BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC KINH TẾ TP HCM VŨ THỊ BẢO TUYÊN CÁC NHÂN TỐ ẢNH HƯỞNG ĐẾN CẤU TRÚC VỐN CỦA CÁC DOANH NGHIỆP NIÊM YẾT SỞ GIAO DỊCH CHỨNG KHOÁN HÀ NỘI Chuyên ngành: Tài – Ngân hàng Mã số: 60 34 02 01 LUẬN VĂN THẠC SĨ KINH TẾ NGƯỜI HƯỚNG DẪN KHOA HỌC: GS TS TRẦN NGỌC THƠ TP Hồ Chí Minh - Năm 2012 CAM KET thong tin da dir‹ c lie I ké danh muc Hi lien tham khao trich dan ciia luan van Nhiing trich doan hay noi dung tham khao tir cac nguon khcic dir‹ c lie I ké danh muc Hi lien tham khao theo hinh thiic nhiing doan trich dan nguyén van hoac loi di n giai luan van theo thong tin vé nguon tham khao ro rang cho Ho Chi Minh, / ./ (KQ v:i ghi r ii hp ten) DAN LU(AN Khi ma khiing hoang tcii chinh dang la moi de doa hang dciu ciia hciu hét cac doanh nghiep thi Hi can trite von dirpc xem la giai phap him hien dé ton tai va pha I trién bén Viec thiét lap incit cc can v n Hi uu khéng chi dam ban kha uang toan, dat dir‹ c hien qua sir dung von cao, ma giitp doanh nghiep co cc hoi huy dong von dé phat trién san xuat kinh doanh hay dciu tir vao l‘inh we mci Mat khci c, Ie von tij: co qua ton dan dén tinh trang dciu tv trcin lan, khong co chién lir‹ c T I ca nhiing ton tai dién hinh da anh hirong rat ton dén can trite ta i chinh ciia doanh nghiep, ma cu thé la tain mat kha uang toan, mat cc hoi kinh doanh (do khong chit dong dir‹ c vé nguon von) va gap nhiéu tr© ngai viec huy dong von Theo mot so chuyén gia ID i chinh, cho dén nay, nhiéu doanh nhcin van quan niem rat don gian vé c‹ can von ciia doanh nghiép, chi nao ccin d‹iu tir mci di vay von hoac pha I hénh co phiéu Chinh “term ly“ da anh hvong trij:c tiép dén cc hoi d‹iu tir ciia doanh nghiep va tinh an toan ciia can trite von Thij:c té cho thay, da phcin cac doanh nghiep Viét Nam, dac bie I la cac doanh nghiep vira va nho déu qua phu thuoc van nguon von vay Sij: chay theo dDanh thu dan toi vie c doanh nghiep khong kiém seat dirpc chft ché dong tién thu vé Con sij: mat c‹in doi nguon von la he qua ciia viec diing von ngan han dé d‹iu tv vao trung han Xuat phat tit nhan thiic tae gia da trién khai nghién cuu 100 doanh nghiep tai Viét Nam voi nine héu Xem xét term quan ciia can trite von doi voi sij: pha I trién ciia doanh nghiep, Tim hiéu sij: tae dong ciia cac nh‹in to can trite von ciia cac doanh nghiep Voi ccic inuc tién dé Hi da dirpc hinh voi can trite va noi dung nhir bén dvoi dciy DANH MU C QUY UC VIET TAT vii LCII NOI DAU .1 Sid erm thiét ciia dé t:ii nghién ciiu .1 Mijc tiéu v:i cfiu hiii nghién ciiu 2 Muc tiéu nghién cuu 2.2 Cau hoi nghién cuu .2 Cau triic dé t:ii CHUONG 1: CO SCC LY LUAN VE CAU TRUC VON 1.1 Tong quan ve cau true von .4 1.1.1 Kh:ii ni(m ve cau tribe von 1.3 Cau true von toi uu 1.2 Cac thuyet cau true von thuyet cua Modigliani va Mrller (1958) Ly 1.2.2 Ly thuyét d:inh dfii cau tribe von 1.2.1 1.2.3 Ly thuyét cua Myers (1984) .7 1.3.1.2 Thue 1.3.1.4 Co hoi t:ing truong 10 1.3.2.1 T:ii san co dinh hiru hinh 10 1.3.2.2 Quy mo (size) 11 1.3.2.3 Kha n:ing sinh loi 1.3.2.5 Tinh khoan 12 1.3.2.7 Chu ky t:ing truong 13 1.4 Mot “ trinh nghién ciiu vé cau tribe viin .13 CHUONG 2: PHUONG PYP NGHIEN CN 17 2.1 Mii hinh v:i gifii thiét nghién ciiu 17 1 Mo hinh nghien cuu .17 1.3 Mo ta v:i dinh nghia c:ie bién nghien cuu 19 2.4.2 Pharr tich nhan to kh:tin ph:i vfii bién phu thuoc 24 2.4.3 Mo hinh hfii quy v:i kiém d|nh gia thuyét 25 CHUONG : KET QUA NGHIEN