Nhận diện gian lận báo cáo tài chính của các công ty niêm yết trên thị trường chứng khoán việt nam – bằng chứng thực nghiệm tại sàn giao dịch chứng khoán HOSE

B GIO DC V O TO TRNG I HC KINH T TP H CH MINH - TRN VIT HI NHN DIN GIAN LN BO CO TI CHNH CA CC CễNG TY NIấM YT TRấN TH TRNG CHNG KHON VIT NAM BNG CHNG THC NGHIM TI SN GIAO DCH CHNG KHON HOSE LUN VN THC S KINH T TP H CH MINH, NM 2017 B GIO DC V O TO TRNG I HC KINH T TP H CH MINH - TRN VIT HI NHN DIN GIAN LN BO CO TI CHNH CA CC CễNG TY NIấM YT TRấN TH TRNG CHNG KHON VIT NAM BNG CHNG THC NGHIM TI SN GIAO DCH CHNG KHON HOSE Chuyờn ngnh: Ti chớnh Ngõn hng Mó s: 60340201 LUN VN THC S KINH T NGI HNG DN KHOA HC TS Lấ T CH TP H CH MINH, NM 2017 LI CAM OAN Tỏc gi xin cam oan õy l cụng trỡnh nghiờn cu ca riờng tỏc gi Cỏc s liu lun l trung thc Nhng kt qu ca lun cha tng c cụng b bt k cụng trỡnh no khỏc Tỏc gi Trn Vit Hi MC LC TRANG PH BèA LI CAM OAN MC LC DANH MC CC T VIT TT DANH MC CC BNG PHN M U 1.1 Túm tt ni dung nghiờn cu 1.2 Vn nghiờn cu 1.3 Mc tiờu nghiờn cu v cõu hi nghiờn cu 1.3.1 Mc tiờu nghiờn cu .3 1.3.2 Cõu hi nghiờn cu 1.4 í ngha thc tin ca ti 1.5 i tng v phm vi nghiờn cu 1.5.1 i tng nghiờn cu: 1.5.2 Phm vi nghiờn cu 1.6 Phng phỏp nghiờn cu .4 1.7 Kt cu ca lun .4 CHNG C S Lí THUYT CA VN NGHIấN CU 1.1 Khung lý thuyt v gian ln BCTC .6 1.1.1 Khỏi nim gian ln kiờm toỏn BCTC ca chuõn mc kiờm toỏn quc t (ISA) .6 1.1.2 Khỏi nim gian ln kiờm toỏn BCTC ca chuõn mc kiờm toỏn Vit Nam (VSA) .6 1.1.3 Khỏi nim v phõn loi gian ln kiờm toỏn BCTC ca Hip hi cỏc nh iu tra gian ln Hoa K (ACFE) 1.1.4 Cỏc yu t dn n vic lp BCTC gian ln 1.1.5 Mt s th thut ang c s dng lm sai lch BCTC ca CTNY trờn TTCK Vit Nam 1.2 Tng quan cỏc nghiờn cu v gian ln bỏo cỏo ti chớnh 15 1.2.1 Cỏc mụ hỡnh dn tớch cú iu chnh Discretionary accruals models 15 1.2.2 Cỏc k thut thng kờ Statistical techniques .16 1.2.3 Cỏc nghiờn cu trờn th gii 17 1.2.4 Cỏc nghiờn cu ti Vit Nam 23 TểM TT CHNG 34 CHNG PHNG PHP NGHIấN CU 35 2.1 Tng quan phng phỏp nghiờn cu 35 2.2 Mụ hỡnh nghiờn cu 35 2.2.1 Tng quan mụ hỡnh nghiờn cu 35 2.2.2 Mụ hỡnh Beneish (M-Score) 36 2.2.3 Dng tng quỏt ca mụ hỡnh Hi quy Binary Logistic 37 2.2.4 Xỏc nh bin c lp 39 2.2.5 Phỏt triờn gi thuyt nghiờn cu 42 2.2.6 Mụ hỡnh hi quy tng quỏt 43 2.3 Thit k nghiờn cu .44 2.3.1 Mu nghiờn cu 44 2.3.2 Thu thp d liu 45 2.3.3 Quy trỡnh xõy dng mụ hỡnh nghiờn cu 45 TểM TT CHNG 47 CHNG KT QU NGHIấN CU 48 3.1 Kt qu phõn loi cỏc cụng ty cú gian ln BCTC bng mụ hỡnh Beneish thụng qua h s M-Score 48 3.2 Kt qu thng kờ mụ t ca cỏc bin mụ hỡnh 50 3.4 Kt qu mụ hỡnh hi quy Logistic .51 3.5 Tho lun v kt qu nghiờn cu .56 3.6 Kiờm nh kh nng d bỏo ca mụ hỡnh nghiờn cu 57 3.7 Hn ch ca mụ hỡnh nghiờn cu 59 TểM TT CHNG 61 CHNG NH GI CHUNG V KHUYN NGH 62 4.1 ỏnh giỏ chung 62 4.1.1 ỏnh giỏ tớnh y , hon thin ca khung phỏp