(Luận văn) determinants of bank capital structure , the case of vietnamnese commercial bank system , luận văn thạc sĩ

t to INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS ng UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM hi ep w VIETNAM- NETHERLANDS n lo PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS ad ju y th yi pl ua al n DETERMINANTS OF BANK CAPITAL n va ll fu STRUCTURE: THE CASE OF VIETNAMESE m oi COMMERCIAL BANK SYSTEM at nh z z k jm ht PHAM TUAN ANH vb BY om l.c gm n a Lu MASTER OF ARTS IN DEVELOPMENT ECONOMICS v HO CHI MINH CITY, JANUARY 2013 UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES HO CHI MINH CITY THE HAGUE t to VIETNAM THE NETHERLANDS ng hi ep VIETNAM- NETHERLANDS w n lo PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS ad ju y th yi DETERMINANTS OF BANK CAPITAL pl n ua al STRUCTURE: THE CASE OF VIETNAMESE n va COMMERCIAL BANK SYSTEM ll fu m oi A thesis submitted in partial fulfilment of the requirements for the degree of nh at MASTER OF ARTS IN DEVELOPMENT ECONOMICS z z om l.c gm PHAM TUAN ANH k jm ht vb By: n r HO CHI MINH CITY, JANUARY 2013 va DR CAO HAO THI n a Lu Academic Supervisor: - - - - - - - - - - - - - - - - - - - - - - - - ACKNOWLEDGEMENT t to I am grateful to all those who help me to complete the thesis I would like to thank ng hi the Vietnam-the Netherlands Programme for giving me permission to carry out the ep thesis after Thesis Research Design (TRD) defense and providing many precious w researches through an account ofEUR library website and others n lo Especially, I am deeply thankful to my supervisor Dr Cao Hao Thi from Industrial ad y th Management Department of Ho Chi Minh City University of Technology for his ju instructions, suggestions and encouragements during the implementation of the yi thesis pl ua al Moreover, I would like to express my deep gratitude to my family, friends and n colleagues for all their support and valuable hints in order to help me to complete n va the thesis ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va r ABSTRACT t to The study aims to identify determinants of Vietnamese banking capital structure ng Using panel data analysis like Fixed Effects Method (FEM) and Random Effects hi - ep Method (REM), the study investigates the effect of size, growth, collateral value, profitability, dividend policy and business risk determinants to capital structure of w n commercial banks in Vietnam from 2007 to 20 11 The main findings of the study lo ad are that Fixed Effects Model (FEM) is the most appropriate model in explaining the ju y th banking capital structure; furthermore, size, growth, collateral and profitability variables are statistically significant and have the expected sign with the book yi pl leverage variable However, risk and dividend variables are not statistically n ua al significant n va Based on reality situations, it is widely believed that the capital structure of fu Vietnamese banking system is not really good and does not meet the international ll standard at present The system does not have enough equity so as to prevent risks m oi from the negative externalities and unexpected change of business environment nh at Therefore, the study is going to recommend some policy implications to improve z the capital structure situation by adjusting the determinants Moreover, the study z ht vb also makes valuable instructions to banking managers of each commercial bank jm According to specific reality situation of each commercial bank, they will have right k decisions to increase or decrease book leverage so as to not only maximize the own om l.c gm commercial bank's value but also avoid facing up bankruptcy events Method (FEM), Random Effects Method (REM) an Lu Keywords: capital structure, book leverage, commercial bank, Fixed Effects n va re 11 TABLE OF CONTENTS t to ng hi Acknowledgement i Abstract ii ep Table of Contents iii w n Abbreviation vi lo ad List of Table vii y th fF'Igure •••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••• VIII L 1St ju yi pl al n ua CHAPTER INTRODUCTION n va 1.1 Problem Statement ll fu 1.2 Research Objectives oi m 1.3 Research Questions at