i

TM TT TI
1. L do chn ti
Nm 2012 va qua, nn kinh t v m Vit Nam c nhng tn hiu ng mng, nh
lm pht mc 9.21% - thp nht trong 3 nm tr li y. Tuy nhin, tnh trng n
xu li ni cm nht trong nm qua, s doanh nghip ri khi th trng ln ti gn
55000 doanh nghip. Vi 60% l u do gp phi vn v lung tin mt trong cng
ty. Chnh v vy, qun l tt tin mt l cha kha dn n s thnh cng ca doanh
nghip. Theo nhiu nghin cu thc nghim, mc huy ng vn ngn hn cc
nc ang pht trin cao (Theo Both v cng s, 2001; Shah v Khan, 2007, 2009), v
Vit Nam cng khng ngoi l. Huy ng vn ngn hn phi chu p lc thanh ton
trong thi gian ng
ro. Tuy nhin, vic nm gi mt lng ln tin mt l khng hiu qu, bi v n to ra
rt t hoc trong nhiu trng hp n khng to ra thu nhp. Do , cc cng ty Vit
Nam cn phi xc nh cho mnh mt t l nm gi tin mt ti u.
2. Mc tiu nghin cu
Bi nghin cu cung cp tnh hnh qun tr tin mt Vit Nam hin nay, phn tch
nhng yu t quyt nh n vic qun tr tin mt ca cng ty v mc tc ng ca
chng, nh m cc cng ty bit hng qun tr tin mt, trnh ri vo kit qu
ti chnh v ph sn.
Cu hi nghin cu: Nhng yu t no tc ng n quyt nh qun tr tin mt ca
doanh nghip Vit Nam? Tc ng nh th no v mc no? H s iu chnh t
l nm gi tin mt ti u Vit Nam l bao nhiu?
3. Phng php nghin cu
Bi nghin cu s dng c hai m hnh - D liu bng tnh (M hnh tng hp tt c
cc quan st (pool), m hnh tc ng c nh (Fixed effects) v m hnh tc ng
ngu nhin (Random effects)) v d liu bng ng (M hnh moment tng qut
GMM - tm ra h s iu chnh t l nm gi tin mt ti u).
ii



Bi nghin cu ny s dng d liu ca 110 cng ty phi ti chnh c nim yt trn
hai sn chng khon HNX v HOSE. D liu c ly t bng cn i k ton, bo
co kt qu hot ng kinh doanh, bo co lu chuyn tin t v vn ha th trng
ca cc cng ty phi ti chnh, giai on 2006 2012. Nhng cng ty ti chnh v c
vn ch s hu m b loi khi mu.
4. Ni dung nghin cu
Bi nghin cu gm c 5 phn. Phn 1 l gii thiu v ni dung vn nghin cu v
l do chn ti. Phn 2 trnh by tng quan cc kt qu nghin cu trc y, gm l
thuyt v qun tr tin mt v cc yu t nh hng n quyt nh qun tr tin mt.
Phn 3 m t phng php nghin cu bao gm chn lc v x l s liu, cch thc
chy m hnh hi quy trn chng trnh Eviews. Phn 4 l tho lun cc kt qu
nghin cu t c, da trn nn tng l thuyt v nhng bng chng thc nghim
trc y. V cui cng l kt lun, hn ch v hng m rng.
5. ng gp ca ti
Bi nghin cu s dng phng php c lng GMM tm ra c h s iu
chnh, nh gi mc iu chnh n t l nm gi tin mt ca cc cng ty Vit
Nam. Nh , h c th iu chnh t l nm gi tin mt ca cc cng ty sao cho cn
bng gia li ch v chi ph, da trn nhng yu t tc ng n quyt nh nm gi
tin mt.
6. Hng pht trin ca ti
Bi nghin cu c th ly thm nhiu mu d liu v c tiu ch r rng hn v mu.
ng thi, trong m hnh c thm cc yu t khc nh hng n qun tr tin mt,
nh, nhu cu vn lun chuyn, chi tiu vn, bt n ca dng tin hot ng, ...
Ngoi ra, bi nghin cu ny c th pht trin thm bng cch xem xt tc ng ca
qun tr tin mt ln hiu qu hot ng ca cng ty.
iii



MC LC
TM TT TI .........................................................................................................i
MC LC .................................................................................................................... iii
1. Gii thiu ................................................................................................................. 1
2. Tng quan cc nghin cu trc y ................................................................... 4
2.1. L thuyt v qun tr tin mt ............................................................................ 4
2.2. Cc yu t nh hng n qun tr tin mt ...................................................... 6
3. D liu v phng php nghin cu ................................................................... 11
3.1. Ngun d liu v nh ngha cc bin ............................................................. 11
3.2. Phng php nghin cu ................................................................................. 13
4. Ni dung v kt qu nghin cu .......................................................................... 17
4.1. Hi quy d liu bng tnh ................................................................................ 18
4.2. M hnh d liu bng ng .............................................................................. 23
5. Kt lun .................................................................................................................. 25
PH LC ..................................................................................................................... 27
TI LIU THAM KHO ............................................................................................. a





1

1. Gii thiu
Vic nm gi mt lng ln tin mt l khng hiu qu, bi v n to ra rt t hoc
trong nhiu trng hp n khng to ra thu nhp. Tuy nhin, nu khng c tin mt th
chi ph cng ty phi i mt ln hn rt nhiu khi cng ty lm vo kit qu ti chnh
hoc t b nhng c hi u t c NPV dng. V vy, qun tr tin mt hp l v
mang li li ch cho cng ty, trc tin cng ty phi xc nh c cc yu t thc
nghim no tc ng n qun tr tin mt v tc ng nh th no?
Almeida v cng s (2004) cng phn tch thc nghim v nhy cm ca vic nm
gi tin mt, nhn mnh mi lin h gia thanh khon v huy ng vn. ng ni mt
cng ty vi nhiu c hi u t hin ti v tng lai, v cng ty c nhng dng tin
to ra t ti sn khng u t vo tt c cc d n c NPV dng, th nm gi
tin mt s m bo kh nng u t ca cng ty. Mt khc, ph thuc vo kh nng
ca cng ty gia tng huy ng vn bn ngoi, nm gi tin mt c th to iu kin
thun li cho u t trong tng lai. Ngc li, Adetifa (2005) ni rng nm gi tin
mt qu mc s mc phi chi ph c hi, chng hn nh chi ph c hi ca vic nhn
li sut khi u t.
Cc nghin cu thc nghim v cc yu t quyt nh nm gi tin mt ca cng ty
chim v tr trung tm trong cc ti liu v ti chnh doanh nghip. Qun tr tin mt,
theo Gill v Shah (2012) c xc nh nh l tin mt trong tay hoc c sn u t
vo ti sn v gp vn u t. Do , qun tr tin mt c xem nh tin hoc tng
ng tin m c th d dng chuyn i thnh tin mt. V bi nghin cu ny, qun
tr tin mt s l nm gi tin trong tay hoc trong ngn hng, cc khon u t ti
chnh ngn hn v khon phi thu ngn hn.
Gn y, Attaullah Shah (2011) a ra thc nghim nghin cu Pakistan v
nhng yu t tc ng n qun tr tin mt. ng ngh rng nhng cng ty tng
trng, quy m ln, chi tr c tc v bt n dng tin ln hn th nm gi tin mt
nhiu hn so vi cc cng ty khc. Nhng cng ty vi k o hn n di hn v nhng
cng ty vi vng quay ti sn thanh khon nhanh th nm gi tin mt t hn. mt
th trng ang pht trin khc nh Chi-L, Lawrencia v cng s (2012) trnh by
mi tng quan gia nm gi tin mt v c tnh cng ty. Kt qu cho thy dng tin,
2