lý v cụng b thụng tin ca CTNY trờn TTCK Vit Nam .62 4.1.2 ỏnh giỏ mt s nguyờn nhõn dn n nhng bt cp vic cụng b thụng tin ca cỏc CTNY trờn TTCK Vit Nam hin 63 4.2 xut mt s khuyn ngh liờn quan n k thut nhn din gian ln BCTC ca cỏc cụng ty niờm yt 64 4.2.1 Khuyn ngh v k thut nhn din gian ln BCTC thụng qua cỏc ch s ti chớnh 64 4.2.2 Khuyn ngh i vi Nh nc 65 4.2.3 Khuyn ngh i vi nh u t 67 4.2.4 Khuyn ngh i vi cỏc cụng ty niờm yt 69 TểM TT CHNG 72 KT LUN 73 DANH MC TI LIU THAM KHO PH LC DANH MC CC T VIT TT T vit tt Ni dung BCKT Bỏo cỏo kiờm toỏn BCTC Bỏo cỏo ti chớnh BCTN Bỏo cỏo thng niờn BTC B Ti chớnh CBTT Cụng b thụng tin CTNY Cụng ty niờm yt FASB Hi ng chuõn mc k toỏn ti chớnh M HQT Hi ng qun tr HNX S Giao dch chng khoỏn H Ni HOSE S giao dch chng khoỏn TP H Chớ Minh IASB Hi ng chuõn mc k toỏn ti chớnh quc t IFRS Chuõn mc bỏo cỏo ti chớnh quc t KTV Kiờm toỏn viờn TG Tng giỏm c TTCK Th trng chng khoỏn UBCKNN y ban chng khoỏn Nh nc UBKT y ban kiờm toỏn US GAAP Nguyờn tc k toỏn c chp nhn chung ca M VACPA Hi kiờm toỏn viờn hnh ngh Vit Nam VAS H thng chuõn mc k toỏn Vit Nam VSA Chuõn mc kiờm toỏn Vit Nam DANH MC CC BNG Bng 1.1 Tng hp cỏc nghiờn cu trc õy v mụ hỡnh phỏt hin gian ln bỏo cỏo ti chớnh .26 Bng 2.1 Danh sỏch bin c lp v ký hiu 42 Bng 2.2 Mụ t mu cỏc cụng ty s dng xõy dng mụ hỡnh nghiờn cu 44 Bng 3.1 Tng hp kt qu phõn loi cỏc cụng ty cú gian ln BCTC theo mụ hỡnh Beneish thụng qua h s M-Score .48 Bng 3.2 Tng hp cỏc ch s ti chớnh dựng tớnh h s M-Score .49 Bng 3.3 Bng thng kờ mụ t cỏc bin c lp a vo mụ hỡnh 50 Bng 3.4 Kt qu phõn tớch hi quy Binary Logistic 52 Bng 3.5 Kt qu kiờm nh Omnibus 54 Bng 3.6 Kt qu kiờm nh kh nng gii thớch ca mụ hỡnh 55 Bng 3.7 Kt qu phõn tớch kh nng d bỏo ca mụ hỡnh hi quy 55 Bng 3.8 Tng hp kt qu phõn loi cỏc cụng ty cú gian ln BCTC theo ni dung gii trỡnh chờnh lch BCTC ca cỏc CTNY trờn HOSE 57 Bng 3.9 So sỏnh kt qu phõn loi gian ln BCTC theo Mụ hỡnh xut, M-Score vi kt qu phõn loi theo ni dung gii trỡnh chờnh lch BCTC .58 PHN M U 1.1 Túm tt ni dung nghiờn cu Lun s dng s liu ti chớnh ca 268 cụng ty phi ti chớnh niờm yt trờn sn giao dch chng khoỏn HOSE phỏt triờn mụ hỡnh hi quy bao gm cỏc t s ti chớnh cú kh nng s dng nhn din gian ln BCTC Tỏc gi ó s dng mụ hỡnh Beneish vi h s M-Score phõn loi cụng ty cú gian ln BCTC v cụng ty khụng cú gian ln BCTC vi kt qu 112 CTNY cú du hiu gian ln BCTC v 156 CTNY khụng cú du hiu gian ln BCTC Kt qu phõn loi theo M-Score s l s liu u vo cho tỏc gi ng dng k thut hi quy logistic vic phỏt triờn mụ hỡnh nhn din gian ln BCTC Kt qu nghiờn cu cho thy mt s bin cú thờ hu ớch vic phỏt hin gian ln BCTC bao gm t s NP / TA (Li nhun sau thu / Doanh thu thun), WC / TA (Vn lu ng / Tng ti sn), GP / TA (Li nhun gp / Tng ti sn ) v Z-Score (H s nguy c phỏ sn) Mụ hỡnh cng ó phõn loi CTNY cú gian ln BCTC vi t l chớnh xỏc l 