Dự báo dòng tiền từ hoạt động kinh doanh của các công ty phi tài chính niêm yết trên thị trường chứng khoán

Header Page of 123 Bộ giáo dục đào tạo Trờng đại học kinh tế quốc dân Nguyễn Thanh hiếu Dự báo dòng tiền từ hoạt động kinh doanh Của công ty phi tài niêm yết thị trờng chứng khoán việt nam Hà nội, 2015 Footer Page of 123 Header Page of 123 Bộ giáo dục đào tạo Trờng đại học kinh tế quốc dân Nguyễn Thanh hiếu Dự báo dòng tiền từ hoạt động kinh doanh Của công ty phi tài niêm yết thị trờng chứng khoán việt nam Chuyên ngành: kế toán (kế toán, kiểm toán & phân tích) Mã số: 62.34.03.01 Ngời hớng dẫn khoa học: pGS.TS nguyễn hữu ánh Hà nội, 2015 Footer Page of 123 i Header Page of 123 LI CAM OAN Tụi xin cam oan Lun ỏn D bỏo dũng tin t hot ng kinh doanh ca cỏc cụng ty phi ti chớnh niờm yt trờn th trng chng khoỏn Vit Nam l cụng trỡnh nghiờn cu c lp ca tụi Cỏc trớch dn, ti liu tham kho, cỏc s liu thng kờ c s dng Lun ỏn l trung thc, cú ngun gc rừ rng Tụi cam kt v chu trỏch nhim v bn quyn hp phỏp i vi cụng trỡnh ny H Ni, ngy 14thỏng 12 nm 2015 Tỏc gi lun ỏn Nguyn Thanh Hiu Footer Page of 123 ii Header Page of 123 LI CM N Lun ỏn ny c hon thnh l kt qu ca nhng n lc nghiờn cu bn b, nghiờm tỳc ca tỏc gi sau bn nm hc tp, nghiờn cu cựng vi s giỳp c v vt cht v tinh thn, nhng li ng viờn vụ cựng ỏng quý ca gia ỡnh, bn bố, c quan Trc ht, tỏc gi xin chõn thnh cm n cỏc thy, cụ Vin K toỏn Kim toỏn trng i hc Kinh t Quc dõn, nhng ng nghip ó luụn nhit tỡnh cung cp cho tụi ti liu chuyờn mụn b ớch cng nh cỏc ý kin vụ cựng ỏng quý tụi hon thnh lun ỏn ny c bit, tụi vụ cựng bit n thy giỏo hng dn PGS.TS Nguyn Hu nh, thy ó giỳp tụi cú nh hng nghiờn cu rừ rng v t khoa hc vng vng sut thi gian thc hin lun ỏn ny Tỏc gi cng xin chõn thnh cm n cỏc chuyờn viờn ca Cụng ty Stoxplus v cỏc cỏn b ti y ban Chng khoỏn Nh nc ó cung cp cho tụi b s liu rt quan trng tụi hon thnh lun ỏn ny Nhõn dp ny, tỏc gi cng xin gi li cỏm n ti cỏc cỏn b Vin o to Sau i hc, Trng i hc Kinh t Quc Dõn ó luụn tn tỡnh h tr cho cỏc nghiờn cu sinh Khúa 33 chỳng tụi sut thi gian hc v lm lun ỏn H Ni, ngy 14 thỏng 12 nm 2015 Tỏc gi lun ỏn Nguyn Thanh Hiu Footer Page of 123 Header Page of 123 iii MC LC LI CAM OAN i LI CM N ii MC LC iii DANH MC CC CH VIT TT vi DANH MC BNG BIU vii DANH MC S x CHNG 1: GII THIU TI NGHIấN CU 1.1 Lý la chn ti 1.2 Mc tiờu nghiờn cu .3 1.3 Cõu hi nghiờn cu 1.4 Gi thuyt khoa hc 1.5 i tng v phm vi nghiờn cu 1.6 Khung nghiờn cu 1.7 Kt cu Lun ỏn .8 CHNG 2: C S L LUN V TNG QUAN NGHIấN CU V DềNG TIN V D BO DềNG TIN TI CC CễNG TY NIấM YT TRấN TH TRNG CHNG KHON 10 2.1 C s lớ lun v dũng tin v d bỏo dũng tintrong cỏc cụng ty niờm yt trờn th trng chng khoỏn 10 2.1.1 c im thụng tin k toỏn theo c s dn tớch v k toỏn theo c s tin 10 2.1.2 Mi quan h dũng tin vi tỡnh hỡnh ti chớnh ca cỏc cụng ty niờm yt trờn th trng chng khoỏn 14 2.1.3 Phng phỏp o lng giỏ tr dũng tin t hot ng kinh doanh ca cỏc cụng ty niờm yt trờn th trng chng khoỏn 16 2.1.4 Cụng tỏc d bỏo dũng tin t hot ng kinh doanh ti cỏc cụng ty niờm yt trờn th trng chng khoỏn .21 2.2 Tng quan cỏc nghiờn cu d bỏo dũng tin t hot ng kinh doanh ca cỏc cụng ty niờm yt trờn th trng chng khoỏn 31 Footer Page of 123 Header Page of 123 iv 2.3 Mt s nhn xột v cỏc nghiờn cu d bỏo dũng tin t hot ng kinh doanh ca cỏc cụng ty niờm yt trờn th trng chng khoỏn 43 2.4 Khong trng nghiờn cu .45 CHNG 3: XY DNG GI THUYT KHOA HC V PHNG PHP NGHIấN CU 48 3.1 Xõy dng gi thuyt khoa hc 48 3.2 Phng phỏp nghiờn cu 55 3.2.1 D liu nghiờn cu 55 3.2.2 Mụ hỡnh d bỏo dũng tin v phng phỏp c lng 59 Kt lun chng .67 CHNG 4: KT QU THC NGHIM V D BO DềNG TIN T HOT NG KINH DOANH CA CC CễNG TY PHI TI CHNH NIấM YT TRấN TH TRNG CHNG KHON VIT NAM .68 4.1 c im th trng chng khoỏn Vit nam v cỏc cụng ty phi ti chớnh niờm yt trờn th trng chng