PHÁT HÀNH CỔ PHIẾU BỔ SUNG (SEOs) – BẰNG CHỨNG TẠI THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY DINH THI THU HA SEASONED EQUITY OFFERINGS EVIDENCE IN VIETNAMESE STOCK MARKET DOCTORAL THESIS HoChiMinh City – 2016 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY DINH THI THU HA SEASONED EQUITY OFFERINGS EVIDENCE IN VIETNAMESE STOCK MARKET Specialization: Finance – Banking Specialization code: 62340201 DOCTORAL THESIS SUPERVISOR: Asso.Prof HO VIET TIEN Asso.Prof BUI KIM YEN HoChiMinh City – 2016 i TABLE OF CONTENTS List of Abbreviations List of Tables List of Figures Chapter 1: Introduction 1.1 Research motivation 1.2 Research objectives 1.3 Research questions 1.4 Research scope 1.5 Research methods 1.6 Research contributions 10 1.7 Structure of the study 11 1.8 A summarize of thesis findings 13 Chapter 2: Literature review and Hypotheses development 16 2.1 Introduction 16 2.2 Theoretical literature on SEOs 16 2.2.1 Trade-off Theory 16 2.2.2 Growth Opportunities Theory 18 2.2.3 Market timing theory 20 2.2.4 Agency problem theory 23 2.2.5 Efficient Market Hypothesis 24 2.3 Literature review on SEOs empirical studies 27 2.3.1 Determinants of company’s SEOs motivation 27 2.3.1.1 Trade-off theory 27 2.3.1.2 Growth Opportunities Theory 28 2.3.1.3 Market timing theory 30 ii 2.3.1.4 Agency problem theory 32 2.3.2 Market’s reactions to company’s SEOs 33 2.3.2.1 Growth Opportunities Theory 33 2.3.2.2 Market timing theory 35 2.3.2.3 Efficiency market hypothesis 37 2.4 Hypotheses building and variable measurements 40 2.4.1 Determinants of company’s SEOs motivation 40 2.4.2 Market’s reaction to company’s SEOs 43 2.5 Conclusion 45 Chapter 3: Data and methodology 47 3.1 Data 47 3.2 Methodology 51 3.2.1 Determinants of company’s SEOs motivation 51 3.2.2 Market reaction to company’s SEOs 56 3.2.2.1 Event study 56 3.2.2.2 Determinants of market reaction to company’s SEOs 64 Chapter Determinants of company’s SEOs motivation 71 4.1 Statistics summary 71 4.1.1 Distribution of SEOs over the sample period (2007-2013) 71 4.1.2 SEOs probability description 73 4.2 Determinants of company’s SEOs motivation 79 4.3 Determinants of company’s SEOs motivation by issuance method 85 4.4 Conclusion 91 Chapter Market’s reaction to company’s SEOs 92 5.1 Data description 92 5.2 Market reaction to company’s SEOs 93 5.2.1 Market reaction around announcement day 93 iii 5.2.2 Market reaction around ex-right day 102 5.3 The relation between announcement day and ex-right day 111 5.4 Determinants of market reaction to company’s SEOs 112 5.4.1 Determinants of market reaction around announcement day 112 5.4.2 Determinants of market reaction around ex-right day 117 5.5 Conclusion 122 Chapter Conclusion and Suggestion 124 6.1 Conclusion 124 6.2 Suggestion for stakeholders 126 List of publications References Appendices iv LIST OF ABBREVIATIONS AAR: Average abnormal returns AD: Announcement day AR: Abnormal returns CAR: Cumulative average abnormal returns EMH: Efficient market hypothesis HOSE: Ho Chi Minh City Stock Exchange SEOs: Seasoned equity offerings XR: Ex-right day REC: Real estate and construction MAI: Manufacturing industry SER: Service FBI: Financial – Banking – Insurance services AFF: Agriculture, Fishery and Forestry LIST OF TABLES Table 1.1: Vietnamese lending interest rate Table 3.1: VNIndex and Market capitalization of listed domestic companies (% of GDP) in 2006 -2013 50 Table 3.2 Classification criteria: 51 Table 3.3 SEOs-motivation independent variables description 55 Table 3.4 SEOs-price reaction independent variables description 69 v Table 4.1 Distribution of SEOs over the sample period (2007-2013) 71 Table 4.2 SEOs probability data description 73 Table 4.3 Characteristics between SEOs companies and non-SEOs companies 75 Table 4.4 SEOs description by issuance method 78 Table 4.5 SEOs conducting probability 83 Table 4.6 Average marginal effects on SEOs probability 84 Table 4.7 SEOs by equity right and by equity bonuses or dividends probability 88 Table 4.8 Average marginal effects on