68.7% õy l mt t l khỏ cao cho mụ hỡnh nhn din gian ln BCTC vi thnh phn ca mu nghiờn cu bao gm nhiu cụng ty cú quy mụ khỏc v hot ng nhiu lnh vc khỏc iu ny cho thy mụ hỡnh khỏ tin cy cỏc kiờm toỏn viờn, nh u t v nh qun lý s dng vic phỏt hin gian ln BCTC 1.2 Vn nghiờn cu Trong nn kinh t th trng, nhu cu cung cp v tip nhn thụng tin, c bit l cỏc thụng tin ti chớnh luụn gi vai trũ quan trng cỏc c ụng v nh u t cú quyt nh ỳng n thc hin u t v nm gi c phiu ca cụng ty S minh bch v tớnh trung thc ca cỏc thụng tin ti chớnh úng vai trũ ln vic n nh TTCK v n nh xó hi Khụng nhng vy nn kinh t Vit Nam ang quỏ trỡnh hi nhp v ngy cng phỏt triờn mnh m, quy mụ kinh doanh ca cỏc cụng ty v s ton cu húa hot ng thng mi ngy cng c m rng, dn ti mc phc ca cụng tỏc k toỏn, kiờm toỏn cng theo ú m tng lờn Tuy nhiờn, mt tn ti t lõu trờn th gii cng nh Vit Nam, ú l v gian ln BCTC, ú, cụng ty s dng cỏc th thut lm p s liu trờn BCTC nhm che du, búp mộo s liu ti chớnh cụng ty v ỏnh la cỏc nh u t õy thc s l mt nghiờm trng ca xó hi, lm suy gim nim tin vo th trng v nh hng ln ti nn kinh t ca nhiu nc trờn th gii, ú cú Vit Nam TTCK Vit Nam ó hot ng c hn mt thp k Cựng vi s phỏt triờn v s lng, hot ng ca TTCK Vit Nam cng ang dn n nh v chuyờn nghip hn, gúp phn lnh mnh húa th trng u t v to thun li i vi kờnh dn cho cỏc cụng ty Bờn cnh nhng thnh tu t c, TTCK Vit Nam nhng nm gn õy phi chng kin nhng v bờ bi liờn quan n tớnh minh bch cụng b thụng tin ca cỏc CTNY ó lm nh hng ln n nim tin ca cỏc nh u t cng nh tớnh n nh ca th trng Thc trng cụng b thụng tin ca mt s cỏc CTNY trờn TTCK Vit Nam bc l mt s bt cp, c thờ: s lt v loi hỡnh vi phm v cụng b thụng tin ca cỏc CTNY trờn TTCK cũn tn ti, tỡnh trng np BCTC tr hn, cht lng thụng tin trờn cỏc BCTC khụng ỏng tin cy Tuy nhiờn, nh mt s nh nghiờn cu trờn th gii ó nhn nh, BCTC cht lng cao s gim s bt cõn xng thụng tin v kt qu s gim chi phớ s dng (Glosten v Milgrom, 1985; Amihud v Mendelson, 1986; Diamond v Verrecchia, 1991; Bhattacharya v cng s, 2003 v Barth v cng s, 2013) BCTC gian ln cú thờ khú phỏt hin nhng khụng phi l khụng thờ, vỡ vy, vic nghiờn cu cỏc th thut gian ln BCTC v cỏc k thut phỏt hin gian ln BCTC ca cỏc CTNY trờn TTCK Vit Nam hin l tht s cn thit Xut phỏt t thc trng suy gim cht lng thụng tin BCTC, tỏc gi mong mun ng dng cỏc phng phỏp ó c thc nghim trờn th gii vo vic nhn din gian ln BCTC thụng qua cỏc t s ti chớnh ti TTCK Vit Nam, m c thờ l vi cỏc CTNY ti S giao dch chng khoỏn Thnh ph H Chớ Minh (HOSE) Do ú, tỏc gi ó la chn ti Nhn din gian ln bỏo cỏo ti chớnh ca cỏc cụng ty niờm yt trờn th trng chng khoỏn Vit Nam Bng chng thc nghim ti sn giao dch chng khoỏn HOSE lm ti lun õy thc s l c nhiu nh u t, t chc thc s quan tõm Tỏc gi mong mun kt qu ca lun DANH MC TI LIU THAM KHO A DANH MC TI LIU TING VIT B Ti chớnh, 2003 Chun mc k toỏn s 21: Trỡnh by bỏo cỏo ti chớnh