Ket qua kilm dinh bang mo hinh kinh te lUOng cho thdy, co ca'u vd'n cua cdc CTNY tren thi trUdng chdng khodn VN bi tdc ddng bdi nhieu nhan to, de'n lugt minh, co ca'u vdn lai tdc ddng[r]
(1)>OJC-:J<ICIMWTO
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NGHIEN
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PHAN TICH TAC DpNG CUA Ctf CAU VON
DEN KHA NANG SINH LOfI CUA CAC CONG TY NIEM YET
TREN THI TRlfCfNG CHUfNG KHOAN VIET NAM
TS TRAN THI THANH TU*
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|ay ddng co cdu vd'n muc tieu va budng tdiCO ca'u vd^n to'i Uu la mgt nhdng ndi iung quan trgng k l hoach tdi ehinh cua bat ky doanh nghiep ndo Viec phan tieh dinh tinb vd dinh lugng cae nhdn to anh budng de'n eo eau vd^n se giup cho eac doanh nghiep chu ddng ddi phd vdi sd thay ddi eua eac nban to Den lugt minh, cO ca'u vdn lai I n h hUdng de'n kha ndng sinh ldi vd gid tri cua doanh nghiep Dac biet, ddi vdi cdc cong ty niem yet, gid cd phieu bi tdc ddng manh bdi nhieu ye'u to tren thi trUdng, dd, gid tri doanh nghiep la mgt nhdng ye'u to quan trgng nhdt Bdi viet ndy nghien cdu mo hinh kilm dinh cdc nhdn td tdc dgng d i n co cdu vdn cua cdc cong ty niem y i t tren Sd Giao dich Chdng khodn TP.HCM (HOSE), ddng thdi kiem chdng tdc dgng tich cUc hay tieu cdc cua viec suf dung ddn bay tai chinb cua cdc cdng ty ndy
1 Xdy difng md hmh phdn tich tdc ddng cua ctf cdii vdin d^n It ndng sinh loi cua cdc cdng ty nidm y^t trdn thj trildng chdng Ithoan VN
1.1 So lieu vd liia chgn bie'n cua md hinh
Sd lieu ve eac chi tieu tdi chinb cua ede doanh nghiep niem yet tren Sd Giao dich Chdng khodn TP.HCM (HOSE) theo nam (td 2005 den 2008) Bg sd lieu bao gdm hon 400 quan sat bao gdm cae cbi tieu tdi chinb cua cdc cdng ty niem yet (CTNY) ndm
1.2 Xdy diing md hinh gid dinh
Ldp mo binh 1: Phdn tich eac yeu to tdc ddng den CO cau von ciia doanh nghiep
Nhdng ylu td I n h hudng de'n co eau vd'n cua d c doanh nghiep (co ca'u vdn cua doanh nghiep se dugc dai dien bdng cbi tieu Ng/Tdng Vd'n bode Ng ddi han/Tdng Vdn)
DR = F( PoverTR, FAoverTA, ER, ROA, Di, Yj) LTDR = G( PoverTR, FAoverTA, ER, ROA, Di, Yj)
LUa chgn bie'n
Ten bie'n
Bie'n phu thupc
LTDR
DR
Bien dgc lap
PoverTR
FAoverTA
ER
Di
ROE
Yj
Gill thfch
Oo ludng cd cau vdn ciia cdc cong ty niem yet
Nd Dai han/(ng vay ngdn hang ddi han vd phat hdnh trdi phie'u) tren tdng vdn He sd no (bao gdm c l ng ngin vd ddi han) tren tdng vdn Do cac CTNY tren HOSE sd dung ng ddi han rdt it nen he sd ndy dUdc sd dung bd sung cho he sd Nd ddi han/Tong vdn
Gid vdn hdng bdn/Doanh thu Cdc doanh nghiep kinh doanh nhOng ngdnh nghe khde thi he sd rat khac ddc diem kinh doanh khde nhau, bie'n ndy dugc sd dung nhu bien gia cho rui ro kinh doanh Tdi san co djnh/ Tong tdi san Vdn chu sd hOu nhd nUdc/Tong vdn
Nganh thd i, i chay td de'n 11 cdc cdng ty niem yet dugc chia thdnh 11 nhom ngdnh
Thu nhap sau thue/Tong vdn chu sd hOu
j chay td 2005 -2008 de kiem dinh xem cdc nam khde thi he sd ng ciia cdc CTNY CO tiiay ddi khong
Quan he vdi bie'n phu thuoc
+/-
-(-+
+/
-
(2)NGHIEN C U & TRAO Doi
