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DNG TIN V NHNG IU CHNH N BY Cc nghin cu gn y nhn mnh tc ng ca chi ph giao dch n vic iu chnh n by ca cng ty.

. Nhm tc gi nhn ra rng dng tin thc c th em n nhng c hi iu chnh n by vi chi ph cn bin tng i thp. Bn cnh , h nhn ra rng cc c tnh ca dng tin khng ch tc ng n mc tiu n by m cn nh hng n tc iu chnh n. Tnh khng ng nht trong tc iu chnh l do tc ng ca yu t kinh t: Chi ph iu chnh. iu ny lm cho tc iu chnh nhanh hn ang k so vi nhng c tnh ca ti liu trc y. Nhm tc gi cng phn tch cc hn ch ti chnh v bin thi gian nh hng nh th no ti vic iu chnh hng ti mc tiu n by. 1. Gii thiu: C phi cc cng ty u s dng n by mc tiu hay khng? Cch nhanh nht cc cng ty tip cn vi mc tiu ny l g? Cch iu chnh nhng mc tiu ny nh th no? Nhng tr ngi t c mc tiu ? Nhm tc gi khng phi l nhng ngi u tin t ra nhng cu hi ny v cc nghin cu trc y c s tranh ci a ra cu tr li mt cch chnh xc. Nhng nghin cu gn y bao gm Leary v Roberts (2005), Flannery v Rangan (2006), Huang v Ritter (2009), v Frank v Goyal (2009). Hu ht cc nghin cu trong lnh vc ny ngoi tr nghin cu ca Welch(2004) kt lun rng cc cng ty u a ra mc tiu nhng tc t c mc tiu ny l rt chm. iu ny chuyn hng cho cc nghin cu l tm ngun ti liu c lin quan n chi ph iu chnh. V d, Fisher, Heinkel, v Zechner (1989) lp lun rng cc cng ty ch iu chnh n by khi li ch em li b p nhiu hn chi ph trong vic gim lch so n by mc tiu. Altinkilic v Hansen (2000) c tnh chi ph pht hnh chng khon v nhng tc gi khc xy dng m hnh o lng tc ng ca chi ph giao dch n m hnh n by c quan st (v d, Strebulaev, 2007;

Shivdasani v Stefanescu, 2010; Korajczyk v Levy, 2003). Leary v Roberts (2005) tm ra mc iu chnh n by ti u khi cc thnh phn cu thnh chi ph giao dch l c nh hoc bin i. V nhng l do khc nhau nn chi ph iu chnh n by khng ch ph thuc vo chi ph giao dch m cn ph thuc vo ng thi ca cng ty trong vic tip cn th trng vn. Cc c hi u t sinh li s thc y mt s cng ty huy ng vn t bn ngoi v mc n by c th c iu chnh bng vic la chn gia vic pht hnh n hoc vn c phn. Cc cng ty (c kh nng to ra lng tin mt ln, n nh, li nhun bin cao ) lun to ra lng tin mt vt qu gi tr nhng c hi u t sinh li v c th chi tr lng tin mt ny cho c ng. Mc n by c th thay i bng cch tr li n hoc mua li c phn hoc thanh ton c tc. Trong ngn hn, mt phn no ca vic tip cn th trng vn c th c s dng iu chnh mc n by theo theo mong mun ca cng ty. Dng tin thc ca mt cng ty c th nh hng mt cch ng k n chi ph iu chnh n by, cho d cng ty c ti tr v phn phi vn t bn ngoi. Cc cng ty khng c ti tr vn t bn ngoi phi i mt vi chi ph iu chnh cao hn. Hai v d minh ha di y cho thy nh hng ca chi ph iu chnh v dng tin n iu chnh n by quan st. u tin, hy xem xt mt cng ty vi t l n by mc tiu khng i v chi ph tip cn th trng vn bn ngoi cao. Lc ban u cng ty c mc n by thp hn mc mc tiu (ti u) v tin hnh thu hp chnh lch t c mc tiu ny. Trong nm u, dng tin thc gn nh bng khng v c rt t c hi u t. Trong cc nm tip theo, dng tin thp so vi s tin cn thit ti tr cho tt c cc c hi u t c gi tr. Nu tip cn th trng vn bn ngoi i hi chi ph giao dch th cng ty c nhiu kh nng iu chnh n by trong nm th hai. Tuy nhin, chi ph tip cn th trng l khng thay i gia hai nm. Th hai, hy xem xt hai cng ty, c hai u l s dng n thp v u mun t c n