Quyt nh s 234/2003/Q-BTC ngy 30/12/2003 B Ti chớnh, 2010 Hng dn v vic cụng b thụng tin trờn th trng chng khoỏn Thụng t s 09/2010/TT-BTC ngy 15/1/2010 B Ti Chớnh, 2012 Chuõn mc kiờm toỏn Vit Nam s 240: Gian ln v sai sút, Quyt nh s143/2001/Q-BTC ngy 21/12/2012 B Ti chớnh, 2012 Hng dn v vic cụng b thụng tin trờn th trng chng khoỏn Thụng t s 52/2012/TT-BTC ngy 5/4/2012 B Ti chớnh, 2012 Quy nh v qun tr cụng ty ỏp dng cho cỏc cụng ty i chỳng Thụng t s 121/2012/TT-BTC ngy 26/7/2012 Bựi Kim Yn, 2012 Ngn nga v hn ch vi phm cụng b thụng tin ca cỏc CTNY trờn SGDCK Thnh ph H Chớ Minh, Tp Thụng tin Ti chớnh, S thỏng 8, 2012 Hong Trng v Chu Nguyn Mng Ngc, 2008 Phõn tớch d liu vi SPSS NXB Hng c Hong Khỏnh, Trn Th Thu Hin, 2015 Phỏt hin sai phm bỏo cỏo ti chớnh ca cỏc doanh nghip xõy dng niờm yt Tp Kinh t Phỏt trin, s 218(II) thỏng 8, nm 2015, trang 42-29 Lờ Th M Hnh, 2015 Minh bch thụng tin ti chớnh ca cụng ty niờm yt trờn th trng chng khoỏn Vit Nam Lun ỏn Tin s, i hc kinh t TP H Chớ Minh 10 Lờ Trung Thnh 2010 Giỏm sỏt giao dch trờn th trng chng khoỏn Vit Nam Lun ỏn Tin s, i hc Kinh t Quc dõn 11 Nguyn Cụng Phng v Nguyn Th Thanh Phng, 2014 Cỏc yu t nh hng n mc cụng b thụng tin ti chớnh ca cụng ty niờm yt Tp Phỏt trin Kinh t, s 287, trang 15-34 12 Nguyn Th Hi H, 2014 Cht lng cụng b thụng tin ca cỏc cụng ty niờm yt trờn th trng chng khoỏn Vit Nam Thc trng v gii phỏp Tp Khoa hc HQGHN: Kinh t v Kinh doanh, Tp 30, S (2014), trang 3745 13 Nguyn Th Liờn Hoa, 2007 Minh bch thụng tin trờn th trng chng khoỏn Vit Nam, Tp Phỏt trin Kinh t, s 195, thỏng 1/2007 14 Nguyn Th Uyờn Phng, 2014 Nghiờn cu vic iu chnh li nhun trng hp phỏt hnh thờm c phiu ca cỏc cụng ty niờm yt trờn th trng chng khoỏn Vit Nam, Lun Thc s, i hc Nng 15 Nguyn Trn Nguyờn Trõn, 2014 Nghiờn cu v sai sút bỏo cỏo ti chớnh ca cỏc cụng ty niờm yt trờn th trng chng khoỏn Vit Nam Lun Thc s, i hc Nng 16 Nguyn Trng Nguyờn, 2016 Tỏc ng ca QTCT n cht lng thụng tin BCTC ti cỏc cụng ty niờm yt Vit Nam Lun ỏn Tin s, i hc kinh t TP H Chớ Minh 17 Nguyn Trng Hoi v Lờ An Khang, 2008 Mụ hỡnh kinh t lng xỏc nh mc thụng tin bt cõn xng: Tỡnh th trng chng khoỏn Thnh ph H Chớ Minh Tp Phỏt trin Kinh t, s 213, thỏng 7/2008 18 Nguyn Trng Nam, 2015 ng dng phõn tớch hi qui http://thongke.info.vn/Download.aspx/782A4C2002924D68B4A5FD0746C1 BF60/1/ISMS_Regression_VIE.pdf [Ngy truy cp: 25 thỏng nm 2017] 19 Phm Th Bớch Võn, 2013 Cỏc cỏch o lng s trung thc ca ch tiờn li nhun, Tp ngõn hng, s thỏng nm 2013, trang 39-43 20 Phan Th Thựy Dng, 2015 S dng mụ hỡnh Jones nhn din iu chnh li nhun: Trng hp cỏc cụng ty niờm yt HOSE phỏt hnh thờm c phiu nm 2013 Lun Thc s, i hc Nng 21 Trn Th Giang Tõn, Nguyn Trớ Tri, inh Ngc Tỳ, Hong Trng Hip v Nguyn ỡnh Hong Uyờn, 2014 ỏnh giỏ ri ro gian ln bỏo cỏo ti chớnh 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50 