CN D|NH LUONG 27 3.1 Mo ta ve tong the va mau nghien cuu 27 1.3 Pharr tich mot so chi tiéu cc ban cua c:ie doanh nghi(p nghien cuu 28 3.3.2 Két qua phan tich nhan to kh:tin ph:i bién phu thuoc 35 3.3.3 Pharr tich su khac bi(t ve cau tribe von giiia c:ie nhfim nganh 36 3.3.4 Pharr tich hfii quy mo hinh cau tribe von .37 PHU LUC 2: CAC CHI TIEU SO SANH NGANH SAN XUAT VA XAY DUNG 54 PHU LUC 3: PHAN TICH TRONG QUAN BIEN 56 PHU LUC 5: KIEM D|NH KW 63 PHU LUC 6: HOI QUY CHO BIEN TDTA 67 PHU LUC 7: HOI QUY CHO NHAN TO 69 PHU LUC 8: HOI QUY STDT 72 PHU LUC 9: HOI QUY LTDT 74 PHU LUC 10: HOI QUY LTDE 77 PHU LUC 1: HOI QUY LTDC .79 DANH MUC BIEU DO Hinh 1: Mo hinh nghien ctlu cau trttc von cua doanh nghiep 17 Hinh 2.2: So phan tich vfi xu ly so lieu 23 Hinh 1: Bieu phan bo cfc ngfinh mfiu nghien ctlu .28 DANH MUC BANG Bang 1: Gia thiet nghien ctlu ve cau trttc von cua cfc doanh nghiep .18 Bang 2.2: Mo la vfi md hfia cfc nhan to nghien ctlu .19 Bang 1: Mot so chi tieu cc ban cua cfc doanh nghiep nghien ctlu 29 Bang 3.2: Cfc chi tieu phan finh cau trttc von cua cfc doanh nghiep 31 Bang 3.3 : Bang té›m t t moi quan he tuong quan giua cfc chi tieu vfi cau trttc von 35 Bang 3.4: Ket qua kiem dinh su khfic biet ve cau tribe von giua cfc nhfim ngfinh 37 Bang 3.5: Tong hpp cac ket qua hoi quy 38 Bang 3.6: Bang tong hpp dien bien tic dong cua cfc nhan to vfio cau trttc von 44 DANH M C QUY HC VIET TAT Quy wérc DN GROWTH LIQUIDITY Dien giai Doanhnghiep Co hoi ting truong Tinh khoan LTDC LTDE LTDT NDTS No dfii han/ Von co phan No dai han/ Tong tfii san PROFIT SIZE STDT Kha ning sinh loi Quy mo doanh nghiep No rig n han/ Tong tfii san TAX TDTA VOLATILITY Tai san co dinh hfiu hinh Thue sit Tong no/ Tong tai san Bien dong thu nhap Asymp Sig ,053 ,094 ,207 ,404 ,26 a Grouping Variable: CODE b 16 cells (80,0%) have expected frequencies less than The minimum expected cell frequency is 1,0 Jonckheere-Terpstra Test‘ TDTA STDT LTDT LTDE LTDC Number of Levels in CODE N Observed J-T Statistic 119,00 1919,50 1960,50 2042,50 169,50 Mean J-T Statistic 1929,00 1929,00 1929,00 1929,00 Std Deviation of J-T Statistic 161,758 16 1,753 16 1,724 161,711 16 1,737 Std J-T Statistic Asymp Sig (2-tailed) a Grouping Variable: CODE 1929,00 1, 175 -,059 , 195 ,702 1,487 ,240 ,953 ,846 ,483 , 137 79 PHU LUC 6: HOI QUY CHO BIEN TDTA Variables Entered/Removed‘ Model Variables Entered Variables Removed Method NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Enter a Dependent Variable: TDTA b All requested variables entered Model Summaryb Model R R Square ,973 a Adjusted R Square 947 ,943 Std Error of the Estim t Change Statistics R Square Change ,2988670 F Change ,947 233, 153 df1 df2 Sir F Change 92 Durbinw tSOll ,000 2,257 F Sig a Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Dependent Variable: TDTA ANOVA‘ Model Sum of Squares Regression 145,779 df Mean Square 20,826 233, 153 , b Residual Total 8,2 18 92 153,996 99 ,089 a Dependent Variable: TDTA b Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT Coefficients‘ Model Unstandardized Coefficients B (Constant) Std Error Standardized Coefficients TAX ,831 ,296 SIZE ,111 ,033 -4,715 ,150 ,076 ,064 ,034 VOLATILITY -,027 ,007 LIQUIDITY -,012 NDTS -,044 a Dependent Variable: TDTA 95,0% Confidence Interval for B Lower Bound ,862 GROWTH Sig Beta -2,119 PROFIT t Upper Bound Correlations Zero-order Partial Collinearity Statistics Part