TOC DO DIEU CHINH CAU TRUC V O N CUA CAC CONG TY NIEM YET TREN THI TRUING
CHtnVG KHO AN VIET NAM, B A N G CHITNG T H U C N G H I E M Tir CACH TIEP CAN LSDVC
V6 Thi Thiiy Anh Dgi hoc Kinh te-Dgi hoc Dd Ndng
Email: [email protected] vn Phan TrSn Minh Hu'ng Dgi hgc Kinh te-Dgi hoc Dd Ndng Email: [email protected]
Ngay nhan 30/9/2019 Ngay nhan ban sua 28/10/2019 Ngay duyet dang. 05/3/2020
Tom tat:
Nghien cuu nay nhdm xac dinh tdc do dieu chinh cdu true vdn cua cdc cdng ty niem yet tren thi trudng chimg khoan Viit Nam Nghiin ciru nay su dung phuang phdp udc lugng diiu chinh chech (LSDVC) ven hd dd liiu la cdc chimg khoan dugc niem yet tren cd hai sdn giao dich ch-ung khoan Hd Chi Minh vdHdNdi tir nam 2006 den 2017. Nghien ciai nay tim thay rdng tdc do diiu chinh cdu true vdn trung binh nam cho cdc cdng ty niem yet tren thi tru&ng chimg khodn Viet Nam Id 35,1% khi biin phu thudc la gid tri sd sdch cua cdu triic vdn vd 45,4% khi bien phu thudc Id gid tri thi trud-ng cua cdu true vdn. Kit qud nghien cuu nay hd trg cho su tdn tgi ly thuyit danh ddi cdu true vdn ddng.
Tu khoa: Toe do dieu chinh cau tnic von, cau true von, LSDVC, mo hinh dpng.
MaJEL:C58,G3;016.
The speed of capital structure adjustment for listed firms on Vietnam Stock Exchange:
An empirical evidence from the LSDVC approach Abstract:
The purpose of this study is to define the annual speed of adjustment for firms listed in Vietnam.
We employ the bias-corrected least squares dummy variable estimator with a comprehensive data set of stocks listed in Vietnam from 2006 to 2017, We document that the annual speed of capital structure adjustment for Vietnamese listed firms ranges from 35.1% to 45.4% for book leverage and market leverage, respectively The results .support the economic relevance of the trade-off theory
Keywords: Adjustment speed of capital structure, capital structure, LSDVC, dynamic model JEL code. C58, G3; 016.
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1. Gioi thieu
Ca ly thuyet danh doi cau tnic von dong va tinh deu thira nhan rang cau true von to! im nh3m toi da hoa gia tri cong ty dugc xac dinh b^ng each can bang Igi ich thuan va chi phi thuan ciia ng (Kraus &
Litzenberger, 1973; Fischer & cgng su, 1989). Vi vay, cac cong ty c6 dgng lire d^ didu chinh cku true von huong ve cau tnic von toi uu nhim l6i da hoa gia tri cong ty. Tuy nhien, khi dieu chinh huang vk cau true von muc tieu, cac cong ty co the doi mat vai Ira ngai tai trg (tinancing frictions) nhu mong muon dieu chinh va chi phi dieu chinh. Co ban, chi phi tai von hoa nho cQng c6 the dan den su bien dgng Idn trong cau triic von. Vi vay, cac cong ty dugc khuyen khich dieu chinh ve cau tnic von toi uu khi Igi ich dieu chinh Ion ban chi phi dieu chinh (Fischer &
cgngsu, 1989).
Mac du dugc thuc hien trong nhung thi truong khac nhau nhung hau bet cac bang chirng thirc nghiem deu khang dinh su ton tai cau true von muc tieu va cac cong ty co xu hudng dieu chinh huong ve cSu true von muc tieu. Tuy nhien, tdc do dieu chinh cau true v6n khong dat dugc su dong thuan cao giua cac thi truang. Nhirng uac lugng cho ihi truang My chi ra rang toe do dieu chinh cau tnic von klia thap (Drobetz & cgng sir, 2014). Trong khi do, trong boi canh da quoc gia, toe do dieu chinh cau true von hang nam dao dgng ttr 11 % den 40% vai cac quoc gia nhom G5 (Antoniou & cgng su, 2008). Cac cong ty den tir cac quoc gia G-7 dieu chinh cau triic von VOI toe do 25% moi nam (Drobetz & cgng su, 2014).
Cuoi cimg, toe do dieu chinh trung binh cua 31 quoc gia chgn Igc la 21,11% (Oztekin & Flannery, 2012).
Cho den nay, toe do dieu chinh cau tnic von van chua dugc nghien cuu nhieu tai cac quoc gia dang phat trien va Viet Nam khong phai la mot ngoai le.
Mac dii cac nghien ciru tai Viet Nam da chi ra su ton tai hanh vi dieu chinh cau tnic von (Tran Himg Son, 2012, 2013), nhimg cac nghien cuu nay sii dung cac phuang phap uac lugng truyen thong nhu phuang phap binh phuang nho nhat (POLS) va anh huong co dinh (FEM). Ngoai ra, cac phuang phap uac lugng mo men long quat he thong (SGMM) cung dugc su dung de uoc lugng toe do dieu chinh cau tnic von (Luu Chi Cuong & Nguyin Thu Hien, 2016).
