B GIÁO DC VÀ ÀO TO I HC À NNG NGUYN BÍCH HU NGHIÊN C U CÁC NHÂN T NH H NG NC U TRÚC TÀI CHÍNH C A CÁC DOANH NGHI ﾤ P THUC NHÓM NGÀNH S N XU T THC PHM VÀ UNG NIÊM Y T TRÊN SÀN CH NG KHOÁN VI ﾤ T NAM LUN VĂN THC SĨ QU N TR KINH DOANH Nng – Năm 2015 B GIÁO DC VÀ ÀO TO I HC À NNG NGUYN BÍCH HU NGHIÊN C U CÁC NHÂN T NH H NG NC U TRÚC TÀI CHÍNH C A CÁC DOANH NGHI ﾤ P THUC NHÓM NGÀNH S N XU T THC PHM VÀ UNG NIÊM Y T TRÊN SÀN CH NG KHOÁN VI ﾤ T NAM Chuyên ngành: K toán Mã s: 60.34.30 LUN VĂN THC SĨ QU N TR KINH DOANH Ng i h ng d-n khoa hc: TS PHM HOÀI HƯƠNG Nng – Năm 2015 L!I CAM OAN Tơi cam oan ây cơng trình nghiên cu ca riêng Các s liu, kt qu nêu lun văn trung thc chưa t ng c công b b Ph/ l/c 1.2: Bi)u *+ Histogram with curve bin LTDA, SIZE, RISK, NDTS sau log Ph/ l/c Phương pháp h+i quy theo FEM REM, ki)m * l' n1 Ph/ l/c 2.1: Phương pháp h+i quy theo FEM cho mơ hình t> l' n1 Dependent Variable: TDTA Method: Panel Least Squares Date: 09/03/14 Time: 10:16 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Variable GROW SIZE PROF RISK TANG NDTS C Coefficient Std Error 0.045047 0.016748 0.147797 0.033071 -0.459495 0.070379 -0.010191 0.014198 0.065347 0.061285 -0.066312 0.025585 -0.487872 0.207415 Effects Specification t-Statistic 2.689760 4.469119 -6.528857 -0.717762 1.066286 -2.591824 -2.352154 Cross-section fixed (dummy variables) R-squared 0.916172 Mean dependent var Adjusted R-squared 0.892221 S.D dependent var S.E of regression 0.067298 Akaike info criterion Sum squared resid 0.824291 Schwarz criterion Log likelihood 330.7555 Hannan-Quinn criter F-statistic 38.25197 Durbin-Watson stat Prob(F-statistic) 0.000000 Prob 0.0078 0.0000 0.0000 0.4738 0.2877 0.0103 0.0197 0.486200 0.204992 -2.363876 -1.583630 -2.049317 1.543712 Ph/ l/c 2.2: Phương pháp h+i quy theo REM cho mơ hình t> l' n1 Dependent Variable: TDTA Method: Panel EGLS (Cross-section random effects) Date: 09/03/14 Time: 10:17 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Swamy and Arora estimator of component variances Variable GROW SIZE PROF RISK TANG NDTS C Coefficient Std Error 0.038803 0.016251 0.099579 0.026821 -0.486172 0.069179 -0.013528 0.013993 0.049465 0.058818 -0.070057 0.024628 -0.205090 0.170677 Effects Specification Cross-section random Idiosyncratic random t-Statistic 2.387760 3.712685 -7.027780 -0.966789 0.840973 -2.844589 -1.201624 Prob 0.0178 0.0003 0.0000 0.3347 0.4012 0.0049 0.2308 S.D 0.163445 0.067298 Rho 0.8550 0.1450 Weighted Statistics R-squared Adjusted R-squared S.E of regression F-statistic Prob(F-statistic) R-squared Sum squared resid 0.253639 Mean dependent var 0.233998 S.D dependent var 0.068776 Sum squared resid 12.91368 Durbin-Watson stat 0.000000 Unweighted Statistics 0.161772 Mean dependent var 8.242358 Durbin-Watson stat 0.088049 0.078582 1.078465 1.295596 0.486200 0.492627 Ph/ l/c 2.3: Ki)m * l' n1 Correlated Random Effects - Hausman Test Equation: REM_TDTA Test cross-section random effects Test Summary Chi-Sq Chi-Sq d.f Prob Statistic Cross-section random 16.120686 Cross-section random effects test comparisons: Variable Fixed Random GROW 0.045047 0.038803 SIZE 0.147797 0.099579 PROF -0.459495 -0.486172 RISK -0.010191 -0.013528 TANG 0.065347 0.049465 NDTS -0.066312 -0.070057 Cross-section random effects test