Trên đơy lƠ m t s khó kh n mƠ trong quá trình th c hi n tác gi đƣ g p ph i. Hi v ng chúng s đ c kh c ph c trong t ng lai đ có th đ a ra các đánh giá, nh n th c t t nh t cho các nhƠ qu n tr doanh nghi p c ng nh lƠ h tr cho vi c ra quy t đ nh c a các nhƠ đ u t trong vi c l a ch n doanh nghi p đ đ u t trên th tr ng ch ng khoánVi t Nam.
DANHăM CăTÀIăLI UăTHAMăKH O
A. TI NGăVI T
1. Tr n Ng c Th , 2007, ắTài chính doanh nghi p hi n đ i”. TPHCM, Nhà xu t b n th ng kê.
Các trang web:
- www.cafef.vn : Trang thông tin đi n t Cafef.
- www.hsx.vn : Website c a S Giao d ch Ch ng khoán Tp. HCM. - www.gso.gov.vn : Website c a T ng C c Th ng kê.
- www.vsd.vn : Website Trung tơm L u kỦ Ch ng khoán Vi t Nam. - www.ssc.gov.vn : Website c a y ban Ch ng khoán NhƠ n c. - vi.wikipedia.org : Bách khoa toƠn th m Wikipedia Ti ng Vi t. - www.cophieu68.vn : C ng thông tin TƠi chính cophieu68
- www.stockbiz.vn : C ng thông tin TƠi chính Stockbiz - vietstock.vn : C ng thông tin TƠi chính Vietstock
- www.fpts.com.vn : Website c a Công ty c ph n ch ng khoán FPT - old.voer.edu.vn :Ch ng trình TƠi nguyên Giáo d c M Vi t Nam
(Vietnam Open Educational Resources - VOER)
B. TÀIăLI UăTI NGăANH
1. ArellanoM, Bond S R (1991) “Some tests of specification for panel data
Monte Carlo evidence and an application to employment equations”.
Review of Economic Studies 58, 277-297.
2. Attaullah Shah (2011) ắThe Corporate Cash Holdings: Determinants and Implications”. African J. of Business Management V.5 (34), pp.12939 ậ 12950.
3. Aydin Ozkan, Neslihan Ozkan (2004) “Corporate cash holdings: An empirical investigation of UK companies”. Journal of Banking \& Finance 28(9):2103-2134.
4. Bond S (2002) “Dynamic Panel Data Models: A Guide to Micro Data Methods and Practice.” Cemmap Working Paper, UCL CWP09/02.
5. Cristina Martinz-Sola, Pedro J.Garcia-Teruel và Pedro Martinez-Solano (2010) “Corporate cash holding and firm value”. Journal: Applied
Economics - APPL ECON , vol. 45, no. 2, pp. 161-170, 2013
6. Dittmar A., Mahrt-Smith J. và Servae H. (2003), ắInternational Corporate Governance and Corporate Cash Holdings”, Journal of Financial and Quantitative Analysis 38, 111-133.
7. Faulkender và Wang (2006) “Corporate Financial Policy and the Value of Cash”. The Journal of Finance Volume 61, Issue 4, pages 1957ậ1990.
8. Garcia-Teruel P J, Martinez-Solano P (2008) “On the determinants of SME Cash Holdings: Evidence from Spain”. Journal of Business Finance & Accounting 35, 127149.
9. James Lau và Joern H. Block (2012) “Corporate Cash Holdings and their Implications on Firm Value in Family and Founder Firms”. Corporate Ownership & Control, 9(3), 309-326.
10. Jensen (1984) “Agency Cost Of Free Cash Flow, Corporate Finance, and
Takeovers”, American Economic Review, Vol. 76, No. 2, May 1986
11. Kim CS, Mauer DC, Sherman AE (1998) ắThe Determinants of Corporate Liquidity: Theory and Evidence”. J. Financ. Quant. Anal., 33(3): 335-359.
