_ KINH TE 41
DANH GIA NGUY CO PHA SAN CUA DOANH NGHIEP MEM YET TREN SAN CHlTNG KHOAN VIET NAM
BANG HAM PHAN BIET
7^- Bid PITUC Trung'
T O M T A T
Sau hai muoi nam ddi mdi. nen kinb te nirdc ta ngdy L dng phdt tridn. Tnmg .ru the do. ngdn hdng thuang mgi v&i hogt dgng cdp von lin dung ddng iai trd quan trgng trong viec dieu tiet ngudn vdn cho nen kinh te. Ben canh dd. thi irirdtig chung khodn vdi dure ndng huy dgng von ciing gdp phdn ddp ung nhu cdu vdn de ddu lu. sdn xi4dt cbo cdc chu the trong nen kinh te Tuv nhien. mot nen kinh le phdt trien nhanh hao gid cdng di kem w / sugia tdng rdi ro trong hogt ddng kmh doanh, sdn xudt. ddu tu. Tbuc te cho thdy.
thai gian qua tren thi trudng dd xudt hien nhieu hien tugng lieu cue nhu giao dich ngi gidn. ldm gid co phien. doanh nghiep cd bdo cdo kmh doanh lot bdng nhien phd sdn ...
Trong khudn khd bdi viet ndy. xin neu len mot cdng eg phdng ngua rui rv hitu hieu la ddnh gid nguy ca phd sdn ciia doanh ngbiep niem yet tren sdn chung khodn Viet Nam bdng hdm phdn biet.
ABSTRACT
After twenty years of innovation (doi moi). our economy has been growing more and more. In this trend, commercial banks HVV/J granted credit activitici plav an important role in regulating the capital jor the economy. Besides, the stock market with function of capital raising also contributes its share in satisfying the capital demand to invest, manufacture for entities in the economy However, a rupidlv growing economv is always in association with acceletating ri^k m husmcis production and investment activities. The reality is that recently, insight trading, falsified stock pricing has occurred as well as enterprises wnh pivfit making business reports .suddenly file bankruptcy ...
In this article's scope. I am pleased to introduce a solution of effective risk pwtection that is evaluating enterprises' the risk of bankruptcy listed on Vietnam s stock market by using the differential function.
I. DOANH NGHIEP CO NGUY C O PHA S.A.N
Doanh nghiep cd nguy co pha san la Nhu vay, doanh nghiep cd nguy eo bidn tugng kinh te khach quan trong nen pba san la hien tugfng binh thudng va la kinb td thi trudng ma hau qua cua nd la su hau qua tat ydu cua kinb td thi trudng. Vide xung dot lgi ich cua cac chu thd tham gia bidu dung va hoan thien khai niem nay la vao cac quan h? kinh td. Kd khdng chi !a ddi hdi khdng thd thieu cua cac cbu the su xung dgt lgi ich giira con ng mat kha trong ndn kinh te. Khai nidm nay la co sd nanc thanb loan vdi cac chu ng cua nd ma dd Nba nude cd the cnn thiep mdt each cd cdnllan den sit xung dot lgi ich cua tap thd y thuc nham ban che tdi da nbung hau qua ngudi lao ddng lam vide tai ca so cua con lieu cue va khai ibac nhimg mat tich cue, ng, den lgi ieh cbung cua va hdi, den tinh la d4u hidu nhan bidt nii ro cua cac chii the hinb trai tu tri an iai mdt dja phuang. qude trong nen kinh td thi trudng khi tham gia gia va ndn kinh td ibd gidi. vao hoai dgng kinh td, la dir lieu d^u vao 'Trvdng khoa Totm ~ Thdng ke. Tnmng Dai hoc Kmh le TPHCM
:
42
trong quan Iri nii ro <lSc l>i«t trong XHTD doanh nghiep.