Nhirng nhin chung, cac phuong phap uac lugng dugc sir dung tai Viet Nam khong phai la phuang
phap uac lugng toi uu cho mo hinh du b?"
dgng voi bien phu thuge phan so. Han niia, p , phap uac lugng nhay cam vai t6c do dieu '^"'"
tnic v6n da dugc thira nhan (Huang & Ritter, •- Vi vay, nghien cuu nay dugc thuc hien nham ^ dinh t6c do digu can true v6n cho cac cong ty n yet tai Viet Nam.
Co th§ noi phuang phap uac lugng LSDVC tai Viet Nam chua dugc iing dung rong rai. Vi v ^ , dong gop Ion nhk cua nghien ciru nay la cung cap bang chirng thuc nghiem hen quan dan hieu qua ciia phuang phap uac iugng digu chinh chech de giai quygt vka dk chech dugc tao ra trong mo hinh dgng.
Ngoai ra, nghien ciiu nay con cung cap them bang chirng thuc nghiem nhSm khSng djnh lai sir ton tai t6c do diSu chinh c4u true v6n cho thi trucmg Viet Nam noi rieng va cho cac qu6c gia dang phat trien noi chung.
2. T6ng quan tai lieu va phat trien gia thuygt Ca ly thuyet danh doi dgng va iTnh deu thira nhan ring cSu tnic von toi uu nham toi da hoa gia tri cong ty dugc xac dinh bang each can bing Igi ich rong voi chi phi rong cua viec tai trg ng. Do do, cac cong ty CO dgng lire de dieu chinh huang ve cau tnic von toi uu. Tuy gia tri cong ty dugc t6i da hoa khi cac cong ty hoat dgng tai cau tnic von toi uu nhung cac cong ty hau nhu khong the duy tri cau triic von toi uu do su hien dien ciia cac tra ngai tai trg nhu mong muon dieu chinh va chi phi dieu chinh. Dieu chinh cau tnic von toi uu vai ton tai ciia chi phi dieu chinh dugc khoi xuang bai Fischer & cgng sir (1989). Theo do, tham chi chi phi tai cap von nho cung c6 the dan den su thay doi Ion trong cau tnic von qua thai gian. Hon nua, Fischer & cgng sir (1989) con chi ra rang cac cong ty nen dieu chinh cau tnic von khi Igi ich dieu chinh Ion ban chi phi dieu chinh.
Cac bang chimg thirc nghiem da chi ra sir ton tai cua cau tnic von muc tieu nhung toe do dieu chinh hucmg ve cau triic von muc tieu khong dat dirge su thong nhat cao. Minh chimg thuc nghiem dua vao phuang phap uac lugng Fama-Macbeth chi ra rang toe do digu chinh cSu tnic von trung binh lai thi truang My la 7%-10% doi voi cac cong ty thanh loan c6 tire va dao dgng tir 15% den 18% doi vai cac cong ly khong thanh loan co tiic (Fama & French, 2002). CiJng tai thi truang My, Flannery & Rangan (2006) ung dung phuang phap uac lugng bi6n cong
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cu dg dat tdc do digu chinh clu tnic von trung binh cao ban tai miic 34,4%. Kayhan & Titman (2007) sii dung phuang phap udc lugng POLS de chi ra toe do dieu chinh trung binh 10% cho cau tnic von gia tri s6 sach va 8,3% cho clu tnic v6n gia tri thi truang. Lemmon & cgng su (2008) dua vao uac lugng SGMM de ghi nhan t6c do dieu chinh cau tnic von trung binh 25%/nam doi cau tnic von so sach. Huang & Ritter (2009) su dung uac lugng sai phan dai (LD) de chi ra toe do dieu chinh dao dgng tii 11,5% den 21,1% doi cau tnic von so sach va 15,6% dgn 23,2%) doi vai cau tnic von thj truang.
Nhin chung, toe do dieu chinh cau tnic von cua cac cong ty My kha thap. Ngoai ra, toe do dieu chinh that su nhay cam voi phuang phap uac lugng.
Trong boi canh da quoc gia, Antoniou & cgng su (2008) ghi nhan rang toe do digu chinh ciu tnic von CO su khac biet lan giiia cac qu6c gia trong nhom G5 voi toe do dieu chinh cSu tnic von thap nhat 11 % cho eae cong ty d6n tir Nhat Ban va toe do dieu chinh cao nhat 40%) cho cac cong ty den tir Phap Trong khi do, toe do dieu chinh cau tnic von trung binh cho cac cong ty dgn tir 37 quoc gia va nhom G-7 lin lugt la 21,ll%./nam va 25%^/nam (Oztekin
& Flannery, 2012; Drobetz & cgng su, 2014).
Tai Viet Nam, bang chiing thuc nghiem toe do dieu chinh cau tnic von dirge khai pha bai Tran Himg Son (2012) vai doi tugng dugc quan tam la 187 cong ty san xuat cong nghiep niem yet tren thi truong chiing khoan Viet Nam trong giai doan 2007-2010. Trong khi do, Trin Hung San (2013) huang den 200 cong ty san xuat cong nghiep chua niem yet. Theo do, trong dieu kien thirc tien tai Viet Nam, toe do digu chinh cau triic von giira nhom eong ty niem yet va khong nigm ygt co su khac biet lan.
