1551 CÁC YẾU TỐ QUYẾT ĐỊNH ĐẾN CHÍNH SÁCH CỔ TỨC TIỀN MẶT CỦA CÁC CÔNG TY TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM

GIỄ G IH M H H H H Hệ MI H - UY H Ễ Y U I M QUY A Ễ H U H Hệ H SỄ H Ô G Y G KH Ễ H S I Ê H AM I Hệ H ậ GỂ H TP H Ch Minh, N m -i- G G I AM Tôi A m đo n r ng lu n v n ắCÁC Y U T SÁCH C QUY T Ngo i tr nh ng t i li u th m kh o đ tr h u ông b ho đ s ng đ nh n b ng Khơng ó s n ph m/nghi n lu n v n n y m không đ Lu n v n n y h ng đ i h ho u n o tr h b o gi đ ng NG hính tơi n lu n v n n y, m đo n r ng to n ph n h y nh ng ph n nh tr N CHệNH T C TI N M T C A CÁC CÔNG TY TRÊN TH TR CH NG KHOÁN VI T NAM ” l b i nghi n đ NH lu n v n n y h p t ng nh ng n i i đ s ng n theo quy đ nh n p đ nh n b t k b ng s đ o t o H Ch Minh, V Duy Nh t -i- pn ot i I Tôi xin g i l i m n hân th nh đ n QuỦ Th y Cô đ giúp tr ng b ki n th , t o môi tr tr ng ih M ng u ki n thu n l i nh t cho trình h M Th nh ph H Ch Minh V i lòng k nh tr ng v bi t n sâu s , xin đ PGS.TS Nguy n Minh Hà đ su t th i gi n th h b y t lòng n t n tình, nghi m kh hi n nghi n m n t i Th y ậ v khuy n kh h cho un y Xin hân th nh m n t thông tin, ung p ho nhi u ngu n t li u, t i li u h u h ph nghi n t pt i h , nhân, o nh nghi p đ h p tá v hi s ho đ t i u Tôi xin g i l i tri ân đ n nh ng ng su t trình h t p, l m vi v th i b n đ đ ng vi n, h tr r t nhi u hi n lu n v n Sau cùng, xin chân thành c m n thành viên Gia đình, nh ng ng i dành cho tác gi nh ng tình c m n ng m s chia nh ng lúc khó kh n cu c s ng, đ ng viên giúp đ tác gi trình nghiên c u Lu n v n ng q tinh th n mà tơi trân tr ng g i t ng đ n thành viên Gia đình rơn tr ng c m n! -ii- ÓM T t i n y đ t ng h p, h th ng hó v v n n yv nhân t tá đ ng l n h nh sá h ng mơ hình v k t qu nghi n ng nghi n t u ti n m t, đ u t tr t i bi t l vi ng tá gi ti u bi u nh : Naceur (2006), Amidu Abor (2006), Ahmad H Juma'h Carlos J Olivares Pacheco (2008), Gill, Biger Tibrewala (2010), Faris Nasif AL- Shubiri (2011), Anupam (2012), vào tr l i m t âu h i nghi n u: ( ) Di n bi n tình hình hi tr ơng ty ni m y t tr n TTCK Vi t N m gi i đo n i n r th n o? ( ) Cá y u t n o quy t đ nh h nh sá h t t ti n ậ 2012 b ng ti n m t ông ty ni m y t tr n TTCK Vi t N m? V tá đ ng nh th n o? Nghi n us ng áo t i h nh gi i đo n li u th pđ 8- thu th p v t nh toán t o nh nghi p ni m y t t i S gi o h ng khoán H Ch Minh v H N i; lu n v n h y u h n ni m y t t i HOSE l m đ i i n ho m đ nh h nghi n h o nh nghi p ông ty tr n TTCK Vi t N m l quy mơ, ng v t nh minh b h Cá y u t đ báo ông ty ni m y t t i HOSE l l n u b o g m: Quy mô ông ty, Kh n ng sinh l i, R i ro, òn b y t i h nh, T nh th nh kho n Tr n s li u thu th p đ th i gi n t y u t ; lu n v n đ ti n h nh phân t h tá đ ng ti n m t theo ph ng pháp h i quy v h th ti p K t qu đ ng u ho th y đ y u t PE, ROE t i h nh sá h t t đ nh (FEM) s tá đ ng không ti n m t v o t ng th i m n v n đ C th nh s u: l ng b ng mơ hình h i quy đ nh (FEM) ho th y y u t nghi n đ nh h nh sá h v y u t t i h nh sá h li u b ng v i tá đ ng b ng