Dựa trên các hạn chế của luận văn, tác giảđề xuất một số hướng nghiên cứu tiếp theo trong tương lai:
Đầu tiên, hướng nghiên cứu tiếp theo cần mở rộng cỡ mẫu nghiên cứu để biết được chính xác mức độ tác động của các nhân tốđến định dưới giá.
Thứ hai, theo nghiên cứu của Ibbotson (1975); Sudarsanam (1992); Chi và Padgett (2002) định dưới giá được tính bằng công thức MAARi1= [(1+Ri1)/(1+Rm1)] - 1, áp dụng cho thị trường kém phát triển, thời gian niên yết kéo dài, rất phù hợp để tính mức định dưới giá ở Việt Nam. Do đó hướng nghiên cứu kế tiếp có thể xem xét và tính định dưới giá bằng cách tình này để biết mức độ ảnh hưởng của các nhân tố đến định dưới giá.
Thứ ba, cần nghiên cứu định dưới giá IPO trong dài hạn tại Việt Nam đểđánh giá đúng và có một cái nhìn bao quát về IPO khi nghiên cứu cả trong ngắn hạn và dài hạn.
Cuối cùng, các nghiên cứu trong tương lai có thể thêm các biến liên quan đến đặc tính của công ty IPO như: vốn chủ sở hữu, nợ, doanh thu sau thuế, lợi nhuận sau thuế…
TÀI LIỆU THAM KHẢO
Danh mục tài liệu tiếng Việt
- Hoàng Trọng & Chu Nguyễn Mộng Ngọc, 2007, Thống kê ứng dụng trong kinh tế xã hội. Hà Nội: Nhà xuất bản thống kê.
- Nguyễn Trọng Hoài, 2009, Dự báo và phân tích dữ liệu trong kinh tế tài chính. Hà Nội: Nhà xuất bản thống kê.
- Phạm Trí Cao, Vũ Minh Châu, 2009, Kinh tế lượng ứng dụng. TPHCM: Nhà xuất bản thống kê.
- Trần Ngọc Thơ, 2007, Tài chính doanh nghiệp hiện đại. TPHCM: Nhà xuất bản thống kê.
Danh mục tài liệu tiếng Anh
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- Aggarwal, R.., R. Leal and L. Hernandez, 1993. The aftermarket performance
of initial public offerings in Latin America, Financial Management, (Spring): 42–53.
- Allen. F and Faulhaber.G, 1989. Signaling by upderpricing in the IPO market. Journal of Financial Economics, 23: 303-323
- Baker, M and Wurgler, J, 2002. Market Timing and Capital Structure. The Journal of Finance, 57: 1–32.
- Beatty, R. P. and J. R. Ritter, 1986. Investment banking, reputation, and the định dưới giá of initial public offerings. Journal of Financial Economics, 15(1/2): 213-232.
- Benveniste, Lawrence M. and P. A. Spindt, 1989. How investment bankers determine the offer, Journal of Financial Economics, 24 (2): 343-361
- Bilson, C., R. Heanry, J. G. Powell and J. Shi, 2003. The Decision to Voluntary Provide an IPO Prospectus Earnings Forecast: Theoretical Implication and Empirical Evidence, Working paper, Australian National University.
- Boudriga, Zouari and Taktak, 2011. Determinants of IPO underpricing: Evidence from Tunisia. The International Journal of Business and Finance Research, 5: 13-32.
- Bozzolan, S. and E. Ipino, 2007. Information Asymmetries and IPO
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- Carter R., F. Dark and A. Singh, 1998. Underwriter reputation, initial returns, and the long-run performance of IPO stocks. The Journal of Finance, 53: 285- 311.
- Chan K.L., K.J. Wei and J.B. Wang, 2004. Underpricing and long-term performance of IPO’s in China. Journal of Corporate Finance, 10: 409-430.
- Chang X., A.F. Gygax, E. Oon and H.F. Zhang, 2008. Audit quality, auditor
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- Chowdhry, B. and A. Sherman, 1996. The winner’s curse and international methods of allocating initial public earnings. Pacific-Basin Finance Journal, 4: 15-30.
- Clarkson, P. M., and D. Simunic, 1994. The association between audit quality, retained ownership, and firm-specific risk in U.S. and Canadian IPO markets.
Journal of Accounting and Economics, 17: 207-228.
- Daily et al, 2003. IPO underpricing: a meta-analysis and research synthesis.
