TAP CHi CONG THlTtfNG
TAC DONG CUA DONG TIEN DEN HIEU QUA DAU TlJ - NGHIEN ClfU TAI
THANH PHO HO CHI MINH
• TRAN DIEU HUdNG - BUI THj MY HANH
TOM TAT:
Bai viet nay xem xet moi quan he gitfa ddng tien - dau ttf, tac ddng kiem soat cua nhd ntfdc tdi cac kenh tai tip tff ben ngodi cua cdc cdng ty phi ldi chinh niem ye't tren san giao dich chtfng khodn Hose. Ket qud nghidn ctfu cho thd'y md'i quan he giffa ddng tiln vd dtu ttf cd dang hinh chff U. Dp nhay cam dau ttf vdi ddng tien cua cdc cdng ty nhd ntfdc kilm soat Idn hdn so vdi cac cdng ty ttf nhan kiem soat ddc bidt khi ddng tiln dm. Stf khac bidt trong dp nhay cam chi xud't hidn khi cd hdi d^u ttf it di, Kd't qua hdi quy cung cho tha'y tac dong cua kiem sodt nhd ntfdc khdng giiip cac cdng ty thu dtfdc nhieu ngudn vd'n ben ngodi bdn,
Tuf khda: Dau ttf, vd'n chu sd htfu, kilm sodt nha ntfdc.
1. Cd sd ly thuyd't va phtfdng phap nghien ctfu Ly thuyet trat tU phdn hang cua Myers vd Majluf (1984): Theo ly thuyd't ndy khi ltfa chpn ngudn tditrdchodtfdndlu ttf thi doanh nghidp se tfu tidn tdi trd bang ngudn vd'n ndi bp trtfde, sau do mdi de'n phat hanh nd mdi vd cud'i cung Id phdt hanh vd'n cd phan mdi.
Ly thuye't ddu tii tobin q cua Tobin (1969):
Theo ly thuye't nay dtfa ra md'i lien quan gitfa dau ttf va q dtfdc tinh bdng gid tri thi trtfdng cua vd'n chia chi phi ihay the ciia vd'n. Nd'u q>l nghTa Id thi trtfdng ddnh gid cao gia tri von hdn gia tn cua nd thi cdng ty day manh dau ttf, ngtfdc lai cdng ty giam dau ttf. Tuy nhien, ly thuye't nay khdng giai thich dtfdc md'i lidn quan giffa tdi trd va dau ttf.
Ly thuye't ddng tien tUdo cua Jensen (1986): Cd sff mau thudn ve ldi ich cua ngffdi sd hffu vd ngtfdi quan ly. Ngtfdi quan ly stf dung ldi nhudn de tai dau ttf, md rdng quy md thay vi phdn phd'i cho cd ddng nham tdng kha ndng kilm sodt cua ho.
Ly thuyet gidi hgn ngdn sdch mem cua Kornai (1986): Nghien cffu ve "rdng budc ngan sach mem" d cdc nen kinh td' kd' hoach hda. Gidi ban ngdn sach mem xud't hien khi doanh nghiep nha ntfdc gap khd khan ve tdi chinh do lam an thua Id thi nha ntfdc dtfng ra gidi cffu bdng cdc ffu dai ve thud', tin dung hanh dpng giai cffu nay lap di lap lai dan dd'n cac doanh nghiep khdng cd ddng Itfc cat giam chi phi, d^u ttf cdng nghe san xud't mdi va hdu qua cua gidi han ngdn sach mem la doanh nghidp dau iff qud mtfc vtfdt qua nhu cau tao doanh sd ttfdng Iai, vide dau ttf khdng hidu qua do doanh nghidp se nhdn dtfdc trd giup khi khd khdn xay ra.
Trdn cd sd ke' thffa cdc cdng trinh nghidn ctfu d trdn, nhdm tdc gia dffa ra 4 giai thuyd't nghidn ctfu va tid'n hdnh kiem dinh cac giai thuyd't nghidn ctfu sau ddy:
HI: Md'i quan he gitfa ddng tien vd dau ttf cd dang hinh chtf U.
H2: Tac ddng ciia kiem soat cua nha ntfdc lam tang dp nhay cam dau ttf vdi ddng tien.
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TAI CHINH-NeAN HANI!-BAD HIEM
H3: Stf khac bidt trong do nhay cam dau ttf vdi ddng tien cua cdc cdng ty nha ntfdc kiem sodt va cdc cdng ty ttf nhdn kilm soat chi xud't hien khi cd hdi dau ttf ngheo nan.