nh 1.3.1 Main question z 1.3 Sub questions z vb 1.4 Justifications ofthe study jm ht 1.5 Scope of the study k l.c gm 1.6 Organization ofthe study 2.1 Theoretical literature CHAPTER LITERATURE REVIEW om an Lu 2.1.1 Modigliani and Miller (M&M theory, 1958) n va 2.1.2 Agency theory 10 re 2.1.3 The pecking- order theory 11 2.1.4 The static trade-offtheory 12 111 2.2 Empirical literature 12 t to 2.2.1 Foreign empirical literature 12 ng hi 2.2.2 Vietnamese empirica1literature 22 ep 2.3 Research Hypothesis 27 w n 2.4 Conceptual Framework 27 lo ad 2.5 Chapter Summary 28 y th CHAPTER DATA AND RESEARCH METHODOLOGY 29 ju yi Research Methodology 29 pl al n ua 3.2 Data 35 n va 3.3 Chapter Summary 37 ll fu CHAPTER FINDINGS AND DISCUSSION 38 oi m 4.1 Descriptive Statistics 38 nh 4.2 Panel regressions results 41 at z 4.3 Comparison with previous studies 48 z vb 4.4 Chapter Summary 50 jm ht CHAPTER CONCLUSIONS AND POLICY IMPLICATIONS 51 k gm Conclusions 51 l.c 5.2 Policy Implications 52 om 5.2.2 Policy implications for specific Vietnamese commercial banks an Lu 5.2.1 Policy implications for total Vietnamese banking system 52 n va cases 55 r 5.2.2.1 Policy implications for high leverage commercial banks 55 5.2.2.2 Policy implications for low leverage commercial banks 56 lV 5.3 Limitations and Further Studies 57 t to 5.3.1 Limitations 57 ng hi 5.3.2 Further Studies 58 ep w n References 59 lo ad Appendices 63 ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va re v - ABBREVIATION t to BCBS: Basel Committee on Banking Supervision ng hi BL: Book Leverage ep CAR: Capital Adequacy Ratio w n FEM: Fixed Effects Method lo ad GDP: Gross Domestic Product y th ju GMM: Generalized Method of Moments yi REM: Random Effects Method pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va r Vl LIST OF TABLE t to Table 1.1 Quantity of commercial banks in Vietnam ng hi Table 2.1 Definition ofVariables 15 ep • Table 2.2 Foreign empirical studies in researching the bank capital structure 20 w n Table 2.3 Empirical studies in researching the Vietnamese capital structure 25 lo ad Table 3.1 Definition ofVariables 31 y th ju Table 3.2 Classifying banks in the sample by certain asset level on yi December 31, 2011 36 pl ua al Table 3.3 Financial items of the sample and total Vietnamese banking system n on December 31, 2011 36 va n Table 4.1 Summary statistics of each variable 38 fu Table 4.2 Correlation matrix 40 ll oi m • Table 4.3 FEM and REM regression results 42 at nh Table 4.4 Hausman test 43 z z ht vb Table 4.5 Likelihood ratio test 44 k jm Table 4.6 Summary of research results 50 om l.c gm n a Lu n va r vii LIST OF FIGURE t to Figure 1.1 Capital Adequacy Ratio (CAR) of developing countries ng hi Figure 2.1 The determinants of bank capital structure 28 ep Figure 3.1 Research process of the study 29 w n Figure 4.1 Total asset in the sample from 2006 to 2011 39 lo ad Figure 4.2 Total charter capital in the sample from 2006 to 2011 47 ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va r Vlll profits of banking system will be improved Moreover, the banking system has t to occasions to revaluate business efficiency of each branch; from that point, each ng commercial bank will have appropriate banking network Accordingly, banking hi system will have appropriate size level for the development of the economy In ep summary, the policy will make the Vietnamese banking system increase profits and w have the appropriate size level; therefore, the leverage of banking system will be n lo decreased ad y th Third, State Bank of Vietnam should tighten inspective mechanism to banking ju system This policy will make sure that commercial bank system attach special yi pl importance to both quality and quantity development, avoid the bubble development ua al of banking system like in the case of several past years; therefore, Vietnamese n banking system will no longer maintain the high asset growth, but more sustainable va n growth Moreover, State Bank of Vietnam should require commercial banks have to fu ll reserve more cash or more tangible assets that are transferred into cash easily such m oi as certificate deposits, government bonds and so