Tác động của nợ, quy mô công ty, tính thanh khoản lên độ nhạy dòng tiền đầu tư của các công ty niêm yết trên sở giao dịch chứng khoán thành phố hồ chí minh

- Minh 2014 - Chuyên ngành : Tài : 60340201 PGS.TS Ngân hàng .3 2.2.1 Mơ hình FHB 2.2.2 Mơ hình RZ .9 2.2.3 Mơ hình nhân t nh y c a dòng ti 21 21 22 i,t): 23 i,t) 23 i,t) i,t) 24 24 24 26 26 28 28 3.5 31 .33 33 33 37 40 50 50 52 ICFS 54 57 60 60 .61 61 61 5.3 62 CF Cash flow CS Cash stock DLMT The long and medium-term debts LA Liquid assets I Investment ICFS Investment -cash flow sensitivity HSX Hochiminh Stock Exchange HNX Hanoi Stock Exchange OLS Ordinary Least Squares GLS General Least Squares CÁC 2.1: t ng h p nghiên c u v ng c a dòng ti 11 2.2: t ng h p nghiên c u v ng c 2.3: t ng h p nghiên c u v ng c 2.4: t ng h p nghiên c u v ng c a tính kho 13 yn .16 18 22 .27 33 35 4.3 40 4.4 43 4.5 46 48 49 51 ICFS 53 .56 58 CÁC Hình 3.1 31 2012 37 - 2012 38 - 2012 38 - 2012 39 - 2012 39 - cash flow sensitivity) i quy theo cách: pooling, random effect (RE)và fixed efect (FE 1.1 tv doanh tác vay rõ ty quan tâm m xu nghiên c u m i quan h gi a h n ch tài ICFS FHB (1988) cho r ng Xây d ng - B s n Ti n ích cơng c Xây d ng - B s n Ti n ích cơng c i-s Xây d ng - B s n S n xu t Ti n ích cơng c S n xu t Khai khoáng S n xu t TDC TDW CTCP C c Th c THG TIC TIE TIX TLG TMP TMT TNT TRA TTF TV1 UDC VCF ng Ti n Giang n Tây Nguyên CTCP TIE CTCP S n xu t Bình CTCP T CTCP Th CTCP Ơ Tơ TMT CTCP Tài Nguyên CTCP Traphaco CTCP T Ngh G ng Thành n Xây D n1 T nh Bà R Tàu CTCP Vinacafé Biên Hòa VES VFG VHG VLF VMD VNA VNG VNH 2007 ng ng 2007 ng l ng 2007 2006 ng 2005 2006 2005 2006 2007 2007 2005 S n xu t n Mêca Vneco CTCP Kh Trùng Vi t Nam n Xu t Vi t Hàn c Th c Ph c Ph m Vimedimex CTCP V n T i Bi n Vinaship CTCP Du L ch Golf Vi t Nam CTCP Th y H i S n Vi t Nh t VNI ng ng S n Vi t Nam VNL VNS CTCP Giao Nh n V n T t Nam i VPH CTCP V VRC CTCP Xây L VSC VSG VST VTF CTCP Container Vi t Nam CTCP Container Phía Nam CTCP V n T i & Thuê Tàu Bi n Vi t Nam CTCP Th t Th ng a 2005 D ch v - công ngh Xây d ng - B ng s n S n xu t Xây d ng - B ng s n i-s l S n xu t S n xu t TM-SL V n t i - kho bãi D ch v - công ngh S n xu t Xây d ng - B ng s n V n t i - kho bãi V n t i - kho bãi Xây d ng - B ng s n Xây d ng - B ng s n V n t i - kho bãi V n t i - kho bãi V n t i - kho bãi S n xu t 2007 2007 2006 2007 2006 2004 2006 2007 2005 2007 2007 2007 2006 2006 2006 2007 2006 2007 2005 2007 STT Lo i ngành Nông nghi p, lâm nghi p th y s n Khai khoáng Công nghi p ch bi n, ch t o S n xu t phân ph khơng khí Cung c Xây d ng Bán buôn bán l ; s ch V n t i, kho bãi D ch v 10 Thông tin truy n thơng 11 Ho ng tài chính, ngân hàng b o hi m 12 Ho ng kinh doanh b 13 Ho ng chuyên môn, khoa h c cơng ngh 14 Ho ng hành d ch v h tr Ho 15 c; ho u hoà ng qu n lý x lý rác th c th i ng ng s n ng c ng C ng s n, t ch c tr - xã h i; qu n lý Nhà c, an ninh qu m b o xã h i b t bu c 16 Giáo d t o 17 Y t ho 18 Ngh thu 19 Ho ng tr giúp xã h i ng khác i trí Source SS df MS Model Residual 40439783 4.69999992 533 067399638 008818011 Total 5.10439775 539 Number of obs F( 6, 533) Prob > F R-squared Adj R-squared Root MSE 009470126 Coef IDNGANH 0165352 -.074924 -.1123196 -.0548415 -.113447 -.0854297 0351358 0302302 034289 0316129 0332002 0313933 0.47 -2.48 -3.28 -1.73 -3.42 -2.72 