Trang chủ / Chứng Khoán

Kết Quả Hồi Quy Từ Phần Mềm Stata


91. Marozva, G., (2019). ‘Liquidity and stock returns: New evidence from Johannesburg Stock Exchange’. The Journal of Developing Areas, 53(2).

92. Marsh, P., (1982). ‘The choice between equity and debt: An empirical study’.

The Journal of Finance, 37(1), pp.121-144.

93. Marshall, B.R. và Young, M., (2003). ‘Liquidity and stock returns in pure order-driven markets: Evidence from the Australian stock market’. International Review of Financial Analysis, 12(2), pp.173-188.

94. Marshall, B.R., (2006). ‘Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy’. International Review of Financial Analysis, 15(1), pp.21-38.

95. Martinez, M.A., Nieto, B., Rubio, G., và Tapia, M., (2005). ‘Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market’. International Review of Economics and Finance, 14(1), pp.81-103.

96. Maug, E., (1998). ‘Large shareholders as monitors: Is there a tradeoff between liquidity and control?’. The Journal of Finance, 53(1), pp. 65-98.

97. Merton, R.C., (1987). ‘A simple model of capital market equilibrium with incomplete information’. The Journal of Finance, 42(3), 483-510.

98. Miller, M.H. và Rock, K., (1985). ‘Dividend policy under asymmetric information’. The Journal of Finance, 40(4), pp. 1031-1051.

99. Miller, M.H., (1977). ‘Debt and taxes’. The Journal of Finance, 32(2), pp. 261-275.

100. Mittoo, U.R. và Zhang, Z., (2008). ‘The capital structure of multinational corporations: Canadian versus US evidence’. Journal of Corporate Finance, 14(5), pp. 706-720.

101. Modigliani, F. và Miller, M.H., (1958). ‘The cost of capital, corporate finance and the theory of investment’. American Economic Review, 48, 261-297.

102. Modigliani, F. và Miller, M.H., (1963). ‘Corporate income taxes and the cost of capital: A correction’. The American Economic Review, 53(3), pp. 433-443.

103. Moore, W.T., (1986). ‘Asset composition, bankruptcy costs, and the firms choice of capital structure’. Quarterly Review of Economics and Business, 26(4), pp. 51- 61.

104. Myers, S.C. và Mailuf, N.S., (1984). ‘Corporate financing and investment decisions when firms have information that investors do not have’. Journal of Financial Economics, 13(2), pp.187-221.

105. Myers, S.C., (1984). ‘Determinants of corporate borrowing’. Journal of Financial Economics, 5(2), pp.147-175.


106. Myers, S.C., (1984). ‘The capital structure puzzle’. The Journal of Finance, 39(3), pp.574-592.

107. Nadarajah, S., Ali, S., Liu, B., và Huang, A., (2018). ‘Stock liquidity, corporate governance and leverage: New panel evidence’. Pacific-Basin Finance Journal, 50, pp.216-234.

108. Næs, R., Skjeltorp, J.A. và Odegaard, B.A., (2011). ‘Stock market liquidity and the business cycle’. The Journal of Finance, 66(1), pp. 139-176.

109. Nga, H.T.T và Dương, N.T., (2019). Tác động của cấu trúc vốn đến hiệu quả kinh doanh của doanh nghiệp nhỏ và vừa. Truy cập tại: http://tapchitaichinh.vn/tai-chinh-kinh-doanh/tac-dong-cua-cau-truc-von-den- hieu-qua-kinh-doanh-cua-doanh-nghiep-nho-va-vua-305337.html

110. Nguyen, T., Duong, H.N., và Singh, H., (2016). ‘Stock market liquidity and firm value: An empirical examination of the Australian market’. International Review of Finance, 16(4), pp. 639-646.

111. Ozkan, A., (2001). ‘Determinants of capital structure and adjusment to long run target: Evidence from UK company panel data’. Journal of Business Finance and Accounting, 28(1-2), pp.175-198.

112. Pagano, M. và Volpin, P., (2005). ‘The political economy of corporate governance’. American Economic Review, 95(4), pp. 1005-1030.