Entrepreneurship: Theory and Practice, 27 (3): 271–295.
- Daniel Kahneman and Amos Tversky, 1979. Prospect Theory: An Analysis
of Decision under Risk. Journal of the Econometric Society, 47(2): 263-292
- David Chambers & Elroy Dimson, 2009. IPO Underpricing over the Very
Long Run. The Journal of Finance, 64(3): 1407–1443
- Downes, D. and R. Heinkel, 1982. Signaling and the valuation of unseasoned
new issues’, Journal of Finance, 37: 1–10.
- Eisenhardt, M, K.,1989. Agency theory: An assessment and review.
Academy of Management Review, 14(4): 532-550.
- Fernando, C., S. Krishnamurthy and P. A. Spindt, 1999. Offer Price, Target Ownership Structure and IPO Performance. [online] Available at: <http://fic.wharton.upenn.edu/fic/ [Accessed 12 Aug, 2013].
- Finkle, T.A.,1998. The relationship between boards of directors and initial public offerings in the biotechnology industry. Entrepreneurship Theory and Practice, 22: 5–29.
- Gajewski, J. F., and Gresse C. (2006), ‘A Survey of the European IPO Market’, ECMI Paper
- George A. Akerlof, 1970. The Market for “Lemon”: Quality Uncertainty and
the Market Mechanism. The Quartely Journal of Economics, 84: 488-500 - Gompers, P. and A. Metrick, 1998. How are large institutions different from
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- Grinblat.M and Hwang.C.Y, 1989. Signalling and the Pricing of New Issues.
The Journal of Finance, 44(2): 393–420.
- Hanley, K. W., 1993. Underpricing of initial public offerings and the partial adjustment phenomenon. Journal of Financial Economics, 34: 231–250. - Ibbotson, R. G., J. Sindelar, and J. Ritter, 1994. The market's problems with
the pricing of initial public offerings. Journal of Applied Corporate Finance, 7: 66-74.
- Ibbotson, R.G., 1975. Price performance of common stock new issues. Journal of Financial Economics, 2: 232-272.
- Ibbotson, R.G., Sindelar, J., and Ritter, J.R., 1988. Initial Public Offerings,
Journal of Applied Corporate Finance, 1(2): 37- 45.
- Jain, B.A. and O. Kini, 1999. The life cycle of initial public offering firms.
Journal of Business Finance and Accounting, 26: 1281-1307.
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- Kim, M. and J.R. Ritter, 1999. Valuing IPO’s. Journal of Financial Economics, 53:409−437.
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- Spiess, D.K. and R.H. Pettway, 1997. The IPO and first seasoned equity sale: Issue proceeds, owner/manager wealth, and the undepricing signal. Journal of Banking and Finance, 21: 967–988.
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- http://www.cafef.vn
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- http://www.hnx.vn/
- http://www.hsx.vn
PHỤ LỤC
Phụ lục 1: Bảng thống kê các nghiên cứu ở các nước vềđịnh dưới giá IPO
Nước Tác giả Mẫu Giai đoạn TSSL
ngày đầu trung bình Argentina Eijgenhuijsen & Van Der Valk 20 1991-1994 4.4% Australia Lee, Taylor & Walter; Woo; Pham;
Ritter 1,562 1976-2011 21.8%
Austria Aussenegg; Ritter 102 1971-2010 6.3%
