Thực tế thì tỷ lệ tài sản dài hạn trên tổng tài sản của các doanh nghiệp khác
nhau là hoàn toàn khác nhau, nhưng nguyên tắc chung cho các kịch bản hoạch định
cấu trúc vốn trong trường hợp này là tài trợ tài sản ngắn hạn bằng nợ ngắn hạn, vốn
dài hạn vừa đủ để tài trợ cho tài sản dài hạn. Trong tổng vốn dài hạn thì cân đối cơ
cấu nợ dài hạn và vốn chủ sở hữu theo hướng giảm tỷ lệ vốn chủ, tăng tỷ lệ nợ dài
hạn sao cho hợp lý với kế hoạch kinh doanh, năng lực vay dài hạn và trả nợ trong
dài hạn và một số yếu tố khác của doanh nghiệp. Đồng thời, các kịch bản tái cấu
trúc vốn nêu trên cũng có thể không phù hợp trong những trường hợp doanh nghiệp
có nét đặc thù riêng trong hoạt động sản xuất kinh doanh.
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t ươ ng quan trong d li u nghiên c u c a mô hình.
xl
6. K t qu ư c l ư ng và các ki m nh
V ki m nh tính d ng c a chu i d li u, nghiên c u s d ng l nh xtunitroot
theo hai ph ươ ng pháp llc (Levin, Lin và Chu, 2002) và ips (Im, Pesaran và Shin,
2003) v i gi thi t H 0 là chu i d li u không d ng. K t qu các tr th ng kê c a th ng
kê z và t trong các ki m nh nghi m ơn v này u cho m c ý ngh a 1% và 5%. Do
ó, có th bác b gi thi t H 0, ng ngh a v i d li u nghiên c u u là các chu i
d ng và phù h p cho mô hình h i quy ng ư ng. S li u chi ti t v k t qu các ki m
nh này ư c tác gi trình bày chi ti t trong ph n cu i c a nghiên c u v i hình ch p
màn hình t ch ươ ng trình Stata m b o tính khách quan trong vi c cung c p s
li u h i quy.
B ng 2.4: K t qu ki m nh tính d ng c a d li u các bi n
IPS (Im, Pesaran và Shin, LLC (Levin, Lin và Chu,
Bi n i
Nhân t 2003) 2002)
di n
Th ng kê z và m c ý ngh a Th ng kê t và m c ý ngh a
ROA -2,5646 *** -16,5941 ***
Giá tr doanh
ROE -2,2570 ** -18.0431 ***
nghi p
TobinQ -12,2208 *** - 16,9909 ***
C u trúc v n BTDTA -3,1497 *** -17,7074 ***
Quy mô SIZE -2,0886 ** -14,2768 ***
T ng tr ư ng GROW -8,9226 *** -16,0962 ***
*** Ý ngh a th ng kê m c 1%, ** Ý ngh a th ng kê m c 5%, *Ý ngh a th ng kê m c 10%
Ngu n: Tính toán t ph n m m Stata
V ki m nh s t n t i c a các ng ư ng , trình t ki m nh s b t u t ki m
nh ng ư ng ơn, n u t n t i ng ư ng ơn, s ti p t c ti n hành ki m nh ng ư ng ôi,
n u t n t i ng ư ng ôi, s ti p t c ti n hành ki m nh 3 ng ư ng, và ti p t c n u ki m
xli
nh cho th y v n t n t i thêm các ng ư ng. Gi thi t v vi c t n t i ng ư ng luôn là:
H0: T n t i ng ư ng trong mô hình. Khi tr th ng kê p value c a F l n h ơn 0,05, gi
thi t H 0 s b bác b .
V i trình t nh ư trên, k t qu cho th y không m t mô hình nào t n t i ng ư ng
ơ n, mô hình tác ng c a BTDTA lên ROA và TobinQ không t n t i ng ư ng ôi,
mô hình tác ng c a BTDTA lên ROE có t n t i ng ư ng ôi. Ki m nh cu i cùng
v i gi thi t H 0: T n t i tác ng 3 ng ư ng c a BTDTA lên ROE, k t qu ki m nh
ã bác b gi thi t này. Tóm l i, trong 3 mô hình, ch có 1 mô hình t n t i ng ư ng ôi
khi phân tích tác ng c a BTDTA lên ROE. Tuy nhiên, k t qu h i quy cho th y hai
ng ư ng này th c t l i r t g n nhau, h s h i quy c a bi n ng ư ng trong kho ng gi a
hai ng ư ng c ng không có ý ngh a th ng kê, nên có th coi mô hình ch có m t
ng ư ng t i kho ng 65%. Chi ti t các k t qu ki m nh v ng ư ng trong các mô hình
ư c t ng h p trong b ng d ư i ây. Các thông tin chi ti t h ơn v t ng ki m nh, tác
gi trình bày trong ph n cu i c a ph l c này.
xlii
B ng 2.5: K t qu ki m nh t n t i ng ư ng tác ng c a c u trúc v n lên giá tr
doanh nghi p
C p bi n c u Th ng kê F Giá tr t i h n F
trúc v n và giá Giá tr ng ư ng
F-stat P-value 1% 5% 10%
tr doanh nghi p
Ki m nh ng ư ng ơ n
BTDTA tác ng
52,47% 10,94 0,1400 12,3028 14,3632 16,7570
lên ROA
BTDTA tác ng
24,6% 20,78 0,0500 16,7200 20,5401 26,8084
lên TobinQ
BTDTA tác ng
52,34% 5,37 0,705 13,8848 16,5362 21,3354
lên ROE
Ki m nh ng ư ng ôi
BTDTA tác ng
30,59% - 52,47% 4,13 0,7450 11,5240 13,1174 18,9184
lên ROA
BTDTA tác ng
21,33% - 23,85% 13,76 0,0900 13,4345 14,9718 20,5927
lên TobinQ
BTDTA tác ng
65,09 % - 65,42% 38,04 0,000 *** 10,5315 12,9086 16,4406
lên ROE
Ki m nh ba ng ư ng
BTDTA tác ng
3.2 0.86 16.5357 33.0919 63.4474
lên ROE
**
Ch p nh n gi thi t H0 v vi c t n t i ng ư ng. Ngu n: Tính toán t ph n m m
Stata
Ph n m m Stata có h tr v th mô t s t n t i c a ng ư ng m t cách hoàn
toàn t ng. th ư c th hi n nh ư sau:
xliii
th 2.1: th xác nh n s t n t i ng ư ng ôi trong tác ng c a nhân t
BTDTA lên ROE
Ngu n: V t ng t ph n m m stata
V vi c ư c l ư ng các h s h i quy , các k t qu ư c trình bày nh ư b ng
t ng h p d ư i ây. H s th ng kê l ch chu n thu ư c t câu l nh xthreg thông
th ư ng, h s th ng kê l ch chu n White thu ư c t câu l nh xthreg kèm thêm l a
ch n robust. Thông th ư ng v i d li u b ng, khi áp d ng mô hình các nh h ư ng c
nh, vi c thêm l a ch n robust s nh m kh c ph c hi n t ư ng ph ươ ng sai sai s thay
i trong mô hình. Hai k t qu h i quy khi có và không có robust u cho k t qu h
s h i quy ng nh t, v i m c ý ngh a th ng kê 1%, do ó, k t qu h i quy thu ư c
là áng tin c y.
