Mối liên hệ giữa thông tin báo cáo tài chính và giá cổ phiếu: Vận dụng linh hoạt lý thuyết hiện đại vào trường hợp Việt Nam

TAI CHINH-TIEN TE<br /> <br /> <br /> <br /> Moi lien he giCra thong tin bao cao tai chinh va<br /> gia CO phieu: van dung iinh hoqt ly thuyet hien<br /> dqi vao trudng hop Viet Nam<br /> NGUYEN VIET DUNG<br /> <br /> T ^ Ua tren mo hinh Ohlson (1995) kit hdp vdi nghien cttu cua Aboody, Hughes & Liu<br /> I J (2002) cho phep ndi long gid thii't thi trUdng hiiu qud, bdi viet kiem chttng mdi lien he<br /> gitta thong tin bdo cdo tdi chinh vd gid cd phieu tren TTCK Viet Nam. Ke't qud cho thdy tuy<br /> cbn yeu hdn hdu hit cdc thi trUdng phdt trien vd mdi ndi khdc, mdi liin he ndy hodn todn cd y<br /> nghia, it nhdt Id vi mat thd'ng ke. Ngodi ra, cd ddu hieu gid cd phieu phdn ttng chdm vdi hoac<br /> dudi mttc vdi cong bd thdng tin bdo cdo tdi chinh vd khi thi trUdng chttng khodn Viet Nam<br /> thang hoa thi vai trb cua ldi nhuan trong viec gidi thich gid cd phieu tang lin so vdi nhttng<br /> thdi diem khdc. Ddy la nhttng thdng tin httu ich ddi vdi cdc cd quan qudn ly, cdc thdnh phdn<br /> tham gia thi trUdng vd dac biet cho chie'n lUtJc cua cdc nhd ddu ttt tren TTCK Viet Nam.<br /> <br /> <br /> ^ L I ai trd ciia thdng tin ddi vdi sii van ludng md'i hen he giQa TT BCTC va gia cd<br /> Ur hanh hieu qua cua thj trUdng da phieu. Tuy nhien, dac diem chung ciia tat<br /> dUdc biet den tii lau. Akerlof, ngUdi da doat ca cac nghien ciiu nay la thieu mpt cd sd ly<br /> giai Nobel kinh te nam 2001 cd nhiing ddng luan vufng chic vi chUa t r a ldi dUde 2 cau<br /> gdp tien phong trong linh vUc nay, da cho hdi: nhiing TT BCTC nao cd md'i lien he<br /> t h i y trong cdng trinh nghien ciiu ndi tie'ng triic tie'p vdi gia cd phieu va dau la md hinh<br /> dupc cdng bd' nam 1970^ r i n g bat can xiing ly thuyet cua mdi lien he nay? Chi khi dUa<br /> thdng tin cd the lam thi trUdng d i n bien ra dupc cau tra ldi mdi ed the lUdng hda<br /> mit. Dd'i vdi thi trudng chiing khoan ndi dupe tac ddng cua TT BCTC tdi gia cd phieu<br /> rieng, cac van de ve thdng tin la mpt trong mdt each chinh xac.<br /> nhiing nguyen nhan chii ye'u lam cho cae tai<br /> san tai chinh bi dinh gia sai, anh hudng den Trong mpt bai bao khoa hpc cdng bd nam<br /> qua trinh phan bd ngudn lUc ciia thi trUdng 1995, giao sU Dai hpc New York James<br /> vdi vai trd la kenh dan vd'n cho nen kinh te. Ohlson da tra ldi dUdc hai cau hdi ndi tren<br /> vdi mpt nen tang ly thuyet viing chic va<br /> Trong cac thdng tin cd kha nang anh dieu nay da anh hudng manh me den ddng<br /> hudng de'n gia chiing khoan, thdng tin bao nghien ciiu ve mdi lien he giiia TT BCTC va<br /> cao tai chinh (TT BCTC) cd mdt vi tri quan<br /> gia CO phieu txi dd tdi nay. Giao sU Russell<br /> trpng.<br /> Lundholm cua Dai hpc Michigan khi binh<br /> 1. Cd sd ly luan cua moi lien he giiifa luan ve nghien ciiu cua Ohlson (1995) da<br /> thong tin bao cao tai c h i n h va gia viet: "Cdng trinh cua Ohlson (1995) bdy gid<br /> CO phieu<br /> Ke tii cdng trinh nghien ciiu dau tien<br /> Nguyen Viet Diing, TS., Trudng Dai hpc Ngoai thuong.<br /> ciia BaU & Brown dUdc cdng bd nam 1968<br /> 1. Akerlof G. (1970), "The market for 'Lemons':<br /> cho den trUde 1995, da cd r i t nhieu cac co' Quality Uncertainty and the Market Mechanism",<br /> gang, ehii yeu la thiic nghiem, nham do Quarterly Journal of Economics, 84, p. 488-500.<br /> <br /> <br /> <br /> 18<br />  Moi nen he glOfa thdng tin<br /> <br /> <br /> dd trd thdnh cd sd cho cdc nghien cOu ve bdo dupe Sli dung phd bidn dd phan tfch gia tri<br /> cdo tdi chinh trong md'i lien he vdi thi trUdng ma cdng ty tao ra cho cd ddng. Neu ty s u i t<br /> cd phieu"^. sinh ldi tren vdn chu sd hiiu (ROE) cua mpt<br /> 1.1. Mo hinh Ohlson (1995) cdng ty ldn hdn lpi s u i t yeu clu khi d i u tU<br /> vao cd phieu cua cdng ty dd (tiic la lpi nhuan<br /> De phan tich md hinh Ohlson (Ohlson thang du dUdng) thi gia tri cua cd phieu se<br /> Model - OM), ed the tach nd lam 2 bp phan: ldn hdn gia tri sd sach cua nd va cdng ty<br /> thii n h i t la md hinh dinh gia cd phieu diia dupc coi la tao ra gia tri cho cd ddng<br /> tren ddng lpi nhuAn thang dU (Residual (shareholder value creation). NgUdc lai, ne'u<br /> income model - RIM) va thU hai la chudi ldi nhuan thang dU am thi gia tri cua cd<br /> thdng tin (Information dynamics) do Ohlson phieu se nho hdn gia tri sd saeh ciia nd va<br /> (1995) de xuat. Thanh p h i n thii nhat - RIM cdng ty bi coi la "pha buy" gia tri cua cd<br /> - thiic ra da dUpc thie't Iftp va sii dung tii g i n ddng {shareholder value destruction). Md<br /> 60 nam trUdc khi OM ra ddi. Nd x u i t hien hinh ldi nhuan thang dU cung dUde sii dung<br /> l l n dau trong nghien ciiu cua Preinreich rat phd bie'n trong dinh gia cd phieu tai cac<br /> cdng bd' nam 1938^. Xuat phat tii md hinh nUdc cd thi trUdng chiing khoan phat trien^.<br /> chiet kha'u cd tiic ciing nhU dUa tren mdi De di d§'n mo hinh cua minh tii RIM,<br /> lien h$ giiia cd tiic, ldi nhu&n va gia tri sd Ohlson (1995) da diia tren mpt gia thiet<br /> sach (clean surplus relation), RIM cd dang quan trpng lien quan den chudi thdi gian<br /> nhu sau: ciia ddng lpi nhuftn thang dU. Gia thidt nay<br /> dupc Ohlson (1995) dUa ra can cii vao tinh<br /> tdn lUu cua lpi nhu&n (earnings persistence)<br /> da dupe ghi nhftn trong cac nghien ciiu thiie<br /> nghiem trUdc dd ciing nhu diia tren thiic<br /> Trong dd: < , = x,^^ - ^, x b,^^_,<br /> tidn TT BCTC chi la mpt bp phan cua tap<br /> P : gia tri ndi tai ciia cd phieu tai thdi hpp cac thdng tin cd the anh hudng de'n ky<br /> vpng ciia thi trudng ve lpi nhuan tUPng lai<br /> diem t cua doanh nghiep:<br /> X(+j: ldi nhuan tren cd phieu (tinh theo<br /> nam) vao thdi diem t -t x X,+l = COX, +V,+ £,^i (2)<br /> <br /> x"_^_j.: lpi nhuan thang dU tren cd phieu a la he sd' tdn lUu lpi nhuan thang dU<br /> (tinh theo nam) vao thdi diem t -I- T (persistence coefficient), 0 < a>< 1<br /> £• la sai sd'cd ky vpng bang 0<br /> bj: gia tri sd sach tren cd phieu vao thdi<br /> V, la tac ddng cua thdng tin vao thdi<br /> diem t<br /> k : ldi s u i t yeu c l u diem t de'n ky vpng cua thi trUdng ve ldi<br /> •e nhuan thang dU tUdng lai nhUng chUa (boac<br /> E : ky vpng toan hpc diia tren thdng tin khdng) dupc phan anh trong bao cao tai<br /> chinh. Gia thie't nay cua Ohlson (1995) cd the<br /> dai chiing vao thdi diem t<br /> Nhu vay, theo md hinh ldi nhuan thang 2. Lundholm R.J. (1995), "A Tutorial on the Ohlson<br /> du, gia tri ndi tai cua mpt cd phieu gdm hai and Feltham/Ohlson Models: Answers to some Frequently<br /> p h i n . P h i n thii n h i t la gia tri sd sach cua Asked Questions", Contemporary Accounting Research,<br /> cd phieu dd va p h i n thii hai dUdc tao thanh Vol 11, p. 749-761.