Định hƣớng nghiên cứu tiếp theo

CHƢƠNG 5 : KẾT LUẬN

5.3. Định hƣớng nghiên cứu tiếp theo

Với những kết quả đạt được và hạn chế của bài nghiên cứu, đề tài đề xuất hướng nghiên cứu tiếp theo cho chủ đề này như sau:

Thứ nhất, mở rộng mẫu quan sát với nhiều công ty và khoảng thời gian

nghiên cứu rộng hơn.

Thứ hai, bổ sung thêm các yếu tố nắm giữ tiền mặt như: cơ hội tăng trưởng,

TÀI LIỆU THAM KHẢO

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Capital structures in developing countries. Journal of Finance, 56, 87–130.

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Markets, 4(4), 358–374.

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Management, 41–67

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EMU countries. European Financial Management, 10(2): 295-319.

Foley, Hartzell, Titman, và Twite, 2007. Why do firms hold so much cash? A

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cash holdings: Evidence from Spain. Journal of Business Finance & Accounting,

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Pinkowitz, LeeF., Rene Stulzand Rohan Williamson, 2006. Does the Contribution of Corporate Cash Holdings and Dividends to Firm Value Depend on Governance? A cross-country Analysis. Journal of Finance 61(6),2725-2751

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Wooldrige, 2002. Econometric Analysis of Cross Section and Panel Data, Second Edition. Journal of Finance, 52(2), 737–783.

PHỤ LỤC Phục lục 1: Thống kê mô tả liq 26306 1.071348 12.07702 -4.19215 1737.401 size 26306 20.90542 6.571294 0 34.12497 roe 26306 .0081016 .1709738 -16.97638 10.41818 dpo 26306 .9778507 4.652926 0 170 lev 26306 .5315092 .4167671 -.2421547 34.6496 cash 26306 .0647272 .1095081 -.7444673 1 Variable Obs Mean Std. Dev. Min Max

Phụ lục 2: Ma trận tương quan liq 0.0390 -0.0217 0.0161 -0.0002 0.0235 1.0000 size 0.0574 0.3666 0.1685 0.0201 1.0000 roe -0.0184 -0.0073 0.0184 1.0000 dpo 0.0148 -0.0395 1.0000 lev -0.0146 1.0000 cash 1.0000 cash lev dpo roe size liq

Phụ lục 3 : Nhân tử phóng đại phương sai VIF

Mean VIF 1.08 roe 1.00 0.999163 liq 1.00 0.998312 dpo 1.04 0.959532 lev 1.17 0.854040 size 1.20 0.830889 Variable VIF 1/VIF

Phụ lục4 : Kiểm định phương sai thay đổi

Prob>chi2 = 0.0000 chi2 (306) = 8.7e+06

H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model

Modified Wald test for groupwise heteroskedasticity

*Thái lan

Prob>chi2 = 0.0000 chi2 (541) = 1.3e+12

H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model

Modified Wald test for groupwise heteroskedasticity

*Pakistan

Prob>chi2 = 0.0000 chi2 (96) = 2.8e+12

H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model

Modified Wald test for groupwise heteroskedasticity

* USA

Prob>chi2 = 0.0000 chi2 (1994) = 4.7e+12

H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model

Modified Wald test for groupwise heteroskedasticity

Prob>chi2 = 0.0000 chi2 (352) = 6.5e+10

H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model

Modified Wald test for groupwise heteroskedasticity

*All

Prob>chi2 = 0.0000 chi2 (3287) = 1.6e+13

H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model

Modified Wald test for groupwise heteroskedasticity

Phụ lục5 : Tự tương quan

*Việt Nam

Prob > F = 0.0000 F( 1, 305) = 54.113 H0: no first-order autocorrelation

Wooldridge test for autocorrelation in panel data

*Thái lan

Prob > F = 0.0000 F( 1, 540) = 31.585 H0: no first-order autocorrelation

Wooldridge test for autocorrelation in panel data

*Pakistan

Prob > F = 0.0123 F( 1, 95) = 6.521 H0: no first-order autocorrelation

Wooldridge test for autocorrelation in panel data

Prob > F = 0.0000 F( 1, 1993) = 125.534 H0: no first-order autocorrelation

Wooldridge test for autocorrelation in panel data

*UK

Prob > F = 0.0020 F( 1, 349) = 9.708 H0: no first-order autocorrelation

Wooldridge test for autocorrelation in panel data . xtserial cash lev dpo roe liq size