12.Kin-Wai Lee và Cheng-Few Lee (2010) “Cash Holdings, Corporate
Governance Structure and Firm Valuation”. World Scientific, ISSN 0219-
0915, ZDB-ID 14654714. - Vol. 12.2009, 3, p. 475-508
13.Lars Peter Hansen (1982) “Large Sample Properties of Generalized
Methods of Moments Estimators”. Econometrica, 1982, vol. 50, issue 4, pages 1029-54.
14.Mai Daher (2010) “The determinants of cash holdings in UK public and
private firms”. Dissertation (Lancaster University. Management School, Lancaster University).
15.Manuel Ammann, David Oesch và Markus M. Schmid (2011) “Cash Holdings and Corporate Governance around the World”.
16.Miguel A. Ferreira và Antonio S.Vilela (2004) “Why Do Firms Hold Cash
Evidence from EMU Countries”. European Financial. Management 10, 295- 319.
17.Myers S.C. (1984), “The capital structure puzzle”, Journal of Finance 39, 575-592
18.Opler T, Pinkowitz L, Stulz R, Williamson R (1999) “The determinants
and implications of corporate cash holdings”. J. Financ.Econ., 52(1): 3-46. 19.Ozkan A, Ozkan N (2004) “Corporate Cash Holdings: An Empirica
Investigation of UK Companies”. J. Bank. Financ., 28: 2013-2134.
20.Pedro Juan García Teruel và Pedro Martínez Solano (2004) “On the
determinants of smes cash holding: evidence from Spain”. Journal of Business Finance & Accounting, Jan/Mar 2008, Volume: 35 Issue: 1 pp.127- 149.
21.Pinkowitz L, Stulz R, Williamson R (2006) “Does the Contribution of
Corporate Cash Holdings and Dividends to Firm Value Depend on Governance. A Cross-country Analysis”. The Journal of Finance Volume 61, Issue 6, pages 2725ậ2751.
22.Ruta AUTUKAITE - Eric MOLAY (2013) “Cash Holdings, Working Capital and Firm Value Evidence from France”. International Conference of the French Finance Association(AFFI).
23.Shah A, Khan S (2007) “Determinants of Capital Structure: Evidence from Pakistani Panel Data”. Int. Rev. Bus. Res. Paper, 3(4): 265 - 282.
24.SHR-WEIKAO (2012) “Research note:Cash holding and firm value: the case of Taiwan’s tourism industry”. Tourism Economics, Volume 18, Number 4, August 2012 , pp. 897-902(6).
25.T, Pinkowitz L, Stulz R, Williamson R (1999) “The determinants and
implications of corporate cash holdings”. Journal of Financial Economics 52, 3-46.
26.Tong (2009) “Firm diversification and the value of corporate cash holdings”. Journal of. Corporate Finance , forthcoming.
27.Wong Ying Wai and Yang Zhu (2013) “The Effect of Corporate
Governance on Cash Holdings: Evidence from HONG KONG”. School of Business.
28.Xunan Feng và Anders C. Johansson (2011) “Escaping political extraction: Political participation, institutions, and cash holdings in China”. China Economic Research Center Working Paper Series Number 2011-17 43 pages.
29.Yanhao Chang (2011) “Cash holdings in the time of financial crisis”. Honours Thesis, UQ Business School, The University of Queensland.
