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MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM HO CHI MINH CITY UNIVERSITY OF BANKING TRAN THI PHUONG UYEN THE IMPACT OF OWNERSHIP STRUCTURE ON THE VALUE OF NON – FINANCIAL ENTERPRISES L.
MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM HO CHI MINH CITY UNIVERSITY OF BANKING TRAN THI PHUONG UYEN THE IMPACT OF OWNERSHIP STRUCTURE ON THE VALUE OF NON – FINANCIAL ENTERPRISES LISTED ON HO CHI MINH STOCK EXCHANGE GRADUATION THESIS MAJOR: FINANCE – BANKING NUMBER CODE: 7340201 HO CHI MINH CITY – JUNE 2022 MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM HO CHI MINH CITY UNIVERSITY OF BANKING TRAN THI PHUONG UYEN THE IMPACT OF OWNERSHIP STRUCTURE ON THE VALUE OF NON – FINANCIAL ENTERPRISES LISTED ON HO CHI MINH STOCK EXCHANGE GRADUATION THESIS MAJOR: FINANCE – BANKING NUMBER CODE: 7340201 ACADEMIC ADVISOR NGUYEN TRAN PHUC, PHD HO CHI MINH CITY – JUNE 2022 i ABSTRACT Title: The impact of ownership structure on the value of non – financial enterprises listed on Ho Chi Minh stock exchange Abstract: Maximizing enterprise value is the ultimate goal of every company because it will contribute towards creating sustainable profits promoting business development, stabilizing macroeconomic and increasing competitiveness in integration environment This issue that is most concerned by administrators, investors and the Vietnamese government For that reason, the author conducted the study "The impacts of the ownership structure on value of non-financial companies listed in Ho Chi Minh Stock Exchange" The research model includes the dependent variable which is firm‟s value, the independent variables which are the rate of state ownership, the rate of foreign ownership, the existence of major shareholders and control variables After testing for FEM model selection and overcoming model defects by FGLS method, the results of the state ownership rate, foreign ownership rate and the existence of major shareholders are statistically significant for the value of businesses Objective: To identify and determine the impact of ownership structure on the value of non-financial enterprises listed on the Ho Chi Minh Stock Exchange and propose management implications to improve operational efficiency and position in the market Method: Quantitative research includes: descriptive statistics, correlation matrix, the test of model and hypothesis, the selection of suitable model and model regression Results: This thesis shows the positive impact of state ownership, foreign ownership and the existence of major shareholder on firm value as measured by Tobin's Q, ROA and ROE Conclusion and recommendation: Through the econometric model built with the dependent variable being the value of enterprise, the research results show that the ownership structure is a factor that helps to improve corporate governance that increase efficiency and have opportunity form outside investors ii Keywords: Ownership structure, corporate value, state ownership, foreign ownership, large shareholder existence DECLARATION I honestly declare that this graduation thesis entitled “The impact of ownership structure on