vn lun chuyn thun, n by, li nhun v chi tiu u t tc ng ng k ln
qun tr tin mt ca cng ty Chi-L.
Vn qun tr tin mt cng c nghin cu kh nhiu cc quc gia pht trin nh
Lee v Powell (2010, c), Ozkan v Ozkan (2004, Anh), Drobetz v Gruninger
(2007, Thy S), Ferreira v Vilela (2004, cc nc Chu u), Pinkovitz v
Williamson (2001, Nht), Opler v cng s (1999, M), DMello, Krishnaswami v
Larkin (2008, cc cng ty spin-offs cng ty hot ng da trn kt qu nghin cu),
Dittmar v Mahrt-Smith (2007, M), Faulkender vWang (2006, M), Foley, Hartzell,
Titman v Twite (2007, Cc tp on a quc gia M),
Bi nghin cu ny da theo hng ca cc bi nghin cu trc v phn ln l bi
nghin cu ca Shah (2011). L do em chn ti ny l bi v:
Nm 2012 va qua, nn kinh t v m Vit Nam c nhng tn hiu ng mng, nh
lm pht mc 9.21% - thp nht trong 3 nm tr li y. Tuy nhin, tnh trng n
xu li ni cm nht trong nm qua, s doanh nghip ri khi th trng ln ti gn
55000 doanh nghip. Vi 60% l u do gp phi vn v lung tin mt trong cng
ty. Chnh v vy, qun l tt tin mt l cha kha dn n s thnh cng ca doanh
nghip.
Theo nhiu nghin cu thc nghim, mc huy ng vn ngn hn cc nc ang
pht trin cao (Theo Both v cng s, 2001; Shah v Khan, 2007, 2009), v Vit Nam
cng khng ngoi l. Huy ng vn ngn hn phi chu p lc thanh ton trong thi
gian ng ro.
Tm li bi nghin cu c thc hin nhm cung cp v tnh hnh qun tr tin mt
Vit Nam hin nay v a ra cc yu t nh hng n quyt nh nm gi tin mt v
nh hng mc no, nh m cc cng ty bit hng qun tr tin mt, trnh
ri vo kit qu ti chnh v ph sn. gii quyt vn ny, bi nghin cu s dng
d liu ca 110 cng ty phi ti chnh c nim yt trn hai sn chng khon H Ni
v thnh ph H Ch Minh trong giai on 2006 2012.
u tin, gi thuyt i ng vi k o hn cn c kim nh nc ang pht trin
nh nhiu nghin cu thc nghim tm ra kt lun: huy ng vn ngn hn cao hn
3



trong s nhng cng ty cc nc ang pht trin, nhng nhng vn thanh khon
ca nhng cng ty ny t c ch . Th hai, nghin cu ny tin hnh c m hnh d
liu bng tnh v ng. Nu nhng cng ty i mt vi kh khn trong vic iu chnh
t s tin trn tng ti sn, th m hnh bng ng bao hm cc yu t ng s tnh
c h s iu chnh theo cch tt nht. V m hnh ng, bi nghin cu s dng
nhng li th ca m hnh tng qut moments (GMM), bi v n c th gii quyt ni
sinh tim nng, phng sai thay i, t tng quan. M hnh ny c s dng mt
vi nghin cu gn y nh Mura v cng s (2008), Ozkan v Ozkan (2003), Shah
(2011), bi tnh hiu qu v chnh xc ca n.
B cc bi nghin cu c chia thnh 5 phn. Phn 1 l gii thiu v ni dung vn
cn nghin cu v l do chn ti. Phn 2 trnh by tng quan cc kt qu nghin
cu trc y. Phn 3 m t phng php nghin cu bao gm chn lc v x l s
liu, cch thc chy m hnh hi quy trn chng trnh Eviews. Phn 4 l tho lun
cc kt qu nghin cu t c, da trn nn tng l thuyt v nhng bng chng
thc nghim trc y. V cui cng l kt lun.
4



2. Tng quan cc nghin cu trc y
2.1. L thuyt v qun tr tin mt
Do c s tn ti ca th trng khng hon ho nn gia tng chi ph huy ng vn
bn ngoi v y c th l mt hn ch cho cng ty s dng vn bn ngoi. Nhng
cng ty tin hnh tch ly nhiu ti sn c tnh thanh khon hn na gii quyt hai
vn sau: thanh khon ngn hn v t chi cc d n c li nhun. V vy, chi ph
giao dch v ng c d phng l hai l do chnh nm gi tin mt (Kyenes, 1936).
Hn na, chi ph i din ca vic ban qun tr lm theo mun c nhn c th l gii
thch khc cho nm gi tin mt, nh thuyt dng tin t do (Jensen, 1986). Nhng
nh qun tr t li s tch ly tin mt lm giu cho chnh h ti ph tn ca c
ng.
2.1.1. Chi ph giao dch
Quan im chnh ca ng c giao dch l da trn chi ph chuyn i ti sn thnh
tin mt (Kyenes, 1936). Nhng cng ty c th tin hnh thanh khon theo nhiu cch
khc nhau, nh huy ng vn, ct chi tr c tc hoc u t, hoc bn nhng ti sn c
tnh thanh khon. Tuy nhin, tt c u c chi ph. Nh vy, tin mt c th c s
dng nh mt tm m chng li kh nng xy ra nhng ngun vn t v t chi
nhng d n c gi tr. Chi ph thanh khon cao hn th nm gi tin mt nhiu hn.
Ngoi ra, Kyenes (1936) cng a vo ng c d phng lin quan n nm gi tin
mt, nhng cng ty s an ton khi i mt vi nhu cu chi tiu bt ng hoc khng d
kin trc m khng cn phi bn ti sn hoc huy ng vn bn ngoi.
ng c chi ph giao dch r rng l s nh i gia chi ph gia tng tin mt v li
ch ca vic nm gi tin mt nh mt tm m. Trong khi cng ty tr chi ph gia tng
tin mt th h cng chu chi ph c hi lin quan n nm gi tin mt v tin mt l
ti sn thanh khon nht. Amihud v Mendelson (1986) ngh rng li th thanh
khon tn ti gia cc loi ti sn khc nhau. Li ch c bn ca ti sn c tnh thanh
khon l cho php cng ty tin hnh chnh sch u t ti u khi ngun vn bn ngoi
khng c sn, chi ph nhiu, hoc khi cng ty c th mong i trnh bn ti sn hoc
ct gim c tc (Opler v cng s, 1999).
5



2.1.2. Bt cn xng thng tin
Nhng nh u t khng c c thng tin v cng ty tng t nh ban qun tr ca
n, do , h lun mun chc chn mt iu l mua c phn khng b cao gi. Thm
ch khi nh qun tr ang hnh ng v li ch ca c ng, nhng ngi bn ngoi vn
c khuynh hng chit khu gi c phiu. Nh vy chi ph cao hn khi huy ng vn
bn ngoi gy cho ban qun tr khng bn c phiu v khng u t vo mt s d n
c li nhun. Bt cn xng thng tin theo Stiglitz vWeiss (1981), Myers v Majluf
(1984) cho rng vn di gi tng quan hn khi c phiu nhy cm vi thng tin,
v bt cn xng thng tin xy ra gy gt. V vy, vi l thuyt ny cc cng ty s tch
ly tin mt nhiu hn trnh b gii hn trong vic thc hin nhng d n ca h.
Nhng cng ty c c hi u t cao v cng ty nh l hai loi hnh cng ty th hin
vn bt cn xng thng tin.
2.1.3. Chi ph i din
Nu ban qun tr ti a ha gi trca c ng th h c th la chn nhng d n ri
ro hn, gy bt li cho ch n. iu ny s to ra s chuyn i gi tr t tri ch sang
c ng, bi v s khng chi tr li nhun t c t nhng d n ri ro hn cho ch
n, cn tri ch s chu mt phn ri ro d n tht bi (Jensen v Meckling, 1976). V
vy, cc tri ch s gia tng chi ph s dng vn thng qua li sut, gi tri phiu. S
dch chuyn gi tr t c ng sang tri ch c th din ra trong s hin din ca n
cha tr trong cu trc vn ca cng ty, v vi mt khon n cha tr ln th nh qun
tr c th la chn nhng d n chc chn. Do , rt c th cng ty t chi nhng d
n NPV dng m lm tn tht gi tr ca cng ty (Myers, 1977; Barnea v cng s,
1980).
Nhng cng ty vi c hi tng trng cao th s c chi ph i din cao, do , ch
ng trong ngun vn, h s c khuynh hng d tr thm tin mt.
Nu c xung t gia ban qun tr v c ng, ban qun tr c khuynh hng d tr
cng nhiu tin mt nu c th theo ui mc tiu ca h. Tin mt c th c chi
tr cho li nhun, nhng cng cho d n m nh u t khng sn sng huy ng vn.
Hn na, ban qun tr cng c th nm gi thm tin mt bi v khng a thch ri ro.
6



