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Minh bạch và công bố thông tin của các công ty niêm yết trên thị trường chứng khoán Việt Nam - 37

** PHAN TICH HIEU QUA TAI CHINH


** TY SO ROE


. xtreg ROE CS_CBTT HDQT KTGD TVDL SHQT SHNN QMCT DBTC CTKT SGDCK, re


Random-effects GLS regression

Number

of obs

=

1452

Group variable: CONGTY

Number

of groups

=

484

R-sq: within

=

0.0399

Obs

per

group:

min

=

3

between

=

0.0637




avg

=

3.0

overall

=

0.0438




max

=

3




Wald chi2(10)

=

58.83

corr(u_i, X)

=

0 (assumed)

Prob > chi2

=

0.0000

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Minh bạch và công bố thông tin của các công ty niêm yết trên thị trường chứng khoán Việt Nam - 37


------------------------------------------------------------------------------

ROE | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

.0018587

.0010624

1.75

0.080

-.0002236

.0039409

HDQT

|

-.0016223

.0042972

-0.38

0.706

-.0100448

.0068001

KTGD

|

-.0237073

.0139533

-1.70

0.089

-.0510552

.0036406

TVDL

|

-.0024364

.0061154

-0.40

0.690

-.0144224

.0095496

SHQT

|

.0008767

.0003389

2.59

0.010

.0002124

.0015411

SHNN

|

.0007403

.0004743

1.56

0.119

-.0001894

.00167

QMCT

|

.0189175

.0057651

3.28

0.001

.0076181

.030217

DBTC

|

-.17156

.0319822

-5.36

0.000

-.2342439

-.1088761

CTKT

|

-.0205841

.0168599

-1.22

0.222

-.0536289

.0124606

SGDCK

|

.0014455

.0159532

0.09

0.928

-.0298222

.0327132

_cons

|

-.4580192

.1456784

-3.14

0.002

-.7435436

-.1724948

-------------+----------------------------------------------------------------

sigma_u | .09249667

sigma_e | .17892379

rho | .21088907 (fraction of variance due to u_i)

------------------------------------------------------------------------------


. estimates store REM_E


. xtreg ROE CS_CBTT HDQT KTGD TVDL SHQT SHNN QMCT DBTC CTKT SGDCK, fe

note: SGDCK omitted because of collinearity


Fixed-effects (within) regression

Number

of obs

=

1452

Group variable: CONGTY

Number

of groups

=

484

R-sq: within

=

0.1057

Obs

per

group:

min

=

3

between

=

0.0146




avg

=

3.0

overall

=

0.0159




max

=

3




F(9,959)

=

12.60

corr(u_i, Xb)

=

-0.8461

Prob > F

=

0.0000

------------------------------------------------------------------------------

ROE | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

-.0023927

.0015761

-1.52

0.129

-.0054857

.0007003

HDQT

|

.0059882

.0064504

0.93

0.353

-.0066703

.0186467

KTGD

|

-.0798518

.0255489

-3.13

0.002

-.1299899

-.0297137

TVDL

|

.0049186

.0114086

0.43

0.666

-.0174701

.0273074

SHQT

|

.0009997

.0007258

1.38

0.169

-.0004246

.002424

SHNN

|

-.0029815

.0010356

-2.88

0.004

-.0050139

-.0009492

QMCT

|

.1792852

.0251859

7.12

0.000

.1298593

.2287111

DBTC

|

-.6961485

.0818755

-8.50

0.000

-.8568243

-.5354727

CTKT

|

-.050065

.0425013

-1.18

0.239

-.1334713

.0333413

SGDCK

|

0

(omitted)





_cons

|

-4.31321

.6761306

-6.38

0.000

-5.640077

-2.986344

-------------+----------------------------------------------------------------

sigma_u | .28149718

sigma_e | .17892379

rho | .71224754 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(483, 959) = 1.99 Prob > F = 0.0000


. estimates store FEM_E


. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (484) = 1.3e+09

Prob>chi2 = 0.0000


. hausman FEM_E REM_E


---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| FEM_E REM_E Difference S.E.