H4 Tac ddng cua kiem sodt nha ntfdc tdi cdc kenh tai trd bdn ngodi,
Dff Hdu thu thdp ttf 73 bao cao tdi chinh cdc cdng ty phi tai chinh niem ye't tren San giao dich chtfng khoan TP. HCM (Hose) trong giai doan ttf nam 2015-2018, sau khi da loai ra cdc cdng ty tdi chinh, ngan hang, bao hiem, cac cdng ty ma nam kd'l thuc bao cdo tdi chinh khdc nam dtfdng lich, cac cdng ty khdng Id'y dtfdc ddy du dff lieu vd sd hffu nha ntfdc. Bai nghien ctfu sff dung phtfdng phdp GMM he thd'ng, Bdn canh sff dung GMM he thd'ng bai nghidn cffu cdn sff dung phtfdng phdp Pool 01s, Fixed effect hdi quy bang phan mem sala 11. Ngodi ra, bdi nghidn ctfu cung sff dung md hinh tobit vdl mdu hi kilm duyet tffc la mau dff lieu ma thdng tin ve bid'n phu thudc khdng cd cho mdt so' quan sat mac dung thdng tin ve cac bid'n hli quy Iai cd. Bid'n phdt hanh cd phid'u rdng bi kilm duyet phia bdn trai tai diim 0.
2. Kd't qua nghien cu'u
Qua ke't qua hdi quy GMM he thd'ng cho thd'y AR(1) (kilm dinh tff iffdng quan cac sd dff sai phan bac 1) cd ttf ttfdng quan bdc 1 vd khdng cd ttf ttfdng quan bdc 2. Ket qua kiem dmh Sargan test, Hansen test cho thd'y bien cdng cu la bid'n ngoai sinh. Kd't qua kilm dinh Difference-in-Hansen tests exogeneity of instrument - Idem dinh bid'n cdng cu stf dung cho phtfdng trinh level. He sd' dau ttfj., - 0,079 > he sd dau ttf^.i (cdt 7)= -0,1162 >, he sd dau ttft_] -0,203 ndn tfdc tinh td't khdng gap va'n dl dd Idch do mdu gdy ra. Ke't qua kiem dinh stf khdc bidt he sd'hdi quy ddng tien am vd ddng tiln dtfdng cho thay hd so ddng tien dtfdng vd ddng lien dm khdc nhau va cd y nghia thd'ng kd d mtfc 1%. Ttf nhffng bang chffng trdn cho tha'y mdi quan he giffa ddng tien va dau tff cd dang hinh chff U. (Bang 1).
Qua cdc md hinh trong bdng hdi quy tren bang phtfdng phap Fixed Effect cho tha'y khi cd hdi d^u ttf cao thi ddng tiln dm*gc, ddng tien dtfdng*gc khdng cd y nghia thd'ng kd qua cac md hinh. Tuy nhien, khi cd hdi dau ttf tha'p bid'n ddng tiln dm*gc, ddng tien dtfdng*gc cd y nghia thd'ng kd qua cdc md hinh, he sd ddng tien am*gc-hd sd' ddng tien dra>0, he sd ddng tien dtfdng*gc-hd so' ddng tien
dtfdng>0. Vl vay, khi cdhdi dau ttf ngheo nan, cac cdng ty nhd ntfdc kiem sodt tdng dau ttf khi ddng tiln dtfdng tang va khi ddng tiln dm giam vd tdc ddng ddng tiln dd'n dau ttf se Idn hdn cac cdng ty ttf nhan kiem sodt,
Ket qua hoi quy GMM hi thdng:
Quan sdt cdc be sd dp tre bien dau ttf, Kd't qua cho thd'y, hd so' dp ti"! bid'n dau ttf khi chay GMM he thdng nam trong khodn tfdc tinh ciia hd sd dd trd bid'n dau ttf khi chay bang Fixed Effect va Pool OLS. Vl vdy, tfdc Itfdng GMM he thd'ng la tfdc Itfdng lot khdng gap vd'n dl vl dd Idch do mau htfu han gdy ra, AR(1) kiem dinh ttf ttfdng quan cac so dtf sai phdn bdc 1 cho thay cd ttf ttfdng quan bdc 1, AR(2) kiem dmh ttf ttfdng quan cac so' dtf sai phan bdc 2 cho thd'y khdng cd ttf ttfdng quan bdc 2. Kd't qua kiem dmh Sargan test, Hansen test cho thd'y bid'n cdng cu la bie'n ngoai smh. Kd't qud kilm dinh Difference-m-Hansen tests exogeneity of instru- ment - kiem dinh bie'n cdng cu sff dung cho phtfdng trinh level Id bid'n ngoai sinh
Ke't qua hdi quy qua cdc md binh cho thd'y he so ddng tiln dtfdng*gc so vdi hd sd'ddng tien dtfdng, ddng tien dm*gc so vdi he sd ddng tien am cho thd'y so vdi cdng ty ttf nhdn kilm sodt, cdc cdng ty nha ntfdc kiem soat cd dp nhay cam dau ttf vdi ddng tidn Idn hdn ddc bidt khi ddng tien am, do dau ttf cua cdc cdng ty nha ntfdc kiem soat cdn gan them muc tidu tdng trtfdng va phdt triln cdc ngdnh cdng nghidp.