by mc tiu. Cng ty A c chi ph tip cn th trng vn bn ngoi thp, nhng him khi s dng ngun vn bn ngoi ny bi v dng tin hot ng ca n ti tr cho cc c hi u t c gi tr. iu chnh n by ca cng ty A s l mt bc'' c bit'' tip cn n th trng vn v cc chi ph lin quan s c b p bi nhng li ch t n n by mc tiu. Cng ty B c chi ph tip cn th trng cao hn so vi cng ty A, nhng dng tin hot ng khng n nh. Trong mt s nm, c hi u t cng ty B c ti tr t vn t bn ngoi rt cao. Trong mt s nm tip theo, Cng ty B c dng tin mt kh ln phn phi cho cc c ng mt cch tt nht. Khi giao dch trn th trng vn, cng ty c th ng thi iu chnh n by ca mnh vi chi ph cn bin tng i thp. Chng ta c th thy rng mc d cng ty B iu chnh c cu vn ca mnh thng xuyn hn cng ty A nhng chi ph iu chnh ca n vn cao hn. C hai v d cho thy tnh hnh lu chuyn tin mt ca mt cng ty c th nh hng ng k n vic mong mun t c t l n by mc tiu, nu nh cng ty thc s quan tm n iu ny. Thm vo vai tr ca cc thnh phn cu thnh nn dng tin c th nh hng n t l n by mc tiu. Mt s nghin cu trc y iu tra tc ng ca cc chi ph iu chnh i din cho n by mc tiu hoc la chn chng khon pht hnh (v d, Hovakimian, Opler, v Titman nm 2001; Korajczyk v Levy, nm 2003; Leary v Roberts, 2005). Tuy nhin, nhm tc gi l ngi u tin a ra mi tng tc gia o lng tc iu chnh vi dng tin v t nh gi tc ng ca chi ph giao dch v nhu cu dng tin trong vic iu chnh ca cng ty theo hng n mc tiu.1 Vic tnh ton dng tin thc ca mt cng ty a ra cch gii thch khc vi ti liu nghin cu trc y. Nhm tc gi c tnh rng cc cng ty c dng tin
1

Gi nh ny phn nh thc t rng mt vi nh nghin cu c tnh m hnh cu trc vn vi quyt nh u t ni b. Trng hp ngoi l bao gm Brennan v Schwartz (1984), Whited v Hennessy (2005), Titman v Tsyplakov (2007), v DeAngelo, DeAngelo, v Whited (2011).

thc gn bng khng th c chnh lch gia t l n by thc t v mc tiu xp x 23-26% mi nm. Tc iu chnh ny tng t nh nhng bo co trc y trong cc nghin cu (v d, Lemmon, Roberts, v Zender, 2008, Huang v Ritter, 2009). Tuy nhin, cc cng ty c dng tin vt tri c tc iu chnh lch n by ln hn 50%. Con s ny tng hn 70% nu cng ty s dng n cao. ln ca cc thng s c tnh cho thy rng dng tin thc l nhn t u tin nh hng n vic a cng ty hng n t l n by mc tiu. Bng vic a ra cch iu chnh hng n n by mc tiu v cc chi ph cn bin ca vic iu chnh, nhm tc gi cung cp bng chng thc nghim ph hp vi m hnh iu chnh cc b c s dng rng ri. Vic b qua yu t dng tin to ra hn ch o lng tc iu chnh trong m hnh iu chnh cc b. Kt qu ca nhm tc gi a phng php o lng dng tin, s kt hp ca v th tin mt thi k u ca cng ty vo tnh ton dng tin v nhng c tnh thay th ca mc n by mc tiu. Kt qu ca nhm tc gi cng tng t vi nhng bng chng gn y l vic iu chnh n by ngu nhin c th mang li kt qu thc nghim tng t nh trng thi iu chnh n by mc tiu v iu chnh cc b (v d, Chang v Dasgupta, 2009; Iliev v Welch, 2010). Chang v Dasgupta (2009, p. 1794) k t lun rng v xc nh trng thi mc tiu,'' Nhn vo t l n by l khng v thm ch c th gy hiu nhm.'' Nhng nghin cu ny p t tc iu chnh ging nhau trn tt c cc cng ty trong mu.
2

