ĐÁNH GIÁ CÁC NHÂN TỐ ẢNH HƯỞNG TỚI CẤU TRÚC VỐN CỦA DOANH NGHIỆP NGHIÊN CỨU TẠI CÔNG TY NIÊM YẾT TRÊN SÀN CHỨNG KHOÁN HỒ CHÍ MINH

-o0o - : : A19361 2014 -o0o - : A19361 2014 Thang Long University Library L IC il ic tr c ti p iH ng d c bi Th ThS Tr nh Tr ng Anh n t t nghi p t b ot ng d cho em r t nhi u ki n th c b trang v ng ch c cho s nghi Do gi i h n ki n th h n ch ch d th c hi nc ab u thi n c a em 28 NGUY L u khoa h n g c c th li cl pc t qu c a b t c t NGUY Thang Long University Library M CL C GI I THI U CHUNG V T NG QUAN V 2.1 tv c U n c a doanh nghi p .5 2.2 t 2.3 u th c nghi m .8 2.3.1 M t s u th c nghi m t 2.3.2 M t s ut n 2.3.3 M t s ut ng m i n i 10 2.3.4 M t s u t i Vi t Nam 11 T NG QUAN TH 3.1 th NG CH ng ch 3.2 - 3.2.2 T NAM 14 t Nam 14 ch Ch 3.2.1 n .8 H 16 -B o hi m .21 ng s n 27 NG .32 4.1 S li ng 32 4.1.1 S li u .32 4.1.2 ng 32 K T LU N .38 5.1 Nh ng k t qu cc n 38 5.1.1 V t 38 5.1.2 V u th c ti n .38 5.1.3 M t s gi 5.2 H n ch c 5.3 n ngh .38 n .39 n n .39 DANH M C B NG BI NH i i ti n ph m m i c 18 -Index cu 19 200 2014 19 v ng t ng c phi B n 200-2014 20 2000- u) 20 ng v a m t s 22 B x uc am ts B i nhu n m t s B B o hi B 23 24 ng c a m t s doanh nghi 26 ng c phi u c pB ng s n 31 B ng 4.1 Th c nh (1) 33 B ng 4.2 K t qu ng c 34 B ng 4.3 K t qu ng c 36 B ng A.1 S li u m ng v 43 B ng A.2 K t qu B ng A.3 K t qu ki ng ng ng nh LM c c l a ch ng 53 B ng A.4 K t qu B ng A.5 K t qu ki ng ng ng c ng c 54 B ng A.7 Th 54 B ng A.8 K t qu B ng A.10 K t qu nh 53 c l a ch nh 53 B ng A.6 K t qu ki B ng A.9 K t qu ki ng 52 ng ng nh LM c 54 c l a ch ng 54 ng c nh 55 Thang Long University Library B ng A.11 K t qu ki ng ng B ng A.12 K t qu ki ng c c l a ch nh 55 55 VI T T T BCKQKD t qu kinh doanh ik CTCP ph n NHNN c NHTM i TCTD T ch TMCP Th TTCK Th UBCKNN ng i C ph n ng Ch y ban Ch c Thang Long University Library GI I THI U CHUNG V i v i m i doanh nghi p, v ub c quy nh s n t i c a doanh nghi p B i l doanh nghi p c nv ti t li c v cho vi c s n xu t kinh doanh N i theo ngu v c chia hai m ph i tr n ch s h u V n ch s h c hi n v n thu c s h u c a doanh nghi p Khi s v , doanh nghi p s nv nt ph i tr ct , r doanh nghi d n ch s h nghi c v n l i ph thu ph i tr T ,s k th p gi a hai ngu n N ph i tr n ch s h u ngu n v n c a doanh nghi p cg n D m t lo N ph i tr hay V n ch s h u d ng v n i v i N ph i tr , v p ph i tr iv iV n d ng v n ch n l i nhu n t d nh c b ti y nhi m v c a doanh k t h p gi a N ph i tr n ch s h u cho chi p nh nt c a doanh nghi p S k t h p nt t doanh nghi p ph i ki ch s h u nghi ib tc nt uc qu n tr m ts ng l n c gi i L ch s uv v c n hi i c a doanh nghi p ut uc (1958) pt c n nhi u qu c gia, nhi u khu v c kinh t v i nh ng nh d th k n i c a Modig (1963), t tr t t ng ( ng) c (1984), i di n (Jensen Meckling, 1976; Harris ) u Stephen Ross kh T nh ng n n t ng thuy u th c nghi quan t i