Summers, S.L and Sweeney, J.T., 1998 Fraudulently misstated financial statements and insider trading: an empirical analysis The Accounting Review, Vol 73 No 1, pp 131-46 51 Theodosiou, P., 1991 Alternative models for assessing the financial condition of business in Greece Journal of Business Finance and Accounting, Vol 18 No 5, pp 697-720 52 Vanasco, R R., 1998 Fraud auditing Managerial Auditing Journal, Vol 13 No 1, pp 4-71 53 Wallace, W.A., 1995 Auditing South-Western College Publishing, Cincinnati, OH 54 Wright, A and Ashton, R., 1989 Identifying audit adjustments with attentiondirection procedures The Accounting Review, Vol 64 No 4, pp 79-83 55 Zimbelman, M.F., 1997 The effects of SAS No 82 on auditors attention to fraud risk-factors and audit planning decisions Journal of Accounting Research, Vol 35 No 5, pp 75-9 PH LC A Kt qu phõn tớch thng kờ mụ t Means Notes Output Created 20-Feb-2017 23:45:06 Comments Input Data C:\Users\Viet Hai\Desktop\HOSE.sav Active Dataset DataSet1 Filter Weight Split File N of Rows in Working Data File Missing Value Handling 268 Definition of Missing For each dependent variable in a table, userdefined missing values for the dependent and all grouping variables are treated as missing Cases Used Cases used for each table have no missing values in any independent variable, and not all dependent variables have missing values Syntax MEANS TABLES=DE_EQ SA_TA NP_SA RE_SA NP_TA WC_TA GP_TA IV_SA DE_TA Z_Score BY FFS /CELLS=MEAN COUNT STDDEV /STATISTICS LINEARITY Resources Processor Time 00:00:00.03 Elapsed Time 00:00:00.01 Case Processing Summary Cases Included N Debt /Equity * Gian lan BCTC Sale / Total assets * Gian lan BCTC Net profit / Sale * Gian lan BCTC Receivable / Sale * Gian lan BCTC Excluded Percent N Total Percent N Percent 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% Net profit / Total assets * Gian lan BCTC Working capital / Total assets * Gian lan BCTC Gross profit / Total asset * Gian lan BCTC Inventory / Sale * Gian lan BCTC Total debt / Total assets * Gian lan BCTC Z-Score * Gian lan BCTC 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% 268 100.0% 0.0% 268 100.0% Report Sale / Gian lan BCTC 00000 Mean Debt Total /Equity assets 1.00000 Mean 156 Sale / Sale 156 156 1.10241 1.06994 19050 73827 N Total profit / Receivable 81394 1.14388 10065 N S.D Net 112 85469 17414 112 112 Net Working Gross Total profit / capital / profit / debt / Total Total Total Inventory Total assets assets asset / Sale assets Z-Score 43674 25163 5.50049 18022 07517 156 23533 19962 156 156 156 27702 09220 21747 15408 31077 06441 27672 12009 112 112 112 156 156 156 1.31349 20291 12.11634 95669 24988 112 112 2.84941 112 112 S.D 80200 89829 33280 37020 09156 22274 10418 2.53617 18589 2.20656 Mean 78232 1.02303 13137 23478 07067 