Ca hai bie'n phu thuge Id he sd nO tren tdng vd'n vd no ddi ban tren tdng vdn deu dugc k i l m dinh mo hinh de phdn tich Ndi cdch khde, md hinh F se k i l m
dinh xem viee sd dung no ddi ban hay tdng no eua doanh nghiep bi dnh hudng bdi nhdng yeu td' ndo, cd phu hgp vdi ly thuyet khong, cdn md binh G phdn tich nhdng ye'u td' tdc dgng de'n ty so tdng no t r e n tdng vd'n cua doanh nghiep Vl Iy thuye't, CO edu vd'n ehi nghien cdu cdc ngudn vdn ddi ban, dn dinh eua doanh nghiep, khong d l cap d i n vdn ngdn han Song, d VN, cdc doanh nghiep sd dung rd't nhilu vdn ngan ban, thdm cbi lam dung vd'n ngdn ban de tdi trg cho du an ddi ban Vi vdy, c l hai bien phu thudc la he so' no va ng ddi ban diu duge dua vdo md hinh
Ldp mo hinh 2: Phdn tich tdc ddng cua CO eau vd'n de'n kha ndng sinh ldi tren vd'n chu sd hufu ciia cdc CTNY
Dinh lugng mdc
do I n h hudng cua co cau vdn den kha ndng sinh ldi ciia doanh nghiep (khi ndng sinh ldi ciia doanh nghiep se dugc dai dien bang cdc ehi tieu ROE vd EPS) Qua dd kiem tra Iai gid thuye't kinh te': Trong nen kinh te dn dinb thi doanh nghiep suf dung nhieu no thi cac ehi sd ROE vd EPS tdng, ddn bay tdi chinh co tdc ddng tich cUc
ROE = F D R , LTDR) EPS = E OR' LTDR)
2 Kdi qua md hinh
2.1 Ke't qud md hinh
Bang Phan tfch cac nhan to tac dgng de'n cd cau von cua CTNY tren HOSE
Dependent variable Is DOVERTE
461 observations used for estimation from to 461 Regressor
INPT POVERTR FAOVERTA ER
D4 D7 PTRY2005 PTRY2006 OETEY2005 OETEY2006 OETEY2007
Coefficient
0,25957 0,12757 0,089425 0,57820 0,12619 0,15462 0,14668 0,10256 -0,53353 -0,47633 -0,52596
R-Squared 0,20253 S.E of Regression 0,23891 Mean of Dependent Variable 0,47556
Residual Sum of Squares 25,6843 Akaike Info Criterion 0,44253
DW-statistic 2,0493
Standard Error
0,048479 0,056498 0,048317 0,083258 0,039396 0,036687 0,045691 0,039447 0,18263 0,17379 0,14613
T-Ratio[Prob]
5,3543[0,000] 2,2579[0,024] 1,8508[0,065] 6,9447[0,000] 3,2032[0,001] 4,2146[0,000] 3,2103[0,001] 2,6000[0,010] -2,9214(0,004] -2,7409(0,006] -3,5993(0,000]
R-Bar-Squared 0,18481 F-stat F( 10,450) 11,4285[0,000]
S.D of Dependent Variable 0,26460 Equation Log-likelihood 11,4425 Schwarz Bayesian Criterion -22,2912
Diagnostic Tests Test Statistics
A:Serial Correlation B:Functional Form C:Normality
D:Heteroscedasticity
LM Version
CHSQ(1)= 0,31170[0,577] CHSQ(1)= 21,0994[0,000] CHSQ(2)= 1.113,1 [0,000] CHSQ(1)= 1,8983[0,168]
F Version
F(1,449)=0,30379[0,582] F(1,449)=21,5358[0,000] Not applicable
F(1,459)=1,8979[0,169]
2.2 Phdn tich ke't qud md hinh
2.2.1 Phdn tich cdc nhdn td tdc dgng den ca cdu vdn
He so no ngan ban trung binh cua cdc CTNY tren HOSE Id 47%, dd, be so no dai ban tren tdng vd'n k h o i n g 12% Dieu cbo tha'y cdc CTNY tren HOSE, da dung mdt ty le rat ldn vd'n ngan ban de tdi trg dU an dai ban Do vay, rui ro
(3)NGHIEN CLTU & TRAO DOI
Bang Phan tfch tac dpng ciia cd ca'u von de'n ROE cCia cac CTNY tren HOSE
Dependent variable is ROE
461 observations used for estimation from to 461 Regressor
INPT DR
Coefficient
0,11917 0,14469
R-Squared 0,029798
S.E of Regression 0,70106 Mean of Dependent Variable
0,18798 Residual Sum of Squares 225,5939 Akaike Info Criterion -491,4012 DW-statistic 1,9985