0.638 0.014 0.001 0.083 0.001 0.007 -.0524864 -.134309 -.1796778 -.1169426 -.1786662 -.1470996 0855567 -.015539 -.0449615 0072596 -.0482277 -.0237598 _cons 1267083 0296951 4.27 0.000 0683745 1850422 SS df t P>|t| 540 7.64 0.0000 0.0792 0.0689 0939 CF Source Std Err = = = = = = MS Model Residual 2.46152137 9.24641483 533 11.7079362 539 Number of obs F( 6, 533) Prob > F R-squared Adj R-squared Root MSE 410253562 01734787 Total 021721588 Std Err t [95% Conf Interval] P>|t| = = = = = = 540 23.65 0.0000 0.2102 0.2014 13171 DMLT Coef [95% Conf Interval] IDNGANH -.0561804 -.0082896 1546138 -.0281262 1551005 1086077 0492819 0424013 0480942 0443406 046567 0440327 -1.14 -0.20 3.21 -0.63 3.33 2.47 0.255 0.845 0.001 0.526 0.001 0.014 -.1529909 -.0915838 0601364 -.11523 0636232 0221087 0406301 0750045 2490912 0589777 2465779 1951066 _cons 0764915 0416508 1.84 0.067 -.0053283 1583113 Source SS df MS Model Residual 825761292 9.60600077 533 137626882 018022516 Total 10.4317621 539 Number of obs F( 6, 533) Prob > F R-squared Adj R-squared Root MSE 019353918 Coef IDNGANH 0175854 -.0844348 -.0192667 -.0764694 -.078506 -.1496455 050231 0432179 0490204 0451946 0474638 0448807 0.35 -1.95 -0.39 -1.69 -1.65 -3.33 0.726 0.051 0.694 0.091 0.099 0.001 -.0810896 -.1693331 -.1155637 -.1652508 -.1717451 -.2378103 1162604 0004636 0770302 012312 0147331 -.0614807 _cons 2332125 0424529 5.49 0.000 1498169 3166081 SS df t P>|t| 540 7.64 0.0000 0.0792 0.0688 13425 CS_1 Source Std Err = = = = = = MS Model Residual 1.31607913 29.2498004 533 30.5658795 539 Number of obs F( 6, 533) Prob > F R-squared Adj R-squared Root MSE 219346522 054877674 Total 056708496 Std Err t [95% Conf Interval] P>|t| = = = = = = 540 4.00 0.0006 0.0431 0.0323 23426 LA_1 Coef [95% Conf Interval] IDNGANH 0138764 -.0662008 -.1597014 -.050928 -.2005146 -.029656 087652 0754143 0855396 0788636 0828234 0783159 0.16 -0.88 -1.87 -0.65 -2.42 -0.38 0.874 0.380 0.062 0.519 0.016 0.705 -.1583093 -.2143466 -.3277375 -.2058496 -.3632149 -.1835018 1860622 081945 0083347 1039937 -.0378144 1241898 _cons 4320771 0740795 5.83 0.000 2865536 5776007 SS Source df MS Model Residual 14.6465619 147.131102 533 2.44109365 276043344 Total 161.777664 539 Number of obs F( 6, 533) Prob > F R-squared Adj R-squared Root MSE 300144089 t P>|t| 540 8.84 0.0000 0.0905 0.0803 5254 SIZE Coef IDNGANH -.4185194 -.8358558 -.8757928 -.9176375 -1.034305 -.958002 196586 1691394 1918483 1768754 1857563 1756471 -2.13 -4.94 -4.57 -5.19 -5.57 -5.45 0.034 0.000 0.000 0.000 0.000 0.000 -.8046979 -1.168117 -1.252664 -1.265096 -1.399209 -1.303048 -.0323409 -.5035942 -.4989212 -.5701791 -.6694004 -.6129565 _cons Std Err = = = = = = [95% Conf Interval] 1.463681 1661455 8.81 0.000 1.1373 1.790061 reg I CF DMLT Source SS df MS Model Residual 802746956 6.83345846 537 401373478 012725249 Total 7.63620542 539 Number of obs F( 2, 537) Prob > F R-squared Adj R-squared Root MSE 014167357 I Coef CF DMLT _cons -.005862 1136098 0179748 Std Err .0008399 0330081 0059865 t -6.98 3.44 3.00 P>|t| 0.000 0.001 0.003 = = = = = = 540 31.54 0.0000 0.1051 0.1018 11281 [95% Conf Interval] -.0075118 048769 0062149 -.0042122 1784507 0297346 xtreg I CF DMLT, fe Fixed-effects (within) regression Group variable: IDCTY Number of obs Number of groups = = 540 108 R-sq: Obs per group: = avg = max = 5.0 within = 0.1109 between = 0.1155 overall = 0.1026 corr(u_i, Xb) F(2,430) Prob > F = -0.2074 I Coef CF DMLT _cons -.0067429 1889799 0109531 0009625 09164 0106351 sigma_u sigma_e rho 05295743 11223529 1820949 t -7.01 2.06 1.03 F(107, 430) = P>|t| 26.81 0.0000 (fraction of variance due to u_i) F test that all u_i=0: Std Err = = 0.000 0.040 0.304 [95% Conf Interval] -.0086346 0088619 -.0099502 1.05 -.0048511 3690979 0318564 Prob > F = 0.3599 xtreg I CF DMLT, re Random-effects GLS regression Group variable: IDCTY Number of obs Number of groups = = 540 108 R-sq: Obs per group: = avg = max = 5.0 within = 0.1101 between = 0.1094 overall = 0.1051 corr(u_i, X) Wald chi2(2) Prob > chi2 = (assumed) I Coef Std Err z CF DMLT _cons -.0058824 1138795 0179641 0008404 0333541 0060562 sigma_u sigma_e rho 0089505 11223529 0063195 (fraction of variance due to u_i) -7.00 3.41 2.97 P>|z| 0.000 0.001 0.003 = = 63.13 0.0000 [95% Conf Interval] -.0075296 0485067 0060941 -.0042353 1792524 0298341 xttest0 Breusch and Pagan Lagrangian multiplier test for random effects I[IDCTY,t] = Xb + u[IDCTY] + e[IDCTY,t] Estimated results: Var 0141674 0125968 0000801 I e u Test: sd = sqrt(Var) 1190267 1122353 0089505 Var(u) = chibar2(01) = Prob > chibar2 = 0.03 0.4263 reg I CF SIZE Source SS df MS Model Residual 709235171 6.92697024 537 354617585 012899386 Total 7.63620542 539 Number of obs F( 2, 537) Prob > F R-squared Adj R-squared Root MSE 014167357 I Coef CF SIZE _cons -.0062256 0189547 0183141 Std Err .0008511 0089983 0073524 t -7.32 2.11 2.49 P>|t| 0.000 0.036 0.013 = = = = = = 540 27.49 0.0000 0.0929 0.0895 11358 [95% Conf Interval] -.0078975 0012786 003871 -.0045538 0366308 0327571 xtreg I CF SIZE, fe Fixed-effects (within) regression Group variable: IDCTY Number of obs Number of groups = = 540 108 R-sq: Obs per group: = avg = max = 5.0 within = 0.1072 between = 0.0555 overall = 0.0925 corr(u_i, Xb) F(2,430) Prob > F = -0.0915 I Coef CF SIZE _cons -.0069515 0260917 014531 000972 0166468 0112636 sigma_u sigma_e rho 05301117 11246811 18178001 t P>|t| 25.81 0.0000 (fraction of variance due to u_i) F test that all u_i=0: Std Err = = -7.15 1.57 1.29 F(107, 430) = 0.000 0.118 0.198 [95% Conf Interval] -.0088619 -.0066275 -.0076076 1.10 -.0050411 058811 0366695 Prob > F = 0.2561 xtreg I CF SIZE, re Random-effects GLS regression Group variable: IDCTY Number of obs Number of groups = = 540 108 R-sq: Obs per group: = avg = max = 5.0 within = 0.1070 between = 0.0552 overall = 0.0929 corr(u_i, X) Wald chi2(2) Prob > chi2 = (assumed) I Coef Std Err z CF SIZE _cons -.0062745 0191725 0182209 0008523 0092098 0075724 sigma_u sigma_e rho 01575733 11246811 01925147 (fraction of variance due to u_i) -7.36 2.08 2.41 = = 55.60 0.0000 P>|z| [95% Conf Interval] 0.000 0.037 0.016 -.007945 0011217 0033794 -.0046039 0372233 0330625 xttest0 Breusch and Pagan Lagrangian multiplier test for random effects I[IDCTY,t] = Xb + u[IDCTY] + e[IDCTY,t] Estimated results: Var 0141674 0126491 0002483 I e u Test: sd = sqrt(Var) 1190267 1124681 0157573 Var(u) = chibar2(01) = Prob > chibar2 = 0.31 0.2887 reg I CF CS LA Source SS df MS Model Residual 1.41423214 6.22197327 536 471410714 011608159 Total 7.63620542 539 Number of obs F( 3, 536) Prob > F R-squared Adj R-squared Root MSE 014167357 I Coef CF CS_1 