Thuc tien cho thiy diju kien xac dinh linh tr?ng co nguy co pha san ciJa doanh nghiep rii phiic tap. gSv nhieu 1*6 IchSn cho viec mo thti tuc pha san. Nham Idiac phuc han chi nay, lual pha san nSm 2004 da quy djnh theo huong don gian hoa tieu chi xic dinh tinh trang pha san. Theo Dieu
D I danh gia mijc d6 nii ro cua doanh nghiep, cac t6 chuc tin dung dimg nhiiu phuong phap kh4c nhau, trong do phuang phap phan biet duoc Edward I.AItman s i 'dvmg lin diu tien vao nam 1968 dc danh gia rui ro cac doanh nghiep M?. ttr do da CO nhiju qu6c gia sti dung phuorng phap nay nhu: Nhat, An Dp. Tning Quoc...
Mo hinh ma Edward I.AItman la mo
chi xac dinh tinh trang pha san. 1 neo i-teu , 3 thi -doanh nghiep, hop tac xa khong co h Z ^ c - d u , c g ^, ^ .^ -^i,
kha nang tlranh toto duoc f ^ k h „ ^ n . ' ^ ^ f ^ o n g 2 nam Tu mlu 66 cong den han khi chii ng co yeu cau thi coi la co nang vo no . u s
. . . tv trong do co 33 cong ty Di pna san, ca- nguy CO pha san . ',' H I Allman d5 phan tich cac chi s6 tai
2. CAC KfeT QUA NGHIEN CUtJ ^ , 7 „ t i , s X " cac cong cu phan tich th6ng T R V O C BAY j^j ^.j j j ^d^ |jjo„g ijuoc mo hinh sau:
Z = 1 ' X + 1,4X, - 3.3X. + 0,6X, + 0.999X,
Stow I ' i .
Trong dd:
X, - Vdn luu ddng / Tdng lai san XJ - Lgi nhuan cbua phan phdi/Tdng lai san
XJ - Lgi nhuan irudc lliud va 1^ suat / T6ng t^ san
X - Gia iri thj tnrdng cua vdn chu sd bihi /Gia tri sd sdch ciia tdt ck c^c khoan ng
X, - Doanh ihu ;Tdng tai san Edward I.Aliman da lim ra cac gia irj tdi ban. c4c mien phan biet ciia Z dd phan biel linh (rang iii ehinh ciia cae cdng !>• nhu sau:
Z > 2,99 - mien "an toan"
1,8 < Z <• 2.99 - mien "nghi ngd"
Z < 1,8 - midn "pba san"
Nam 2001, Edward I.AItman & Max LHeine da xay dung md hinli cho Tmng Qude. Do nhijng khac biet vd ban chat cac cdng ty, vd he thdng kd toan, cMt lugng va do tin eay ciia cac bao cao tai chinh va quan tri doanh ngliiep, ndn khdng tbd ap dung md hinb cua My. Cac tac gia da phan lich 32 chi sd lai chinh \ a udc lugng md binh cho Tmng Quoc nhu sau:
-8,751 + 63X, ^ 0.761X,+ 1,295X,, +0,412X3 + 0.015X,^ + 0.105X3,-21.164X3, Trong dd:
XI - Lgi nhuan/Tdng tai san X6 - Ddng tien m3t tir cac boat dpng kinb doanh'Tong cd pbidu dang giao dich
X2I - Log (iai san cd dinh) X23 - Ty 1? lang trudng doanh thu cua cac kinh doanb chinh
X24 - Lgi nhuan chua phan phdi/
Thu nb^p rdng
X31 - Gia tri thi trudng cua cd phieu dang giao dicli/Tong ng
X32 - Gia tri sd sach cua loan bd cd phidu/Gia ui tbi trudng cua no
Midn pban bidt nbu sau:
Z > 0,7 - midn "an loan"
- 0,5 < Z < 0,7 - midn "nghi ngd"
Z < - 0,5 - midn "pha san"
J i
KINHTE 43 Mo hinh Tnmg Quoc khac xa voi cac chinh (biSn dgc lap va bien phu thugc) mo hinh ciia My va cac nuoc Phucmg Tay. sau day:
3. MAU NGHIEN CUtJ DOANH 3.1. Biln phu thuoc
NGHIfP VIET NAM _ • BiSn phu thuoclabiSn gia nhi. phan Trong nghidn cuu lua chpn miu cd2gia tri sau:
320 DN trdn 2 san chung khoin Ha Trong nehien cuu nay bidn phu thuoc Ngj va TpHCM sir dung 30 chi tieu lai ^y) dugc lira nhusau :
1 ndu doanh nghidp cd nguy co pha san 0 neu doanb nghi?p kbdng ed ngu>' ca pha san 3.2. Bien dpe l^p
Sau khi lira chgn bidn phu tbudc, budc liep theo phai xae djnh bidn ddc lap se dugc su dung trong phan tich.
