B GIÁO D O I H C KINH T TP HCM C QU NH TRANG NG C A CH NG BÁO CÁO TÀI CHÍNH VÀ K H N N HI U QU LU TP H Chí Minh IV I B GIÁO D T O I H C KINH T TP HCM C QU NH TRANG NG C A CH NG BÁO CÁO TÀI CHÍNH VÀ K H N N HI U QU Chuyên ngành: TÀI CHÍNH NGÂN HÀNG Mã s : 60340201 LU NG D N KHOA H C: PGS TS H VI T TI N TP H Chí Minh IV I L tài lu h nn ng c a ch i v i hi u qu ng báo cáo tài k tài nghiên c u tác gi th c hi tài k t qu c a trình h c t p, nghiên c u c a riêng s t n tình ng d n c a gi Các s li ng d n c s d ng lu y, có ngu n g Lu c thu th p t th c t , c x lý trung th c khách quan o chép t b t k m t nghiên c u khác ng l th t Tp H Chí Minh, tháng Tác gi c Qu nh Trang M CL C TRANG PH BÌA L M CL C DANH M C CÁC B NG, BI U Tóm t t 1 GI I THI U 1.1 Lý ch 1.2 M c tiêu nghiên c u 1.3 Câu h i nghiên c u 1.4 ng nghiên c u, ph m vi nghiên c u 1.5 u 1.6 c ti n c a nghiên c u tài 1.7 K tc tài T NG QUAN NGHIÊN C U 2.1 T ng quan v hi u qu ng báo cáo tài k h n n 2.1.1 Hi u qu 2.1.2 Ch 2.1.3 N ng n h n 12 2.2 Hi u qu ng báo cáo tài 14 2.3 Hi u qu h n n 18 2.4 Ch m 2.5 Ch ng báo cáo tài 10 ng báo cáo tài ng lên hi u qu a k h n n 19 ng báo cáo tài kh p c n n ngân hàng 21 U 23 3.1 ng bi i di n cho hi u qu ng báo cáo tài 23 3.1.1 Bi i di n hi u qu 3.1.2 Bi i di n ch 3.2 3.2.1 23 ng báo cáo tài 24 nh mơ hình 28 Ch ng báo cáo tài n ng n h ng lên hi u qu u 28 3.2.2 Ch 3.3 M u d li u 38 K T QU 39 4.1 Mô t th ng kê 39 4.2 ng báo cáo tài kh u qu ch p c n n ngân hàng 34 ng báo cáo tài 42 4.3 K t qu h i quy 46 4.3.1 Ch ng báo cáo tài n ng n h 4.3.2 Ch ng báo cáo tài ng lên hi u qu ng lên hi u qu 46 a m k h n n 55 4.3.3 Ch ng báo cáo tài kh 4.4 Ki 4.4.1 Mơ hình hi u qu v ng 63 4.4.2 p c n n ngân hàng 61 63 ng thay th 67 K T LU N 73 TÀI LI U THAM KH O PH L C DANH M C CÁC B NG, BI U B ng 3.1: Mơ t tóm t t bi 5) 30 B ng 3.2: Mô t tóm t t bi 7) 35 B ng 4.1: Th ng kê mô t FRQ, k h n n , hi u qu n ki m soát 39 B ng 4.2: Th ng kê mô t FRQ, n ngân hàng bi n ki m soát 40 B ng 4.3: Ma tr n h s 40 B ng 4.4: ng hi u qu B ng 4.5: ng bi i di n FRQ theo Dechow Dichev (2002) 43 B ng 4.6: ng bi i di n FRQ theo Kasznik (1999) 44 B ng 4.7: ng bi (2008) i di n FRQ theo McNichols Stubben 45 B ng 4.8: B ng 4.9: 42 ng bi Hi u qu i di n FRQ theo Dechow Dichev (2002) 46 i FRQ, k h n n bi n ki m soát 46 B ng 4.10: c, FRQ k h n n 50 B ng 4.11: i m c, FRQ k h n n 52 B ng 4.12: ng c a FRQ lên hi u qu B ng 4.13: ng c B ng 4.14: ng c B ng 4.15: ng c a FRQ lên kh a m k h n n 55 c d a m k h n n 57 i m c d a m k h n n 59 p c n n ngân hàng 61 B ng 4.16: Tóm t t k t qu nghiên c u 62 B ng 4.17: Hi u qu B ng 4.18: v i FRQ, k h n n bi n ki m soát 64 ng c a FRQ lên hi u qu d a m k h n n 65 B ng 4.19: ng c a FRQ k h n n lên hi u qu B ng 4.20: ng c a FRQ lên hi u qu a m 67 k h nn (GMM) 69 báo - 1.1 : Smith, 2001; Healy nh (Bushman Smith, - (1997), Teruel, Solano