<br /> bcii tdng gia tri hien tai cua cac ddng ldi 3. Preinreich G. (1938), "Annual Survey of Economic<br /> nhuan thang dU tUdng lai ciia cong ty. Tu( Theory; The Theory of Depreciation", Econometrica, Vol.<br /> md hinh nay riit ra mdt quy t i e quan trpng 6, p. 219-241.<br /> <br /> <br /> Nghiin ciru Kinh tgs6375 - Thing 8/2009 19<br />  Moi iien he giiifa thong tin<br /> <br /> <br /> dupe diin giai mdt each khac la ky vpng cua ^t^\=r^t+n,^x (3)<br /> nhit diu tu ve kha nang sinh ldi tUdng lai cua<br /> edng ty phu thupc mdt phan vao TT BCTC •y la he so' tdn lUu anh hu^ng cua thdng<br /> hien tai (kha nang sinh ldi hien tai) va vao tin, 0 < x < l<br /> cac thdng tin khac chUa (hoac khdng) dUdc T] la sai sd' cd ky vpng bang 0<br /> phan anh trong bao cao tai chinh. He sd co<br /> dupc gia thie't n i m trong khoang (0,1) phan Hai phUdng trinh (2) va (3) tao thanh<br /> anh ket qua ciia h i u bet cac nghien ciiu thiic chudi thdng tin Ohlson va dUdc ke't hdp vdi<br /> nghiem ve chudi thdi gian ciia lpi nhuan. md hinh ldi n h u ^ n t h a n g dU de di de'n mo<br /> Cac anh hudng ciia thdng tin ciing dUdc hinh Ohlson cho phep dien giai gia cd<br /> gia thiet cd mdi lien he chudi thdi gian: phieu trong md'i hen he vdi TT BCTC:<br /> <br /> Pf=b,+ a^x", -b ajYt (4)<br /> (0 \ + k„<br /> Trong dd: a^ =<br /> \ + k,-0)' ' {\ + k,-(0\\ + K-r)<br /> <br /> Nhu vay, viec ket hdp mo hinh ldi nhuan khac nhu Anh, Diic, Na Uy [King & Langh<br /> thang du vdi chudi thong tin do Ohlson (1998)], Phap [Dumontier & Labelle (1998)]...<br /> (1995) de x u i t da cho phep Ohlson riit ra Ket qua thu dUdc thUdng nghieng vd met<br /> dupc md hinh the hien mdi lien he giUa gia mdi lien he kha chat che giQa gia cd phieu<br /> cd phieu va hai TT BCTC triic tiep la ldi va TT BCTC. Collins, Maydew & Weiss<br /> nhuan va gia tri sd sach tren mdt thi trUdng (1997) cho thay cac TT BCTC theo md hinh<br /> hieu qua khi gia cd phieu phan anh chinh Ohlson (1995) giai thfch dUdc 54% bie'n ddng<br /> xac gia tri thiic cua nd. Ngoai ra, gia cd gia cd phieu tren thi trUdng chiing khoan<br /> phieu cdn phu thupc vao eac thdng tin khac My. Nghien ciiu ciing chi ra rang vai trd cua<br /> chUa (hoac khdng) dUdc phan anh trong bao ldi nhuan giam nhe theo thdi gian. Theo<br /> cao tai chinh vao thdi diem dd. Mdi lien he King & Langli (1998), siic giai thich gia cd<br /> giiia gia cd phieu va ldi nhuan eiing nhU gia phieu cua TT BCTC tren cac thi trUdng<br /> tri sd sach hien tai la ty le thustn, dieu nay Anh, Na Uy va Diic l l n lUdt la 70%, 60% va<br /> phil hpp vdi ke't qua cac nghien ciiu thiie 40%. Mdi day, mpt so nghien ciiu ve chii de<br /> nghiem trUdc dd. PhUdng trinh (4) cd the d i nay da dUdc tien h a n h tren cac thi trUdng<br /> dang kiem chiing diia tren cd sd ly luan mdi ndi nhU Ddng Nam ^ [Graham & King<br /> viing chic de dUa ra ke't luan ve mdi lien he (2000)], Trung Qud'c [Chen, Chen & Su<br /> giiia gia cd phieu va TT BCTC. Dac diem (2001)]... Ket qua cho t h i y tuy ve tdng the<br /> nay cua md hinh Ohlson (1995) dUdc gidi khdng cd khoang each ldn so vdi cac nUde<br /> nghien ciiu thiie nghiem (empiricists) dac phat trien nhUng md'i lien he nay tren eac<br /> biet danh gia cao. thi trUdng mdi ndi la r i t khac nhau, tiiy<br /> thudc vao dac diem cua tiing thi trUdng.<br /> Tren cd sd md hinh Ohlson (1995), nhieu<br /> nghien cUu thiic nghiem da dUdc tien hanh O nUdc ta, mpt so' nghien ciiu da phan<br /> de kiem chUng mdi lien he giiia TT BCTC va tich vai trd ciia cdng bd' thdng tin dd'i vdi sii<br /> gia cd phieu tren cac thi trUdng chiing<br /> khoan khac nhau. Nhiing nghien cilu d i u 4. Xem Lee C. (1999), "Accounting-based valuation:<br /> impact on business practices and research". Accounting<br /> tien dupc tien hanh tren thi trUdng My Horizons, 13(4), p. 413-425 va Lee C, Myers J. vi<br /> [Collins, Maydew & Weiss (1997)], rdi d i n Swaminathan B. (1999), "What is the intrinsic value of<br /> dupc md rang ra cac thi trUdng phat trien the Dow?", Journal of Finance, 54(5), p. 1693-1741.<br /> <br /> 20 Nghiin cilu Kinh tgs6 375-Thing 8/2009<br />  Moi lien he giiifa thfing tin ...<br /> <br /> <br /> phat trien cua thi trUdng ehiing khoan ciing thttc nghiem vttng chdc de khdng dinh nhtt<br /> nhu de x u i t cac giai phap nang cao minh gid thie't thi trUdng hieu qud..."^.<br /> bach thdng tin [Trin Qudc Tuan (2001), Trong khoa hpc, nhieu khang dinh nhU<br /> T r i n Die Sinh (2002), Nguyen Dinh Hiing vay da bao trUdc mpt sii dao chieu va gia<br /> (2005), Dd Thanh PhUdng (2006), Nguyin thiet thi trUdng hieu qua cung n i m trong<br /> The Thp (2006), Mai Hoang Minh (2007)]. trUdng hpp dd. Trong khoang mdt p h i n tU<br /> Tuy nhien, cac nghien ciiu nay mdi chi danh the ky trd lai day, r i t nhiiu ke't qua nghien<br /> gia mpt each dinh tinh tac dpng ciia thdng cQu cd xu hudng phu nhan gia thie't nay.