the value of non – financial enterprises listed on Ho Chi Minh Stock Exchange” is the final result of my original research work under the guidance of PhD Nguyen Tran Phuc, my academic advisor This thesis has never been submitted for a graduation's degree at anywhere else before This thesis is the author's own research and the results of the research are trustworthy The thesis does not consist of any previously published content or content made by others except for citations which are fully cited in the thesis Ho Chi Minh City, June 2022 Tran Thi Phuong Uyen iii ACKNOWLEDGEMENT First of all, I would like to express my sincere thanks and gratitude to my academic advisor, PhD Nguyen Tran Phuc Thanks for always supporting me whenever I need your help and all the knowledge you have taught me during my university journey Besides, the author would also like to express gratitude to teachers of Banking University of Ho Chi Minh City, who have equipped the author about necessary knowledge with their enthusiastic and dedicated teaching during the past years At the same time, hereby the author would like to special thanks teachers, leadership board as well as staff of the functional departments of university who wholeheartedly worked, organized, managed and created conditions for the author Secondly, I would like to sincerely thank to my parents, who always take care and encourage me during the time doing this thesis I will never forget the love you gave me! Last but not least, I want to say thanks to my friend, Tuong Vy, who has appeared at the hardest time to help me Due to the limitation of time, knowledge and research experience, this thesis is hard to avoid shortcomings and limitations Therefore, the writer would like to receive valuable comments and suggestions from the defense committee to make the thesis more complete and professional Best regard Ho Chi Minh City, June 2022 TABLE OF CONTENTS ABSTRACT i DECLARATION ii ACKNOWLEDGEMENT iii LIST OF ABBREVIATIONS iv LIST OF TABLES v CHAPTER INTRODUCTION 1.1 MOTIVATION OF RESEARCH: 1.2 GAP OF RESEARCH: 1.3 OBJECTIVES OF RESEARCH: 1.3.1 General objective: 1.3.2 Particular objectives: 1.4 QUESTION OF RESEARCH: 1.5 SUBJECT AND SCOPE OF RESEARCH: 1.5.1 Subject of research: 1.5.2 Scope of research: 1.6 METHODOLOGY OF RESEARCH: 1.7 CONTRIBUTIONS OF RESEARCH: 1.8 STRUCTURE OF RESEARCH: CONCLUSIONS OF CHAPTER CHAPTER 2.1 LITERATURE REVIEW OWNERSHIP STRUCTURE AND ENTERPRISE VALUE 2.1.1 The concept of ownership structure 2.1.1.1 The definition of ownership structure 2.1.1.2 Classification of ownership structure: 2.1.2 The concept of enterprise value 12 2.2 2.1.2.1 The definition of enterprise value 12 2.1.2.2 Methods of measuring firm value 12 THE THEORETICAL FRAMEWORK: 16 2.2.1 Agency cost theory 16 2.2.2 Transaction cost theory 17 2.3 EMPIRICAL STUDIES 18 2.3.1 International previous studies 18 2.3.2 Previous studies in Vietnam: 19 CONCLUSIONS OF CHAPTER 26 CHAPTER METHODOLOGY OF THESIS 27 3.1 RESEARCH PROCESS 27 3.2 RESEARCH HYPOTHESIS 27 3.2.1 Impact of state ownership to the value of non-financial enterprises 27 3.2.2 Impact of foreign ownership to the value of non-financial enterprises 