on; thus, commercial banks have at nh enough funds to ensure liquidity problem In sum, the policy will make the Vietnamese commercial bank system lower growth and increase tangible assets; z z accordingly, the leverage of commercial bank system will be reduced ht vb k jm Fourth, based on the explanations about the statistically insignificant of business risk and dividend variables to book leverage variable, State Bank of Vietnam should gm request commercial banks to raise the awareness of risk management and encourage om l.c domestic commercial banks to acquire knowledge and reality experiences in risk management from foreign financial institutions by permitting foreign financial a Lu institutions participating in the process of restructuring domestic banking system n Bank of Vietnam has just stipulated the 06/CT-NHNN directive on November 09, 2012 The directive has regulated that commercial banks only have ability to pay 54 re based on the reality situation, but not from shareholders' pressure In reality, State n Vietnamese commercial bank system Commercial banks should only pay dividends va Furthermore, State Bank of Vietnam has to issue strict rules on dividend policy of dividends in 2012, 2013 when they make enough provisions for loan losses It is t to realized that authorities are taking drastic measures in order to improve the capital ng structure of commercial bank system hi ep In general, the policies that are mentioned as above have ability to control the determinants of Vietnamese banking system; as a result, it has the lower book w n leverage so as to reduce the probability that commercial banks face up insolvency lo ad situations and bankruptcy events ju y th yi 5.2.2 Policy implications for specific Vietnamese commercial banks cases pl ua al The study also makes valuable instructions to improve the capital structure of each n Vietnamese commercial bank by controlling the determinants According to specific va reality situation of each commercial bank, banking managers will have right n ll fu decisions to increase or decrease book leverage so as to not only maximize the own oi m commercial bank's value but also avoid facing up bankruptcy events The study nh makes policy implications for cases In particular, case is group of high leverage at commercial banks and case is group of low leverage commercial banks z z vb 5.2.2.1 Policy implications for high leverage commercial banks k jm ht High leverage commercial banks should consider to reduce own leverage in order to avoid facing up insolvency situations and bankruptcy events According to the gm results of panel regressions as above, it is realized that commercial banks need to om l.c choose at least of things in order to lower the book leverage: increasing tangible assets, profitability factors and decreasing size, growth factors The study aims to customer's money urgently by dealing with collaterals of these customers When they have ability to lower the bad debt ratio, they will decrease to make provisions 55 re to be in repayment difficulty; moreover, they have to reclaim low credibility n In particular, they may reschedule loans for customers that have good projects but va First, these commercial banks should have drastic policies to reduce bad debt ratio n a Lu analyze some policies to control the determinants in order to gain the purpose for loan losses or reverse provision for bad debts; thus, their profits will be t to improved Therefore, their leverage will be decreased ng Second, these commercial banks need to attach special importance to both quantity hi ep and quality development, review credit and securities portfolios seriously, avoid bubble development like in several past years Accordingly, they will no longer w n maintain the high asset growth, but more sustainable growth In addition, they have lo ad to assess business efficiency of each branch; thus, they have ability to rebuild own y th banking network in order to have the appropriate size level In summary, the ju policies will make high leverage commercial banks lower growth and have the yi pl appropriate asset level; as a result, they will lower own leverage al n ua