Determinants of abnormal returns on shares of securities companies listed on the vietnamese stock market the case of bank for investment and development securities joint stock company (bsc)

BANKING ACADEMY Faculty of Finance GRADUATION THESIS TITLE: DETERMINANTS OF THE INVESTORS’ RETURN IN LISTED SECURITIES FIRMS IN VIETNAM THE CASE OF BANK FOR INVESTMENT AND DEVELOPMENT SECURITIES JOINT STOCK COMPANY (BSC) Supervisor : Dr Nguyen Lam Anh Student : Tran Phuong Anh Class : K20CLCC Student ID : 20A4011703 Hanoi, 2021 Tai ngay!!! Ban co the xoa dong chu nay!!! 17014126163351000000 DECLARATION I hereby declare that this submission is my own work in design and execution The thesis has not been applied for any degree and it is not concurrently submitted in candidate of any other similar titles elsewhere Signature ACKNOWLEDGEMENTS First and foremost, I would like to thank my thesis advisor Dr Nguyen Lam Anh of the Finance Faculty at Banking Academy Dr Nguyen Lam Anh was always supportive whenever I ran into issues or had a question about my thesis She consistently allowed this thesis paper to be my own work, but steered me in the right direction I would also like to acknowledge all of the lecturers of the Finance Faculty at Banking Academy who have guided me in the last four years, and I am gratefully indebted to them for their very valuable comments on this thesis Besides, I would like to thank Research Division of BIDV Securities Joint Stock Company for helping me to have a chance to interact with real work and collect information for this thesis Signature TABLE OF CONTENTS INTRODUCTION CHAPTER I THEORETICAL FRAMEWORK AND LITERATURE REVIEW 1.1 Theoretical framework on the abnormal return of stocks 1.1.1 Overview of stock 1.1.2 Stock’s return 1.1.3 Abnormal stock returns 1.2 Factors affecting the stock's abnormal return 1.2.1 Factors reflecting the risks 1.2.2 Factors reflecting the scale 10 1.2.3 Factors representing the market value 10 1.2.4 Factors representing capital structure 11 1.2.5 Factors representing growth 12 1.2.6 Factors demonstrating operational efficiency and profitability 12 1.3 Previous researches on the factors affecting abnormal stock returns 13 CHAPTER II DATA, METHODOLOGY AND MODEL 18 2.1 Sample selection 18 2.2 Researched model 19 2.3 Measure variables 21 2.3.1 Dependent variable 21 2.3.2 Independent variables 21 2.3.3 Research hypotheses 25 CHAPTER III EMPIRICAL RESULTS 27 3.1 DESCRIPTIVE STATISTICS 27 3.2 RESULT OF REGRESSION MODEL 30 3.3 Conclusions 34 CHAPTER IV THE CASE OF BANK FOR INVESTMENT AND DEVELOPMENT SECURITIES JOINT STOCK COMPANY (BSC) 35 4.1 Overview of the Bank for Investment and Development Securities Joint Stock Company (BSC) 35 4.1.1 General information about the Bank for Investment and Development Securities Joint Stock Company (BSC) 35 4.1.2 Organization structure 37 4.1.3 Business activities 39 4.1.4 Business performance 42 4.2 The abnormal return of BSC’s stock 47 4.3 Conclusions and recommendations 48 4.3.1 Conclusions 48 4.3.2 Recommendations 48 Conclusions……………………………………………………………………… 50 REFERENCE………………………………………………………………….… 51 APPENDIX……………… 54 LIST OF ABBREVIATION BSC BIDV Securities Joint Stock Company BSI Ticker of BIDV Securities Joint Stock Company ROE Return On Equity ROA Return on Assets LIST OF TABLES Table 1.1 Compare common and preferred shares Table 2.1 Number of samples 18 Table 2.2 Number of companies listed on HOSE, HNX 18 Table 2.3 Control variables in the model 21 Table 2.4 Return on VN-Index 22 Table 2.5 Measure variables in regression model 24 Table 3.1 Statistic description 27 Table 3.2 Correlation coefficient result 29 Table 3.3 Multicollinearity phenomenon test result 30 Table 3.4 The Breusch-Pagan Test Result 31 Table 3.5 FE Regression Model Result 31 Table 3.6 Standard OLS Regression Result 31 Table 3.7 Robust OLS Regression Result 32 Table 3.8 Cluster-robust SE OLS Regression Result 33 Table 4.1 BSC History 36 LIST OF FIGURES Figure 3.1 Average Securities companies’ ROE from 2016-2020 29 Figure 4.1 BSC Total Assets Growth 44 Figure 4.2 BSC’s asset structure on 31/12/2020 45 Figure 4.3 BSC’s profitability from 2016 to 2020 45 Figure 4.4 BSC’s Revenue structure from 2018 to 2020 46 Figure 4.5 BSC’s Stock price from 2012 to 2020 47 