Nhng nh qun tr t li s c khuynh hng nm gi nhiu hn tin mt bi v h c
th trnh quy lut th trng v gim kh nng xy ra mt vic.
Tuy nhin, nhng l thuyt ca Fama v Jensen (1983) v bng chng thc nghim v
s hu v vn hnh (v d, Morck v cng s, 1988; McConnell v Servaes, 1995;
Lafer, 2004; Mura, 2007) th hin tc ng phi tuyn gia nm gi tin mt vi gia
tng s hu ca ban qun tr.
2.2. Cc yu t nh hng n qun tr tin mt
Vi s hin din ca th trng khng hon ho th c mt t l ti u cc ti sn
thanh khon. Quyt nh u t vo ti sn ngn hn b nh hng bi nhiu nhn t
ti cng mt thi gian. Nh qun tr l tr hnh ng cho li ch ca c ng s nh
gi li ch v chi ph nm gi ti sn c tnh thanh khon. Nh qun tr s ti a ha s
giu c ca c ng trong tt c cc trng hp m li ch ca vic u t thm 1
dollar vo ti sn c tnh thanh khon th ln hn chi ph ca dollar . Ti liu v
qun tr tin mt doanh nghip gi rng nhng ngun chnh ca li ch v chi ph
u t vo ti sn c tnh thanh khon xut pht t: (i) bt cn xng thng tin, (ii) chi
ph giao dch, (iii) chi ph i din. Nhng i din cho cc kha cnh ny c tho
lun nh sau.
2.2.1. Tng trng - Growth
Khi thng tin v gi tr thc ca nhng dng tin cng ty khng i xng gia nh
qun tr v nh u t, huy ng vn bn ngoi c th tn km, nh Myers v Majluf
(1984) pht biu rng nhng cng ty i mt vi bt cn xng thng tin s thch s
dng qu ni b hn bn ngoi. Vn bt cn xng thng tin thng hn ch vi
nhng cng ty ang tng trng. Nhng cng ty ang tng trng nhn thy huy ng
vn bn ngoi qu tn km v t b nhng d n vi NPV dng. trnh tnh hung
ny, nhng cng ty ang tng trng s nm gi thm ti sn c tnh thanh khon. Da
vo gi thuyt bt cn xng thng tin, mi tng quan dng c mong i gia
nhng c hi tng trng v u t vo ti sn c tnh thanh khon.
Lm ni bt chi ph i din khi s dng n c trong nhng c hi tng trng, Myers
(1977) trnh by rng cng ty ang tng trng thch i theo sau hn thm ch nhng
7



d n c NPV dng, khi n i mt vi ri ro v n trn bng cn i k ton. Mt
khc, gii php na l xy dng thm ngun d tr nhng ti sn c tnh thanh khon.
Mi tng quan dng gia nm gi tin mt v nhng c hi tng trng cng c
d bo bng c s: chi ph ti chnh th cao hn cho nhng cng ty vi nhng c hi
tng trng hn. Bi v gi tr ca nhng c hi tng trng v ti sn v hnh st
gim nhanh khi kit qu ti chnh xy ra (Williamson, 1988; Haris v Raviv (1991);
Shleifer v Vishny (1992)).
V tt c cc yu t ny, h s k vng cng ty vi nhng c hi tng trng hn th
u t nhiu hn vo ti sn c tnh thanh khon cao. Tuy nhin, Ferreira v Vilela
(2004) thm vo quan im i din v quyt nh qun tr tin mt v pht biu rng
nhng nh qun tr c hu nm gi tin mt cao hn thm ch khi nh qun tr khng
c nhng c hi u t li nhun. D bo ny mong i mi tng quan m gia nm
gi tin mt v gi tr th trng, s sch ca ti sn.
Theo Shah (2011), bi nghin cu ny cng s dng tc tng trng hng nm ca
tng ti sn xc nh tc tng trng, k hiu l GRT
2.2.2. Kit qu ti chnh - Financial distress
Khi cng ty i mt vi kit qu ti chnh, n chu phi nhiu chi ph ph sn khc
nhau bao gm chi ph trc tip lin quan n quy trnh ph sn cng nh kh nng st
gim trong doanh thu v khch hng lo ngi v cht lng ca cng ty. Hn na, thm
p lc to ra lm xu i iu kin huy ng vn tc ng bt li n qun tr bc u
v chi tiu cho nghin cu, pht trin v lnh o dng nh s b ct gim. trnh
b bt buc gnh chu chi ph, nh qun tr phi nm gi nhng ti sn c tnh thanh
khon cao hn nh phng nga. Mt khc, n cng hp l khi mong i cng ty b
kit qu ti chnh c mt t l nm gi tin mt b ct gim (Kim v cng s, 1998).
Do , gi thuyt thay th l qun tr tin mt tng quan nghch vi kh nng xy ra
kit qu ti chnh.
i din cho kh nng xy ra kit qu ti chnh, tc gi s dng nghch o h s Z
Altman (1968), k hiu l INVZ. Mt s nghin cu v qun tr tin mt doanh nghip
8



s dng i din ny nh Mackie-Mason, 1990; Kim v cng s, 1998; Drobetz v
Gruninger, 2007.
Tuy nhin, nu p dng cng thc tnh h s Z ca Altman (1968) cho Vit Nam th
cha hp l. V cng thc ny p dng cho cc cng ty M, vn thc tin y l
nn kinh t M n nh hn Vit Nam, ch s GDP thng thp hn 2 3 ln, t sut
li nhun cng thp 30% - 50% (ROE ca cc cng ty M bnh qun vo khong 10%
- 15%; trong khi Vit Nam vo khong 15% 30%), gi c phiu ca cc cng ty M
cng c s n nh hn Vit Nam v kh nng thanh khon cao hn. Ngoi ra tin
cy v tnh thanh khon ca ngun vn lu ng ca cc cng ty M cng tt hn. Do
, khi p dng phng php ch s Z xp hng tn nhim cho cc cng ty Vit Nam,
chng ta cn iu chnh sao cho m hnh h s Z ph hp. Vi hi quy logistic, tc gi
L Tt Thnh xy dng c m hnh tnh h s Z cho Vit Nam nh sau:
Z-core =
0.33 *
2.2.3. bt n dng tin - Cash flow volatility
Nhng cng ty vi cc dng tin bin ng th c kh nng cn tin mt vo mt thi
im no , v c mt khon chi ph ngn hn v tin mt, v d, chi ph ph sn, chi
ph c hi b qua nhng d n c li nhun. Minton v Schrand (1999) tranh lun rng
dng tin bt n gy ra cho nhng cng ty b qua c hi u t t li nhun thng
xuyn, nhng cng ty khng th thay i thi gian quyt nh thi hnh u t n s
la chn ng lc dng tin. Nm gi tin mt hn na s cung cp tm chn khi dng
tin t hot ng khng nh mong i. Nh vy, nm gi tin mt tng quan dng
vi vic o lng bt n dng tin. bt n dng tin k hiu l CFV, c tnh
bng gi tr chnh lch ca nhng dng tin thuc cng ty c bo co so vi dng
tin trung bnh chia cho dng tin trung bnh ca cng ty . Theo nh bi nghin cu
ca Kim v cng s (1998), dng tin c tnh bng li nhun trc thu, li vay v
c tc ph thng cng vi khu hao.
2.2.4. Quy m - Size
9