-------------+----------------------------------------------------------------

CS_CBTT

|

-.0023927

.0018587

-.0042513

.0011642

HDQT

|

.0059882

-.0016223

.0076105

.0048105

KTGD

|

-.0798518

-.0237073

-.0561445

.0214021

TVDL

|

.0049186

-.0024364

.007355

.0096311

SHQT

|

.0009997

.0008767

.000123

.0006417

SHNN

|

-.0029815

.0007403

-.0037218

.0009206

QMCT

|

.1792852

.0189175

.1603677

.0245172

DBTC

|

-.6961485

-.17156

-.5245885

.0753706

CTKT

|

-.050065

-.0205841

-.0294809

.0390142

------------------------------------------------------------------------------

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic


chi2(9) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 99.57

Prob>chi2 = 0.0000


. xtserial ROE CS_CBTT HDQT KTGD TVDL SHQT SHNN QMCT DBTC CTKT SGDCK


Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 483) = 0.710

Prob > F = 0.3999


. ivregress 2sls ROE (CS_CBTT=l.CS_CBTT TVDL QMCT) HDQT KTGD SHQT SHNN DBTC CTKT SGDCK,

vce(robust)


Instrumental variables (2SLS) regression

Number of obs

=

968


Wald chi2(8)

=

60.67


Prob > chi2

=

0.0000


R-squared

=

0.0585


Root MSE

=

.18891


------------------------------------------------------------------------------

| Robust

ROE | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

.0041014

.0015176

2.70

0.007

.001127

.0070759

HDQT

|

-.0007454

.0039078

-0.19

0.849

-.0084045

.0069138

KTGD

|

-.0269817

.0178578

-1.51

0.131

-.0619824

.0080191

SHQT

|

.0007443

.0002478

3.00

0.003

.0002586

.00123

SHNN

|

.0013153

.0004448

2.96

0.003

.0004434

.0021872

DBTC

|

-.0906027

.0340135

-2.66

0.008

-.1572679

-.0239374

CTKT

|

.0065976

.0130144

0.51

0.612

-.0189101

.0321053

SGDCK

|

.0152292

.0124323

1.22

0.221

-.0091376

.039596

_cons

|

-.1491066

.0963493

-1.55

0.122

-.3379478

.0397346

------------------------------------------------------------------------------

Instrumented: CS_CBTT

Instruments: HDQT KTGD SHQT SHNN DBTC CTKT SGDCK L.CS_CBTT TVDL QMCT


. estat endogenous


Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1)

= .0016

(p =

0.9681)

Robust regression F(1,958)

= .001582

(p =

0.9683)


. estat overid


Test of overidentifying restrictions:


Score chi2(2) = 4.14038 (p = 0.1262)

. estimates store SLS_E


. ivregress gmm ROE (CS_CBTT=l.CS_CBTT TVDL QMCT) HDQT KTGD SHQT SHNN DBTC CTKT SGDCK

Instrumental variables (GMM) regression Number of obs = 968

Wald chi2(8) = 58.70

Prob > chi2 = 0.0000

R-squared = 0.0537

GMM weight matrix: Robust Root MSE = .1894


------------------------------------------------------------------------------

| Robust

ROE | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

.0042714

.0015018

2.84

0.004

.0013279

.0072148

HDQT

|

-.0020561

.0038201

-0.54

0.590

-.0095433

.005431

KTGD

|

-.0104463

.0158422

-0.66

0.510

-.0414965

.0206038

SHQT

|

.0006001

.0002352

2.55

0.011

.0001392

.0010611

SHNN

|

.0013514

.0004287

3.15

0.002

.0005112

.0021915

DBTC

|

-.0500471

.0274683

-1.82

0.068

-.103884

.0037897

CTKT

|

.0017565

.0127108

0.14

0.890

-.0231562

.0266692

SGDCK

|

.0159923

.0123528

1.29

0.195

-.0082187

.0402034

_cons

|

-.1670966

.0955102

-1.75

0.080

-.3542932

.0201001

------------------------------------------------------------------------------

Instrumented: CS_CBTT

Instruments: HDQT KTGD SHQT SHNN DBTC CTKT SGDCK L.CS_CBTT TVDL QMCT


. estat endogenous


Test of endogeneity (orthogonality conditions) Ho: variables are exogenous


GMM C statistic chi2(1) = .661357 (p = 0.4161)


. estat overid


Test of overidentifying restriction: Hansen's J chi2(2) = 4.14038 (p = 0.1262)

. estimates store GMM_E

. esttab REM_E FEM_E SLS_E GMM_E, r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap compress


--------------------------------------------------------------

(1)

(2)

(3)

(4)

ROE

ROE

ROE

ROE

--------------------------------------------------------------

CS_CBTT

0.00186*

-0.00239

0.00410***

0.00427***


[1.75]

[-1.52]

[2.70]

