CHƢƠNG 5 : KẾT LUẬN
5.2. Hạn chế và hƣớng phát triển của bài nghiên cứu
Nghiên cứu sử dụng dữ liệu từ năm 2009- trong giai đoạn chịu tác động của khủng hoảng kinh tế, nên kết quả nghiên cứu có thể khơng phản ánh đƣợc tác động của quản trị vốn luân chuyển lên mối quan hệ của HCTC và đầu tƣ của những giai đoạn trƣớc. Do đó, trong các nghiên cứu tiếp theo, tác giả sẽ xem xét mơ hình trong 2 giai đoạn trƣớc và sau khủng hoảng kinh tế năm 2008 để thấy có sự khác biệt hay khơng vai trị của vốn ln chuyển giữa hai giai đoạn này.
Trong nghiên cứu này tác giả chỉ sử dụng một thang đo HCTC là độ nhạy cảm của đầu tƣ với dòng tiền, tuy nhiên còn nhiều cách khác nhau để đánh giá mức độ HCTC của DN nhƣ chỉ số KZ (1997). Bên cạnh đó, luận văn này chỉ phân mẫu theo cơ cấu sở hữu, mà chƣa xét đến các cách phân loại khác(nhƣ tỷ lệ chia cổ tức, quy mô, cắt giảm cổ tức) nên những nghiên cứu tiếp theo tác giả sẽ xem xét sử dụng các tiêu chí đo lƣờng HCTC, phân mẫu khác nhau để kiểm định mối quan hệ giữa HCTC và đầu tƣ./.
18
TÀI LIỆU THAM KHẢO
Tài liệu trong nƣớc
1. Nguyễn Minh Hà và Nguyễn Hoàng Phi Nam, 2015. Tác động của HCTC đến đầu tƣ của các DN sản xuất niêm yết trên thị trƣờng chứng khoán Việt Nam.
Tạp Chí Cơng Nghệ Ngân Hàng, số 117.
2. Vũ Đình Ánh, 2011. Biến động lãi suất và tín dụng ngân hàng năm 2010. Tạp Chí Ngân Hàng, số 3 + 4.
http://www.sbv.gov.vn/webcenter/portal/vi/menu/rm/apph/tcnh/tcnh_chitiet?ce nterWidth=80%25&dDocName=CNTHWEBAP01162522924&leftWidth=20% 25&rightWidth=0%25&showFooter=false&showHeader=false&_adf.ctrl- state=7sumrxb1i_50&_afrLoop=53909065411000#!
Tài liệu nƣớc ngoài
1. <http://www.investopedia.com/terms/w/workingcapital.asp>. [Ngày truy cập 30 tháng 10 năm 2016]
2. Alessandra Guariglia, 2008. Internal financial constraints, external financial constraints and investment choice: Evidence from a panel of UK firms. Journal
of Banking and Finance, vol 32, pp. 1795–1809.
3. Armen Hovakimian, Gayané Hovakimian, 2009. Cash Flow Sensitivity of Investment. European financial management, vol. 15, pp. 47-65.
4. Ben Bernanke and Mark Gertler, 1989. Agency Costs, Net Worth, and Business Fluctuations. The American Economic Review, vol. 79 (1), pp. 14-31.
5. Bhagat Sanjai, Nathalie Moyen and Inchul Suh, 2005. Investment and internal funds of distressed firms. Journal of Corporate Finance, Vol. 11 (3), pp. 449– 472.
6. Conor M. O’Toole, Edgar Morgenroth, Ha Thi Thu Thuy, 2015. Investment efficiency, state-owned enterprises and privatisation: Evidence from Viet Nam
7. Donald P.Morgan, 1991. New evidence firm are financially constrained.
Economic Review, pp. 37-45.
8. Edwin Kuh and John R. Meyer, 1958. How Extraneous are Extraneous Estimates? The Review of Economics and Statistics, vol. 39 (4) , pp. 380-393 9. Farai Kwenda, 2015. Investment and financing constraints: can working capital
management make a difference in South Africa? Banks and Bank Systems, vol. 10 (1).
10. Fatemeh Baghiyan, 2013. Working capital Management, Investment and Financing constraints in Companies listed on the Tehran, Iran Stock Exchange.
International Journal of Business and Economics Research, vol. 2 (6), pp. 130-
133.
11. Franco Modigliani and Merton H. Miller, 1958. The cost of capital, corporation finance and the theory of investment. The American Economic Review, vol. 48, pp. 261-297.
12. Frank K. Reilly và Keithy C. Brown, 2011. Investment Analysis and Portfolio Manangement, tenth edition. South - Western Cengage Learning, pp.