<br /> tin ndi chung chii ehUa di sau phan tich TT Cac nghien cQu thUdng tap trung vao mpt so'<br /> BCTC Cling nhU lUdng hoa md'i lien he cua di thUdng (anomaly) trong tap tinh cua gia<br /> chung vdi gia cd phieu. ed phieu ma thuyet thi trUdng hieu qua<br /> 1.2. Mdi liin hi gida thong tin bdo cdo khong dii kha nang giai thich nhU: phan<br /> tdi chinh vd gid co phieu khi ndi long Qng dudi mQe (under-reaction), phan Qng<br /> gid thii't thi trudng hiiu qud qua mQe (over-reaction), bie'n dpng qua mQe<br /> Ban than md hinh Ohlson (1995) va h i u (excessive volatility), hieu Qng thdi vu<br /> het eac nghien ciiu thiie nghiem ve mdi lien (seasonal effects), kha nang giai thich ldi<br /> he giiia TT BCTC va gia ed phieu deu diia sua't eua mpt sd yeu to' phi CAPM'... Ball<br /> tren gia thiet "an" ve thi trUdng hieu qua. (1994) cho r i n g sd di cd nhQng dang di<br /> Chi khi gia cd phieu tren thi trUdng phan thUdng Sd vdi gia thie't thi trUdng hieu qua<br /> anh gia tri npi tai cua nd thi mdi cd the sii la dd ly thuyet nay khdng xet tdi mpt so' v i n<br /> dung md hinh Ohlson (1995) lam cd sd ly de thiic tiin eiia thi trUdng nhU: chi phi giao<br /> luan eho mdi lien he nay. Tuy nhien, gia dich va thdng tin, tinh khdng t h u i n nha't<br /> thiet thi trUdng hi$u qua la mpt gia thiet trong ky vpng cua ngUdi d i u tU va mdt so'<br /> manh va trong so' mdt khdi lUpng ldn cac v i n de khac lien quan de'n ed clu td chQe<br /> nghien ciiu ve chu de nay tii trUdc tdi nay, cua thi trQdng tai chinh. Tuy nhien, tac gia<br /> ngay cang ed nhieu ke't qua trai ngUpe vdi nd. cung khdng loai trQ kha nang k§'t qua eho<br /> phep ket luan ve sii tdn tai cac di thUdng la<br /> Hdn 40 nam da qua ke tU khi Fama<br /> do ldi phUdng phap trong cac nghien cQu.<br /> (1965) lan d i u tien dUa ra khai niem ve thi Lee (2001) cho r i n g viec lay gia thie't thi<br /> trUdng hieu qua nhUng cho den nay v i n cdn trUdng hieu qua lam diem xua't phat la mpt<br /> la de tai gay nhieu tranh luan. NhQng Sli dPn gian hda phi thiic tien va khdng du<br /> nghien cQu thiie nghiem d i u tien deu khang kha nang phan anh dpng thai cua thi<br /> dinh gia thiet nay. Hai nghien cQu tien trUdng. Theo Lee (2001), ed sd de tin r i n g<br /> phong cua Ball & Brown (1968) va cua mdt thi trUPng ludn hieu qua chinh la sii<br /> Fama, Fisher, Jensen & RoU (1969) cho van hanh td't cua cd che kinh doanh chenh<br /> tha'y gia cd phieu phan anh thdng tin mdi lech gia (arbitrage). Ne'u mdt thdng tin mdi<br /> vdi tdc dp nhanh, lam cho kha nang tan chUa dupe phan anh vao gia cbQng khoan,<br /> dung thdng tin de "thing" dUdc thi trUdng la ngay lap tQc se cd cac dpng cd kinh te khai<br /> khd. Sau hai cdng trinh nay, mdt so' lUdng<br /> ldn cac nghien cQu khac da hoan thien<br /> phUdng phap thiic nghiem eiia hp va cung 5. Xem Fama (1970, 1991) ii biet chi Xiil \i phuong<br /> phap cung nhu kei qua cu thd cua nhiing nghien cthi<br /> cho thiy thi trUdng phan Qng g i n nhU tUc nay.<br /> thi ddi vdi thdng tin mdil Thanh cdng vao 6. "...there is no other proposition in economics<br /> thdi diem dd cua gia thie't thi trUdng hi$u which has more solid empirical evidence supporting it<br /> qua cd the dUpc tdm t i t b i n g danh gia eua than the Efficient Markets Hypothesis..." [Jensen<br /> (1978), p. 95].<br /> Jensen "...khdng mgt di xudt ly thuyet ndo<br /> 7. Xem Ball (1994), Shleifer (2000), Kothari (2001),<br /> trong kinh te hgc Iqi cd nhieu bdng chttng Lee (2001) va Schwert (2001) ii hiii chi tiei.<br /> <br /> <br /> Nghiin ciru Kinh tgs6375 - Thing 8/2009 21<br />  Moi iien he giiifa thong tin<br /> 1<br /> thac nd n h i m "thing" dUdc thi trUdng. Do Chung ta dang d trong tinh trqng khuyet<br /> vay, gia chQng khoan se tii dieu ehinh de'n thieu ly ludn khi nhieu gid thiet rdt mdi<br /> khi phan anh d i y du mpi thdng tin. Cac ca dttdc neu ra md khong cd chttng minh...".<br /> nhan trong mdt thi trUdng cd the hanh dpng Viec di sau hdn vUpt qua khudn khd ciia<br /> mpt each bat hdp ly nhUng ngUdi ta hy vpng nghien cQu nay. NhQng phan tich tren chi<br /> rang vd tdng the, cd che nay se ludn lam cho vdi muc dich n h a n manh r i n g tinh hieu qua<br /> gia chQng khoan sat vdi gia tri npi tai eua la mdt gia thie't khdng de thda man, n h i t la<br /> ehung. The' nhUng trong thiic tien, ban than ddi vdi cac thi trUdng tai chinh r i t mdi vdi<br /> nghiep vu kinh doanh chenh lech gia cung mQe dp phat trien chUa cao nhU d Viet Nam.<br /> chiu nhQng iQc can lam cho nd khdng the Trong trUdng hdp nay, khdng the sQ dung<br /> van hanh nhu mong mud'n. Shleifer & triic tie'p md hinh Ohlson (1995) lam cP sd<br /> Vishny (1997) neu ra 3 can trd ehinh cua cho md'i lien he giQa TT BCTC va gia cd<br /> nghiep vu nay. ThQ n h i t la rui ro han che phieu vi gia thi trQdng khdng phai luc nao<br /> ban khd'ng (short sale) tren cac thi trUdng. cung phan anh trung thiic gia tri ndi tai ciia<br /> ThQ hai, sU tdn tai cua cac noise traders cd phieu. Nghien cQu ciia Aboody, Hughes &<br /> cung la mdt ngudn rui ro vi ddng thai giao Liu (2002) cho phep khac phue dieu nay.<br /> dich cua hp la r i t khd dii bao dd'i vdi nhQng<br /> Aboody, Hughes & Liu (2002) xet thi<br /> ngUdi kinh doanh chenh lech gia. ThQ ba,<br /> trUdng trong dd gia cd phieu phan anh gia<br /> eae loai chi phi nhu thu t h i p , xii ly thdng tin<br /> tri npi tai cua nd vdi sai sd. Trong dieu kien<br /> va phi giao dich eung lam cho nghiep vu nay<br /> nhu vay, dang trung binh cua gia thiet thi<br /> trd nen td'n kem, ban che tham chi triet tieu<br /> trUdng hieu qua se khong dUdc thoa man<br /> lpi nhuan. Lee (2001) dung hinh anh so<br /> ne'u CO Sli tUdng quan giQa TT BCTC va sai<br /> sanh viec chuyen tQ cd che kinh doanh<br /> so' ndi tren. Sii tQdng quan nay lam cho hdi<br /> chenh lech gia sang gia thiet thi trUdng hieu<br /> quy cua gia cd phieu theo TT BCTC c6 he sd<br /> qua gid'ng nhU tin r i n g dai dUdng la phang<br /> thien lech (biased coefficients) do hien tUdng<br /> lang diia tren cd sd quan sat tac ddng eua<br /> bie'n tUdng quan tiem an (omitted-correlated<br /> trpng liic ddi vdi nUdc trong cd'c. Khdng the<br /> •variables) hay cdn gpi la hien tUdng bien<br /> tranh cai tac ddng ciia trpng liic nhUng se la<br /> dpc lap quan trpng bi bd sdt. De xQ ly chi<br /> m.pt Sli ddn gian hda qua mQe khi tQ quan sat<br /> tie't nay, nghien cQu cua Aboody, Hughes &<br /> nay suy ra r i n g dai dUPng gid'ng nhU mat hd<br /> Liu (2002) eho tha'y thong tin ve sai sd cd<br /> trong dem he binh lang. Cach suy luan nhU<br /> the dupc rut ra tQ bien dpng gia cd phieu<br /> vay khdng cho phep giai thich sii tdn tai ciia<br /> trong tUdng lai neu thi trUdng tii dieu chinh<br /> sdng hay mdt so' hien tUdng co the dii bao<br /> ve trang thai hieu qua theo thdi gian. Vdi<br /> nhu hai lUu va thuy trieu. Trong thiic tiin,<br /> gia thiet nay, cd the rut ra sai so' b i n g each<br /> dai dUdng ludn trong trang thai khuay ddng<br /> phan tach bien dong gia cd phidu trong<br /> va khdng ngQng tim den sii phang lang.