Ballesta (2014) hàng tìm 1.2 : 1.3 69 Effects Specification Cross-section fixed (first differences) Mean dependent var 0.003778 0.003778 0.003778 0.003778 S.E of regression J-statistic S.D dependent var Sum squared resid 0.239294 8.940397 0.241833 73.06582 0.232908 7.690865 0.241833 69.21826 0.204083 9.858606 0.241833 53.14528 0.224232 8.014698 0.241833 64.15703 -value INVEFF ( , INDUSTRY DUMMIES l ) *** ( ) ** ( ) * 4.16 cáo, FRQ STDEBT hai n 5%, g tha 4.17 4.20: (GMM) Dependent Variable: INVEFF Method: Panel Generalized Method of Moments Transformation: First Differences Sample (adjusted): 2009 2012 Total panel (balanced) observations: 1288 White period instrument weighting matrix White period standard errors & covariance (d.f corrected) FRQDD 0.124317 1.554902 0.120200 FRQKASZ ( ) 0.274115 ** 2.366025 0.018100 FRQMNST ( ) 0.818559 *** 3.699004 0.000200 70 ( ) 0.727383 *** AGGREG 2.685510 0.007300 STDEBT 0.090760 -0.09158 -0.06795 1.557157 0.417554 -1.45805 -0.95306 0.119700 FRQ*DUMSTDEBT 0.023129 0.676300 0.145100 ( ) 0.340700 ( ) ( ) -0.08688 0.011900 -0.00014 0.002435 0.001418 -0.04303 0.663067 0.404790 0.965700 0.507400 0.685700 -0.01774 -0.00706 -0.03834 -0.65200 -0.24207 -1.22512 0.789200 0.514500 0.808800 0.220800 0.007595 0.010263 0.012514 0.007448 0.650720 0.790645 1.063450 0.580786 0.515300 0.429300 0.287800 0.561500 0.015599 0.021918 0.010593 0.020085 0.836538 1.390503 0.925049 1.510565 0.403000 0.164600 0.355100 0.131100 -0.00001 -0.00010 0.000105 -0.00022 -0.06950 -0.48983 0.560779 -0.97859 0.944600 0.624300 0.575000 0.328000 -0.00305 -0.00182 -0.00638 -0.00319 -0.46007 -0.24897 -0.70367 -0.44444 0.645500 0.803400 0.481800 0.656800 -0.05330 -0.03790 -0.03150 -0.02430 -1.41577 -0.95659 -0.83126 -0.64664 0.157100 0.339000 0.406000 0.518000 0.008920 0.009500 0.012000 0.007900 0.766206 STDSALE 0.000500 -0.26737 STDCFO 0.041300 -0.00783 QTOBIN -2.51932 0.691600 OPERCYCLE -3.47880 0.396818 LOSS -2.04218 0.000969 LNSALE -0.52977 ** 0.271200 LNAGE -0.64015 *** -1.10078 CFOATA -0.19385 ** 0.779952 1.157063 0.732327 0.443700 0.435600 ( TANG ) 0.247500 ( ) 0.464100 ( ) ( ) -0.24282 *** -0.22880 *** -2.33239 -1.50896 -2.29653 0.008900 0.019800 0.131600 0.021800 0.009856 0.007871 0.009110 0.009444 1.288983 1.154462 1.403279 1.411701 0.197600 INDUSTRY DUMMIES Effects Specification -0.13433 *** -2.61997 Z -0.23418 ** 0.248500 0.160800 0.158300 No Cross-section fixed (first differences) No No No 71 Mean dependent var 0.003778 0.003778 0.003778 0.003778 S.E of regression 0.239713 0.228931 0.181596 0.212468 J-statistic 8.990989 8.255763 13.188450 9.367846 S.D dependent var 0.241833 0.241833 0.241833 0.241833 Sum squared resid 73.26450 66.82174 42.04589 57.55674 Instrument rank 19 19 19 19 -value INVEFF Altmans ( ) *** ( ) ** ( ) * 5% i ; 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