*All

Prob > F = 0.0000 F( 1, 3286) = 199.553 H0: no first-order autocorrelation

Wooldridge test for autocorrelation in panel data

Phụ lục 6: Kết quả hồi quy

F test that all u_i=0: F(305, 2137) = 4.51 Prob > F = 0.0000 rho .37203269 (fraction of variance due to u_i)

sigma_e .06512476 sigma_u .05012659 _cons .00093 .0048842 0.19 0.849 -.0086483 .0105083 size .0025105 .0003323 7.55 0.000 .0018588 .0031623 liq .0001241 .0001653 0.75 0.453 -.0002001 .0004482 roe -.0000341 .0001046 -0.33 0.744 -.0002393 .000171 dpo .0023634 .0002102 11.24 0.000 .0019511 .0027756 lev -.0722195 .0131937 -5.47 0.000 -.0980934 -.0463457 cash Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = 0.1818 Prob > F = 0.0000 F(5,2137) = 47.25 overall = 0.2110 max = 8 between = 0.3528 avg = 8.0 R-sq: within = 0.0996 Obs per group: min = 8 Group variable: id Number of groups = 306 Fixed-effects (within) regression Number of obs = 2448

rho .29686895 (fraction of variance due to u_i)

sigma_e .06512476 sigma_u .04231656 _cons -.0004879 .0051742 -0.09 0.925 -.0106291 .0096533 size .00274 .0002818 9.72 0.000 .0021877 .0032924 liq .0000964 .0001608 0.60 0.549 -.0002187 .0004115 roe .0000457 .0001007 0.45 0.650 -.0001516 .000243 dpo .0026467 .0001979 13.37 0.000 .0022588 .0030345 lev -.0879233 .0103861 -8.47 0.000 -.1082796 -.067567 cash Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 Wald chi2(5) = 391.41 overall = 0.2142 max = 8 between = 0.3584 avg = 8.0 R-sq: within = 0.0989 Obs per group: min = 8 Group variable: id Number of groups = 306 Random-effects GLS regression Number of obs = 2448

Difference (null H = exogenous): chi2(3) = 4.75 Prob > chi2 = 0.191 Hansen test excluding group: chi2(15) = 10.98 Prob > chi2 = 0.754 iv(L2.dpo L.roe D3.liq)

Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.)

Hansen test of overid. restrictions: chi2(18) = 15.74 Prob > chi2 = 0.611 (Not robust, but not weakened by many instruments.)

Sargan test of overid. restrictions: chi2(18) = 31.64 Prob > chi2 = 0.024 Arellano-Bond test for AR(2) in first differences: z = -1.09 Pr > z = 0.276 Arellano-Bond test for AR(1) in first differences: z = -3.58 Pr > z = 0.000 _cons

L2.dpo L.roe D3.liq Standard

Instruments for levels equation L(0/1).(dpo liq)

GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.dpo L.roe D3.liq)

Standard

Instruments for first differences equation

_cons .0064304 .1060442 0.06 0.952 -.2014125 .2142733 size .0109461 .004524 2.42 0.016 .0020791 .019813 liq -.0003757 .0002238 -1.68 0.093 -.0008142 .0000629 roe -.0013546 .0011907 -1.14 0.255 -.0036882 .0009791 dpo .0017528 .0006241 2.81 0.005 .0005296 .0029761 lev -.4951054 .1562084 -3.17 0.002 -.8012682 -.1889427 cash Coef. Std. Err. z P>|z| [95% Conf. Interval] Robust

Prob > chi2 = 0.000 max = 5 Wald chi2(5) = 35.55 avg = 5.00 Number of instruments = 24 Obs per group: min = 5 Time variable : year Number of groups = 306 Group variable: id Number of obs = 1530 Dynamic panel-data estimation, one-step system GMM

Difference-in-Sargan/Hansen statistics may be negative.