SEOs equity right and by equity bonuses or dividends probability 90 Table 5.1 Characteristics of SEOs companies around event day data description 92 Table 5.2 AAR and CAR around announcement day 95 Table 5.3 AAR and CAR around announcement day in favorable and unfavorable market timing 97 Table 5.4 Market reaction around announcement day divided by criteria 100 Table 5.5 AAR and CAR around ex-right day 103 Table 5.6 AAR and CAR around XR day in favorable and unfavorable market timing 106 Table 5.7 Market reaction around announcement day by criteria 109 Table 5.8 Determinants of market reaction around SEO announcement day 116 Table 5.9 Determinants of market reaction around SEOs ex-right day 121 vi LIST OF FIGURES Figure 1.1: Listing value and Market capitalization Figure 1.2: Research methods Figure 2.1: Conceptual framework 39 Figure 5.1 Relation between AD and XR 111 CHAPTER INTRODUCTION 1.1 Research motivation: Seasoned equity offerings (SEOs) draw enormous attention from researchers around the world This method is an effective and popular way to expand company financial resources to maintain and develop its activities, to reconstruct capital and stakeholder structure of company In order to finance companies’ activities, they can choose either internal sources or external sources of funding While the former mainly refer to profit or retained earnings, the latter mention the concept of debt financing as well as equity financing To estimate company’s financing decisions Modigliani and Miller (1958, 1963) suggest that capital structure is not consistent with firm value Nevertheless, this observation is based on the important assumption that the market is perfect The idea of perfect capital market consists of the following characteristics: (i) companies are classified based on their risk; additionally, companies having the same risk generate similar returns; (ii) perfect capital market which implies that there is no transaction cost, also no tax or bankruptcy cost; (iii) the interest rate for lending and borrowing activities are similar for private and investors as well as corporation However, in the real market, tax is deducted from interest expenditure Nevertheless, debt financing pressure may discourage firms to entirely use debt financing instead of equity financing (Huang, 2012) Besides the trade-off theory which mainly discuss tax shield as well as financial distress, there are also other factors affect the financing decision of company including information asymmetry costs, agency conflict costs and the availability of promising growth opportunities Besides, a trend of increasing international equity issuance has also been reported, especially after the financial crisis in 2010 To compensate for the losses and larger writedowns suffering from the crisis as well as to raise capital in the prediction of more strict regulations will occur, global financial institutions have to raise equity issuance substantially A report of Bloomberg in July 2010 shown that financial institutions, mainly from Europe and the United States, since mid2007 had raised US$1.5 trillion equity issue to offset their crisis losses (Witmer, 2010) The paucity of literature and case study in emerging market where results are inclusive also urge a solution There have been many research to find out company and market behavior such as determinants of companies that lead them to conduct SEOs, impact of SEOs on company stock prices when information about SEOs are publicized The number of research on this topic has been increasing with many aspects have been discovered and applied in practice However, the majority of existing SEOs research are examined at developed market (Eckbo et al., 2007) while only few research on cases of emerging market are conducted The paucity of literature and case study in emerging market has drawn attentions from researchers to this market Therefore, examining emerging economy case attracts the interest to fill the research gap and emphasize the own nature of this market In