B ng 2.6: K t qu ư c l ư ng h s h i quy tác ng c a BTDTA lên ROE
l ch Th ng kê t và White SE
H s Giá tr twhite
chu n m c ý ngh a (Robust)
** **
βββ11 0,162623 0,06388 -2,55 0,108517 -1,5
βββ12 -0,2094869 0,141001 -1,49 0,119926 - 1,75
*** ***
βββ13 -0,2203837 0,057321 -3,84 0,133633 - 1,65
*** Ý ngh a th ng kê m c 1%, ** Ý ngh a th ng kê m c 5%, *Ý ngh a th ng kê m c 10%
Ngu n: Tính toán t ph n m m Stata
xliv
7. Phân tích k t qu ư c l ư ng
Tr ư c h t, k t qu th c nghi m b ng ph ươ ng pháp h i quy ng ư ng ã ki m
ch ng v vi c t n t i ng ư ng ôi khi s d ng bi n BTDTA i di n cho c u trúc
v n o l ư ng nh h ư ng lên nhân t ROE. Tuy nhiên, v s li u th ng kê cho th y hai
ng ư ng này khá sát nhau m c 65,09 – 65,42%. K t qu th ng kê này khá t ươ ng
ng v i các nghiên c u c a Nguy n Thành C ư ng và Nguy n Th Cành (2012) cho
các doanh nghi p th y s n Vi t Nam v i bi n ng ư ng cho k t qu m c kho ng
59%, nghiên c u c a Cheng và c ng s (2010) cho 650 doanh nghi p niêm y t Trung
Qu c v i k t qu t n t i 3 ng ư ng tác ng c a c u trúc v n lên ROE và c u trúc v n
t i ưu t i 70,48%, nghiên c u c a Ahmad và c ng s (2013) v i các doanh nghi p
Malaysia cho k t qu c u trúc v n t i ưu kho ng 64,33%.
V h s tác ng, trong mô hình tác ng c a BTDTA lên ROE:
- Khi BTDTA < 65,09 %, h s tác ng c a BTDTA lên ROA là + 0,1626 v i
m c ý ngh a 5%.
- Kkhi 65,09 % < BTDTA< 65,42 % thì h s tác ng c a BTDTA lên ROE là
– 0,209, nh ưng không có ý ngh a th ng kê
- Khi BTDTA > 65,42 % thì h s tác ng c a BTDTA lên ROE là – 0,22 v i
m c ý ngh a 1%.
Tóm l i, k t qu này g i ý v v n t n t i m t c u trúc v n t i ưu khi
BTDTA m c 65% cho các DNSXCN Vi t Nam khi nghiên c u nh h ư ng c a nhân
t BTDTA lên giá tr ROE.
Các trang ti p theo c a ph n ph l c này là chi ti t hình ch p màn hình các
ph ư ng trình h i quy và các k t qu h i quy ã ư c ti n hành trong công trình
nghiên c u này.
xlv
Hình 2.1: K t qu ki m nh nghi m n v b ng ph ư ng pháp IPS v i bi n ROA
. xtunitroot ips roa
Im-Pesaran-Shin unit-root test for roa
Ho: All panels contain unit roots Number of panels = 95
Ha: Some panels are stationary Number of periods = 9
AR parameter: Panel-specific Asymptotics: T,N -> Infinity
Panel means: Included sequentially
Time trend: Not included
ADF regressions: No lags included
Fixed-N exact critical values
Statistic p-value 1% 5% 10%
t-bar -1.9412 -1.750 -1.680 -1.640
t-tilde-bar -1.4350
Z-t-tilde-bar -2.5646 0.0052
Hình 2.2: K t qu ki m nh nghi m n v b ng ph ư ng pháp IPS v i bi n ROE
. xtunitroot ips roe1
Im-Pesaran-Shin unit-root test for roe1
Ho: All panels contain unit roots Number of panels = 83
Ha: Some panels are stationary Number of periods = 9
AR parameter: Panel-specific Asymptotics: T,N -> Infinity
Panel means: Included sequentially
Time trend: Not included
ADF regressions: No lags included
Fixed-N exact critical values
Statistic p-value 1% 5% 10%
t-bar -1.9901 -1.750 -1.680 -1.640
t-tilde-bar -1.4238
Z-t-tilde-bar -2.2570 0.0120
Hình 2.3: K t qu ki m nh nghi m n v b ng ph ư ng pháp IPS v i bi n
TobinQ
. xtunitroot ips tobinq
Im-Pesaran-Shin unit-root test for tobinq
Ho: All panels contain unit roots Number of panels = 95
Ha: Some panels are stationary Number of periods = 9
AR parameter: Panel-specific Asymptotics: T,N -> Infinity
Panel means: Included sequentially
Time trend: Not included
ADF regressions: No lags included
Fixed-N exact critical values
Statistic p-value 1% 5% 10%
t-bar -6.3940 -1.750 -1.680 -1.640
t-tilde-bar -2.1542
Z-t-tilde-bar -12.2208 0.0000
xlvi
Hình 2.4: K t qu ki m nh nghi m n v b ng ph ư ng pháp IPS v i bi n Btdta
. xtunitroot ips btdta
Im-Pesaran-Shin unit-root test for btdta
Ho: All panels contain unit roots Number of panels = 95
Ha: Some panels are stationary Number of periods = 9
AR parameter: Panel-specific Asymptotics: T,N -> Infinity
Panel means: Included sequentially
Time trend: Not included
ADF regressions: No lags included
Fixed-N exact critical values
Statistic p-value 1% 5% 10%
t-bar -2.1015 -1.750 -1.680 -1.640
t-tilde-bar -1.4786
Z-t-tilde-bar -3.1497 0.0008
Hình 2.5: K t qu ki m nh nghi m n v b ng ph ư ng pháp IPS v i bi n Size
. xtunitroot ips size
Im-Pesaran-Shin unit-root test for size
Ho: All panels contain unit roots Number of panels = 95
Ha: Some panels are stationary Number of periods = 9
AR parameter: Panel-specific Asymptotics: T,N -> Infinity
Panel means: Included sequentially
Time trend: Not included
ADF regressions: No lags included
Fixed-N exact critical values
Statistic p-value 1% 5% 10%
t-bar -1.8261 -1.750 -1.680 -1.640
t-tilde-bar -1.3996
Z-t-tilde-bar -2.0886 0.0184
Hình 2.6: K t qu ki m nh nghi m n v b ng ph ư ng pháp IPS v i bi n GROW
. xtunitroot ips grow
Im-Pesaran-Shin unit-root test for grow
Ho: All panels contain unit roots Number of panels = 95
Ha: Some panels are stationary Number of periods = 9