Belgium Rogiers, Manigart & Ooghe; Manigart
DuMortier; Ritter 114 1984-2006 13.5%
Brazil Aggarwal, Leal & Hernandez; Saito;
Ushisima 275 1979-2011 33.1%
Bulgaria Nikolov 9 2004-2007 36.5%
Canada Jog & Riding; Jog & Srivastava;
Kryzanowski, Lazrak & Rakita; Ritter 6.7% 696
1971-2010 6.7% Chile Aggarwal, Leal & Hernandez;
Celis & Maturana; Ritter 65 1982-2006 8.4% China Chen, Choi, & Jiang; Jia & Zhang 2,102 1990-2010 137.4% Cyprus Gounopoulos, Nounis, and
Stylianides; Chandriotis
73 1997-2011 20.3% Denmark Jakobsen & Sorensen; Ritter 164 1984-2011 7.4%
Egypt Omran 53 1990-2000 8.4%
Finland Keloharju 162 1971-2006 17.2%
France Husson & Jacquillat; Leleux & Muzyka; Paliard & Belletante; Derrien & Womack;
Chahine; Ritter; Vismara
697 1983-2010 10.5%
Germany Ljungqvist; Rocholl: Ritter; Vismara 736 1978-2011 24.2% Greece Nounis, Kazantzis & Thomas;
Thomadakis, Gounopoulos & Nounis 373 1976-2011
50.8% Hong Kong McGuinness; Zhao & Wu; Ljungqvist
& Yu; Fung, Gul, and Radhakrishnan; Ritter
1,259 1980-2010 15.4% India Marisetty and Subrahmanyam; Ritter 2,964 1990-2011 88.5%
Indonesia Suherman 410 1990-2012 25.7%
Iran Bagherzadeh 279 1991-2004 22.4%
Ireland Ritter 31 1999-2006 23.7%
Israel Kandel, Sarig & Wohl; Amihud & Hauser; Ritter
348 1990-2006 13.8% Italy Arosio, Giudici & Paleari;Cassia, 273 1985-2009 16.4%
Nước Tác giả Mẫu Giai đoạn TSSL ngày đầu trung bình Paleari & Redondi; Vismara
Japan Fukuda; Dawson & Hiraki; Hebner & Hiraki; Pettway & Kaneko; Hamao, Packer, & Ritter; Kaneko & Pettway
3,136 1970-2011 40.2%
Jordan Al-Ali and Braik 53 1999-2008 149.0%
Korea Dhatt, Kim & Lim; Ihm; Choi & Heo; Mosharian & Ng; Cho; Joh; Ritter
1,593 1980-2010 61.6% Malaysia Isa; Isa & Yong; Yong; Ma 413 1980-2009 62.6%
Mauritius Bundoo 40 1989-2005 15.2%
Mexico Aggarwal, Leal & Hernandez; Eijgenhuijsen & van der Valk
88 1987-1994 15.9% Netherlands Wessels; Eijgenhuijsen & Buijs;
Jenkinson, Ljungqvist, & Wilhelm; Ritter
181 1982-2006 10.2% New
Zealand Vos & Cheung; Camp & Munro; Ritter
214 1979-2006 20.3%
Nigeria Ikoku; Achua 114 1989-2006 12.7%
Norway Emilsen, Pedersen & Saettem; Liden;
Ritter 153 1984-2006 9.6%
Philippines Sullivan & Unite; Ritter 123 1987-2006 21.2% Poland Jelic & Briston; Woloszyn 309 1991-2012 13.3% Portugal Almeida & Duque; Ritter 28 1992-2006 11.6%
Russia Ritter 40 1999-2006 4.2%
Saudi
Arabia Al-Anazi, Forster, & Liu 76 2003-2010 264.5% Singapore Lee, Taylor & Walter; Dawson; Ritter 591 1973-2011 26.1% South
Africa Page & Reyneke; Ali, Subrahmanyam &Gleason; Ritter 285 1980-2007 18.0% Spain Ansotegui & Fabregat; Alvarez Otera 128 1986-2006 10.9%
Sri Lanka Samarakoon 105 1987-2008 33.5%
Sweden Rydqvist; Schuster; de Ridder 374 1980-2011 27.2% Switzerland Kunz,Drobetz, Kammermann &
Walchli; Ritter 159 1983-2008 28.0%
Taiwan Chen 1,312 1980-2006 37.2%
Thailand Wethyavivorn & Koo-smith; Lonkani &Tirapat; Ekkayokkaya and Pengniti
459 1987-2007 36.6% Turkey Kiymaz; Durukan; Ince;
Kucukkocaoglu