<br /> tUdng lai thanh hai thanh p h i n : thanh phin<br /> Tupng tii nhu vay, thi trUdng tai chinh lien<br /> bien ddng thQ nha't do rui ro co he thdng* va<br /> tuc trong trang thai tii dieu chinh de tim<br /> thanh p h i n thQ hai do sii tii dieu chinh cua<br /> de'n Sli hieu qua.<br /> thi trUdng ve trang thai hieu qua.<br /> Cac tranh luan kinh vien ve thuyet thi Pit.x+D,,,<br /> trUdng hieu qua v i n tiep diin. Rainelli E(V,\X,)=E X, = 5 ; x , (5)<br /> (2003) md ta: "... Ni'u cd mgt thdi md cdc nhd !+ < •<br /> ly ludn tUdng dd'i nhdt tri trong viec khdng<br /> dinh gid thie't thi trUdng hieu qud thi dttdng<br /> nhtt dd troi qua. Tuy nhien, thdi diem md hg<br /> 8. Riii ro phi he thp'ng khPng dupc tfnh tdi do dupc<br /> cdng phu nhdn nd cd le cilng chUa tdi. gia thift Ik nhieu tring [white noise)<br /> <br /> 22 Nghiin ciru Kinh tg sdi 375 - Thing 8/2009<br />  Moi iien he giiifa thong tin<br /> <br /> <br /> v.,: gia tri ndi tai cua cd phieu i vao thdi cQu cua Aboody, Hughes & Liu (2002) eho<br /> diem t phep cd dupe mpt cd sd ly thuyet phu hdp de<br /> X.,: TT BCTC cua cdng ty i vao thdi diem t do ludng mdi hen he giQa TT BCTC va gia<br /> cd phieu tren thi trQdng chQng khoan Viet<br /> /J,^,: gia cd phieu cua cdng ty i vao thdi Nam. Muc tieu ciia phan II la kiem dinh mdi<br /> diem t -t- 1 lien he nay.<br /> i?,,.,^,: lpi s u i t tinh theo gia tri ndi tai tQ t 2. Moi lien h e giufa t h o n g t i n b a o cao<br /> de'n t -(- 1 t a i c h i n h v a gia co p h i e u t r e n t h i<br /> £>„.,.,: cd tQc cua thdi ky t + 1 trxfc/ng c h i i n g k h o a n Viet N a m<br /> 2.1. Mo hinh kinh ti'lUdng<br /> B,: vector he so' hdi quy<br /> Md hinh Ohlson (1995) cho tha'y gia tri cd<br /> PhUdng trinh (5) la giai phap ddn gian phieu dupc quye't dinh bdi hai Inai TT BCTC<br /> cho phep do lUdng mdi lien he giQa TT (gia tri sd sach va ldi nhuan thuan) va cae<br /> BCTC va gia cd phieu trong dieu kien dang thdng tin khac khdng cd trong bao cap tai<br /> trung binh cua gia thiet thi trUdng hieu qua chinh. De kiem chQng mdi lien he giQa gia<br /> khdng dupc thda man. Thay vi sQ dung gia cd phieu va TT BCTC, cac md hinh hdi quy<br /> cd phieu hien tai, ham hdi quy lly gia tri tuyen tinh vdi bie'n phu thudc la gia cd phieu<br /> hien tai cua gia cd phieu tUdng lai lam bien va hai bie'n dpc lap la gia tri sd sach tren co<br /> phu thupc, trong dd ty sua't hien tai hda la phieu va lpi nhuan t h u i n se dUdc sQ dung.<br /> ldi s u i t ky vpng cd dieu kien khi biet TT Do dQ lieu dQdi dang bang (panel data -<br /> BCTC. Ndi each khac, lupng dieu ehinh bien quan sat cdng ty-nam), ngoai phUdng phap<br /> phu thudc (them hoac bdt vao gia cd phieu binh phUdng tdi thieu thdng thUdng<br /> hien tai) chinh b i n g gia tri hien tai cua (Ordinary Least Squares - OLS), mdi lien he<br /> p h i n bie'n ddng gia cd phieu tUPng lai khdng tren cung se dUdc kiem chQng bang cae mo<br /> chiu anh hudng cua rui ro he thd'ng. hinh anh hudng cd' dinh (Fixed effects model)<br /> Nhu vay, do thi trUdng hieu qua la mpt va anh hudrig ngau nhien (Random effect<br /> gia thiet khdng d i thda man, nha't la doi vdi modeiy.<br /> cac thi trUPng tai chinh r i t mdi vdi mQc dp Trong trUdng hdp phUdng phap binh<br /> phat trien chQa cao nhQ d Viet Nam, viec phUdng tdi thieu thdng thQdng, vdi cdng ty<br /> ket hdp md hinh Ohlson (1995) vdi nghien thQ i, md hinh cd dang:<br /> + X,p + e,<br /> Trong dd Y, ={YI„Y.^,...,YI^) ,e, ={e.„e,2,...,e.^)',j,=(i,i,...,i)'<br /> <br /> deu cd kich thUdc ( r x l ) , T la sd thdi ky hudng (cd' dinh) den gia cd phieu cua cdng<br /> quan sat dd'i vdi ddn vi i. y^ la he sd tU do va ty.<br /> <br /> P = {f}2,Pi,.-,pK) 1^ vector he sdhdi quy cua<br /> cac bie'n ddc lap. Ma tran AT, ciia cac bie'n 9. Cac anh hudng dac thil cd dinh hoac ngiu nhien<br /> ddc lap ed kich thUde (rx(A:-l)) trong dd K trong hai loai m6 hinh nay c6 kha nang phan anh "cic<br /> la sd' lupng bie'n ddc lap. thdng tin khac kh6ng cd trong bio cao tai chinh" theo<br /> md hinh Ohlson (1995), diiu mi phuong phip binh<br /> Md hinh anh hQi^lng cd' dinh cd dang:<br /> phuong tdi thiiu thdng thudng khdng thuc hien duoc.<br /> Y,=(A+A)jr+X,P + e, Dac die'm nky cung cd thi lam cho viec udc luong theo<br /> phuong phip binh phuong tdi thiiu thdng thudng bi<br /> Trong dd Pi dai dien cho cae ye'u to' dac thien lech (biased estimation) do hien tupng bie'n tuong<br /> trUdng cua cdng ty i (ngoai TT BCTC) cd anh quan tiim dn.<br /> <br /> Nghiin ciru Kinh te s6 375 - Thing 8/2009 23<br />  Moi iien he giiifa thong tin ...<br /> <br /> <br /> Md hinh anh hudng n g l u nhien cd dang: panel), phUdng phap binh phUdng to'i thieu<br /> cd bie'n gia hai chieu (Least Squares Dummy<br /> Y, =X,.p + //,Jr+e/<br /> Variable (LSDV) - group and time effects)<br /> Trong dd X, la ma tran bien phu thupc dupe sQ dung de Udc lUdng mo hinh anh<br /> (gdm ca vector tUdng Qng vdi he so' tii do) cd hudng cd' dinh va phUdng phap binh phUdng<br /> kfch thQdc (TXK) va p = {p^,Pj,...,P^) .p^\a tdi thieu tdng quat kha thi (Feasible<br /> mdt bien ngau nhien thda man cac dieu kien Generalized Least Squares - FGLS) de Udc<br /> lUdng md hinh anh hudng ngau nhien'". Ddi<br /> sau: ECU,.) = 0 ; E(pf)=al; E ( / / , . / / J = 0 vdi mpi<br /> vdi cac phUdng phap binh phUdng tdi thieu<br /> i*J ; E(//,e,,) = Ova E(//,.e,.,) = 0 . thdng thUdng va cd bie'n gia, kiem dinh<br /> Breuseh-Pagan/Cook-Weisberg dUde thiie<br /> Cac kiem dinh thd'ng ke dQdc thiic hien<br /> hien de n h a n dang hien tUdng phUdng sai<br /> de Ilia chpn md hinh phu hpp n h i t . Md hinh<br /> anh hudng cd' dinh dUdc so sanh vdi phUdng khdng ddng n h i t (heteroscedasticity). Khi cd<br /> phap binh phUdng toi thieu thdng thUdng da'u hieu cua hien tUdng nay, Udc lUpng dUdc<br /> bang kiem dinh Fischer. Kiem dinh nay cho dieu chinh b i n g phUdng phap White (1980).