Giá trị công ty, rủi ro và cơ hội tăng trưởng đại học kinh tế 2015

B GIÁO D O I H C KINH T THÀNH PH H LÊ MINH TÂM GIÁ TR CÔNG TY, R I RO NG Minh CHÍ MINH B GIÁO D O I H C KINH T THÀNH PH H CHÍ MINH LÊ MINH TÂM GIÁ TR CÔNG TY, R I RO NG Chuyên ngành: Tài Chính Ngân Hàng Mã s : 60340201 NG D N KHOA H C: TS H VI T TI N L Lê Minh Tâm Trang 1: 2.1.1 2.1.1.1 2.1.1.2 2.1.1.3 11 2.1.2 14 2.1.2.1 Quy n ch n 14 2.1.2.2 Các lo i th ng quy n ch n 15 2.1.2.3 18 2.1.2.4 19 2.1.3 Mơ hình CAPM 22 28 29 29 33 34 34 35 39 40 40 44 46 49 52 56 60 64 64 66 5.3 68 DANH M C T VI T T T Asian Development Bank - Arbitrage Pricing Theory Model - Capital asset pricing model CRO: - Earnings before interest and taxes - Earning Per Share - Foreign Direct Investment - Federal Reserve System - Gross Domestic Product - International Monetary Fund - Leveraged buyout ài - Return on equity - Security Market Line - United Nations Conference on Trade and Development World Bank DANH M C B NG 36 36 -2013 42 43 44 44 45 46 47 47 49 50 50 th 52 53 53 56 soát 57 58 60 61 62 TĨM T T cơng ty, s phi h thơng qua T Mơ hình (1) mơ khác công ty 12 Fama, E, F., and K R French, 1993, Common risk factors in the returns on stocks and bonds,Journal of Financial Economics 33, 3-56 13 Fama, E F., and J D MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal ofPolitical Economy 81, 607-636 14 on Economic Activity, pp 141-195 15 Gallagher, Russell B (1956) Risk management: new phase of cost control Published in: Harvard business review : HBR.- Harvard Business School Publ Corp, ISSN 0017-8012, ZDB-ID 23826 - Vol 34.1956, 5, p 75-86 16 Goriaev, A., 2004, Risk factors in the Russian stock market, working paper, New Economic School 17 Review of Economics and Statistics, 42(1), 13 18 Henriques, I., Sadorsky, P., 2008 Oil prices and the stock prices of alternative energy companies Schulich School of Business, 4700 Keele Street, Toronto, Ontario, Canada M3J 1P3 19 Hoyt, R E., and Liebenberg, A P (2008): The Value of Enterprise Risk Management: Evidence from the U.S Insurance Industry, Society of Actuaries, ERM Monograph Paper, available at http://www.soa.org, accessed 07/01/2013 20 Li, Q., et al., 2013, insurance industry, Acta Commercii; Vol 14, No (2014), 10 pages doi: 10.4102/ac.v14i1.198 21 Lintner, John (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47, 13-37 22 Meyer, J R., and E Kuh, 1957 The Investment Decision Cambridge: Harvard University Press, 1957 23 297 24 Myers, S.C., 1984, The capital structure puzzle, Journal of Finance 39, 575 592 25 -608 26 Saffron, [Accessed 22 Oct 2014] 27 Ross, A., 1976, The Arbitrage Theory of Capital Asset Pricing, [Accessed 15 Oct 2014] 28 Schwert, G W., 1989, Why does stock market volatility change over time?, Journal ofFinance, 1115-1154 29 -442 30 Shin, H., and Stulz, M (2000), Firm value, risk, and growth opportunities Working Paper 7808 http://www.nber.org/papers/w7808 31 Stephen A.Ross, 1976, The Arbitrage Theory of Capital Asset Pricing, ity of Pennsylvania, The Wharton School, Philadelphia, Pennsylvania 19174 32 Tahir, I M., and Razali, A R (2011): The Relationship between Enterprise Risk Management and Firm Value: Evidence from Malaysian Public Listed Companies, International Journal of Economics and Management Sciences 1(2): 32-41 33 Treynor, Jack L (1961) "Market Value, Time, and Risk" Unpublished manuscript dated 8/8/61, No 95-209 34 Waweru, N., Kisaka, S., 2011, The Effect of Enterprise Risk Management Implementation on the Value of Companies Listed in the Nairobi Stock Exchange Electronic copy available at: http://ssrn.com/abstract=1907248 PH L C Ph L c 1: K t qu giá tr bình quân c a t su t sinh l i c a c phi u bình quân tron n 2009-2013 Mean r(m) r(VIC) r(HAG) r(REE) r(ITA) r(OGC) r(DRC) r(PHR) r(CSM) r(DPR) r(TRC) r(FPT) r(SAM) r(ELC) r(CMG) r(SGT) r(OCH) r(PAN) r(DSN) r(TCT) r(HOT) r(DHG) r(LAS) r(JVC) r(OPC) 0,0008 -0,0005 -0,0002 0,0023 0,0014 0,0003 0,0017 0,0003 0,0018 -0,0006 0,0000 0,0012 0,0005 -0,0018 -0,0002 -0,0001 0,0020 0,0025 