AR parameter: Panel-specific Asymptotics: T,N -> Infinity
Panel means: Included sequentially
Time trend: Not included
ADF regressions: No lags included
Fixed-N exact critical values
Statistic p-value 1% 5% 10%
t-bar -2.9151 -1.750 -1.680 -1.640
t-tilde-bar -1.9086
Z-t-tilde-bar -8.9226 0.0000
xlvii
Hình 2.7: K t qu ki m nh nghi m n v b ng ph ư ng pháp LLC v i bi n ROA
. xtunitroot llc roa
Levin-Lin-Chu unit-root test for roa
Ho: Panels contain unit roots Number of panels = 95
Ha: Panels are stationary Number of periods = 9
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 6.00 lags average (chosen by LLC)
Statistic p-value
Unadjusted t -22.5569
Adjusted t* -16.5941 0.0000
Hình 2.8: K t qu ki m nh nghi m n v b ng ph ư ng pháp LLC v i bi n ROE
. xtunitroot llc roe1
Levin-Lin-Chu unit-root test for roe1
Ho: Panels contain unit roots Number of panels = 83
Ha: Panels are stationary Number of periods = 9
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 6.00 lags average (chosen by LLC)
Statistic p-value
Unadjusted t -24.6689
Adjusted t* -18.0431 0.0000
Hình 2.9: K t qu ki m nh nghi m n v b ng ph ư ng pháp LLC v i bi n
TobinQ
xlviii
Hình 2.10: K t qu ki m nh nghi m n v b ng ph ư ng pháp LLC v i bi n
Btdta
. xtunitroot llc btdta
Levin-Lin-Chu unit-root test for btdta
Ho: Panels contain unit roots Number of panels = 95
Ha: Panels are stationary Number of periods = 9
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 6.00 lags average (chosen by LLC)
Statistic p-value
Unadjusted t -22.9195
Adjusted t* -17.7074 0.0000
Hình 2.11: K t qu ki m nh nghi m n v b ng ph ư ng pháp LLC v i bi n Size
. xtunitroot llc size
Levin-Lin-Chu unit-root test for size
Ho: Panels contain unit roots Number of panels = 95
Ha: Panels are stationary Number of periods = 9
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 6.00 lags average (chosen by LLC)
Statistic p-value
Unadjusted t -16.9633
Adjusted t* -14.2768 0.0000
Hình 2.12: K t qu ki m nh nghi m n v b ng ph ư ng pháp LLC v i bi n
Grow
. xtunitroot llc grow
Levin-Lin-Chu unit-root test for grow
Ho: Panels contain unit roots Number of panels = 95
Ha: Panels are stationary Number of periods = 9
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 6.00 lags average (chosen by LLC)
Statistic p-value
Unadjusted t -26.5046
Adjusted t* -16.0962 0.0000
xlix
Hình 2.13: K t qu ư c l ư ng nh h ư ng n ng ư ng c a btdta lên roa
. xthreg roa size grow, rx(btdta) qx(btdta) thnum(1) trim(0.05) bs(200)
Estimating the threshold parameters: 1st ...... Done
Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
Threshold estimator (level = 95):
model Threshold Lower Upper
Th-1 0.5247 0.5091 0.5269
Threshold effect test (bootstrap = 200):
Threshold RSS MSE Fstat Prob Crit10 Crit5 Crit1
Single 3.0502 0.0036 10.94 0.1400 12.3028 14.3632 16.7570
Fixed-effects (within) regression Number of obs = 855
Group variable: firmcode Number of groups = 95
R-sq: within = 0.1688 Obs per group: min = 9
between = 0.3249 avg = 9.0
overall = 0.2322 max = 9
F(4,756) = 38.38
corr(u_i, Xb) = -0.2001 Prob > F = 0.0000
roa Coef. Std. Err. t P>|t| [95% Conf. Interval]
size .0092166 .005673 1.62 0.105 -.0019201 .0203533
grow .0423538 .0072325 5.86 0.000 .0281557 .056552
_cat#c.btdta
0 -.1695121 .030942 -5.48 0.000 -.2302546 -.1087695
1 -.222097 .0232645 -9.55 0.000 -.2677677 -.1764262
_cons -.0861411 .1507068 -0.57 0.568 -.3819946 .2097124
sigma_u .04893964
sigma_e .06351926
rho .37249904 (fraction of variance due to u_i)
F test that all u_i=0: F(94, 756) = 5.07 Prob > F = 0.0000
l
Hình 2.14: K t qu ư c l ư ng nh h ư ng n ng ư ng c a btdta lên tobinq
. xthreg tobinq size grow, rx(btdta) qx(btdta) thnum(1) trim(0.01) bs(200)
Estimating the threshold parameters: 1st ...... Done
Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
Threshold estimator (level = 95):
model Threshold Lower Upper
Th-1 0.2406 0.2368 0.2463
Threshold effect test (bootstrap = 200):
Threshold RSS MSE Fstat Prob Crit10 Crit5 Crit1
Single 459.3264 0.5429 20.78 0.0500 16.7200 20.5401 26.8084
Fixed-effects (within) regression Number of obs = 855
Group variable: firmcode Number of groups = 95
R-sq: within = 0.0528 Obs per group: min = 9
between = 0.0881 avg = 9.0
overall = 0.0041 max = 9
F(4,756) = 10.53
corr(u_i, Xb) = -0.7006 Prob > F = 0.0000
tobinq Coef. Std. Err. t P>|t| [95% Conf. Interval]
size -.2927299 .0695806 -4.21 0.000 -.4293241 -.1561357
grow .2612604 .0888757 2.94 0.003 .0867878 .435733
_cat#c.btdta
0 3.085729 .7468247 4.13 0.000 1.619632 4.551826
1 .6144605 .3051984 2.01 0.044 .0153235 1.213598
_cons 8.671024 1.847104 4.69 0.000 5.044962 12.29709
sigma_u .69551669
sigma_e .7794707
rho .44326534 (fraction of variance due to u_i)
F test that all u_i=0: F(94, 756) = 2.74 Prob > F = 0.0000
.