equation: Dependent Variable: TDTA Method: Panel Least Squares Date: 09/03/14 Time: 20:54 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Variable C GROW SIZE PROF RISK TANG NDTS 0.0131 Var(Diff.) 0.000016 0.000374 0.000168 0.000006 0.000296 0.000048 Prob 0.1231 0.0127 0.0393 0.1654 0.3561 0.5892 Coefficient Std Error t-Statistic Prob -0.487872 0.207415 -2.352154 0.0197 0.045047 0.016748 2.689760 0.0078 0.147797 0.033071 4.469119 0.0000 -0.459495 0.070379 -6.528857 0.0000 -0.010191 0.014198 -0.717762 0.4738 0.065347 0.061285 1.066286 0.2877 -0.066312 0.025585 -2.591824 0.0103 Effects Specification Cross-section fixed (dummy variables) R-squared 0.916172 Mean dependent var 0.486200 Adjusted R-squared 0.892221 S.D dependent var 0.204992 S.E of regression 0.067298 Akaike info criterion -2.363876 Sum squared resid 0.824291 Schwarz criterion -1.583630 Log likelihood 330.7555 Hannan-Quinn criter -2.049317 F-statistic 38.25197 Durbin-Watson stat 1.543712 Prob(F-statistic) 0.000000 Ph/ l/c Phương pháp h+i quy theo FEM REM, ki)m * l' n1 ngAn h2n Ph/ l/c 3.1: Phương pháp h+i quy theo FEM cho mơ hình t> l' n1 ngAn h2n Dependent Variable: SDTA Method: Panel Least Squares Date: 09/03/14 Time: 21:09 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Variable Coefficient Std Error t-Statistic Prob GROW 0.041193 0.018097 2.276229 0.0240 SIZE 0.212461 0.035735 5.945409 0.0000 PROF -0.470254 0.076050 -6.183492 0.0000 RISK -0.014511 0.015342 -0.945786 0.3455 TANG -0.135062 0.066223 -2.039504 0.0428 NDTS -0.020163 0.027647 -0.729311 0.4667 C -0.794085 0.224128 -3.543003 0.0005 Effects Specification Cross-section fixed (dummy variables) R-squared 0.900753 Mean dependent var 0.436373 Adjusted R-squared 0.872396 S.D dependent var 0.203577 S.E of regression 0.072721 Akaike info criterion -2.208889 Sum squared resid 0.962478 Schwarz criterion -1.428642 Log likelihood 312.5445 Hannan-Quinn criter -1.894329 F-statistic 31.76538 Durbin-Watson stat 1.414343 Prob(F-statistic) 0.000000 Ph/ l/c 3.2: Phương pháp h+i quy theo REM cho mơ hình t> l' n1 ngAn h2n Dependent Variable: SDTA Method: Panel EGLS (Cross-section random effects) Date: 09/03/14 Time: 21:10 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic GROW 0.025703 0.017453 1.472647 SIZE 0.129916 0.027710 4.688432 PROF -0.502833 0.074411 -6.757514 RISK -0.017279 0.015063 -1.147134 TANG -0.171664 0.062898 -2.729254 NDTS -0.024282 0.026350 -0.921518 C -0.298565 0.176289 -1.693614 Effects Specification S.D Cross-section random 0.155525 Idiosyncratic random 0.072721 Weighted Statistics R-squared 0.256199 Mean dependent var Adjusted R-squared 0.236625 S.D dependent var S.E of regression 0.075621 Sum squared resid F-statistic 13.08891 Durbin-Watson stat Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.134285 Mean dependent var Sum squared resid 8.395493 Durbin-Watson stat Prob 0.1422 0.0000 0.0000 0.2525 0.0068 0.3578 0.0917 Rho 0.8206 0.1794 0.089318 0.086551 1.303818 1.201896 0.436373 0.496338 Ph/ l/c 3.3: Ki)m * l' n1 ngAn h2n Correlated Random Effects - Hausman Test Equation: REM_SDTA Test cross-section random effects Chi-Sq Test Summary Statistic Chi-Sq d.f Cross-section random 24.545843 Cross-section random effects test comparisons: Variable Fixed Random Var(Diff.) GROW 