ph n m m Eview 6.0 K t qu nghi n đ ng th i 8đ n t ti n m t li u b ng theo ph u gi i th h đ ng pháp tá 25.44% quy t o nh nghi p đó: ROE tá đ ng ng hi u (-32.15%), PE tá đ ng ùng hi u ( -iii- 5%) đ n h nh sá h t , y ut òn l i (EPS, LA, LV, LQ, LTA, CAS) khơng ó Ủ ngh nghi n u; K t qu t gi l ng tá đ ng theo mơ hình FEM theo i n bi n n m đ n m theo xu h -1.57% , n m 2011 tiêu l ti u l -4.69%, n m l t h v y t tr n th tr s l nghi n đ xu t v xây ng đ v tr ng thái 8m đ tá đ ng l tiêu tá đ ng ti u -2.59%, n m 5.90% ng tá đ ng theo mơ hình FEM tá đ ng v tr ng thái tá đ ng gi kho h n nh s u: N m theo t ng đ n v qu n sát ( ông ty) Tr n y u t t i h nh sá h ho th y ó s bi t v ng gi m -7.03%, n m K t qu t gi i th h mơ hình y u t t i h nh sá h ng ho th y s bi t v ng đ ông ty u đó, lu n v n đ ng h nh sá h ng h ng khoán Vi t N m -iv- r m t s k t lu n m ng t nh t ho o nh nghi p ni m M Trang I AM A I M ÓM iii A HM G viii A HM I U ix A HM Ễ Kụ HI U x A HM I H xi G 1: GI I HI U 1.1 Ủ ch n đ tƠi 1.2 M c tiêu vƠ cơu h i nghiên c u 1.2.1 M c tiêu 1.2.2 Câu h i nghiên c u 1.3 it 1.4 h ng vƠ ph m vi nghiên c u ng pháp nghiên c u 1.4.1 Thu th p d li u 1.4.2 Phân tích x lý d li u 1.5 Ý ngh a đ tƠi 1.6 K t c u lu n v n H G 2: S ụ HUY 2.1 Khái ni m v c t c sách c t c 2.1.1 Khái ni m c t c 2.1.2 Các sách chi tr c t c 2.2 Các y u t tác đ ng đ n sách c t c ti n m t c a công ty 2.2.1 Quy mô công ty 2.2.2 Kh n ng sinh l i 10 2.2.3 R i ro bi n đ ng giá c phi u 12 2.2.4 òn b y tài 13 -v- 2.2.5 Kh n ng toán ng n h n 14 2.2.6 Kh n ng toán ti n m t (Cas) 15 2.3 ác nghiên c u tr H G 3: H c đơy 16 G HỄ GHIÊ U 21 3.1 Quy trình nghiên c u 21 3.2 Mơ hình vƠ gi thuy t nghiên c u 22 3.3 h ng pháp thu th p d li u 25 3.4 h ng pháp x lỦ d li u 26 3.4.1 Các mơ hình h i quy phân tích d li u b ng 26 3.4.2 Các ki m đ nh 30 H G 4: K QU GHIÊ U 32 4.1 ng quan v doanh nghi p nghiên c u giai đo n 2008 ậ 2012 32 4.1.1 Di n bi n tài s n c a doanh nghi p nghiên c u 32 4.1.2 Di n bi n ngu n v n c a doanh nghi p nghiên c u 35 4.1.3 Di n bi n kh n ng sinh l i r i ro c a doanh nghi p nghiên c u 37 4.1.4 Di n bi n chi tr c t c 39 4.2 K t qu th ng kê mơ t , phơn tích t ng quan vƠ đa c ng n bi n mơ hình 41 4.3 K t qu nghiên c u thơng qua mơ hình FEM vƠ EM 455 4.2.1 Mơ hình h i quy tác đ ng ng u nhiên (REM) 455 4.2.2 Mơ hình h i quy tác đ ng c đ nh (FEM) 477 4.2.3 So sánh l a ch n mơ hình FEM REM 49 4.2.4 Các ki m đ nh mơ hình FEM 500 H G 5: K U G I ụ Hệ H SỄ H 566 5.1 K t lu n 56 5.1.1 K t qu v hi n tr ng doanh nghi p nghiên c u 56 5.1.2 K t qu t phân tích đ nh l ng 57 -vi- 5.2 M t s đ xu t đ i v i sách c t c c a công ty niêm y t TTCK VN 58 5.3 Gi i h n c a đ tƠi vƠ h I I U HAM KH ng nghiên c u ti p theo 60 62 H 1: A H SỄ H Ễ A H GHI H 2: H I QUY MÔ HỊ H FEM Ỏ G GHIÊ U 70 I Ễ I E PE 73 H 3: H ậ H G SAI SAI S H 4: A G UY H 5: H I QUY I H 6: H I QUY I HAY I 74 76 A, 822 G I -vii- AH 866 A HM B ng : T ng qu n TTCK Vi t N m t B ng : Tóm t t bi n nghi n G - 2012 u đ t i 24 B ng : Di n bi n t ng, gi m ngu