INTRODUCTION The necessity of identifying the factors impact abnormal return Return is one of the most vital factors for investors when making investment decisions in a stock Return of stocks are always volatile and influenced by the general trend When the market goes up, the stocks also benefit from the positive cash inflow into the market On the contrary, when the market goes badly, investors can divert their investment activities to other profitable channels instead of investing in the stock market, leading to lower demand and stock prices Therefore, the return when considering investing in a stock needs to be compared with a reference yield to help us accurately assess whether the stocks’ profitability generates from internal factors or the positive market conditions Research on the abnormal return of stocks during a period of strong stock market growth especially after coronavirus pandemic happened is really necessary Despite the urgency in researches for abnormal returns of securities companies in the Vietnamese market, there are still many research gaps in existed research papers First, there are not many studies on abnormal stock returns in general and the factors affecting the abnormal returns of stocks in particular, even in the world and especially in Vietnam Second, in the very few studies on abnormal returns, the studies only focus on how to measure or evaluate the impact of a certain factor, but have not studied in depth the factors that can affect this abnormal return Third, the application of research results with a specific listed company or groups of industries has not been exploited by previous studies Therefore, the study of factors affecting the abnormal return of shares of a listed company or even more broadly a group of industry in the market needs to be considered The COVID-19 pandemic was originally discovered in Wuhan, China in December 2019 and spread worldwide with the number of cases reaching 152 million people in 222 countries One of the pandemic’s significant impacts was the changing of business behaviour, thus resulting in massive business closures from various industries Panyagometh (2020) has stated that most securities on the stock market in Thailand had been affected by the pandemic and resulted in abnormal returns compared to the period before the COVID-19 pandemic Therefore, research on abnormal returns for an industry that is receiving the attention of many investors such as securities will help corporate managers as well as investors have more suggestions for their investment Among 25 securities companies currently listed on HOSE and HNX, BSI has a history of formation and development from the early years of the market, but their performance in the industry is not too excellent Thus, the study of factors affecting the abnormal return of stocks in the securities industry will be a reference for the company in its operations to have a sufficiently attractive return to investors Therefore, the author chose the research topic: “Determinants of abnormal returns on shares of securities companies listed on the Vietnamese stock market The case of Bank for Investment and Development Securities Joint Stock Company (BSC)", with the goal: (1) synthesize the rationale, (2) test the reality of the factors affect abnormal return of securities firms’ shares in Vietnam, (3) make recommendations to the securities companies in general and specifically for the BIDV Securities firm Research aim The objective of the research topic is to find out factors affecting the abnormal returns of securities firms listed on the Vietnamese stock market, thereby creating a basis to be able to recommend solutions for securities companies in general and BSC in particular The specific objectives of the topic focus on: (1) Clarifying the theory of abnormal returns and the factors affecting the share abnormal returns (2) Building a model to quantify the impact of specific financial indicators selected from each group of factors to the abnormal return of shares of securities firms listed on the market (3) Analyzing the current status of operations and abnormal dividends of BSC shares, from which, proposing some solutions for the company's managers to increase the abnormal return of BSC shares