113. Pagano, M., Panetta, F., và Zingales, L., (1998). ‘Why do companies go public: An empirical analysis’. The Journal of Finance, 53, pp27-64.

114. Palmiter, A., (2002). ‘Mutual fund voting of portfolio shares: Why not disclose?’. Cardozo Law Review, 23, pp. 1419-1491.

115. Panno, A., (2003). ‘An empirical investigation on the determinants of capital structure: The UK and Italian experience’. Applied Financial Economics, 13(2), pp. 97-112.

116. Pastor, L. và Stambaugh, R., (2003). ‘Liquidity risk and expected stock returns’. Journal of Political Economy. 111(3), pp. 642-685.

117. Pereira, J.P. và Zhang, H.H., (2010). ‘Stock returns and the volatility of liquidity’. Journal of Financial and Quantitative Analysis, 45(4), 1077-1110.

118. Phương, Đ.T., (2012). Tính thanh khoản cổ phiếu và cấu trúc vốn của các công ty niêm yết trên Sở Giao dịch chứng khoán Thành phố Hồ Chí Minh.

119. Rajan, R.G. và Zingales, L., (1995). ‘What do we know about capital structure? Some evidence from international data’. The Journal of Finance, 50(5), pp. 1421-1460.


120. Reese Jr, W.A. và Weisbach, M.S., (2002). ‘Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings’. Journal of Financial Economics, 66(1), pp.65-104.

121. Ross, S.A., Westerfield, R., Jaffe, J.F. và Roberts, G.S., (2002). Corporate finance. New York: McGraw-Hill/Irwin.

122. Ruan, W., Tian, G. and Ma, S., (2011). ‘Managerial ownership, capital structure and firm value: Evidence from China’s civilian-run firms’. Australasian Accounting, Business and Finance Journal, 5(3), pp.73-92.

123. Salim, M. and Yadav, R., (2012). ‘Capital structure and firm performance: Evidence from Malaysian listed companies’. Procedia-Social and Behavioral Sciences, 65, pp.156-166.

124. Scott, J.H., (1977). ‘Bankruptcy, secured debt, and optimal capital structure’.

The Journal of Finance, 32(1), pp. 1-19.

125. Seifert, B. và Gonenc, H., (2012). ‘Creditor rights and R&D expenditures’.

Corporate Governance: An International Review, 20(1), pp. 3-20.

126. Servaes, H., (1991). ‘Tobin's Q and the Gains from Takeovers’. The Journal of Finance, 46(1), pp. 409-419.

127. Shleifer, A. và Wolfenzon, D., (2002). ‘Investor protection and equity markets’.

Journal of Financial Economics, 66(1), pp. 3-27.

128. Spamann, H., (2005). ‘Recoding LLSV’s law and finance’. Harvard Law School, Mimeo.

129. Stiglitz, J.E., (1975). ‘The theory of" screening," education, and the distribution of income’. The American Economic Review, 65(3), pp.283-300.

130. Stoll, H.R. và Whaley, R.E., (1983). ‘Transaction costs and the small firm effect’. Journal of Financial Economics, 12(1), pp.57-79.

131. Subrahmanyam, A. và Titman, S., (2001). ‘Feedback from stock prices to cash flows’. The Journal of Finance, 56(6), pp. 2389-2413.

132. Tesar, L.L. và Werner, (1995). ‘Home bias and high turnover’. Journal of International Money and Finance, 14(4), 467-492.

133. Thảo, Đ.P. và Huyền, Đ.T.T., (2019). Bàn về tác động của cấu trúc vốn tới hiệu quả kinh doanh. Truy cập tại: http://tapchitaichinh.vn/tai-chinh-kinh- doanh/ban-ve-tac-dong-cua-cau-truc-von-toi-hieu-qua-kinh-doanh-310075.html

134. Thies, C.F và Klock, M.S., (1992). ‘Determinants of capital structure’. Review of Financial Economics, 1(2), pp. 40-53.