0,0011 0,0028 -0,0003 0,0018 0,0012 -0,0005 0,0021 Mean r(DMC) r(BMC) r(HGM) r(KSB) r(TVD) r(NBC) r(GAS) r(PPC) r(VSH) r(PGD) r(TBC) r(VCB) r(BVH) r(STB) r(CTG) r(EIB) r(HSG) r(POM) r(DTL) r(VIS) r(TLH) r(PVD) r(DPM) r(PVS) r(PVI) 0,0020 -0,0007 -0,0019 0,0005 0,0008 -0,0008 0,0022 0,0030 0,0014 0,0010 0,0014 -0,0001 -0,0001 -0,0006 -0,0010 -0,0009 0,0031 0,0000 -0,0003 0,0012 0,0015 0,0019 0,0006 0,0016 0,0007 Ph L c 2: K t qu th ng kê mô t bi n nghiên c u Tobin Q Total Risk Systematic Risk Non-Systematic Risk Log(Age) Log(Asset) Valid N 250 250 250 250 250 250 Mean 1.89 22 10 11 1.25 9.48 Median 1.96 20 13 09 1.28 9.37 Standard Deviation 79 11 07 09 28 86 Ph L c 3: H i quy giá tr công ty v i t ng r i ro (Khơng có s tham gia c a bi n ki m soát) Model Summary Model R R Square Adjusted R Square a 275 076 072 a Predictors: (Constant), Total Risk Std Error of the Estimate 76188 ANOVAb Sum of Model Squares Regression 11.758 Residual 143.953 Total 155.710 a Predictors: (Constant), Total Risk b Dependent Variable: Tobin Q df Mean Square 11.758 248 580 249 Coefficientsa Unstandardized Standardized Coefficients Coefficients Model B Std Error Beta (Constant) 1.469 105 Total Risk 1.910 424 275 a Dependent Variable: Tobin Q F 20.256 Sig .000a t 14.012 4.501 Sig .000 000 Ph L c 4: H i quy giá tr công ty v i r i ro h th ng r i ro phi h th ng (Khơng có s tham gia c a bi n ki m soát) Model Summaryb Adjusted R Std Error of Model R R Square Square the Estimate Durbin-Watson a 780 609 605 49674 2.007 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b Dependent Variable: Tobin Q ANOVAb Sum of Model Squares df Mean Square F Regression 94.763 47.381 192.021 Residual 60.947 247 247 Total 155.710 249 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b Dependent Variable: Tobin Q Sig .000a Coefficientsa Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std B Error Beta t Sig Tolerance VIF 1.203 070 17.218 000 -1.490 333 -.179 -4.474 000 992 1.008 Model (Constant) NonSystematic Risk Systematic 8.186 440 Risk a Dependent Variable: Tobin Q 744 18.602 000 992 1.008 Ph L c 5: H i quy gi a giá tr công ty t ng r i ro v i s tham gia c a bi n ki m soát Model Summaryb Adjusted R Std Error of Model R R Square Square the Estimate Durbin-Watson a 394 155 145 73115 2.068 a Predictors: (Constant), Log(Asset), Total Risk, Log(Age) b Dependent Variable: Tobin Q ANOVAb Sum of Mean Model Squares df Square Regression 24.205 8.068 Residual 131.505 246 535 Total 155.710 249 a Predictors: (Constant), Log(Asset), Total Risk, Log(Age) b Dependent Variable: Tobin Q F 15.093 Sig .000a Coefficientsa Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std Model B Error Beta t Sig Tolerance VIF (Constant) -.790 553 -1.428 155 Total Risk 1.819 410 262 4.432 000 985 1.016 Log(Age) -.146 166 -.052 -.877 381 982 1.018 Log(Asset) 260 054 281 4.789 000 996 1.004 a Dependent Variable: Tobin Q Ph L c 6: H i quy gi a giá tr công ty v i r i ro h th ng r i ro phi h th ng bi n ki m soát Model Summaryb Adjusted R Std Error of Model R R Square Square the Estimate Durbin-Watson a 797 636 630 48101 2.092 a Predictors: (Constant), Log(Asset), Log(Age), Non-Systematic Risk, Systematic Risk b Dependent Variable: Tobin Q ANOVAb Sum of Model Squares df Mean Square F Sig Regression 99.024 24.756 106.997 000a Residual 56.686 245 231 Total 155.710 249 a Predictors: (Constant), Log(Asset), Log(Age), Non-Systematic Risk, Systematic Risk b Dependent Variable: Tobin Q Coefficientsa Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std B Error Beta t Sig Tolerance VIF -.234 365 -.640 523 -1.398 324 -.168 -4.317 000 983 1.017 Model (Constant) NonSystematic Risk Systematic 7.925 434 Risk Log(Age) -.012 110 Log(Asset) 155 036 a Dependent Variable: Tobin Q 720 18.268 000 -.004 168 -.110 913 4.287 000 957 1.045 978 1.023 970 1.031 Ph L c 7: H i quy gi a giá tr công ty v i t ng r i ro phân chia theo quy mô (Khơng có s tham gia c a bi n ki m soát) Model Summaryb Model R R Square Adjusted R Square a 214 046 036 a Predictors: (Constant), Total Risk b scale = Large Std Error of the Estimate 80970 ANOVAb,c Sum of Model Squares Regression 2.933 Residual 60.972 Total 63.904 a Predictors: (Constant), Total Risk b scale = Large c Dependent Variable: Tobin Q df Mean Square 2.933 93 656 94 Coefficientsa,b Unstandardized Standardized Coefficients Coefficients B Std Error Beta 1.673 198 1.656 783 214 Model (Constant) Total Risk a scale = Large b Dependent Variable: Tobin Q F 4.473 Sig .037a t 8.446 2.115 Sig .000 037 Model Summaryb Model R R Square Adjusted R Square a 291 085 074 a Predictors: (Constant), Total Risk b scale = Medium Std Error of the Estimate 80362 ANOVAb,c Sum of Model Squares Regression 5.269 Residual 56.831 Total 62.100 a Predictors: (Constant), Total Risk b scale = Medium c Dependent Variable: Tobin Q df Mean Square 5.269 88 646 89 Coefficientsa,b Unstandardized Standardized Coefficients Coefficients B Std Error Beta 1.381 179 2.049 717 291 Model (Constant) Total Risk a scale = Medium b Dependent Variable: Tobin Q F 8.158 Sig .005a t 7.706 2.856 Sig .000 005 Model Summaryb Model R R Square Adjusted R Square a 317 101 086 a Predictors: (Constant), Total Risk b scale = Small Std Error of the Estimate 59816 ANOVAb,c Sum of Model Squares Regression 2.520 Residual 22.541 Total 25.061 a Predictors: (Constant), Total Risk b scale = Small c Dependent Variable: Tobin Q df Mean Square 2.520 63 358 64 Coefficientsa,b Unstandardized Standardized Coefficients Coefficients B Std Error Beta 1.377 150 1.701 641 317 Model (Constant) Total Risk a scale = Small b Dependent Variable: Tobin Q F 7.043 Sig .010a t 9.192 2.654 Sig .000 010 Ph L c 8: H i quy gi a giá tr công ty v i r i ro h th ng r i ro phi h th ng phân chia theo quy mô (Khơng có s tham gia c a bi n ki m soát) Model Summaryb,c Adjusted R Std Error of Model R R Square Square the Estimate Durbin-Watson 812a 659 652 48656 2.171 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b scale = Large c Dependent Variable: Tobin Q ANOVAb,c Sum of Model Squares df Mean Square F Regression 42.124 21.062 88.968 Residual 21.780 92 237 Total 63.904 94 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b scale = Large c Dependent Variable: Tobin Q Sig .000a Coefficientsa,b Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std B Error Beta t Sig Tolerance VIF 1.107 127 8.729 000 -1.420 528 -.167 -2.691 008 958 1.044 Model (Constant) NonSystematic Risk Systematic 9.203 752 Risk a scale = Large b Dependent Variable: Tobin Q 761 12.239 000 958 1.044 Model Summaryb,c Adjusted R Std Error of Model R R Square Square the Estimate Durbin-Watson a 761 579 569 54811 1.777 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b scale = Medium c Dependent Variable: Tobin Q ANOVAb,c Sum of Model Squares df Mean Square F Regression 35.963 17.981 59.852 Residual 26.137 87 300 Total 62.100 89 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b scale = Medium c Dependent Variable: Tobin Q Sig .000a Coefficientsa,b Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std B Error Beta t Sig Tolerance VIF 1.202 124 9.728 000 -1.495 602 -.173 -2.484 015 995 1.005 Model (Constant) NonSystematic Risk Systematic 8.022 767 Risk a scale = Medium b Dependent Variable: Tobin Q 729 10.456 000 995 1.005 Các cơng ty có quy mô Model Summaryb,c Adjusted R Std Error of Model R R Square Square the Estimate Durbin-Watson a 730 532 517 43482 2.145 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b scale = Small c Dependent Variable: Tobin Q ANOVAb,c Sum of Model Squares df Mean Square F Regression 13.339 6.669 35.276 Residual 11.722 62 189 Total 25.061 64 a Predictors: (Constant), Systematic Risk, Non-Systematic Risk b scale = Small c Dependent Variable: Tobin Q Sig .000a Coefficientsa,b Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std B Error Beta t Sig Tolerance VIF 1.281 110 11.677 000 -1.231 606 -.177 -2.031 047 994 1.006 Model (Constant) NonSystematic Risk Systematic 6.677 806 Risk a scale = Small b Dependent Variable: Tobin Q 722 8.283 000 994 1.006