Vide lua chgn bien ddc l?p thudng dugc tien hanhjheo bai each. Cach tidp can dau tidn la dua tren ca sd ly thuyet va nhQng ngbien cuu trudc. Cach tiep c^n thu hai dua Iren ca sd kidn ihuc, va
kinh ngbidm cua cac chuyen gia dd lira ebpn nhung bidn chua cd trong nh&ng nghidn cihi trudc va co sd ly ihuydl bgp ly. Trong ca hai each, nhirng bien dgc l9p duge lua chpn Ja nhung bidn cd anh hudng den kba nang phan biel giua cac nbdm cua md hinh. Trong bai vidl nay bidn ddc lap dugc lira chgn la nhirng bidn d bang 1 dudi day.
Bang 1: Bien d$c lap sir dung trong nghien cihi
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14
B i l n Dl D2 D3 D4 D5 T l T2 T3 T4 T5 HI H2 H3 H4
Ten bifen
N g phai tra/Tonp nguon von
Von chii sa hihin'ong t i i san co djnh HQu hinh Von chii sd hiru/Tong tai san
N a phai tr^Tong tai san co dinh hiru hinh Tong ng dai han/Tong tai san No ngan h^n/Tong tai san Von tien mat/Tong rai san Von liru dong/Doanh thu thuan Von tien mat/Doanh thu thuan Tong tai san lini dong /Doanh thu thuAn Hang ton kho/Doanh thu Ehuan Cac khoan phai thu/Doanh ihu ihuan
Cac khoan phai thu /Thu nhap lit ho^t dong kinh doanh Cac khoan phai tra/Doanh thu thuan
Nhtim chl tieu Don bay Don bay Don bay Don bay Don bay Thanh khoan Thanh khoan Thanh khoan Thanh khoan Thanh khoan Hoac dong Hoat dong Hoai dong Hoai dong
f
TAP CHl KHOA HQC S6 1(24)2012
IS 16 17 18 19
:u
21 :2 2 , 24 25
* 6 27 28 2«
30 H5 116 H7
m
01 0 2 03 1.1 1.2 L5 L6 1.7 1.8 L9 V I V2
Cac khoan phai Ihu/Hang ton kho Doanh ihu lhiiln;T.ii san ngan han Doanh ihu thuan/Tony lai-san Cac khoan phai lliu.'Doanh thu lhuaii'365 Gia von hang ban/Doanh ihu thuan Chl phi ban haug/Doanh thu thuSn Chi phi quan Iv doanh nghicp/Doanh thu thuan Loi nhuan InfOC lai vay va thuen"6ng lai san Lai nhuin truoc lai vay va ihue/DoanhH Lcri nhuan tit ho.iI dong san xual k i n h ^ Loi nhu4n sau thne/Doanh thu Ihuan Loi nhuan chua phan phoi/Tong lai sau L?i niiuan sau Ihue'Tong lai san 1 .f?i nhuan sau thuc/Von chu so hihj Tong lai san.'CPl
Doanh thu thu^n.CPl
m
^ J i i G '31 -^an '•b^.