Cu the, toe do dieu chinh cau tnic von cda cac cong ty mem ygt va khong niem ygt lan lugt la 70,6%/
nam va 27%)/nam. Luu Chi Cuimg & Nguyen Thu hien (2016) sir dung DGMM de chi ra toe do dieu chinh cau tnic von trung binh 72%)/nam cho cac cac cong ty niem yet tai Viet Nam tir 2006-2011.
Nhin ehung, toe dp digu chinh cau tnic von phu thuge vao sir khac biet moi truong the che, dieu kien kinh te vT mo, he thong tai chinh va quan trgng ban do la phuang phap uac lugng. Vi vay, nghien cim nay gia thuygt nhu sau:
Toe do dieu chinh cau tnic von ciia cac cong ty
niem yet tai Viet Nam dang a mirc nao (HI).
3. PhtfOTig phap nghien ciru va dir lieu 3.1. Md hinh thirc nghiem
Toe do digu chinh cau tnic von khong thg uac lugng mot each true tiep thong qua mot mo hinh loan hgc bai vi cau tnic von muc tieu khong thg quan sat mot each true tiep. Vi vay, dg xac dinh t6c do digu chinh cau true von, mo hinh uac lugng hai giai doan dugc hinh thanh truoc. Sau do, su ra doi phuang phap mo hinh uac Iugng mgl giai doan bing each long ghep mpt vai mo hinh toan hpc vao nhau lam phong phii thgm each thiic uac lugng. Nhin chung, cac nghien ciiu thuc nghiem van chua chiing minh dugc mo hinh nao dat hieu qua cao ban giua mo hinh uac lupng mot giai doan va mo hinh uac lugng hai giai doan. Vi the, vIn ton tai cac bang chiing thuc nghiem sii dung mo hinh uac lugng mot buac (Elsas & Florysiak, 2015; Flannery & Ragan, 2006) cung nhu uac lugng hai buac (Hovakimian & Li, 2011). Tai Viet Nam, cac nghien ciiu xac dinh toe dp dieu chinh can tnic von deu sir dung ca mo hinh uac lugng mot buoc va hai buac (Tran Himg San, 2012;
2013; Luu Chi Cuong & Nguyin Thu H i k , 2016).
Nghien eim nay sir dung mo hinh dieu chinh cau tnic von tirng phan mpt giai doan ma no da dugc sir dung boi Flannery & Rangan (2006); Elsas &
Florysiak (2015). Cu thg nhu sau:
ALEV ,^, = LEV ,,^, - LEV.,= a+6 (LEV*,,^, - LEV.,) +1,^^ (1)
Trong do:
LEV* ^ vaLEV.,^1 lan lugt la cau tnic von toi uu va eau tnic von thuc c6 the quan sat ciia cong ty i tai thai digm t+l.
LEV ,, ciu tnic von thuc tai thai digm t.
ALEV.^^j LEV^^i" LEV.,Ia miic do thay d6i ciu tnic v6n thuc ciia cong ty i tir thai diem qua khii t den thai diem hien tai t+I.
LEV*, j^, - LEV ^ the hien su dieu chinh cau tnic v6n thuc ky truoc dgn can tnic von toi im.
e. • sai so hoi quy ngau iJiien.
6: t6e do dieu chinh cau tnic von, nham do luimg kha nang cong ty dieu chinh cau tnic von thuc huong vg ciu tnic von muc tieu trong dieu kien ton tai chi phi digu chinh cau tnic von. 5 cao thg hien toe do di£u chinh cau tnic von nhanh va ngugc lai nhung no thuong xuyen dao dpng trong khoang [0,1]
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kiiihleihiittrit'ii
Cong thiic (1) the hien mire do chech tir ciu tnic von muc lieu dugc dong bai dieu chinh ciu true von thuc dugc tao ra bai cong ty trong giai doan t dgn giai doan t-M. Trong cong thiic (1), ciu tnic v6n toi uu khong quan sat true tigp dugc ma chung chi dat dugc thong qua gia trj phii hgp tit mo hinh uoc lugng. Cau tnic von toi uu dugc mo hinh hoa nhu ham eiia cac yeu to dac thii thoi gian, dac thii cong ty va dac thii quoc gia. Cu thg nhu sau:
LEV\_^, = 0X,,+ p. (2) Trong do:
X| ^ la cac nhan to tac dgng den cau tnic von bao gom: dac thii cong ty, dae thii thai gian.
0 la vector he so dung truac cac nhan to tac dgng den cau tnic von.
Pj la sai so ngau nghign.
Nghign cim nay kiem soat yet to dac thii cong ty khong quan sat dugc va khong thay doi theo thai gian. Co ban, eae nhan to dac thii cong ty khong quan sat dugc va khong thay doi theo thai gian la nhan to giai thich Ion nhat cho sir bien dgng ciia cau tnic von (Lemmon & cong sir, 2008). Ngoai ra, de loai trir van de ngi sinh xuat phat tii tac dgng dong thai giua bien phu thupc va bien dpc lap, tat ca cac bien dgc lap dugc sir dung trong mo hinh la cac bign tre (Harford & cong sir, 2009).