li
Hình 2.15: K t qu ư c l ư ng nh h ư ng n ng ư ng c a btdta lên roe
. xthreg roe2 size grow, rx(btdta) qx(btdta) thnum(1) trim(0.05) bs(200) nobslog
Estimating the threshold parameters: 1st ...... Done
Boostrapping for threshold effect test: 1st ...... Done
Threshold estimator (level = 95):
model Threshold Lower Upper
Th-1 0.5234 0.5228 0.5260
Threshold effect test (bootstrap = 200):
Threshold RSS MSE Fstat Prob Crit10 Crit5 Crit1
Single 12.9670 0.0176 5.37 0.7050 13.8848 16.5362 21.3354
Fixed-effects (within) regression Number of obs = 747
Group variable: firmcode Number of groups = 83
R-sq: within = 0.0561 Obs per group: min = 9
between = 0.0602 avg = 9.0
overall = 0.0434 max = 9
F(4,660) = 9.80
corr(u_i, Xb) = -0.4436 Prob > F = 0.0000
roe2 Coef. Std. Err. t P>|t| [95% Conf. Interval]
size .0544331 .0136133 4.00 0.000 .0277024 .0811637
grow .0529679 .0175963 3.01 0.003 .0184164 .0875195
_cat#c.btdta
0 -.1010106 .0769776 -1.31 0.190 -.2521612 .05014
1 -.1890912 .0581318 -3.25 0.001 -.3032369 -.0749456
_cons -1.199379 .3603593 -3.33 0.001 -1.906968 -.4917903
sigma_u .11492667
sigma_e .14016526
rho .40201991 (fraction of variance due to u_i)
F test that all u_i=0: F(82, 660) = 4.39 Prob > F = 0.0000
lii
Hình 2.16: K t qu ư c l ư ng nh h ư ng ng ư ng ôi c a btdta lên roa
. xthreg roa size grow, rx(btdta) qx(btdta) thnum(2) trim(0.05 0.05) bs(200 200)
Estimating the threshold parameters: 1st ...... 2nd ...... Done
Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
Boostrap for double threshold model:
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
Threshold estimator (level = 95):
model Threshold Lower Upper
Th-1 0.5247 0.5091 0.5269
Th-21 0.5247 0.5091 0.5269
Th-22 0.3059 0.3045 0.3075
Threshold effect test (bootstrap = 200 200):
Threshold RSS MSE Fstat Prob Crit10 Crit5 Crit1
Single 3.0502 0.0036 10.94 0.1700 13.1809 16.1868 20.1279
Double 3.0354 0.0036 4.13 0.7450 11.5240 13.1174 18.9184
Fixed-effects (within) regression Number of obs = 855
Group variable: firmcode Number of groups = 95
R-sq: within = 0.1722 Obs per group: min = 9
between = 0.3268 avg = 9.0
overall = 0.2348 max = 9
F(5,755) = 31.40
corr(u_i, Xb) = -0.2020 Prob > F = 0.0000
roa Coef. Std. Err. t P>|t| [95% Conf. Interval]
size .0087654 .0056712 1.55 0.123 -.0023677 .0198986
grow .0424201 .0072228 5.87 0.000 .028241 .0565992
_cat#c.btdta
0 -.0837828 .0579667 -1.45 0.149 -.1975779 .0300123
1 -.1461616 .0336639 -4.34 0.000 -.2122476 -.0800755
2 -.2031048 .025648 -7.92 0.000 -.2534547 -.1527549
_cons -.0868645 .1505029 -0.58 0.564 -.3823183 .2085894
sigma_u .04890283
sigma_e .06343308
rho .37278198 (fraction of variance due to u_i)
F test that all u_i=0: F(94, 755) = 5.06 Prob > F = 0.0000
liii
Hình 2.17: K t qu ư c l ư ng nh h ư ng ng ư ng ôi c a btdta lên TobinQ
. xthreg tobinq size grow, rx(btdta) qx(btdta) thnum(2) trim(0.05 0.05) bs(200 200
> ) nobslog
Estimating the threshold parameters: 1st ...... 2nd ...... Done
Boostrapping for threshold effect test: 1st ...... 2nd ...... Done
Threshold estimator (level = 95):
model Threshold Lower Upper
Th-1 0.2385 0.2367 0.2406
Th-21 0.2385 0.1879 0.2406
Th-22 0.2144 0.2045 0.2765
Threshold effect test (bootstrap = 200 200):
Threshold RSS MSE Fstat Prob Crit10 Crit5 Crit1
Single 903.1100 1.2237 12.74 0.1850 15.0564 18.7964 24.9165
Double 886.3722 1.2010 13.94 0.0900 13.2613 15.4685 17.5748
Fixed-effects (within) regression Number of obs = 747
Group variable: firmcode Number of groups = 83
R-sq: within = 0.0617 Obs per group: min = 9
between = 0.1891 avg = 9.0
overall = 0.0129 max = 9
F(5,659) = 8.67
corr(u_i, Xb) = -0.7638 Prob > F = 0.0000
tobinq Coef. Std. Err. t P>|t| [95% Conf. Interval]
size -.4853269 .113315 -4.28 0.000 -.7078289 -.2628249
grow .4770278 .1463026 3.26 0.001 .1897523 .7643032
_cat#c.btdta
0 .9822586 1.449043 0.68 0.498 -1.86304 3.827557
1 4.770776 1.3038 3.66 0.000 2.210674 7.330878
2 .5779537 .517054 1.12 0.264 -.4373182 1.593226
_cons 14.02837 3.001357 4.67 0.000 8.134998 19.92175
sigma_u 1.101559
sigma_e 1.166553
rho .47136794 (fraction of variance due to u_i)
F test that all u_i=0: F(82, 659) = 2.65 Prob > F = 0.0000
.
liv
Hình 2.18: K t qu ư c l ư ng nh h ư ng ng ư ng ôi c a btdta lên ROE
lv
Hình 2.19: K t qu ư c l ư ng nh h ư ng 3 ng ư ng c a btdta lên ROE
. xthreg roe2 size grow, rx(btdta) qx(btdta) thnum(3) trim(0.05 0.05 0.05) bs(200
> 200 200) nobslog
Estimating the threshold parameters: 1st ...... 2nd ...... 3rd ...... Done
Boostrapping for threshold effect test: 1st ...... 2nd ...... 3rd ...... Done
Threshold estimator (level = 95):
model Threshold Lower Upper
Th-1 0.5234 0.5228 0.5260
Th-21 0.6542 0.6523 0.6573
Th-22 0.6509 0.6496 0.6523
Th-3 0.5234 0.5228 0.5260
Threshold effect test (bootstrap = 200 200 200):
Threshold RSS MSE Fstat Prob Crit10 Crit5 Crit1
Single 12.9670 0.0176 5.37 0.6450 13.4284 16.5434 21.3670
Double 12.3314 0.0167 38.04 0.0000 10.6792 13.0909 18.9507
Triple 12.2782 0.0166 3.20 0.8600 16.5357 33.0919 63.4474
Fixed-effects (within) regression Number of obs = 747
Group variable: firmcode Number of groups = 83
R-sq: within = 0.0596 Obs per group: min = 9
between = 0.0645 avg = 9.0
overall = 0.0463 max = 9
F(6,658) = 6.95
corr(u_i, Xb) = -0.4560 Prob > F = 0.0000
roe2 Coef. Std. Err. t P>|t| [95% Conf. Interval]
size .0562562 .0136591 4.12 0.000 .0294356 .0830768
grow .0532116 .0175956 3.02 0.003 .0186614 .0877619
_cat#c.btdta
0 -.0660143 .0801449 -0.82 0.410 -.2233848 .0913562
1 -.1463742 .0642591 -2.28 0.023 -.2725518 -.0201965
2 -.1781986 .141563 -1.26 0.209 -.4561682 .099771
3 -.1964749 .0584433 -3.36 0.001 -.3112328 -.0817169
_cons -1.259731 .3623074 -3.48 0.001 -1.97115 -.5483134
sigma_u .11562171
sigma_e .140118
rho .40508481 (fraction of variance due to u_i)
F test that all u_i=0: F(82, 658) = 4.39 Prob > F = 0.0000
lvi
Ph l c 3: Các th mô t tình hình di n bi n các ch s kinh t v mô c a Vi t
Nam giai o n 2005 - 2015
th 1.1: GDP Vi t Nam giai o n 2005 – 2015
GDP (Hiện giá, tỷ USD)
250.00
199,00
200.00 186,20
171,22
155,82
150.00 135,53
115,93
99,13 106,04
100.00 77,41
57,63 55,36
50.00
-
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