additional, examining whether the results of developed markets can be carried over to emerging market also becomes appealing In addition to examining determinants of company’s SEOs decision, researchers also show that stock prices on the market will be affected when information about the issuance is publicized In contrast to negative reactions in developed markets, the results of emerging markets are inclusive While there is a trend of positive reaction in the research of Kim and Lee (1990) for Korea; Salamudin et al (1999) for Malaysia; Tan et al (2002) for Singapore; Marisetty et al (2008) for Indian, the findings of Cahit (2006) for Turkey; Chen et al (2007) and Shahid (2010) for China; and Lerskullawat (2011) for Thailand, on the other 18 of (Amount/MVCS)] Lee (2007) Walker (2008) - Post-issue 5-year excess returns: excess return of issuing firms over firms with similar size before the issue - Gross proceeds/MVCS: proceeds from the issue/market value of equity) - Log of (Amount/MVCS): log of ( proceeds from the issue/market value of equity) - Information asymmetry - NTRD: insider trading activity within 10 day before announcement day = net - Price pressure insider trading/outstanding shares - Agency cost - FSIZE: logarithm of company shares before announcement day - Information asymmetry - ISIZE: issuance size = proceeds from the issuance/company share value before - Control variables announcement day [RUNUP; Df; D1; D2]: - OWNR: shares owned by insider investors/outstanding shares - LEVC: change in company leverage - RUNUP: cumulative stock return in the period of 60 days before announcement day - Df: dummy variable : times to conduct SEOs in a year - D1, D2: industry dummy variables - Information asymmetry - (Stated INV)/TA-1: the amounts of capital to be used for investment/Total - Growth opportunity assets - Operating cash flow - (Stated GEN)/TA-1: the amounts of capital to be used for general corporate - Level of leverage purposes /Total assets - Level of liquidity - (Stated DEBT)/TA-1: the amounts of capital to be used for debt repayment - Level of investment /Total assets - Pecking order theory - (INV+1–INV-1)/TA-1*INVEST_FIRM:(change in capital expenditures + - Market timing R&D)/Total assets for Invest firms - (INV+1–INV-1)/TA-1*GENERAL_FIRM:(change in capital expenditures + R&D)/Total assets for General firms - (INV+1–INV-1)/TA-1*DEBT_FIRM:(change in capital expenditures+R&D)/Total assets for debt firms INVEST FIRM and GENERAL FIRM are indicator variables equal to one if the firm is categorized as an INVEST firm or as a GENERAL firm, respectively; otherwise equal to - (LTD+1 – LTD-1)/TA-1: change in long-term debt/Total assets - (WC+1 – WC-1)/TA-1: change in working capital/Total assets 19 - Q-1: (market value of equity − book value of equity+book value of assets)/book value of assets - OBID-1/TA-1: operating income before depreciation/total assets - PPE-1/TA-1: plant, property and equipment/total assets - LN(TA-1): ln of total assets - RUNUP: market- adjusted abnormal returns from day −61 to −2, where day is the announcement date - SECONDARY: indicator that equals one if the SEO includes some secondary shares, otherwise equal to - MB: ratio of market value of total assets to book value of total assets R Aggarwal, Growth opportunity - Offer Size: ratio of shares issued to the number of shares outstanding before X Zhao Liquidity the issuance date (2008) Information asymmetry - Turnover: total trading volume during the period [−1, 1] as a proportion of the total number of shares outstanding in day −1 Growth opportunity - Analyst Coverage: average number of analysts making monthly forecast of 1Others (Size, ∆Leverage ; year-ahead earnings per share within a twelve-month period ∆Volatility) - Dispersion: standard deviation of the earnings forecast scaled by the absolute value of the mean earnings forecast - Price Run-up: annualized return during the 125 days before SEO announcement - Size: Log of market capitalization - ∆Leverage: difference between total market