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Tác động của các nhân tố nội tại tới dự báo khả năng sinh lời của các doanh nghiệp chế biến thực phẩm niêm yết trên thị trường chứng khoán Việt Nam - 22


overall = 0.4666 max = 53

F(6,43) = 67.19

corr(u_i, Xb) = -0.1497 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ACCR

0.3188267

0.118073

2.7

0.010

0.08071

0.556944

TAGR

0.1277691

0.047396

2.7

0.010

0.032187

0.223351

D

-0.0523909

0.042692

-1.23

0.226

-0.13849

0.033705

NWC

0.0491089

0.004177

11.76

0.000

0.040685

0.057533

lnTA

-0.0013519

0.00698

-0.19

0.847

-0.01543

0.012725

entropy

0.0054392

0.022442

0.24

0.810

-0.03982

0.050698

_cons

0.0249831

0.096894

0.26

0.798

-0.17042

0.220388

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Tác động của các nhân tố nội tại tới dự báo khả năng sinh lời của các doanh nghiệp chế biến thực phẩm niêm yết trên thị trường chứng khoán Việt Nam - 22

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

sigma_u | .0296402

sigma_e | .11632027

rho | .06097196 (fraction of variance due to u_i)

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


k = 1

xtreg F.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,682

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.3545 min = 6

between = 0.1004 avg = 38.2

overall = 0.2429 max = 52

F(7,43) = 77.39

corr(u_i, Xb) = -0.4307 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

-0.69965

0.231387

-3.02

0.004

-1.16629

-0.23302

ACCR

0.033508

0.024925

1.34

0.186

-0.01676

0.083773

TAGR

0.05905

0.016609

3.56

0.001

0.025556

0.092545

D

-0.0373

0.054272

-0.69

0.496

-0.14675

0.072152

NWC

0.032647

0.019003

1.72

0.093

-0.00568

0.07097

lnTA

-0.02843

0.009959

-2.85

0.007

-0.04852

-0.00835

entropy

-0.0922

0.1215

-0.76

0.452

-0.33723

0.15283

_cons

0.446489

0.1413

3.16

0.003

0.161531

0.731448

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

sigma_u | .06639446

sigma_e | .13143526

rho | .20329904 (fraction of variance due to u_i)

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


k = 2

xtreg F2.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,637

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.2350 min = 5

between = 0.1809 avg = 37.2

overall = 0.2240 max = 51

F(7,43) = 172.19

corr(u_i, Xb) = -0.1780 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

0.356611

0.031549

11.3

0

0.292986

0.420235


ACCR

0.003988

0.019457

0.2

0.839

-0.03525

0.043228

TAGR

0.019881

0.038082

0.52

0.604

-0.05692

0.096681

D

0.03493

0.047773

0.73

0.469

-0.06141

0.131273

NWC

0.038742

0.006517

5.94

0.000

0.025599

0.051886

lnTA

-0.01483

0.005486

-2.7

0.01

-0.02589

-0.00377

entropy

0.042593

0.054912

0.78

0.442

-0.06815

0.153334

_cons

0.205243

0.073476

2.79

0.008

0.057063

0.353422

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

sigma_u | .03109944

sigma_e | .1449093

rho | .04403081 (fraction of variance due to u_i)

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


k = 3

xtreg F3.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,593

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.0512 min = 4

between = 0.0606 avg = 36.2

overall = 0.0115 max = 50

F(7,43) = 3.90

corr(u_i, Xb) = -0.6993 Prob > F = 0.0023

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

-0.311

0.329633

-0.94

0.351

-0.97577

0.353768

ACCR

-0.0476

0.042925

-1.11

0.274

-0.13416

0.03897

TAGR

-0.06007

0.03768

-1.59

0.118

-0.13606

0.015919


D

0.018208

0.039537

0.46

0.647

-0.06152

0.097941

NWC

0.039328

0.04805

0.82

0.418

-0.05757

0.13623

lnTA

-0.02895

0.01191

-2.43

0.019

-0.05297

-0.00494

entropy

-0.05661

0.053544

-1.06

0.296

-0.16459

0.051368

_cons

0.43693

0.16348

2.67

0.011

0.107242

0.766619

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

sigma_u | .06184075

sigma_e | .16321844

rho | .12553212 (fraction of variance due to u_i)

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


k = 4

xtreg F4.ROE ROE ACCR TAGR D NWC lnTA entropy, fe vce(cluster IDCode) Fixed-effects (within) regression Number of obs = 1,549

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.0085 min = 3

between = 0.0000 avg = 35.2

overall = 0.0014 max = 49

F(7,43) = 6.01

corr(u_i, Xb) = -0.6555 Prob > F = 0.0001

(Std. Err. adjusted for 44 clusters in IDCode)



Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

ROE

-0.01928

0.063711

-0.3

0.764

-0.14777

0.109204

ACCR

0.018879

0.03154

0.6

0.553

-0.04473

0.082486

TAGR

-0.01786

0.016677

-1.07

0.29

-0.05149

0.015774

D

0.104893

0.058

1.81

0.078

-0.01208

0.221862

NWC

-0.02543

0.012609

-2.02

0.05

-0.05086

-3.87E-06


lnTA

-0.02159

0.008188

-2.64

0.012

-0.03811

-0.00508

entropy

0.021513

0.023276

0.92

0.361

-0.02543

0.068453

_cons

0.332678

0.112387

2.96

0.005

0.106028

0.559329

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

sigma_u | .04330534

sigma_e | .1689151

rho | .06167368 (fraction of variance due to u_i)

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


PHỤ LỤC 2


Kết quả kiểm định các mô hình tác động dài hạn tới khả năng sinh lời.