c nt c bi ng t i c v nc a doanh nghi 1995) nc ut n c a doanh nghi p hi p, chia m iy ut nc n Y u t nghi k m kinh t - k thu t c t th ng hay c y ut hi p bao g m c a doanh nghi p (size of the company), nc nh h ), kh i (profitablity ng (growth opportunities ), n ng n h n (shortn (long-term debt) Trong ph m vi k gi t ng y u t p, nh tc a ic n c a doanh nghi p C th : V q di n cho s b a doanh nghi p (size of the company): i gi uc a ng doanh nghi p l n s cung c p nhi p nh , t t lu n r ng doanh nghi p l d p c n th ng n uc ng minh r ng t l y i quan h t l thu n V t c u th ch ng h nc nh h (Tangibility): i cho vay s i v i m t kho y, doanh nghi p s h nc nh h u ng s d yt c l n, nh nc cao s n gi i quy t h u qu Do nh i quan h uv V kh ch r i nhu n cao s sinh l i c N r nn uc it d n cho nh ng c t v th cao ch c a doanh nghi p T nh nh r ng kh i quan h c chi u v i t l n c n n (long-term debt) ) ch r ng n us t gi a n s b c i (profitability): ng n h n (short-term debt): uc n ch d ng n h n M n n ng n h uc a ng n n T i Vi t Nam, m t s ph m vi nh c ng c t t i Vi c a Tr ng c uv c nc u khoa h c c a Nguy n T n nc nc nc nc Thang Long University Library 15 H.A Khrawish and A.H.Khraiwesh, The Determinants of the Capital Structures: Evidence from Jordanian Industrial Companies, JKAU: Econ & Adm, Vol 24 No 1, (2010), pg 173-196 16 L Booth, V Aivazian, A.Demirguc-Kunt, V.Maksimovic, Capital Structures in Developing Countries, The Journal of Finance, Vol 56, No (Feb., 2001), pg 87-130 17 M Z Frank, V K Goyal (2009), Capital Structure Decisions: Which Factors are Reliably Important?, Financial Management, Association International, Vol 38, No 1, pg 1-37 18 Mayer S and N Majluf (1984), , Journal of Financial Economics 13, pg 187-221 19 Miller M.(1977), , The Journal of Finance, No 24, pg 261257 20 Omet, G Nobanee, H E (2001), The Capital Structure of Listed Industrial Companies in Jordan, Arab Journal of Administrative Sciences, 8(2), pg 273289 21 R G Rajan; L Zingale, What we know about Capital Structure? Some evidence from International Data, The Journal of Finance, Vol 50, No (Dec., 1995), pg 1421-1460 22 S Akhtar, B Oliver (2009), Determinants of Capital Structure for Japanese Multinational and Domestic Corporations, Vol 9, Issue 1-2, pg 1-26, Mar/June 2009 23 S Titman, R Wessels, The Determinants of Capital Structure, The Journal of Finance, Vol 43, No.1 (Mar., 1988), pg 1-19 24 Stephen A.Ross (2003), Fundamental of Corporate Finance, Mc Graw Hill, Australia 25 Tran Dinh Khoi Nguyen and Neelakantan Ramachandran, Capital Struture in Small and Medium-sized Enterprises: The case of Vietnam, ASEAN Economic Bulletin, Vol 23, No (Aug., 2006), pg 192-211 26 Trinh Trong Anh (2013), The impact of state ownership on a symmetric information in Vietnam stock market: A case study of Ho Chi Minh Stock Exchange, Master