leverage after issuance and before issuance - ∆Volatility: annualized returns volatilities estimated using 125 daily returns data before SEO announcement - Q: (total assets + fiscal-year-end market value of equity - book value of equity M.S Officer - Growth opportunity - Cash flow signaling balance sheet deferred taxes)/total assets (2011) hypothesis - Low Q: indicator variable equal to one if the initiating firm's Q is less than or - Agency cost equal to the industry/year median - Firm’s characteristics - Cash flow from operations (industry adjusted): (earnings before extraordinary [Log(Size); Dividend items + depreciation and amortization - working capital accruals)/ total assets yield; Δrisk; Prior - Low Q * Cash flow from operations (industry adjusted) repurchases; ROA; - Log(Size): log of market value of equity RE/TE] - Dividend yield: mount of the initial dividend divided by the stock price three 20 trading days prior to the dividend initiation announcement date - Δrisk: change in the risk premium after the announcement of a dividend initiation - Prior repurchases: indicator variable equal to one if the initiating firm repurchases stock in the five years prior to the dividend initiation, and zero otherwise Eric (2011) Duca - Market timing - Information asymmetry - Growth opportunity - Information asymmetry - Financial constrain - Others (Age; Years previous issue; Previous debt issue; Previous underpricing; IPO underpricing; Inverse Mills' ratio) - ROA - RE/TE: retained earnings/book value of equity - Mth post-previous rets (12 Mth post-previous rets.): buy-and-hold returs in the period of months (12 months) after previous SEO - Mth post-IPO rets (12 Mth post-IPO rets.): buy-and-hold returs in the period of months (12 months) after previous IPO - Abn Stock return: monthly stock return – market return - Residual volatility: annualized standard deviation of residuals from a regression of daily excess stock returns on excess returns of the value-weighted CRSP market portfolio, estimated over trading days -62 to -2 before the announcement date Systematic volatility: annualized standard deviation of the predicted value from a regression of daily excess stock returns on excess returns of the value weighted CRSP market portfolio, estimated over trading days -62 to -2 before the announcement date - Slack: Cash and short term investments/total assets - Fixed assets - Ln(Sales): logarithm of sale - Taxes: tax/total assets - Tobin's Q - R&D expense - Leverage-Target: the deviation of the market leverage from the target leverage - KZ index: Kaplan and Zingales index - Age: difference, in years, between the issue date and the date that the firm first appears in the CRSP database - Years previous issue: the number of years that have elapsed since the previous issue 21 Fu et (2012) al - Previous debt issue: dummy variable for issuers that make a debt issue in between the current SEO and a previous equity offering - Previous underpricing: logarithm (closing price of day before announcement day/price of announcement day) - IPO underpricing: - Inverse Mills' ratio - Market timing - Prior 12 - month returns: the compound return in the 12 months before the - Market timing announcement - Others: [Cash/Assets; - B/M: book to market equity ratio Debt/Assets; - Cash/Assets: cash and marketable securities/total assets EBITDA/Assets; - Debt/Assets: long-term debt/total assets Return volatility; 3-year - EBITDA/Assets: BITDA/total assets CAPX/Assets; - Return volatility: (standard deviation of daily returns in the previous 12 Proceeds/ME; Industry months dummy; Post 2002 - 3-year CAPX/Assets: sum of capital expenditures in the following three years dummy; Log (Assets)] divide d by total assets - Proceeds/ME:(transaction value scaled by market capitalization before announcement - Industry dummy - Log (Assets): Log (Total assets) 22 Balachandran (2008) - Quality signaling hypothesis - Growth opportunity - Information asymmetry - Ownership Concentration company quality - Leverage - Issuance size - DISC: the subscription price discount; - BM: book-to-market ratio measured as book value of assets to market value of assets; - LMV: logarithm of the market value of the i issuing firm one month prior to the announcement - IDYRISK: idiosyncratic risk measured as the standard error of the market model regression of daily stock returns over the period from day -260 to day -61 for each issuing company - BH5: blockholders holding shares of 5% of more; - DUW: dummy variable equal to if the issue is fully underwritten, and zero otherwise - RUNUP: raw return for the one-year period prior to the announcement date (return from -260 to day -2); - TD/TA: total debt to total assets; - LOP: natural logarithm of the offer proceeds; - LOPtoMV: natural logarithm of the ratio of offer proceeds to market value one month before the announcement date 10 Owen and Suchard (2008) - Information asymmetry - ISSUE: gross proceeds of the issue as a percentage of the market value of the firm - FIRM: log of total assets - VOL: standard deviation of daily stock returns in the year prior to the announcement - CONCENTRATION: the percentage shareholding of the top 20 shareholders prior to the announcement - RENOUNCE: Dummy variable =1 if an issue is renounceable - PREDISC: Predicted discount price - GO: Book value of equity / market value equity - UWCOST: underwriting fee as a percentage of the offer proceeds - RANK: takes the value of one if the underwriter of the issue appears in the top 10 underwriters as reported by Thomson Financials’ rankings in the calendar year prior to the rights issue announcement - INSTIT: percentage of shares owned by institutions prior to the announcement date - Growth opportunity - Agency cost - Industry dummy - The use of proceeds - 23 11 Chikolwa (2009) 12 Tan et (2002) - Price pressure hypothesis - Wealth effects hypothesis - Profitability - investment opportunity hypothesis - Risk - Information asymmetry hypothesis - Industry dummy al - Price pressure effects - Investment opportunity effect - Wealth transfer effects - Pricing effects - Information asymmetry effects - Ownership structure effects - RUNUP: cumulative excess return over the period (-60,-1) - LEVERAGE: post-announcement debt to equity ratio over the preannouncement debt to equity ratio - MGT: percentage ownership of managers at the yearend before the announcement - RESOURCE: equal to if the issuer is a resource firm and zero otherwise - RETIREDEBT: equals one if the issue is used to retire debt - UW: equals one if the issue is used for working capital purposes - ERD: natural log of AU$ millions of seasoned equity raised - LTA: the ratio of total liability to total assets - ROA: return on assets - TOQ: ratio of the market value of equity plus the book value of debt to the book value of assets - PPT: ratio of book value of property to total assets - SDE: standard deviation of EBIT scaled by total assets for each firm over the entire period covered - SIZ: natural logarithm of total assets - DUMp,i: dummy variable for property sector - DUMs,i: dummy variable for stapled management structure - DUMI,i: dummy variable for international operations - LIQ: ratio of the firm’s average daily trading volume from t=-200 to t=0, to the number of shares outstanding before the seasoned equity issue - VAR: variance of daily stock returns from day t=-200 to t=0 - LnProvMV: natural logarithm of the ratio of the proceeds to the market value of the firm on day t=-30 - INV: the announcement of investment opportunities and/or capital expenditure INV is set equal to announcement of investment opportunities and/or capital expenditure, equal to when the issuing firms announce that the issuance proceeds will be used for repayment of debt or financing working capital needs - ΔDE: change in the issuing firm’s debt-to-equity ratio - PRC: ratio of the offer price to the closing price of the share on day t=30 24 13 Rezaul Kabir (2002) - BM: book-to-market-equity ratio on day t=-30 - ΔOL: difference between the level of ownership concentration