n v n (%) gi i đo n - 2012 36 B ng : Di n bi n - 2012 37 u lo i ngu n v n (%) gi i đo n B ng : Hi u qu sinh l i bình quân B ng 4: Ch nh sá h t B ng 5: K t qu th ng k mô t B ng 6: K t qu t á o nh nghi p nghi n o nh nghi p gi i đo n u 38 - 2012 40 bi n mơ hình 41 ng qu n bi n 43 B ng 7: K t qu ki m đ nh đ ng n b ng h s VIF 444 B ng 8: K t qu h i quy REM 455 B ng 9: K t qu h i quy REM l n ậ B bi n LA, LV 466 B ng : K t qu h i quy FEM 477 B ng : K t qu h i quy FEM l n B ng : Ki m đ nh H usm n - so sánh FEM REM 500 B ng : K t qu ki m đ nh gi thuy t th ng k ậ B bi n LA, LV 488 -viii- mơ hình FEM 511 A HM Hình : Quy trình nghi n Hình : Mơ hình nghi n I U u 21 u h nh sá h t Hình : T i s n bình quân (tri u đ ng) ti n m t 22 o nh nghi p nghi n u gi i đo n 2008 - 2012 33 Hình : Di n bi n đo n u lo i t i s n (%) u gi i - 2012 33 Hình : Ti n m t v t i s n nghi n o nh nghi p nghi n u gi i đo n đ nh bình quân (tri u đ ng, %) o nh nghi p ậ 2012 34 Hình 4: Ngu n v n bình quân (tri u đ ng) o nh nghi p nghi n u gi i đo n 2008 ậ 2012 36 Hình 5: Di n bi n l i nhu n (tri u đ ng) o nh nghi p gi i đo n 2008 - 2012 38 Hình 6: Di n bi n P/E (l n) o nh nghi p gi i đo n -ix- - 2012 39 Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C EPS ROE LA LV LQ LTA CAS -211.5741 -0.001939 -1.297267 7.476613 21.75532 0.637813 40.76045 -1.763125 360.2661 0.000897 4.285903 13.37415 38.77216 2.579039 30.95388 5.868467 -0.587272 -2.160669 -0.302682 0.559035 0.561107 0.247307 1.316812 -0.300440 0.5574 0.0313 0.7623 0.5765 0.5750 0.8048 0.1887 0.7640 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.231047 0.013605 45.83439 817207.9 -2559.229 1.062570 0.334455 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 13.61203 46.14941 10.68092 11.61656 11.04806 1.787881 Dependent Variable: ROE Method: Panel Least Squares Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C PE 0.375593 -0.000696 0.027125 0.000629 13.84648 -1.105624 0.0000 0.2696 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) H I QUY PH 0.700203 0.621269 0.575520 130.8333 -374.2983 8.870762 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat KHƠNG CĨ LV (LA LÀ BI N PH Dependent Variable: LA Method: Panel Least Squares Date: 11/21/13 Time: 11:13 -80- 0.366124 0.935181 1.917193 2.802261 2.264492 2.293359 THU C) Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob LQ LTA PE ROE EPS CAS C -0.066416 -1.015570 0.000222 0.001499 2.39E-06 0.053528 28.04813 0.014968 0.185568 0.000317 0.026134 5.39E-06 0.036198 0.082626 -4.437032 -5.472763 0.700309 0.057372 0.442539 1.478765 339.4582 0.0000 0.0000 0.4841 0.9543 0.6583 0.1400 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.941598 Mean dependent var 0.926034 0.288054 32.69222 -27.60154 60.49867 0.000000 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 27.54994 1.059153 0.534406 1.427903 0.885013 0.877015 H I QUY PH KHƠNG CĨ LA (LV LÀ BI N PH THU C) Dependent Variable: LV Method: Panel Least Squares Date: 11/21/13 Time: 11:12 