Thesis, Vietnam National Economic University 27 Yue Cheng, C J Green (2008), Taxes and Capital Structure: A Study of European Companies, Manchester School, Vol 76, No S1 (Sep., 2008), pg 85115 41 28 Wang Mou (2001), The Determinants of Capital Structure in Chinese Listed Companies, Master Thesis, Utara Malaysia University 29 M A Sayeed (2011), The Determinants of Capital Structure for Selected Bangladeshi Listed Companies, International Review of Business Research Papers, Vol No March 2011, pg 21-36 42 Thang Long University Library PH L C li u m M t s d ng Stata u S li u m ng: S li c thu th ts cg li u m ng y s li u m ng ch th c th i u: chi u ngang - u d c theo th i gian S li u m ng d ng (balanced panel): N u t p s li u m ng m i c t t t c g c l i, n p s li ik m cg p s li c i m t (hay nhi u) th i k ng v s li u m ng B ng A.1: S li u m ng v B B B An An An T T T Y Y Y 2008 2009 2010 2008 2009 2010 2008 2009 2010 2008 2009 2010 Q 220 225 228 180 194 202 250 260 265 200 220 225 P 22 22,5 23 25 27 30 19 25 31 24 30 35 (Ngu Trong s li u m ng, ch s nh, v.v.), i = 1, 2, n ch s th i gian, v.v., t = 1,2, , T li u d ng m chuy c bi i n n kinh t pv th ng thu th 43 t ng h p) h li n ch nh c a n n kinh t ng c s d ng chu i s d c theo m t kho ng th li u m ns ng th mb mb nh quan h gi a c s b c t c l n Ch ng h n v i 63 t Hay v i v i s li n s t p s li u m n s g i theo c hai chi ng c a doanh nghi cs ng c t doanh nghi p t ns i theo chi chi u d a doanh nghi p, gi ns a ch h i theo chi u d tc i theo chi u ng kinh t li u theo t nh ho ac c, v.v n m t qu c gia yv m v i theo li u m ng cung c u chi i s li c v i s li u m t chi u M li u m yit ng sau: x 2 it k xkit uit t ng it (1) c gi u ki n chu n t c c i cc am u b m sinh; ci th hi i theo th i (individual specific), ch ng h c t i m i th t t gi , ch ng h u ki n kinh t a qu c u doanh nghi s c ut c ti p theo 44 Thang Long University Library M t s n n cho vi yit ut x 2 it k xkit n ch t c a ci ci t (2) uit i ng b n ng OLS g ng c ng ng nh a) ng OLS g p N n ci nt 2) : yit x2it s ch k xkit uit (3) s ch th i gian nv x ns l i d ng g p sau: y11 u11 y12 xj u12 y1T y x j1 x jT u1T ; xj ( j 1, 2, , k); u yn1 x j1 un1 yn xj un ynT x jT unT px c x p li n theo th t th c g (4) ng v i bi n s d ng ng OLS g p cho s li u m (pooled OLS) ng POLS 45 li u m t chi bi s c c ng quen thu n T ( x2it i t n x2 )( yit y) T ( x2it x2 ) i t 1 y x 2 v i: x2 x211 x2 nT ;y nT y11 ynT nT Gi thi t c Do s li u m y u t s li li u chu i th qu n th k t thi ng, Gi thi t POLS1: Sai s ng cov(uit , u js|X) = v Gi thi i r ng sai s ng i, serial correlation) n i b m d c theo th i gian, v i ( s th u ki n v ng v i gi thi u ki n v i s li u chu i u ki n y i s li uv G a thi t POLS2: K v i gi thi t c l p gi u ki n c a sai s ng ng 0: E(uit |X ) = thi Gi thi t POLS3 a sai s ng E (uit | X) ng nhau: v i m i i, t 46 Thang Long