Chinh vi su kho khan trong tinh loan, mo hinh hoa cau tnic von toi uu va thay the cong thirc (2) vao cong thirc (1) lam cho viec xac dinh toe dp dieu chinh cau tnic von tra nen dan gian han chi thong qua mot cong thiic sau'
1(3)
: djnh LEV ,^j = a-i- {1-5)LEV ,-1- pX,,+ ^i. - Trong do: p= 0x6
Theo gia thuyet HI, nghign ciiu nay xac <
t6c dp diau chinh ciu tnic v6n d6i voi cac cong ty mem yet tren thj mrong chirng khoan Viet nam nen nghign ciru nay chi huang dfin he s6 dung tnroc bien phu thuge tri. Khung phan tich nay ky vong he so nay duong, co y nghia th6ng ke va dao dong trong khoang [0, I].
3.2. Xay dung bien 3.2.1 Bien cdu true vdn
Cac nghien ciiu thuc nghiem ve eau bnic von su dung cac thang do khac nhau cho ciu tnic von nhu: Colak & cgng su (2018) ehi sir dung gia tri sd sach dg xem xet cau tnic von. Trong khi do, sii dung duy nhat gia tri thi truong dg do lucmg cau tnic v6n khong nhieu su xuat hien, tigu bieu eho xu huong nay la Chang & cgng su (2014). Ngugc lai, hau hgi cac nghign ciiu thuc nghiem ve cau tnic von chpn ea hai each tiep can gia tri thi truang va gia tri so sach dg danh gia cau tnic von nhu: Fama &
French (2002); Flannery & Ragan (2006). Tuang tu, tai Viet Nam, phan Ion cac bang chung thuc nghiem cau tnic von co xu huong chgn eau tnic von gia tri so sach nhu bign phu thupc (Tran Hung San, 2013;
Luu Chi Cuong & Nguyen Thu Hien, 2016). Tuy nhien, khong thigu eae bang chung sir dung ca gia tri so sach va gia tri thi truang eua cau tnic von nhu bien dugc giai thich (Lg Thi Lanh & cgng su, 2016).
Trong khi do, sir dung moi gia tri thi truong cua cau tnic von hau nhu kliong ton tai.
Dua vao bien cau tnic von dugc sir dung trong Bang 1: Cac bien dirffc sir dung trong mo hinh nghien ciiii
Bien Viit tit Mo ta
A. Biln phu thuoc Gia trj so sach Gia tri thi truang
BLEV MLEV
Gia In so sach long ng/gia tri so sach long tai san Gia trj so sach tong ng/(gia In so sach long na + gia tri thi truang von chu sa huu)
B. Bien kiem soat Quy mo cong ty Ca hpi phat tnen ICha nang sinh loi Tai san hiru hinh Tam chan thue phi ng
TA MB ROA PPE DEP
Logarithm tu nhien cua long tai san
Logarithm tu nhien cua gia thi thi truong/gia tri so sach.
Lgi nhuan truoc thue tren long tai san.
Ty le tai san c6 dinh hiru hinh tren tong tai san Khiu hao tai san c6 dinh tren gia tn so sach long tai san
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Fama & French (2002), Chang & cpng sir (2014), nghien cuu nay sir dung ca gia tn so sach va gia tri thi truang eiia ciu tnic v6n. Cac bien dugc trinh bay chi tiet trong Bang 1.
3.2.2. Bien kiem soat
Su vang mat eiia bign kigm scat co the anh huong dang kg dgn kha nang giai thieh cac nhan to den ciu true von muc tieu. Vi vay, nghign ciiu nay sir dung nhung bign kiem soat thuong xuyen duge sir dung trong cae nghien ciiu cac nhan to tac dgng dgn ciu true von truac day (Fama & French, 2002; Antoniou
& cgng su, 2008; Oztekin & Flannery, 2012) nhu:
suat sinh lai tren long tai san, gia tri thi trucmg tren gia trj so sach ciia ng, la chan thue phi ng, co hpi phat trien, quy mo cong ty, tai san hiru hinh. Cac bien kiem soat duge su dung trong nghien ciin nay dugc trinb bay chi tiet trong Bang 1.
3.3. Phuong phdp ir&c Iwang
POLS CO the dan dgn chech va khong thdng nhit bdi moi quan he giira anh hucmg rieng biet cua cong ty va bign phu thuge tri. Trong khi do, FEM c6 thg dan den uac lugng chech ma chiing bit ngu6n tir moi tuang quan giira sai so dugc chuygn thg va bign phu thuge tri (Nickell, 1981). Tuy nhign, vin de chech se tro nen it nghigm ngae hon trong dii heu CO chu6i thai gian Ion' (Judson & Owen, 1999).
Phuang phap uoc lugng bien cong eu AH-IV co kha nang xii ly vin dg cheeh. Tuy nhien, ban chg ciia AH-IV la khong tan dung digu kien moments co sin CO the dan den uac lugng khong hieu qua Trong khi do, ca DGMM va SGMM co kha nang giai quygt cac van de ngi sinh nhung ca hai doi mat voi vin dl
Chech dugc tao ra khi s6 lupng ky quan sat qua nho so voi so luong dcm vj trong dilu kien gia tri biln phu thuge co m6i tuong quan cao so vai gia tri chinh no trong ky tnroc do do bien cong cu sir dung trong truang hgp nay khong du manh dg xir ly nhirng hien tugng nhu dl cap ben tren (Huang & Ritter, 2009).