0.041193 0.025703 0.000023 SIZE 0.212461 0.129916 0.000509 PROF -0.470254 -0.502833 0.000247 RISK -0.014511 -0.017279 0.000008 Prob 0.0004 Prob 0.0012 0.0003 0.0380 0.3421 TANG -0.135062 -0.171664 0.000429 0.0773 NDTS -0.020163 -0.024282 0.000070 0.6225 Cross-section random effects test equation: Dependent Variable: SDTA Method: Panel Least Squares Date: 09/03/14 Time: 21:11 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Variable Coefficient Std Error t-Statistic Prob C -0.794085 0.224128 -3.543003 0.0005 GROW 0.041193 0.018097 2.276229 0.0240 SIZE 0.212461 0.035735 5.945409 0.0000 PROF -0.470254 0.076050 -6.183492 0.0000 RISK -0.014511 0.015342 -0.945786 0.3455 TANG -0.135062 0.066223 -2.039504 0.0428 NDTS -0.020163 0.027647 -0.729311 0.4667 Effects Specification Cross-section fixed (dummy variables) R-squared 0.900753 Mean dependent var 0.436373 Adjusted R-squared 0.872396 S.D dependent var 0.203577 S.E of regression 0.072721 Akaike info criterion -2.208889 Sum squared resid 0.962478 Schwarz criterion -1.428642 Log likelihood 312.5445 Hannan-Quinn criter -1.894329 F-statistic 31.76538 Durbin-Watson stat 1.414343 Prob(F-statistic) 0.000000 Ph/ l/c Phương pháp h+i quy theo FEM REM, ki)m * l' n1 ngAn h2n Ph/ l/c 4.1: Phương pháp h+i quy theo FEM cho mơ hình t> l' n1 dài h2n Dependent Variable: LDTA Method: Panel Least Squares Date: 09/03/14 Time: 21:46 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Variable Coefficient Std Error t-Statistic Prob GROW 0.059037 0.180310 0.327417 0.7437 SIZE -0.619849 0.356046 -1.740925 0.0834 PROF 0.817284 0.757716 1.078614 0.2822 RISK -0.197959 0.152864 -1.295006 0.1970 TANG 1.237496 0.659805 1.875549 0.0623 NDTS -0.710395 0.275456 -2.578974 0.0107 C 0.070662 2.233075 0.031644 0.9748 Effects Specification Cross-section fixed (dummy variables) R-squared 0.579129 Mean dependent var -1.584140 Adjusted R-squared 0.458880 S.D dependent var 0.984966 S.E of regression 0.724549 Akaike info criterion 2.388950 Sum squared resid 95.54478 Schwarz criterion 3.169197 Log likelihood -227.7017 Hannan-Quinn criter 2.703510 F-statistic 4.816088 Durbin-Watson stat 2.225040 Prob(F-statistic) 0.000000 Ph/ l/c 4.2: Phương pháp h+i quy theo REM cho mơ hình t> l' n1 dài h2n Dependent Variable: LDTA Method: Panel EGLS (Cross-section random effects) Date: 09/03/14 Time: 21:52 Sample: 2009 2013 Periods included: Cross-sections included: 47 Total panel (balanced) observations: 235 Swamy and Arora estimator of component variances Variable Coefficient Std Error t-Statistic GROW 0.227570 0.161302 1.410832 SIZE -0.327414 0.164462 -1.990825 PROF 1.215225 0.679612 1.788116 RISK -0.213895 0.139538 -1.532880 TANG 2.008106 0.523810 3.833655 Prob 0.1597 0.0477 0.0451 0.1267 0.0002 NDTS C -0.475557 0.221217 -2.149729 -1.615446 1.065827 -1.515673 Effects Specification S.D Cross-section random 0.573565 Idiosyncratic random 0.724549 Weighted Statistics R-squared 0.093553 Mean dependent var Adjusted R-squared 0.069700 S.D dependent var S.E of regression 0.727289 Sum squared resid F-statistic 3.921942 Durbin-Watson stat Prob(F-statistic) 0.000946 Unweighted Statistics R-squared 0.145283 Mean dependent var Sum squared resid 194.0350 Durbin-Watson stat 0.0326 0.1310 Rho 0.3852 0.6148 -0.779195 0.754041 120.6003 