4.
13. Gianni La Cava, 2005. Financial constraints, the user cost of capital and corporate investment in Australia. Research Discussion Paper, pp. 2005-12.
14. Hong Bo, Ciaran Driver, Hsiang-Chun Michael Lin, 2014. Corporate investment during the financial crisis: Evidence from China. International
Review of Financial Analysis, vol.35, pp. 1–12.
15. James Tobin, 1969. A General Equilibrium Approach To Monetary Theory.
Journal of Money, Credit and Banking, vol.1 pp. 15-29.
16. Juda Agung, 2000. Financial constraint, firms' investments and the channels of monetary policy in Indonesia. Applied Economics, vol. 32 (13), pp. 1637- 1646.
17. Meyer, J. and E. Kuh, 1957. The Investment Decision. Cambridge, MA: Harvard University Press, pp.xv +284. 48s.
18. Michael C. Jensen, William H. Meckling, 1976. Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, vol. 3, pp. 305-360.
19. Michael Firth, Paul H. Malatesta, Qingquan Xin, Liping Xu, 2012. Corporate investment, government control, and financing channels: Evidence from China's Listed Companies. Journal of Corporate Finance, vol 18, pp. 433-350.
20. Murillo Campello, John R. Graham, Campbell R. Harvey, 2010. The real effects of financial constraints: Evidence from a financial crisis. Journal of Financial Economics, vol.97 (3), pp.470-487.
21. Rejie George, Rezaul Kabir, Jing Qian, 2011. Investment–cash flow sensitivity and financing constraints: New evidence from Indian business group firms. Journal of Multinational Financial Management, vol. 21 ,pp. 69–88 22. Robert E. Carpenter, Alessandra Guariglia, 2003. Cash flow, investment, and
investment opportunities: New tests using UK panel data. Discussion Papers in
Economics, ISSN 1360-2438.
23. Sai Ding, Alessandra Guariglia, John Knight, 2012. Investment and financing constraints in China: Does working capital management make a difference?
Journal of banking and finance, vol 37, pp. 1490 – 1507.
24. Sean Cleary , Paul Povel and Michael Raith, 2007. The U-Shaped Investment Curve: Theory and Evidence. Journal of Financial and Quantitative
Analysis, vol.42, pp. 1-39.
25. Steven M. Fazzari, Bruce C.Petersen, 1993. Working capital and fixed investment: New evidence on financing constraints. RAND Journal of Economics, vol 24, pp. 328-341.
26. Steven M. Fazzari, R. Glenn Hubbard, Bruce C. Petersen, 1988. Financing constraints and corporate investment. Brookings Papers on Economic Activity,
27. Steven N. Kaplan and Luigi Zingales, 1997. Do investment-cash flow sensitivities provide useful measures of financing constraints? Quarterly Journal of Economics, vol. 112(1), pp. 169-215.
28. Stewart C. Myers and Nicholas S. Majluf, 1984. Corporate financing and investment decisions when firms have information that investors do not have? Journal of financial economics, vol. 13, pp. 187-221.
29. Wale, L.E. (2014). Investment Cash Flow Sensitivity as a Measure of Financing Constraints: Evidence from Selected African Countries. Journal of Economics & Behavioral Studies, vol. 6 (8).
PHỤ LỤC
Bảng mã hóa các biến
STT Biến Mã hóa STT Biến Mã hóa
1 I/K Ik 12 WK/K wkk
2 IWK/K Iwkk 13 Inventories/sales invsales
3 CF/K cfk2 14 Inventories/k invk
4 Q Tobinq 15 FinWK/K finwkk
5 Assets Assets 16 DSO dso
6 Size Size 17 DPO dpo
7 Age Age 18 ITO ito
8 Salesgrowth Salegrowth 19 CCC Ccc
9 Leverage Leverage 20 CF/K*HIGH highcfk2
10 Collateral Collateral 21 CF/K*LOW lowcfk2
11 WK/K Wkk 22 WKS wksi2
Bảng thống kê các quan sát theo năm
Mục I: Mơ hình hồi quy mối quan hệ giữa đầu tƣ và HCTC Thống kê mô tả các đặc điểm của DN
Total 917 100.00 2015 123 13.41 100.00 2014 136 14.83 86.59 2013 144 15.70 71.76 2012 144 15.70 56.05 2011 144 15.70 40.35 2010 123 13.41 24.65 2009 103 11.23 11.23 year Freq. Percent Cum.