<br /> phep kiem chQng sQ tdn tai ciia anh hQdng De tinh tdi anh hudng ciia gia thiet thi<br /> dac thu khdng ddng n h i t giQa cac ddn vi. trQdng hieu qua den md'i lien he giQa TT<br /> Gia thiet khdng (null hypothesis) dQdc the BCTC va gia co phieu theo nghien cQu eua<br /> hien nhQ sau: Aboody, Hughes & Liu (2002), bien phu<br /> thupc (gia ed phieu) trong cac md hinh se<br /> tio'M\^M2= - = MN=^ dupe xac dinh trong mpt so' trQdng hpp khac<br /> Md hinh anh hudng n g l u nhien dUde so nhau. TrUdng hdp thQ n h i t gia thiet thi<br /> sanh vdi phUdng phap binh phUdng td'i thieu trUdng hieu qua, gia cd phieu dUdc lay vao<br /> thdng thUdng b i n g kiem dinh Breusch- thdi diem ket thuc nien dp ke toan ma bao<br /> Pagan (chi-binh phUdng) n h i m kiem chQng cao tai chfnh phan a n h " . Nhdm cac trUdng<br /> Sli tdn tai cua cac anh hudng ngau nhien. hpp edn lai gia thiet dang trung binh cua thi<br /> Gia thidt khdng la phUdng sai cua cac anh trUdng hieu qua khong dUdc thda man va thi<br /> hudng bang khdng: trQdng tii dieu chinh ve trang thai hieu qua<br /> Khi cac md hinh anh hudng cd dinh va sau mpt khoang thdi gian nha't dinh. Do khdng<br /> anh hudng n g l u nhien vUdt qua dUdc cac<br /> kiem dinh sii tdn tai ciia anh hudng dac thu. 10. Xem Greene (2003) di biit chi tiei<br /> 11. Bao cao tai chinh nam thucmg dupc cdng bd mdt<br /> HO-.CT'^ 0<br /> khoang thdi gian sau khi nien dd ki toin kei thuc. Viec<br /> la'y gii c6 phie'u vao thdi diim cdng bd bio cio tai chi'nh<br /> chung dUdc so sanh vdi nhau b i n g kiem<br /> vdi mdt dd tri thdi gian nhit dinh so vdi thdi diim kit<br /> dinh Hausman n h i m kiem chQng tinh dpc thtic niin dd cd im diim la gii c6 phiiu phan inh diy dti<br /> lap cua anh hudng ngau nhien ddi vdi eae hon thdng tin tir bio cio tai chinh. Tuy nhien, gii c6<br /> bien giai thich. Trong trQdng hpp ddc lap, phie'u dd cung cd thi da phan inh ca nhiJng thdng tin<br /> md hinh anh hQdng ngau nhien manh hdn cita niin dd mdi. Trong nghien ciJu nay, vdi trudng hpp<br /> thir nhit cd gia thiei thi trudng hieu qua, gia c6 phie'u<br /> md hinh anh hUdng cd' dinh va dUdc liia<br /> dupc lay vao thdi diim kit thuc nien dd ke' toin. Trong<br /> chpn. Trong trUdng hpp ngUde lai khi anh thirc tien, vao thdi diim kit thuc nien dd, cic TT BCTC<br /> hudng n g l u nhien tUdng quan vdi bie'n giai chii yiu ciia nien dd dd thudng da dupc dii doan trudc 6<br /> thich, Udc lupng md hinh anh hUcing n g l u mdt mtic dd kha ldn. Hon niia, viec la'y gii c6 phie'u nhu<br /> nhien hi thien leeh va do dd mo hinh anh viy lam tang sd quan sit trong cac tnrdng hop xit tdi<br /> ti'nh phi hieu qua ciia thi trudng vi vdi cic gia thiit khic<br /> hudng cd dinh dUde liia chpn.<br /> nhau vi khoang thdi gian thi tnrdng se tu diiu chinh vi<br /> Do dQ lieu bang dUdc sQ dung trong trang thai hiiu qua (gii c6 phie'u trong nghien ciru nay<br /> nghien cQu nay khdng can (unbalanced chi dupc lay de'n 31-07-2008).<br /> <br /> <br /> 24 Nghiin cifu Kinh tg si? 375 - Thing 8/2009<br />  Moi lien he giiifa thong tin<br /> <br /> <br /> ed cd sd ly thuye't nao de liia chpn khoang phieu va chi so' VN Index vao eac thdi diem<br /> thdi gian nay, cac md'c thdi gian dupe sQ sau: ket thuc nien dp tQdng Qng, 3, 6, 9 va<br /> dung trong nghien cQu nay la 3, 6, 9 va 12 12 thang sau khi ke't thue nien dp.<br /> thang sau khi ke't thuc nien dp ke't t o a n ' l Mdt diem dang lUu y la gia cd phieu trong<br /> Trong cac trQdng hdp nay, gia cd phie'u dQdc cd sd dQ lieu EzSearch (eung nhQ h i u het<br /> dieu ehinh theo sai sd dUde rut' ra tQ bie'n cae ngudn cung d p dQ lieu gia cd phie'u d<br /> ddng gia cd phi§'u tUdng lai nhu sau (bie'n Vipt Nam hien nay) chQa dQdc dieu chinh<br /> the ciia cdng thQc (5) theo nghien cQu cua chudi ddi vdi cae sii kien lam thay ddi gia cd<br /> Aboody, Hughes & Liu (2002)): phieu nhQng khdng lam thay ddi gia tri vdn<br /> P chu sd hQu vdi mpt ty le tQdng Qng (chia cd<br /> phie'u thQdng, tra eo tQc b i n g cd phie'u, phat<br /> hanh them cd phieu...). Neu khdng dUdc<br /> Trong dd: dieu chinh chudi, cac thay ddi gia cd phieu<br /> P,!^: gia cd phie'u dUdc dieu chinh cho cd the khdng phan anh chinh xae thay ddi<br /> gia tri vd'n chu sd hQu va lam cho ket qua<br /> thdi diem t (thdi diem ke't thue nien dp ke<br /> kiem chQng mdi lien he giQa TT BCTC va<br /> toan) theo sai so' dUde rut ra tQ bien dpng<br /> gia ed phidu hi sai leeh. Do vay gia ed phie'u<br /> gia cd phie'u T thang trong tUPng lai. sQ dung trong nghien cQu nay dQdc tie'n<br /> /J^,: gia cd phieu vao thdi diem < -i- T. hanh dieu ehinh chudi'^. Thdng tin chi tiet<br /> ve cac Sli kien d i n de'n viec dieu chinh gia ed<br /> R'l^: lpi s u i t thi trUdng (xac dinh diia<br /> phieu dupe thu thap tQ web site ciia Sd Giao<br /> tren ehi so' chQng khoan) cho khoang thdi dich chQng khoan thanh phd Hd Chi Minh<br /> gian tQ t de'n t+i. cung nhQ cua eac cdng ty niem yet.<br /> T = 3, 6, 9 va 12 thang.<br /> Sau qua trinh thu thap va xQ ly sd lieu,<br /> 2.2. Mau nghiin cdu va mo td du lieu mau cudi cung gdm 306 quan sat cdng ty-<br /> Pham vi nghien cQu la eac cdng ty phi tai nam cua 135 cdng ty (chidm g i n 90 % so'<br /> chinh niem yet tren Sd Giao dich chQng cdng ty niem yet tren Sd Giao dich chQng<br /> khoan thanh phd Hd Chi Minh. DQ lieu khoan thanh phd' Hd Chi Minh tinh den het<br /> phuc vu cho viec Udc lUdng cac md hinh bao nam 2007). So' iQpng quan sat theo nam<br /> gdm lpi nhuan thuan tren ed phie'u (EPS), dQdc trinh bay trong bieu dd dUdi day. Do<br /> gia tri sd saeh tren cd phie'u (BPS), gia cd cudi nam 2006 cd sii tang trQdng manh ve so'<br /> phieu va chi so' VN Index dUdc lay tQ ed sd iQdng eac cdng ty niem yet nen sd iQpng eac<br /> dQ lieu EzSearch cua Cdng ty cd p h i n chQng quan sat ehu ye'u tap trung vao thdi ky<br /> khoan FPT (www.fpts.eom.vn). Do EzSearch 2006-2007.