30.Các trang web:
- http://www.investopedia.com. - Ssrn.com
PH ăL C
PH ăL C 01:
CỄCăB NGăK TăQU ăCH YăTRÊN STATA
B NG 1:
K tăqu ăh iăquyăPooled OLS mô hình 1 đ iăv iăbi năph ăthu călƠăTOBIN Q
_cons -1.140541 .446614 -2.55 0.011 -2.017549 -.2635326 lev -.1743669 .0160163 -10.89 0.000 -.2058178 -.142916 size .1571592 .0382417 4.11 0.000 .0820647 .2322537 tangible -.0486436 .1010503 -0.48 0.630 -.2470744 .1497873 cash2 -.9442726 1.353331 -0.70 0.486 -3.601787 1.713242 cash 1.350983 .5438868 2.48 0.013 .282962 2.419005 tobinq Coef. Std. Err. t P>|t| [95% Conf. Interval] Total 193.668068 644 .300726813 Root MSE = .48221 Adj R-squared = 0.2268 Residual 148.586107 639 .232529119 R-squared = 0.2328 Model 45.0819609 5 9.01639219 Prob > F = 0.0000 F( 5, 639) = 38.78 Source SS df MS Number of obs = 645 . reg tobinq cash cash2 tangible size lev
B NGă2:
K tăqu ăh iăquyăfixedăeffectămôăhìnhă1ăđ iăv iăbi năph ăthu călƠăTOBINQ
F test that all u_i=0: F(128, 511) = 6.96 Prob > F = 0.0000 rho .63095185 (fraction of variance due to u_i)
sigma_e .32567098 sigma_u .42582941 _cons 2.63683 .9684695 2.72 0.007 .7341579 4.539502 lev -.1528326 .0266496 -5.73 0.000 -.2051888 -.1004763 size -.1691955 .0818871 -2.07 0.039 -.3300723 -.0083186 tangible .2111362 .1913045 1.10 0.270 -.164704 .5869763 cash2 -4.108275 1.272351 -3.23 0.001 -6.607958 -1.608593 cash 2.225926 .5445505 4.09 0.000 1.156093 3.295759 tobinq Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.1738 Prob > F = 0.0000 F(5,511) = 11.46 overall = 0.1391 max = 5 between = 0.1601 avg = 5.0 R-sq: within = 0.1008 Obs per group: min = 5 Group variable: firm Number of groups = 129 Fixed-effects (within) regression Number of obs = 645 . xtreg tobinq cash cash2 tangible size lev,fe
B NGă3:
K tăqu ăh iăquyărandomăeffectămôăhìnhă1ăđ iăv iăbi năph ăthu călƠăTOBINQ
rho .54158188 (fraction of variance due to u_i)
sigma_e .32548463 sigma_u .35377868 _cons .1859365 .6308046 0.29 0.768 -1.050418 1.422291 lev -.1586973 .0199599 -7.95 0.000 -.197818 -.1195767 size .0405491 .0534693 0.76 0.448 -.0642488 .1453469 tangible .0573778 .1357198 0.42 0.672 -.2086281 .3233837 cash2 -3.524723 1.205751 -2.92 0.003 -5.887952 -1.161494 cash 2.056697 .5002648 4.11 0.000 1.076196 3.037198 tobinq Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 Random effects u_i ~ Gaussian Wald chi2(5) = 97.51 overall = 0.2134 max = 5 between = 0.2703 avg = 5.0 R-sq: within = 0.0888 Obs per group: min = 5 Group variable: firm Number of groups = 129 Random-effects GLS regression Number of obs = 645 . xtreg tobinq cash cash2 tangible size lev,re
B NGă4:
Ki măđ nhăHausmanămôăhìnhă1ăđ iăv iăbi năph ăthu călƠăTOBINQ
Prob>chi2 = 0.0021 = 18.84
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg lev -.1530155 -.1586973 .0056819 .0176056 size -.1622095 .0405491 -.2027586 .0618805 tangible .2223876 .0573778 .1650099 .1345788 cash2 -4.250545 -3.524723 -.7258221 .4105022 cash 2.258455 2.056697 .2017587 .1960028 fix1 random1 Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients
B NGă5:
Ki măđ nhăLM mô hình 1 v iăbi năph ăthu călƠăTOBIN Q
Prob > chi2 = 0.0000 chi2(1) = 347.66 Test: Var(u) = 0 u .1251594 .3537787 e .1059402 .3254846 tobinq .3007268 .5483856 Var sd = sqrt(Var) Estimated results:
tobinq[firm,t] = Xb + u[firm] + e[firm,t]
Breusch and Pagan Lagrangian multiplier test for random effects . xttest0
B NGă6:
Ki măđ nhăph ngăsaiăthayăđ i mô hình 1 đ iăv iăbi năph ăthu călƠăTOBINQ
Prob>chi2 = 0.0000 chi2 (129) = 1.6e+06
H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model
Modified Wald test for groupwise heteroskedasticity . xttest3
B NGă7:
Ki măđ nhăt ăt ngăquanăb că1 mô hình 1 đ iăv iăbi năph ăthu călƠăTOBINQ
Prob > F = 0.0000 F( 1, 128) = 71.555 H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data . xtserial tobinq cash cash2 tangible size lev
B NGă8:
K tăqu ăh iăquyăPooledăOLSămôăhìnhă1ăđ iăv iăbi năph ăthu călƠăMKBOOK1
_cons -1.285249 .4286348 -3.00 0.003 -2.126952 -.4435462 lev -.0411603 .0153715 -2.68 0.008 -.0713451 -.0109756 size .1949756 .0367022 5.31 0.000 .1229041 .267047 tangible -.0197237 .0969824 -0.20 0.839 -.2101664 .170719 cash2 -.741551 1.298851 -0.57 0.568 -3.292083 1.808981 cash 1.038193 .5219918 1.99 0.047 .0131665 2.06322 mkbook1 Coef. Std. Err. t P>|t| [95% Conf. Interval] Total 149.221726 644 .231710755 Root MSE = .4628 Adj R-squared = 0.0756 Residual 136.863768 639 .2141843 R-squared = 0.0828 Model 12.3579589 5 2.47159177 Prob > F = 0.0000 F( 5, 639) = 11.54 Source SS df MS Number of obs = 645 . reg mkbook1 cash cash2 tangible size lev
B NGă9:
K tăqu ăh iăquy fixed effect mô hình 1 đ iăv iăbi năph ăthu călƠăMKBOOK1
F test that all u_i=0: F(128, 511) = 6.50 Prob > F = 0.0000 rho .62278204 (fraction of variance due to u_i)
sigma_e .31924802 sigma_u .41020417 _cons 2.603563 .9493691 2.74 0.006 .7384165 4.46871 lev -.0361302 .026124 -1.38 0.167 -.0874538 .0151934 size -.1403097 .0802721 -1.75 0.081 -.2980137 .0173943 tangible .2397888 .1875315 1.28 0.202 -.1286389 .6082165 cash2 -3.950592 1.247257 -3.17 0.002 -6.400975 -1.500209 cash 2.095746 .5338107 3.93 0.000 1.047012 3.14448 mkbook1 Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.3149 Prob > F = 0.0010 F(5,511) = 4.20 overall = 0.0006 max = 5 between = 0.0012 avg = 5.0 R-sq: within = 0.0394 Obs per group: min = 5 Group variable: firm Number of groups = 129 Fixed-effects (within) regression Number of obs = 645 . xtreg mkbook1 cash cash2 tangible size lev,fe
B NGă10
K tăqu ăh iăquyărandomăeffectămôăhìnhă1ăđ iăv iăbi năph ăthu călƠă
MKBOOK1
rho .52170553 (fraction of variance due to u_i)