Toleranc e VIF -2,459 ,016 -3, 831 -,407 ,072 2, 804 ,006 ,242 1,419 -, 149 ,281 ,068 , 886 1,129 ,095 3,339 ,001 ,045 ,176 -,323 ,329 ,080 ,723 1,382 -1,041 -31,463 ,000 -5,012 -4,417 -,963 -,957 -,75 , 530 1,887 ,235 -,051 ,203 -,420 , 124 ,029 ,707 1,414 -,094 1, 196 -3, 837 ,000 -,041 -,013 -,029 -,371 -,092 ,970 1,030 ,021 -,015 -, 562 , 576 -,054 ,030 -,016 -,058 -,014 ,799 1,251 ,202 -,006 -,216 , 829 -,446 ,358 ,498 -,023 -,005 ,702 1,425 PHU LUC 7: HOI QUY CHO NHAN TO Variables Entered/Removed‘ Model Variables Entered Variables Removed NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Method Enter a Dependent Variable: REGR factor score for analysis b All requested variables entered Model Summaryb Model R R Square a , 125 Std Error of the Estimat Change Statistics R Square Change ,93545748 F Change df1 , 187 df2 3,0 19 a Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT ,432 87 Adjusted R Square 92 Sid F Change ,007 Durbinatson ² 2,266 b Dependent Variable: REGR factor score for analysis ANOVA‘ Model Sum of Squares df Mean Square F Sig Regression 18,493 2,642 Residual 80,507 92 ,875 Total 99,000 99 3,0 19 ,007 b a Dependent Variable: REGR factor score for analysis b Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT Coefficients‘ Model Unstandardized Standardize Coefficients d Std t Sig Correlations for B Beta Lower Bound -15,880 TAX -1,141 ,407 ,927 -,123 ,222 -2,983 ,434 ,000 ,201 Zero- Bound Tolerance ,177 ,099 ,885 -,035 -,367 ,379 -,220 VIF order -5,165 -,127 ,333 ,379 -,147 GROWTH Statistics ,574 ,723 -,134 ,092 -,038 -,034 1,382 1,515 ,247 ,634 a Dependent Variable: REGR factor score ,044 for ,231 -1,011 ,142 ,702 1,425 PHU LUC 8: HOI QUY STDT Variables Entered/Removed‘ Model Variables Entered Variables Removed NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Method Enter a Dependent Variable: STDT b All requested variables entered Model Summaryb Model R ,4‹2 R Adjusted R Std Error of the Square Estimat Square a 62 ,098 ,2092606 Change Statistics R Square Change , 162 F Change df1 2,539 df2 Sid F Change 92 ,020 DurbinWatson 2,326 a Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Dependent Variable: STDT ANOVA‘ Model Sum of Squares Regression ,778 df Mean Square , 111 F 2,539 Sig ,020 b Residual 4,029 92 Total 4,807 99 ,044 a Dependent Variable: STDT b Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT Coefficients‘ Unstandardized Sig Standardized 95,0% Confidence Correlations Statistics Coefficients B Std Error Beta Lower Bound 3,034 TAX ,000 ,207 -3,577 ,055 ,045 ,005 -,024 -,194 a Variable: Bound ,423 ,673 4,233 -,129 -,037 -,295 -,164 ,253 ,022 ,109 ,028 ,047 ,028 ,002 -,010 -,174 ,005 -1,371 ,174 VIF ,125 ,452 ,002 Tolerance order ,231 SIZE GROWTH 1,836 Zero- -,476 -,349 ,723 ,040 -,023 -,097 -,341 ,707 1,414 1,030 ,799 -,141 ,702 1,425 PHU LUC 9: HOI QUY LTDT Variables Entered/Removed‘ Model Variables Entered Variables Removed NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Method Enter a Dependent Variable: LTDT b All requested variables entered Model Summaryb Model R ,447 R Square Adjusted R Square a 2‹0 , 139 Std Error of the Estimat , 1196912 Change Statistics R Square Change ,200 F Change 3,283 df1 df2 a Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Dependent Variable: LTDT 92 Sid F Change ,004 DurbinWatson 2,22 ANOVA‘ Model Sum of Squares Mean Square F ,329 ,047 Residual 1,318 