28 3.2.3 Impact of the existence of major shareholders to the value of non-financial enterprises 28 3.3 RESEARCH MODEL 29 3.3.1 The estimated model 29 3.3.2 Variable description 30 3.4 DATA OF THESIS 37 3.5 METHOD OF DATA ANALYSIS 37 3.5.1 Descriptive Statistics 37 3.5.2 Correlation analysis 37 3.5.3 Methods of regression analysis 38 3.5.3.1 The pooled ordinary least squares model (Pooled – OLS): 38 3.5.3.2 The fixed effect model (FEM) and random effect model (REM): 39 3.5.4 Testing of the estimate model 39 3.5.5 Testing of defect in the model 40 3.5.6 Surmounting of defect in the model 41 CONCLUSIONS OF CHAPTER 41 CHAPTER THE RESEARCH RESULTS 43 4.1 DESCRIPTIVE STATISTIC ANALYSIS 43 4.2 CORRELATION ANALYSIS 44 4.3 THE RESULT OF MULTICOLLINEARITY TEST THOUGH THE VIF COEFFICIENT 45 4.4 THE RESULT OF ESTIMATE MODEL 47 4.4.1 Result of Hausman test 47 4.4.2 Result of F-test 48 4.4.3 Result of heteroscedasticity test 51 4.4.4 Result of Wooldridge test 51 4.4.5 Result of FGLS method 52 4.5 Discussing the research results 54 CONCLUSIONS OF CHAPTER 55 CHAPTER CONLUSIONS AND RECOMMENDATIONS 57 5.1 OVERVIEW OF RESEARCH 57 5.2 RECOMMENDATIONS FROM RESEARCH RESULTS 58 5.3 LIMITATIONS OF THE RESEARCH 59 REFERENCES APPENDICES iv LIST OF ABBREVIATIONS Abbreviations Definition BLOCK Big shareholder existence FEM Fixed effects model FIRMAGE The age of the business FIRMSIZE Company size FORG Foreign ownership ratio FGLS Generalized Least Square GOV State ownership ratio GROWTH Revenue growth HCM Ho Chi Minh HNX Ha Noi Stock Exchange HOSE Ho Chi Minh Stock Exchange LEV The leverage ratio of the business LM Breuschand-Pagan Lagrangian multiplier M&A Mergers and acquisitions REM Random effects model ROA Return on asset ROE Return on equity TOBIN’S Q Enterprise value v LIST OF TABLES Table 2.1 The summary of previous researches 22 Table 3.1 Measurement of variable in thesis 34 Table 4.1 Descriptive statistics of the variables 43 Table 4.2 Results of correlation analysis of variables 44 Table 4.3 Results of have no correlation between the independent variables 46 Table 4.4 Results of the Hausman test 48 Table 4.5 Result of F-test 48 Table 4.6 Results of FEM model regression 50 Table 4.7 Results of the Modified Wald test 51 Table 4.8 Results of the Modified Wald test 52 Table 4.10 Result of FGLS test to correct autocorrelation and variance change phenomenon 53 Table 4.11 Summary of research results 55 LEV before outlier After synchronizing the outlier (0 99) After synchronizing the outlier (10 90) GROWTH before outlier FIRMSIZE before outlier After synchronizing the outlier (0 95) ROA before outlier After synchronizing the outlier (1 95) ROE before outlier After synchronizing the outlier (5 95) Appendix 5: Pooled - OLS regression test results Model 1: Source Model Residual Total SS 73.4492 103.2373 176.6864 df 1592 1599 MS 10.4927 0.0648 0.1105 Number of obs = 1,600 F(7, 1592) = 161.81 Prob > F = 0.0000 R-squared = 0.4157 Adj R-squared = 0.4131 Root MSE = 25465 TOBINSQ GOV FIRMAGE LEV GROWTH FIRMSIZE ROA ROE _cons Coef 0.0839 -0.0017 0.1662 -0.0387 0.0279 0.0190 0.0087 -0.0473 Std Err 0.0261 0.0009 0.0402 0.0112 0.0058 0.0019 0.0014 0.1562 