Hoat dgng Hoat dong Hoat dong Hoai dong Hieu qua Hieu qua Hieu quj [.oi nhuan l.o'i nhuan I,gi nhuan I gi nhuan'.
Lm nhuan l.ai nhuiin Lgi nhuan ,
1 Qui mo Qui mo 3.3. Mo (a mau nghien cuii
Trong m5u cua nghien cuu gdm 320 Dnanh ngbiep dugc chia thanh 2 nhdm.
Nhdm 1 Id nhdm cac doanli nghidp cd ngu> ca pha Sfin va nhdm 0 la nbdm cac doanb nghidp khdng cd nguy ca pha san.
Trong do su dyng 30 chi tidu lai chinh dugc ihu thap tir cac bao ctio iai chinh
\^\ thdi diem 31-12/2009 ciia cac doanh nghiep hidn dang nidm yet lai trung lam giao dich chung khoan thanh phd lid Chi Minh (HOSE) va trung iam giao dich cbimg khoan Ha Ndi (HASTC).
Bang2:,SD lirimg doanh nghiep sir d^ltg trong nghien ciru Tmng tain
HOSE IIASTC Tong
So lirnTig U3 177 320
Bang .1: So lirgrng doanh nghiep co nguy cir pha s
So lieu khnng phan Iheo ttrny nganh kinh te do so hrrnig cac dnanh nghiep cua moi nganh fiStg niem vit tren hai san HOSE va HASTC con nho.
I 1
Ngnyccpliasan^^SBis So lirong Von liru dong ihuiing xuyen nho hon kliona 1 =t^;f :|
Gli tri thi tmrog cua iloanh nghiep nho h o n ' S r S S a i ii.i
I
Vin lint dong thtrtmg \uycn nhii hon khong .E Gia ifith.inKmg ciia doanh nghidp „h„ |,„„ |i„g „ „ t . . ,^^
KINH i f 45 3.3. Lura chgn m a a nghiin cuu
Ket qua ciia phan lich phan bidt. hdi quy logistic cung nhu cac ky ihuat thdng kd khac ddu cbtu anh hudng bdi kich thude mau. Kich tbudc mau qua nhd cd thd dan den nhihig kdt luan khdng chinh xac. Da cd nhieu ket qua nghien cuu dua ra mot ty Id 20 quan sat cho mdi bien du bao, cung cd nhung ggi \ ring cd tdi thidu 5 quan sat eho mdi bidn d^r bao.
Ngoai vide xem xdt kich tbudc mlu cho toan bd mau nghien ciru, Irong phan tich phan bi?l can pbai xem xet tdi kich thude mau ciia mdi pham trii. Kich tbudc mau toi tbieu cua mdi pham t r i pbai ldn hon sd bidn dgc lap. Trong thuc hanb, mdi Bang 4: Lua cb^n
pham tru can pbai cd it nbat 20 quan sat.
Ngay ca khi tit ca cac pham tru thda man dugc didu kien nay thi can luu y den kich thude tuang ddi cua mdi pham tru. Nhihig bidn ddi dd ldn trong kich thude cua mdi pham trii se anh budng rat idn ddn kdt qua udc lugng va su phan ldp eae quan sat. Da cd nhidu y kien cho rang viec udc lucmg bam phan bier cdn cd the bi anh hudng bdi 50 cac quan sat trong cac nhdm (can bang hay khdng can b5ng).Vi vay, de dam bao cd the tim dugc md hinh tdt nhat. trong nghien ciiu se chia mau phan tich thanb nhieu mau dd udc lugng h ^ pban bi?t.