sigma_e .31916338 sigma_u .33333284 _cons -.0155502 .6067235 -0.03 0.980 -1.204706 1.173606 lev -.0324767 .0192942 -1.68 0.092 -.0702927 .0053392 size .0834217 .0514435 1.62 0.105 -.0174057 .1842491 tangible .0741006 .1308696 0.57 0.571 -.1823991 .3306002 cash2 -3.217308 1.17772 -2.73 0.006 -5.525597 -.9090193 cash 1.808376 .4882284 3.70 0.000 .8514664 2.765286 mkbook1 Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0002 Random effects u_i ~ Gaussian Wald chi2(5) = 24.27 overall = 0.0631 max = 5 between = 0.0875 avg = 5.0 R-sq: within = 0.0244 Obs per group: min = 5 Group variable: firm Number of groups = 129 Random-effects GLS regression Number of obs = 645 . xtreg mkbook1 cash cash2 tangible size lev,re
B NGă11
Ki măđ nhăHausman mô hình 1 v iăbi năph ăthu călƠăMKBOOK1
Prob>chi2 = 0.0018 = 19.12
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg lev -.0370335 -.0324767 -.0045568 .0175739 size -.134912 .0834217 -.2183337 .061518 tangible .2514703 .0741006 .1773697 .1341615 cash2 -3.9931 -3.217308 -.7757921 .4158364 cash 2.090516 1.808376 .2821398 .1980176 fix2 random2 Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients
B NGă12
Ki măđ nhăLM mô hình 1 v iăbi năph ăthu călƠăMKBOOK1
Prob > chi2 = 0.0000 chi2(1) = 321.71 Test: Var(u) = 0 u .1111108 .3333328 e .1018653 .3191634 mkbook1 .2317108 .4813634 Var sd = sqrt(Var) Estimated results:
mkbook1[firm,t] = Xb + u[firm] + e[firm,t]
Breusch and Pagan Lagrangian multiplier test for random effects . xttest0
B NGă13
Ki măđ nhăph ngăsaiăthayăđ i mô hình 1 v iăbi năph ăthu călƠăMKBOOK1
Prob>chi2 = 0.0000 chi2 (129) = 8.8e+05
H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model
Modified Wald test for groupwise heteroskedasticity . xttest3
B NGă14
Ki măđ nhăt ăt ngăquanăb că1 mô hình 1 v iăbi năph ăthu călƠăMKBOOK1
Prob > F = 0.0000 F( 1, 128) = 76.310 H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data . xtserial mkbook1 cash cash2 tangible size lev
B NGă15
K tăqu ăh iăquyăPooledăOLSămôăhìnhă1ăv iăbi năph ăthu călƠăMKBOOK2
_cons -2.891474 .8114413 -3.56 0.000 -4.484888 -1.29806 lev -.0272465 .0290995 -0.94 0.349 -.0843888 .0298958 size .3300936 .0694803 4.75 0.000 .1936564 .4665309 tangible -.2710994 .1835957 -1.48 0.140 -.6316232 .0894244 cash2 -3.790932 2.458832 -1.54 0.124 -8.6193 1.037436 cash 2.646584 .9881737 2.68 0.008 .7061232 4.587044 mkbook2 Coef. Std. Err. t P>|t| [95% Conf. Interval] Total 527.943998 644 .819788817 Root MSE = .87612 Adj R-squared = 0.0637 Residual 490.487304 639 .767585765 R-squared = 0.0709 Model 37.4566945 5 7.49133891 Prob > F = 0.0000 F( 5, 639) = 9.76 Source SS df MS Number of obs = 645 . reg mkbook2 cash cash2 tangible size lev
B NGă16
K tăqu ăh iăquyăfixed effect mô hình 1 v iăbi năph ăthu călƠăMKBOOK2
F test that all u_i=0: F(128, 511) = 7.91 Prob > F = 0.0000 rho .67606827 (fraction of variance due to u_i)
sigma_e .56742278 sigma_u .81973844 _cons 6.064451 1.687383 3.59 0.000 2.74939 9.379513 lev -.023816 .0464321 -0.51 0.608 -.1150373 .0674052 size -.4289956 .1426735 -3.01 0.003 -.7092944 -.1486968 tangible -.201928 .3333135 -0.61 0.545 -.8567614 .4529054 cash2 -7.842304 2.216842 -3.54 0.000 -12.19755 -3.487059 cash 4.092695 .9487807 4.31 0.000 2.228704 5.956686 mkbook2 Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.3964 Prob > F = 0.0000 F(5,511) = 5.90 overall = 0.0016 max = 5 between = 0.0172 avg = 5.0 R-sq: within = 0.0545 Obs per group: min = 5 Group variable: firm Number of groups = 129 Fixed-effects (within) regression Number of obs = 645 . xtreg mkbook2 cash cash2 tangible size lev,fe