B1. Mô hình ROA

ROAi,t+k = α + β’1×ROAi,t + β’2×ACCRi,t + β’3×TAGRi,t + β’4×Di,t + β’5×NWCi,t +

β’6×lnTAi,t + β’7×DIVi,t + uit

k = 1

Fixed-effects (within) regression Number of obs = 416

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.2340 min = 3

between = 0.0009 avg = 9.5

overall = 0.0283 max = 13

F(19,43) = 22.14

corr(u_i, Xb) = -0.5442 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)

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

| Robust

ROA(t+1) | Coef. Std. Err. t P>|t| [95% Conf. Interval]

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


ROA** | .1307444

.0637778

2.05

0.046

.0021243

.2593645

ACCR* | -.055225

.0307763

-1.79

0.080

-.1172913

.0068413

TAGR | -.0022586

.0014122

-1.60

0.117

-.0051066

.0005893

D*** | .0045415 .0011699 3.88 0.000 .0021822 .0069008

NWC** | .0637668 .027059 2.36 0.023 .0091973 .1183364

lnTA*** | -.0379715 .0126658 -3.00 0.005 -.0635145 -.0124285

Div*** | -.0006338 .0001145 -5.53 0.000 -.0008647 -.0004028

t |


2005

|

.0119538

.0303775

0.39

0.696

-.0493082

.0732157

2006

|

.0457228

.0309056

1.48

0.146

-.0166043

.1080499

2007

|

.0242624

.0422089

0.57

0.568

-.06086

.1093849

2008

|

.054545

.0406692

1.34

0.187

-.0274722

.1365622

2009

|

.0593995

.0422471

1.41

0.167

-.0257998

.1445989

2010

|

.0685791

.0424169

1.62

0.113

-.0169628

.154121

2011

|

.0320826

.0414636

0.77

0.443

-.0515367

.1157019

2012

|

.0227599

.0455964

0.50

0.620

-.069194

.1147139

2013

|

.035534

.0423396

0.84

0.406

-.049852

.12092

2014

|

.0696717

.0449762

1.55

0.129

-.0210313

.1603748


2015 |

.0479381

.0461123

1.04

0.304

-.0450562

.1409324

2016 |

.0488578

.0466688

1.05

0.301

-.0452589

.1429745

_cons |

.5172814

.1576004

3.28

0.002

.19945

.8351128

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

sigma_u | .08885061

sigma_e | .0643936

rho | .65563098 (fraction of variance due to u_i)

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

k = 2

Fixed-effects (within) regression Number of obs = 372

Group variable: IDCode Number of groups = 44

R-sq: Obs per group:

within = 0.1550 min = 2

between = 0.3994 avg = 8.5

overall = 0.0024 max = 12

F(18,43) = 36.67

corr(u_i, Xb) = -0.4204 Prob > F = 0.0000

(Std. Err. adjusted for 44 clusters in IDCode)

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

| Robust

ROA(t+2) | Coef. Std. Err. t P>|t| [95% Conf. Interval]

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


ROA* | -.1217019 .0707517

-1.72 0.093 -.2643863 .0209825

ACCR* | .0394552 .0199174

1.98 0.054 -.0007121

.0796225

TAGR* | .001518 .0007923

1.92 0.062 -.0000799

.0031158

D** | .0066335 .0031299

2.12 0.040 .0003215

.0129455

NWC | .0348638 .0360583

0.97 0.339 -.0378548

.1075824

lnTA | -.0068281 .0065726

-1.04 0.305 -.020083

.0064267

Div*| -.0001846 .0001032 -1.79 0.081 -.0003927 .0000234

t |


2005

|

.0432553

.0302266

1.43

0.160

-.0177025

.1042131

2006

|

-.0091702

.0456572

-0.20

0.842

-.1012467

.0829063

2007

|

.0349735

.0513718

0.68

0.500

-.0686276

.1385746

2008

|

.0460968

.0522917

0.88

0.383

-.0593596

.1515531


2009

|

.0470624

.051074

0.92

0.362

-.0559382

.150063

2010

|

.0006758

.0508776

0.01

0.989

-.1019287

.1032803

2011

|

-.010096

.0523498

-0.19

0.848

-.1156695

.0954775

2012

|

.0013311

.0511254

0.03

0.979

-.1017731

.1044353

2013

|

.0230688

.0510993

0.45

0.654

-.0799826

.1261203

2014

|

.0006969

.0510961

0.01

0.989

-.1023481

.1037419

2015

|

|

.0016412

.050498

0.03

0.974

-.1001977

.1034802

_cons

|

.1482613

.1032729

1.44

0.158

-.0600083

.3565309

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

sigma_u | .08084992

sigma_e | .06229174

rho | .62750583 (fraction of variance due to u_i)

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

k = 3


Fixed-effects (within) regression

Number of obs =

328

Group variable: IDCode

Number of groups =

44


R-sq:


Obs per group:


within = 0.1265

min =

1

between = 0.0175

avg =

7.5

overall = 0.0142

max =

11


corr(u_i, Xb) = -0.2011

F(17,43) = 64.40

Prob > F =


0.0000

(Std. Err. adjusted for 44 clusters in IDCode)

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

| Robust

ROA(t+3) | Coef. Std. Err. t P>|t| [95% Conf. Interval]

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

ROA | -.0058142 .0933591 -0.06 0.951 -.1940909 .1824624

ACCR*** | -.0337571 .0119426 -2.83 0.007 -.0578416 -.0096725

TAGR | -.0005946 .00084 -0.71 0.483 -.0022886 .0010995

D | .00259 .0034989 0.74 0.463 -.0044662 .0096461

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