University Library Gi thi a sai s ng v Gi thi t POLS4: Gi h n gi i quan h i bi n gi ng n ho ng s tc N ng OLS g p: thi t POLS1- POLS4 th ng OLS g ng t l ch ng s ch (BLUE) i ti m c n chu n (c) Ma tr hi s var( v i R2 j j | X) (1 R2 ) j s ( x ji xj )2 i quy xj theo h s ch b) ng ng v y ut c d ng ci thi ng h p x y v i ci c l p, X i tm c l p V POLS1 s b vi ph b ch n gi i ng h p th nh t, gi thi t u ch ng ng yit x 2 it k xkit (5) vit = ci + uit, t ng h p thi t c : c 47 c se( ) s ng u qu Gi thi t RE1 : ng h p th hai, ci n sai s chu us d it ng h p th nh t Gi thi t RE2 : - var (uit|X) = u c , var(ci|X) = - cov( ci, uit) = v i m i i, t Gi thi u r ng c sai s ng c ci gi thi t th y sai s ng ng h var(uit i: cov(vit , vis ) cov(uit Gi thi t RE3 : u ci ) c ci , uis ci ) cl c) ng c c ng o nh ng ng ch t gi thi thi t cho r ng y u t quan v c ci c l thi u ng h t y u t quan tr n bi n ph thu c N u gi thi ng ng ng t ch yit ng c X2it k ci uit tm i ng h (6) n gi c g p ci v i uit ng ng v Xkit ng u nhi ng OLS g p s ng h ng b ch ng c t y ng c ng c ng m ng n gi nh 48 Thang Long University Library ng c ng c bi u t ci b lo i b Vi c bi i c th c hi T 6), l yi d c theo th x2i (6 yit k xki ci ui (7) : yi ( x2it x2i ) u t ci thi u bi k ( xkit xki ) (uit ui ) (8) bi n m n c d ng ci ti ng c g ng c nh ng n i b s d ng t n i b m v ng Gi thi iv ng c nh: Do v th c ch ng c thi t c n thi thi Gi thi t FE1 Sai s ng thi i d ng bi n s c it cov(uit , u js ) v i i j ho c t s Gi thi t FE2 E (uit | Xi , ci ) v i m i t = 1, , T Gi thi t FE3 : var(uit | Xi , ci ) u Ta th y gi thi n sai s ng a ci ng uit 49 Gi thi t FE4 g t n t i m i quan h ng ( x2it xki ) x2i ), ,( xkit o gi n: ch r ng thi t FE1-FE4 th v ng v u ki n X ng s d ng bi n gi (LDSE) c ci m t h ng s th iv im s j C tl y1t c1 X21t k Xk1t u1t (9) ynt cn X2 nt k Xknt (9) cho th y r n i i dk b d ng bi n gi n gi , v i: dk vi t g n l yit unt i = k i k i d ng: c1d1 cn 1dn 1 1, , X2it k ck tr Xkit uit (10) c v ng d s cg Gi thi v thi u bi n k t qu n th thi t POLS1- POLS4 50 Thang Long University Library ng c nh: t qu cho h s k t qu ng c i chu c ki i nh v s c hi chu n cho s ci i tr n nhi u b c t b gi L a ch Trong ph thi t mc a ch Ki gi i p nh t v i s li u nh v s t n t i c c h t c n ki d nt iy ut nt iy ut s d u ch nh c N u y u t ci nt t n ki nh v m i quan h cl i quan h ng c i quan h ng ng qu : 51 ay u Prob > 0.10 Xttest0 Prob < 0.10 Prob > 0.10 Hausman test Prob < 0.10 nh (Ngu B ng A.2: K t qu leverege size prof tangi 2012 2013 cons Coef -0.149 0.014 3.224 0.054 0.089 2.841 ng Std Err 0.094 0.006 0.454 0.056 0.057 2.749 (Ngu t ng h p) ng ng z -1.580 2.270 7.110 0.950 1.560 1.030 P>z 0.115 0.023 0.000 0.340 0.118 0.301 [95% Conf.Interval] -0.334 0.036 0.002 0.026 2.335 4.113 -0.057 0.164 -0.023 0.200 -2.547 8.228 d n m m Stata) 52 Thang Long University Library B ng A.3: K t qu ki nh LM c ng