t 3.2100 -1.9000 4.1300 -3.4700 4.8500 9.8200 6.2200 -0.3000 SS 74.188 102.499 176.686 df 1592 1599 MS 10.598 0.064 0.110 Coef 0.247 -0.002 0.182 -0.036 0.020 0.019 0.008 0.153 Std Err 0.053 0.001 0.040 0.011 0.006 0.002 0.001 0.161 t 4.670 -1.890 4.530 -3.200 3.370 9.970 5.830 0.950 SS 73.694 102.992 176.686 df 1592 1599 MS 10.528 0.065 0.110 Coef 0.084 -0.002 Std Err 0.022 0.001 t 3.760 -1.970 P>|t| 0.0010 0.0580 0.0000 0.0010 0.0000 0.0000 0.0000 0.7620 [95% Conf Interval] 0.0326 0.1351 -0.0034 0.0001 0.0873 0.2451 -0.0606 -0.0168 0.0166 0.0392 0.0152 0.0228 0.0059 0.0114 -0.3536 0.2591 P>|t| 0.000 0.059 0.000 0.001 0.001 0.000 0.000 0.344 Number of obs = 1,600 F(7, 1592) = 164.61 Prob > F = 0.0000 R-squared = 0.4199 Adj R-squared = 0.4173 Root MSE = 25374 [95% Conf Interval] 0.144 0.351 -0.003 0.000 0.103 0.261 -0.058 -0.014 0.008 0.032 0.015 0.023 0.005 0.011 -0.164 0.469 Model 2: Source Model Residual Total TOBINSQ FORG FIRMAGE LEV GROWTH FIRMSIZE ROA ROE _cons Model 3: Source Model Residual Total TOBINSQ BLOCK FIRMAGE Number of obs = 1,600 F(7, 1592) = 162.73 Prob > F = 0.0000 R-squared = 0.4171 Adj R-squared = 0.4145 Root MSE = 25435 P>|t| 0.000 0.050 [95% Conf Interval] 0.040 0.128 -0.003 0.000 LEV GROWTH FIRMSIZE ROA ROE _cons 0.154 -0.040 0.030 0.020 0.008 -0.154 0.040 0.011 0.006 0.002 0.001 0.159 3.820 -3.560 5.180 10.270 5.800 -0.970 0.000 0.000 0.000 0.000 0.000 0.331 0.075 -0.061 0.019 0.016 0.005 -0.465 STATISTICAL OLS GOV FIRMAGE LEV GROWTH FIRMSIZE ROA ROE FORG (1) (2) TOBINSQ TOBINSQ 0.0839*** [3.21] -0.00169* -0.00168* [-1.90] [-1.89] 0.166*** 0.182*** [4.13] [4.53] -0.0387*** -0.0357*** [-3.47] [-3.20] 0.0279*** 0.0202*** [4.85] [3.37] 0.0190*** 0.0191*** [9.82] [9.97] 0.00869*** 0.00810*** [6.22] [5.83] 0.247*** [4.67] BLOCK _cons (3) TOBINSQ -0.00175** [-1.97] 0.154*** [3.82] -0.0396*** [-3.56] 0.0299*** [5.18] 0.0198*** [10.27] 0.00809*** [5.80] 0.0843*** [3.76] -0.0473 [-0.30] 1600 N t statistics in brackets * p chi2 = 0.0000 TOBINSQ Coef Std Err GOV 0.356051 0.10203 FIRMAGE 0.002825 0.001419 z 3.49 P>|z| [95% Conf Interval] 0.156076 0.556025 1.99 0.046 0.0000445 0.005606 LEV 0.159996 0.050006 3.2 0.001 0.0619868 0.258005 -1.55 0.12 0.0317967 0.003677 GROWTH -0.01406 0.00905 FIRMSIZE 0.021659 0.009849 ROA 0.011168 0.001674 2.2 0.028 0.0023561 0.040963 6.67 0.0078873 0.014449 ROE 0.007436 0.001241 5.99 0.0050042 0.009868 _cons 0.103493 0.261719 0.4 0.693 0.4094664 0.616452 sigma_u 0.160643 sigma_e 0.183358 rho 0.434254 (fraction of variance due to u_i) Model 3: Random-effects FGLS regression Group variable: name R-sq: within = 0.1554 between = 0.5436 overall = 0.3941 corr(u_i, X) TOBINSQ GOV FIRMAGE LEV GROWTH FIRMSIZE ROA ROE = (assumed) Coef Std Err 0.117264 0.051621 0.002625 0.001422 0.146736 0.049925 -0.01486 0.00906 0.02962 0.009572 0.011164 0.001678 0.007621 0.001243 z 2.27 1.85 2.94 -1.64 3.09 6.65 6.13 P>|z| 0.023 0.065 0.003 0.101 0.002 0 0.016088 -0.00016 0.048884 -0.03261 0.010859 0.007875 0.005185 Number of obs = 1,600 Number of groups = 200 Obs per group: = avg = 8.0 max = Wald chi2(7) = 460.01 Prob > chi2 = 0.0000 [95% Conf Interval] 0.21844 0.005412 0.244587 0.002902 0.048382 