Nhin chung, cac phuong phap uoc lugng tniyen thong ciing nhu uoc lugng vol bien cong cu chua quan tam den bien phu thuge phan s6 va bi kilm duygt= ngn chiing khong ihl xir ly hit su chech tao ra tir vin dl nay (Elsas & Florysiak, 2015). LSDVC dugc xem la mot trong nhirng phuang phap uoc lugng phii hgp cho mo hinh dii lieu bang dpng vai su ton tai bien phu thuge phan so. Vi vay, nghien ciru nay sir dung LSDVC dl xac dinh toe do dilu ehinh cau triic v6n cho cac cong ty niem yit tren thi truong chirng khoan Viet Nam.
LSDVC CO kha nang giai quyet van dg chech dugc tao ra btfi van de bign phu thupc phan so cQng nhu phuang sai thay d6i. That vay, LSDVC giai quyit cac van de trgn bang each tigp can phan lich dl dilu chinh chech do anh hudng co dinh. (3 goe do thuc nghiem, LSDVC da dugc su dung bai O'ztekin &
Flannery (2012); Hailing & cpng sir (2016) va Dang
& cong SU' (2015) thira nhan rang LSDVC la mot trong nhung phucmg phap phii hgp nhat cho mo hinh dir lieu bang dpng.
Bruno (2005) uac lugng LSDVC voi uoc lugng ban dau la SGIVIM voi mot bootstrap 20 lan lap lai.
Trong khi do, Meschi & Vivarelli (2009) hoi quy LSDVC VOI 200 lan lap lai. Ky thuat uoc luong LSDVC duoc sii dung boi Nepal & cpng su (2017) dugc khoi xuong tir DGMM va SGMM va he so Bang 2: Thong ke mo t
Bien BLEV,,, MLEV,,, TA MB ROA PPE DEP BLEV MLEV
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4,026 4,028 4,028 4,028 4,028 4,026 4,026 4,028 4,028
Gia tri thap nliat
0.044 0.036 -3.954 -1.899 -0.163 0.003 0 0.049 0 038
Gia tri cao nliat 0.907 0.963 3 032 1.598 0 327 1.713 1.088 0.904 0.961
37
Gia tri trung binli
0.504 0.541 -0.849 -0 198
0.062 0.469 0.186 0.505 0..543
Gia tri trung vj 0.533 0 563 -0,93 -0.1 74 0 048 0.371 0.107 0,532 0 565
Bo lecli chuan
0.226 0 266 1.417 0.727 0.073 0.378 0.218 0.223 0.265
kinliliyiiiittrii'ii
dua tren sai so chuan bootstrap voi 1000 lin. Ngoai ra, Kok & cpng su (2019) uoc Iugng LSDVC voi uoc lugng ban dau la SGMM va sai s6 chuin dugc bootstrap voi 50 lin. Cu6i ciing. Dang & cgng sir (2018) huong den Anderson & Hsiao (1982) nhu uac lugng ban dau de hoi quy voi ma tran phuang sai-dong phuong sai voi 30 vong lap Nhin ehung, so vong lap va uac lugng ban dau chua co su th6ng nhat cao giira cae uoc lugng. Trong khi do, do chinh xac ky vgng hau nhu khong dugc dl cap.
Khung phan tich nay su dung cau lenh xllsdvc do Bruno (2005) de xuat voi uac lugng ban dau la Anderson & Hsiao (1982). De dam bao ring sai so chuan ciia LSDVC dat y nghia thong ke t, nghien ciiu nay sii dung ma Iran phuong sai-dong phuong sai vai 30 lan lap lai. Dp chinh xac ky vpng ciia khung nghien cuu nay len den O (1/NT-), vai N va T lan lugt la so lugng eong ty va so ky quan sat.
3.4. DCvlieu nghien cim
Dii dugc hinh thanh tir nhiing nam 2000, nhung thj trudng chirng khoan Viet Nam chi phat trien manh me tir nam 2006 trd di. Khoang thai gian 2000-2006 la giai doan phat trien so khai vdi so lugng cac cdng ty niem yet chua nhigu va yeu cau edng bd thdng tin bat huge chua dupe thuc hien. Do do, sd lieu lign quan dgn cac cdng ty niem yet chua dupe cung cap mgl each day dii ciing nhu chua phan anh bgt thuc trang doanh nghiep. Vi vay, de dam bao dii lieu nghign ciru dugc dong bg, sd lieu dung dg hdi quy
la bd sd Heu thii cip dugc cung cap bdi Fun Gro b-ong thcri gian 12 nam. tir nam 2006 din nam 20 , lien quan din cac cong ty niem ygt tren ca hai giao dich chimg khoan tai Viet Nam.
Mdt sd cdng ty khdng dii so lieu iheo thoi gian hi nam 2006 din nam 2017 vdi nhilu ly do khac nhau nhu mai nigm yIt hay buy niem yet^nen du lieu nghien ciiu cdn lai la bd du lieu khdng can bang.