LA_1 _cons -.0062955 -.1436007 1734381 -.0114845 Std Err .0008027 0367041 0214642 0087643 t -7.84 -3.91 8.08 -1.31 P>|t| 0.000 0.000 0.000 0.191 = = = = = = 540 40.61 0.0000 0.1852 0.1806 10774 [95% Conf Interval] -.0078724 -.2157023 1312739 -.0287011 -.0047186 -.0714991 2156024 0057321 xtreg I CF CS LA, fe Fixed-effects (within) regression Group variable: IDCTY Number of obs Number of groups = = 540 108 R-sq: Obs per group: = avg = max = 5.0 within = 0.3474 between = 0.0401 overall = 0.1384 corr(u_i, Xb) F(3,429) Prob > F = -0.6914 I Coef CF CS_1 LA_1 _cons -.0064864 -.163846 4779267 -.1189824 0008258 0566823 0376508 0151912 sigma_u sigma_e rho 09655847 09626874 50150255 t -7.85 -2.89 12.69 -7.83 F(107, 429) = P>|t| 76.11 0.0000 (fraction of variance due to u_i) F test that all u_i=0: Std Err = = 0.000 0.004 0.000 0.000 [95% Conf Interval] -.0081095 -.2752556 4039238 -.1488408 2.27 -.0048632 -.0524364 5519296 -.089124 Prob > F = 0.0000 xtreg I CF CS LA, re Random-effects GLS regression Group variable: IDCTY Number of obs Number of groups = = 540 108 R-sq: Obs per group: = avg = max = 5.0 within = 0.2887 between = 0.0738 overall = 0.1840 corr(u_i, X) Wald chi2(3) Prob > chi2 = (assumed) I Coef Std Err z CF CS_1 LA_1 _cons -.0064335 -.1555123 2041956 -.0207643 000799 0393908 0233314 0097954 sigma_u sigma_e rho 02902628 09626874 08333421 (fraction of variance due to u_i) -8.05 -3.95 8.75 -2.12 P>|z| 0.000 0.000 0.000 0.034 = = 137.20 0.0000 [95% Conf Interval] -.0079995 -.2327169 1584669 -.039963 -.0048674 -.0783078 2499244 -.0015657 xttest0 Breusch and Pagan Lagrangian multiplier test for random effects I[IDCTY,t] = Xb + u[IDCTY] + e[IDCTY,t] Estimated results: Var 0141674 0092677 0008425 I e u Test: sd = sqrt(Var) 1190267 0962687 0290263 Var(u) = chibar2(01) = Prob > chibar2 = 6.23 0.0063 hausman I_CSLAfe I_CSLAre Coefficients (b) (B) I_CSLAfe I_CSLAre -.0064864 -.163846 4779267 CF CS_1 LA_1 -.0064335 -.1555123 2041956 (b-B) Difference -.0000529 -.0083337 2737311 sqrt(diag(V_b-V_B)) S.E .0002086 0407584 0295504 b = consistent under Ho and Ha; obtained from areg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 92.61 Prob>chi2 = 0.0000 Mo hinh Variable CF DMLT Constant chi2 N I_DMLTp I_DMLTfe -,005862*** ,1136*** ,01797*** 540 -,006743*** ,189** ,01095 540 I_DMLTre -,005882*** ,1139*** ,01796*** 63,13 540 legend: * p F R-squared Adj R-squared Root MSE 01154355 uhat Coef CF LA_1 CS_1 _cons -1.88e-11 -5.39e-10 9.25e-10 -1.14e-10 Std Err .0008027 0214642 0367041 0087643 t -0.00 -0.00 0.00 -0.00 P>|t| 1.000 1.000 1.000 1.000 = 540 = 0.00 = 1.0000 = 0.0000 = -0.0056 = 10774 [95% Conf Interval] -.0015769 -.0421643 -.0721016 -.0172166 0015769 0421643 0721016 0172166 ... n c a công ty, quy mô c a cơng ty tính kho n lên ti t t t ICFS) cho công ty niêm y t s giao d ch ch ng nt C th nh y dòng nh tài t p trung vào câu h i nghiên c u sau: Câu h i 1: T l n c lên ICFS?... theo án buôn 540 ngành 108 cơng ty phi tài - 2012 công ty ngành i công ty công ty kinh doanh Các công ty ngành khai khống, nơng lâm Danh sách 108 cơng ty 3.2 công ty Chung Ngành % 275 50.9 % 55... gi Dòng ti n n i b b y n , quy mô công ty b i t l i di n dịng ti n tính kho n lên dòng t ng tài s n c a doanh ICFS s d nghi ng c nh n c mơ hình cho m u 140 công ty c ch n d ch s ch ng giao khoán