khoỏn Vit Nam .68 4.2 Thng kờ mụ t d liu 73 4.3 Phõn tớch tng quan 74 4.4 Kt qu thc nghim d bỏo dũng tin t hot ng kinh doanh ca cỏc cụng ty phi ti chớnh niờm yt trờn S Giao dch Chng khoỏn Thnh ph H Chớ Minh 76 4.4.1 Kt qu hi quy mụ hỡnh d bỏo dũng tin t hot ng kinh doanh trờn c s li nhun (mụ hỡnh li nhun) 77 4.4.2 Kt qu hi quy mụ hỡnh d bỏo dũng tin t hot ng kinh doanh trờn c s dũng tin quỏ kh (mụ hỡnh dũng tin) 82 4.4.3 Kt qu hi quy mụ hỡnh d bỏo dũng tin t hot ng kinh doanh trờn c s dũng tin kt hp vi cỏc thnh phn thụng tin k toỏn dn tớch gp chung (mụ hỡnh cỏc thnh phn dn tớch gp chung) 89 4.4.4 Kt qu hi quy mụ hỡnh d bỏo dũng tin t hot ng kinh doanh trờn c s dũng tin kt hp vi cỏc thnh phn thụng tin k toỏn dn tớch c th (mụ hỡnh cỏc thnh phn dn tớch c th) 96 Footer Page of 123 Header Page of 123 v 4.4.5 Kt qu hi quy mụ hỡnh d bỏo dũng tin t hot ng kinh doanh trờn c s cỏc t sut dũng tin (mụ hỡnh t sut dũng tin) 105 Kt lun chng .113 CHNG 5: THO LUN KT QU NGHIấN CU, CC KHUYN NGH V KT LUN .114 5.1 Tho lun kt qu nghiờn cu cỏc mụ hỡnh d bỏo dũng tin .114 5.1.1 Tho lun v cỏc gi thuyt nghiờn cu 117 5.1.2 ỏnh giỏ kh nng d bỏo ca cỏc mụ hỡnh d bỏo dũng tin 130 5.1.3 Thit lp phng trỡnh d bỏo .135 5.2 Mt s khuyn ngh 138 5.2.1 Khuyn ngh vi B Ti Chớnh .138 5.2.2 Khuyn ngh vi doanh nghip .142 5.2.3 Khuyn ngh vi nh u t 144 5.3 úng gúp ca lun ỏn 145 5.3.1 úng gúp v mt lý lun 145 5.3.2 úng gúp v mt thc tin 147 5.4 Nhng hn ch ca lun ỏn .147 5.5 Mt s gi ý nghiờn cu tng lai 148 KT LUN 149 DANH MC CC CễNG TRèNH NGHIấN CUCA TC GI DANH MC TI LIU THAM KHO PH LC Footer Page of 123 vi Header Page of 123 DANH MC CC CH VIT TT TT Ch vit tt í ngha CTCK Cụng ty chng khoỏn DNNN Doanh nghip Nh Nc HKD Hot ng kinh doanh HOSE S Giao dch Chng Khoỏn Thnh ph H Chớ Minh HNX S Giao dch Chng Khoỏn H Ni FEM Mụ hỡnh hi quy nhõn t nh hng c nh OLS Hi quy bỡnh phng nh nht thụng thng SGDCKTP.HCM S Giao dch Chng khoỏn Thnh ph H Chớ Minh SGDCK HN S Giao dch Chng khoỏn H Ni 10 TTCK Th trng chng khoỏn 11 TSC Ti sn c nh 12 REM Mụ hỡnh hi quy nhõn t nh hng ngu nhiờn 13 ROA Return on Assets Sc sinh li ca ti sn 14 ROE Return on Equity Sc sinh li ca ch s hu 15 ROS Return on Sales Sc sinh li ca doanh thu Footer Page of 123 Header Page of 123 vii DANH MC BNG BIU Bng 4.1: Thng kờ mụ t d liu cỏc cụng ty phi ti chớnh niờm yt trờn HOSE 73 Bng 4.2a: Ma trn tng quan gia cỏc bin (mụ hỡnh li nhun) 75 Bng 4.2b: Ma trn tng quan gia cỏc bin (mụ hỡnh dũng tin) 75 Bng 4.2c: Ma trn tng quan gia cỏc bin (mụ hỡnh dũng tin kt hp vi cỏc thnh phn thụng tin dn tớch cú li nhun) 76 Bng 4.3a: Kt qu hi quy OLS mụ hỡnh li nhun (thụng tin chung) 77 Bng 4.3b: Kt qu hi quy OLS mụ hỡnh li nhun (thụng tin chi tit) 79 Bng 4.4a: Kt qu hi quy FEM mụ hỡnh li nhun (thụng tin chung) 80 Bng 4.4b: Kt qu hi quy FEM mụ hỡnh li nhun (thụng tin chi tit) 81 Bng 4.5a: Kt qu hi quy REM mụ hỡnh li nhun (thụng tin chung) 82 Bng 4.5b: Kt qu hi quy REM mụ hỡnh li nhun (thụng tin chi tit) 82 Bng 4.6a: Kt qu hi quy OLS mụ hỡnh dũng tin (thụng tin chung) 83 Bng 4.6b: Kt qu hi quy OLS mụ hỡnh dũng tin (thụng tin chi tit) .84 Bng 4.7a: Kt qu hi quy FEM mụ hỡnh dũng tin (thụng tin chung) 86 Bng 4.7b: Kt qu hi quy FEM mụ hỡnh dũng tin (thụng tin chi tit) 87 Bng 4.8a: Kt qu hi quy REM mụ hỡnh dũng tin (thụng tin chung) 88 Bng 4.8b: Kt qu hi quy REM mụ hỡnh dũng tin (thụng tin chi tit) 89 Bng 4.9a: Kt qu hi quy OLS mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch gp chung (thụng tin chung) 90 Bng 4.9b: Kt qu hi quy OLS mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch gp chung (thụng tin chi tit) 91 Bng 4.10a: Kt qu hi quy FEM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch gp chung(thụng tin chung) 92 Bng 4.10b: Kt qu hi quy FEM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch gp chung (thụng tin chi tit) 93 Bng 4.11a: Kt qu hi quy REM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch gp chung (thụng tin chung) .94 Footer Page of 123 Header Page 10 of 123 viii Bng 4.11b: Kt qu hi quy REM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch gp chung (thụng tin chi tit) 95 Bng 4.12a: Kt qu hi quy OLSmụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch c th (thụng tin chung) .97 Bng 4.12b: Kt qu hi quy OLS mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch c th (thụng tin chi tit) .99 Bng 4.13a: Kt qu hi quy FEM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch c th (thụng tin chung) 101 Bng 4.13b: Kt qu hi quy FEM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch c th (thụng tin chi tit) 102 Bng 4.14a: Kt qu hi quy REM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch c th (thụng tin chung) 103 Bng 4.14b: Kt qu hi quy REM mụ hỡnh dũng tin kt hp vi cỏc thnh phn dn tớch c th(thụng tin chi tit) 104 Khi thc hin hi quy OLS mụ hỡnh t sut dũng tin, cỏc kt qu chớnh c trỡnh by Bng 4.15a (thụng tin chung) v Bng 4.15b (thụng tin chi tit nh sau) 106 Bng 4.15a: Kt qu hi quy OLS mụ hỡnh t sut dũng tin (thụng tin chung) 106 Bng 4.15b: Kt qu hi quy OLS mụ hỡnh t sut dũng tin (thụng tin chi tit) 107 Bng 4.16a: Kt qu hi quy FEM mụ hỡnh t sut dũng tin (thụng tin chung) 109 Bng 4.16b: Kt qu hi quy FEM mụ hỡnh t sut dũng tin (thụng tin chi tit) 109 Bng 4.17a: Kt qu hi quy REM mụ hỡnh t sut dũng tin (thụng tin chung) 110 Bng 4.17b: Kt qu hi quy REM mụ hỡnh t sut dũng tin (thụng tin chi tit) 111 Bng 4.18 Kt qu hi quy tng bc mụ hỡnh t sut dũng tin 112 Bng 5.1: Kim nh Hausman cho mụ hỡnh li nhun cú tr nm 114 Bng 5.2: Tng hp kt qu kim nh Hausman 115 Bng 5.3: Bng thng kờ giỏ tr h s xỏc nh hiu chnh (Adjusted R2) .116 Bng 5.4: Tng hp kt qu hi quy FEM mụ hỡnh li nhun .117 Bng 5.5: Tng hp kt qu hi quy FEM mụ hỡnh dũng tin .118 Footer Page 10 of 123 Header Page 205 of 123 Phng trỡnh 4.4.2: Phng trỡnh hi quy a bin, cỏc bin c lp cú tr nm: CFOt = e + e1 CFOt-1 + e2 CFOt-2 + e3 ARt-1 + e4 AR t-2 + e5AP t-1+ e6APt-2 e7INVt1 + e8INV t-2 + e9OTH t-1 + e10 OTHt-2 + e11DPRM t-1 + e12DPRM (4.4.2) Variance Inflation Factors Date: 05/14/15 Time: 15:42 Included observations: 852 Variable Coefficient Variance Uncentered VIF Centered VIF C CFOT_1 CFOT_2 APT_1 APT_2 ART_1 ART_2 INVT_1 INVT_2 OTHT_1 OTHT_2 DPRMT_1 DPRMT_2 1.41E+20 0.002302 0.003510 0.003503 0.004303 0.003273 0.004145 0.004347 0.005036 0.123191 0.148878 0.059962 0.071915 1.255948 10.93805 10.26058 5.635724 6.258543 1.970062 2.411122 4.832079 3.103997 2.851766 2.467093 19.04892 14.93990 NA 10.74781 10.08784 5.549415 6.148152 1.914352 2.315623 4.671037 2.934356 2.849286 2.429794 17.71635 13.83586 OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 15:40 Included observations: 852 Variable Coefficient Std Error t-Statistic Prob C CFOT_1 CFOT_2 APT_1 APT_2 ART_1 ART_2 INVT_1 INVT_2 OTHT_1 OTHT_2 DPRMT_1 DPRMT_2 -5.35E+10 0.908081 -0.082574 -0.850910 0.563839 1.052486 -0.661669 1.100490 0.021000 -0.854811 0.703044 1.563895 -0.844021 1.19E+10 0.047980 0.059242 0.059187 0.065595 0.057212 0.064381 0.065929 0.070963 0.350986 0.385847 0.244872 0.268170 -4.512337 18.92608 -1.393844 -14.37663 8.595699 18.39626 -10.27744 16.69212 0.295932 -2.435460 1.822082 6.386575 -3.147334 0.0000 0.0000 0.1637 0.0000 0.0000 0.0000 0.0000 0.0000 0.7674 0.0151 0.0688 0.0000 0.0017 R-squared Adjusted R-squared S.E of regression Sum squared resid Footer Page 205 of 123 0.889781 0.888205 3.09E+11 8.01E+25 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion 1.43E+11 9.24E+11 55.76649 55.83893 t-2 + Header Page 206 of 123 Log likelihood F-statistic Prob(F-statistic) -23743.53 564.4284 0.000000 Hannan-Quinn criter Durbin-Watson