n v : T USD - Ngu n: C s d li u ngân hàng th gi i
www.databank.worldbank.org và t ng c c th ng kê
th 1.2: T ng tr ư ng GDP Vi t Nam giai o n 2005 – 2015
Tăng trưởng GDP (%)
8.00 7,55
6,98 7,13
7.00 6,68
6,42 6,24
5,98
6.00 5,66
5,40 5,25 5,42
5.00
4.00
3.00
2.00
1.00
0.00
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
n v : % - Ngu n: C s d li u ngân hàng th gi i www.databank.worldbank.org
và t ng c c th ng kê
lvii
th 1.3: Di n bi n l m phát Vi t Nam giai o n 2005 – 2015
25.00 23,12
20.00 18,68
15.00
9,09
10.00 8,28 8,30 8,86
7,39 7,05 6,59
4,09
5.00
0,63
0.00
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
n v : % - Ngu n: C s d li u ngân hàng th gi i www.databank.worldbank.org
th 1.4: Di n bi n m t b ng lãi su t trong n n kinh t Vi t Nam giai o n 2007
– 2015
18.00 16,95
15,78
16.00
13,99 13,47
14.00 12,73 13,14
11,18 11,19
12.00 10,07 10,50 10,37
10.00 8,67 9,30
7,49 7,91 Lãi su ất huy độ ng (%)
8.00 7,14
5,76 5,83
6.00 Lãi suất cho vay (%)
4.00
2.00
0.00
2007 2008 2009 2010 2011 2012 2013 2014 2015
n v : %. Ngu n: C s d li u ngân hàng th gi i
www.databank.worldbank.org và báo cáo c a Ngân hàng Nhà n ư c Vi t Nam
lviii
Ph l c 4: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên c u trúc v n c a doanh nghi p
Hình 4.1: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên t l t ng n theo GTSS c a doanh nghi p
. xtabond2 btdta l.btdta roa tobinq size grow tang volatility liquidity interest d
> umyear, gmm(l.btdta roa tobinq volatility, lag(1 1)) iv(size grow tang liquidity
> interest dumyear) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor sp
> eed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test
> .
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firmcode Number of obs = 760
Time variable : year Number of groups = 95
Number of instruments = 66 Obs per group: min = 8
Wald chi2(10) = 1088.97 avg = 8.00
Prob > chi2 = 0.000 max = 8
Robust
btdta Coef. Std. Err. z P>|z| [95% Conf. Interval]
btdta
L1. .7037402 .0623572 11.29 0.000 .5815223 .8259581
roa -.3999236 .0626768 -6.38 0.000 -.5227679 -.2770793
tobinq .0021825 .0142721 0.15 0.878 -.0257902 .0301552
size .0076597 .0038446 1.99 0.046 .0001243 .0151951
grow .0370542 .0121116 3.06 0.002 .0133158 .0607926
tang -.0150985 .0263255 -0.57 0.566 -.0666954 .0364985
volatility -.0001147 .0058031 -0.02 0.984 -.0114886 .0112593
liquidity -.0175809 .0044781 -3.93 0.000 -.0263577 -.008804
interest -.6849051 .1650193 -4.15 0.000 -1.008337 -.3614732
dumyear .0093171 .0090614 1.03 0.304 -.0084429 .027077
_cons .0228098 .08407 0.27 0.786 -.1419645 .1875841
Instruments for first differences equation
Standard
D.(size grow tang liquidity interest dumyear)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(L.btdta roa tobinq volatility)
Instruments for levels equation
Standard
size grow tang liquidity interest dumyear
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.btdta roa tobinq volatility)
Arellano-Bond test for AR(1) in first differences: z = -5.49 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.13 Pr > z = 0.258
Sargan test of overid. restrictions: chi2(55) = 113.10 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(55) = 67.93 Prob > chi2 = 0.113
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(24) = 24.77 Prob > chi2 = 0.418
Difference (null H = exogenous): chi2(31) = 43.16 Prob > chi2 = 0.072
iv(size grow tang liquidity interest dumyear)
Hansen test excluding group: chi2(49) = 60.37 Prob > chi2 = 0.128
Difference (null H = exogenous): chi2(6) = 7.56 Prob > chi2 = 0.272
lix
Hình 4.2: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên t l n ng n h n theo GTSS c a doanh nghi p
. xtabond2 bsdta l.bsdta roa tobinq size tang volatility liquidity interest dumyea
> r, gmm(l.bsdta roa tobinq volatility, lag(1 1)) iv(size tang liquidity interest
> dumyear) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor sp
> eed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test
> .
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firmcode Number of obs = 760
Time variable : year Number of groups = 95
Number of instruments = 65 Obs per group: min = 8
Wald chi2(9) = 574.26 avg = 8.00
Prob > chi2 = 0.000 max = 8
Robust
bsdta Coef. Std. Err. z P>|z| [95% Conf. Interval]
bsdta
L1. .6527692 .0623079 10.48 0.000 .530648 .7748904
roa -.2739539 .0452427 -6.06 0.000 -.3626279 -.1852799
tobinq -.0010375 .0107869 -0.10 0.923 -.0221795 .0201044
size .0066477 .0036417 1.83 0.068 -.0004899 .0137854
tang -.0609016 .0251327 -2.42 0.015 -.1101608 -.0116423
volatility -.0014159 .0059926 -0.24 0.813 -.0131611 .0103293
liquidity -.0194818 .0034153 -5.70 0.000 -.0261757 -.0127879
interest -.4233113 .1437969 -2.94 0.003 -.7051481 -.1414744
dumyear -.0036797 .0080881 -0.45 0.649 -.0195321 .0121727
_cons .0513498 .0892797 0.58 0.565 -.1236352 .2263348
Instruments for first differences equation
Standard
D.(size tang liquidity interest dumyear)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(L.bsdta roa tobinq volatility)
Instruments for levels equation
Standard
size tang liquidity interest dumyear
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.bsdta roa tobinq volatility)
Arellano-Bond test for AR(1) in first differences: z = -5.69 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.28 Pr > z = 0.200
Sargan test of overid. restrictions: chi2(55) = 118.48 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(55) = 66.05 Prob > chi2 = 0.146
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(24) = 26.90 Prob > chi2 = 0.309
Difference (null H = exogenous): chi2(31) = 39.15 Prob > chi2 = 0.149
iv(size tang liquidity interest dumyear)
Hansen test excluding group: chi2(50) = 56.14 Prob > chi2 = 0.256
Difference (null H = exogenous): chi2(5) = 9.91 Prob > chi2 = 0.078
.
lx
Hình 4.3: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên t l n dài h n theo GTSS c a doanh nghi p
. xtabond2 bldta l.bldta roa tobinq size tang volatility liquidity interest dumyea
> r, gmm(l.bldta roa tobinq volatility, lag(1 1)) iv(size tang liquidity interest
> dumyear) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor sp
> eed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test
> .