135. Thuyết, N.N. and Túy, N.T.T., (2017). ‘Mối quan hệ giữa tính thanh khoản cổ phiếu, quản trị công ty và giá trị doanh nghiệp: bằng chứng thực nghiệm tại Việt Nam’. HCMCOUJS-KINH TẾ VÀ QUẢN TRỊ KINH DOANH, 12(3).

136. Titman, S. và Wessels, R., (1988). ‘The determinants of capital structure choice’, The Journal of Finance, 43, pp.1-19.

137. Tobin, J., (1969). ‘A general equilibrium approach to monetary theory’. Journal of Money, Credit and Banking, 1(1), pp. 15-29.

138. Tran, L.T.H., Hoang, T.T.P. và Tran, H.X., (2018). ‘Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market’. Emerging Markets Review, 37, pp.114-133.

139. Udomsirikuk, P., Jumreornvong, S. và Jiraporn, P., (2011). ‘Liquidity and capital structure: The case of Thailand’. Journal of Multinational Financial Management, 21(2), pp.106-117.

140. Vafeas, N. và Vlittis, A., (2019). ‘Board executive committees, board decisions, and firm value’. Journal of Corporate Finance, 58, pp.43-63.

141. Van der Wijst, N. và Thurik, R., (1993). ‘Determinants of small firm debt ratios: An analysis of retail panel data’. Small Business Economics, 5(1), pp. 55-65.

142. Vig, V., (2013). ‘Access to collateral and corporate debt structure: Evidence from a natural experiment’. Journal of Finance, 68(3), pp.881-928.

143. Vinh, V.X. and Duyên, T.T.Y., (2017). ‘Thanh khoản cổ phiếu và cấu trúc vốn doanh nghiệp: Nghiên cứu thực nghiệm trên thị trường chứng khoán Việt Nam’. Tạp chí Nghiên cứu Kinh tế, 443(4), pp.33-42.

144. Vo, X.V. and Ellis, C., (2017). ‘An empirical investigation of capital structure and firm value in Vietnam’. Finance Research Letters, 22, pp.90-94.

145. Wald, J.K., (1999). ‘How firm characteristics affect capital structure: An international comparison’. Journal of Financial Research, 22(2), pp. 161-187.

146. Wanzenried, G., (2006). ‘Capital structure dynamics in the UK and continental Europe’. The European Journal of Finance, 12(8), pp. 693-716.

147. Warner, J.B., (1977). ‘Bankruptcy costs: Some evidence’. The Journal of Finance, 32(2), pp.337-347.


PHỤ LỤC 1: KẾT QUẢ HỒI QUY TỪ PHẦN MỀM STATA

Kết quả hồi quy cột (3) Bảng 3.3


reg ret_annual zeros_local beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, cluster(firmid)

note: year_dummy1 omitted because of collinearity note: sic1 omitted because of collinearity

note: sic8 omitted because of collinearity note: sic10 omitted because of collinearity note: sic11 omitted because of collinearity


Linear regression

Number of obs

=

4,426


F(22, 584)

=

63.35


Prob > F

=

0.0000


R-squared

=

0.3091


Root MSE

=

.4867

Có thể bạn quan tâm!

Xem toàn bộ 147 trang tài liệu này.

Nghiên cứu mối quan hệ giữa lợi suất cổ phiếu và thanh khoản thị trường - trường hợp các doanh nghiệp niêm yết trên thị trường chứng khoán Việt Nam - 16


(Std. Err. adjusted for 585 clusters in firmid)

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

|

ret_annual |


Coef.

Robust

Std. Err.


t


P>|t|


[95% Conf. Interval]