stat 55.79424 1.896699 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic Obs*R-squared Scaled explained SS 18.33721 177.0269 1959.439 Prob F(12,839) Prob Chi-Square(12) Prob Chi-Square(12) 0.0000 0.0000 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 16:12 Total panel observations: 852 Variable Coefficient Std Error t-Statistic Prob C CFOT_1 CFOT_2 APT_1 APT_2 ART_1 ART_2 INVT_1 INVT_2 OTHT_1 OTHT_2 DPRMT_1 DPRMT_2 -4.47E+10 0.067608 -0.278544 -0.763389 0.079242 0.751735 -0.190873 0.856248 0.581657 -0.926885 0.440919 1.552724 1.097229 2.12E+10 0.070304 0.067471 0.071007 0.073885 0.081411 0.071809 0.081364 0.083587 0.404772 0.399983 0.351964 0.309862 -2.107755 0.961641 -4.128326 -10.75089 1.072508 9.233842 -2.658072 10.52365 6.958729 -2.289896 1.102345 4.411601 3.541027 0.0355 0.3367 0.0000 0.0000 0.2840 0.0000 0.0081 0.0000 0.0000 0.0224 0.2708 0.0000 0.0004 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Footer Page 206 of 123 0.949748 0.922246 2.58E+11 3.65E+25 -23408.94 34.53429 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.43E+11 9.24E+11 55.65948 57.34231 56.30402 2.548625 Header Page 207 of 123 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 16:14 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C CFOT_1 CFOT_2 APT_1 APT_2 ART_1 ART_2 INVT_1 INVT_2 OTHT_1 OTHT_2 DPRMT_1 DPRMT_2 -5.35E+10 0.908081 -0.082574 -0.850910 0.563839 1.052486 -0.661669 1.100490 0.021000 -0.854811 0.703044 1.563895 -0.844021 9.96E+09 0.040284 0.049739 0.049693 0.055073 0.048035 0.054053 0.055353 0.059580 0.294684 0.323953 0.205592 0.225153 -5.374460 22.54208 -1.660151 -17.12341 10.23799 21.91103 -12.24104 19.88130 0.352472 -2.900777 2.170207 7.606789 -3.748661 0.0000 0.0000 0.0973 0.0000 0.0000 0.0000 0.0000 0.0000 0.7246 0.0038 0.0303 0.0000 0.0002 Effects Specification S.D Cross-section random Idiosyncratic random 0.000000 2.59E+11 Rho 0.0000 1.0000 Weighted Statistics R-squared Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) 0.889781 0.888205 3.09E+11 564.4284 0.000000 Mean dependent var S.D dependent var Sum squared resid Durbin-Watson stat 1.43E+11 9.24E+11 8.01E+25 2.338839 Unweighted Statistics R-squared Sum squared resid 0.889781 8.01E+25 Mean dependent var Durbin-Watson stat 1.43E+11 2.338839 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Cross-section random Footer Page 207 of 123 Chi-Sq Statistic Chi-Sq d.f Prob 482.296112 12 0.0000 Header Page 208 of 123 Phng trỡnh 4.4.3: Phng trỡnh hi quy a bin , cỏc bin c lp cú tr nm: CFOt = e + e1CFOt-1 + e2CFOt-2 + e3 CFO t-3 + e4AR t-1 + e5 ARt-2 +e6 AR t-3 + e7AP t-1 + e8AP t-2 + e9AP t-3 + e10INV t-1 + e11INV t-2 + e12INVt-3 + e13 DPRM e14DPRM t-2 + e15DPRM t-3 +e16OTH t-1 + e17 OTH t-2 + e18 OTH t-3 + OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 15:44 Included observations: 852 Variable Coefficient Std Error t-Statistic Prob C CFOT_1 CFOT_2 CFOT_3 APT_1 APT_2 APT_3 ART_1 ART_2 ART_3 INVT_1 INVT_2 INVT_3 OTHT_1 OTHT_2 OTHT_3 DPRMT_1 DPRMT_2 DPRMT_3 -4.39E+10 0.871604 -0.099445 0.103478 -0.817295 0.568577 0.209328 1.004103 -0.684025 -0.147268 1.061079 0.054115 -0.177002 -0.439499 0.782735 -0.100766 1.288030 0.000928 -0.700472 1.18E+10 0.048648 0.065420 0.058271 0.059351 0.073471 0.079655 0.057505 0.067800 0.082730 0.066781 0.075740 0.078801 0.364771 0.391198 0.378634 0.265748 0.377872 0.252190 -3.711633 17.91642 -1.520113 1.775802 -13.77056 7.738788 2.627922 17.46121 -10.08887 -1.780102 15.88902 0.714492 -2.246200 -1.204862 2.000868 -0.266130 4.846815 0.002456 -2.777562 0.0002 0.0000 0.1289 0.0761 0.0000 0.0000 0.0087 0.0000 0.0000 0.0754 0.0000 0.4751 0.0250 0.2286 0.0457 0.7902 0.0000 0.9980 0.0056 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.894653 0.892376 3.03E+11 7.66E+25 -23724.27 393.0108 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.43E+11 9.24E+11 55.73537 55.84124 55.77592 1.891764 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic Obs*R-squared Scaled explained SS Footer Page 208 of 123 12.07426 176.2966 1996.319 Prob F(18,833) Prob Chi-Square(18) Prob Chi-Square(18) 0.0000 0.0000 0.0000 (4.4.3) t-1 + Header Page 209 of 123 Variance Inflation Factors Date: 05/14/15 Time: 15:44 Included observations: 852 Variable Coefficient Variance Uncentered VIF Centered VIF C CFOT_1 CFOT_2 CFOT_3 APT_1 APT_2 APT_3 ART_1 ART_2 ART_3 INVT_1 INVT_2 INVT_3 OTHT_1 OTHT_2 OTHT_3 DPRMT_1 DPRMT_2 DPRMT_3 1.40E+20 0.002367 0.004280 0.003396 0.003523 0.005398 0.006345 0.003307 0.004597 0.006844 0.004460 0.005737 0.006210 0.133058 0.153036 0.143364 0.070622 0.142787 0.063600 1.293576 11.68056 12.99725 5.397289 5.886628 8.155923 3.827445 2.067425 2.777677 3.752370 5.149929 3.672955 1.845068 3.199567 2.634295 1.994904 23.30484 30.81283 8.341688 NA 11.47740 12.77842 5.277131 5.796477 8.012064 3.760920 2.008961 2.667660 3.604495 4.978294 3.472219 1.739079 3.196785 2.594468 1.965399 21.67455 28.53582 7.662912 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 16:26 Total panel (unbalanced) observations: 852 Variable Coefficient Std Error t-Statistic Prob C CFOT_1 CFOT_2 CFOT_3 APT_1 APT_2 APT_3 ART_1 ART_2 ART_3 INVT_1 INVT_2 INVT_3 OTHT_1 OTHT_2 OTHT_3 DPRMT_1 DPRMT_2 -6.81E+10 -0.105004 -0.206533 -0.106958 -0.706308 -0.113543 0.018948 0.803101 0.095524 0.244711 0.871865 0.889791 0.474898 -1.148572 0.353376 -0.325860 0.321975 0.780995 2.17E+10 0.070248 0.066206 0.068025 0.074042 0.080457 0.099668 0.081269 0.088453 0.113297 0.080080 0.093510 0.098773 0.439737 0.432222 0.445226 0.373414 0.331715 -3.141851 -1.494747 -3.119572 -1.572341 -9.539252 -1.411239 0.190114 9.882045 1.079939 2.159910 10.88737 9.515413 4.807960 -2.611950 0.817580 -0.731898 0.862247 2.354417 0.0018 0.1356 0.0019 0.1165 0.0000 0.1587 0.8493 0.0000 0.2806 0.0312 0.0000 0.0000 0.0000 0.0093 0.4140 0.4645 0.3889 0.0189 Footer Page 209 of 123 Header Page 210 of 123 DPRMT_3 1.647527 0.409399 4.024261 0.0001 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.955655 0.930630 2.43E+11 3.22E+25 -23355.67 38.18724 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.43E+11 9.24E+11 55.54851 57.26478 56.20586 2.501873 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 16:27 Variable Coefficient Std Error t-Statistic Prob C CFOT_1 CFOT_2 CFOT_3 APT_1 APT_2 APT_3 ART_1 ART_2 ART_3 INVT_1 INVT_2 INVT_3 OTHT_1 OTHT_2 OTHT_3 DPRMT_1 DPRMT_2 DPRMT_3 -4.39E+10 0.871604 -0.099445 0.103478 -0.817295 0.568577 0.209328 1.004103 -0.684025 -0.147268 1.061079 0.054115 -0.177002 -0.439499 0.782735 -0.100766 1.288030 0.000928 -0.700472 9.52E+09 0.039197 0.052710 0.046950 0.047821 0.059198 0.064180 0.046333 0.054628 0.066658 0.053807 0.061025 0.063492 0.293905 0.315198 0.305075 0.214120 0.304461 0.203196 -4.606569 22.23636 -1.886638 2.203978 -17.09087 9.604738 3.261558 21.67140 -12.52146 -2.209315 19.72013 0.886768 -2.787796 -1.495375 2.483311 -0.330299 6.015463 0.003049 -3.447278 0.0000 0.0000 0.0596 0.0278 0.0000 0.0000 0.0012 0.0000 0.0000 0.0274 0.0000 0.3755 0.0054 0.1352 0.0132 0.7413 0.0000 0.9976 0.0006 Effects Specification S.D Cross-section random Idiosyncratic random 0.000000 2.44E+11 Rho 0.0000 1.0000 Weighted Statistics R-squared Footer Page 210 of 123 0.894653 Mean dependent var 1.43E+11 Header Page 211 of 123 Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) 0.892376 3.03E+11 393.0108 0.000000 S.D dependent var Sum squared resid Durbin-Watson stat 9.24E+11 7.66E+25 2.257899 Unweighted Statistics R-squared Sum squared resid 0.894653 7.66E+25 Mean dependent var Durbin-Watson stat 1.43E+11 2.257899 