TRNG I HC KINH T TP.HCMKHOA TI CHNH B MN TI CHNH DOANH NGHIP

BI NGHIN CUDng tin v s iu chnh n by

Bi nghin cu gc: Cash flows and leverage adjustments Michael Faulkender, Mark J. Flannery, Kristine Watson Hankins, Jason M. Smith

Gio vin hng dn: PGS.TS. NGUYN TH LIN HOANhm sinh vin thc hin:Nguyn Trn Lan AnhV Th Thy DungTrn Ngc Thin HngNguyn Qunh Anh ThNguyn Phm Linh Trang

Mc lc1. C s l thuyt51.1.L thuyt nh i51.2.L thuyt trt t phn hng51.3.L thuyt Market timing62.Tng quan cc nghin cu trc62.1.nh hng ca dng tin ln vic iu chnh n by62.2.nh hng ca hn ch ti chnh ln vic iu chnh n by62.3.nh hng ca vic nh thi im th trng ln vic iu chnh n by62.4.nh hng ca cc yu t khc ln vic iu chnh n by63.D liu v m hnh nghin cu83.1.D liu v bin nghin cu83.2.M hnh nghin cu104.Kt qu nghin cu124.1.Phn bit s iu chnh cu trc vn gia nhng cng ty s dng n cao v thp124.2.nh hng ca dng tin n chi ph iu chnh cu trc vn. Kim nh tnh vng134.3.nh hng ca hn ch ti chnh v iu kin th trng n tc iu chnh135.Kt lun136.Hn ch ca bi nghin cu13

DANH MC BNGBng : D on v tc ng ca vic nh gi sai c phn ln tc iu chnh hng ti t l n by mc tiuBng : Kim nh tc ng ca vic nh gi ln tc iu chnhBng : Tm tt thng kBng : Tc iu chnh c bnBng : Phn tch tc iu chnh c bn