Kiem sodt nhd nUdc vd cdc kenh tdi trd Bang 2. Thong ke gia trj trung binh, trung vj c u a phdt hdnh c o phie'u rong, phdt hdnh no
rong c u a mdu c d c c d n g ty nhd niJdc kiem sodt, c d c cong ty ttf nhan ki^m sodt
Kenh tai trp Nha nudc TU nhan kiem soat kiem soat Phat hanh cd phieu rdng/kn
Mean 0,0446316 0,1985556 Median 0 0 Sd quan sat 95 270 Phat hanh np rdng/kn
Mean Median So quan sat
-0,0314737 1,75637 -0,02 0,065 95 270 Ngudn sd'lieu- Nhom tdc gid tinh todn
tU phdn mem sata 11
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TAP CHi CONG THIfDlie
Tobin q thap 1 Tobin q cao
i
to 1!,
'Of
CD
1!,
1
CD
m
s
s
s
£
s
s
s
(1)
s 1,99(0,22) 0,145(0,7) 4,024(0,42) 0,0512(0,24) -9.15 (-0,80) -0,205 (-0.94) -5.45(-0.46) 0.003(0.01) Constant
i
0.054(0.67) -0.099 (-1.43) -0.109(-1.61) 0.067(1.52) 0.068 •(1,69) 0,019(0,43) 0,023(0,58) Dong tien am (a,) -0,06(-0,86) -0,049(-0.74) -0.002(-0.04) 0.02(0.32) 0.107^^(2.24)
M '
0.178^"(3.99)
Q
Y
TT
S
-0,4"(-2,09)
1
-1,088" (-2,54)
k
-0,33 (-0,83) -0,382 (-0,98)
E
D
1
0,533*"(3,7)
M "
0,22'"(2,87)
1-
5
0,057(0,2) 0,028(0,1)
'a ^ 0,018(0,07) 0,136(0,49) 0,188(1,37) 0,178(1,21) 0.037 (0.37) 0.084 (0.78) 0,189(1.04) 0.14(0,74)
Q
-0.079 (-0.23) -0.15 (-0.41) 0,364 (0,85) 0,242 (0,54)
m 0,381 (0,55) 0,351 (0,48) -1,212(-1,12) -1,56 (-1,37)
J 0,005 (0,16) -0,009 (-0,27) -0,092 (-1,06) -0,079 (-0,87)
<'
0,11(1,57) 0,098(0,134) -0,109 (-1,14) -0,1156 (-1,13) Beta
1
0,496 (0,73) 0,65 (0,63) -0,6279 (-0,57) Voi 38,89 % 0,0000 145 36,43 % 0,0000 145
32,25% 0,0001 145
29,46% 0,0000 146
37,49% 0,0000 138
35,58% 0,0000 138
30,73% 0,0004 138
28,36% 0,0000 138
R' wittlln Pro So quan sat 0,3526 0,4381 0,4242 0,2704 0,6842 0,6324
§
0,0458
li
8
0,0000 0,0064 0,0067 0,0161 0,0101 0,4362 0,3591 0,0000 0,0000 0,0000 OOOO'O OOOO'O 0,0004 0,4293 0,4757
li
OOOO'O 0,0000 0,0002 0,0002 0,0014 0,0007 0,3789 0,3507
si
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TAI G K J N H - N G A N HANG BAO HIEM
Qua Bang 2 ta tha'y gia tri trung binh, trung vi nifdc kiem soat thifdng co xu hu'dng vay nd va ban cua phat hanh ncf rong, phat hanh cd phieu rong tai san nhieu hc(n khi dong tien dUdng con cac cong cuacongty ttf nhan kiem scat Idn hdn cong ty nha ty tifnhan kiem scat thi thudng phat hanh cd phieu nUdc kiim soat. Bang 3. rong, ban tai san nhieu hdn khi dong tiln dUdng.