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Cross-section random Footer Page 211 of 123 Chi-Sq Statistic Chi-Sq d.f Prob 572.424243 18 0.0000 Header Page 212 of 123 PH LC 05: KT QU HI QUY Mễ HèNH T SUT DềNG TIN Phngtrỡnh 5.5.1 (tr nm) Variance Inflation Factors Date: 06/01/15 Time: 20:21 Included observations: 852 Variable Coefficient Variance Uncentered VIF Centered VIF C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 1.26E-05 5.34E-07 1.86E-09 5.73E-07 1.22E-07 6.48E-09 8.01E-07 3.72E-06 1.66E-08 0.000508 1.068085 1.031725 1.956319 1.883886 6.314347 11.47228 11.64819 1.051171 1.052787 1.130091 NA 1.026577 1.950217 1.875595 6.309604 11.44988 11.62068 1.048996 1.052782 1.077122 OLS model Dependent Variable: CFOT Method: Least Squares Date: 06/01/15 Time: 20:20 Variable Coefficient Std Error t-Statistic Prob C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 -0.004541 -3.62E-05 -1.48E-05 -0.000303 0.000428 -7.31E-05 0.001391 0.002063 8.97E-05 0.053305 0.003547 0.000731 4.32E-05 0.000757 0.000350 8.05E-05 0.000895 0.001929 0.000129 0.022543 -1.280195 -0.049485 -0.342702 -0.400885 1.224961 -0.908301 1.553732 1.069150 0.695125 2.364638 0.2009 0.9605 0.7319 0.6886 0.2210 0.3640 0.1207 0.2853 0.4872 0.0183 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.016549 0.004637 0.094185 6.590973 715.5334 1.389241 0.188734 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.002492 0.094404 -1.873927 -1.812518 -1.850269 1.738913 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic Obs*R-squared Scaled explained SS Footer Page 212 of 123 0.090361 0.823293 25.16922 Prob F(9,743) Prob Chi-Square(9) Prob Chi-Square(9) 0.9998 0.9997 0.0028 Header Page 213 of 123 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 06/01/15 Time: 20:11 Variable Coefficient Std Error t-Statistic Prob C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 -0.001426 0.000343 -1.58E-05 -0.000389 0.000601 -0.000150 0.002356 -0.000567 -7.20E-05 -0.039756 0.002956 0.001168 4.40E-05 0.000757 0.000362 8.28E-05 0.000926 0.001972 0.000142 0.021838 -0.482259 0.293958 -0.358625 -0.513695 1.663037 -1.813088 2.543935 -0.287503 -0.508657 -1.820469 0.6298 0.7689 0.7200 0.6077 0.0970 0.0705 0.0113 0.7739 0.6112 0.0693 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.581497 0.333233 0.077086 2.804759 1037.209 2.342248 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.002492 0.094404 -2.008523 -0.282942 -1.343743 2.500248 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 06/01/15 Time: 20:12 Total panel (unbalanced) observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 -0.003235 -1.24E-05 -1.29E-05 -0.000325 0.000507 -0.000101 0.001788 0.001002 3.22E-05 0.013098 0.004158 0.000680 3.92E-05 0.000678 0.000319 7.29E-05 0.000812 0.001755 0.000119 0.019859 -0.778039 -0.018191 -0.330351 -0.478755 1.588558 -1.392561 2.202236 0.570974 0.270058 0.659560 0.4368 0.9855 0.7412 0.6323 0.1126 0.1642 0.0280 0.5682 0.7872 0.5097 Effects Specification S.D Footer Page 213 of 123 Rho Header Page 214 of 123 Cross-section random Idiosyncratic random 0.047835 0.077263 0.2771 0.7229 Weighted Statistics R-squared Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) 0.009095 -0.002908 0.078987 0.757740 0.655805 Mean dependent var S.D dependent var Sum squared resid Durbin-Watson stat -0.001714 0.078872 4.635549 2.265336 Unweighted Statistics R-squared Sum squared resid 0.009783 6.636322 Mean dependent var Durbin-Watson stat -0.002492 1.582364 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Cross-section random Footer Page 214 of 123 Chi-Sq Statistic Chi-Sq d.f Prob 49.672538 0.0000 Header Page 215 of 123 Phngtrỡnh 4.5.2 (tr nm) Variance Inflation Factors Date: 06/01/15 Time: 20:22 Variable Coefficient Variance