Third, these commercial banks should reserve more cash or more tangible asset that va are converted into cash easily; thus, commercial banks have enough money to solve n liquidity problem and avoid facing up insolvency situation The policy will make fu ll them increase tangible assets; accordingly, their leverage will be decreased oi m Fourth, according to the explanations about the statistically insignificant of business nh at risk and dividend variables to book leverage variable, each high leverage z commercial banks should rebuild the process of risk management, improve the z ht vb quality of human resources in risk management or acquire knowledge and reality k jm experiences from foreign shareholders Moreover, these commercial banks should have appropriate dividend policies according to reality situation, but not from gm l.c shareholders' pressure In sum, these commercial banks need to have fully awareness about risk management and dividend policy so as to improve their capital om structure n va According to reality situations, low leverage commercial banks should consider to n a Lu 5.2.2.2 Policy implications for low leverage commercial banks profits are absolutely improved Based on the results of panel regressions as above, it is widely accepted that commercial banks need to choose at least of things in 56 re increase own leverage in order to take advantage of tax shield Therefore, their order to raise the book leverage: increasing size, growth factors and decreasing t to profitability, collateral factors Among them, decreasing profitability is absolutely ng not applied to increase leverage because their mission is to improve profits Some hi policies are analyzed to adjust the determinants so as to achieve the purpose ep First, low leverage commercial banks should consider opening more branches and w n transaction points; thus, they have ability to access more customers By the way, lo ad they will attract more money from potential depositors and then use additional y th money to make loans The policy will make lower leverage commercial banks ju increase their size and achieve their own higher growth; therefore, their leverage yi pl will be increased al n ua Second, based on reality situation, if these commercial banks have a lot of spare va cash and other high liquidity tangible assets, then they should convert a portion of n them into low liquidity assets like loans in order to decrease tangible asset item fu ll Accordingly, their leverage will be increased Moreover, low liquidity assets like m oi loans usually have higher expected return than high liquidity tangible assets like nh cash, government bond and so on; as a result, they should apply the policy to at z improve profits z k jm ht vb 5.3 Limitations and Further Studies gm 5.3.1 Limitations om l.c Although the study has identified determinants of Vietnamese commercial bank system and recommended some policy implications to the system clearly, but there researched on the optimal capital structure of Vietnamese commercial bank system If banking managers of each commercial bank have known about the optimal 57 re determinants so as to gain the own appropriate leverage However, the study has not n controlling the determinants Banking managers have ability to adjust the va First, the study has recommended policy implications for each commercial bank by n a Lu exists some limitations in the study capital structure, then they have ability to adjust own capital structure to approach to optimal level t to ng Second, based on the previous studies about banking capital structure in the case of hi ep developed and other developing countries such as Octavia, M & Brown, R (2008), Gropp, R & Heider, F (2009), it is realized that market leverage is also used as w n proxy for bank capital structure, together with book leverage; moreover, market-to- lo ad book ratio and asset risk are used as the proxies for in tum growth and risk y th variables However, according to available data at present, it is difficult to identify ju market value of assets, debts, equity and to collect the daily stock price of majority yi pl of Vietnamese commercial banks