Standard Error
0,067211 0,12353
T-Ratio[Prob]
1,7731(0,077] 1,1712(0,242]
R-Bar-Squared 0,807E-3
F-stat F(1,459) 1,3718(0,242] S.D of Dependent Variable 0,70135 Equation Log-likelihood -489,4012 Schwarz Bayesian Criterion -495,5346
Diagnostic Tests Test Statistics
A:Serial Correlation B:Functional Form C:Normality
D:Heteroscedasticity
LM Version
CHSQ(1)= 0,2094E-3(0,988] CHSQ(1)= 0,85594(0,355] CHSQ(2)= 3.540.850(0,000] CHSQ(1)= 0,62132(0,431]
F Version
F(1,458)=0,2080E-3(0,988] F(1,458)= 0,85195(0,356] Not applicable
thanh khoan Id rd't eao
He sd Ng/Tdng vo'n eua cdc CTNY it thay ddi theo thdi gian td ndm 2005 de'n 2007 (Cdc bie'n Y2005, Y2006, Y2007 khong cd dnh budng thUe sU d i n b i l n DoverTE) Ndm 2007, he sd no cd giam nhung khong ddng ke Tuy nhien, de'n ndm 2008, he sd ng giam manh tdc ddng cua lam phdt vd chi phi ldi vay tdng cao Ddy la mgt nhdng tdc ddng tieu cUc eua chinh sdch t i l n te giai doan dnh hudng den khd nang tiep can vd'n vay cua cdc doanh nghiep noi chung vd cdc CTNY ndi rieng
Cdc cong ty ed he sd vd'n chu sd hdu nhd nUdc tren tdng vd'n tdng tbi he sd ng cang tang Dilu cho tha'y, cdc CTNY tren HOSE, Id nhdng cong ty cd quy md (vd'n nha nUdc, tdng tdi s i n , mdc vdn boa) ldn hon cdc CTNY tren HNX, ty le vd'n chu sd hOfu cua Nhd nUdc ldn se khuye'n khieh cdc cdng ty vay no nhilu bOn de md rgng dau tU, san xua't Tuy nhien, viec vay no cd hieu qui bay khong cdn phu thuge vdo hieu qui dau tu ciia cdc du dn Dieu se dugc kiem chdng d mo binh bdi quy thd bai
2.2.2 Phdn tich tdc dgng cua ca cdu von den khd ndng sinh ldi cua cdc CTNY tren HOSE
K h i ndng sinh ldi cua cdc CTNY tren HOSE la khd cao, ROE Id 18,4% edn EPS Id 3.081 VND/cd phie'u So vdi cdc loai hinh doanh nghiep khde nhU SOE hay SME thi day Id k i t qua rd't ddng khich le Song, ke't qui chay mo binh lai eho thdy gida CO cdu vd'n vd k h i ndng sinh ldi tren vd'n chu sd hdu cua eac CTNY tren HOSE cd md'i quan he ty le nghich
Td ke't qui chay mo hinh hdi quy, ed the tha'y dd'i vdi cdc CTNY t r e n HOSE, kha ndng sinh ldi (qua ehi tieu ROE) dudng nbu khdng phu thudc vdo cO ca'u no cua cae doanh nghiep (hdi quy vdi d chi tieu Ng/Tdng vdn vd No ddi han/Tdng vo'n deu cho ke't q u i n i y ) Tuy nhien, chi tieu EPS thi lai chiu tdc ddng cua co ca'u vd'n cua doanh nghiep Dieu ndy cd the dUOc giai thich nbd sau: Chinb sdch t r i cd tdc ciia cdc CTNY la mgt yeu td anh hudng de'n EPS cua cdc eong ty ndy Cdng ty se quye't dinh ty le gid lai lgi nhuan de tai d i u tU vd ty le tra cd tdc bang t i l n mat, vay, se anh hudng den eo ca'u vd'n Vi du, mgt cdng ty theo dudi chinb sdch trd cd tdc bang t i l n mat, se lam giam lgi nhuan giuf Iai dl tai d i u tu, vay, cO ca'u vd'n se hudng sang viec sd dung no hay phat hdnh them co phieu mdi
Khi Ng/Tdng vdn tdng them 1% thi thu nhap t r e n mgt cd p h a n se gidm xud'ng 0,49404% vd ngugc Iai (trong dieu kien cdc yeu td khde khdng ddi) Anh hudng eua co cdu vdn tdi chi tieu la ngugc chiiu, dilu ndy eo t h i gidi thich Id d c doanh nghiep niem yet t r e n HOSE boat ddng chUa hieu qui; sd dung nhieu ng/tdng vd'n, ehi tieu EPS vdn khong tdng, tham ehi giam, cd nghia la viec sd dung ddn bay tdi chinh ed tdc ddng tieu cue