Bang 3. Ket qua h6i quy ki^m sodt cua nhd nJdc vd ptidt tidnti co phieu rong
Mo hinh
GC State Dst-1 Sizet-1 ROA Age Levt-1 Hang so So quan sat Pro
Phat hanh c6 phiS'u rong/k (vdh rong/k) Random-eflects Tobit regression (1)
H$ so (Z-value) -1,254*" (-2,89)
0,479(1,17) 0,393"" (2,66) -1,114 (-0,45) -0,165" (-2,02) -0,36 (-0,37) -11,367"* (-2,88) 365 0,0084
Tac dOng bien
-0,154
0,069 0,048 -0,137 -0,02 -0,044
(2) H$ so (Z-value)
-1,657* (-1,87) 0,5004(1,22) 0,335" (2,18) -0,427 (-0,17) -0,155* (-1,85) -0,197 (-0,2) -9,87** (-2,41) 365 0,0594
Tac d&ng bien
-0,203 0,061 0,04 -0,052 -0,019 -0,024
Phat hanh no rdng/i( (netdebt/it) OLS (3) H$ s5(t-vaiue)
-0,689** (-2,49)
0,445(1,39) 0,319*'* (3,07) -5,908*" (-3,48) -0,109* (-1,89) -2,168*" (-3,24) -6,293" (-2,27) 365 0,0004 6,57%
(4) hl$ so (t-vaiue)
-1,364" (-2,36) 0,454(1,41) 0,299*" (2,91) -5,53*** (-3,22) -0,102* (-1,78) -2,188*** (-3,26) -5,63** (-2,06) 366 0,0005 6,42%
Ngudn sd lieu: Nhom tdc gid linh todn tUphdn mem sala 11
Ke't qua hoi quy bang phu'dng phap Random- effects Tobit regression d cot (I) cho tha'y he so' GC CO y nghia 1%, tac dong bien -0,154, cho thay cac cong ty nha nUdc kiem soat phat hanh cd phie'u rong it hdn cac cong ty tunhan kiem soat la 0,154 dcfn vi. Suf dung bien ty le sd hifu nha nu'dc (state) cung cho kix. qua lu'dng tU. NgoSi ra, k6't qua hoi quy bang phifOng phap binh phuctng be nhat (Pool OLS) cung tha'y dUdc tac dong ngUdc chieu cua kiem soat nha nUdc tdi phat hanh nd rong. Bang chd'ng tren cho tha'y lac dgng cua kidm scat ciia nha nu'dc khong giup cac doanh nghiep thu difdc nhieu nguon vdn ben ngoai hdn.
Ket qua Bang 4 cho thay khi dong tien am cac cong ty niem yet thu'dng co xu hUdng phat hanh cd phie'u, phat hanh no, ban tai san nhieu hdn khi dong tien du'dng. Khi dong lien am cac cong ty nha
3. Kg't luSn va khuyd'n nghi
Ke't qua nghien ciJu cho thay mo'i quan he giffa dong tien va dau lU cd dang hinh chif U: khi dong tien dUOng nhUng khong du de tai trd cho dau tif 6 mtfc tdi tfu, khi ddng tien giam de duy tri quy mo dau tu nhu cu thi cong ty vay mtfdn ttf ben ngoai din de'n gia tang rui ro vd nd l^m giam dau tU. Ke't qua bai nghien ctfu cung cho tha'y so vdi cac cdng ty tu nhSn kidm soat, cac cdng ty co sU kiem soat nha nifdc co do nhay cam dau ttf vdi dong tien cao hdn, dac biet khi ddng tien am. Khi cd hpi dau ttf cua cac cong ty cd stf kiem soat cua nha ntfdc it di, nha nifdc se yeu cau cac cong ty nay tang dau ttf khi dong tien du'dng tang va khi ddng tien am giam. Ttf ke'l qua tren bai nghien cu'u cung dUa ra cac khuyen nghi cho cac nha quan tri doanh nghiep nhU'sau:
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TAP GHJGJiNG THIfifNG
Bang 4. Cdc kenh tdi trcf khi dong tien am vd khi dong tien di/cfng
Cac kenh tai tfti Dong tien dudng Mean
Dong tien 3m
ll^edlan Mean Median
Bang A dot vdi mau tong the Phat hanh co phiSu Von vay rong Thu nhap ban tai san DSutil
0,0866535 1,256654 0,0530709 0,4933465
0 -0,015
0 0,14
0,3228829 1,36973 0,1801802 0,2796396
0 0,42 0,01 0,15 Bang B tfSi vdi mau cac cong ty nha nudc kiem soat
Phat hanh co phieu Von vay rong Thu nh§p ban tai san Dautu
0,057125 -0,178125 0,053875 0,411875
0 -0,075
0 0,065
-0,022 0,7506667
0,322 0,376
0 0,31
0 0,18 Bang C iJoi vdi mau cac cdng ty tu nhiin Idem scat
Phat hanh co phieu Von vay rong Thu nh^p ban tai s^n Dautu
0,1002299 1,916322 0,0527011 0,5308046
0 0 0 0,205
0,3767708 1,466458 0,1580208 0.2645833
0 0,435 0,01 0,14
Thii nhd't, dd cai tien dau ttf cua doanh nghiep thi nhffng ngffdi lam chinh sach can phai tao dieu kien dd doanh nghiep de dang tie'p can thi trtfdng vd'n ben ngoai hdn (thong qua phat hanh trai phie'u, cd phie'u) nham giam bdt sU le thupc vao hinh thtfc vay vdn ttf ngan hang. Ngoai ra, cung can phai tang cffdng trao ddi thdng tin giffa doanh nghiep va cac td chtfc tin dung dd dap tfng kip thdi nhu
Nguon so lieu: Nhom tdc gid tinh todn tUphdn mem sata II
cau vd'n cua doanh nghiep cung nhtf giiip doanh nghiep thao dd nhffng kho khan tdn dpng.