25263 16638 65403 25090 4.39257 N S.D 268 268 268 98707 1.01017 26159 268 268 268 32509 09192 268 22023 14085 268 268 268 1.93432 19562 9.43211 ANOVA Tablea,b,c,d,e,f,g,h,i,j Sum of Squares Debt /Equity * Gian Between Groups lan BCTC (Combined) Mean df Square 373 373 Within Groups 259.768 266 977 Total 260.141 267 5.453 5.453 1.004 Sale / Total assets * Between Groups Gian lan BCTC Within Groups 267.008 266 Total 272.461 267 352 Between Groups (Combined) (Combined) 352 F Sig .382 537 5.432 021 5.227 023 Net profit / Sale * Within Groups 17.919 266 Gian lan BCTC Total 18.271 267 Receivable / Sale * Between Groups 1.111 1.111 Gian lan BCTC Within Groups 27.107 266 102 Total 28.218 267 008 008 008 (Combined) (Combined) 067 Net profit / Total Between Groups assets * Gian lan Within Groups 2.248 266 BCTC Total 2.256 267 Working capital / Between Groups 112 112 Total assets * Gian Within Groups 12.838 266 048 lan BCTC Total 12.950 267 Gross profit / Total Between Groups 412 412 asset * Gian lan Within Groups 4.885 266 018 BCTC Total 5.297 267 Inventory / Sale * Between Groups 17.625 17.625 Gian lan BCTC Within Groups 981.382 266 3.689 Total 999.007 267 000 000 038 (Combined) (Combined) (Combined) Total debt / Total Between Groups (Combined) assets * Gian lan Within Groups 10.218 266 BCTC Total 10.218 267 Z-Score * Gian lan Between Groups 458.197 458.197 BCTC Within Groups 23295.354 266 87.577 Total 23753.551 267 (Combined) 10.902 001 892 346 2.314 129 22.457 000 4.777 030 005 942 5.232 023 a With fewer than three groups, linearity measures for Debt /Equity * Gian lan BCTC cannot be computed b With fewer than three groups, linearity measures for Sale / Total assets * Gian lan BCTC cannot be computed c With fewer than three groups, linearity measures for Net profit / Sale * Gian lan BCTC cannot be computed d With fewer than three groups, linearity measures for Receivable / Sale * Gian lan BCTC cannot be computed e With fewer than three groups, linearity measures for Net profit / Total assets * Gian lan BCTC cannot be computed f With fewer than three groups, linearity measures for Working capital / Total assets * Gian lan BCTC cannot be computed g With fewer than three groups, linearity measures for Gross profit / Total asset * Gian lan BCTC cannot be computed h With fewer than three groups, linearity measures for Inventory / Sale * Gian lan BCTC cannot be computed i With fewer than three groups, linearity measures for Total debt / Total assets * Gian lan BCTC cannot be computed j With fewer than three groups, linearity measures for Z-Score * Gian lan BCTC cannot be computed Measures of Association Eta Eta Squared Debt /Equity * Gian lan BCTC 038 001 Sale / Total assets * Gian lan BCTC 141 020 Net profit / Sale * Gian lan BCTC 139 019 Receivable / Sale * Gian lan