[2.84]

HDQT

-0.00162

0.00599

-0.000745

-0.00206


[-0.38]

[0.93]

[-0.19]

[-0.54]

KTGD

-0.0237*

-0.0799***

-0.0270

-0.0104


[-1.70]

[-3.13]

[-1.51]

[-0.66]

TVDL

-0.00244

0.00492




[-0.40]

[0.43]



SHQT

0.000877***

0.001000

0.000744***

0.000600**


[2.59]

[1.38]

[3.00]

[2.55]

SHNN

0.000740

-0.00298***

0.00132***

0.00135***


[1.56]

[-2.88]

[2.96]

[3.15]

QMCT

0.0189***

0.179***




[3.28]

[7.12]



DBTC

-0.172***

-0.696***

-0.0906***

-0.0500*


[-5.36]

[-8.50]

[-2.66]

[-1.82]

CTKT

-0.0206

-0.0501

0.00660

0.00176


[-1.22]

[-1.18]

[0.51]

[0.14]

SGDCK

0.00145

.

0.0152

0.0160


[0.09]

.

[1.22]

[1.29]

_cons

-0.458***

-4.313***

-0.149

-0.167*


[-3.14]

[-6.38]

[-1.55]

[-1.75]

--------------------------------------------------------------

N

1452

1452

968

968

R-sq


0.106

0.059

0.054

--------------------------------------------------------------

t statistics in brackets

* p<0.1, ** p<0.05, *** p<0.01


** TY SO ROA


. xtreg ROA CS_CBTT HDQT KTGD TVDL SHQT QMCT DBTC CTKT SGDCK, re


Random-effects GLS regression

Number

of obs

=

1452

Group variable: CONGTY

Number

of groups

=

484

R-sq: within

=

0.0256

Obs

per

group:

min

=

3

between

=

0.1837




avg

=

3.0

overall

=

0.1239




max

=

3




Wald chi2(9)

=

132.59

corr(u_i, X)

=

0 (assumed)

Prob > chi2

=

0.0000


------------------------------------------------------------------------------

ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+---------------------------------------------------------------- CS_CBTT | .001453 .0004136 3.51 0.000 .0006423 .0022637

|

.0009525

.0016775

0.57

0.570

-.0023353

.0042403

KTGD

|

-.0082431

.0056564

-1.46

0.145

-.0193295

.0028433

TVDL

|

-.0005349

.0024852

-0.22

0.830

-.0054058

.004336

SHQT

|

.00019

.0001399

1.36

0.175

-.0000842

.0004642

QMCT

|

.0034494

.0024166

1.43

0.153

-.001287

.0081859

DBTC

|

-.1231889

.0131279

-9.38

0.000

-.1489192

-.0974586

CTKT

|

-.006865

.0069583

-0.99

0.324

-.020503

.0067729

SGDCK

|

.0105829

.0068571

1.54

0.123

-.0028567

.0240225

_cons

|

-.0829143

.0608637

-1.36

0.173

-.2022049

.0363764

HDQT

-------------+----------------------------------------------------------------

sigma_u | .04967796

sigma_e | .06435643

rho | .37337828 (fraction of variance due to u_i)

------------------------------------------------------------------------------


. estimates store REM_A


. xtreg ROA CS_CBTT HDQT KTGD TVDL SHQT QMCT DBTC CTKT SGDCK, FE

option FE not allowed r(198);


. xtreg ROA CS_CBTT HDQT KTGD TVDL SHQT QMCT DBTC CTKT SGDCK, fe

note: SGDCK omitted because of collinearity


Fixed-effects (within) regression

Number

of obs

=

1452

Group variable: CONGTY

Number

of groups

=

484

R-sq: within

=

0.0397

Obs

per

group:

min

=

3

between

=

0.0493




avg

=

3.0

overall

=

0.0390




max

=

3




F(8,960)

=

4.96

corr(u_i, Xb)

=

-0.4289

Prob > F

=

0.0000


------------------------------------------------------------------------------

ROA | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

.0000689

.0005621

0.12

0.902

-.0010341

.001172

HDQT

|

.0032083

.0023176

1.38

0.167

-.0013398

.0077564

KTGD

|

-.017416

.0091817

-1.90

0.058

-.0354344

.0006025

TVDL

|

.000454

.0041031

0.11

0.912

-.007598

.008506

SHQT

|

.0000512

.0002609

0.20

0.845

-.0004608

.0005631

QMCT

|

.0287701

.0089859

3.20

0.001

.0111359

.0464043

DBTC

|

-.1542856

.0291965

-5.28

0.000

-.2115819

-.0969893

CTKT

|

-.0112302

.0152864

-0.73

0.463

-.0412287

.0187684

SGDCK

|

0

(omitted)