Using a generalized inverse to calculate robust weighting matrix for Hansen test. Warning: Two-step estimated covariance matrix of moments is singular.

> , perm.

iv(L2.dpo L.roe)

Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.)

Hansen test of overid. restrictions: chi2(14) = 12.11 Prob > chi2 = 0.597 (Not robust, but not weakened by many instruments.)

Sargan test of overid. restrictions: chi2(14) = 0.10 Prob > chi2 = 1.000 Arellano-Bond test for AR(2) in first differences: z = -0.27 Pr > z = 0.784 Arellano-Bond test for AR(1) in first differences: z = -2.80 Pr > z = 0.005 _cons

L2.dpo L.roe Standard

Instruments for levels equation L(0/1).(dpo liq)

GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.dpo L.roe)

Standard

Instruments for first differences equation

_cons -39.78324 41.53023 -0.96 0.338 -121.181 41.61451 2015 39.86689 41.53769 0.96 0.337 -41.54549 121.2793 2014 39.86292 41.53582 0.96 0.337 -41.54579 121.2716 2013 39.86333 41.53525 0.96 0.337 -41.54426 121.2709 2012 39.86412 41.53534 0.96 0.337 -41.54366 121.2719 2011 39.86154 41.53517 0.96 0.337 -41.5459 121.269 2010 39.85011 41.53511 0.96 0.337 -41.55721 121.2574 2009 39.8613 41.53556 0.96 0.337 -41.5469 121.2695 year size .0033437 .0033945 0.99 0.325 -.0033094 .0099967 liq .0000895 .0002212 0.40 0.686 -.000344 .000523 roe -.0008429 .0009428 -0.89 0.371 -.0026907 .001005 dpo .0013512 .000448 3.02 0.003 .0004731 .0022293 lev -.1870779 .1031218 -1.81 0.070 -.3891929 .0150371 cash Coef. Std. Err. z P>|z| [95% Conf. Interval] Robust

Prob > chi2 = 0.046 max = 6 Wald chi2(12) = 21.28 avg = 6.00 Number of instruments = 27 Obs per group: min = 6 Time variable : year Number of groups = 306 Group variable: id Number of obs = 1836 Dynamic panel-data estimation, one-step system GMM

Difference-in-Sargan/Hansen statistics may be negative.

Using a generalized inverse to calculate robust weighting matrix for Hansen test. Warning: Two-step estimated covariance matrix of moments is singular.

2008.year dropped due to collinearity 2007.year dropped due to collinearity 2006b.year dropped due to collinearity > , perm.

Thái Lan

F test that all u_i=0: F(540, 3782) = 4.93 Prob > F = 0.0000 rho .39453147 (fraction of variance due to u_i)

sigma_e .06723857 sigma_u .05427671 _cons .0263908 .0052158 5.06 0.000 .0161646 .0366169 size .0016349 .0002646 6.18 0.000 .0011162 .0021537 liq .0006668 .0001527 4.37 0.000 .0003674 .0009661 roe 4.73e-06 .0000178 0.27 0.791 -.0000302 .0000397 dpo -.0009613 .0007955 -1.21 0.227 -.0025209 .0005983 lev -.0252488 .0052881 -4.77 0.000 -.0356167 -.014881 cash Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = 0.1470 Prob > F = 0.0000 F(5,3782) = 13.64 overall = 0.0589 max = 8 between = 0.1257 avg = 8.0 R-sq: within = 0.0177 Obs per group: min = 8 Group variable: id Number of groups = 541 Fixed-effects (within) regression Number of obs = 4328

rho .31712365 (fraction of variance due to u_i)

