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MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY ********************* GRADUATION THESIS DUONG MINH KHANH BENEISH M-SCORE MODEL IN MARKET RETURNS MEASUREMENT: EMPIRICAL EVIDENCE IN VIETNAM GRADUATE THESIS MAJOR: BANKING - FINANCE CODE: 7340201 Ho Chi Minh City, November 2022 vi MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY ********************** Student: DUONG MINH KHANH Code: 050606180159 Class: HQ6-GE10 BENEISH M-SCORE MODEL IN MARKET RETURNS MEASUREMENT: EMPIRICAL EVIDENCE IN VIETNAM GRADUATE THESIS MAJOR: BANKING - FINANCE CODE: 7340201 Supervisor: PhD NGUYEN DUY LINH Ho Chi Minh City, November 2022 vii COMMENTS OF THE GRADUATE THESIS ADVISOR Ho Chi Minh City, …………, … …… 2022 Advisor PhD Nguyen Duy Linh COMMENTS OF REVIEW BOARD Ho Chi Minh City, …………, … …… 2022 Chairman of the Review Board i ABSTRACT The thesis aims to apply the Beneish M-score model to investigated a potential link between the probability of manipulation in financial statements of 4,336 observations corresponding from 2011-to 2021 From there, classifying potentially manipulation companies according to M-score, the study also shows a significant difference in stock returns between these two groups of companies Companies with a high risk of manipulation (high M-score) will have low stock returns, and vice versa At the same time, the regression model finding the relationship between the return to scale adjusted for the M-score index and other predictors also shows a negative correlation with the M-score, a positive correlation with the M-score, Accruals, Momentum, MVE and BTM Thereby, the M-score is proven to have a significant impact on the profitability when impacting other forecast plates Keywords: Beneish M-score, financial statement fraud, stock return ii DECLARATION I hereby declare that this is my research work, and the research results presented in the thesis are honest and objective The sources of information cited in this thesis are clearly indicated I am responsible for my thesis Signature Khanh Duong Minh Khanh iii ACKNOWLEDGEMENT First of all, I am grateful and would like to send my sincerest and special thanks to my supervisor, PhD Nguyen Duy Linh for helping me to finish this challenging thesis Despite my defects throughout the process of performing the thesis, he always showed his caring and enthusiasm to support me to overcome Without PhD Nguyen Duy Linh con0scientious guidance and support, this thesis cannot be successfully accomplished Next, I would like to express my deepest gratitude to the teachers who are teaching at the Banking University of Ho Chi Minh City, who have spread the fire, passion and knowledge about economics from the most basic subjects, helping me to have a background in finance - banking Finally, I would like to thank to my family, friends, and colleagues who have always encouraged and helped me in the process of studying and researching the topic Although I have tried a lot, the thesis is not free of shortcomings I hope to receive the sympathy, guidance, help, and support of my colleagues iv TABLE OF CONTENTS ABSTRACT i DECLARATION ii ACKNOWLEDGEMENT iii LIST OF TABLES AND FIGURES vi CHAPTER I: INTRODUCTION 1.1 Rationales 1 Research objectives and research questions .2 1.2.1 Research objectives .2 1.2.2 Research questions 3 Subject and scope of the study subject .3 1.3.1 Subject .3 1.3.2 Research scope 1.4 Structure of the study CHAPTER 2: THEORETICAL BASIS AND LITERATURE REVIEW .5 2.1 Theoretical overview 2.1.1 Definition of financial statement .5 2.1.2 Definition of financial reporting fraud 2.1.3 Theory explaining the motives for fraudulent financial statements 2.1.4 Acts of performing fraudulent financial statements 2.2 Literature review 2.2.1 Identify distortions in financial statements 2.2.2 Beneish M-score model .8 2.2.3 Research on developing the Beneish M-score model 11 2.2.4 Research on the correlation between financial statement distortion and stock market profitability 12 CONCLUSION CHAPTER 15 CHAPTER 3: DATA AND RESEARCH METHODS 16 3.1 Research data 16 3.2 Research methods 17 3.2.1 M – Score model 18 v 3.2.2 M – score and forecast future expected return 19 3.2.2.1 Calculate adjusted rate of return on a security (BHSAR) 19 3.2.2.2 Comparison of BHSAR (+1) of two groups of companies classified by M-score 20 3.2.2.3 Consider the relationship between M – Score and profitability 20 3.2.2.4 Consider the relationship between profitability and other factors 20 3.2.2.5 Empirical model about the relationship between M-score and return on stock market 21 3.2.2.6 Regression fit method – GMM 22 CONCLUSION CHAPTER 23 CHAPTER 4: RESEARCH RESULTS AND DISCUSSION 24 4.1 Financial distortion in Vietnam 24 4.1.1 Financial distortion from the perspective of the exchange 24 4.1.2 Fraud risk according to the capitalization classification .28 4.2 Impact of financial fraud on stock returns 29 4.3 M – Score and the influence of other factors on profitability 30 4.3.1 Correlation matrix between M - score and other influencing factors 30 4.3.2 Combined effect of M-score and other factors on stock return 31 4.3.2.1 Find the defects of the model 31 4.3.2.2 Regression by GMM method 34 4.3.2.3 Interpretation of regression results 35 CONCLUSION CHAPTER 36 CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS 37 5.1 Concluding remarks 37 5.2 Limitations and suggestions for further studies 38 5.3 Proposing solutions to limit fraud in financial statements 39 CONCLUSION CHAPTER 41 ENGLISH REFERENCES 42 VIETNAMESE REFERENCES 43 APPENDIX 44 vi LIST OF TABLES AND FIGURES Figure 4.1 Statistics on the number of companies at risk of fraud on stock exchanges Figure 4.2 Statistics on the number of companies at risk of fraud over the years Figure 4.3 Statistics by percentage of companies at risk of fraud over the years Table 3.1 Statistics of research observations on HOSE and HNX 2011 - 2021 Table 4.1 Average M-score of fraudulent and non-fraudulent firms by exchange Table 4.2 Fraud risk according to the capitalization classification Table 4.3 Compare the average BHSAR return (t+1) of the two groups of companies Table 4.4 Correlation matrix between M - score and other influencing factors Table 4.5 Regression results Table 4.6 Table of test results for VIF coefficient Table 4.7 Modified Wald Test Results Table 4.8 Wooldridge Test Result Table Table 4.9 Table of regression results according to GMM method ... HQ6-GE10 BENEISH M-SCORE MODEL IN MARKET RETURNS MEASUREMENT: EMPIRICAL EVIDENCE IN VIETNAM GRADUATE THESIS MAJOR: BANKING - FINANCE CODE: 7340201 Supervisor: PhD NGUYEN DUY LINH Ho Chi Minh City, November... the M-Score model Finding a suitable model to evaluate the impact of M-Score model on stock market return Testing the impact of credit growth on M-Score model on stock market return, making... expenses to increase profits; Record revenue/non-operating income into operating revenue/income and recognize operating expenses as operating expenses; Record gains in net income and losses in OCI
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