Therefore, market leverage is not applied in the ua al model; in addition, asset growth and business risk are chosen as the proxies for in n tum growth and risk variables in the study, instead of market-to-book ratio and asset n va risk like the previous studies ll fu 5.3.2 Further Studies m oi The study aims to recommend some further studies about the capital structure of nh Vietnamese commercial bank system according to the limitations as above at z First, further studies should be investigated the optimal capital structure level of z ht vb Vietnamese banking system Consequently, banking managers of each commercial k jm bank have the good indicator to adjust own capital structure in order to harmonize the goal of preventing insolvency situations and bankruptcy events with the ability l.c gm of maximizing the own commercial bank's value om Second, if there have enough data about market value of assets, debts, equity and relationships of determinants to market leverage of Vietnamese banking system; n a Lu daily stock price of each Vietnamese commercial bank, further studies may focus on n va moreover, they may use market-to-book ratio and asset risk variables as the proxies re for in tum growth and risk determinants 58 REFERENCES t to Asarkaya, Y., & Ozcan, S (2007) Determinants of Capital Structure in Financial ng Institutions: The case of Turkey Journal of BRSA Banking and Financial hi ep Markets, No.1, 91-109 Asian Development Bank (2005) Financial Management and Analysis of Projects w n Retrieved September 1, 2012 from www.adb.org /documents /guidelines I lo ad financial y th Asteriou, D., & Hall., G.S (2009) Applied Econometrics: A Modem Approach ju yi using Eviews and Microsoft (revised edition) New York, NY: Palgrave pl Macmillan ua al n Basel Committee on Banking Supervision (2006) International Convergence of va Capital Measurement and Capital Standards Retrieved September 01, 2012 n ll fu from http://www bis.org/publ/bcbsca.htm m oi Biger, N., & Nam, N.V., & Quyen, H.X (2007) The determinants of capital at nh structure: Evidence from Vietnam Asia-Pacific Financial Markets: Integration, Innovation and Challenges International Finance Review, Volume 8, 307-326 z z ht vb Booth, L et al (2001) Capital Structure in Developing Countries Journal of k jm Finance, Vol.56, No.1, 87-130 Caglayan, E., & Sak, N (2010) The determinants of Capital Structure: Evidence gm l.c from the Turkish Banks Journal of Money, Investment and Banking, Vol.15, 57-65 om a Lu Chau, N.H (2012) The determinants of Vietnamese banking capital structure Vietnamese Government (2012) Approving the Retrieved September 01, 2012 from http:// vanban.chinhphu.vn /portal /page 59 re "Restructuring financial institution system in the period 2011-20 15" project n 254/QD-TTg, va Decision n Master thesis ofHo Chi Minh City Economic University - /portal /chinhphu /hethongvanban ?class id=2 &_page=1&mode =detail& t to document id=155647 ng Decree 14112006/ND-CP, Vietnamese Government (2006) Issuing list of legal hi ep capital requirement to each type of financial institution system Retrieved September 1, 2012 from http://vanban.chinhphu.vn/portal/page/portal w n /chinhphu/hethongvanban ?class_id= 1&_page=292 &mode=detail&org_group_ lo ad id=O &org_id=O&type_group_id=O&type_id=O&document_id= 17995 y th Directive 06/CT-NHNN, State Bank of Vietnam (2012) Solutions to operate ju yi monetary, credit market and banking activities in the end of 2012 and the pl beginning of2013 Retrieved December 15, 2012 from http://www.sbv.gov.vn/ al n ua wps/portal/!ut/p/c4/04_ SB8K8xLLM9MSSzPy8xBz9CPOos3hnd0cPE3MfAw n va N _DxdLA08LL2- fEMMA4zADI_2CbEdF ACpklFE!