Nhirng cong ty hoat ddng trong litih vyc tai chinh, ngan hang, dich vu, bao hilm, quy dau tu va bat ddng san dugc loai ra khdi mau nghien cim.
v l CO ban, nhom cdng ty nay co eau tnic vdn khac biet so vdi nhdm cdn lai. Cu the, nhdm cong ty nay hoat dpng chu ylu dua vao uy tin, su tin tudng la chinh, tai san cua bg chii yeu la tai san thue, muon va con ngudi. Ddng thdi, bao cao tai chinh ciia ngan hang c6 nhieu khac biet so vdi cac cdng ty kinh doanh, nhilu khoan muc chi xuat hien trong bao cao tai chinh ciia ngan hang ma khdng hg xuit hien trong bao cao tai chinh ciia cdng ty.
Ngoai ra, nhung cong ty thigu bat ky quan sat nam nao lign quan den thanh khoan cd phigu, cau tnic von va bign kiem soat thi quan sat nam dd dugc loai bd khoi mau hdi quy. Hon nua, mau nghien ciiu chi bao gdm cac cdng ty niem ygt tren san giao dich chimg khoan it nhat 2 nam. Sau khi xir ly, bp dir lieu diing de hoi quy la dii lieu bang ddng khdng can bang vdi 550 cdng ty va 4.029 quan sat nam. Ngoai ra, de ban chg tinh trang tae dgng ngoai lai lam anh Bang 3: Ma tran tuotig quan
Bien >
03
BLEV,,, 1.000 MLEV,,, 0.862»
TA 0.338*
MB -0.142*
ROA -0.412*
PPE -0.018 DEP -0.052*
BLEV 0.917*
MLEV 0 798*
>
s
1,000 0 237*
-0,553*
-0 509*
-0.029*
-0.082*
0.803*
0.928*
<
1.000 0.098*
-0 050*
-0 002 -0.143*
0 348*
0.241*
1 000 0.409*
0 047*
0,085*
-0.143*
-0.591*
ROA
1.000 0.117*
0.171*
-0.441*
-0.541*
PPE
1.000 0.798*
-0.012 -0.027*
DEP
1.000 -0.053*
-0.083*
BLEV
1.000 0.864*
MLEV
1.000 Nguon • tinh todn ctia tdc gid
Ghi clii't- ***. ** vd * the hien muc y nghia tuang irng vai 1%, 5%vd 10%.
si) 273 Ihdng 3/2020 38
kiiililiAlli
hudng din kit qua nghign cim, ky thuat bien doi winsor phan vi a mirc 1% va 99% cho tat ca cac bien dugc su dung.
4. Ket qua va thao Iu3n kit qua nghien cmi 4.1. Thdng ke mo ta vd ma tran tuong quan Bang 2 cung cip thdng ke md ta cho loan bd miu.
Gia tri s6 sach cua ciu biic vdn dao dgng tir 0,044 din 0,907 vdi dTrng binh va trung vi lan lugt la 0,504 va 0,533. Trong khi do, gia tri trung binh (trung vi) ciia ddn bay thi trudng Ian lugt la 0,541 (0,563) vdi gia tn nhd nhat va Idn nhat la 0,026 va 0,962. Theo do, nhiing con sd nay thg hien rang do lech chuan cua gia trj sd sach ciia cau b-iic von (0,226) thip han dp lech chuan gia tri thi trudng ciia cau tnic v6n (0,266). Lien quan din cac thude do kem thanh khoan, gia tri trung binh cua chech lech gia hieu luc la -3,438. Trong miu nghien ciiu, mot cdng ty tmng binh CO ty suat sinh loi tren tai san la 6,2%i, gia tri thi trudng tren gia tri sd sach la -0,198. Trong khi do, gia tn trung binh va trung vi eua tdng tai san lin luot la 0,076 va 0,03 Cudi cimg gia tn tai san huu hinh dao ddng trong doan [0,003, 1,713] vdi dp lech chuan 0,378. Trong khi dd, gia tri cao nhat va thip
nhat ciia tam chin thui phi ng lin lugt la 1,088 va 0.