3 Khuydh nghf va icdt ludn
3.1 Khuyen nghi
F(1,459)= 0,61946(0,432]
(4)NGHIEN C U & TRAO D O I
Bang Phan tfch tac dpng cua cd cau von de'n EPS cCia cac CTNY tren HOSE
Dependent variable is EPS
461 observations used for estimation from to 461
Regressor
INPT
DR
Coefficient
3677,0 -1251,8 R-Squared
S.E of Regression
Mean of Dependent Variable Residual Sum of Squares Akaike Info Criterion
DW-statistic
0,083737 3.608,4 3.081,7 5,98E+09 -4.431,2 1,7586
Standard Error
3,459,410 6,358,337
T-Ratio[Prob]
10,6290(0,000] -1,9688(0,050]
R-Bar-Squared 0,062133 F-stat F(1,459) 3,8760(0,050] S.D of Dependent Variable 3.619,7 Equation Log-likelihood -4.429,2 Schwarz Bayesian Criterion -4.435,3
Diagnostic Tests Test Statistics
A:Serial Correlation B:Functional Form C:Normality
D:Heteroscedasticity
LM Version
CHSQ(1)= 6,7682(0,009] CHSQ(1)=0,057232(,811] CHSQ(2)= 10.632,2(0,000] CHSQ(1)= 0,020345(0,887]
F Version
F(1,458)= 6,8243(0,009] F(1,458)= 0,056866(0,812] Not applicable
F(1,459)= 0,020258(0,887]
- Can giam he sd no cua CTNY tren HOSE Cd t h i ndi, ede CTNY tren HOSE diu cd he sd no khd cao vd cd xu hudng gia tdng Tuy nhien, viec sd dung no Iai cd tdc ddng tieu cdc den khd ndng sinh Idi cua ede eong ty ndy CI phdn tieh thdng ke vd ket q u i chay mo hinh hdi quy diu cho thay he sd no cd tdc ddng ngugc chiiu de'n kha ndng sinh ldi cua cdc CTNY
Do vdy, giai doan phdn tich (2005-2008), viec sii dung no Id bat Igi, vdy, cae CTNY can xem xet viee g i i m no d l g i i m g I n h nang ldi vay thdi gian tdi
- Can giim ty le vd'n cbii sd hdu nha nUde tren tdng vd'n d l khuye'n khich eac CTNY suf dung no Cd the thdy, d hau bet cac CTNY diu cd ty le vd'n chu sd hdu nha nude tren tdng vd'n khd cao, tha'p nha't II nhdm nganb xdy dung va bat ddng s i n la 33% vd cao nhd't Id nhdm ngdnh cdng nghe cung len de'n 67% Hien tugng cung gid'ng cdc CTNY d Trung Qudc, ty le vd'n chu sd hdu nbd nudc n l m gid bie'n ddng td 30%-40%, vay, quyin can thiep cua Nhd nUdc (dai dien vdn nbd nudc) van co y nghia quylt dinh d i n boat ddng tdi chinl doanh nghiep P h a n tich k i l m dinh bdng mc nh hdi quy d phan tren eung cbo tha'y
d eac CTNY cd ty le vdn chu sd hdu tren tdng von ty le nghich vdi he sd ng Nlu ty le no tren vd^n chu sd hdu gidm se khuyen khieh cdc CTNY tdng sd dung ng vd tan dung tdc dgng tich cdc ciia ddn bay tai chinb Do vay, de cdc CTNY ed t b i tu chu viec lUa chgn eO ca'u vdn tdi Uu, c i n g i i m bdt ty le sd hdu cua Nhd nUdc tai cdc CTNY
- Cac CTNY can tinb todn va lap ke hoach eo ca'u vdn de ddn bay tdi chinb phat buy tdc dgng tich cUe
Qua khdo sdt cdc CTNY tren d HOSE, hau bet cdc cong ty chUa thUc sU quan tdm den viec xdy dung vd lUa chgn mgt co cdu vdn tdi Uu Viee lap ke hoacb quan ly vdn chu ylu phu thudc vdo vd'n vay ngdn hdng Viec da dang bod eac ngudn vd'n bang each phat hdnh trai phie'u hay cac cdng cu no khde ehUa dugc quan tam Do vdy, co eau vdn cua d c cdng ty khong cd nhilu phUOng an de lUa ebon Ddn bay tai chinb cd tac ddng tich cUc hay tieu cdc hodn todn phu thudc vdo b i l n ddng ciia thi trudng, chd khong cdng ty chu ddng lap ke hoacb trUdc Vi the, giai doan n l n kinb te suy thodi (nam 2008), viec sd dung no gia tang lam giim sut kha ndng sinh ldi eiia eac cdng ty; cdn giai doan tbi trUdng chdng khoan phdt