/ ll fu Dzung, N., Rainey, I.D., & Gregoriou, A (2012) Financial Development and the doi:10.2139/ssm.2014834 oi m Determinants of Capital Structure in Vietnam SSRN Working Paper Series nh at Eviews User's Guide I (2007) Quantitative Micro Software, LLC z z ht vb Eviews User's Guide II (2007) Quantitative Micro Software, LLC jm Frank, Z.M., & Goyal,K.V (2005), Capital structure decisions: which factors are k reliably important? Working paper, University of British Columbia gm om Econometrics (3rd ed.) New York, NY: John Wiley & Sons l.c Griffiths, E.W., Hill, C.R., & Lim, C.G (2008) Using Eviews for principles of European Central Bank Working Paper Series, No.1096, 1-50 an Lu Gropp, R., & Heider, F (2009) The determinants of bank capital structure n va Gujarati, N.D., & Porter, C.D (2009) Basic Econometrics (5th ed.) New York, r NY: McGraw-Hill and Irwin 60 Hanoi Building Commercial Bank (2012) Project draft of Hanoi Building t to Commercial Bank (HBB) merged into Saigon-Hanoi Commercial Bank (SHB) ng 2012 shareholders' meeting documents on April28, 2012 hi ep Jensen, M., & Meckling, W (1976) Theory of The Firm: Managerial Behavior, Agency Cost and Ownership Structure Journal of Financial Economics, Vol.3, w n 305-360 lo ad Mishkin, Frederic S (2000) The Economics of Money, Banking and Financial y th Markets (6th ed.) New York, NY: Addison Wesley ju yi Modigliani, F., & Miller M (1958) The Cost of Capital, Corporation Finance and pl ua al the Theory of Investment American Economic Review, Vol.48, 261-297 n Myers, S.C (1984) The capital structure puzzle Journal of Finance, Vol.39,575- n va 592 fu ll Myers, S.C., & Majluf, N.S (1984) Corporate Financing and Investment Decisions m oi when firms have information that investors not have NBER Working Paper nh Series, No.1396, 1-57 at z Nguyen, T.D.K., & Ramachandran, N (2006), Capital Structure in Small and z ht vb Medium-sized Enterprises: The Case of Vietnam ASEAN Economic Bulletin, k jm Vol.23, No.2, 192-211 gm Octavia, M., & Brown, R (2008) Determinants of Bank Capital Structure in l.c Developing Countries: Regulatory Capital Requirement versus the Standard om Determinants of Capital Structure Working Paper, the University of an Lu Melbourne Romdhane, M (2010) The Determinants of Banks' Capital Ratio in Developing Ross, S.A., Westerfield, R.W., & Jaffe J (2010) Corporate Finance (9th ed.) New York, NY: McGraw-Hill and Irwin 61 re Tunis - Institut Superieur de Gestion n - va Countries: Empirical Evidence from Tunisia Working Paper, University of State Bank of Vietnam (20 11 ) Orientations and Policies to Restructure Vietnamese t to Banking System in 2011-2015 Retrieved September 1, 2012 from ng http://www fetp.edu.vnl attachment.aspx?ID=3461 hi ep State Bank of Vietnam (20 12) State Bank of Vietnam reveals money market data on 30/04/2012 Retrieved October 1, 2012 from http://vneconomy.vn/ w n 20120621012428822 POC6 lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va re 62 APPENDICES t to List of Vietnamese commercial banks in the sample ng hi Website Name No ep for Bank Foreign of Trade Vietnam www.vietcombank.com.vn w n (Vietcombank) lo ad Vietnam Bank for Industry and Trade www vietinbank y th ju (Vietinbank) yi pl Bank for Investment and Development of www.bidv.com.vn n ua al Vietnam (BIDV) va Housing Bank of Mekong Delta (MHB) www.mhb.com.vn n fu www.acb.com.vn ll Asia Commercial Bank (ACB) Thuong Tin Commercial Bank www.sacombank.com.vn at nh Gon oi m Sai (Sacombank) z z Bank www.eximbank.com.vn ht vb Vietnam Export Import Commercial k jm (Eximbank) gm Vietnam Technological and Commercial Joint www.techcombank.com.vn om l.c Stock Bank (Techcombank) Military Commercial Bank (MB) www.mbbank.com.vn 11 Dong A Commercial Bank www.dongabank.com.vn 12 Vietnam International Commercial Bank (VIB) www.vib.com.vn • re 63 n va www.shb.com.vn n a Lu 10 Saigon Hanoi Commercial Bank (SHB) No Website Name t to Prosperity 13 Vietnam Bank www.vpb.com.vn Commercial ng hi (VPBank) ep 14 Vietnam Maritime Commercial Bank (MSB) www.msb.com.vn w n 15 Southeast Asia Commercial Bank (SeaBank) lo www.seabank.com.vn ad 16 Nam Viet Commercial Bank (Navibank) ju y th www.navibank.com yi 17 Hanoi Building Commercial Bank (Habubank) www.habubank.com.vn pl al 18 An Binh Commercial Bank (ABBank) n ua www.abbank.vn va 19 Southern Commercial Bank (Southern Bank) www southernbank.com.vn n fu 20 Orient Commercial Bank (OCB) ll www.ocb.com.vn oi m 21 NamA Commercial Bank (NamA Bank) at nh www namabank.com.vn z 22 Ho Chi Minh City Development Commercial www hdbank.com.vn z vb Bank (HD Bank) Bank for Industry and k jm ht 23 Saigon Trade www saigonbank.com.vn gm (Saigonbank) l.c