Thống kê mô tả chỉ tiêu quản lý vốn luân chuyển
Ma trận hệ số tƣơng quan
Kiểm định phƣơng sai thay đổi
max 6.289178 4.037223 15.0962 43.33251 10004.71 213.9003 36.4541 min 0 .2283767 -8.581896 -3.416035 -2758.684 0 -203.9472 sd .4037032 .4468353 1.580843 4.063621 1048.382 11.81874 11.25324 p50 .1505798 .9524574 .0786859 .8570182 97.28494 .9527964 -.1440782 mean .2589404 1.065181 .2479796 2.123583 352.9689 2.99915 -.8755674 stats invsales tobinq iwkk wkk wk invk finwkk max 1.227157 71849.7 40 2.659559 8.401664 .947185 1 min -4.544167 84.85278 2 -2.708649 -1.310468 .0019807 .1561693 sd .3849412 5687.647 6.645918 .3501747 1.036936 .2205059 .1482872 p50 .1805733 915.6896 14 .1087681 .541399 .5679139 .8819043 mean .2013823 2659.671 14.3217 .109994 .8685859 .5284256 .837058 stats ik assets age salegr~h cfk2 leverage collat~l > wk invk finwkk, stats (mean median sd min max)
. tabstat ik assets age salegrowth cfk2 leverage collateral invsale tobinq iwkk wkk
max 792.4182 964.1542 70332.29 2452.496 min -136.243 0 .1574638 -467.878 sd 86.77933 83.0748 4308.233 183.2435 p50 44.85857 39.00418 5.242767 80.91472 mean 69.80239 58.43882 386.0244 126.2844 stats dso dpo ito ccc
. tabstat dso dpo ito ccc, stats (mean median sd min max)
Mean VIF 1.16 iwkk 1.07 0.936230 tobinq 1.17 0.853921 cfk2 1.24 0.806304 Variable VIF 1/VIF . vif 0.0000 0.0053 0.0000 tobinq 0.1576 0.0920 0.3822 1.0000 0.0169 0.0000 cfk2 0.0789 0.2525 1.0000 0.0925 iwkk -0.0556 1.0000 ik 1.0000 ik iwkk cfk2 tobinq . pwcorr ik iwkk cfk2 tobinq, sig
Kiểm định tự tƣơng quan
Kết quả hồi quy
Kết quả hồi quy phƣơng trình (1)
(Robust, but weakened by many instruments.)
Hansen test of overid. restrictions: chi2(14) = 12.87 Prob > chi2 = 0.537 (Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(14) = 12.32 Prob > chi2 = 0.581 Arellano-Bond test for AR(2) in first differences: z = 0.68 Pr > z = 0.495 Arellano-Bond test for AR(1) in first differences: z = -2.99 Pr > z = 0.003 L2.(cfk2 tobinq)
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(nam1 nam2 nam3 nam4 nam5 nam6 nam7)
Standard
Instruments for first differences equation
tobinq .1405939 .0730209 1.93 0.056 -.0037206 .2849083 cfk2 .0982096 .046166 2.13 0.035 .0069696 .1894496 ik Coef. Std. Err. t P>|t| [95% Conf. Interval] Corrected
Prob > F = 0.017 max = 6 F(2, 146) = 4.21 avg = 5.25 Number of instruments = 16 Obs per group: min = 1 Time variable : year Number of groups = 146 Group variable: id Number of obs = 767 Dynamic panel-data estimation, two-step difference GMM
Difference-in-Sargan/Hansen statistics may be negative.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Warning: Two-step estimated covariance matrix of moments is singular.
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm. . xtabond2 ik cfk2 tobinq, gmm(cfk2 tobinq, lag (2 2)) iv(nam*) two nolevel robust small
Prob > chi2 = 0.6085 chi2(1) = 0.26 Variables: fitted values of ik Ho: Constant variance
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity . hettest
Prob > F = 0.7128 F( 1, 144) = 0.136 H0: no first order autocorrelation
Wooldridge test for autocorrelation in panel data . xtserial ik iwkk tobinq cfk2
Difference (null H = exogenous): chi2(6) = 5.91 Prob > chi2 = 0.433 Hansen test excluding group: chi2(12) = 14.25 Prob > chi2 = 0.285 > am6 1.nam6 0b.nam7 1.nam7)
iv(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 1.nam5 0b.n Difference (null H = exogenous): chi2(15) = 15.15 Prob > chi2 = 0.441 Hansen test excluding group: chi2(3) = 5.01 Prob > chi2 = 0.171 gmm(highcf2 lowcf2 tobinq, lag(2 2))
Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.)