DANH MC T VIT TT

1. C s l thuyt1.1. L thuyt nh iL thuyt nh i a ra khi nim cu trc vn mc tiu (cu trc vn ti u) m doanh nghip c th ti a ha gi tr cho ch s hu, ti thiu ha ri ro v ti thiu ha chi ph s dng vn. Theo cc doanh nghip s iu chnh t l n ca mnh v t l n mc tiu nhm cn bng gia li ch t tm chn thu v chi ph kit qu ti chnh hng n mc tiu ti a ha gi tr doanh nghipL thuyt nh i tha nhn rng cc cng ty khc nhau s c nhng t l n mc tiu khc nhau. Theo , cc doanh nghip c ti sn hu hnh an ton v nhiu thu nhp c khu tr thu s c t l n muc tiu cao. Titman v Wessels (1988); Rajan v Zingales (1995) a ra mi tng quan thun gia ti sn ti hu hnh v n by ti chnh. Cc doanh nghip khng sinh li, hoc ti sn ch yu l ti sn v hnh th nn s dng vn c phn. Tuy nhin c nhng nghin cu a ra cc hin tng m l thuyt nh i cha gii thch c: Theo Wright (2004) mc n by cc cng ty trong ngnh gn nh l khng i mc d thu sut thay i ng k qua thi gian, trong khi l thuyt nh i li cho rng khi thu cng cao, li ch thu c t tm chn thu cng nhiu th cc cng ty s tin hnh s dng n nhiu hn. Theo l thuyt khi mt doanh nghip c kh nng sinh li ln, nhiu li nhun th s c chi ph kit qu ti chnh thp nn s thng hng ti cu trc vn thin v s dng n, nhng cc nghin cu ca Fama v French (2002), Frank v Goyal (2007) li a ra bng chng thc nghim v mi tng quan nghch gia n by v kh nng sinh li. T i hi cn c mt l thuyt mi ph hp hn gii thch.1.2. L thuyt trt t phn hngL thuyt trt t phn hng da trn s bt cn xng thng tin gia cc gim c v cc nh u t. R rng l cc gim c bit nhiu thng tin v cc tim nng, ri ro v gi tr ca cng ty mnh hn cc nh u t bn ngoi. S bt cn xng thng tin ny s nh hng n cc la chn gia ti tr bng n hay vn c phn, gia ngun vn ni b hay ngun vn bn ngoi. Theo l thuyt trt t phn hng, ngun vn s c ti tr theo th t u tin l vn c phn ni b, th hai l pht hnh n v cui cng l pht hnh mi vn c phn, khi cng ty s dng ht kh nng vay n, hoc khi m chi ph kit qu ti chnh qu cao (Myers 1984). Cc hm ca trt t phn hng: Cc doanh nghip thch ti tr ni b hn Cc doanh nghip iu chnh tng ng cc t l chi tr c tc mc tiu theo cc c hi u t, trong khi trnh cc thay i t xut trong c tc Cc chnh sch c tc cng nhc, cng vi cc dao ng khng th d on trong kh nng sinh li v cc c hi u t, c ngha l dng tin pht sinh ni b i khi ln hn cc chi tiu vn v i khi nh hn. Nu ln hn, doanh nghip thanh ton ht n hay u t vo chng khon th trng. Nu nh hn, doanh nghip rt s d tin mt ca mnh trc hoc bn cc chng khon th trng. Nu cn n ti tr t bn ngoi, cc doanh nghip pht hnh chng khon an ton nht trc. Tc l h bt u vi n, ri n cc chng khon ghp nh tri phiu chuyn i c, sau c l c phn thng l gii php cui cng.L thuyt trt t phn hng gii thch v sao cc doanh nghip c kh nng sinh li cao thng vay n t hn, v nhng doanh nghip khng cn tin t bn ngoi, li nhun gi li ca h ln ti tr cho cc c hi u t nn ngun vn ni b c la chn u tin trong bng xp hng. T cho thy mt mi tng quan nghch gia n by ti chnh v kh nng sinh li. Li ch t tm chn thu lm n vay c tc ng th hai trong l thuyt ny. Khi mt doanh nghip thng bo pht hnh vn c phn, thng s gy nn mt s st gim gi c phn do cc nh u t ngh rng gi c phn ca doanh nghip ang c nh gi cao hn gi tr tht ca n, v cc doanh nghip pht hnh c phn hng phn chnh lch ny nn nhng nh u t s nh gi c phn thp hn gi m doanh nghip a ra, v vy pht hnh mi vn c phn c xem l s la chn cui cng. 1.3. L thuyt Market timingnh thi im th trng da trn bin ng gi th trng trong tng lai ca cc nh u t a ra quyt nh mua hoc bn ti sn ti chnh. ng trn gc nh qun tr doanh nghip, cc nh qun tr tn dng li th thng tin ni b doanh nghip, da trn s sai lch gi c phn tin hnh iu chnh thi im pht hnh vn c phn.Theo Baker v Wrugler (2002), vic nh thi im th trng cho vn c phn c ngha l doanh nghip s pht hnh chng khon vn khi gi th trng ca chng khon cao, v mua li vi gi thp. Theo kho st ca Graham v Harvey (2001) cho thy khong 2/3 nh qun tr quan tm n th trng nh gi chng khon l cao hay thp khi quyt nh cc chnh sch ti tr. 2. Tng quan cc nghin cu trc2.1. nh hng ca dng tin ln vic iu chnh n by2.2. nh hng ca hn ch ti chnh ln vic iu chnh n by2.3. nh hng ca vic nh thi im th trng ln vic iu chnh n by2.4. nh hng ca cc yu t khc ln vic iu chnh n by Bi nghin cu: Equity Mispricing and leverage adjustment costs (Richard S. Warr, William B. Elliott, Johanna KoterKant v zde ztekin 2012) Ni dung v phng php nghin cu:Nhm tc gi nhn thy vic nh gi sai c phn c tc ng n tc iu chnh n by, v h a ra cc d on da trn vic cng ty ang s dng n cao hay thp. Bng di y trnh by mt cch c th cc gi thuyt ca nhm tc gi.