Uncentered VIF Centered VIF C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 X1T_2 X2T_2 X3T_2 X4T_2 X5T_2 X6T_2 X7T_2 X8T_2 X9T_2 1.34E-05 1.63E-06 3.41E-09 1.58E-06 1.47E-07 7.10E-09 2.60E-06 4.70E-06 3.06E-08 0.000542 2.16E-06 2.35E-09 7.81E-07 4.29E-07 1.28E-08 1.34E-06 8.44E-06 6.31E-08 0.000640 1.093829 1.098508 2.925741 2.112056 1.567429 2.923204 3.067228 1.338665 1.159190 1.187655 1.105055 2.954314 2.867728 19.21919 20.48768 18.60896 1.485113 1.365729 1.199456 NA 1.093901 2.920760 2.099664 1.567407 2.921645 3.062307 1.335399 1.157723 1.136799 1.104461 2.935416 2.844440 19.19113 20.43789 18.56288 1.476364 1.365184 1.185506 OLS model Dependent Variable: CFOT Method: Least Squares Date: 06/01/15 Time: 20:21 Included observations: 852 Variable Coefficient Std Error t-Statistic Prob C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 X1T_2 X2T_2 X3T_2 X4T_2 X5T_2 X6T_2 X7T_2 X8T_2 X9T_2 -0.005139 0.000413 -3.84E-05 0.000213 0.001206 -0.000162 0.003652 0.001896 2.90E-05 0.056876 3.36E-05 2.11E-05 -0.000450 -0.003552 2.12E-05 -0.006307 0.000257 5.05E-05 0.061242 0.003658 0.001275 5.84E-05 0.001258 0.000384 8.43E-05 0.001613 0.002168 0.000175 0.023283 0.001469 4.85E-05 0.000883 0.000655 0.000113 0.001157 0.002906 0.000251 0.025296 -1.404540 0.323990 -0.657214 0.169641 3.140127 -1.925468 2.264298 0.874817 0.165597 2.442848 0.022867 0.436237 -0.509624 -5.423725 0.187109 -5.451233 0.088586 0.200975 2.420989 0.1606 0.7460 0.5113 0.8653 0.0018 0.0546 0.0239 0.3820 0.8685 0.0148 0.9818 0.6628 0.6105 0.0000 0.8516 0.0000 0.9294 0.8408 0.0157 R-squared Footer Page 215 of 123 0.081160 Mean dependent var -0.002802 Header Page 216 of 123 Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.057499 0.093733 6.141268 690.5585 3.430114 0.000002 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.096549 -1.870637 -1.749532 -1.823878 1.588680 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic Obs*R-squared Scaled explained SS 1.940924 34.17803 816.7595 Prob F(18,699) Prob Chi-Square(18) Prob Chi-Square(18) 0.0110 0.0120 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 06/01/15 Time: 20:14 Variable Coefficient Std Error t-Statistic Prob C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 X1T_2 X2T_2 X3T_2 X4T_2 X5T_2 X6T_2 X7T_2 X8T_2 X9T_2 -0.002177 0.000225 -9.80E-05 0.000180 0.001132 -0.000414 0.005206 -0.000538 -2.30E-05 -0.055162 0.000223 5.97E-05 0.001788 -0.008647 -0.000131 -0.005951 -0.001585 -0.000340 -0.053952 0.002960 0.001177 4.82E-05 0.001019 0.000336 9.19E-05 0.001441 0.001862 0.000160 0.021865 0.001555 5.36E-05 0.001338 0.000752 0.000115 0.002869 0.003372 0.000296 0.025954 -0.735435 0.191109 -2.030584 0.176653 3.373981 -4.506424 3.611733 -0.289039 -0.143273 -2.522853 0.143416 1.112614 1.336823 -11.49227 -1.135668 -2.074271 -0.470002 -1.149404 -2.078752 0.4625 0.8485 0.0429 0.8599 0.0008 0.0000 0.0003 0.7727 0.8861 0.0120 0.8860 0.2665 0.1820 0.0000 0.2567 0.0386 0.6386 0.2510 0.0382 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) RE model Dependent Variable: CFOT Footer Page 216 of 123 0.705858 0.518494 0.066996 1.965961 1099.478 3.767306 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.002802 0.096549 -2.282667 -0.497971 -1.593588 2.129597 Header Page 217 of 123 Method: Panel EGLS (Cross-section random effects) Date: 06/01/15 Time: 20:15 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic Prob C X1T_1 X2T_1 X3T_1 X4T_1 X5T_1 X6T_1 X7T_1 X8T_1 X9T_1 X1T_2 X2T_2 X3T_2 X4T_2 X5T_2 X6T_2 X7T_2 X8T_2 X9T_2 -0.002516 0.000433 -4.59E-05 0.000278 0.001297 -0.000225 0.004107 0.000485 -7.89E-06 0.006954 -6.19E-05 2.55E-05 -0.000607 -0.005545 -6.33E-08 -0.009538 0.000349 -0.000128 0.015677 0.004509 0.001041 4.46E-05 0.000957 0.000310 7.10E-05 0.001302 