sigma_e .06723857 sigma_u .0458207 _cons .0192954 .0050713 3.80 0.000 .0093559 .0292349 size .0019438 .0002397 8.11 0.000 .0014739 .0024137 liq .0009622 .000138 6.97 0.000 .0006917 .0012327 roe 9.80e-06 .0000175 0.56 0.575 -.0000245 .0000441 dpo .0001989 .0006473 0.31 0.759 -.0010698 .0014675 lev -.0267676 .0045417 -5.89 0.000 -.0356692 -.017866 cash Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 Wald chi2(5) = 138.45 overall = 0.0691 max = 8 between = 0.1597 avg = 8.0 R-sq: within = 0.0168 Obs per group: min = 8 Group variable: id Number of groups = 541 Random-effects GLS regression Number of obs = 4328

Difference (null H = exogenous): chi2(2) = 7.61 Prob > chi2 = 0.022 Hansen test excluding group: chi2(13) = 13.80 Prob > chi2 = 0.388 iv(L.dpo L2.size)

Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.)

Hansen test of overid. restrictions: chi2(15) = 21.40 Prob > chi2 = 0.124 (Not robust, but not weakened by many instruments.)

Sargan test of overid. restrictions: chi2(15) = 31.16 Prob > chi2 = 0.008 Arellano-Bond test for AR(2) in first differences: z = -0.99 Pr > z = 0.324 Arellano-Bond test for AR(1) in first differences: z = -3.59 Pr > z = 0.000 _cons

L.dpo L2.size Standard

Instruments for levels equation L(1/3).liq

GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.dpo L2.size)

Standard

Instruments for first differences equation

_cons -.0893238 .0503199 -1.78 0.076 -.1879489 .0093013 size .020143 .0075365 2.67 0.008 .0053718 .0349142 liq .0016696 .0003869 4.31 0.000 .0009112 .002428 roe -.0007016 .000449 -1.56 0.118 -.0015815 .0001784 dpo -.017772 .0030326 -5.86 0.000 -.0237159 -.0118282 lev -.6176163 .2890713 -2.14 0.033 -1.184186 -.051047 cash Coef. Std. Err. z P>|z| [95% Conf. Interval] Corrected

Prob > chi2 = 0.000 max = 6 Wald chi2(5) = 40.64 avg = 6.00 Number of instruments = 21 Obs per group: min = 6 Time variable : year Number of groups = 541 Group variable: id Number of obs = 3246 Dynamic panel-data estimation, two-step system GMM

Difference-in-Sargan/Hansen statistics may be negative. > mation.

Using a generalized inverse to calculate optimal weighting matrix for two-step esti Warning: Two-step estimated covariance matrix of moments is singular.

> , perm.

(Robust, but weakened by many instruments.)

Hansen test of overid. restrictions: chi2(24) = 32.59 Prob > chi2 = 0.113 (Not robust, but not weakened by many instruments.)

Sargan test of overid. restrictions: chi2(24) = 0.05 Prob > chi2 = 1.000 Arellano-Bond test for AR(2) in first differences: z = 0.95 Pr > z = 0.343 Arellano-Bond test for AR(1) in first differences: z = -1.70 Pr > z = 0.090 _cons

L.dpo L.size L.liq Standard

Instruments for levels equation L(1/9).liq

GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.dpo L.size L.liq)

Standard

Instruments for first differences equation

_cons -1.331992 .5343885 -2.49 0.013 -2.379374 -.2846094 2014 -.0125473 .0227395 -0.55 0.581 -.057116 .0320213 2013 .0077659 .0345025 0.23 0.822 -.0598577 .0753895 2012 .0164365 .0298941 0.55 0.582 -.042155 .0750279 2011 .0381231 .0346076 1.10 0.271 -.0297065 .1059526 2010 .0488302 .0369155 1.32 0.186 -.0235229 .1211834 2009 .0798364 .0375529 2.13 0.034 .006234 .1534388 2008 .059119 .0350012 1.69 0.091 -.0094821 .12772 2007 321.9043 343.2312 0.94 0.348 -350.8164 994.6251