Bng : D on v tc ng ca vic nh gi sai c phn ln tc iu chnh hng ti t l n by mc tiu c lng vic nh gi sai, nhm tc gi s dng gi tr c phn c xc nh bi m hnh thu nhp thng d theo gi tr th trng. Phng php ny c pht trin bi Rhodes- Kropf, Robinson, and Viswanathan (2005), nhng nh nghin cu ny tch vic nh gi sai ra khi cc la chn tng trng ca doanh nghip, s dng hai dng ca m hnh thu nhp thng d: mt l s dng thu nhp c d on theo k vng ca c nhn, hai l s dng thu nhp c d bo bi nhng chuyn gia. Trong bi nghin cu ny, nguyn nhn ca vic nh gi sai l khng quan trng v cc nh qun tr ca cng ty s bit cch p dng vic nh gi sai ny thnh li th ca cng ty khi tin hnh iu chnh cu trc vn. Kt qu nghin cu:

Bng : Kim nh tc ng ca vic nh gi ln tc iu chnhPanel A v Panel B s dng gi tr mc tiu ca Fama v French (2002) tng ng theo gi tr th trng v s sch a ra kt qu kim nh. Hng u tin so snh tc iu chnh gia nhng cng ty c nh gi cao vi cc cng ty b nh gi thp khi nhng cng ty ny c gi tr n by vt qu gi tr mc tiu (DISTANCE < 0, DISTANCE = T l n mc tiu T l n c quan st). Hng th hai trnh by s so snh tng t nhng i vi nhng cng ty c gi tr n by di mc mc tiu. Trong Panel A cc h s hi quy ca DISTANCE nm trong khong t 24% - 54% v u c ngha mc 1%. Tc ny c xem l ph hp vi nhng bi nghin cu trc y. C th rt ra c kt qu l nhng cng ty c mc n by cao cng vi c phn c nh gi cao iu chnh n by v gi tr mc tiu trong khong 1,9 nm, cn nhng cng ty b nh gi thp cn khong 3 nm c th tr v gi tr mc tiu. Phn tch tng t cho nhng Panel sau.T bi nghin cu kt lun rng nhng cng ty vt qu gi tr n by mc tiu nn pht hnh c phn hoc gim n c th iu chnh n by v mc mc tiu. Tc ny s nhanh hn khi c phiu c nh gi cao. Nu nh c phiu cng ty ny ang b nh gi thp, th tc iu chnh s chm hn nhiu. Nhng cng ty c gi tr n by thp hn gi tr mc tiu s c nhng tc ng ngc li. iu ny ph hp vi nhng gi thuyt m nhm tc gi a ra, l nhng cng ty b nh gi thp v nhng cng ty c nh gi cao s tin hnh iu chnh n by vi tc khc nhau mt cch ng k. Kt qu cng c kim nh tnh vng bng nhiu phng php khc nhau.3. D liu v m hnh nghin cu3.1. D liu v bin nghin cu3.1.1. D liuNhm tc gi s dng d liu t Compustat trong giai on t 1965 2006, ngoi tr cc cng ty ti chnh (SIC 6000 6999) v cc cng ty cng cng (SIC 4000 4999). Bng vic s dng s kt hp d liu hng nm ca Compustat v Trung tm nghin cu gi chng khon (CRSP), nhm tc gi c lng m hnh iu chnh ring phn c t l vn mc tiu ph thuc vo c im ca cng ty theo nghin cu ca Flannery v Rangan (2006). Bi nghin cu ny ch phn tch da trn cc gi tr s sch v nhng bin c s dng trong bi c b i cc mc phn v 1 v 99.

3.1.2. Cc bin nghin cu Bng 1: Tm tt thng k

Cc bin dng xc nh nh hng ca dng tin ln s iu chnh n byBook dev: Chnh lch gia n by thc t nm trc vi n by mc tiu theo gi tr s sch = Gi tr n by mc tiu Gi tr n by theo thc t nm trc (theo gi tr s sch)Book active dev: Chnh lch ca s iu chnh n by ch ng so vi n by mc tiu theo gi tr s sch = (theo gi tr s sch)Market dev: Chnh lch gia n by thc t nm trc vi n by mc tiu theo gi tr th trng = Gi tr n by mc tiu Gi tr n by theo thc t nm trc (theo gi tr th trng)Cash flow: Dng tin hot ng ca mt cng ty = DevLarger: Bin gi, c gi tr = 1 khi v c gi tr = 0 khi ExcessDev = ()*DevLargerOverlap, = *DevLargerOverlap, = * (1 DevLarger)ExcessCF = * (1 DevLarger)