Quy m ca cng ty v cn bn c th thay i theo tc ng ca bt cn xng thng
tin v kh nng xy ra kit qu ti chnh. Ti liu v ti chnh doanh nghip ni rng
bt cn xng thng tin t nh hng n nhng cng ty ln v h c li th kinh t
trong sn xut v ph bin thng tin v chnh h (Pettit v Singer, 1985; Collins v
cng s, 1981; Brennan v Hughes, 1991). Do , nhng cng ty ln i mt vi chi
ph giao dch thp hn khi s dng ngun ti chnh bn ngoi. Gi thuyt l qun tr
tin mt tng quan m vi quy m cng ty.
Titman v Wessels, 1988; Rajan v Zingales (1995) cng cho rng kh nng xy ra
ph sn th thp hn vi nhng cng ty ln v h c th a dng ha. Theo tranh lun
ny, mt ln na khng nh, qun tr tin mt tng quan m vi quy m cng ty.
Bn cnh , gi thuyt khc v mi tng quan m gia qun tr tin mt v quy m
cng ty. V d, Miller v Orr (1966) ni rng cng ty ln c li th kinh t v quy m
qun tr tin mt. Do , nhng cng ty ln s nm gi t tin mt. Peterson v
Rajan (2003) ni rng vay mn bn ngoi t tn chi ph hn vi nhng cng ty ln v
chi ph c nh m h tr cho vic huy ng vn ch chim phn trm nh trong tng
khon huy ng vn. Nhng cng ty nh hn s nm gi tin mt ln hn v h i
mt vi chi ph cao hn khi huy ng vn bn ngoi.
Tri vi nhng tranh lun ny Opler v cng s (1999) li cho rng nhng cng ty ln
th c v th tt hn tch tr tin mt v h c kh nng t c li nhun cao hn.
Gi thuyt khc l qun tr tin mt tng quan dng vi quy m cng ty. K hiu
quy m cng ty l SIZE, l logarit t nhin ca tng ti sn.
2.2.5. n by ti chnh - Leverage
Cng ty c th s dng cc phng php khc nhau nm gi tin mt mt t l
cao. Trong s nhng phng php ny, mt l n by. Bt c khi no c thm ht
tin mt, cng ty c th vay ngun vn nu cng ty c kh nng pht hnh n. Qun tr
tin mt tng quan m vi n by. Gi thuyt trt t phn hng ca Myers v Majluf
(1984) cng ngh mi tng quan m gia qun tr tin mt v n by. iu ny
cng c gii thch bi Baskin (1987) theo mt cch khc. ng ni chi ph ca ngun
vn u t vo ti sn c tnh thanh khon gia tng vi mc s dng n by.
10



Tuy nhin, mi tng quan ny phi tuyn. n by lm tng kh nng xy ra kit qu
ti chnh. Trong trng hp , cng ty vi mc n by cao nn nm gi mc
cao hn nhng ti sn c tnh thanh khon.Tin mt cng ti thiu ha kh nng xy ra
vn thiu u t ca Myers (1977) c cng b nhiu hn nu c mt n ri ro.
Do , mt ngi no s mong i mi tng quan dng gia n by v qun tr
tin mt. Bi nghin cu k hiu l LEV, bng t s ca tng n trn tng ti sn.
2.2.6. Chuyn i - Convertibility
Ti sn m c sn gi tr th trng hoc d dng chuyn i thnh tin mt c th
c s dng nh mt phng php qun tr tin mt. Ozkan v Ozkan (2004) tranh
lun rng chi ph chuyn i ti sn hin hnh khc tin mt thnh tin mt c kh
nng thp hn nhiu so vi nhng ti sn khc. Do , cng ty vi t s khon phi
thu v hng tn kho cao hn c mong i nm gi tin mt t hn. K hiu CNVT
i din cho kh nng chuyn i, l t s ca ti sn hin hnh khc tin mt chia cho
tng ti sn tr cho nhng ti sn hin hnh khc tin mt.
2.2.7. T l chi tr c tc Dividend payments
Nhng cng ty m chi tr c tc c th c thm mt phng php qun tr tin mt
bng cch hon chi tr c tc khi thm ht tin mt xy ra. Gi thuyt ra l nhng
cng ty chi tr c tc s nm gi tin mt ln hn. biu hin chi tr c tc, bi
nghin cu s dng DIV, l t s c tc ca mt c phiu chia cho gi tr tht ca c
phiu.
2.2.8. Li nhun - Profitability
Cng ty c li nhun s t dng tin ln t hot ng kinh doanh. Dng tin ln ct
gim nhu cu tch tr tin mt hm rng li nhun c th l mt phng php qun
tr tin mt (Kim v cng s, 1998). Mt gi thuyt khc l nhng cng ty li nhun c
khuynh hng t huy ng vn (Opler v cng s, 1999; Ferreira v Vilela, 2004). o
lng v li nhun l t s ca doanh thu trc li vay v thu (EBIT) chia cho doanh
thu thun. K hiu l CF.
2.2.9. K o hn n - Debt maturity
11



Cn c vo gi thuyt i ng vi k o hn, nhng cng ty huy ng vn vi n
ngn hn nhiu hn c mong i nm nhiu hn ti sn c tnh thanh khon. Stohs
v Mauer (1996) ngh s lch k hn gia ti sn v o hn n s khin cng ty
i mt vi ri ro thanh ton. Bn cnh iu ny, mi tng quan dng c mong
i gia huy ng vn ngn hn v ti sn c tnh thanh khon bi v huy ng vn
ngn hn gia tng ri ro kit qu ti chnh nu b hn ch gia hn n ngn hn. K hiu
ca tc ng ny trong bi nghin cu l DEMA, c tnh bng n di hn chia cho
tng n.
2.2.10. Vng quay tin mt Cash cycle
Vng quay tin mt ngn lm tng kh nng cng ty b sung nhanh chng cn i tin
mt. Cng ty vi vng quay tin mt ngn s khng phi thiu tin mt cho di hn.
Do , mi tng quan m c mong i gia vng quay tin mt v nm gi tin
mt. tnh vng quay tin mt (CYC), bi nghin cu cn d liu v khon phi thu,
hng tn kho v khon phi tr trong tt c cc nm 2006 n 2012. Theo tc gi Shah
(2011), cng thc vng quay tin mt trong bi nghin cu nh sau:
CCYCLE =
[Bng: Tm tt tc ng l thuyt ca cc yu t n qun tr tin mt]

Ngun: Tng hp t cc lp lun trn.
3. D liu v phng php nghin cu
3.1. Ngun d liu v nh ngha cc bin
Bi nghin cu ny s dng d liu ca 110 cng ty phi ti chnh c nim yt trn
hai sn chng khon HNX v HOSE. D liu c ly t bng cn i k ton, bo
co kt qu hot ng kinh doanh, bo co lu chuyn tin t v vn ha th trng
ca cc cng ty phi ti chnh, giai on 2006 2012. Nhng cng ty ti chnh v c
vn ch s hu m b loi khi mu. Do s liu ca cc bin hu nh y nn mu
12



ca bi nghin cu khng phi chia ra hai giai on nh bi nghin cu ca Shah
(2011). D liu c s dng hi quy l d liu bng, gm 770 quan st, tuy nhin,
trong qu trnh x l mu, do c mt nm cng ty b vn ch s hu m nn b loi
ra khi m hnh, v vy, cui cng mu gm 110 cng ty, trong 7 nm vi 769 quan
st. y l d liu bng khng cn i.
T d liu ny, bi nghin cu tnh ton ra cc bin s trong m hnh nh sau:
3.1.1. Bin ph thuc
CASH: T l nm gi tin
CASH= (Tin + u t chng khon ngn hn + Khon phi thu) / Tng ti sn
3.1.2. Bin s c lp
[Bng: M t cc bin s c lp]
Stt Bin Tn bin Cch tnh
1 GRT
Tc tng trng
hng nm ca tng ti
sn
ln (Tng ti sn
nm t
/ Tng ti sn
nm t-1
)
2 PB T s Price/Book value
Gi tr th trng ca mi c phiu / Gi tr s
sch ca mi c phiu
3 CFV bt n ca dng tin
(Dng tin mi nm / Dng tin trung bnh ca
cng ty ) - 1 (Da theo Opler et al (1999), bi
nghin cu ny tnh dng tin bng li nhun
trc thu, li vay v c tc u i cng vi khu
hao.)
4 SIZE Quy m cng ty Ln (Tng ti sn)
5 LEV T l n by Tng n / Tng ti sn
6 DIV T l chi tr c tc
C tc c chi tr / Tng vn ch s hu
(Theo bi nghin cu ca Shah (2011))
7 IVZ
Kh nng xy ra kit
qu ti chnh
1/ H s Z ca Altman (1968) c tnhtheo cng
thc Vit Nam c gii thiu phn Cc
yu t nh hng n cu trc vn
8 CF Li nhun ca cng ty (Li nhun rng + Khu hao) / Tng ti sn
9 DEMA T l n di hn N di hn / Tng n
13