92 ,0 14 Total 1,647 99 Regression df 3,283 b ,004 a Dependent Variable: LTDT b Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT Coefficients‘ Model Unstandardized Standardize t Sig Statistics d B Coefficients Std Beta Error SIZE -,084 Zero- Bound Bound order -,475 ,397 ,047 3,533 -,152 -,325 -2,537 ,026 Upper -3,362 ,345 TAX Lower -,337 ,135 ,021 -,156 ,222 -,033 ,886 ,329 -,237 ,723 1,382 VOLATILITY -,071 -,754 ,453 1,759 ,079 a Dependent LTDT ,479 -,008 ,003 -,002 ,032 ,118 ,093 ,074 1,425 PHU LUC 10: HOI QUY LTDE Variables Entered/Removed a Model Variables Entered Variables Removed NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Method Enter a Dependent Variable: LTDE b All requested variables entered Model Summaryb Model R R Square a ,493 Adjusted R Square 243 , 186 Std Error of the Estimat Change Statistics R Square Change ,594 1744 ,243 F Change df1 4,229 df2 Sid F Change 92 a Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Dependent Variable: LTDE ANOVA‘ Model Sum of Squares df Mean Square Regression 10,452 Residual 32,480 92 1,493 4,229 ,000 DurbinWatson 2,225 Total 42,932 99 a Dependent Variable: LTDE b Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT C oefficients‘ Model Standardize Coefficients t Sig 95,0% d Correlations Collinearity Statistics for Coefficients Std Error (Constant) Beta Lower Bound -6,356 -3,709 -9,759 —,947 SIZE -,256 ,232 ,274 ,014 -,042 ,042 ,229 ,043 ,034 -,454 1,129 ,021 ,526 ,723 -,836 1,887 ,224 -,034 ,929 ,348 -,009 ,707 -,047 ,157 -,090 Variable: LTDE -2,952 ,372 -2,053 VIF order ,409 PROFIT a Bound Tolerance ,223 ,253 -,006 Zero- ,763 ,205 1,251 ,702 1,425 PHU LUC 11: HOI QUY LTDC Variables Entered/Removed‘ Model Variables Entered Variables Removed NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT b Method Enter a Dependent Variable: LTDC b All requested variables entered Model Summaryb Model R R Adjusted R Std Error of the Square Square Estimat a R Square Change F Change df1 df2 1, , 149 2,308 1605631 a Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT ,386 49 Change Statistics ,085 Sid F Change 92 b Dependent Variable: LTDC ANOVA‘ Model Sum of Squares df Mean Square Regression 1,757 Residual 123,915 92 3, 108 1,347 F 2,308 ,033 Durbinatson ³ 2, 155 Total 145,673 99 a Dependent Variable: LTDC b Predictors: (Constant), NDTS, VOLATILITY, LIQUIDITY, TAX, GROWTH, SIZE, PROFIT Coefficients‘ Model Unstandardized Standardize t Sig Correlations d Std Error (Constant) TAX Beta Lower Bound -,777 1,151 -,675 -3,062 ,378 -,699 ,582 -,097 ,248 Toleranc order e -,392 -,144 -,070 ,339 ,329 ,457 -,124 -,115 ,530 ,696 ,396 -,041 -,038 ,707 -,022 -,018 -,023 ,828 -,524 LTDC VIF ,723 ,233 VOLATILITY a Dependent Bound Zero- -3,427 3,347 ,429 PROFIT Statistics 1,414 ,970 -,148 -,021 -,055 ,702 1,425 ... phfit trien cua doanh nghiep die biet ID cfc doanh nghiep vtra vfi nho, The gia di lua chon de tfii: “C:ic nhan t :inh hwimg dén cau triic v n ciia c:i c doanh nghi(p niém yét tai Sir giao djch chirng... nhap doanh nghiep, viec su dung no se lfim ting gif tri cua doanh nghiep Vi chi phi Hi vay ID chi phi hpp ly dune khau trfi tinh thue thu nhap doanh nghiep, dfi md mot phan thu nhap cua doanh. .. ciia c:ic doanh nghi(p Nghien ctlu khao sit 100 doanh nghiep tai HNX lfim dai dien cho viec nghien ctlu cfc doanh nghiep tic gia thu nhan dune cfc ket qua cc ban ve cau tribe von cua cfc doanh nghiep