before and after the private placement - Information asymmetry - Issue-size: relative to the market value of equity on the day before the hypothesis announcement - Free cash flows - Isues-price: relative to the closing stock price of one day and three days before hypothesis the issue announcement as well as the average of closing stock prices for ten - Window of opportunity days before the announcement hypothesis - M/B: sum of market value of equity and book value of debt divided by book value of total assets - GDP: dummy variable set to if the issue occurs in years of relatively high growth rate of GDP (Source: author’s recapitulation) Summary of Literature review on SEOs empirical studies in emerging markets: No Authors Financial theory Proxies Tsangarakis - Investment opportunity - Price pressure - Signaling theory - Information asymmetry - Liquidity - Market timing - Ownership dummy - (1996) - - INVEST: increased capital SIZE: stock volume after issuance VAR: variance of stock returns OFFER: issuance price DTOA: dummy variable, equal to if ratio of debt/total assets of company is below median of sample’s ratio of debt/total assets CONTR: measure the dispersion of company’s ownership LIQUID: liquidity of stocks MARKET: cumulative market returns in the period [-50;-1] before announcement day S-P: dummy variable, equal to if company is stated-owned companies B-R: dummy variable, equal to if investors not have to subscript to 25 Dhatt (1996) Salamudin et al.(1999) Leskullawat (2011) own new issued shares - LMVE: log of the market value of equity at the end of the fiscal year before the announcement - PCEDR: percentage change in the ratio of market value of equity to book value of debt during the rights issue year - PERSIZ: number of shares offered in the rights issue divided by number of shares outstanding before the offer - PERPRI: subscription price divided by the stock's market price one month before the announcement - Information - SDAR: standard deviation of abnormal returns for days t=-60 to t=-9 asymmetry - ROFFER: ratio of offer price to average 20 days pre-announcement price - Price pressure - LVOL: gross amount of funds raised at offering, in logarithmic hypothesis specification - Growth opportunities - RINV: relative investment given by ratio of funds allocated for - Economic condition investment and working capital purposes to gross amount of funds raised Market timing - TOBINQ: market value of equity plus book value of debt divided by book value of total assets - ROA: gross profits divided by total assets - ECON: a dichotomous variable, which takes on the value for issues made during periods of declining risk premium and otherwise - MRUNUP: 60 days pre-announcement market returns - Information - SIZE: The ratio of market capitalization asymmetry - M/B: The change in market to book ratio is defined as the difference in - Growth opportunity the market to book ratio in the year of issuing and the average years of this ratio before the year of offering - Leverage - LEVERAGE: difference between leverage ratio in the year of issuing - Company and average leverage ratio years before the issue year performance - The difference between ROA, ROE or EBITDA in the offering - Ownership year and average ROA, ROE or EBITDA for years before the year Others (P/E; TURN; of offering - Signaling theory - Information asymmetry - Price pressure Company prospect 26 EVENT) Hong Bo et al (2011) Dasilas, S - OWN: difference between the top five largest major shareholders in the year of offering and the top five largest major shareholders years before the issuing year - P/E: P/E ratio in the issued year minus average P/E ratio years before the issuing year - TURN: ratio that measures trading volume in comparison to the number of shares outstanding - EVENT: refer to events other than SEOs during the period of 115 days before and after the SEO announcement (day 0) - Financing for - Growth: annual growth rate of sale investment and - Investment: annual growth rate of fixed investment