Thd hai, nha ntfdc can phai nang cao nang Itfc chuyen mon cua ngtfdi dai dien cho phan vo'n nha ntfdc trong cac cong ty cd vo'n nha ntfdc de cd the bao toan va phat tridn von nha ntfdc, nang cao hieu qua dau iff tranh dau ttf qua mffc ma hieu qua mang lai khong cao •
TAI LIEU THAM KHAO:
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2. Bond. S. R. (2002). Dynamic panel data models: a guide to micro data methods and practice. Ponuguese economic journal, 1(2). I4I-I62
3. Chen. A. A., Cao, H., Zhang, D., & Dickinson, D G. (2013). The impact of shareholding structure on firm investment: Evidence from Chinese listed companies. Pacific-Basin Finance Journal, 25, 85-100.
4. Chow, C. K.,Song. P.M.. & Wong, K. P. (2010). Investment and the sofi budget constraint in China. Inlemational Review of Economics & Finance. 19(2), 219-227.
264 So 5-Thang 4/2019
TAI CHINH - NGAN HANG - BAO HIEM
5. Clear)'. S. (1999). The relationship between firm investment and financial status. The Journal of Finance. 54(2), 673-692.
6. Cleary, S.. Poveh P.. & Raith, M. (2007). The U-shaped investment curve: Theory and evidence. Journal of financial and quantitative analysis, 42(1). I.
7. Dinh Nguyen. P.. & Thi Anh Dong. P. (2013). Determinants of Corporate Invesimeni Decisions: The Case of Vietnam. Journal of Economics and Development, 15(1). 32.
8. Fazzari, S. M., Hubbard. R G., Petersen, B. C, Blinder. A. S.. & Poterba, J. M. (1988). Financing constraints and corporate investment. Brookings papers on economic activity, 1988(1). 141-206.
9 Firth, M., Malatesta, P. H, Xin, Q., & Xu. L. (2012). Corporate investment, government control, and financing channels: Evidence from China's Listed Companies. Journal of Corporate Finance, 18(3), 433-450.
10. Hovakimian, G. (2009). Determinants of investment cashflow sensitivity. Financial management, 38(1). 161-183.
Ngay nhsin bai: 5/3/2019
Ngay phan bi^n danh gia va si^a chifa: 15/3/2019 Ngay chap nhan dang bai: 25/3/2019
Thong tin tdc gia;
1. ThS. IRAN DIEU Hl/ONG
Trtfcfng Dai hpc C6ng nghi&p Thtfc pham TP. Ho Chi Minh 2.BUITHIMYHA.NH
CSng ty Co phan D^u ttf va Phat tridn Vtfcfn thu Faros
IMPACTS OF THE CASH FLOW ON THE INVESTMENT EFFICIENCY:
CASE STUDY IN HO CHI MINH CITY
• Master, TRAN DIEU HUONG Ho Clii Minh City Universit/ of Food Industry
• BUI THI MY HANH
Faros Zoo investment a n d Development Joint Stock Company
ABSTRACT:
This study is to examine the relationship between casli flow and investment and impacts of the state's control on external funding channels of non-financial companies listed on Ho Chi Minh City Stock Exchange. The study's results reveal the relation between cash flow and investment is U-shaped. The investment sensitivity of cash flows of state-owned companies is greater than that of private companies, especially when the cash flow is negative. Differences in sensitivity only appear when investment opportunities are less. The study's regression analysis shows that the state's control does not help companies gain more external capital resources.
Keywords: Investment, owner's capital, state management.
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