B NGă17
K tăqu ăh iăquyăRandomăeffectămôăhìnhă1ăv iăbi năph ăthu călƠăMKBOOK2
rho .5800676 (fraction of variance due to u_i)
sigma_e .56764839 sigma_u .66715849 _cons .5580046 1.144448 0.49 0.626 -1.685072 2.801082 lev -.0115612 .0358567 -0.32 0.747 -.0818389 .0587166 size .0355299 .0969515 0.37 0.714 -.1544916 .2255513 tangible -.2816705 .2449745 -1.15 0.250 -.7618117 .1984706 cash2 -7.015399 2.123312 -3.30 0.001 -11.17701 -2.853784 cash 3.695445 .8823439 4.19 0.000 1.966083 5.424808 mkbook2 Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0002 Random effects u_i ~ Gaussian Wald chi2(5) = 24.09 overall = 0.0413 max = 5 between = 0.0451 avg = 5.0 R-sq: within = 0.0342 Obs per group: min = 5 Group variable: firm Number of groups = 129 Random-effects GLS regression Number of obs = 645 . xtreg mkbook2 cash cash2 tangible size lev,re
B NGă18
Ki măđ nhăHausmanămôăhìnhă1ăv iăbi năph ăthu călƠăMKBOOK2
Prob>chi2 = 0.0008 = 21.15
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg lev -.025076 -.0115612 -.0135149 .0294756 size -.419333 .0355299 -.4548629 .1046083 tangible -.177545 -.2816705 .1041255 .2260532 cash2 -7.790787 -7.015399 -.7753882 .6527117 cash 4.019202 3.695445 .3237563 .3154614 fix3 random3 Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients
B NGă19
Ki măđ nhăLMămô hình 1 v iăbi năph ăthu călƠăMKBOOK2
Prob > chi2 = 0.0000 chi2(1) = 396.74 Test: Var(u) = 0 u .4451005 .6671585 e .3222247 .5676484 mkbook2 .8197888 .9054219 Var sd = sqrt(Var) Estimated results:
mkbook2[firm,t] = Xb + u[firm] + e[firm,t]
Breusch and Pagan Lagrangian multiplier test for random effects . xttest0
B NGă20
Ki măđ nhăph ngăsaiăthayăđ i mô hình 1 v iăbi năph ăthu călƠăMKBOOK2
Prob>chi2 = 0.0000 chi2 (129) = 1.1e+05
H0: sigma(i)^2 = sigma^2 for all i in fixed effect regression model
Modified Wald test for groupwise heteroskedasticity . xttest3
B NGă21
Ki măđ nhăt ăt ngăquanăb că1 mô hình 1 v iăbi năph ăthu călƠăMKBOOK2
Prob > F = 0.0000 F( 1, 128) = 90.288 H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data . xtserial mkbook2 cash cash2 tangible size lev
B NGă22
K tăqu ăh iăquyăPooledăOLSămôăhìnhă2
_cons -.1311199 .0567984 -2.31 0.021 -.2426544 -.0195854 tangible .0064112 .0133766 0.48 0.632 -.0198563 .0326787 bank -.0124535 .0096389 -1.29 0.197 -.0313812 .0064743 size .0132434 .0048665 2.72 0.007 .0036871 .0227997 lev -.0017691 .0020677 -0.86 0.393 -.0058294 .0022912 liq .5969456 .0209365 28.51 0.000 .5558328 .6380583 cflow -.0093622 .0030465 -3.07 0.002 -.0153445 -.0033798 cash Coef. Std. Err. t P>|t| [95% Conf. Interval] Total 6.56368149 644 .010192052 Root MSE = .06055 Adj R-squared = 0.6403