ĐỊNH GIÁ THẤP IPO BẰNG CHỨNG THỰC NGHIỆM TẠI THỊ TRƯỜNG VIỆT NAM LUẬN VĂN THẠC SĨ

B GIÁO D O I H C KINH T TP.H CHÍ MINH - NGUY N TH KIM TUY N NH GIÁ TH P IPO B NG CH NG TH C NGHI M T I TH NG VI T NAM LU TP H Chí Minh - B GIÁO D O I H C KINH T TP.H CHÍ MINH - NGUY N TH KIM TUY N NH GIÁ TH P IPO B NG CH NG TH C NGHI M T I TH NG VI T NAM CHUYÊN NGÀNH : TÀI CHÍNH NGÂN HÀNG MÃ S : 60340201 LU NG D N KHOA H C: PGS.TS LÊ TH LANH TP H Chí Minh - a TP.HCM, tháng 10 CH 1.5 Ph CH TR CÁC CH 17 17 18 3.3 Ph 25 25 28 3.3.3 T 31 - ph 3.3.5 Ph ng pháp bình ph 31 32 32 33 ng quan 34 34 35 CH 36 01/2005 - 08/2014 36 40 40 40 44 45 45 51 57 63 CH NG 65 65 66 5.3 PH 66 SCIC UBC Trang 14 15 hích 30 08/2014 36 39 IRA 40 41 44 46 (4) 47 (4) 48 - 49 10 Ramsey reset test mơ hình (4) 49 Wald - test mơ hình (4) 49 ) 50 (4) 51 ) 57 ) 58 ) 59 - ) 60 Ramsey ) 60 19 Wald - ) 61 ) 61 i quy mơ hình ( 62 1a IRA mơ hình (4) mơ hình ( Trang 08/2014 36 40 41 01/2005-08/2014 ngày 6.94652 - -0.09709 vào mơ hình 56 IPO, cho giá khơng 0% 0.01936) Trong PO n 57 ) Mơ hình (4 ): o H0 H1 ) Heteroskedasticity Test: White F-statistic Obs*R-squared Scaled explained SS 1.596865 Prob F(10,67) Prob Chi15.01235 Square(10) Prob Chi39.66684 Square(10) 0.1267 0.1316 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 09/15/14 Time: 10:57 Sample: 79 Included observations: 78 Variable Coefficient Std Error t-Statistic Prob 58 C PE^2 ISIZE^2 ARATE^2 -0.615341 0.016069 0.004143 0.036722 1.277962 0.027064 0.005631 0.022981 LTIME^2 -0.018724 0.018995 FSIZE^2 FAGE^2 -0.000871 0.097278 0.015777 0.058108 SS^2 -4.69E-06 0.000119 MS^2 ES^2 -0.000157 -0.001105 0.000243 0.001333 BETA^2 -0.697268 0.453641 0.481502 0.593727 0.735771 1.597961 0.985693 0.055211 1.67408 0.039542 0.648882 -0.82928 1.537048 0.6317 0.5547 0.4644 0.1148 0.3278 0.9561 0.0988 0.9686 0.5186 0.4099 0.129 H0 có ngh o Tá 4.15 P/E ) FSIZE 0.08755 LTIME 0.10534 0.61200 0.61200 LTIME 0.08755 0.10534 0.37430 FSIZE 0.00504 0.71382 FAGE 0.14973 SS 0.01771 0.11479 MS 0.12907 0.08514 0.05767 ES 0.16361 BETA 0.11308 P/E ISIZE ARATE 0.01721 ISIZE ARATE FAGE SS 0.00504 0.01771 0.11479 0.37430 0.71382 0.14973 0.43631 0.50768 0.24691 0.08514 0.09029 0.43631 0.35943 0.24541 0.14666 0.50768 0.35943 0.11591 0.10728 0.24691 0.09029 0.24541 0.11591 0.16791 0.10728 0.14060 0.14666 0.20444 0.06388 0.17495 0.05561 0.08130 0.16791 0.13184 0.08396 0.68961 0.24808 0.23917 0.16198 0.00053 0.19553 0.07534 0.19248 0.01721 0.05601 MS ES BETA 0.12907 0.05767 0.16361 0.11308 0.06388 0.23917 0.14060 0.20444 0.17495 0.16198 0.05561 0.00053 0.05601 0.13184 0.68961 0.08130 0.08396 0.24808 0.19553 0.07668 0.07668 0.14625 0.00373 0.07534 0.19248 0.14625 0.00373 59 ký FAge g mô hình có 10 10 phu phu > 0.9: nghiêm ) PE ISIZE ARATE LTIME FSIZE FAGE SS MS ES BETA R2phu 0.077865 0.622876 0.517459 0.325947 0.565652 0.126528 0.555858 0.561625 0.142428 0.128981 Vif 1.0844399 2.6516477 2.0723628 1.4835629 2.3023014 1.1448564 2.2515322 2.281152 1.1660828 1.1480806 60 R2phu 10 Beta o Durbin-watson 7K - ) Durbin-Watson stat 1.936998 - tính o a) tính mơ hình (4 ) H0 H1 Ramsey ) Ramsey RESET Test: F-statistic Log likelihood ratio 0.766396 Prob F(1,66) Prob Chi0.900523 Square(1) Eview 0.3845 0.3426 = 10 b) H0 H1 tính 61 19 Wald - ) Wald Test: Equation: EQ01 