Vm nbung 1> do trdn chiing toi lira cbgn mau nghien cuu nhu sau:
mau nghien cun Mlu
1 2
D^u hilu nguy cir pha san Gia lr| thj Iruong cua doanh nghiep nho hem tong no phai tra Von luu dpng thuong xuyen nho hem khong
Gia tri thj Iruong cua doanh nghiep nho han tong no phai tra
Nguy co- rns 149
n 210 298
4. MAU NGHIEN ClltJ DOANH NGHIEP VIET NAM
Lua chgn bien dgc lap
Muc dicb cua phan tich phan bidt la tim ham phan bidt cd kha nang pban bidt tdt nhal cac nhdm. Vide lua chgn c^c bidn trong nghidn cuu dugc thuc hidn bing phuang phap "Stepwise" vdi muc dich chgn bidn ddc lap cd anh hudng nbat den kha nang phan
bid! giiia bai nhdm cua ham DA. Lua ebon bidn ddc lap theo phucmg phap "Stepwise"
la dua d^n timg bidn vao ham phan bidt tiiy theo mue do ddng gdp cd didu kien (dua trdn tieu chuan Wilks' lambda \a khoang each Mahalanobis) ciia nd vdi didu kidn da cd cac bien dua vao trudc. Bang each nay. cd the giam bdt sd bien dinh lugng. chi giu lai nhfmg bidn phan biet tdt nhat cac nhdm.
Bang 5: Ket qua ly^ chgn bien doc l^p trong nghien ctiu Man
1
2 Bien docl^p
Dl L9 Q l D l L9 T2 T l
Wilk's Lambda Statistic
0.45113 0.40164 0.37849 0.39860 0.37340 0.36593 0.35633
dn 1 2 3 1 2 3 4
in ao
148 I4S 148 196 196 196 196
Exact F Statistic
180.0657 109.4982 79.9132 295.7174 163.6112 112 0502 87.1584
i i n 1 2 3 1 2 3 4
dt2 148 147 146 196 195 194 193
sig.
0.00000 0.00000 0 00000 0.00000 0.00000 0.00000 0.00000
TAP CHI KHOA HOCS6^Pf)201£_
Mau 1 CO 3 bien duijc Ivra chpn la DI, L9,QI.
Mau 2 CO 4 bi jn duoc lua chon la DI.
L9,TI,T2.
Trong do cac biin duoc lira chpn:
DI = Np phai t r i l d n g ngu5n von.
L9 = lpi nhuin sau thuSVon chA so hiig Q1 = Gia v6n liaug ban/Doanh thu thuin Tl = Np ngSn han/Tong tai san.
T2 = V6n lijn mat/Tdng tai san Su dung phin mem SPSS ta co kit qua sau:
Ket qua iiffc luffng mau '
Z_^, = . 5.153 ^ 6.774 X D, - 2.511 X Q, - 2.747 X L, K^t qua irffc lirong mau 2:
=-3.0312 - 5.8397 x D , + 1 . 4 9 3 8 x 1 , - 3 . 7 3 6 9 x T j - 2 , 0 5 4 4 x L ,
Bang 6: K^t qua phan nhim cua mau I Di£ni pban biet
(miit<Z<niaxi min 1 max 1 ^ ^ ^ ^ H -2.15770 2
3 4 5 6
8 9
-2.15770 -1.81028 -0.90823 -0.42051 0.88376 1.74514 1.78419
-1.81028 -0.90823 -0.42051 0.88376 1.74514 1.78419 2 33196
^^^^^^
Trpng tam
-2.79073 -1.99210 -1 36975 -0.61362 0.23069 1.36065 1.74725 2.09234 2.64743
Diem cat
>C'
>1..