10 CVNT
Kh nng thanh khon
ca ti sn
(Ti sn ngn hn - Tin mt) / (Tng ti sn
(Ti sn ngn hn - Tin mt))
11 CYC Vng quay tin
(Khon phi thu)/(Doanh thu thun)+ (Hng tn
kho)/(Gi vn hng bn)
12 ROA T sut sinh li ti sn Li nhun rng / Tng ti sn
Ngun: Tng hp t cc bi nghin cu.
3.2. Phng php nghin cu
Da trn bi nghin cu ca Shah (2011), bi nghin cu ny cng thc hin hi quy
m hnh d liu bng tnh v m hnh d liu bng ng kim nghim mc nh
hng ca cc bin ph thuc ln bin c lp Vit Nam.
3.2.1. M hnh d liu bng tnh
, bi nghin c
nm gi t v
mc tin cy ln hn d liu cho v d liu thi gian. V d liu b
khc nhau khng quan st c gia cc cng ty (Phong cch qun l),
v kim sot cc bin khng quan st c nhng thay i theo thi gian (Cc hin
tng v m). Hn na, d liu bng cung cp nhiu thng tin hn, bin thin hn, t
c s a cng tuyn gia cc bin s v hiu qu hn. Vi m hnh d liu bng tnh,
bi nghin c ng c
ng rng bu
a m :
CASH
it
= +
i1
* GRT +
i2
* PB +
i3
* CFV +
i4
* SIZE +
i5
* LEV +
i6
*
DIV +
i7
* CF +
i8
* IVZ +
i9
* DEMA +
i10
* CNVT +
i11
* CYC +
i12
* ROA
+
i
+
t
+
it
(1)
it
. Tnh c trng khc nhau
c
i
, bin gi
14



ng c

t
.
it
.
M hnh pool l m hnh hi quy d liu bng n gin nht, ngha l khng k n
cc kch thc khng gian v thi gian ca d liu bng v ch c lng hi quy bnh
phng nh nht (OLS). Vi gi thuyt: Tt c nhng n v cho c cng iu kin
v ri ro tng t nhau, a thch li nhun. Ngha l, cc h s dc ca 11 bin u
ging ht nhau i vi c 110 cng ty v gi tr tung gc ca 110 cng ty ging
nhau. y l nhng gi nh rt hn ch. V th, hi quy kt hp (pool) c th lm bin
dng mi quan h thc cht gia bin c lp v bin gii thch.
M hnh Fixed effects (FE) l m hnh khc phc c cc rng buc hn ch ca m
hnh pool. M hnh FE c th kim sot v tch nh hng ca cc c im ring bit
(khng i theo thi gian) ny ra khi cc bin gii thch chng ta c th c lng
nhng nh hng thc ca bin gii thch ln bin ph thuc. Tuy nhin, m hnh FE
ny li thc hin theo gi thuyt l c s tng quan gia phn d ca mi thc th
(c cha cc c im ring) vi cc bin gii thch. khc phc gi thuyt ny, m
hnh GMM c s dng m hnh d liu ng. M hnh FE cn c nhng hn ch
khc nh c qu nhiu bin c to ra trong m hnh, do , c kh nng lm gim
bc t do v lm tng kh nng s a cng tuyn ca m hnh. Ngoi ra, FE khng o
lng c tc nhn khng i theo thi gian.
M hnh Random effects (RE) vi gi nh, c im ring gia cc thc th c cho
l ngu nhin v khng tng quan n cc bin gii thch. M hnh RE xem cc phn
d ca mi thc th l mt bin gii thch mi v c thay th m hnh FE l do n
tit kim c bc t do. Tuy nhin, m hnh RE c hn ch l mc phi tnh khng
ng nht ca cc h s tng quan t cc tc ng ring r v ngu nhin. V vy,
Hausman Test c s dng kim nh la chn gia hai m hnh FE v RE.
3.2.2. M hnh d liu bng ng
15



Di gi nh, nhng cng ty c th nhanh chng iu chnh t l nm gi tin mt
mc tiu hoc ti u m khng phi chu chi ph iu chnh, m hnh d liu bng tnh
c th tin hnh cho phn tch ny. Tuy nhin, nu cng ty khng th chuyn i ngay
t l nm gi tin mt mong mun v trnh b ni sinh, th m hnh ng nn c s
dng. Di gi thuyt trn, m hnh iu chnh tng phn c th c c lng nh
sau:
CASH
it
= * CASH
i,t-1
+
k
* (GRT + PB + CFV + SIZE + LEV + DIV + CF +
IVZ + DEMA + CNVT) +
i
+
t
+ e
it
(2)
CASH
it
l t s tin mt trn tng ti sn ca cng ty i trong thi gian t. GRT, PB,
CFV, SIZE, LEV, DIV, CF, IVZ, DEMA v CNVT l nhng bin gii thch khc
nhau.
k
l h s tng quan ca cc bin c lp tc ng ln bin gii thch, c c
nh theo thi gian v theo cc cng ty. Mi s khc nhau khng quan st c gia
cc cng ty c biu hin qua bin gi
i
, c nh theo thi gian nhng bin i theo
cng ty. S hin din ca nhng tc ng c nh c mong i l phong cch qun
tr v a thch ri ro lun lun khng ging nhau gia cc cng ty. Tc ng c nh
to ra hiu qu t s hin din ca mt s hin tng ca nn kinh t v m trong mt
giai on thi gian c th hin bi bin gi
t
c c nh theo n v cho nhng
bin i theo thi gian. e
it
l sai s.
Tuy nhin, Bond (2002) tranh lun rng nhng tc ng ring r (
i
) l ngu nhin v
do chng lun lun tng quan vi bin CASH
i,t-1
. Hi quy bnh phng b nht
khng c lng v
k
ph hp. Kt qu ca OLS b sai lch v gi tr bi v h s
tng quan gia bin ph thuc c tr v sai s c bao gm trong (
i
+
it
). Cch
hiu qu g b nhng tc ng c trng cng ty l c lng m hnh iu chnh
tng phn bng cch ly sai phn bc mt ca ng thc (2) trong cng thc sau:
CASH
it
= CASH
i,t-1
+
k
* (GRT + PB + CFV + SIZE + LEV + DIV +
CF + IVZ + DEMA + CNVT) +
t
+ e
it
(3)
Tuy nhin, m hnh ny khng hiu qu bi v sai s khc nhau e
it
b tng quan vi
CASH
i,t-1
v e
i,t-1
. gii quyt vn ny, Arrelano v Bond (1991) ngh phng
php GMM, s dng nhng cng c lin quan vi bin ph thuc c tr nhng
16



khng c sai s. GMM s dng tt c thi gian m c sn trong iu kin trc giao
gia CASH
i,t-1
v sai s.
GMM c ngh bi Arrelano v Bond (1991) c bit nh l GMM sai phn .
Blundell v Bond (2000) ngh c lng GMM sai phn b sai lch di nu d
liu t sai lch mu hu hn. Sai lch mu hu hn d thy hn trong trng hp
chui d liu n nh cao. Mt s thay th GMM sai phn l GMM h thng c
pht trin bi Arellano v Bover (1995) v Blundell v Bond (1998). GMM h thng
c sai lch mu hu hn nh ng k v c lng tham s ca m hnh iu chnh
tng phn vi chnh xc cao thm ch trong trng hp chui n nh. Trong nhng
kim nh ring r, nhiu bin gii thch c tm thy l n nh cao. iu ny gii
thch ti sao nhng kt qu ca tc gi l t GMM h thng.