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firmcode Number of obs = 760
Time variable : year Number of groups = 95
Number of instruments = 65 Obs per group: min = 8
Wald chi2(9) = 1273.64 avg = 8.00
Prob > chi2 = 0.000 max = 8
Robust
bldta Coef. Std. Err. z P>|z| [95% Conf. Interval]
bldta
L1. .904559 .0733667 12.33 0.000 .7607629 1.048355
roa -.0825518 .0292931 -2.82 0.005 -.1399653 -.0251383
tobinq .0079651 .0062051 1.28 0.199 -.0041966 .0201268
size .0011785 .0017211 0.68 0.494 -.0021948 .0045518
tang -.0286402 .0318054 -0.90 0.368 -.0909775 .0336972
volatility .0009357 .0038641 0.24 0.809 -.0066378 .0085093
liquidity .0016523 .0012986 1.27 0.203 -.0008928 .0041974
interest -.1633863 .0604698 -2.70 0.007 -.2819049 -.0448677
dumyear .0152891 .005609 2.73 0.006 .0042956 .0262826
_cons -.0220582 .0428601 -0.51 0.607 -.1060624 .0619461
Instruments for first differences equation
Standard
D.(size tang liquidity interest dumyear)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(L.bldta roa tobinq volatility)
Instruments for levels equation
Standard
size tang liquidity interest dumyear
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.bldta roa tobinq volatility)
Arellano-Bond test for AR(1) in first differences: z = -3.90 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 0.57 Pr > z = 0.569
Sargan test of overid. restrictions: chi2(55) = 86.37 Prob > chi2 = 0.004
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(55) = 61.53 Prob > chi2 = 0.254
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(24) = 31.05 Prob > chi2 = 0.152
Difference (null H = exogenous): chi2(31) = 30.49 Prob > chi2 = 0.492
iv(size tang liquidity interest dumyear)
Hansen test excluding group: chi2(50) = 58.43 Prob > chi2 = 0.193
Difference (null H = exogenous): chi2(5) = 3.10 Prob > chi2 = 0.685
lxi
Hình 4.4: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên t l t ng n theo GTTT c a doanh nghi p
. xtabond2 mtdta l.mtdta roa tobinq size tang volatility liquidity interest dumyea
> r, gmm(l.mtdta roa tobinq volatility liquidity , lag(1 1)) iv(size tang interest
> dumyear) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor sp
> eed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test
> .
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firmcode Number of obs = 760
Time variable : year Number of groups = 95
Number of instruments = 79 Obs per group: min = 8
Wald chi2(9) = 702.42 avg = 8.00
Prob > chi2 = 0.000 max = 8
Robust
mtdta Coef. Std. Err. z P>|z| [95% Conf. Interval]
mtdta
L1. .395599 .0431903 9.16 0.000 .3109475 .4802504
roa -.538992 .0704746 -7.65 0.000 -.6771197 -.4008643
tobinq -.1322759 .0342523 -3.86 0.000 -.1994091 -.0651427
size .0229479 .0056046 4.09 0.000 .011963 .0339328
tang .0311317 .0368933 0.84 0.399 -.0411778 .1034411
volatility -.0109803 .0077165 -1.42 0.155 -.0261045 .0041438
liquidity -.0242624 .0048463 -5.01 0.000 -.033761 -.0147638
interest -.3160591 .1903657 -1.66 0.097 -.6891691 .0570509
dumyear .1026624 .0120971 8.49 0.000 .0789526 .1263723
_cons -.1010093 .1468387 -0.69 0.492 -.3888078 .1867892
Instruments for first differences equation
Standard
D.(size tang interest dumyear)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(L.mtdta roa tobinq volatility liquidity)
Instruments for levels equation
Standard
size tang interest dumyear
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.mtdta roa tobinq volatility liquidity)
Arellano-Bond test for AR(1) in first differences: z = -4.83 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 0.85 Pr > z = 0.394
Sargan test of overid. restrictions: chi2(69) = 273.88 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(69) = 80.91 Prob > chi2 = 0.155
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(30) = 39.27 Prob > chi2 = 0.120
Difference (null H = exogenous): chi2(39) = 41.64 Prob > chi2 = 0.357
iv(size tang interest dumyear)
Hansen test excluding group: chi2(65) = 80.72 Prob > chi2 = 0.090
Difference (null H = exogenous): chi2(4) = 0.20 Prob > chi2 = 0.996
.
lxii
Hình 4.5: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên t l n ng n h n theo GTTT c a doanh nghi p
. xtabond2 msdta l.msdta roa tobinq size grow tang volatility liquidity dumyear, g
> mm(l.msdta roa tobinq volatility liquidity , lag(1 1)) iv(size grow tang dumyear
> ) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor sp
> eed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test
> .
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firmcode Number of obs = 760
Time variable : year Number of groups = 95
Number of instruments = 79 Obs per group: min = 8
Wald chi2(9) = 407.01 avg = 8.00
Prob > chi2 = 0.000 max = 8
Robust
msdta Coef. Std. Err. z P>|z| [95% Conf. Interval]
msdta
L1. .4033223 .0449537 8.97 0.000 .3152146 .4914299
roa -.4133196 .0557848 -7.41 0.000 -.5226558 -.3039833
tobinq -.0993005 .0290897 -3.41 0.001 -.1563152 -.0422858
size .0120236 .0052655 2.28 0.022 .0017034 .0223438
grow .0240201 .013188 1.82 0.069 -.0018279 .049868
tang -.1275214 .0300663 -4.24 0.000 -.1864503 -.0685926
volatility -.0136372 .0071567 -1.91 0.057 -.0276641 .0003897
liquidity -.0234209 .0034188 -6.85 0.000 -.0301216 -.0167202
dumyear .0606212 .0114889 5.28 0.000 .0381033 .083139
_cons .1228607 .1360818 0.90 0.367 -.1438547 .389576
Instruments for first differences equation
Standard
D.(size grow tang dumyear)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(L.msdta roa tobinq volatility liquidity)
Instruments for levels equation
Standard
size grow tang dumyear
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.msdta roa tobinq volatility liquidity)
Arellano-Bond test for AR(1) in first differences: z = -4.82 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 0.66 Pr > z = 0.510
Sargan test of overid. restrictions: chi2(69) = 243.73 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(69) = 82.53 Prob > chi2 = 0.127
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(30) = 34.73 Prob > chi2 = 0.253
Difference (null H = exogenous): chi2(39) = 47.80 Prob > chi2 = 0.158
iv(size grow tang dumyear)
Hansen test excluding group: chi2(65) = 80.34 Prob > chi2 = 0.095
Difference (null H = exogenous): chi2(4) = 2.19 Prob > chi2 = 0.702
.
lxiii
Hình 4.6: K t qu h i quy nh h ư ng c a các nhân t “kinh doanh” c a doanh
nghi p lên t l n dài h n theo GTTT c a doanh nghi p
. xtabond2 mldta l.mldta roa tobinq size tang volatility liquidity interest dumyea
> r, gmm(l.mldta roa tobinq volatility, lag(1 1)) iv(size tang liquidity interest
> dumyear) robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor sp
> eed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate robust weighting matrix for Hansen test
> .