BCTC 198 039 Net profit / Total assets * Gian lan BCTC 058 003 Working capital / Total assets * Gian lan BCTC 093 009 Gross profit / Total asset * Gian lan BCTC 279 078 Inventory / Sale * Gian lan BCTC 133 018 Total debt / Total assets * Gian lan BCTC 004 000 Z-Score * Gian lan BCTC 139 019 B Kt qu phõn tớch hi quy logistic Logistic Regression Notes Output Created Comments Input Missing Value Handling Syntax Resources 22-FEB-2017 08:20:58 Data Active Dataset Filter Weight Split File N of Rows in Working Data File Definition of Missing Processor Time Elapsed Time C:\Users\Viet Hai\Desktop\HOSE.sav DataSet1 268 User-defined missing values are treated as missing LOGISTIC REGRESSION VARIABLES FFS /METHOD=BSTEP(WALD) DE_EQ SA_TA NP_SA RE_SA NP_TA WC_TA GP_TA IV_SA DE_TA Z_Score /CLASSPLOT /PRINT=CORR SUMMARY /CRITERIA=PIN(0.05) POUT(0.10) ITERATE(20) CUT(0.5) 00:00:00.05 00:00:00.05 Case Processing Summary Unweighted Casesa Selected Cases Included in Analysis Missing Cases Total Unselected Cases Total a If weight is in effect, see classification table for the total number of cases Dependent Variable Encoding Original Value 00000 1.00000 Internal Value N 268 268 268 Percent 100.0 100.0 100.0 Block 0: Beginning Block Classification Tablea,b Observed Step Predicted Gian lan BCTC 00000 1.00000 Gian lan BCTC 00000 1.00000 156 112 Overall Percentage a Constant is included in the model b The cut value is 500 Percentage Correct 100.0 58.2 Variables in the Equation Step Constant B -.331 S.E .124 Wald 7.158 df Sig .007 Exp(B) 718 Variables not in the Equation Score Step Variables DE_EQ SA_TA NP_SA RE_SA NP_TA WC_TA GP_TA IV_SA DE_TA Z_Score Overall Statistics df 385 5.363 5.165 10.552 896 2.311 20.864 4.728 005 5.170 36.608 Sig 1 1 1 1 1 10 535 021 023 001 344 128 000 030 942 023 000 Block 1: Method = Backward Stepwise (Wald) Omnibus Tests of Model Coefficients Chi-square df Step 45.362 10 Block 45.362 10 Model 45.362 10 Step 7a Step -1.657 Block 41.330 Model 41.330 a A negative Chi-squares value indicates that the Chi-squares value has decreased from the previous step Step Sig .000 000 000 198 000 000 Model Summary Step -2 Log likelihood Cox & Snell R Square Nagelkerke R Square 318.908a 156 210 322.940b 143 192 a Estimation terminated at iteration number because parameter estimates changed by less than 001 b Estimation terminated at iteration number because parameter estimates changed by less than 001 Classification Tablea Observed Step Gian lan BCTC Step Overall Percentage Gian lan BCTC Overall Percentage a The cut value is 500 00000 1.00000 00000 1.00000 Predicted Gian lan BCTC 00000 1.00000 124 32 56 56 125 53 31 59 Percentage Correct 79.5 50.0 67.2 80.1 52.7 68.7 Variables in the Equation B S.E Wald df Sig Exp(B) DE_EQ -.066 237 078 781 936 SA_TA 301 192 2.474 