-2.591
" " . 5 6 4
•1 029 0.031 0.692 1.379 2.054 2.351
1 1
1
1
1 1 1
Bang 7: Ket qui phan nhom ciia mau 2
Nh6m
Diem phan biet (min<Z<niax)
min max
1
^ ^ ^ ^ 1
-12 3 4 5 6 7 8 9
-1.84770 -1.66290 -0 75956 -0.33126 0.99574 1.81524 1.86599 2.45227
-166290 -0 75956 -0,33126 0 99574 1 81524 1.86599 2.45227
Trong tam
-2.53829
•1.73402 -1.22588 -0.55412 0.30839 1 38828 1.83170 2,16645 3.03615
Diem cat
"ll if if "ll
>i
-2.396 -1 311 -1 050 0.176 0.719 1.419 2.119 2.514
1 I
—1 1
1 1
1
—1
47 Nhu vay. vdi ham phan bidt Z^^^^^, ta
cd tbd pban ldp cae doanb nghidp trdn san chung kboan Viet Nam nbu sau:
• Ndu Z^^,^^, > 1.7451 Ihl doanh nghiep dugc phan vao nbdm ed nguy ca pha san.
•Ndu -0.9082 < Z^^^^^< 1.7451 tbi doanb ngbiep nam trong vung canh bao, dugc pban vao nbdm irung gian.
• Ndu Z^^_^,^,^ -0.9082 tbi doanb nghiep dugc phan vao nbdm kbdng cd nguy CO pha san.
5. KET LUAN
Tren ca sd tiep c^n md hinb p h ^ tich pban bieL danb gia rui ro cua doanb nghiep dang niem yet tren tbi trudng chung khoan
\^dt Nam cbo thdy day la phuong pbap tidp can khacb quan phii bgp vdi thdng Id qude te. Md hinb phdn ti'eh ph3n bidt don gian, dd tbyc hidn va phu bgp vdi phuong phap truyen thdng ciia Vi?t Nam, khong can su dung qua nbieu chi tieu tai chinh v^ phi tai cbinh. Ket qua tbu dugc la kdnb thong tin tdt giiip cho cac doanh nghidp va nba dhx tu ciing nhu cac td chiie tai chinh tin dung tham khao.
TAI LIEU THAM KHAO 1. Thy Anh (2004), Tim hidu Ju^t pha
san. Nxb. Lao dpng, Ha Ndi.
2. Nguydn Minh Kidu (2007). Tin dung va tham dinb tin dung ngan bimg, Nxb. Tai ehinb Tp HCM.
3. Ngan hang Nha nudc Viet Nam (2007), Xdp hang tin dung cac doanh
ngbiep nidm yet tren tbi trudng ehung kboan Vi^t Nam, Nxb. Lao ddng. Ha Ngi.
4.. Ngan bang Nha nudc Viet Nam (2008), Xdp bang tin dung cae doanh nghidp niem yet trdn tbi trudng ehung khoan Viet Nam, Nxb. Lao dgng. Ha Npi.
5. Trung tam bao chi va hgp tac truydn thdng, Tbuc td dinb miic tin nhiem doanh nghiep d Vidt Nam, Viet bao, Viet Nam. bttp://vietbao.
vn/Kinh-te/Tbuc-te-dinh-mue- lin-nhiem-doanb-nahiep-o-Viet- Nam/55157039/88/.
6. Edward I. Altman, Max L. Heine (2007), Corporate Financial Dis- tress Diagnosis in China. Salomon Center. New York Universitv- Error!
Hyperlink reference not valid.
7. Jonathan Berk, Peter Demarzo (2005), Corporate finance, Addison westly. New York.
8. Tsung-kang Chen, Hsien-hsing Liao (2005), A Multi-period Corporate credit Model-An Intrinsic Valuation Approach, National Taiwan Univer- sity, http:// www, defaultrisk . com /_pdf6j4/A_Multi-period_Corpo- rateCrdt Mdl-An-Intnsc_ Vlm_
Appreh .pdf.
9. Maria Vassalou and yuhang Xmg (2003): Default Risk in Equit>- Returns, Columbia University.
http://finance.bi.no/seminar/Vas- salou.pdf.