ng cho vi c l a ch Pooled OLS Breusch and Pagan Lagrangian multiplier test for random effects leverege[id,t] = Xb + u[id] + e[id,t] Estimated results: Var sd = sqrt(Var) -+ leverege 4.49101 2.1192 e 0607387 2464523 u 2.500694 1.581358 Test: Var(u) = chi2(1) = 135.66 Prob > chi2 = 0.0000 (Ngu d B ng A.4: K t qu leverege Coef size prof tangi 2012 2013 cons 0.495 0.023 5.748 -0.003 0.012 -15.827 ng c Std Err 0.139 0.006 0.598 0.052 0.053 4.045 (Ngu t P>t 3.550 4.030 9.620 -0.070 0.230 -3.910 0.001 0.000 0.000 0.948 0.815 0.000 B ng A.5: K t qu ki nh Hausman ng ng n m m Stata) nh [95% Interval] Conf 0.218 0.772 0.012 0.034 4.562 6.935 -0.106 0.099 -0.093 0.118 -23.860 -7.795 d n m m Stata) cho vi c l a ch ng c nh Test: Ho: difference in coefficients not systematic chi2(5) = (b-B)'[(V_b-V_B)^(-1)](bB) = 39.29 Prob>chi2 = (V_b-V_B is not positive definite) (Ngu d 53 n m m Stata) B ng A.6: K t qu ki Modified Wald test for groupwise heteroskedasticity in fixed effect regression model H0: sigma(i)^2 = sigma^2 for all i chi2 (49) = 4.1e+06 Prob>chi2 = 0.0000 (Ngu d B ng A.7: Th leverege shortdebt longdebt 2) Std Min Max Dev 147 -1.216 2.119 -8.002 6.099 147 2.437 18.835 0.000 194.455 147 4.045 33.356 0.000 323.444 (Ngu d Variable Obs n m m Stata) Mean B ng A.8: K t qu n m m Stata) ng ng leverege Coef Std Err t P>t [95% Conf Interval] shortdebt 0.017 0.003 5.190 0.000 0.011 0.023 longdebt 0.015 0.002 8.020 0.000 0.011 0.019 Year 2012 0.030 0.052 0.570 0.566 -0.073 0.133 Year 2013 0.064 0.052 1.220 0.221 -0.039 0.167 cons -1.350 0.269 -5.010 0.000 -1.878 -0.822 (Ngu B ng A.9: K t qu ki d nh LM c ng ng n m m Stata) 2) cho vi c l a ch Breusch and Pagan Lagrangian multiplier test for random effects leverege[id,t] = Xb + u[id] + e[id,t] Estimated results: Var sd = sqrt(Var) -+ leverege 4.49101 2.1192 e 0607387 2464523 u 2.500694 1.581358 Test: Var(u) = chi2(1) = 142.04 54 Thang Long University Library Prob > chi2 = 0.0000 (Ngu d B ng A.10: K t qu n m m Stata) ng c nh leverege Coef Std Err t P>t [95% Conf Interval] shortdebt 0.017 0.003 5.270 0.000 0.010 0.023 longdebt 0.015 0.002 8.150 0.000 0.011 0.019 Year 2012 0.030 0.052 0.590 0.558 -0.072 0.133 Year 2013 0.064 0.052 1.250 0.215 -0.038 0.167 cons -1.350 0.036 -37.420 0.000 -1.422 -1.278 (Ngu d av B ng A.11: K t qu ki ng ng n m m Stata) 2) cho vi c l a ch ng c nh Test: Ho: difference in coefficients not systematic chi2(5) = (b-B)'[(V_b-V_B)^(-1)](bB) = 6.86 Prob>chi2 = 0.0325 (V_b-V_B is not positive definite) (Ngu d B ng A.12: K t qu ki n m m Stata) 2) Modified Wald test for groupwise heteroskedasticity in fixed effect regression model H0: sigma(i)^2 = sigma^2 for all i chi2 (49) = 7.7e+06 Prob>chi2 = 0.0000 (Ngu d ng A.2, A.4, A.7, A.8, A.10 Coef: h s ch n Std.Err: sai s chu n c ap 95% Conf.Interval: Kho ng tin c y 95% 55 n m m Stata)