www kienlongbank.com.vn 25 Western Commercial Bank (Westernbank) www.westernbank.vn om 24 Kien Long Commercial Bank (Kienlongbank) n a Lu va n • re 64 · - · Fixed Effects Method (FEM) results t to ng hi • ep Dependent Variable: BL Method: Panel Least Squares Date: 11/27/12 Time: 09:52 Sample: 150 Periods included: Cross-sections included: 25 Total panel (balanced) observations: 125 w n lo Coefficient Std Error t-Statistic Pro b c 0.869196 0.027848 -0.131156 -2.423503 0.016937 0.015341 -0.004980 0.039164 0.007200 0.051944 0.867427 0.004613 0.020308 0.011919 22.19390 3.867518 -2.524934 -2.793897 3.671505 0.755404 -0.417781 0.0000 0.0002 0.0132 0.0063 0.0004 0.4519 0.6771 ad Variable ju y th yi LOG(SIZE( -1)) COLL(-1) PROF GROW RISK DIV pl n ua al n va ll fu Effects Specification oi Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.886340 0.064843 -3.511376 -2.809955 -3.226426 2.494612 at z z k jm ht vb om l.c gm 0.744784 0.663332 0.037624 0.133062 250.4610 9.143863 0.000000 nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F -statistic) m Cross-section fixed (dummy variables) n a Lu n va re 65 - - Random Effects Method (REM) results t to • ng hi ep Dependent Variable: BL Method: Panel EGLS (Cross-section random effects) Date: 11/27/12 Time: 10:00 Sample: 150 Periods included: Cross-sections included: 25 Total panel (balanced) observations: 125 Swamy and Arora estimator of component variances w n lo ad y th Coefficient Std Error t-Statistic Pro b c 0.824093 0.032729 -0.057366 -2.746020 0.018954 0.002820 -0.002207 0.029006 0.005178 0.038835 0.735521 0.004137 0.018470 0.009983 28.41148 6.320451 -1.477152 -3.733433 4.582064 0.152693 -0.221110 0.0000 0.0000 0.1423 0.0003 0.0000 0.8789 0.8254 Variable ju yi pl n ua al va n ll fu LOG(SIZE(-1)) COLL(-1) PROF GROW RISK DIV oi m Effects Specification S.D Rho at nh 0.2744 0.7256 0.023138 0.037624 z Cross-section random Idiosyncratic random z k jm om n 0.886340 1.433588 va Mean dependent var Durbin-Watson stat n 0.523801 0.248276 a Lu R-squared Sum squared resid 0.521281 0.049559 0.176456 2.017077 l.c Unweighted Statistics Mean dependent var S.D dependent var Sum squared resid Durbin-Watson stat gm 0.420618 0.391158 0.038670 14.27753 0.000000 ht R-squared Adjusted R-squared S.E of regression F-statistic Pro b(F -statistic) vb Weighted Statistics re 66 - - - Hausman Test t to Correlated Random Effects- Hausman Test Equation: EQ03RANDOM Test cross-section random effects ng hi • ep Test Summary Chi-Sq d.f Prob 12.655281 0.0488 Random Var(Diff.) Pro b 0.032729 -0.057366 -2.746020 0.018954 0.002820 -0.002207 0.000025 0.001190 0.211439 0.000004 0.000071 0.000042 0.3293 0.0324 0.4831 0.3234 0.1380 0.6703 w Chi-Sq Statistic n lo Cross-section random ad y th ju Cross-section random effects test comparisons: yi Fixed pl Variable n ua al 0.027848 -0.131156 -2.423503 0.016937 0.015341 -0.004980 n va ll fu , oi m LOG(SIZE(-1)) COLL(-1) PROF GROW RISK DIY at nh z z k jm ht vb om l.c gm n a Lu n va re 67 - - - - - - - - - - - - - - - - - - - - - - Likelihood Ratio (LR) Test t to Redundant Fixed Effects Tests Equation: EQ02FIXED Test cross-section fixed effects ng hi • ep Effects Test Statistic w Cross-section F Cross-section Chi-square d.f Pro b n lo 3.181679 74.327594 (24,94) 24 Std Error t-Statistic Pro b 0.025803 0.004863 0.034938 0.722237 0.004515 0.019627 0.009997 31.15329 7.379996 -0.595896 -4.357200 4.328117 -0.653462 -0.008673 0.0000 0.0000 0.5524 0.0000 0.0000 0.5147 0.9931 0.0000 0.0000 ad y th ju Cross-section fixed effects test equation: Dependent Variable: BL Method: Panel Least Squares Date: 12/24/12 Time: 10:44 Sample: 150 Periods included: Cross-sections included: 25 Total panel (balanced) observations: 125 yi pl n ua al n va ll fu c 0.803846 0.035887 -0.020819 -3.146932 0.019539 -0.012826 -8.67E-05 at z z ht vb 0.886340 0.064843 -3.300756 -3.142370 -3.236412 1.599729 om l.c n a Lu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat gm n va 0.537461 0.513943 0.045207 0.241154 213.2972 22.85232 0.000000 nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F -statistic) oi LOG(SIZE(-1)) COLL(-1) PROF GROW RISK DIV k jm Coefficient m Variable re 68