0.014453 0.010057 _cons sigma_u sigma_e rho -0.09252 0.256964 -0.36 0.719 -0.59616 0.161328 0.183358 0.436348 (fraction of variance due to u_i) 0.41112 STATISTICAL REM GOV (1) (2) (3) TOBINSQ TOBINSQ TOBINSQ 0.117** [2.27] FIRMAGE LEV GROWTH FIRMSIZE ROA ROE 0.00262* 0.00283** 0.00247* [1.85] [1.99] [1.75] 0.147*** 0.160*** 0.135*** [2.94] [3.20] [2.70] -0.0149 -0.0141 -0.0150* [-1.64] [-1.55] [-1.66] 0.0296*** 0.0217** 0.0312*** [3.09] [2.20] [3.27] 0.0112*** 0.0112*** 0.0114*** [6.65] [6.67] [6.80] 0.00762*** 0.00744*** 0.00747*** [6.13] [5.99] [6.01] 0.356*** FORG [3.49] 0.0913** BLOCK [2.07] _cons -0.0925 [-0.36] N 1600 t statistics in brackets * p F = 0.0000 Module 2: note: FORG omitted because of collinearity Fixed-effects (within) regression Group variable: name R-sq: Number of obs = 1,600 Number of groups = 200 Obs per group: within = 0.1704 between = 0.2164 overall = 0.2016 corr(u_i, Xb) = -0.0185 TOBINSQ Coef FORG 0.0000 FIRMAGE 0.0125 LEV 0.3043 GROWTH -0.0048 FIRMSIZE -0.0091 ROA 0.0090 ROE 0.0066 _cons 0.7932 sigma_u 0.2433 sigma_e 0.1834 = avg = 8.0 max = F(6,1394) = Prob > F = Std Err (omitted) 0.0024 0.0649 0.0090 0.0179 0.0017 0.0013 0.4657 t P>|t| 5.1400 4.6900 -0.5300 -0.5100 5.3200 5.2400 1.7000 0.000 0.000 0.596 0.610 0.000 0.000 0.089 47.71 0.0000 [95% Conf Interval] 0.0077 0.1771 -0.0225 -0.0442 0.0057 0.0041 -0.1204 (fraction of variance due to rho 0.6378 u_i) F test that all u_i=0: F(199, 1394) = 8.53 0.0172 0.4316 0.0129 0.0259 0.0123 0.0091 1.7067 Prob > F = 0.0000 Module 3: note: BLOCK omitted because of collinearity Fixed-effects (within) regression Group variable: name R-sq: within = 0.1704 between = 0.2164 overall = 0.2016 corr(u_i, Xb) = -0.0185 TOBINSQ Coef Std Err BLOCK 0.0000 (omitted) FIRMAGE 0.0125 0.0024 LEV 0.3043 0.0649 GROWTH 0.0048 0.0090 FIRMSIZE 0.0091 0.0179 ROA 0.0090 0.0017 ROE 0.0066 0.0013 Number of obs = 1,600 t P>|t| Number of groups = 200 Obs per group: = avg = 8.0 max = F(6,1394) = 47.71 Prob > F = 0.0000 [95% Conf Interval] 5.1400 4.6900 0.000 0.000 0.0077 0.1771 0.0172 0.4316 -0.5300 0.596 -0.0225 0.0129 -0.5100 5.3200 5.2400 0.610 0.000 0.000 -0.0442 0.0057 0.0041 0.0259 0.0123 0.0091 _cons 0.7932 sigma_u 0.2433 sigma_e 0.1834 0.4657 1.7000 0.089 -0.1204 (fraction of variance due to rho 0.6378 u_i) F test that all u_i=0: F(199, 1394) = 8.53 STATISTICAL FEM GOV TOBINSQ (1) 1.7067 Prob > F = 0.0000 TOBINSQ (2) TOBINSQ (3) 0.0125*** 0.0125*** 0.0125*** [5.14] [5.14] [5.14] 0.304*** 0.304*** 0.304*** [4.69] [4.69] [4.69] -0.00478 -0.00478 -0.00478 [-0.53] [-0.53] [-0.53] -0.00913 -0.00913 -0.00913 [-0.51] [-0.51] [-0.51] 0.00900*** 0.00900*** 0.00900*** [5.32] [5.32] [5.32] 0.00662*** 0.00662*** 0.00662*** [5.24] [5.24] [5.24] FIRMAGE LEV GROWTH FIRMSIZE ROA ROE FORG BLOCK 0.793* 0.793* 0.793* [1.70] [1.70] [1.70] N 1600 t statistics in brackets * p F = 0.0000 Appendix 10: Results of the FGLS regression Model 1: Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: heteroskedastic Correlation: common AR(1) coefficient for all panels (0 4637) Estimated covariances = 200 Number of obs = 1,600 Estimated autocorrelations = Number of groups = 200 Estimated coefficients = Time