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob LQ LTA PE ROE EPS CAS C -0.024819 -0.202472 8.09E-05 0.010002 -3.96E-06 -0.009590 0.613160 0.003583 0.044421 7.60E-05 0.006256 1.29E-06 0.008665 0.019779 -6.926594 -4.557982 1.064495 1.598830 -3.066032 -1.106800 31.00042 0.0000 0.0000 0.2878 0.1107 0.0023 0.2691 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.913440 Mean dependent var 0.890372 0.068954 1.873359 687.2495 39.59781 0.000000 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -81- 0.466996 0.208258 -2.324998 -1.431501 -1.974391 1.497944 H 5: H I QUY I A, Dependent Variable: DV Method: Panel Least Squares Date: 11/10/13 Time: 00:00 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C EPS ROE LQ PE LTA CAS 0.528330 -1.88E-05 -0.321592 -0.003600 0.003599 0.572593 -0.019695 0.384968 2.51E-05 0.121760 0.069740 0.001479 0.864591 0.168651 1.372399 -0.749531 -2.641195 -0.051624 2.433402 0.662270 -0.116782 0.1707 0.4540 0.0086 0.9589 0.0154 0.5082 0.9071 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.254436 0.055745 1.342089 709.6737 -797.0186 1.280559 0.048694 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -82- 0.598276 1.381136 3.612074 4.505571 3.962681 1.619573 Dependent Variable: DV Method: Panel EGLS (Cross-section random effects) Date: 11/10/13 Time: 00:00 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C EPS ROE LQ PE LTA CAS 0.797518 -4.20E-05 -0.029574 -0.015672 0.004057 -0.246595 0.063764 0.178784 2.00E-05 0.070267 0.046663 0.001338 0.318289 0.107263 4.460782 -2.103173 -0.420884 -0.335850 3.031903 -0.774754 0.594470 0.0000 0.0360 0.6740 0.7371 0.0026 0.4389 0.5525 Effects Specification S.D Cross-section random Idiosyncratic random 0.212049 1.342089 Rho 0.0244 0.9756 Weighted Statistics R-squared Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) 0.033391 0.021627 1.349516 2.838448 0.010004 Mean dependent var S.D dependent var Sum squared resid Durbin-Watson stat 0.564105 1.364351 897.8490 1.300167 Unweighted Statistics R-squared Sum squared resid 0.033838 919.6521 Mean dependent var Durbin-Watson stat -83- 0.598276 1.269342 Correlated Random Effects - Hausman Test Equation: HQUY_REM_KO_LALV Test cross-section random effects Chi-Sq Statistic Chi-Sq d.f Prob 11.472018 0.0748 Random Var(Diff.) Prob -0.000042 -0.029574 -0.015672 0.004057 -0.246595 0.063764 0.000000 0.009888 0.002686 0.000000 0.646209 0.016938 0.1283 0.0033 0.8158 0.4677 0.3082 0.5213 Test Summary Cross-section random Cross-section random effects test comparisons: Variable EPS ROE LQ PE LTA CAS Fixed -0.000019 -0.321592 -0.003600 0.003599 0.572593 -0.019695 Cross-section random effects test equation: Dependent Variable: DV Method: Panel Least Squares Date: 11/10/13 Time: 00:03 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C EPS ROE LQ PE LTA CAS 0.528330 -1.88E-05 -0.321592 -0.003600 0.003599 0.572593 -0.019695 0.384968 2.51E-05 0.121760 0.069740 0.001479 0.864591 0.168651 1.372399 -0.749531 -2.641195 -0.051624 2.433402 0.662270 -0.116782 0.1707 0.4540 0.0086 0.9589 0.0154 0.5082 0.9071 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.254436 0.055745 1.342089 709.6737 -797.0186 1.280559 0.048694 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -84- 0.598276 1.381136 3.612074 4.505571 3.962681 1.619573 Redundant Fixed Effects Tests Equation: HQUY_REM_KO_LALV Test period fixed effects Effects Test Statistic Period F 0.435692 d.f Prob (4,489) 0.7829 Period fixed effects test equation: Dependent Variable: DV Method: Panel EGLS (Cross-section random effects) Date: 11/10/13 Time: 00:50 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Use pre-specified random component estimates Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C EPS ROE LQ PE LTA CAS 0.797709 -4.21E-05 -0.028803 -0.015720 0.004059 -0.247514 0.064215 0.178987 2.00E-05 0.070359 0.046746 0.001342 0.318493 0.107448 4.456797 -2.101643 -0.409377 -0.336291 3.023673 -0.777143 0.597635 0.0000 0.0361 0.6824 0.7368 0.0026 0.4374 0.5504 Effects Specification S.D Cross-section random Idiosyncratic random 0.205270 1.347348 Rho 0.0227 0.9773 Weighted Statistics R-squared Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) 0.033421 0.021657 1.350547 2.841001 0.009946 Mean dependent var S.D dependent var Sum squared resid Durbin-Watson stat 0.566316 1.365413 899.2205 1.298327 Unweighted Statistics R-squared Sum squared resid 0.033847 919.6437 Mean dependent var Durbin-Watson stat -85- 0.598276 1.269494 H 6: H I QUY G I LA H A/ a) FEM Dependent Variable: DV Method: Panel Least Squares Date: 11/13/13 Time: 15:03 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C 2.655492 9.551425 0.278021 0.7811 EPS -1.62E-05 2.59E-05 -0.623092 0.5336 ROE -0.298684 0.125741 -2.375385 0.0180 LA -0.079425 0.344199 -0.230752 0.8176 LQ 0.005593 0.072316 0.077344 0.9384 PE 0.003560 0.001492 2.386510 0.0175 LTA 0.648593 0.904143 0.717356 0.4736 CAS -0.030439 0.172228 -0.176737 0.8598 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.256311 Mean dependent var 0.598276 Adjusted R-squared 0.046013 S.D dependent var 1.381136 S.E of regression 1.348987 Akaike info criterion 3.629556 Sum squared resid 707.8887 Schwarz criterion 4.565199 Hannan-Quinn criter 3.996701 Durbin-Watson stat 1.619425 Log likelihood -796.3890 F-statistic 1.218800 Prob(F-statistic) 0.089140 -86- LV b) REM Dependent Variable: DV Method: Panel EGLS (Cross-section random effects) Date: 11/13/13 Time: 15:07 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C 1.598392 1.769780 0.903158 0.3669 EPS -3.76E-05 2.07E-05 -1.816456 0.0699 ROE -0.024304 0.072572 -0.334896 0.7378 LA -0.030341 0.064783 -0.468344 0.6397 LQ -0.013960 0.047645 -0.292991 0.7697 PE 0.004013 0.001352 2.967879 0.0031 LTA -0.203444 0.326880 -0.622382 0.5340 CAS 0.059807 0.108860 0.549396 0.5830 Effects Specification S.D Cross-section random Rho 0.213351 0.0244 1.348987 0.9756 Period fixed (dummy variables) Idiosyncratic random Weighted Statistics R-squared 0.037253 Mean dependent var 