0.001741 0.000142 0.018821 0.001304 4.34E-05 0.000784 0.000597 9.72E-05 0.001050 0.002713 0.000233 0.021652 -0.558003 0.415880 -1.028213 0.290005 4.186862 -3.163667 3.154181 0.278717 -0.055414 0.369484 -0.047456 0.589125 -0.775099 -9.284136 -0.000651 -9.083668 0.128711 -0.549340 0.724056 0.5770 0.6776 0.3042 0.7719 0.0000 0.0016 0.0017 0.7805 0.9558 0.7119 0.9622 0.5560 0.4385 0.0000 0.9995 0.0000 0.8976 0.5829 0.4693 Effects Specification S.D Cross-section random Idiosyncratic random 0.057161 0.067239 Rho 0.4195 0.5805 Weighted Statistics R-squared Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) 0.138429 0.116242 0.070960 6.239357 0.000000 Mean dependent var S.D dependent var Sum squared resid Durbin-Watson stat -0.001619 0.075483 3.519645 2.035124 Unweighted Statistics R-squared Sum squared resid Footer Page 217 of 123 0.047992 6.362956 Mean dependent var Durbin-Watson stat -0.002802 1.125721 Header Page 218 of 123 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Cross-section random Chi-Sq Statistic Chi-Sq d.f Prob 100.771126 18 0.0000 Chy stepwise vi tr nm Dependent Variable: CFOT Method: Stepwise Regression Date: 06/01/15 Time: 20:18 Included observations: 852 No always included regressors Number of search regressors: Selection method: Stepwise forwards Stopping criterion: p-value forwards/backwards = 0.5/0.5 Note: final equation sample is larger than stepwise sample (rejected regressors contain missing values) Variable Coefficient Std Error t-Statistic Prob.* X9T_1 X7T_1 X8T_1 0.044512 0.002188 9.46E-05 0.020102 0.001824 0.000123 2.214336 1.199343 0.770661 0.0271 0.2307 0.4411 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.010202 0.007806 0.090087 6.703602 820.5849 1.743085 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Selection Summary Added X9T_1 Added X7T_1 Added X8T_1 *Note: p-values and subsequent tests not account for stepwise selection Chy stepwise vi tr nm Dependent Variable: CFOT Method: Stepwise Regression Date: 06/01/15 Time: 20:17 Included observations: 852 No always included regressors Number of search regressors: 18 Selection method: Stepwise forwards Stopping criterion: p-value forwards/backwards = 0.5/0.5 Footer Page 218 of 123 -0.002550 0.090441 -1.972460 -1.955379 -1.965910 Header Page 219 of 123 Note: final equation sample is larger than stepwise sample (rejected regressors contain missing values) Variable Coefficient Std Error t-Statistic X9T_2 X9T_1 X4T_2 X6T_2 X4T_1 X6T_1 X5T_1 X7T_1 0.059124 0.050371 -0.003586 -0.006108 0.001174 0.003782 -0.000139 0.002128 0.023008 0.021456 0.000553 0.000986 0.000379 0.001406 7.40E-05 0.001886 2.569681 2.347657 -6.489955 -6.192792 3.094078 2.690500 -1.881405 1.128211 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.077777 0.068736 0.092985 6.173375 694.5288 1.579891 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Selection Summary Added X9T_2 Added X9T_1 Added X4T_2 Added X6T_2 Added X4T_1 Added X6T_1 Added X5T_1 Added X7T_1 *Note: p-values and subsequent tests not account for stepwise selection Footer Page 219 of 123 Prob.* 0.0104 0.0192 0.0000 0.0000 0.0021 0.0073 0.0603 0.2596 -0.002593 0.096355 -1.901742 -1.850971 -1.882144 ... giáo dục đào tạo Trờng đại học kinh tế quốc dân Nguyễn Thanh hiếu Dự báo dòng tiền từ hoạt động kinh doanh Của công ty phi tài niêm yết thị trờng chứng khoán việt nam Chuyên ngành: kế... d bỏo dũng tin t hot ng kinh doanh ti cỏc cụng ty niờm yt trờn th trng chng khoỏn .21 2.2 Tng quan cỏc nghiờn cu d bỏo dũng tin t hot ng kinh doanh ca cỏc cụng ty niờm yt trờn th trng... NGHIM V D BO DềNG TIN T HOT NG KINH DOANH CA CC CễNG TY PHI TI CHNH NIấM YT TRấN TH TRNG CHNG KHON VIT NAM .68 4.1 c im th trng chng khoỏn Vit nam v cỏc cụng ty phi ti chớnh niờm yt trờn th