(5)NGHIEN QJTU & TRAO D O I
trien manh (2006-2007), cdc CTNY cang suf dung nhieu no thi kha ndng sinh ldi cang eao
Chinh vi the, cdc CTNY can chii dgng lap ke hoach xay ddng co cdu vdn tdi Uu tdng chu ky kinh doanh, tdng giai doan phat trien cua n l n kinh te Cic co sd tinb toan eo edu vdn tdi Uu nbd chi phi vd'n, chi phi phdt b a n h can phdi duge xem xet day dd, nham giup cac CTNY cd the chu dgng lUa chgn co ca'u vd^n tdi Uu nham gia tang khd ndng sinh ldi, tdi da hod gid tri cho chu sd hdu
3.2 Mgt sd hgn che vd cdc vdn de cdn nghien cUu tie'p
Trong mo binh tren, cdn mgt so bien rdt cd y nghia ve ly thuyet, tdc ddng trUe tiep den co cdu vdn, td dd, tdc dgng den khd ndng sinh ldi eua cdc CTNY Trong dilu kien chinh sdch tbue' eua VN hien nay, thue' s u i t thue thu nhap doanh nghiep g i n nhu la ed' dinh, khong ed sd khde biet gida ede ngdnh nghe kinb doanh khde hay gida cdc dia pbuong khde nhau, vdy, dUa bien thue s u i t thue thu nhdp doanh nghiep vdo mo hinh se khdng cd nghia Cdn mgt sd b i l n khde (vi du nhu chi phi vay ng, quy md doanh nghiep bay rui ro kinh doanh) chUa thu thap du so' lieu nen tdc gia chUa the dUa vdo md hinh nghien cdu Tac gid mong mud'n cdc bie'n sd' ndy se dugc bd sung nghien cdu thdi gian tdi
3.3 Ke't ludn
Ket qua kilm dinh bang mo hinh kinh te lUOng cho thdy, co ca'u vd'n cua cdc CTNY tren thi trUdng chdng khodn VN bi tdc ddng bdi nhieu nhan to, de'n lugt minh, co ca'u vdn lai tdc ddng den k h i ndng sinh Idi cua cua cdc eong ty Tuy nhien, tdc dgng ciia co ca'u vdn den khd ndng sinh ldi la khde gida eac CTNY tren HOSE vd HNX Trong cdc CTNY tren HOSE sd dung ddn bay tdi ehinh ed tdc dgng tieu cUe thi cac CTNY tren HNX lai tan dung ddge tdc dgng tich cUc eua ddn bay tdi ehinh Trong bdi cdnh n l n kinh te tang trUdng manh vdo ndm 2006-2007, cdc CTNY tan dung thdng du vd'n phdt hdnh cd phie'u nen be so' ng rd't tha'p Nhdng d i n nam 2008, lam phdt gia tang, ehi phi lai vay tang cao thi ngUOc lai, be sd ng cua cdc cong ty diu giam manh Vd de'n ndm 2009, nen kinh te' bat dau roi vdo tinh trang suy thodi, chinh sdch eho vay HTLS cua Chinh phii lai khuyen khich eac CTNY sd dung ng nhilu hon
De cd the chii ddng xdy dUng va lUa chgn cO ca'u vd'n tdi Uu, cac CTNY c i n nhdn tbde day dii ve vai trd cung nbu tdc ddng d tich cUe ldn tieu cUc cua ddn bay tai chinb Ben canh dd, can g i i m
ty Ie sd hdu cua Nhd nUde tai cdc CTNY n h a m t a n g quyin chu dgng hon nda cho cdc cdng ty viec lUa chgn co cd'u vdn tdi Uu Day cung II xu the chung cua cdc nUdc dang giai doan chuyen ddi nhu Trung Qudc hay cdc nUdc Trung Dong, mdt m a t vda thuc day cae doanh nghiep nhd nudc co phan hod thdc hien niem yet, tao dieu kien eho thi trUdng chdng khodn phdt trien, mat khac giup cdc CTNY chu ddng xdy ddng co ca'u vd'n tdi Uu de tdi da hod gid tri cho chu sd hdu" TAI LIEU THAM KHAO
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