Mdi quan he giiia eae cap biln dugc trinh bay Q-ong Bang 3. Bang nay eho thiy mli brong quan cao giiia gia tii eau bnic vdn va gia tn tri cua cau tnic von. Cu thg, he so tuong quan giiia ciu tnic vdn thi frudng va gia tri trg ciia ciu tnic vdn thi trudng la 92,8%, trong khi do he s6 tuong quan giiia ciu tnic von sd sach va gia tri tre cua ciu tnic v6n sd sach la 91,7%. Nhin chung, nhiing kit qua nay hd b-g cho tranh luan ton tai tdc do dilu chinh ciu ft-iic von muc tigu. Ngoai ra, tat ca cac mdi tuong quan khac dIu nhd hon 0,8. Theo quy tic ngdn tay cai (the rule of thumb) cua Klein, nghien eiiu nay kit luan rang khdng tdn tai hien tuong da cgng biygn giira cac bien trong md hinh nghien ciiu. Hon thi nira, nghien cuu nay ciing su dung he sd VIF (Vanance Inflation Factor) dg xac dinh hien tuong da cgng tuyen. Tuy nhien, nhiing ehi sd trong kiem tra nay dgu nho hem 5, chung td rang it c6 kha nang xay ra hien tugng da cdng tuyen giiia cac cap bign trong md hinh nghign ciiu
4.2. Kit qud vd thao luan kit qud nghiin ciiu Bang 4 bao cao kgt qua udc lugng eiia md hinh Bang 4: Ket qua hoi quy
Bien doc lap Mo hinh
(1)
M6 hinh (2) BLEV
MLEV TA MB ROA PPE DEP OBSERVATIONS NUMBER OF FIRM
0.649***
(0.041)
0 006 (0.006) 0.008 (0.006) -0.042 (0.033) 0.004 (0.013) -0.004 (0.020) 3,605
554
0.546***
(0.021) 0 014*»*
(0.005) -0.065**"
(0.006) -0.028 (0.042) 0.023**
(0.012) -0.013 (0.021) 3,607
554 Nguon: tinh todn cua tdc gid
Ghi chii: ***, **vd * thi hiin mucy nghia tuong img vdi 1%, 5%vd 10%
Sai sd chudn dugc bdo cao trong ngogc dan.
Sd 273 thdng 3/2020
KiiilileJ'liat trien
(2). Ket qua udc lugng vol bien phu thuge la gia tri so sach cua cau tnic vdn trong cot (1) cho thiy he sd dung truoc bien phu thudc tri ducmg va cd y nghia thdng kg cao tai mirc 1%. Cu thi, gia trj he sd 0,649 chi ra rang tdc dp dieu chinh trung binh la 35,1%/
nam. Vi vay, mot cdng ty trung binh mat khoang 2 nam de loai bd mot nira anh hudng ciia mdt cii sdc Ign gia tri sd sach ciia cau tnic vdn\ Trong khi dd, khi cau tnic vdn thi trudng dugc sir dung nhu bien phu thudc, khung phan tich nay tim thay trong md hinh (2) bang 4 rang he so diing tnrdc bign phu thudc tri vin duong va cd y nghTa thdng kg tai miic 1%.. That vay, he sd diing trudc bign phu thudc tri 0,546 chi ra tdc dd dieu chinh cau tnic vdn trung binh la 45.4%)/nam. Theo do, mgl cdng ty trung binh mat khoang 1,5 nam de loai bd mdt nua anh hudng ciia mdt cii sdc len cau tnic vdn thi trudng. Ket qua ngay phii hop vdi quan diem cong ty cd cau tnic vdn tdi uu va cd xu hudng dich ehuyen ve cau tnic von tdi uu ciia ly thuygt danh ddi.
Nhin chung, khi sir dung ca cau tnic vdn thi trudng va cau tnic vdn sd sach nhu nhiing bien phu thudc, he sd diing truac bien phu thudc tre ed y nghTa thdng kg chi ra rang cac cdng ty cd xu hudng dieu chinh ve cau triic vdn toi mi. Ket qua nay hd trg cho ly thuygt danh ddi. Ngoai ra, tdc dp dieu chinh cau triic vdn trung binh cho gia tn sd sach va gia tri thi trudng lan lugt la 35,1%) va 45,4% Ket qua thuc nghiem nay chi ra rang mot cdng ty trung binh mat khoang 2 nam dc loai trir mdt nira anh hudng cua mdt cii sdc len gia tri sd sach ciia cau triie vdn va khoang 1,6 nam dc loai trir mdt niia anh hudng cua mdt cii soc len gia tri thi trudng ciia cau tnic vdn. Kgt qua thuc nghiem nay gay ra su ngac nhien bdi vi cac cong ly thudng khong chii ddng bii dap su gia tang trong cau triic vdn thi trudng dugc tao ra tir gia tang gia chirng khoan (Welch, 2004). Mdt giai thich cho bang chiing thue nghiem nay bat ngudn tir chech do lira chon mau dan dgn toe do dieu chinh cao hon. Cu the, klii gia chimg khoan giam, cac cdng ty ky vgng gia chirng khoan phuc hdi trong tuong lai va cac cdng ty nay van tdn tai trong mau. Ngugc lai, khi gia chirng khoan khdng the phuc hdi, cac edng ty rdi khdi mau bdi kiet que tai chinh hoac bi tiep quan (Huang &
Ritter, 2009). Ket qua udc lugng tdc dp dieu chinh ciu tnic vdn trung binh dao dpng tir 35,l%i/nam dgn 45,4%/nam thap hon nhieu so vdi tdc dp dieu chinh dat duoc 70,6%/nam bdi Trin Himg Son (2012);
72%/nam bdi Luu Chi Cudng & Nguyin Thu Hien (2016) va cao ban mdt it so vdi tdc do dilu chinh cau tnic vdn 27%/nam tir Trin Hiing Son (2013). Su khac biet nay cd thg dugc giai thich do cac phuong phap uoc lugng dugc sir dung trong cac nghien cuu tde do dilu chinh ciu toic vdn tai Viet Nam nhu FEM, DGMM cd xu hudng udc lugng qua mirc tdc dp dilu ehinh cau tnic von din din toe do dieu chinh that sir cao. Trong khi dd, tdc do dieu chinh cau tiixc vdn cho eae edng ty chua niem ygt thap co ban do kha nang tigp can ngudn vdn de dieu ehinh cau tnic von gap nhieu khd khan, tdn kem va vi vay, cac cdng ly ludng lu dg digu chinh cau tnic vdn.