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

zeros_local

|

2.72658

.4887086

5.58

0.000

1.76674

3.686421

beta

|

.0099352

.0179182

0.55

0.579

-.0252567

.0451272

ln_asset_mv

|

.0100238

.0061065

1.64

0.101

-.0019695

.0220171

lev_mv

|

-.0813543

.0347768

-2.34

0.020

-.1496571

-.0130515

profitability

|

.9351666

.1729792

5.41

0.000

.5954296

1.274904

mtb

|

.1287637

.0210759

6.11

0.000

.0873699

.1701574

year_dummy1

|

0

(omitted)





year_dummy2

|

-.7162094

.0532767

-13.44

0.000

-.8208467

-.6115721

year_dummy3

|

-.9891464

.0550171

-17.98

0.000

-1.097202

-.881091

year_dummy4

|

-.238281

.0507227

-4.70

0.000

-.3379022

-.1386598

year_dummy5

|

-.1443724

.0502966

-2.87

0.004

-.2431566

-.0455882

year_dummy6

|

-.1419717

.0499381

-2.84

0.005

-.2400519

-.0438915

year_dummy7

|

-.3993829

.051275

-7.79

0.000

-.5000888

-.2986771

year_dummy8

|

-.3648677

.0588877

-6.20

0.000

-.4805252

-.2492102

year_dummy9

|

-.3662211

.0542086

-6.76

0.000

-.4726886

-.2597535

year_dummy10

|

-.5408738

.0523189

-10.34

0.000

-.64363

-.4381177

sic1

|

0

(omitted)





sic2

|

-.0007107

.0546914

-0.01

0.990

-.1081265

.1067051

sic3

|

.089321

.0488912

1.83

0.068

-.0067031

.185345

sic4

|

.0560612

.0468351

1.20

0.232

-.0359245

.1480469

sic5

|

.0470726

.0477464

0.99

0.325

-.0467029

.1408482

sic6

|

.018627

.051575

0.36

0.718

-.0826681

.1199221

sic7

|

.0537353

.0619389

0.87

0.386

-.0679147

.1753854

sic8

|

0

(omitted)





sic9

|

.0387741

.0662537

0.59

0.559

-.0913504

.1688987

sic10

|

0

(omitted)





sic11

|

0

(omitted)





_cons

|

.064609

.0852863

0.76

0.449

-.1028962

.2321142

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


Kết quả hồi quy cột (1) Bảng 3.4


reg ret_annual l.(ln_amihud_local_yearly beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*), cluster(firmid)

note: L.year_dummy3 omitted because of collinearity note: L.year_dummy10 omitted because of collinearity note: L.sic1 omitted because of collinearity

note: L.sic8 omitted because of collinearity note: L.sic10 omitted because of collinearity note: L.sic11 omitted because of collinearity


Number of obs

=

3,877

F(21, 568)

=

77.33

Prob > F

=

0.0000

R-squared

=

0.3092

Root MSE

=

.401

Linear regression


(Std. Err. adjusted for 569 clusters in firmid)

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

|

ret_annual |


Coef.

Robust

Std. Err.


t


P>|t|


[95% Conf. Interval]

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

ln_amihud_local_yearly

|







L1.

|

.0323139

.0042597

7.59

0.000

.0239472

.0406805


|







beta

|







L1.

|

.0013633

.0091506

0.15

0.882

-.0166099

.0193366


|







ln_asset_mv

|







L1.

|

.0203964

.0076568

2.66

0.008

.0053572

.0354356


|







lev_mv

|







L1.

|

.0242126

.031976

0.76

0.449

-.038593

.0870182


|







profitability

|







L1.

|

1.254601

.1346513

9.32

0.000

.9901255

1.519076


|







mtb

|







L1.

|

-.0918898

.017215

-5.34

0.000

-.1257026

-.058077


|







year_dummy1

|







L1.

|

-.1523088

.0315727

-4.82

0.000

-.2143223

-.0902954


|







year_dummy2

|







L1.

|

-.6519631

.0334356

-19.50

0.000

-.7176356

-.5862906


|







year_dummy3

|







L1.

|

0

(omitted)






|







year_dummy4

|







L1.

|

.1595515

.0252765

6.31

0.000

.1099048

.2091982


|







year_dummy5

|







L1.

|

.2096276

.027949

7.50

0.000

.1547315

.2645237


|







year_dummy6

|







L1.

|

.022221

.0296018

0.75

0.453

-.0359212

.0803633


|







year_dummy7

|







L1.

|

.0190349

.0300683

0.63

0.527

-.0400238

.0780936


|







year_dummy8

|







L1.

|

.0716666

.0305141

2.35

0.019

.0117324

.1316008


|







year_dummy9

|







L1.