1.842534 -1.584140 1.309335 Ph/ l/c 4.3: Ki)m * l' n1 dài h2n Correlated Random Effects - Hausman Test Equation: REM_LDTA Test cross-section random effects Chi-Sq Test Summary Statistic Chi-Sq d.f Cross-section random 7.727393 Cross-section random effects test comparisons: Variable Fixed Random Var(Diff.) GROW 0.059037 0.227570 0.006493 SIZE -0.619849 -0.327414 0.099721 PROF 0.817284 1.215225 0.112262 RISK -0.197959 -0.213895 0.003896 TANG 1.237496 2.008106 0.160966 NDTS -0.710395 -0.475557 0.026939 Cross-section random effects test equation: Dependent Variable: LDTA Method: Panel Least Squares Date: 09/03/14 Time: 21:58 Sample: 2009 2013 Periods included: Prob 0.2588 Prob 0.0365 0.3544 0.2350 0.7985 0.0548 0.1525 Cross-sections included: 47 Total panel (balanced) observations: 235 Variable Coefficient Std Error t-Statistic Prob C 0.070662 2.233075 0.031644 0.9748 GROW 0.059037 0.180310 0.327417 0.7437 SIZE -0.619849 0.356046 -1.740925 0.0834 PROF 0.817284 0.757716 1.078614 0.2822 RISK -0.197959 0.152864 -1.295006 0.1970 TANG 1.237496 0.659805 1.875549 0.0623 NDTS -0.710395 0.275456 -2.578974 0.0107 Effects Specification Cross-section fixed (dummy variables) R-squared 0.579129 Mean dependent var -1.584140 Adjusted R-squared 0.458880 S.D dependent var 0.984966 S.E of regression 0.724549 Akaike info criterion 2.388950 Sum squared resid 95.54478 Schwarz criterion 3.169197 Log likelihood -227.7017 Hannan-Quinn criter 2.703510 F-statistic 4.816088 Durbin-Watson stat 2.225040 Prob(F-statistic) 0.000000 Ph/ l/c 5: Tác * l' n1 dài h2n STT CÔNG TY AAM ABT ACL AGF AGM ANV ATA AVF BBC EFFECT INTERCEPT GHI CHÚ -0.05213 -1.66758 =(-1.615446)+(-0.05213) 0.716601 -0.89885 0.009106 -1.60634 -0.30302 -1.91846 -0.03589 -1.65134 -0.00914 -1.62459 0.166776 -1.44867 -0.41967 -2.03511 -0.49012 -2.10557 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 BHS CMX FMC HVG ICF IDI KDC LAF LSS MPC MSN NHS SBT SCD SEC TAC TS4 VCF VHC VLF VNH VNM VTF BLF CAN DBC HAD HHC HNM KTS NGC SAF SGC SJ1 0.474543 -0.00653 -0.86432 -0.05758 -0.04572 0.136741 0.344491 -1.28142 0.214357 0.544117 0.48563 0.290796 -0.0561 -1.19623 0.401499 0.943113 0.139639 -0.15517 0.595169 -1.04215 -0.236 -0.22468 -0.59228 0.131286 -0.00903 0.549517 0.040357 -0.29365 0.19071 0.672023 0.24166 -0.72181 0.35564 0.185544 -1.1409 -1.62198 -2.47976 -1.67302 -1.66117 -1.47871 -1.27096 -2.89686 -1.40109 -1.07133 -1.12982 -1.32465 -1.67155 -2.81168 -1.21395 -0.67233 -1.47581 -1.77062 -1.02028 -2.65759 -1.85145 -1.84013 -2.20772 -1.48416 -1.62447 -1.06593 -1.57509 -1.90909 -1.42474 -0.94342 -1.37379 -2.33726 -1.25981 -1.4299 44 45 46 47 SLS THB VDL VTL 0.579779 -0.45352 -0.08664 0.223703 -1.03567 -2.06896 -1.70209 -1.39174 ... NGUYN BÍCH HU NGHIÊN C U CÁC NHÂN T NH H NG NC U TRÚC TÀI CHÍNH C A CÁC DOANH NGHI ﾤ P THUC NHÓM NGÀNH S N XU T THC PHM VÀ UNG NIÊM Y T TRÊN SÀN CH NG KHỐN VI ﾤ T NAM Chun ngành: K tốn Mã s: 60.34.30...NC U TRÚC TÀI CHÍNH C A CÁC DOANH NGHI ﾤ P THUC NHÓM NGÀNH S N XU T THC PHM VÀ UNG NIÊM Y T TRÊN SÀN CH NG KHOÁN VI ﾤ T NAM LUN VĂN THC SĨ QU N TR KINH DOANH Nng – Năm 2015 B GIÁO DC VÀ ÀO TO... quan tài liu nghiên c u CHƯƠNG 1: CƠ S LÝ LUN V$ C U TRÚC TÀI CHÍNH VÀ CÁC NHÂN T NH H NG NC U TRÚC TÀI CHÍNH DOANH NGHI ﾤ P 11 1.1 CƠ S LÝ LUN V CU TRÚC TÀI CHÍNH