periods = Wald chi2(7) = 791.65 Prob > chi2 = 0.0000 TOBINSQ Coef Std Err z P>|z| [95% Conf Interval] GOV 0.071216 0.022711 3.14 0.002 0.026703 0.115729 FIRMAGE 0.000477 0.000671 0.71 0.477 -0.00084 0.001792 LEV 0.104396 0.031178 3.35 0.001 0.043289 0.165504 GROWTH -0.01986 0.005399 -3.68 -0.03044 -0.00928 FIRMSIZE 0.034005 0.005159 6.59 0.023893 0.044116 ROA 0.011769 0.001314 8.95 0.009193 0.014345 ROE 0.007688 0.000878 8.75 0.005967 0.00941 _cons -0.20484 0.138176 -1.48 0.138 -0.47566 0.065983 Model 2: Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: heteroskedastic Correlation: common AR(1) coefficient for all panels (0 4658) Estimated covariances = 200 Number of obs = 1,600 Estimated autocorrelations = Number of groups = 200 Estimated coefficients = Time periods = Wald chi2(7) = 859.36 Prob > chi2 = 0.0000 TOBINSQ Coef Std Err z P>|z| [95% Conf Interval] FOV 0.324068 0.060615 5.35 0.205266 0.442871 FIRMAGE 0.000362 0.000607 0.6 0.551 -0.00083 0.001551 LEV 0.149374 0.030335 4.92 0.089918 0.20883 GROWTH -0.01636 0.005093 -3.21 0.001 -0.02635 -0.00638 FIRMSIZE 0.029245 0.004864 6.01 0.019711 0.038779 ROA 0.011991 0.001263 9.5 0.009516 0.014465 ROE 0.006727 0.000825 8.15 0.00511 0.008344 _cons -0.09847 0.127607 -0.77 0.44 -0.34858 0.151633 Model 3: Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: heteroskedastic Correlation: common AR(1) coefficient for all panels (0.4623) Estimated covariances = 200 Number of obs = 1,600 Estimated autocorrelations = Number of groups = 200 Estimated coefficients = Time periods = Wald chi2(7) = 812.36 Prob > chi2 = 0.0000 TOBINSQ Coef Std Err z P>|z| [95% Conf Interval] BLOCK 0.06213 0.016874 3.68 0.029057 0.095203 FIRMAGE -0.00015 0.000646 -0.23 0.815 -0.00142 0.001114 LEV 0.108928 0.030868 3.53 0.048428 0.169427 GROWTH -0.01792 0.005339 -3.36 0.001 -0.02839 -0.00746 FIRMSIZE 0.038226 0.005118 7.47 0.028194 0.048257 ROA 0.012269 0.001314 9.34 0.009694 0.014844 ROE 0.007031 0.00088 7.99 0.005306 0.008757 _cons -0.35287 0.138868 -2.54 0.011 -0.62505 -0.0807 GOV (1) (2) (3) TOBINSQ TOBINSQ TOBINSQ 0.000477 0.000362 -0.000151 [0.71] [0.60] [-0.23] 0.104*** 0.149*** 0.109*** [3.35] [4.92] [3.53] -0.0199*** -0.0164*** -0.0179*** [-3.68] [-3.21] [-3.36] 0.0340*** 0.0292*** 0.0382*** [6.59] [6.01] [7.47] 0.0118*** 0.0120*** 0.0123*** [8.95] [9.50] [9.34] 0.0712*** [3.14] ROA ROE FIRMAGE LEV GROWTH FIRMSIZE 0.00769*** 0.00673*** 0.00703*** [8.75] FORG [8.15] [7.99] 0.324*** [5.35] BLOCK 0.0621*** [3.68] _cons N -0.205 -0.0985 -0.353** [-1.48] [-0.77] [-2.54] 1600 1600 1600 ... corporate regulations Therefore, the author conducted the thesis: "The impact of ownership structure on the value of non-financial enterprises listed on Ho Chi Minh City Stock Exchange" , thereby proposing... impact of foreign ownership on the value of non-financial enterprises listed on the stock exchange of Ho Chi Minh City Evaluate the existence of major shareholder affects on the value of non-financial... ownership structure on the value of nonfinancial enterprises listed on the Stock Exchange of Ho Chi Minh City 1.5.2 Scope of research: - Scope of space: The study used data of 200 non-financial enterprises