116 1.352 NP_SA 545 814 448 503 1.725 RE_SA 646 540 1.431 232 1.908 NP_TA 7.074 3.957 3.197 074 1181.452 WC_TA 1.805 883 4.180 041 6.080 GP_TA -6.669 2.136 9.750 002 001 IV_SA -.033 085 151 698 968 DE_TA 187 1.270 022 883 1.205 Z_Score -.158 084 3.536 060 854 Constant -.171 499 117 732 843 Step 7a NP_TA 7.419 3.200 5.373 020 1666.548 WC_TA 1.724 728 5.614 018 5.607 GP_TA -6.330 1.753 13.035 000 002 Z_Score -.140 071 3.871 049 869 Constant 209 255 669 413 1.232 a Variable(s) entered on step 1: DE_EQ, SA_TA, NP_SA, RE_SA, NP_TA, WC_TA, GP_TA, IV_SA, DE_TA, Z_Score Step 1a Correlation Matrix Step Constant DE_EQ SA_TA NP_SA RE_SA NP_TA WC_TA GP_TA IV_SA DE_TA Z_Score Step Constant NP_TA Constant DE_EQ SA_TA NP_SA RE_SA NP_TA WC_TA GP_TA IV_SA DE_TA Z_Score 1.000 047 -.077 -.134 -.397 -.007 -.441 -.213 039 -.564 -.181 047 1.000 -.040 -.016 -.028 118 145 -.017 -.023 -.685 -.103 -.077 -.040 1.000 181 115 125 086 -.309 -.014 -.134 -.321 -.134 -.016 181 1.000 -.048 -.479 065 335 -.231 -.005 -.150 -.397 -.028 115 -.048 1.000 039 -.065 053 -.219 073 141 -.007 118 125 -.479 039 1.000 -.018 -.635 103 022 -.226 -.441 145 086 065 -.065 -.018 1.000 035 -.311 182 -.340 -.213 -.017 -.309 335 053 -.635 035 1.000 -.009 001 -.120 039 -.023 -.014 -.231 -.219 103 -.311 -.009 1.000 -.040 154 -.564 -.685 -.134 -.005 073 022 182 001 -.040 1.000 202 -.181 -.103 -.321 -.150 141 -.226 -.340 -.120 154 202 1.000 1.000 149 -.440 -.474 -.093 149 1.000 -.138 -.547 -.333 WC_TA GP_TA Z_Score -.440 -.474 -.093 -.138 -.547 -.333 1.000 179 -.377 179 1.000 -.243 -.377 -.243 1.000 Variables not in the Equation Step 7a Variables DE_EQ SA_TA NP_SA RE_SA IV_SA DE_TA Overall Statistics a Variable(s) removed on step 7: SA_TA Score 001 1.737 292 1.135 000 029 3.985 df 1 1 1 Sig .981 188 589 287 986 864 679 Step Summarya,b Improvement Model Step Chi-square df Sig Chi-square df -.022 883 45.340 -.061 804 45.279 -.156 693 45.123 -.373 541 44.750 6 -1.763 184 42.987 -1.657 198 41.330 a No more variables can be deleted from or added to the current model b End block: Sig .000 000 000 000 000 000 Correct Class % 67.2% 66.8% 66.8% 67.2% 67.2% 68.7% Variable OUT: DE_TA OUT: DE_EQ OUT: IV_SA OUT: NP_SA OUT: RE_SA OUT: SA_TA ... Beneish vi h s M-Score phõn loi cụng ty cú gian ln BCTC v cụng ty khụng cú gian ln BCTC vi kt qu 112 CTNY cú du hiu gian ln BCTC v 156 CTNY khụng cú du hiu gian ln BCTC Kt qu phõn loi theo M-Score... sn giao dch chng khoỏn HOSE Sai sút bao gm gian ln v sai sút khụng c ý, nhiờn, sai sút gian ln l ni dung c nhn mnh lun vỡ cỏc ti liu u trung ỏnh giỏ cỏc th thut gian ln v phng phỏp phỏt hin gian. .. Phm vi v khụng gian: nhn din v phõn tớch cỏc t s ti chớnh cú kh nng nhn din gian ln BCTC ca cỏc cụng ty phi ti chớnh niờm yt trờn TTCK Vit Nam c thờ l ti sn giao dch chng khoỏn HOSE (Khụng nghiờn