0.598276 Adjusted R-squared 0.015552 S.D dependent var 1.364321 S.E of regression 1.353671 Sum squared resid 894.2230 F-statistic 1.716627 Durbin-Watson stat 1.297180 Prob(F-statistic) 0.066761 Unweighted Statistics R-squared 0.037646 Mean dependent var 0.598276 Sum squared resid 916.0277 Durbin-Watson stat 1.266303 -87- c) So sánh FEM REM đƣ có b LV Correlated Random Effects - Hausman Test Equation: HQUY_FEM_KOLV Test cross-section random effects Chi-Sq Statistic Chi-Sq d.f Prob 10.394680 0.1673 Random Var(Diff.) Prob Test Summary Cross-section random Cross-section random effects test comparisons: Variable Fixed EPS -0.000016 -0.000038 0.000000 0.1689 ROE -0.298684 -0.024304 0.010544 0.0075 LA -0.079425 -0.030341 0.114276 0.8846 LQ 0.005593 -0.013960 0.002960 0.7193 PE 0.003560 0.004013 0.000000 0.4725 LTA 0.648593 -0.203444 0.710623 0.3121 CAS -0.030439 0.059807 0.017812 0.4989 Cross-section random effects test equation: Dependent Variable: DV Method: Panel Least Squares Date: 11/13/13 Time: 15:09 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C 2.655492 9.551425 0.278021 0.7811 EPS -1.62E-05 2.59E-05 -0.623092 0.5336 ROE -0.298684 0.125741 -2.375385 0.0180 LA -0.079425 0.344199 -0.230752 0.8176 LQ 0.005593 0.072316 0.077344 0.9384 PE 0.003560 0.001492 2.386510 0.0175 -88- LTA 0.648593 0.904143 0.717356 0.4736 CAS -0.030439 0.172228 -0.176737 0.8598 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.256311 Mean dependent var 0.598276 Adjusted R-squared 0.046013 S.D dependent var 1.381136 S.E of regression 1.348987 Akaike info criterion 3.629556 Sum squared resid 707.8887 Schwarz criterion 4.565199 Hannan-Quinn criter 3.996701 Durbin-Watson stat 1.619425 Log likelihood -796.3890 F-statistic 1.218800 Prob(F-statistic) 0.089140 d) cl ng theo n m đƣ b LV DATEID Effect 1/1/2008 -0.026073 1/1/2009 -0.051439 1/1/2010 -0.023631 1/1/2011 -0.063660 1/1/2012 0.164803 -89- B/ LA a) FEM Dependent Variable: DV Method: Panel Least Squares Date: 11/13/13 Time: 15:06 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C 0.384676 0.724192 0.531180 0.5956 EPS -1.63E-05 2.61E-05 -0.624597 0.5326 ROE -0.301693 0.126158 -2.391382 0.0173 LV 0.114048 0.997902 0.114288 0.9091 LQ 0.009364 0.075615 0.123833 0.9015 PE 0.003535 0.001492 2.369729 0.0183 LTA 0.705176 0.910249 0.774707 0.4390 CAS -0.028046 0.172719 -0.162380 0.8711 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.256234 Mean dependent var 0.598276 Adjusted R-squared 0.045915 S.D dependent var 1.381136 S.E of regression 1.349056 Akaike info criterion 3.629659 Sum squared resid 707.9618 Schwarz criterion 4.565302 Hannan-Quinn criter 3.996804 Durbin-Watson stat 1.618745 Log likelihood -796.4148 F-statistic 1.218309 Prob(F-statistic) 0.089581 -90- b) REM Dependent Variable: DV Method: Panel EGLS (Cross-section random effects) Date: 11/13/13 Time: 15:04 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C 0.655336 0.336766 1.945970 0.0522 EPS -3.85E-05 2.05E-05 -1.875797 0.0613 ROE -0.018273 0.071099 -0.257003 0.7973 LV 0.171070 0.409052 0.418212 0.6760 LQ -0.003026 0.052656 -0.057466 0.9542 PE 0.003937 0.001349 2.919215 0.0037 LTA -0.201671 0.328605 -0.613718 0.5397 CAS 0.069081 0.110668 0.624217 0.5328 Effects Specification S.D Cross-section random Rho 0.205772 0.0227 1.349056 0.9773 Period fixed (dummy variables) Idiosyncratic random Weighted Statistics R-squared 0.037194 Mean dependent var 0.598276 Adjusted R-squared 0.015492 S.D dependent var 1.365380 S.E of regression 1.354762 Sum squared resid 895.6659 F-statistic 1.713822 Durbin-Watson stat 1.296975 Prob(F-statistic) 0.067346 Unweighted Statistics R-squared 0.037689 Mean dependent var 0.598276 Sum squared resid 915.9861 Durbin-Watson stat 1.268203 -91- c) So sánh FEM EM đƣ b LA Correlated Random Effects - Hausman Test Equation: HQUA_REM_KOLA Test cross-section random effects Chi-Sq Statistic Chi-Sq d.f Prob 11.136753 0.1328 Random Var(Diff.) Prob Test Summary Cross-section random Cross-section random effects test comparisons: Variable Fixed EPS -0.000016 -0.000038 0.000000 0.1696 ROE -0.301693 -0.018273 0.010861 0.0065 LV 0.114048 0.171070 0.828485 0.9500 LQ 0.009364 -0.003026 0.002945 0.8194 PE 0.003535 0.003937 0.000000 0.5279 LTA 0.705176 -0.201671 0.720572 0.2854 CAS -0.028046 0.069081 0.017584 0.4639 Cross-section random effects test equation: Dependent Variable: DV Method: Panel Least Squares Date: 11/13/13 Time: 15:05 Sample: 2008 2012 Periods included: Cross-sections included: 100 Total panel (balanced) observations: 500 Variable Coefficient Std Error t-Statistic Prob C 0.384676 0.724192 0.531180 0.5956 EPS -1.63E-05 2.61E-05 -0.624597 0.5326 ROE -0.301693 0.126158 -2.391382 0.0173 LV 0.114048 0.997902 0.114288 0.9091 LQ 0.009364 0.075615 0.123833 0.9015 PE 0.003535 0.001492 2.369729 0.0183 -92- LTA 0.705176 0.910249 0.774707 0.4390 CAS -0.028046 0.172719 -0.162380 0.8711 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.256234 Mean dependent var 0.598276 Adjusted R-squared 0.045915 S.D dependent var 1.381136 S.E of regression 1.349056 Akaike info criterion 3.629659 Sum squared resid 707.9618 Schwarz criterion 4.565302 Hannan-Quinn criter 3.996804 Durbin-Watson stat 1.618745 Log likelihood -796.4148 F-statistic 1.218309 Prob(F-statistic) 0.089581 d) cl ng theo n m đƣ b LA DATEID Effect 1/1/2008 -0.014453 1/1/2009 -0.049092 1/1/2010 -0.023794 1/1/2011 -0.070806 1/1/2012 0.158145 -93- C/ ng h p k t qu so sánh mơ hình có b A ho c LV FEM b LV FEM b LA R 0.256311 0.256234 ROE -0.298684 -0.301693 PE 0.003560 0.003535 -0.026073 -0.014453 -0.051439 -0.049092 -0.023631 -0.023794 -0.063660 -0.070806 0.164803 0.158145 2008 2009 2010 2011 2012 Nhìn l t ng đ ng nh u v t ng đ ng k t qu b i b bi n LA, LV m t lúc Lý vì: ( ) LA v LV ó t ng qu n th p ( ó ngh đ ( ) C h i bi n đ u đ đi); ng n l p v i nh u) o v i bi n òn l i (nên ph i ùng b ( ) Trong mô hình t ng h p t t bi n v mơ hình ri ng, bi n LA, LV đ u b bá b o khơng ó Ủ ngh th ng k (Pv lue > 5%, %) -94-