355 1990-2011 10.3% United
Kingdom Dimson; Levis 4,877 1959-2011 16.1%
United
States Ibbotson, Sindelar & Ritter; Ritter 12,340 1960-2012 16.8% (Nguồn: Nghiên cứu Loughran và cộng sự, 2013)
Phụ lục 2: Dữ liệu thu thập & tính toán
Bảng PL2.1: Dữ liệu các biến phụ thuộc
STT Mã chứng
khoán
Sàn giao
dịch MAR1 MAR2 MAR3 MAR4 MAR5 MAR6 MAR7 MAR8 MAR9 MAR10
1 ABT HSX -1.8977 -1.8206 -1.8590 -1.8955 -1.9076 -1.7465 -1.7814 -1.8527 -1.9720 -1.9647 2 AGM HSX 0.2020 0.1824 0.1972 0.1948 0.2018 0.1892 0.1962 0.2264 0.2316 0.2555 3 ANV HSX 1.7308 1.8333 1.8319 1.8094 1.7932 1.9328 1.8338 1.8355 1.7363 1.6356 4 BCC HNX -1.0382 -1.0479 -1.0467 -1.0404 -1.0392 -1.0497 -1.0502 -1.0514 -1.0491 -1.0484 5 BIC HSX -1.2167 -1.2623 -1.2842 -1.2719 -1.2602 -0.0910 -1.1874 -1.2340 -1.2037 -1.1750 6 BMP HSX -0.2857 -0.2177 -0.2377 -0.2375 -0.2317 -0.2346 -0.2235 -0.2362 -0.2168 -0.2469 7 BSI HSX -0.2209 -0.2622 -0.2525 -0.2410 -0.2319 -0.2060 -0.2620 -0.2711 -0.2692 -0.2665 8 BTP HSX 0.2302 0.2219 0.2308 0.2404 0.2124 0.2569 0.2610 0.2942 0.2905 0.2903 9 BVH HNX 0.2561 0.2843 0.3012 0.2041 0.2281 0.2470 0.2455 0.2550 0.2274 0.2133 10 BVS HNX 1.2906 1.2421 1.3241 1.3145 1.2957 1.2088 1.2274 1.2343 1.2678 1.2598 11 C32 HSX 0.4475 0.3911 0.4574 0.4352 0.4216 0.3163 0.3156 0.3443 0.3528 0.3691 12 CMV HSX 2.4275 2.2843 2.4131 2.4259 2.4108 2.4157 2.4162 2.4141 2.4167 2.3416 13 COM HSX 0.4676 0.4367 0.4529 0.4533 0.4704 0.4215 0.4243 0.4688 0.4415 0.3987 14 CTD HSX 0.2308 0.2048 0.2166 0.2202 0.2302 0.2418 0.2032 0.2021 0.2002 0.1880 15 CTG HSX 0.6286 0.6613 0.6335 0.6094 0.6368 0.6029 0.7112 0.7421 0.7917 0.8467 16 CTS HNX 0.0267 0.0292 0.0241 0.0290 0.0271 0.0258 0.0267 0.0277 0.0297 0.0295 17 D2D HSX 0.4210 0.3485 0.3275 0.3371 0.4024 0.3607 0.3291 0.3200 0.3704 0.3422
Nguồn: Tính toán của tác giả từ dữ liệu đấu giá, thông tin trong bản báo bạch IPO của các công ty trên www.hsx.vn và www.hnx.vn, dữ liệu giao dịch lấy từ www.cafef.vn và đối chiếu lại trên www.cophieu68.vn
Bảng PL2.1: Dữ liệu các biến phụ thuộc (tiếp theo)
STT Mã chứng
khoán
Sàn giao
dịch MAR1 MAR2 MAR3 MAR4 MAR5 MAR6 MAR7 MAR8 MAR9 MAR10
18 DDM HSX -0.0648 -0.0610 -0.0552 -0.0744 -0.0610 -0.0682 -0.0612 -0.0625 -0.0643 -0.0673 19 DPM HSX 0.5963 0.5187 0.5600 0.6809 0.6176 0.5453 0.5483 0.6543 0.5698 0.5333 20 DXV HSX 2.4348 2.2335 2.2548 2.0273 1.9338 2.4015 2.3617 2.3200 2.3195 2.1955 21 EMC HSX 1.1657 1.1019 1.0012 1.1680 1.1809 1.2534 0.9585 0.9923 0.9897 0.9789 22 FBT HSX -0.0267 -0.6395 -0.6395 -0.6131 -0.6227 -0.1151 -0.5979 -0.5699 -0.5379 -0.5065 23 GAS HSX -2.2962 -1.9916 -2.0535 -2.1077 -2.1084 -2.1928 -2.1288 -2.1980 -2.1984 -2.2663 24 HMC HSX 0.5223 0.5384 0.5470 0.5914 0.5780 0.5719 0.5255 0.5464 0.5248 0.5225 25 HOM HNX 0.2496 0.2367 0.2551 0.2355 0.2906 0.2655 0.2457 0.2561 0.2604 0.2364 26 HOT HSX 0.4240 0.4254 0.4355 0.4346 0.4046 0.4621 0.4317 0.4786 0.4276 0.4675 27 HRC HSX -2.1077 -2.1084 -2.0830 -2.0535 -1.9915 -2.0479 -2.1288 -2.1980 -2.1984 -2.2663