Mt trong nhng ng gp ca

nhm tc gi l xc nh cc cng ty ex ante c iu chnh n by ln hn da trn s thch n by khc bit ca h. Cc kt qu l bng chng xc nhn vic thc hin mt m hnh iu chnh cc b trong mt mi trng tinh t hn so vi cc nghin cu c tnh tc iu chnh trn cng tt c cc cng ty mu. Hn
2

Pesaran v Smith (1995) trnh by tng hp bng ng vi thay i tc iu chnh c th dn n c tnh h s khng chnh xc.

na, tc iu chnh c tnh ln s c ngha kinh t khc bit so tc iu chnh t nhng tnh ton trong m phng Chang v Dasgupta (2009). Vi bng thng k nhm tc gi nghin cu tc ng ca hn ch ti chnh v bin thi im th trng n tc iu chnh. Cc cng ty hn ch v ti chnh kh c th pht hnh chng khon hng n t l n by mc tiu (Korajczyk v Levy, 2003). Tng t nh vy, vic pht hnh hoc mua li chng khon ca cc cng ty c th tc ng bin thi im th trng hoc vic nh gi sai ti sn cng nh kh nng mong mun t c n by mc tiu. V d, mt cng ty s dng n cao v c c phiu c nh gi cao s iu chnh n by mc tiu thng qua pht hnh c phiu vi chi ph thp. Tuy nhin, khicng ty s dng n thp, nu li ch nhn c t pht hnh c phiu b nh gi sai vt qu gi tr bin ti mc n by mc tiu th cng ty s s dng n s thp hn na Nhm tc gi thy rng iu kin th trng v cc ch s hn ch ti chnh (chi ph tip cn cao) u nh hng n tc iu chnh n by. Hn ch ti chnh c nh hng ln hn so vi bin thi im th trng. Kh nng tip cn tng i ca th trng to ra s thay i ng k trong chi ph cng ty phi i mt khi tip cn iu chnh c cu vn. Mc d bin thi im th trng lm thay i bin iu chnh cu trc vn (nhng tnh ton c ngha thng k), cc bin s kinh t khng th gii thch c tc iu chnh chm c c tnh t cc mu ln Bi nghin cu ny c cu trc nh sau. Phn 2 trnh by mt s m hnh thc nghim c bn ca n by cng ty, m t cc ngun d liu, v gii thch cch tnh ton t l n by mc tiu cho mi cng ty trn nm. Minh ha mt s tnh nng ni bt ca phng php tip cn ca nhm tc gi trong phn 3, bao gm c tm quan trng ca vic phn bit gia s iu chnh n by ca cng ty s dng n cao v thp. Phn 4 gii thiu s i mi ca bi nghin cu. Nhm tc gi gii thch l do ti sao dng tin hot ng nh hng n chi ph iu chnh n by ca mt cng ty, v sa i m hnh iu chnh cc b phn nh s tng tc

gia nhu cu lu chuyn tin t v iu chnh c cu vn. Kt qu l tc iu chnh c tnh ln hn so cc nghin cu trc. Nhm tc gi kim tra tnh thit thc ca cc kt qu trong phn 5. Phn 6 m rng m hnh t phn 4 kim tra xem liu hn ch ti chnh v iu kin th trng nh hng n tc iu chnh khng. Nhm tc gi thy rng tc iu chnh khc nhau vi cc bin d liu cho v lin thi gian, h tr m hnh iu chnh cc b v iu chnh cu trc vn. Phn cui cng tm tt kt qu v tho lun v tc ng ca chng i vi l thuyt cu trc vn.