17



4. Ni dung v kt qu nghin cu
[Bng 1: Ma trn h s tng quan gia cc bin]
Bng 1 trnh by ma trn h s tng quan gia cc bin giai on 2006 2012 cho
110 cng ty phi ti chnh ang c nim yt trn hai sn chng khon HNX v
HOSE:
Tc tng trng (GRT) c mi quan h dng vi t l nm gi tin mt (CASH),
ngha l cng ty tng trng nhanh th s c nhiu c hi u t, trnh chi ph giao
dch v t b nhng c hi u t c NPV dng th nm gi tin mt s nhiu hn.
PB cng tng quan dng vi t l nm gi tin mt, nhng Quy m cng ty (SIZE)
v N di hn (DEMA) th ngc li, ngha l vic nm gi tin mt nhiu khi cng ty
c gi tr th trng cng ln hn gi tr s sch, nhng vic chi tr c tc v vay n
di hn t hn.
bt n dng tin (CFV) tng quan dng vi t l nm gi tin mt, bi v khi
cng ty i mt vi dng tin m rt ln, nguy c ph sn cao, nu nm gi tin mt
ln th s hn ch c kh nng kit qu ti chnh.
n by ti chnh (LEV) tng quan m, trong khi kh nng xy ra kit qu ti chnh
(IVZ), li nhun (CF) v kh nng thanh khon ti sn (CNVT) li c mi quan h t
l thun vi CASH, ngha l cng ty vay n cng t, kh nng kit qu ti chnh cao,
li nhun ln, v nm gi nhng ti sn thanh khon nhanh th nm gi tin mt cng
nhiu.
Nhn chung cc h s tng quan gia cc bin kh nh, b hn 0.8, v vy kh nng
xy ra hin tng a cng tuyn gia cc bin trong m hnh l thp.
[Bng 2: Thng k m t]
Bng 2 tm tt cc kt qu thng k m t ca 110 cng ty phi ti cnh c nim yt
trn hai sn chng khon HNX v HOSE giai on 2006 2012.
Nh kt qu trnh by bng 2, t l nm gi tin mt trung bnh (CASH) cho 110
cng ty giai on 2006 2012, Vit Nam t 36.14%, kt qu ny khc xa vi
Attaullah Shah (2011) - 8.26% Pakistanv nhng bi nghin cu trc Ozkan v
18



Ozkan (2004), Kim v cng s (1998) ln lt bo co Anh v M l 9.9% v
8.1%. Theo nh nghin cu ca Booth v cng s (1999) th t l huy ng vn ngn
hn chia cho tng n th cao hn cc nc ang pht trin, ng thi vi gi thuyt
i ng vi k o hn th t s ti sn thanh khon trn tng ti sn cng cao cc
nc ang pht trin, v vy th trng kinh t Vit Nam ang pht trin v cn nhiu
bt cp trong nhn thc v tin mt, qun tr ri ro ti chnh nn CASH trung bnh cao
l hp l.
4.1. Hi quy d liu bng tnh
[Bng 3: Kim nh Wald - T tng quan bc 1]
kim nh t tng quan trong m hnh, em tin hnh hi quy OLS ly phn d
ca m hnh d liu bng tnh, tip theo l thc hin hi quy OLS bin phn d vi
bin phn d c tr bng 1. Cui cng l kim nh Wald v kt qu trong bng.
Vi gi thuyt H
o
: m hnh khng b t tng quan
Kt qu kim nh cho thy, p > 0,05, nh vy gi thuyt H
0
c chp nhn v kt
lun rng, m hnh khng c t tng quan.
[Bng 4: Kt qu hi quy ca m hnh Pool v tc ng ca bin gii thch ln
bin ph thuc]
Do m hnh pool p dng nhng tiu chun thng thng nn hu nh cc h s u
c ngha thng k. kim nh s ph hp ca m hnh, em tin hnh kim nh F.
Gi thuyt H
0
: Cc bin c lp hon ton khng gii thch c cho bin ph thuc,
R
2
= 0

Ngun: Eview 6.0
19



Vi kt qu, p-value < 0.05, bc b gi thuyt H
0
, nh vy, m hnh pool ph hp
gii thch tc ng cc bin c lp n bin ph thuc. Tuy nhin, vi m hnh ny,
cc bin c lp gii thch c 25.58% cho bin ph thuc.
[Bng 5: Kt qu hi quy ca m hnh Fixed effects v Random effects v tc
ng ca bin gii thch ln bin ph thuc]
M hnh Fixed effects (FE) c s dng chy d liu bng, tuy nhin, s c nhiu
bc t do b mt khi xy dng m hnh. Trong khi , m hnh random effects (RE) c
th mc phi tnh khng ng nht ca cc h s tng quan t cc tc ng ring r
v ngu nhin (Greene, 2006). V l thuyt kim nh la chn gia 2 m hnh
c pht trin bi Hausman (1978).
Bin gii thch u tin - Tc tng trng ti sn (GRT), c ngha thng k trong
tt c cc m hnh d liu bng tnh, vi mc ngha 1% trong c hai m hnh RE,
pool v 5% trong m hnh FE. Bin GRT c mi tng quan dng sp x 4.14% ln
t l nm gi tin mt (CASH). Nh nhng nghin cu trc y, v d nh, Shah
(2011), Kim v cng s (1998), Opler v cng s (1999), Ferreira v Vilela (2004), v
Ozkan v Ozkan (2004). Kt qu ny h tr cho l tuyt chi ph ti chnh khi huy ng
vn bn ngoi. V nhng cng ty tng trng c rt nhiu c hi u t, do , vic d
tr tin mt thc hin nhng d n c NPV dng v trnh chi ph ti chnh s gip
cng ty gim chi ph u t v gia tng li nhun.
Tuy nhin, bin PB li khng c ngha ngha thng k c ba m hnh d liu
bng tnh. Kt qu ny c th do tc ng ca th trng chng khon, lm gi c
phiu bin ng tht thng. Mu d liu t nm 2006 n nm 2012, theo din bin
th trng, nm 2006, 2007 l nhng nm bng n ca th trng chng khon Vit
Nam, nn c th gi c phiu c xc nh l cao gi hn rt nhiu so vi gi tr s
sch, v th trng ang chy theo phong tro. n nm 2008, do nh hng ca suy
thoi kinh t ton cu, th trng chng khon Vit Nam st gim mnh v n nm
2009 c khi sc nhng vn chm chp n nm 2012. Vi tnh hnh bin ng nh
vy th d liu khng phn nh ng v khng c ngha trong m hnh.
20



H s ca CFV khng c ngha thng k trong c ba m hnh pool, FE v RE, nh
vy, nhng cng ty vi bt n dng tin ln khng gii thch cho vic quyt nh
gia tng t l nm gi tin mt. Kt qu ny tng t vi nghin cu ca Shah (2011),
Ozkan v Ozkan (2004). iu ny c th c gii thch bi quy trnh ta n x l ph
sn Vit Nam. Trong thc tin, cc Chp hnh vin - T trng T qun l thanh l
ti sn cha nhn thc y quyn hn ca mnh theo quy nh ca php lut ph sn
nn khng tch cc v ch ng thc hin cc nhim v nh: Lp danh sch ch n,
danh sch ngi mc n, lp bng k khai ti sn, kim tra v gim st hot ng kinh
doanh ca cc doanh nghip trong qu trnh tin hnh th tc ph sn cng nh thi
thnh cc quyt nh khc ca Thm phn, dn n vic gii quyt ph sn khng hiu
qu v ko di. Do , cc ch n rt hn ch nh s gii quyt ca ta n khi cng ty
vay n mt kh nng thanh khon bt ng do dng tin hot ng khng p ng nh
mong i. L do ny c th gii thch cho bin kh nng xy ra kit qu ti chnh
(IVZ), h s ca IVZ gn nh bng 0 trong c ba m hnh v khng c ngha thng
k.
Trong m hnh pool, bin quy m (SIZE) c mi quan h dng ngha 1% vi t l
nm gi tin mt, nhng khng ng k, ch vi 0.53%. Kt qu ny ngc vi d bo
mang tnh l thuyt ban u v gi thuyt bt cn xng thng tin, li th kinh t nh
quy m trong vic qun l ti sn thanh khon v chi ph giao dch. iu ny tng t
vi kt qu ca Shah (2011) v xc nh li tranh lun ca Opler v cng s (1999),
ng ni nhng cng ty ln c li th hn trong nm gi tin mt v h t c nhiu
li nhun. nn kinh t Vit Nam ch yu l cc cng ty c quy m va v nh, li
c s h tr ca nh nc nn s sai bit gia hai loi cng ty khng ln.
n by ti chnh (LEV) khng c ngha thng k trong m hnh FE. Tuy nhin,
trong m hnh RE, pool bin CF li tng quan m hn 10% vi CASH ln lt
mc ngha 5%, 1%. Kt qu ny ngc vi l thuyt cng vay n nhiu cng i mt
vi chi ph kit qu ti chnh, do , t l n by tng th d tr tin mt cng nhiu.
Tuy nhin, c th gii thch theo hai l do sau cho quan st ny. u tin, c kh nng
kt qu b nh hng bi mu d liu c nhiu cng ty c kh nng kit qu ti chnh,
ngha l nhng cng ty ny c n by cao nhng t l tin mt thp. Theo nh nghin
21