<br /> chi thd'ng ke bao cao tai chinh tQ nien dp<br /> 2003 trd lai day va gia cd phieu tQ ngay giao<br /> 12. Co sd di la'y cic mde thdi gian each nhau 3<br /> dich d i u tien ciia nam 2004 de'n nay nen thing ki tir thdi diim kit thuc nien dd la viec TT BCTC<br /> md'i lien he giQa TT BCTC va gia ed phie'u se cung duoc cdng bd hang quy cd thi tang cudng qua<br /> dUde xem xet cho cac nien dp 2003, 2004, trinh cip nhat, diiu chlnh ky vong cua nha diu tu dira<br /> 2005, 2006 va 2007". NhU vay se cd mdt so' n-in TT BCTC vio cic thdi diim nay. Sd dl mde thdi<br /> gian chi duoc la'y din 12 thing do quy md miu khi han<br /> lupng nhat dinh quan sat cdng ty-nam (firm-<br /> chi vi thdi gian (xem phin miu va sd lieu nghien ciJu<br /> year observations) ddi vdi mdi cdng ty. Mdi dudi day).<br /> quan sat cdng ty-nam se bi loai bd khdi mau 13. Sd lupng cdng ty niem yit de'n cudi 2002 li khi<br /> cudi cung neu khdng cd d i y du dQ lieu ve gia It nen khdng anh hudng nhiiu din quy md miu.<br /> tri sd saeh tren cd phie'u, ldi nhuan t h u i n 14. Xem Tdn Tich Qu^ (2005) vi Nguyin Viet Dung<br /> tren cd phieu cua nien dp tUdng Qng, gia ed (2007b) di biit nguydn tic diiu chinh gii c6 phie'u.<br /> <br /> <br /> Nghiin ciru Kinh tgs6375 - Thing 8/2009<br /> 25<br />  Moi iien he giiifa thong tin<br /> <br /> <br /> BIEU DO 1: So quan s a t t h e o n a m cua Bang 1 trinh bay cac thd'ng ke md ta<br /> mau n g h i e n cufu mau. Ldi n h u a n t h u i n tren cd phie'u cua cac<br /> cdng ty niem yet tren Sd GDCK TP.HCM<br /> 133<br /> 140-1 trong thdi ky 2003-2007 la khoang 3.500<br /> 120-<br /> 103 ^ ddng. Gia tri td'i thieu cho thay cd cac cdng<br /> 100- ty thua Id nhUng chie'm mpt ty le r i t nhd<br /> So quan sit 80- trong so'cac quan sat (chi cd 1,6 %). Gia tri<br /> c6ng ty-<br /> 60- sd sach tren mpt cd phieu trung binh la hdn<br /> ndm 23 30<br /> 40- 18.000 ddng. So' quan sat cua cac bie'n P,/g<br /> 17<br /> 20- va P,ii2 la 173 so vdi 306 cua cac bien khac<br /> la do gia cd phieu chi dUdc lay de'n thdi diem<br /> 0-12003 2004 2005 2006 2007 nghien cQu (den 31/07/2008). Do vay, khdng<br /> NSm xac dinh dQdc gia vao cud! nien dp 2007 dieu<br /> chinh cho bien dpng gia sau 9 va 12 thang.<br /> BANG 1: Thong k e mo ta mSu<br /> Bie'n Trung binh Trung vi Sd lech chuin Tdi thieu Tdi da Sd quan sat<br /> EPS 3,44 2,75 2,64 3,64 20,61 306<br /> BPS 18,37 16,11 8,07 4,99 52,20 306<br /> P, 62,71 47,10 5,58 8,10 460,00 306<br /> P« 61,47 44,38 53,68 7,26 379,63 306<br /> P,/6 63,33 41,43 79,47 6,91 1049,68 306<br /> Pi;9 58,76 35,19 90,45 6,82 1031,55 173<br /> Pl/12 62,17 37,87 99,07 5,24 1132,58 173<br /> <br /> Bang 2 trinh bay ma tran tQdng quan giQa cac bien gdm cac he so' tQdng quan Pearscn va<br /> tUdng quan hang Spearman.<br /> BANG 2: Ma t r a n tiftfng q u a n<br /> Bien EPS BPS P, P,/3 P,/6 P,/, Pl/12<br /> EPS - Pearson<br /> - Spearman —<br /> BPS - Pearson 0,53**<br /> - Spearman 0,60** —<br /> P, - Pearson 0,60** 0,50**<br /> - Spearman 0,55** 0,56**<br /> —<br /> Pii3 -Pearson 0,63** 0,53** 0,87**<br /> - Spearman 0,56** 0,59** 0,92**<br /> —<br /> P,if -Pearson 0,52** 0,39** 0,54** 0,82**<br /> - Spearman 0,56** 0,57** 0,86** 0,95**<br /> —<br /> P,i, -Pearson 0,60** 0,49** 0,47** 0,81** 0,99**<br /> - Spearman 0,57** 0,62** 0,89** 0,94** 0,98**<br /> —<br /> Pun -Pearson 0,58** 0,46** 0,46** 0,79** 0,99** 0,99**<br /> - Spearman 0,45** 0,51** 0,85** 0,91** 0,92** 0,95**<br /> —<br /> • CO y nghia thong ke dmiic 1%<br /> Ke't qua cho tha'y cac bie'n gia ed phieu saeh cd tUdng quan manh nha't vdi gia co<br /> tUdng quan tUdng ddi manh vdi nhau nhUng phieu dieu chinh cho bien dpng gia trong<br /> giam d i n khi dUpc dieu chinh cho bien ddng khoang thdi gian tUdng lai 3 thang. Cd the<br /> trong khoang thdi gian tUdng lai xa hdn. Cac nhan dinh day la ket qua ban d i u eho tha'y<br /> TT BCTC la lpi nhuan t h u i n va gia tri sd tren thi trUdng chQng khoan Viet Nam, TT<br /> <br /> 26 Nghiin ciru Kinh tg s6375- Thing 8/2009<br />  Moi lien he giiifa thong tin<br /> <br /> <br /> BCTC dupc phan anh vao gia cd phieu vdi PhQdng phap thQa sd tang phUdng sai<br /> mpt dp t r i n h i t dinh. Dac diem nay se dUde (Variance Inflation Factor - VIF) dUdc sQ<br /> xem x6t ky hdn khi kiem dinh cae md hinh dung de dd tim d i u hieu cpng tuyen nhUng<br /> kinh te lUpng. He so' tUdng quan giQa hai k^t qua cho tha'y khdng cd hien tUdng nay.<br /> bie'n ddc lap tQdng doi ldn va cd y nghia ap dung ky thuat Stepwise Regression cung<br /> thd'ng ke d mQc cao nhat (cung nhU cac he so' cho tha'y viec de hai bien dpc lap nay trong<br /> tUdng quan giQa cae bie'n khae). Dieu nay mpt md hinh la hoan toan hpp ly.<br /> ddi hdi phai tien hanh nhan dang hien<br /> 2.3. Ki't qud kiem dinh mo hinh kinh<br /> tupng cpng tuyen (Collinearity) ed the lam<br /> te lugng<br /> anh hudng de'n y nghia thdng ke cua cac<br /> tham so' dUpc Udc iQdng trong cac md hinh. Ke't qua dQdc trinh bay trong bang 3.<br /> BANG 3: Ket qua kiem dinh mo hinh<br /> Bie'n phu thudc: P, Biin phu thupc: P,,,<br /> OLS LSDV FGLS OLS LSDV FGLS<br /> -2,50 20,41* 3,61 -5,39 13,03 -3,52<br /> He sd tit do (-0,58)<br /> (-0,35) (2,43) (0,55) (-0,69) (1,51)<br /> 9,86** 10,38** 8,25** 9 79** 10,18** 8,08**<br /> EPS (7,98)<br /> (4,08) (4,45) (7,42) (4^49) (4,84)<br /> I 7^** 1,03** 1,81** 1,24** 2,24**<br /> BPS (3,33) (7,63)<br /> (4^81) (2,72) (5',76) (4,83)<br /> R' 0,40 0,48 0,40 0,44 0,51 0,44<br /> Sd quan sdt 306 306 306 306 306 306<br /> Kiem dinh Breusch-Pagan ICook-Weisberg x'(i) f(l) f(l) z'(i)<br /> (Phucmg sai khdng dSng nhd't) 378,01** 365,44** 301,36** 295,28**<br /> Kiem dinh Fischer F F<br /> (dnh huang cddinh) 24,38** 22,87**<br /> Kiem dinh Breusch-Pagan x'(i) x'(i)<br /> (dnh hudng ngdu nhien) 23,33* 34,40**<br /> Kiem dinh Hausman f(2) f(2)<br /> (So sanh dnh hudng) 24,14** 12,57**<br /> ** va * : coy nghia thong ke ldn luat a cdc