_cons

|

-.6765673

.2411891

-2.81

0.005

-1.149886

-.2032487

-------------+----------------------------------------------------------------

sigma_u | .07437296

sigma_e | .06435643

rho | .57182745 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(483, 960) = 2.81 Prob > F = 0.0000

. estimates store FEM_A


. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (484) = 2.7e+08

Prob>chi2 = 0.0000


. xtserial ROA CS_CBTT HDQT KTGD TVDL SHQT QMCT DBTC CTKT SGDCK


Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 483) = 4.926

Prob > F = 0.0269


. hausman FEM_A REM_A


---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| FEM_A REM_A Difference S.E.

-------------+----------------------------------------------------------------

CS_CBTT

|

.0000689

.001453

-.0013841

.0003806

HDQT

|

.0032083

.0009525

.0022558

.0015991

KTGD

|

-.017416

-.0082431

-.0091729

.0072324

TVDL

|

.000454

-.0005349

.0009889

.0032648

SHQT

|

.0000512

.00019

-.0001388

.0002202

QMCT

|

.0287701

.0034494

.0253207

.0086548

DBTC

|

-.1542856

-.1231889

-.0310967

.0260786

CTKT

|

-.0112302

-.006865

-.0043651

.0136109

------------------------------------------------------------------------------

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 21.20

Prob>chi2 = 0.0066


. ivregress 2sls ROA ( CS_CBTT=l.CS_CBTT TVDL QMCT) HDQT KTGD SHQT DBTC CTKT SGDCK,

vce(robust)


Instrumental variables (2SLS) regression

Number of obs

=

968


Wald chi2(7)

=

166.00


Prob > chi2

=

0.0000


R-squared

=

0.1173


Root MSE

=

.08799

------------------------------------------------------------------------------

| Robust

ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

.0027197

.0008002

3.40

0.001

.0011514

.0042881

HDQT

|

.0010308

.001871

0.55

0.582

-.0026362

.0046978

KTGD

|

-.0064288

.0084715

-0.76

0.448

-.0230328

.0101751

SHQT

|

.0002242

.0001204

1.86

0.063

-.0000117

.00046

DBTC

|

-.1117455

.0125505

-8.90

0.000

-.1363439

-.087147

CTKT

|

-.0012308

.0080368

-0.15

0.878

-.0169826

.014521

SGDCK

|

.0116214

.0052133

2.23

0.026

.0014035

.0218393

_cons

|

-.0791241

.048681

-1.63

0.104

-.1745372

.0162889

------------------------------------------------------------------------------

Instrumented: CS_CBTT

Instruments: HDQT KTGD SHQT DBTC CTKT SGDCK L.CS_CBTT TVDL QMCT

. estat endogenous Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1) = .037923 (p = 0.8456) Robust regression F(1,959) = .037649 (p = 0.8462)


. estat overid


Test of overidentifying restrictions:



Score chi2(2) = .591955 (p

= 0.7438)

. estimates store SLS_A


. ivregress gmm ROA ( CS_CBTT=l.CS_CBTT

TVDL QMCT)

HDQT KTGD SHQT DBTC

CTKT SGDCK

Instrumental variables (GMM) regression


Number of obs =

968



Wald chi2(7) =

167.11



Prob > chi2 =

0.0000



R-squared =

0.1171

GMM weight matrix: Robust


Root MSE =

.088


------------------------------------------------------------------------------

|

ROA |


Coef.

Robust

Std. Err.


z


P>|z|


[95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

|

.002819

.0007483

3.77

0.000

.0013523

.0042856

HDQT

|

.0007069

.0018193

0.39

0.698

-.0028588

.0042726

KTGD

|

-.0058822

.007201

-0.82

0.414

-.0199958

.0082315

SHQT

|

.0002285

.0001144

2.00

0.046

4.39e-06

.0004527

DBTC

|

-.1093649

.0119843

-9.13

0.000

-.1328536

-.0858761

CTKT

|

-.0016312

.0072387

-0.23

0.822

-.0158188

.0125564

SGDCK

|

.0108541

.0050448

2.15

0.031

.0009665

.0207417

_cons

|

-.0844453

.0455542

-1.85

0.064

-.1737299

.0048392

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