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, one-step system GMM
Group variable: firmcode Number of obs = 760
Time variable : year Number of groups = 95
Number of instruments = 65 Obs per group: min = 8
Wald chi2(9) = 876.12 avg = 8.00
Prob > chi2 = 0.000 max = 8
Robust
mldta Coef. Std. Err. z P>|z| [95% Conf. Interval]
mldta
L1. .7519035 .0665217 11.30 0.000 .6215235 .8822836
roa -.1534897 .0468362 -3.28 0.001 -.245287 -.0616923
tobinq -.0117845 .0071434 -1.65 0.099 -.0257852 .0022163
size .0045702 .0024823 1.84 0.066 -.000295 .0094355
tang .031818 .0300761 1.06 0.290 -.02713 .0907661
volatility .0037132 .0043823 0.85 0.397 -.0048761 .0123024
liquidity .0016509 .0016754 0.99 0.324 -.0016329 .0049347
interest -.2662929 .0940463 -2.83 0.005 -.4506203 -.0819654
dumyear .0435485 .0081232 5.36 0.000 .0276273 .0594697
_cons -.0892626 .0649504 -1.37 0.169 -.2165631 .0380378
Instruments for first differences equation
Standard
D.(size tang liquidity interest dumyear)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L.(L.mldta roa tobinq volatility)
Instruments for levels equation
Standard
size tang liquidity interest dumyear
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(L.mldta roa tobinq volatility)
Arellano-Bond test for AR(1) in first differences: z = -4.16 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 0.81 Pr > z = 0.418
Sargan test of overid. restrictions: chi2(55) = 140.04 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(55) = 71.12 Prob > chi2 = 0.071
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(24) = 41.38 Prob > chi2 = 0.015
Difference (null H = exogenous): chi2(31) = 29.74 Prob > chi2 = 0.531
iv(size tang liquidity interest dumyear)
Hansen test excluding group: chi2(50) = 70.54 Prob > chi2 = 0.029
Difference (null H = exogenous): chi2(5) = 0.58 Prob > chi2 = 0.989
lxiv
Ph l c 5: K t qu h i quy nh h ư ng c a các nhân t qu n tr doanh nghi p lên
c u trúc v n c a doanh nghi p
Hình 5.1: nh h ư ng c a các nhân t qu n tr doanh nghi p lên t l t ng n theo
GTSS c a doanh nghi p
. xtgls btdta size grow state b_size ceo_dual ceo_gen ceo_age, panel(hetero) corr(
> psar1)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic
Correlation: panel-specific AR(1)
Estimated covariances = 92 Number of obs = 828
Estimated autocorrelations = 92 Number of groups = 92
Estimated coefficients = 8 Time periods = 9
Wald chi2(7) = 76.74
Prob > chi2 = 0.0000
btdta Coef. Std. Err. z P>|z| [95% Conf. Interval]
size .0274846 .0062142 4.42 0.000 .0153051 .0396642
grow .0144228 .006446 2.24 0.025 .0017889 .0270567
state .0372789 .0187065 1.99 0.046 .0006149 .0739429
b_size -.0003927 .018596 -0.02 0.983 -.0368403 .0360549
ceo_dual -.007339 .0083681 -0.88 0.380 -.0237403 .0090623
ceo_gen .0697283 .014358 4.86 0.000 .0415872 .0978694
ceo_age .0000919 .0006219 0.15 0.882 -.001127 .0013109
_cons -.3856108 .162838 -2.37 0.018 -.7047674 -.0664541
lxv
Hình 5.2: nh h ư ng c a các nhân t qu n tr doanh nghi p lên t l n ng n h n
theo GTSS c a doanh nghi p
. xtgls bsdta size grow state b_size ceo_dual ceo_gen ceo_age, panel(hetero) corr(
> psar1)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic
Correlation: panel-specific AR(1)
Estimated covariances = 92 Number of obs = 828
Estimated autocorrelations = 92 Number of groups = 92
Estimated coefficients = 8 Time periods = 9
Wald chi2(7) = 105.85
Prob > chi2 = 0.0000
bsdta Coef. Std. Err. z P>|z| [95% Conf. Interval]
size .0373927 .0052 7.19 0.000 .0272009 .0475844
grow .0028656 .0059523 0.48 0.630 -.0088006 .0145318
state -.0508204 .0176537 -2.88 0.004 -.0854209 -.0162198
b_size -.0124354 .0184362 -0.67 0.500 -.0485697 .0236989
ceo_dual .010773 .0087063 1.24 0.216 -.0062911 .027837
ceo_gen .0618438 .0183708 3.37 0.001 .0258377 .0978498
ceo_age .0006168 .0006288 0.98 0.327 -.0006156 .0018492
_cons -.7276487 .1307315 -5.57 0.000 -.9838778 -.4714196
lxvi
Hình 5.3: nh h ư ng c a các nhân t qu n tr doanh nghi p lên t l n dài h n
theo GTSS c a doanh nghi p
. xtgls bldta size grow state b_size ceo_dual ceo_gen ceo_age, panel(hetero) corr(
> psar1)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic
Correlation: panel-specific AR(1)
Estimated covariances = 92 Number of obs = 828
Estimated autocorrelations = 92 Number of groups = 92
Estimated coefficients = 8 Time periods = 9
Wald chi2(7) = 13.16
Prob > chi2 = 0.0684
bldta Coef. Std. Err. z P>|z| [95% Conf. Interval]
size .0022197 .0017248 1.29 0.198 -.0011609 .0056003
grow .0003235 .0013998 0.23 0.817 -.0024201 .0030671