mice l%vd 5%<br /> Cac md hinh dQdc trinh bay d tren dQdc Khi bie'n phu thudc la gia cd phieu vao thdi<br /> kiem dinh vdi cac bien phu thudc khac nhau diem ke't thuc nien dp ke toan (P,), cac kiem<br /> la P, , P„s, P,i6 , P,i9 va Ptm de xem xet kha dinh Fischer va Breusch-Pagan cho thay<br /> nang tdn tai dp t r i trong viec gia cd phieu khdng the bae bd gia thiet tdn tai eae anh<br /> phan anh TT BCTC. Hai bien dpc lap trong hQdng dac thu. Tuy nhien, theo kiem dinh<br /> eae md hinh la ldi nhuan t h u i n tren cd phig'u Hausman, cac anh hudng ngau nhien tUdng<br /> va gia tri sd sach tren cd phieu. Kiem dinh quan vdi cac bie'n ddc lap, lam cho cae he sd<br /> Breusch-Pagan/Cook-Weisberg cho cac hdi quy bi thien lech va do dd phUdng phap<br /> phUdng phap binh phUdng tdi thieu thdng LSDV dupc Ilia chpn. Ket qua Udc lUdng theo<br /> thUdng (OLS) va cd bien gia (LSDV) ydi t i t phUdng phap nay cho tha'y gia cd phieu cd mdi<br /> ca cac bie'n phu thupc khae nhau deu cho . lien he ty le thuan vdi ldi nhuan t h u i n tren cd<br /> tha'y ed d i u hieu eua hien tUpng phUdng sai phieu (EPS) va gia tri sd sach tren cd phie'u<br /> khdng ddng nha't (heteroscedasticity). Do dd, (BPS) va cae he so' ddu cd y nghia thd'ng ke d<br /> phUdng phap White (1980) dUpc ap dung de mQc cao nha't (1 %). Hai loai TT BCTC nay<br /> dieu chinh sai sd' chuin eua cac he sd hdi cung vdi cac anh hQdng cd' dinh giai thich dUdc<br /> quy. Thd'ng ke t dUdc trinh bay trong ket qua 48 % bien dpng gia cd phieu (40 % rieng cho<br /> cung da dUdc dieu chinh tUdng Qng. EPS va BPS theo phUdng phap OLS).<br /> <br /> Nghiin cilu Kinh tgs6 375 - Thing 8/2009 27<br />  Moi lien he giiifa thong tin<br /> <br /> <br /> BANG 3: Ket q u a k i e m d i n h m o h i n h (tiep)<br /> Bie'n phu thudc: P,/6 Bien phu thudc: P,/,<br /> OLS LSDV FGLS OLS LSDV FGLS<br /> -10,56 -0,32 -9,38** -32,50 3,03 -20,50<br /> He so tudo (-0,72) (-0,02) (-0,91) (-1,28) (0,13) (-1,52)<br /> 13,03* 13,17** 11,28** 18,52* 19,94* 5,99**<br /> EPS<br /> (2,53) (2,66) (6,38) (2,37) (2,57) (3,38)<br /> 1,59** J ^9** 2,02** 1,86* 0,42 4,35**<br /> BPS (3,60) (3,78) (2,14) (0,55) (6,18)<br /> (2,82)<br /> R' 0,29 0,32 0,28 0,37 0,42 0,32<br /> Sdquan sdt 306 306 306 173 173 173<br /> Kiem dinh Breusch-PaganlCook-Weisberg x'(i) x'(i) x'(i)<br /> {Phuang sai khong dong nhdt) 1071,58** 1050,17** 767,41**<br /> Kiem dinh Fischer F F<br /> (dnh huang cddinh) 14,72** 11,69**<br /> Kiem dinh Breusch-Pagan f(l) x'(i)<br /> (dnh hudng ngdu nhien) 8,92** 3,81<br /> Kiem dinh Hausman X\2)<br /> —<br /> (So sanh dnh hudng) 5,64<br /> ** vd * : coy nghTa thdng keldn lu0 d cdc mice 1% vd 5%<br /> Khi gia cd phieu vao thdi diSm ket thuc thdng ke khi bien p h u thupc la Ptia va P,/,2.<br /> nien dp dUpc dieu chinh cho bie'n dpng gia Nhu vay, trai vdi mpt sd n h a n dinh cho r i n g<br /> trong 3 thang tUdng lai (P,/3), cac kiem dinh TT BCTC khong hQu ich trong viec xac dinh<br /> v i n d i n tdi viec liia chpn LSDV la phQdng gia cd phieu t r e n thi trUdng chQng khoan<br /> phap phu hdp n h i t . Cac TT BCTC v i n cd he Viet Nam, viec kiem dinh cac mo hinh cho<br /> sd dUdng vdi mQc y nghia thd'ng ke cao nha't. tha'y mdi lien he nay hoan toan cd y nghia ve<br /> Ngoai ra, sQc giai thich P,/^ ciia cac TT mat thd'ng ke. Ke't qua cung cho t h i y ed d i u<br /> BCTC cao hdn so vdi P,. Khi eac bien phu hieu gia ed phie'u phan anh TT BCTC vdi<br /> thupc la Pi/s, Pi/g va P,i,2 , sQc giai thi'ch cua mpt dp trd nha't dinh (TT BCTC gia thich tdt<br /> TT BCTC cd xu hudng giam. He sd cua gia n h i t gia cd phieu dUdc dieu chinh cho bien<br /> tri sd sach tren cd phie'u khdng cdn y nghia ddng gia trong 3 t h a n g tUdng lai).<br /> BANG 3: Ket qua kiem dinh m o hinh (tiep)<br /> Bien Dhu thuoc: P,,^, OLS LSDV FGLS<br /> -30,24 13,36 -9,90<br /> Hesd'ntdo<br /> (-1,06) (0,49) (-0,68)<br /> 20,10* 21,77' 3,79'<br /> EPS<br /> (2,26) (2,48) (2,06)<br /> 1,61 -0,12 4,54"<br /> BPS<br /> (1,48) (-0,12) (6,24)<br /> «^ 0,34 0,40 0,27<br /> Sdquan sdt 173 173 173<br /> Kiem dinh Breusch-Pagan ICook-Weisberg x'(i) x'(i)<br /> (Phuang sai khdng ddng nhdt) 794,85" 767,51"<br /> Kiem dinh Fischer F<br /> (dnh hudng cddinh) 14,34"<br /> Kiem dinh Breusch-Pagan x'(i)<br /> (dnh hudng ngdu nhien)<br /> 3,76 J<br /> Kiem dinh Hausman (So sdnh dnh hudng)<br /> 1<br /> • vd* : coy nghia Ihdng ke ldn luat a cdc miic 1% vd 5%<br /> <br /> <br /> 28 Nghiin ciru Kinh tg sd 375 - Thing 8/2009<br />  Mtfi iien he giiifa thdng tin<br /> <br /> <br /> Do diu nam 2007 ehiing kien sQ di len r i t cac nam khac de xac dmh heu cd sii thay ddi nao<br /> manh me cua thi tnidng chiing khoan, mdi hen trong moi lien he nay khi thi tnidng thang hoa.<br /> he cua gia cd phieu diu nam 2007 vdi TT BCTC De kiem chiing sii khac biet nay, md hinh sau<br /> nien dp 2006 dUde so sanh vdi mdi hen he cua dUde kiem dinh vdi 3 phUdng phap nhQ d trin:<br /> P,n=oi + p,EPS,+p,BPS„+p,iYDxEPS,) + P,(YDxBPSJ + psYD + e„<br /> Trong dd: khi dd, khdng the bac bd gia thie't he so' cua<br /> /J„3: gia cd phigii cua ed phie'u i tai thdi bien tUdng tac thQ hai YDXBPS bang 0 d mQc 5<br /> diem ket thue nien dp t dQdc dieu chinh cho % (tham ehi 10 %). Do bien gia YD nhan gia tri<br /> bie'n dpng gia trong thdi gian 3 thang tUdng lai. 1 neu nam quan sat la 2006 va gia tri 0 cho cac<br /> EPSj,: ldi nhuan t h u i n tren cd phieu nien dp nam edn lai ket qua nay chi ra rang mdi hen he<br /> t cua cong ty i. giQa gia cd phieu diu nam 2007 vdi TT BCTC<br /> BPS I,: gia tri sd sach tren cd phie'u nien dp t nien dp 2006 manh hdn mdi hen he nay eua eac<br /> cua eong ty i. nam cdn lai va sii gia tang nay chi den tQ vai<br /> YD (Year Dummy): bie'n gia nhan gia tri 1 trd cua lpi nhuan edn gia tri sd sach khdng cd<br /> ndu nam quan sat la 2006 va gia tri 0 cho eae ddng gdp gi dang ke. Cac he so' hdi quy eho<br /> nam cdn lai. tha'y trung binh mdi 1 % thay ddi lpi nhuan<br /> Ket qua dUdc trinh bay trong bang 4. Cac nien dp 2006 lam gia cd phieu diu nam 2007<br /> kilm dinh Fischer, Breusch-Pagan va Hausman bie'n ddi eiing chieu gin 17 % trong khi ehi la<br /> eho tha'y phUdng phap LSDV dUdc liia chpn va khoang 7 % cho nhQng thdi ky khac. NhU vay,<br /> theo ket qua Udc lupng bang phUdng phap nay, khi thi trudng chiing khoan Viet Nam thang<br /> ngoai cac bie'n EPS va BPS cd he sd' dUPng, hoa thi vai trd eua ldi nhuan trong viec giai<br /> bie'n tUdng tac thQ n h i t YDXEPS ciing cd he so' thich gia cd phieu tang len rat nhieu so vdi<br /> ldn hdn 0 d mQc y nghia thd'ng ke 1 %. Trong nhQng thdi diem khac.