growth - Tradeoff: difference between the firm i’s leverage and the average leverage of other firms in the same industry - Overvalue: difference between the firm i’s MB and the average MB of all - The tradeoff theory other firms Market timing - EAE: difference between the firm i’s administrative expenses and the - Agency theory average administrative expenses of all other firms in the same industry - Control variables - Nontradable: ratio of non-tradable shareholdings to total shares Industry dummy outstanding - Size: logarithm of total assets - Profit: earnings before interests and tax scaled by total assets - Debt: ratio of total debt to total assets - Volatility: difference between the standard deviation of the firm i’s daily stock returns and the average standard deviation of daily stock returns of other firms in the same industry - Gap: number of years between the last and the current SEOs - Next: takes the value of one if the firm has another SEOs in years subsequent to the current SEOs - Industry: industry dummy Dividend signaling - BETA : systematic risk using data in the pre-event (estimation) period 27 Leventis (2011) model - DY : ratio of dividend for the year over the price one day prior to dividend announcement - SIZE : logarithm of market capitalization one day prior to the announcement day - NV : logarithm of normal volume in the estimation period - %D : percentage change between the current and the previous dividend - PREAV : abnormal trading volume as a percentage of the average trading volume during the pre-announcement period - DDUMMY : variable to indicate if the firms' dividend payment is below or above the minimum - YEARS : dummy to control for year effects (Source: author’s recapitulation) 28 APPENDIX DETERMINANTS OF MARKET REACTION TO COMPANY’S SEOs BY RANDOM EFFECTS AND FIXED EFFECT MODEL Determinants of market reaction around SEO announcement day Determinants of market reaction around announcement day: panel data Random effects, Fixed effects estimation This table presents results of regression on cumulative average abnormal return CAR[0;+2] The sample period is from 2007 to 2013 The dependent variable is cumulative abnormal return in the period [0;+2] TobinQ is measured as (Market value of stock + Book value of debt)/Book value of total assets; Mrunup indicates Market cumulative abnormal returns (VNIndex) in the period runs from day -65 to day -16, where day is the announcement day; DA indicates Total debt/Total asset; Issuesize denotes Logarithm of the volume of stock issued; Firmsize is Logarithm of total assets; Industry effect and issue method effect are controlled by adding industry dummy (REC takes value if SEOs issued company is listed in Real estate and construction group and takes value otherwise, MAI takes value if SEOs issued company is listed in Manufacturing industry group and takes value otherwise, SER takes value if SEOs issued company is listed in Service group and takes value otherwise, FBI takes value if SEOs issued company is listed in Financial – banking – Insurance services and takes value otherwise, AFF takes value if SEOs issued company is listed in Agriculture – Fishery – Forestry group and takes value otherwise); and issue method dummies; RMH indicates ratio of managerial holding include the board of directors, board of supervisor, president and CEO/Total outstanding shares; t-statistics are in parentheses; *** Statistically significant at the 1% level; ** Statistically significant at the 5% level; * Statistically significant at 10% level (1) CAR TobinQ (2) Random effects Fixed effects Random effects Fixed effects Random effects Fixed effects Coef Coef Coef Coef Coef Coef 0.001 (0.69) 0.006 (1.50) 0.000 (0.36) 0.004 (1.06) Mrunup DA (3) -0.004 -0.057 0.052 (4.59)*** 0.055 (3.64)*** 0.052 (4.55)*** 0.053 (3.46)*** -0.002 -0.029 -0.002 -0.040 29 (-0.31) (-1.83)* (-0.13) (-1.01) (-0.14) (-1.30) Issuesize 0.002 (0.29) 0.005 (0.50) 0.001 (0.21) 0.003 (0.32) 0.000 (0.15) 0.003 (0.31) Firmsize -0.011 (-1.66)* 0.024 (0.99) -0.012 (-1.79)* -0.003 (-0.15) -0.011 (-1.66)* 0.014 (0.58) 0.002 (0.39) -0.041 (-1.15) 0.004 (0.65) -0.031 (-0.90) 0.004 (0.63) -0.034 (-0.98) 0.005 (0.66) -0.031 (-0.71) 0.005 (0.74) -0.018 (-0.42) 0.005 (0.75) -0.021 (-0.49) 0.023 (1.54) (omitted) 0.027 (1.64) (omitted) 0.026 (1.59) (omitted) 0.019 (0.97) (omitted) 0.019 (0.95) (omitted) 0.019 (0.94) (omitted) -0.011 (-2.29)** 0.004 (0.43) -0.010 (-2.18)** 0.003 (0.41) -0.011 (-2.20)** 0.003 (0.39) RMH 0.000 (0.84) 0.000 (0.26) 0.000 (0.97) 0.000 (0.20) 0.000 (0.99) 0.000 (0.21) Cons 0.094 (2.48)** -0.167 (-0.95) 0.101 (2.70)** 0.045 (0.37) 0.097 (2.57)** -0.083 (-0.48) Industry Issuemethod Prob > chi2 0.1279 0.0001 Prob > F Hausman test 0.0002 0.6274 -11.58 0.0309 -8.30 0.0350 -9.40 30 Obs 565 565 565 565 565 565 * Significant at 10% level, ** Significant at 5% level, *** Significant at 1% level (Source: authors’ calculations) Determinants of market reaction around SEOs ex-right day: Determinants of market reaction around ex-right day: panel data Random effects, Fixed effects estimation This table presents results of regression on cumulative average abnormal return on CAR[0;+2] The sample period is from 2007 to 2013 The dependent variable is cumulative abnormal return in the period [0;+2] TobinQ is measured as (Market value of stock + Book value of debt)/Book value of total assets; Mrunup indicates Market cumulative abnormal returns (VNIndex) in the period runs from day -65 to day -16, where day is the announcement day; DA indicates Total debt/Total asset; Issuesize denotes Logarithm of the volume of stock issued; Firmsize is Logarithm of total assets; Industry effect and issue method effect are controlled by adding industry dummy (REC takes value if SEOs issued company is listed in Real estate and construction group and takes value otherwise, MAI takes value if SEOs issued company is listed in Manufacturing industry group and takes value otherwise, SER takes value if SEOs issued company is listed in Service group and takes value otherwise, FBI takes value if SEOs issued company is listed in Financial – banking – Insurance services and takes value otherwise, AFF takes value if SEOs issued company is listed in Agriculture – Fishery – Forestry group and takes value otherwise); and issue method dummies; RMH indicates ratio of managerial holding include the board of directors, board of supervisor, president and CEO/Total outstanding shares; t-statistics are in parentheses; *** Statistically significant at the 1% level; ** Statistically significant at the 5% level; * Statistically significant at 10% level (1) (2) (3) Random effects Fixed effects Random effects Fixed effects CAR TobinQ Coef Coef 0.003 (2.38)** -0.004 (-0.84) Coef Coef Random effects Fixed effects Coef Coef 0.003 (2.34)** -0.004 (-0.86) 31 Mrunup 0.008 (0.50) 0.005 (0.23) 0.005 (0.30) 0.007 (0.32) 0.016 (1.04) 0.009 (0.21) 0.016 (1.02) -0.002 (-0.05) 0.016 (1.04) 0.009 (0.21) Issuesize 0.021 (3.64)*** 0.039 (3.40)*** 0.023 (4.09)*** 0.037 (3.30)*** 0.021 (3.63)*** 0.039 (3.41)*** Firmsize -0.022 (-2.99)*** -0.098 (-3.02)*** -0.025 (-3.52)*** -0.079 (-3.30)*** -0.022 (-2.99)*** -0.099 (-3.03)*** -0.017 (-2.14)** -0.012 (-0.95) -0.016 (-2.01)** -0.011 (-0.89) -0.017 (-2.11)** -0.011 (-0.90) -0.009 (-0.99) -0.013 (-0.91) -0.008 (-0.97) -0.013 (-0.88) -0.008 (-0.97) -0.013 (-0.87) -0.013 (-0.87) 0.005 (0.20) -0.011 (-0.78) 0.004 (0.18) -0.013 (-0.86) 0.005 (0.22) -0.011 (-0.45) -0.024 (-0.54) -0.005 (-0.21) -0.026 (-0.59) -0.011 (-0.45) -0.023 (-0.52) Issuemethod 0.010 (1.56) 0.007 (0.71) 0.011 (1.61) 0.008 (0.76) 0.010 (1.56) 0.007 (0.71) RMH -0.000 (-0.28) 0.000 (0.16) -0.000 (-0.50) 0.001 (0.36) -0.000 (-0.26) 0.000 (0.14) Cons 0.040 (1.03) 0.510 (2.15)** 0.056 (1.45) 0.375 (2.17)** 0.040 (1.03) 0.517 (2.17)** DA Industry 32 Prob > chi2 0.0001 0.0008 Prob > F 0.0237 Hausman test Obs 0.0002 0.0293 -10.72 575 0.0365 -9.72 575 575 -10.78 575 575 * Significant at 10% level, ** Significant at 5% level, *** Significant at 1% level (Source: authors’ calculations) 575