state .0454325 .015617 2.91 0.004 .0148237 .0760413
b_size -.0030889 .0054145 -0.57 0.568 -.0137012 .0075234
ceo_dual -.0014948 .001638 -0.91 0.361 -.0047052 .0017157
ceo_gen .0017184 .0031482 0.55 0.585 -.004452 .0078889
ceo_age -7.60e-06 .0001164 -0.07 0.948 -.0002357 .0002205
_cons -.0143375 .0454528 -0.32 0.752 -.1034233 .0747483
lxvii
Hình 5.4: nh h ư ng c a các nhân t qu n tr doanh nghi p lên t l t ng n theo
GTTT c a doanh nghi p
lxviii
Hình 5.5: nh h ư ng c a các nhân t qu n tr doanh nghi p lên t l n ng n h n
theo GTTT c a doanh nghi p
lxix
Hình 5.6: nh h ư ng c a các nhân t qu n tr doanh nghi p lên t l n dài h n
theo GTTT c a doanh nghi p
. xtgls mldta size grow state b_size ceo_dual ceo_gen ceo_age, panel(hetero) corr(
> psar1)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic
Correlation: panel-specific AR(1)
Estimated covariances = 92 Number of obs = 828
Estimated autocorrelations = 92 Number of groups = 92
Estimated coefficients = 8 Time periods = 9
Wald chi2(7) = 20.18
Prob > chi2 = 0.0052
mldta Coef. Std. Err. z P>|z| [95% Conf. Interval]
size .0038705 .0016394 2.36 0.018 .0006573 .0070837
grow -.0013195 .0013874 -0.95 0.342 -.0040388 .0013997
state .0436558 .0127429 3.43 0.001 .0186802 .0686314
b_size -.0024121 .0053423 -0.45 0.652 -.0128827 .0080586
ceo_dual -.0007996 .001333 -0.60 0.549 -.0034122 .001813
ceo_gen .0017425 .0034314 0.51 0.612 -.004983 .0084679
ceo_age .0000272 .0001102 0.25 0.805 -.0001887 .0002432
_cons -.0651597 .0430156 -1.51 0.130 -.1494687 .0191492
lxx
Ph l c 6: Danh sách các công ty trong m u nghiên c u
MÃ CH NG
STT TÊN CÔNG TY KHOÁN
1 CTCP XNK TH Y S N B N TRE ABT
2 CTCP CH BI N TH Y S N C U LONG AN GIANG ACL
3 CTCP XNK TH Y S N AN GIANG AGF
4 CTCP NAM VI T ANV
5 CTCP BIBICA BBC
6 CTCP BAO BÌ XI M NG BÚT S N BBS
7 CTCP XI M NG B M S N BCC
8 CTCP Ư NG BIÊN HÒA BHS
9 CTCP NH A BÌNH MINH BMP
10 CTCP KHOÁNG S N BÌNH NH BMC
11 CTCP BAO BÌ B M S N BPC
12 CTCP BÊ TÔNG 6 BT6
13 CTCP XI M NG VICEM BÚT S N BTS
14 CTCP H P H LONG CAN
15 CTCP CÁT L I CLC
16 CTCP CH T O B M H I D Ư NG CTB
17 CTCP VIGLACERA ÔNG ANH DAC
CTCP T M L P VÀ V T LI U XÂY D NG NG
18 NAI DCT
19 CTCP D Ư C H U GIANG DHG
20 CTCP XU T NH P KH U Y T DOMESCO DMC
21 CTCP NH A NG NAI DNP
22 CTCP NH A À N NG DPC
23 CTCP PHÂN BÓN VÀ HÓA CH T D U KHÍ DPM
24 CTCP CAO SU À N NG DRC
25 CTCP VIGLACERA ÔNG TRI U DTC
26 CTCP K NGH Ô THÀNH DTT
27 CTCP TH C PH M SAO TA FMC
28 CTCP MAY SÀI GÒN GMC
29 CTCP G THU N AN GTA
30 CTCP NÔNG D Ư C HAI HAI
31 CTCP T P OÀN HAPACO HAP
32 CTCP BAO BÌ PP BÌNH D Ư NG HBD
33 CTCP BÊ TÔNG HÒA C M INTIMEX HCC
lxxi
34 CTCP BÁNH K O H I HÀ HHC
35 CTCP TH Y I N N M MU HJS
36 CTCP VIGLACERA 1 HLY
37 CTCP S A HÀ N I HNM
38 CTCP T P OÀN HÒA PHÁT HPG
39 CTCO T P OÀN HOA SEN HSG
40 CÔNG TY C PH N XI M NG HÀ TIÊN HT1
41 CTCP IN SÁCH GIÁO KHOA HÒA PHÁT HTP
42 CTCP U T Ư TH Ư NG M I TH Y S N ICF
43 CTCP D Ư C PH M QU C T IMP
44 CTCP KINH Ô KDC
45 CTCP I N L C KHÁNH HÒA KHP
46 CTCP LILAMA 10 L10
47 CTCP CH BI N HÀNG XU T KH U LONG AN LAF
48 CTCP KHOÁNG S N LÂM NG LBM
49 CTCP MÍA Ư NG LAM S N LSS
50 CTCP BAO BÌ M CHÂU MCP
51 CTCP K NGH KHOÁNG S N QU NG NAM MIC
52 CTCP TH Y H I S N MINH PHÚ MPC
53 CTCP NAM VI T NAV
54 CTCP THAN NÚI BÉO VINACOMIN NBC
55 CTCP G CH NGÓI NH HI P NHC
56 CTCP TH Y I N NÀ L I NLC
57 CTCP MAY PHÚ TH NH NHÀ BÈ NPS
58 CTCP NGÂN S N NST
59 CTCP NH A THI U NIÊN TI N PHONG NTP
60 CTCP PIN C QUY MI N NAM PAC
61 CTCP C KHÍ X NG D U PMS
62 CTCP THI T B B ƯU I N POT
63 CTCP NHI T I N PH L I PPC
64 CTCP KHOAN VÀ HÓA PH M D U KHÍ PVC
65 CTCP BÓNG ÈN VÀ PHÍCH N Ư C R NG ÔNG RAL
66 CTCP C I N L NH REE
67 CTCP TH C PH M SAFOCO SAF
68 CTCT U T Ư VÀ PHÁT TRI N SACOM SAM
69 CTCP N Ư C GI I KHÁT CH Ư NG D Ư NG SCD
70 CTCP XI M NG SÀI GÒN SCJ
71 CTCP S N NG NAI SDN
lxxii
72 CTCP NHIÊN LI U SÀI GÒN SFC
73 CTCP XNK SA GIANG SGC
74 CTCP TH Y S N 1 SJ1
75 CTCP TH Y I N C N N SJD
76 CTCP TH Ư NG M I CÔNG NGHI P SÔNG À STP
77 CTCP D U TH C V T T Ư NG AN TAC
78 CTCP TH Y I N THÁC BÀ TBC
79 CTCP D T MAY THÀNH CÔNG TCM
80 CTCP T P OÀN THÉP TI N LÊN TLC
81 CTCP CAO SU TH NG NH T TNC
82 CTCP NH A TÂN I H ƯNG TPC
83 CTCP TH Y S N 4 TS4
84 CTCP G CH MEN THANH THANH TTC
85 CTCP NH A TÂN TI N TTP
86 CTCP TH CH CAO XI M NG TXM
87 CTCP I N T BÌNH HÒA VBH
88 CTCP Á P LÁT VINACONEX VCS
89 CTCP TH C PH M LÂM NG VDL
90 CTCP S A VI T NAM VNM
91 CTCP BAO BÌ D U TH C V T VPK
92 CTCP TH Y I N VINH S N SÔNG HINH VSH
93 CTCP VIETTRONICS TÂN BÌNH VTB
94 CTCP VANG TH NG LONG VTL
95 CTCP G M S T S N VIGLACERA VTS