Hansen test of overid. restrictions: chi2(18) = 20.16 Prob > chi2 = 0.324 (Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(18) = 21.17 Prob > chi2 = 0.271 Arellano-Bond test for AR(2) in first differences: z = 0.55 Pr > z = 0.585 Arellano-Bond test for AR(1) in first differences: z = -2.92 Pr > z = 0.003 L2.(highcf2 lowcf2 tobinq)
GMM-type (missing=0, separate instruments for each period unless collapsed) 1.nam5 0b.nam6 1.nam6 0b.nam7 1.nam7)
D.(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 Standard
Instruments for first differences equation
tobinq .169446 .075581 2.24 0.026 .0200718 .3188202 highcf2 .0761402 .0595439 1.28 0.203 -.0415392 .1938196 lowcf2 .0777183 .2215407 0.35 0.726 -.3601228 .5155594 ik Coef. Std. Err. t P>|t| [95% Conf. Interval] Corrected
Prob > F = 0.073 max = 6 F(3, 146) = 2.37 avg = 5.25 Number of instruments = 21 Obs per group: min = 1 Time variable : year Number of groups = 146 Group variable: id Number of obs = 767 Dynamic panel-data estimation, two-step difference GMM
Difference-in-Sargan/Hansen statistics may be negative. > imation.
Using a generalized inverse to calculate optimal weighting matrix for two-step est Warning: Two-step estimated covariance matrix of moments is singular.
> e, perm.
Favoring speed over space. To switch, type or click on mata: mata set matafavor spac > nam*) two small robust nolevel
Difference (null H = exogenous): chi2(6) = 12.05 Prob > chi2 = 0.061 Hansen test excluding group: chi2(8) = 9.29 Prob > chi2 = 0.318 > am6 1.nam6 0b.nam7 1.nam7)
iv(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 1.nam5 0b.n Difference (null H = exogenous): chi2(10) = 16.69 Prob > chi2 = 0.081 Hansen test excluding group: chi2(4) = 4.65 Prob > chi2 = 0.325 gmm(cfk2 tobinq, lag(2 2))
Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.)
Hansen test of overid. restrictions: chi2(14) = 21.34 Prob > chi2 = 0.093 (Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(14) = 18.25 Prob > chi2 = 0.196 Arellano-Bond test for AR(2) in first differences: z = -0.55 Pr > z = 0.581 Arellano-Bond test for AR(1) in first differences: z = -3.76 Pr > z = 0.000 L2.(cfk2 tobinq)
GMM-type (missing=0, separate instruments for each period unless collapsed) 1.nam5 0b.nam6 1.nam6 0b.nam7 1.nam7)
D.(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 Standard
Instruments for first differences equation
tobinq .4527429 .2242322 2.02 0.045 .0095826 .8959032 cfk2 .5496498 .2374046 2.32 0.022 .0804562 1.018843 iwkk Coef. Std. Err. t P>|t| [95% Conf. Interval] Corrected
Prob > F = 0.004 max = 6 F(2, 146) = 5.86 avg = 5.25 Number of instruments = 16 Obs per group: min = 1 Time variable : year Number of groups = 146 Group variable: id Number of obs = 767 Dynamic panel-data estimation, two-step difference GMM
Difference-in-Sargan/Hansen statistics may be negative. > imation.
Using a generalized inverse to calculate optimal weighting matrix for two-step est Warning: Two-step estimated covariance matrix of moments is singular.
> e, perm.
Favoring speed over space. To switch, type or click on mata: mata set matafavor spac > t nolevel
Mục II. Mối quan hệ giữa FKS,WKS và các biến kiểm sốt Thống kê mơ tả
Theo FKS
Theo WKS
Difference (null H = exogenous): chi2(6) = 8.35 Prob > chi2 = 0.214 Hansen test excluding group: chi2(12) = 14.13 Prob > chi2 = 0.292
iv(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 1.nam5 0b.nam6 1.nam6 0b.nam7 1.nam7) Difference (null H = exogenous): chi2(15) = 18.04 Prob > chi2 = 0.261
Hansen test excluding group: chi2(3) = 4.45 Prob > chi2 = 0.217 gmm(highcf2 lowcf2 tobinq, lag(2 2))
Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.)