cu ca Shah (2011), kim nh l do ny, em tip tc lc d liu v chy li hi
quy vi t l n by thp hn hoc bng 50%, mc t l ny l n by trung bnh
ca tt c cc cng ty trong tt c cc nm. S quan st trong mu y b ct gim
t 770 xung cn 362 trong hi quy ny. Tuy nhin, kt qu ca h s n by vn m
m hnh RE (h s = -0.1945, vi p = 0.0577) v khng c ngha m hnh FE.
Gii thch th hai l t th tc hnh chnh gii quyt ph sn km hiu qu, tn thi
gian ca Vit Nam v c s h tr t nh nc. T l n by cao gia tng kh nng
xy ra kit qu ti chnh v ph sn. V vy, nhng cng ty c t l n by cao hn s
thch nm gi ti sn c tnh thanh khon hn trnh ri vo kit qu ti chnh hoc
ph sn. Tuy nhin, nhng cng ty s khng lm nh vy, v h bit xc sut cc ch
n i n thp khi h tr n khng ng hn. Kt qu ny c th phn no phn nh,
tnh hiu qu th tc hnh chnh l mt yu t quan trng quyt nh n vic nm gi
tin mt nhiu hay t.
Bi nghin cu ny tm thy khng c mi tng quan gia vic chi tr c tc (DIV)
v nm gi tin mt (CASH) trong hai m hnh FE v RE. iu ny hon ton khc
vi kt qu nghin cu ca Shah (2011), ng tm thy tng quan dng gia DIV v
CASH.
Tng t, li nhun (CF) khng c ngha thng k trong hai m hnh FE v RE,
nhng li c tng quan dng 5.82% vi CASH mc ngha 1%. Nhng cng ty
c nhiu li nhun cng tch ly nhiu tin mt.
Bin kh nng xy ra kit qu ti chnh (IVZ) khng c ngha thng k trong cc m
hnh, thm ch nu c ngha th mi quan tng quan gia IVZ v CASH gn nh
0%. iu ny c th c gii thch bi th tc hnh chnh km hiu qu.
H s ca bin DEMA th m v c ngha thng k tt c cc m hnh hi quy tnh,
ln lt tng quan 13.43 %, 27.65% v 37.16% vi CASH m hnh FE, RE v
pool. Trong tt c cc bin tc ng ln CASH th bin DEMA c mc tng quan ln
nht. Kt qu ny ph hp vi gi thuyt i ng vi k o hn, hn ch kh nng
xy ra kit qu ti chnh v nhng cng ty c th to ra v c uy tn trn th trng,
dn n kh nng tip cn ngun vn d dng.
22



Kt qu hi quy trnh by mi tng quan dng gia kh nng thanh khon ti sn
(CNVT) vi CASH mc ngha 1% trong c ba m hnh hi quy. Kt qu ny
ngc vi bi nghin cu ca Shah (2011) - gia CNVT v CASH tng quan m v
quan im ca Ozkan v Ozkan (2004) chi ph chuyn i ti sn ngn hn khc tin
mt thnh tin mt thp hn nhng ti sn khc, do , nu kh nng thanh khon cao
th tin mt nm gi s t. Cn kt qu ca bi nghin cu ny l mi tng quan
dng gia CNVT v CASH, ngha l cng ty nm gi nhiu ti sn thanh
khonnhng vn c t l nm gi tin mt cao. iu ny c th c gii thch bi
phong cch vn hnh cng ty ca nh qun l, cc doanh nghip Vit Nam cn hn
ch trong qun tr tin mt, h khng quan tm n chi ph c hi. Th tng Vit Nam
trong nhng nm qua gp nhiu kh khn trong thanh khon nn nm gi ti sn c
tnh thanh khon cha chc cng ty c thanh khon khi n k o hn, do , nm
gi tin mt l cch tt.
Trong m hnh FE, bin vng quay ti sn thanh khon (CYC) tng quan m vi t l
nm gi tin mt (CASH), mc ngha 10%. Kt qu ny ph hp vi l thuyt ban
u ra, vng quay ti sn thanh khon nhanh lm gim t l nm gi tin mt. iu
ny l hon ton hp l v vng quay tin mt ngn th cng ty c kh nng cn i
c tin mt nhanh chng v p ng ngha v tr n trong ngn hn. Tuy nhin,
trong m hnh pool, CYC tc ng dng ln CASH vi mc ngha l 1%. Mu d
liu trong bi nghin cu ny l cc cng ty sn xut, dch v, nn i hi tnh chu k
rt cao, do , vng quay ti sn thanh khon ngn lm gim p lc ngun vn cho sn
xut, nh l mt tm m gim nhng c sc sn xut v kinh doanh trn th tng
Vit Nam, n nh l tin mt.
Cui cng l bin t sut sinh li trn tng ti sn (ROA), bin ny c em a thm
vo m hnh, v bin ROA rt quan trng trong quyt nh vn hnh cng ty, gia vn
u t v li nhun. Nm gi tin mt bao nhiu m bo kh nng sn xut ca
cng ty l ct li cn phi xem xt. V trong m hnh FE, ROA tc ng dng ln
CASH vi mc ngha 10%. Nhng cng ty khi ti sn hot ng hiu qu, c nhiu
li nhun th c li th tch tr tin mt.
[Bng 6: Kim nh Hausman (1978)]
23



Kim nh Hausman xc nh tnh hiu qu gia hai m hnh FE v RE. Vi gi
thuyt H
0:
M hnh FE v RE khng c s khc bit. Nu gi thuyt H
0
b bc b th
m hnh FE l tt nht.
Theo kt qu kim nh trnh by trong bng 6, gi tr Chi bnh phng ca kim nh
Hausman l 32.7294 vi gi tr p l 0.0011, v p < 0.05 nn gi thuyt H
0
b bc b,
nh vy m hnh FE c la chn tin cy hn, cc bin c lp gii thch c
61.74% (R
2
) cho bin ph thuc.
4.2. M hnh d liu bng ng
[Bng 7: Kt qu hi quy ca m hnh GMM v tc ng ca cc bin gii thch
ln bin ph thuc]
M hnh GMM c s dng khc phc tnh trng phng sai thay i v t tng
quan ca d liu. Ngoi ra, cn c dng tm ra mc iu chnh ca t l nm
gi tin mt hng ti ti u. Gi tr (H s ca bin ph thuc c tr CASH
i,t-1
)
bng 0.1188 v c ngha thng k vi mc 1%. H s iu chnh, = (1-), gn bng
0.9, nh vy, nhng cng ty Vit Nam phi iu chnh t l nm gi tin mt rt ln,
h chm tr trong vic iu chnh t l tin mt ti u.
Kt qu ca GMM khng hon ton khc vi m hnh FE v RE ca hi quy bng
tnh. Nhng bin nh GRT, LEV, DEMA u c ngha thng k trong m hnh bng
ng v tng quan vi CASH theo chiu nh bn m hnh bng tnh trnh by v
gii thch. Ngoi ra, trong m hnh GMM cn c thm bin CF c ngha thng k
vi mc 5% v tng quan dng ln bin CASH. Nhng cng ty vi nhiu li nhun
th tch ly cng nhiu tin mt. Kt qu ny ph hp vi Shah (2011) v Opler v
cng s (2004), nhng cng ty ln c kh nng t c li nhun nhiu hn v c
kh nng tt hn trong vic tch tr tin. C th tm tt thm cc bin c ngha thng
k trong m hnh nh sau: Tc tng trng ti sn cao hn th nm gi tin mt
trnh ri vo chi ph c hi cng cao. Nhng cng ty c n by ti chnh cao hn dn
n cn i tin mt nh hn. Kt qu ny xc nh li d on ca Ansic v Hey
(1993). Cui cng, nhng cng ty vi n di hn cao th s nm t li tin mt. Kt qu
ny tun theo thuyt trt t phn hng, c a bi Myers v Majluf (1984).
24