Cc bin s dng xc nh nh hng ca hn ch ti chnh v vic nh thi im th trng ln iu chnh n byBaa: T sut sinh li tri phiu trung bnh trong giai on t-1 v tMBDiff = Trung bnh cc ngnh cng nghipIndMB = Trung bnh cc ngnh cng nghipLn(Basset) = logarit t nhin ca gi tr ti sn theo s sch nm t-1Rated: bin gi c gi tr = 1 khi cng ty c xp hng tri phiu v ngc liDiv: bin gi c gi tr = 1 khi cng ty c chi tr c tc, v bng 0 nu ngc liBook lev =

Cc bin dng c lng t l n by mc tiuEBIT_TA: Kh nng sinh li = MB: T l gi tr th trng trn gi tr s sch ca ti snDEP_TA: Khu hao tnh theo t l trn tng ti snLn_TA: Logarit t nhin ca tng ti sn, c iu chnh theo ch s CPI nm 1983FA_TA: Phn ti sn c nh, nh my, thit b c tnh theo t l trn tng ti snR&D_TA: Chi ph nghin cu v pht trin c tnh theo t l trn tng ti snR&D_DUM: Bin gi c gi tr = 1 nu chi ph nghin cu v pht trin > 0, v = 0 nu ngc li.3.2. M hnh nghin cuBi nghin cu ny s dng m hnh iu chnh ring phn c lng t l n by ca cng ty v a ra tc iu chnh hng n mc tiu. T m hnh iu chnh ring phn c bn, nhm tc gi s thay i cc bin trong m hnh xc nh dng tin, hn ch ti chnh v vic nh thi im th trng c nh hng nh th no ln tc iu chnh. M hnh iu chnh ring phn chun c dng: (1)Trong : l d n ca cng ty i ti thi im t, l gi tr ti sn trn s sch ca cng ty i ti thi im t, l t l n by cng thi im t, l t l n by thi im t-1, l t l n by mc tiu c lng ca cng ty i ti thi im t-1l tc iu chnh hng n mc tiu ca cng ty Mi nm cng ty thu hp mt t l ca chnh lch gia mc n by thc t vi mc n by mc tiu. Theo nhm tc gi, vic s dng gi tr s sch hay gi tr th trng c lng mc n by mc tiu v tnh tc iu chnh l khng quan trng. Yu t quan trng to nn s khc bit gia tc iu chnh ca cc cng ty s dng n cao vi cc cng ty s dng n thp l chi ph iu chnh. T nhm tc gi xt li cng thc (1) chia mc n by ca cng ty thnh phn ch ng v b ng. S iu chnh ch ng i hi cng ty tham gia vo th trng vn bng mi cch. Chnh s iu chnh ch ng ny lm cng ty tn chi ph giao dch, v th vic kim nh cc m hnh iu chnh mc tiu nn tp trung vo cc iu chnh ch ng. (2)Trong : tng ng vi thu nhp rng trong nm ti thi im t. Mc n by ti thi im t s l nu cng ty khng tham gia vo bt c hot ng th trng vn rng no. Do c th thy v tri ca cng thc (2) th hin s iu chnh ch ng ca cng ty hng n cu trc vn mc tiu. u tin, nhm tc gi c lng gi tr , sau cng thc (1) v (2) c hi quy theo phng php OLS vi sai s chun bootstrapped. c th tnh ton gi tr cc tc gi m hnh ha cho thy n by mc tiu c s khc nhau gia cc doanh nghip hoc qua thi gian, t l n by mc tiu c dng: (3)Trong l vect h s hi quy v l vect cc c trng ca doanh nghip lin quan n li nhun v chi ph, bao gm cc tc ng c nh ln doanh nghip, v cc gi tr EBIT_TA, MB, DEP_TA, Ln_TA, FA_TA, R&D_TA, R&D_DUM ( c trnh by trong phn m t bin). Vic s dng m hnh bng ng i hi mt s vn c tnh quan trng (Nickell, 1981; Baltagi, 2008), v mt s k thut kinh t c thit k gii quyt. Flannery v Hankins (2011) a ra kt lun rng Phng php system Generalized Method of Moments (GMM) ca Blundell and Bond (1998) c th a ra c tnh y . T nhm tc gi c lng cng thc (3) thng qua phng php system GMM ca Blundell and Bond (1998) v tnh ton . Cng th (1) v (2) c th c lng bng phng php OLS, vi sai s chun bootstrapped.4. Kt qu nghin cu4.1. Phn bit s iu chnh cu trc vn gia nhng cng ty s dng n cao v thp