Test Statistic Value df Probability F-statistic Chi-square 9.294536 (10, 67) 92.94536 10 0 Tác gi ) o H0: R2 = H1: R2 > (mơ hình có nh j R2 ) F-statistic -1,n-k) Prob(F-statistic) IRA Ghi 9.294536 1.973045 R2 0.581107 l -statistic= 9.294536 -1,n-k) = 1,973045 62 = 58.11 ) sau thêm vào mơ hình 21 quy mơ hình C PE ISIZE ARATE LTIME FSIZE FAGE SS MS ES BETA R-squared N ) IRA P_value -6.8917 0.187274 0.0538* 0.231768 0.009*** 0.271566 0.0056*** 0.060367 0.5728 0.122347 0.289 0.073776 0.6521 0.006692 0.2854 0.018159 0.0641* -0.00794 0.6114 -0.37427 0.1004 0.581107 79 xem g LTime ành FAge 63 Mơ hình IRA beta vào mơ hình mơ hình c (PE) có ý ngh IRA = -6.8917 + 0.187274 PE + 0.231768 ISIZE + 0.271566 ARATE + 0.18159 MS + N R2 hình (4) (58.11% > 56.37%) hình ( Tuy nhiên, mơ hình 4.3 làm rõ Ngun nhân Bài 64 65 5.1 K Lihui Tian ,377 I 01/2005 -08/2014, TSSL trung bình -0.09709 6.94652 IPO viên h : TSSL ro cơng ty -2.49888 66 vào mơ hình mơ hình sau khác th beta 67 IPO lên sàn - Bùi K , 2009 hành - TPHCM - - ên TPHCM - - P TP HCM: TP HCM: Nhà - Agarwal, S., C Liu and S.G Rhee, 2008 Investor dema aftermarket performance: Evidence from the Hong Kong stock market Journal of International Financial Markets, Institutions and Money, 18 (2): 176-190 - Boudriga, Zouari and Taktak, 2011 Determinants of IPO underpricing: Evidence from Tunisia The International Journal of Business and Finance Research, 5: 13-32 - Bozzolan, S and E Ipino, 2007 Information Asymmetries and IPO underpricing: the role of Voluntary Disclosure of Forward-Looking Information in the Prospectus - Chan K.L., K.J Wei and J.B Wang, 2004 Underpricing and long-term -430 - Chi, J and C Padgett, 2002 The Performance and Long-Run Characteristics of the Chinese IPO Market - David Chambers & Elroy Dimson, 2009 IPO Underpricing over the Very Long Run The Journal of Finance, 64(3): 1407-1443 - Kerins F et all, 2007 Why are IPOs underpriced? 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Review of Financial Studies, 17(3): 811-848 - Ritter, J R., 1991 The long-run performance of initial public offerings, Journal of Finance, 42: 365-394 - Su.D and Fleisher B.M, 1997 An Empirical Investigation of Underpricing in Chinese IPOs - Yan Gao, 2009 What Comprises IPO Initial Returns: Evidence from the Chinese Market Pacific-Basin Finance Journal, 18:77-89 - Wasantha Perera Nada Kulendran, 2011 Evaluation of short-run market performance and its determinants using Binary models: Evidence from Australian IPOs - http://www.cafef.vn - http://www.cophieu68.vn - http://www.cophieu68.vn/historyprice.php?id=^VNINDEX - http://www.cophieu68.vn/historyprice.php?id=^hastc - http://www.hnx.vn - http://www.hsx.vn - http://www.ssc.gov.vn - http://www.vietstock.vn ...B GIÁO D O I H C KINH T TP.H CHÍ MINH - NGUY N TH KIM TUY N NH GIÁ TH P IPO B NG CH NG TH C NGHI M T I TH NG VI T NAM CHUYÊN NGÀNH : TÀI CHÍNH NGÂN... (Isize nhiên Issuing size): ông ty Arate Allocation rate giá time nhiên IPO Listing time lag 6FAge + 29 Quy mô công ty IPO (Fsize Firm size IPO Fage (SS Firm age State shareholding) (MS Manager... ty sau IPO Beta = Covar(Ri,Rm)/Var(Rm) TSSL án TSSL TSSL TSSL TSSL R = (p1-p0)/p0 TSSL 30 tính P/E Giá - ) ISize + IPO công ARate LDel Quy mô công ty + Hàm Fsize % + Ngày - phát hành IPO FAge