ifldng cdng bd' thdng tin cua edng ty muc tieu ra cdng chung. Nd'u ke't qua fldc tinh gia tri cong hfldng tiem nang dfldc tao r a tfl viec sap
n h a p cong ty mue tieu la cao va ben vflng trong dai han, cdng ty di mua nen co gang dieu chinh gia chao mua de dat diidc ky vong thau tdm; ngfldc lai, cac eong ty di mua nen tfl bo nhflng cong ty muc tieu co hanh vi nang gia dfla tren sfl bat doi xflng thdng tin gifla ngfldi ben trong trong va cac chu the hen ngoai cdng ty./.
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Ngiy nhan bai:
Ng&y duy^t dang:
30-5-2019 18-7-2019
Wgh/^n ciiu Kinh \Ssd9(49B) • Thing 9/2019 39