Bng 2: Tc iu chnh c bn.u tin nhm tc gi c lng 2 m hnh hi quy c bn v a ra kt qu Bng 2. Hai ct u tin ca bng th hin tc iu chnh ng vi gi tr s sch v gi tr th trng ca n by c c tnh theo cng thc (1). Theo , tc iu chnh khi s dng gi tr n by theo s sch l 21,9%, v 22,3% ng vi gi tr th trng. Kt qu ny ph hp vi cc nghin cu trc y khi a ra tc iu chnh khng c s khc bit ln gia gi tr th trng v gi tr s sch (Lemmon, Roberts, v Zender 2008: tc iu chnh khong 25%). Khi o lng n by gii hn mc iu chnh ch ng nhm tc gi cho thy c th c lng c mt tc iu chnh mc 31,6% ct th 3 ca Bng 2. Tc iu chnh tng cao nh vy l do c s gia tng trong thu nhp rng v doanh nghip s dng t n hn. p-value c trnh by trong du ngoc n. ***,**,* i din cho mc ngha 1%, 5%, 10%.

S i mi th hai ca nhm tc gi ln cng thc (1) l loi b s i xng gia nhng doanh nghip s dng n cao v thp, nhm tc gi cho thy c s khc nhau trong tc iu chnh hai loi doanh nghip ny, kt qu c lng c trnh by Bng 3. Cc nh nghin cu trc y gi nh mt cch tng qut l cc doanh nghip iu chnh t l n by cng mc , ngoi tr DeAngelo, DeAngelo v Whited (2011). Ti sao li c s khc bit gia nhng doanh nghip s dng n cao v nhng doanh nghip s dng n thp? Korajczyk v Levy (2003) gii thch bng cch cung cp cc bng chng rng vic iu chnh n by th khc nhau gia cc doanh nghip b hn ch ti chnh v khng b hn ch ti chnh. Cc doanh nghip b hn ch ti chnh iu chnh chm hn so vi cc doanh nghip khng b hn ch ti chnh khi h s dng t vn vay, nhng nhanh hn khi h s dng nhiu vn vay.

Bng 3: Phn tch tc iu chnh c bnNa bn tri ca Bng 3 cho thy kt qu c lng cng thc (2), y nhm tc gi cho thy tc iu chnh ch ng ca nhng doanh nghip s dng n cao v thp. C th thy tc iu chnh c tnh c s khc nhau ng k gia nhng doanh nghip s dng n thp: 29,8% so vi 56,4% nhng doanh nghip s dng n cao. Theo , kt qu ny ch ra rng cc cng ty s dng n cao c li nhun ln hn hoc chi ph thp hn khi c cc iu chnh hng n t l n by mc tiu ca h. Kt qu ny ph hp vi Hovakimian (2004), tc gi ny cho thy cc cng ty s dng n cao c xu hng hng ti mc tiu nhiu hn. T s khc nhau trong tc iu chnh ca hai loi hnh cng ty ny, m nhng phn sau ca bi nghin cu ny s a ra nhng c tnh ring da trn hai mu ring l ny.4.2. nh hng ca dng tin n chi ph iu chnh cu trc vn. Kim nh tnh vng4.3. nh hng ca hn ch ti chnh v iu kin th trng n tc iu chnh5. Kt lun6. Hn ch ca bi nghin cu