kim nh tnh hp l ca m hnh GMM, em tin hnh kim nh Sargan vi gi
thuyt H
0
l m hnh khng c s tng quan gia cc bin cng c v sai s. Kt qu
hi quy GMM cho ra J-statistic (17.4832) v Instrument rank (26) ln hn s h s
c lng (11). Thng k Sargan c phn phi nh (p-k), trong , k l s h s
c lng v p l instrument rank. T Eview, nhp lnh tnh p-value ca m hnh:
Scalar pval = @chisq (17.4832, 15)
Kt qu, p-value = 0.2926 > = 0.05, chp nhn gi thuyt H
0
. Nh vy m hnh
GMM l ph hp, khng c s tng quan gia cc bin cng c vi phn d v cc
bin cng c c la chn l ph hp.
25



5. Kt lun
Bi nghin cu s dng s liu bo co ti chnh giai on 2006 2012 ca 110 cng
ty phi ti chnh c nim yt trn hai sn chng khon H Ni (HNX) v sn chng
khon thnh ph H Ch Minh (HOSE) xem xt t l nm gi tin v cc yu t
quyt nh d tr tin ti cc cng ty Vit Nam. Tng quan th t l nm gi tin trung
bnh Vit Nam ti 36.14%, cao hn rt nhiu so vi cc bi nghin cu cc th
trng khc, nh Shah (2011) l 8.26% Pakistan, cng l th trng ang pht trin.
S d t nm gi tin mt cao ny l do cc cng ty Vit Nam khng ch trng n chi
ph c hi ca vic nm gi tin.
Qua qu tnh x l s liu v chy m hnh hi quy trn Eview, kt qu thu c nh
sau:
Bi nghin cu tin hnh hi quy xem xt cc yu t tc ng n t l nm gi tin
c hai m hnh d liu bng tnh v m hnh d liu bng ng, chn ra 12 bin c
lp hi quy v ch c 5 bin c ngha thng k.
ba m hnh hi quy d liu bng tnh, kt qu kim nh Hausman cho ra m hnh
tc ng c nh (FE) c la chn l hp l nht. Kt qu ca m hnh d liu bng
tnh trnh by nhng cng ty ang tng trng, t sut sinh li trn ti sn cao hn th
cng nm gi tin mt nhiu hn so vi cc cng ty khc. Nhng cng ty vi k o
hn n di hn v nhng cng ty vi vng quay tin mt nhanh hn th nm gi tin
mt t hn. Trong bi nghin cu ny, c mt bin ngc vi kt qu nghin cu trc
y v ngc vi l thuyt ban u d on, l bin chuyn i ti sn ngn hn
khc tin mt thnh tin mt, gii thch cho kt qu ny l cc doanh nghip Vit Nam
cn hn ch trong qun tr tin mt, h khng quan tm n chi ph c hi. Th tng
Vit Nam trong nhng nm qua gp nhiu kh khn trong thanh khon nn nm gi ti
sn c tnh thanh khon cha chc cng ty c thanh khon khi n k o hn, do
, nm gi tin mt l cch tt.
m hnh d liu bng ng, em chy hi quy m hnh tng qut cc moment
(GMM), kt qu khng khc nhiu so vi m hnh d liu bng tnh. S d chy m
hnh GMM l v GMM khc phc c cc rng buc ca m hnh OLS, nh ni sinh
26



tim nng, phng sai thay i v t tng quan, ngoi ra, GMM cn tm ra c h
s iu chnh t t l nm gi tin ti u. V Vit Nam, h s iu chnh ti
90%, chng t vic qun tr tin mt ca cc cng ty khng hiu qu. Vi kim nh
Sargan, m hnh GMM tin cy hn, khng c tng quan gia phn d v cc bin
cng c. Kt qu ca GMM l nhng cng ty ang tng trng v c nhiu li nhun
th nm gi tin nhiu hn cc cng ty khc. Nhng cng ty vay n nhiu v k o
hn cc khon n di hn th nm gi tin t hn.
Tuy nhin, bi nghin cu cn hn ch trong vic mu d liu, c th cha phn nh
ng hon ton th trng Vit Nam, do , phn m rng ca bi nghin cu c th
ly thm nhiu mu d liu v c tiu ch r rng hn v mu. ng thi, trong m
hnh c thm cc yu t khc nh hng n qun tr tin mt, nh, nhu cu vn lun
chuyn, chi tiu vn, bt n ca dng tin hot ng, ... Ngoi ra, bi nghin cu
ny c th pht trin thm bng cch xem xt tc ng ca qun tr tin mt ln hiu
qu hot ng ca cng ty.
27



PH LC
Bng 1: Ma trn h s tng quan gia cc bin gii thch v t l nm gi tin mt

Ngun: Eview 6.0
28




Bng 2: Thng k m t

Ngun: Eview 6.0
Bng 3: Kim nh t tng quan
Wald Test:
Equation:
WALDTEST
Test Statistic Value df Probability
F-statistic 1.044321 (1, 658) 0.3072
Chi-square 1.044321 1 0.3068
Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(1) 0.040054 0.039195
Restrictions are linear in coefficients.
Ngun: Eview 6.0


29



Bng 4: Kt qu hi quy m hnh pool

Ngun: Eview 6.0
Ghi ch: * c ngha thng k vi mc ngha 1%

30



Bng 5: Kt qu hi quy m hnh tc ng c nh v tc ng ngu nhin
Variable Fixed effects Random effects
Coefficient Std. Error Prob. Coefficient Std. Error Prob.
GRT 0.0414** 0.0210 0.0489 0.0393* 0.0147 0.0076
PB -0.0014 0.0028 0.5981 0.0008 0.0035 0.8124
CFV -0.0009 0.0058 0.8926 0.0017 0.0071 0.8154
SIZE 0.0045 0.0153 0.7710 0.0021 0.0071 0.7678
LEV -0.0862 0.0816 0.2911 -0.1033** 0.0440 0.0191
DIV 0.0289 0.0595 0.6268 -0.0313 0.0806 0.6975
CF 0.0645 0.0427 0.1319 0.0617 0.0540 0.2531
IVZ 0.0000 0.0003 0.9973 0.0000 0.0005 0.9650
DEMA -0.1343** 0.0601 0.0257 -0.2765* 0.0667 0.0000
CNVT 0.0125* 0.0048 0.0092 0.0211* 0.0053 0.0001
CYC -0.0255*** 0.0141 0.0718 -0.0113 0.0164 0.4915
ROA 0.1603*** 0.0926 0.0837 0.1343 0.1063 0.2067
C 0.3271*** 0.1828 0.0739 0.3600* 0.0936 0.0001
Period fixed (dummy variables)
Cross-section random (Weight Statistic)
Cross-section fixed (dummy variables)
R-squared 0.6174 0.1116
Adjusted R-squared 0.5416 0.0975
Durbin-Watson stat 1.9762 1.6608
F-statistic 8.1457* 0.000 7.9132* 0.000
Firms 110 110
No.of obs 769 769

Ngun: Eview 6.0

Ghi ch: * c ngha thng k vi mc ngha 1%
** c ngha thng k vi mc ngha 5%
*** c ngha thng k vi mc ngha 10%
31



Bng 6: Kt qu kim nh Hausman

Ngun: Eview 6.0
Bng 7: Kt qu hi quy m hnh GMM

a



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