Hansen test of overid. restrictions: chi2(18) = 22.48 Prob > chi2 = 0.211 (Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(18) = 25.92 Prob > chi2 = 0.101 Arellano-Bond test for AR(2) in first differences: z = -0.73 Pr > z = 0.463 Arellano-Bond test for AR(1) in first differences: z = -3.60 Pr > z = 0.000 L2.(highcf2 lowcf2 tobinq)
GMM-type (missing=0, separate instruments for each period unless collapsed) 1.nam5 0b.nam6 1.nam6 0b.nam7 1.nam7)
D.(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 Standard
Instruments for first differences equation
tobinq .3799215 .2206839 1.72 0.087 -.0562262 .8160692 highcf2 .5494329 .2477377 2.22 0.028 .0598175 1.039048 lowcf2 -.6714459 .9977697 -0.67 0.502 -2.643384 1.300492 iwkk Coef. Std. Err. t P>|t| [95% Conf. Interval] Corrected
Prob > F = 0.005 max = 6 F(3, 146) = 4.50 avg = 5.25 Number of instruments = 21 Obs per group: min = 1 Time variable : year Number of groups = 146 Group variable: id Number of obs = 767 Dynamic panel-data estimation, two-step difference GMM
Difference-in-Sargan/Hansen statistics may be negative.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Warning: Two-step estimated covariance matrix of moments is singular.
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
. . xtabond2 iwkk lowcf2 highcf2 tobinq,gmm( highcf2 lowcf2 tobinq, lag(2 2)) iv(i.nam*) two small robust nolevel
Total 3.288196 -1.137078 L 3.417185 -1.425275 H 2.852857 -.1644143 hlfks2 invk finwkk Total .1917016 2581.941 14.17143 .1118326 .8707649 .5308711 .8349191 .2674 1.069624 .3035053 2.151117 350.5051 L .1955314 2791.824 13.97685 .1177286 .844145 .5361041 .8501586 .250177 1.067296 .3403962 1.99191 329.7263 H .1787762 1873.586 14.82813 .0919336 .9606071 .5132096 .7834859 .3255275 1.07748 .1789985 2.688443 420.6333 hlfks2 ik assets age salegr~h cfk2 leverage collat~l invsales tobinq iwkk wkk wk by categories of: hlfks2 (hlfks2)
Summary statistics: mean
. tabstat ik assets age salegrowth cfk2 leverage collateral invsales tobinq iwkk wkk wk invk finwkk, stats (mean) by(hlfks2)
(Robust, but weakened by many instruments.)
Hansen test of overid. restrictions: chi2(15) = 12.76 Prob > chi2 = 0.621 (Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(15) = 27.59 Prob > chi2 = 0.024 Arellano-Bond test for AR(2) in first differences: z = 0.35 Pr > z = 0.727 Arellano-Bond test for AR(1) in first differences: z = -3.23 Pr > z = 0.001 L3.(iwk cfk2 tobinq)
GMM-type (missing=0, separate instruments for each period unless collapsed) 1.nam5 0b.nam6 1.nam6 0b.nam7 1.nam7)
D.(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 Standard
Instruments for first differences equation
tobinq .1918838 .0787065 2.44 0.016 .0363325 .3474351 cfk2 .1849777 .0889907 2.08 0.039 .0091013 .3608542 iwk 1.09e-13 6.62e-14 1.65 0.100 -2.14e-14 2.40e-13 ik Coef. Std. Err. t P>|t| [95% Conf. Interval] Corrected
Prob > F = 0.009 max = 6 F(3, 146) = 4.01 avg = 5.25 Number of instruments = 18 Obs per group: min = 1 Time variable : year Number of groups = 146 Group variable: id Number of obs = 767 Dynamic panel-data estimation, two-step difference GMM
Difference-in-Sargan/Hansen statistics may be negative.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Warning: Two-step estimated covariance matrix of moments is singular.
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm. . xtabond2 ik iwk cfk2 tobinq,gmm( iwk cfk2 tobinq, lag(3 3)) iv(i.nam*) two small robust nolevel
L3.(iwk cfk2 tobinq)
GMM-type (missing=0, separate instruments for each period unless collapsed) 1.nam5 0b.nam6 1.nam6 0b.nam7 1.nam7)
D.(0b.nam1 1.nam1 0b.nam2 1.nam2 0b.nam3 1.nam3 0b.nam4 1.nam4 0b.nam5 Standard
Instruments for first differences equation
tobinq .1918838 .0787065 2.44 0.016 .0363325 .3474351 cfk2 .1849777 .0889907 2.08 0.039 .0091013 .3608542 iwk 1.09e-13 6.62e-14 1.65 0.100 -2.14e-14 2.40e-13 ik Coef. Std. Err. t P>|t| [95% Conf. Interval] Corrected
Prob > F = 0.009 max = 6 F(3, 146) = 4.01 avg = 5.25 Number of instruments = 18 Obs per group: min = 1 Time variable : year Number of groups = 146