Khung phan tich nay chi ra ring bat chap su khac biet mdi trudng thi che, phap ly, dieu kien kinh tg vT md, he thdng tai chinh, cac cdng ty niem ygt trgn thi trudng chiing khoan Viet Nam cd xu hudng digu chinh hudng ve cau tnic vdn muc lieu vdi tdc do dao ddng tir 35,l%)/nam den 45,4%)/nam. Bang chting thuc nghiem nay phii hgp vdi ca dy doan ly thuyet Cling nhu cac bang chimg thyc nghiem trude do (Fama & French, 2002; Flannery & Rangan, 2006;
Huang & Ritter, 2009). That vay, mac dii chien luge tai chinli cua cac edng ty Viet Nam phu thudc nhieu vao nhu cau von tice thdi cho dau tu, thanh khoan nen ddi khi cac cdng ty chi huy ddng vdn du de tai trg khoan dau tu va duy tri hoat dgng hang ngay bat chap ngudn tai trg. Mac dii hau bet cac cdng ty khdng cd chien luge tai chinh dai ban, tuy nhien cac cdng ty nay van tan dung tdt lgi ich tam chan thue ciing nhu lgi ich tir giao dich chirng khoan khi hp co CO hoi huy ddng ngudn von Idn vdi chi phi giao djcb thap. Hon the niia, su thay ddi trong cau triic vdn bat ngudn tir dieu chinh bi ddng thdng qua viee khdng hoan tra khoan vay, khdng mua lai cd phieu khi cd ngudn tien du thira Idn chii yeu nham tranh eae nii ro lign quan khi huy ddng ngudn tai trg cho dau tu va thanh khoan trong tuang lai.
5. Kit luan
Khung phan tich nay sir dung dii lieu bang khdng can bang vdi 4.029 quan sat cong ty nam tir cac cdng ty niem ygt trgn ca hai san giao djcb chimg khoan de xac dinh tdc dp dieu chinh cau tnic vdn. Nghien cuu nay su dung phuang phap udc lugng LSDVC dl chi ra ldc dp dieu chinh cau true vdn trung binh cho cac cdng ty niem yet trgn thj trucmg chimg khoan Viet Nam dao ddng tir 35,1%/nam din 45,4%,/nam.
Sd 273 thdng 3/2020
Kinlid'Adra
Sir t6n tai t6c dp dieu chinh c i u tnic v o n trong d i e u cau t n i c v6n t6i ira. T r o n g Idii d o , cac cong ty c o kien thirc t i l n Viet N a m ho trg cho ly thuyet d a n h cau true v o n t h u c thap h o n c5u true v6n t6i mi nen doi d p n g trong dieu kien tan tai chi phi dieu chinh. g j ^ , 5 „ g ^ j „ ^^^ ^,j„ ,j,jj,g ^^^ ^ j ^ ^-^^ ^^ hoac/va Ngoai ra, M t q u a nghien ciiu nay phii h o p v o i c a c g j j ^ ^ g „ ^.^^j ^ ^jj^^ ^. ^^,^ ^ ^ . ^ ^ , ^ tnic v 6 n t h u c bang Chung t h u c nghiem v e toe dp dieu chinh c a u ^ ^ ^ ^ ^ . ^ . ^ ^^ ^ x ^ ^x. ^
tnic vdn. Vi vay, cac cong ty can cd chien l u g e tai , , , , chinh eu t h i d l dat d u g c lgi ich toi d a khi d i l u c h i n h ^ ^ ^ ^^^ ^^^ ^^ ^^^" "^^^^ '^^" t™'^ ^ o n la xu c i u triic vdn. T h e o do, n h u n g c d n g ty cd cau tnic h u d n g b a n d i u ciia cac nghign ciiu toe d o d i l u chinh vdn thuc eao b a n c i u tnic v d n tdi m i n e n g i a m c i u cau tnic vdn. Vi vay, h u d n g nghien c u u tigp theo tnic vdn thong qua giam n g hoae/va tang v d n chii can d u g c q u a n t a m la cac n h a n td tac d p n g den tdc sd hiru d e dieu ehinh cau true v d n t h y c h u d n g ve d o digu chinh c i u tnic vdn.
Cac ghi chu:
' Chech dugc tao ra do m i u gidi ban tham chi van ton tai khi chilu dai chuoi thai gian len din 30
^ Bien phu thupc phan so va bi kiem duyet nham mo ta bien bien phu thuoc dao dgng trong khoan gia tri [0,1 ] (Elsas va Florysiak, 2015).
' Thdi gian de loai bo mpt niia anh hudng ciia cu sdc len cau tnic von dugc tinh toan nhir ln(0 5)/( 1 -P).
Ldi thira nhan/Cam on: "Day la san pham cua de tai cap quoc gia KX.01.20/ 16-20 thuoc chucmg trinh KH&CN trong diem cap quoc gia KX 01/16-20".
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