<br /> BANG 4: Ket q u a k i e m d i n h m o h i n h<br /> Bie'n phu thudc: P,,j OLS LSDV FGLS<br /> -3,37 22,41* -0,18<br /> He sd tudo<br /> (-0,41) (2,47) (-0,03)<br /> 6,38** 6,88** 5,58**<br /> EPS<br /> (2,76) (3,19) (5,05)<br /> 2,14** 1,36** 2,39**<br /> BPS<br /> (4,97) (3,12) (8,10)<br /> 10,44** 9 94** 6,59**<br /> YDxEPS (3,08) (3,02) (3,62)<br /> -1,53 -0,75 -0,05<br /> YDxBPS (-1,94) (-0,94) (-0,07)<br /> 0,71 -25,10 -14,31<br /> YD (0,05) (-1,70) (-1,35)<br /> 0,49 0,55 0,48<br /> Fsdquan sdt 306 306 306<br /> Kiem dinh Breusch-Pagan ICook-Weisberg x'(i) x'(i)<br /> (Phuang sai khdng ddng nhdt) 167,84** 190,86**<br /> Kiem dinh Fischer F<br /> (dnh hucing cddinh) 29,41**<br /> Kiem dinh Breusch-Pagan x'(i)<br /> (dnh hudng ngdu nhien) 25,75**<br /> m- Kiem dinh Hausman X'(2)<br /> (So sdnh dnh hudng) 24,11**<br /> ** ud * .• CO y nghia thd'ng ke ldn luqt a cdc miic 1% vd 5%.<br /> <br /> Nghiin ciru Kinh tgs6375 - Thing 8/2009 29<br />  Moi lien he giiifa thong tin ...<br /> <br /> <br /> Bang 5 so sanh sQc giai thich gia cd phieu Nhu vay, mdi hen he giQa TT BCTC va<br /> cua TT BCTC tren thi trUdng chQng khoan gia cd phie'u tren TTCK Viet Nam v i n cdn<br /> Viet Nam vdi trQdng hdp cua eac nUdc khac. t h i p so vdi khdng chi cac qud'c gia phat trien<br /> Cac he sd xac dinh bpi va xac dinh bdi hieu ma ea vdi cac thi trUdng mdi ndi khac trong<br /> chinh cua ham hdi quy the hien mdi lien he khu vUc. Dieu nay cd the de dang nhan tha'y<br /> giQa gia cd phie'u va TT BCTC trong trUdng thdng qua viec phan tich cac tdn tai trong<br /> hpp cac nUdc dUde so sanh vdi nhau'^. Ket moi trUdng phap ly ve cdng bd' thdng tin ndi<br /> qua cho thay mdi lien he nay tren thi trUdng chung va TT BCTC ndi rieng, che dp ke<br /> chQng khoan Viet Nam ndi chung ye'u hdn toan, boat dpng kiem toan, thiic trang edng<br /> tren cac thi trUdng chQng khoan phUdng bd' TT BCTC cua cae cdng ty phat hanh,<br /> Tay (dieu nay da dUde dii doan trUdc). Tuy niem yet va viec sQ dung TT BCTC cua nha<br /> nhien, ldi nhuan va gia tri sd sach giai thich d i u tu d nUdc ta'^. Tuy nhien, dieu dd khdng<br /> bien ddng gia cd phieu tren TTCK Viet Nam cd nghia la TT BCTC khdng dUdc phan anh<br /> tdt hPn tren TTCK Trung Qudc trong thap vao gia cd phieu tai Viet Nam. Doi vdi cac<br /> nien 90 (Chen, Chen & Su (2001) nghien nha dau tU chuyen nghiep khdng cd thdng<br /> cQu thdi ky 1991-1998), cung la thdi ky ngay tin ndi gian va cac ldi the khac thi TT BCTC<br /> sau khi TTCK Trung Quo'c ra ddi gid'ng nhU nhu nd dUdc cdng bd v i n la mpt can cQ quan<br /> trUdng hdp Viet Nam trong nghien cQu nay. trpng de ra quye't dinh d i u tU. Hdn nQa, khi<br /> Ddi vdi cac nUdc Ddng Nam A, do nghien van tdn tai mpt bp phan khdng nho cae nha<br /> d i u tu khdng cd kie'n thQc d i u tQ theo cac<br /> cQu cua Graham & King (2000) sQ dung ldi<br /> nha dau tU chuyen nghiep ndi tren (vi du<br /> nhuan thang dU thay cho lpi nhuan t h u i n<br /> cac nha d i u tU chuyen nghiep nUde ngoai)<br /> trong ham hdi quy nen khdng the so sanh<br /> nhu v i n thUdng thay tren TTCK Viet Nam<br /> triic tiep bang he so' xac dinh bdi. Tuy nhien,<br /> thi TT BCTC v i n dQdc phan anh vao gia cd<br /> cac tac gia phan tich he sd tQdng quan giQa<br /> phieu.<br /> ldi nhuan thuan tren cd phie'u va gia ed<br /> phie'u va ne'u diia vao thdng so' nay thi trong 3. Ket l u a n<br /> sd' 6 qud'c gia va vung lanh thd la Dai Loan,<br /> Do thi trUdng hieu qua la mpt gia thiet<br /> Han Qude, Inddnexia, Malaixia, Phihppin<br /> khdng d l thda man, n h a t la doi vdi cac thi<br /> va Thai Lan (thdi ky nghien cQu: 1987-<br /> trUdng tai chinh rat mdi vdi mQc dp phat<br /> 1996), Viet Nam chi xep tren Dai Loan.<br /> trien chUa cao nhQ d Viet Nam, viec ke't hdp<br /> B A N G 5: So sanh vdi cac quoc gia khac md hinh Ohlson (1995) vdi nghien cQu cua<br /> Aboody, Hughes & Liu (2002) cho phep cd<br /> Thfrikj- R'<br /> Quoc dUde mdt cd sd ly thuye't phu hpp de do<br /> nghien Tac gia R' hieu<br /> gla<br /> curu chinh ludng mdi lien he giQa TT BCTC va gia cd<br /> 1982- King& 66 phieu tren thi trUdng chQng khoan Viet<br /> Anh<br /> 1996 LangU (1998) % Nam. Trai vdi nhieu nghi ngd r i n g TT<br /> 1982- King& 65 BCTC khong cd tac dpng gi den gia cd phieu<br /> NaUy<br /> 1996 Langli (1998) % tai nUdc ta, ket qua kiem dinh mo hinh kinh<br /> Collins,<br /> 1953- 54<br /> My Maydew &<br /> 1993 %<br /> Weiss (1997)<br /> 1982- King& 40 15. D^ cd sir so sinh ddng b6, cac he stf xic dinh b6i<br /> Dire<br /> 1996 LangU (1998) % va xac dinh bpi hieu chinh trong trucmg hgp Viet Nam li<br /> Viet 2003- Nguyin Viet 40 ciia hkm hdi quy dupc udc lupng bang phucmg phSp<br /> Nam 2007 DDng (2009) % 39% OLS vdi hiit\ phu thupc Ik P,.<br /> Trung 1991 - Chen, Chen & 16. Xem Nguyin Viet Dung va nhdm ii tiii (2008)<br /> Qu6'c 1998 Su (2001) 25%<br /> ii bitft chi tiei<br /> <br /> 30 Nghiin ciru Kinh tgs6375 - Thing 8/2009<br />  Moi lien he giiifa thong tin<br /> <br /> <br /> te lupng cho t h i y mdi lien he nay hoan toan TAI LifiU THAM KHAO<br /> cd y nghia, it n h i t la ve mat thd'ng ke. Ke't Aboody D., Hughes J. & Liu J. (2002), "Measuring<br /> Value Relevance in a (Possibly) Inefficient Market",<br /> qua edn cho tha'y TT BCTC giai thich tdt Journal of Accounting Research, 40, p. 965-986.<br /> nha't gia cd phie'u dUdc dieu chinh eho bien Akerlof G. (1970), "The market for 'Lemons': QuaUty<br /> ddng gia trong 3 thang tUdng lai. Day la d i u Uncertainty and the Market Mechanism", Quarterly<br /> hieu gia ed phie'u phan Qng ch