|

-.1281584

.029486

-4.35

0.000

-.1860734

-.0702434


|







year_dummy10

|







L1.

|

0

(omitted)






|







sic1

|







L1.

|

0

(omitted)






|







sic2

|







L1.

|

-.0071729

.0537042

-0.13

0.894

-.112656

.0983102



|


sic3

|

L1.

|

-.000075

.0515352

-0.00

0.999

-.1012978

.1011479


|







sic4

|







L1.

|

.0309245

.0484376

0.64

0.523

-.0642142

.1260632


|







sic5

|







L1.

|

.0543577

.048575

1.12

0.264

-.0410509

.1497664


|







sic6

|







L1.

|

-.0136013

.0523963

-0.26

0.795

-.1165155

.0893129


|







sic7

|







L1.

|

.1081863

.0586465

1.84

0.066

-.0070042

.2233768


|







sic8

|







L1.

|

0

(omitted)






|







sic9

|







L1.

|

.0414756

.0556825

0.74

0.457

-.0678931

.1508444


|







sic10

|







L1.

|

0

(omitted)






|







sic11

|







L1.

|

0

(omitted)






|







_cons

|

-.3444608

.1034235

-3.33

0.001

-.5476

-.1413215

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


Kết quả hồi quy cột (4) Bảng 3.5


xtreg ret_annual ln_amihud_local_yearly beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, fe cluster(firmid)

note: year_dummy10 omitted because of collinearity note: sic1 omitted because of collinearity

note: sic2 omitted because of collinearity note: sic3 omitted because of collinearity note: sic4 omitted because of collinearity note: sic5 omitted because of collinearity note: sic6 omitted because of collinearity note: sic7 omitted because of collinearity note: sic8 omitted because of collinearity note: sic9 omitted because of collinearity note: sic10 omitted because of collinearity note: sic11 omitted because of collinearity


Fixed-effects (within) regression

Number of obs =

4,408

Group variable: firmid

Number of groups =

582

R-sq:

within = 0.3502

Obs per group:

min =


1

between = 0.2250

avg =

7.6

overall = 0.2741

max =

10


F(15,581) =

101.63

corr(u_i, Xb) = -0.4849

Prob > F =

0.0000


(Std. Err. adjusted for 582 clusters in firmid)

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

| Robust

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

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

ln_amihud_local_yearly | .0479868 .0095931 5.00 0.000 .0291454 .0668282

beta | .0087863 .019635 0.45 0.655 -.0297779 .0473505

ln_asset_mv | .0941438 .0312139 3.02 0.003 .032838 .1554496

lev_mv | -.4734975 .0850253 -5.57 0.000 -.6404919 -.3065031

profitability | 1.600834 .206421 7.76 0.000 1.195411 2.006256

mtb | .1632888 .0357703 4.56 0.000 .0930339 .2335438

year_dummy1 | .4682417 .0550515 8.51 0.000 .3601176 .5763659

year_dummy2 | -.2112623 .0402064 -5.25 0.000 -.29023 -.1322946

year_dummy3 | -.4549281 .0354663 -12.83 0.000 -.5245859 -.3852702

year_dummy4 | .3115578 .0320871 9.71 0.000 .248537 .3745786

year_dummy5 | .4011969 .0284686 14.09 0.000 .345283 .4571108

year_dummy6 | .368286 .0281396 13.09 0.000 .3130182 .4235538

year_dummy7 | .1174164 .0269397 4.36 0.000 .0645053 .1703276

year_dummy8 | .1556079 .0350215 4.44 0.000 .0868236 .2243921

year_dummy9 | .1709709 .0265677 6.44 0.000 .1187905 .2231513

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -1.428773 .2964241 -4.82 0.000 -2.010966 -.8465796

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

sigma_u | .32004074

sigma_e | .47028677

rho | .31652481 (fraction of variance due to u_i)

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

Xem toàn bộ nội dung bài viết ᛨ

..... Xem trang tiếp theo?
⇦ Trang trước - Trang tiếp theo ⇨

Ngày đăng: 13/02/2023