2. M hnh v d liu mc n by c bn :
M hnh tiu chun iu chnh cc b v cu trc vn ca cng ty c tnh bng mt hi quy mu3

: d n ca cng ty i ti thi im t. i ti thi im t.

: Gi tr ti sn trn s sch ca cng ty T l n

: T l n by ca cng ty i ti thi im t.

by ca cng ty i ti thi im t 1.

: T l n by mc tiu c lng ca phn trm (mi

cng ty i ti thi t 1. Cng ty in hnh trong mu chim iu chnh n by mc tiu ca cng ty

khong thi gian) gia chnh lch n by mc tiu v n by thi k u. : Tc Lu rng cng thc (1) gi nh rng vic iu chnh ca cng ty bt u t thi im t - 1. Tuy nhin b qua bt k iu chnh cu trc vn hot ng no th n by cng s thay i t khi m cng ty tuyn b thu nhp hng nm c a vo ti khon vn ch s hu. Ch ng iu chnh yu cu cc cng ty tip cn vi th trng vn bng mi cch, ngay c khi dng chi tr c tc. Tng t
3

Tham kho bi nghin cu ca Flannery v Rangan (2006), Lemmon, Roberts, v Zender (2008), v Huang v Ritter (2009).

nh vy, ch nhng iu chnh ch ng ko theo chi ph giao dch, v th vic kim nh cc m hnh iu chnh mc tiu nn tp trung vo nhng iu chnh ch ng. Nhm tc gi chnh sa cng thc (1) phn thnh mc n by ca mt cng ty gm phn b ng v phn iu chnh Trong :

tng ng vi thu nhp rng trong nm ti thi im t. Nu cc cng ty .` Do v bn tri ca cng thc (2) bng vic iu chnh ch ng ca

tham gia vo bt c hot ng th trng vn rng ti thi im t mc n by s l

cng ty hng ti thay i cu trc vn mc tiu Nhm tc gi da theo cc nh nghin cu trc y gm cc cng ty c d liu t Compustat v b sung d liu t Trung tm nghin cu gi chng khon (CRSP) tr cng ty ti chnh (phn loi tiu chun cng nghip (SIC) (6000-6999) v ( 4900-4999) trong khong thi gian 1965-2006. Bng cch s dng s kt hp d liu ca Compustat hng nm v Trung tm nghin cu gi chng khon (CRSP), nhm tc gi c tnh mt m hnh iu chnh cc b c t l vn mc tiu ty thuc vo c im cng ty theo nghin cu ca Flannery v Rangan (2006). Mc d cc nghin cu trc y s dng gi tr th trng v gi tr s sch nhng nhm tc gi tp trung vo gi tr s sch phn tch thnh nhng phn b ng v ch ng c n gin hn. 4 gim nh hng bn ngoi, tt c cc t l lt bt gi tr ( winsorized) ti phn v 1v 99. Bng 1 nh ngha tt c cc bin v trnh by thng k tm tt.

Thay th gi tr n by th trng cho gi tr s sch mang li kt qu tng t, theo nh trnh by ca hai ct u tin ca bng 2.

Hi quy (1) v (2) da vo n by mc tiu d kin

. Cc kha cnh kh khn

nht ca c tnh hoc hi quy cch c tnh xy dng n by mc tiu d kin ca cng ty. Nhiu nghin cu gn y c tnh ng thi mc n by mc tiu v tc iu chnh mc tiu, nh trong cng thc (2). L do s gii thch r rng hn trong Phn 6.1, nhm tc gi c tnh mt mc tiu u tin, sau cng thc (1) hoc (2) c th c c tnh bng cch bnh phng nh nht (OLS) vi sai s chun bootstrapped. Cc ti liu gn y nghin cu v m hnh n by cng ty tp trung hng n mc iu chnh khng hon ton l rt quan trng v nhng tc ng c nh i hi nm c s khng ng nht ca cc loi cng ty cha c quan st (Flannery v Rangan, 2006; Lemmon, Roberts, v Zender, 2008). Chng ta bt u bng cch c tnh mt m hnh iu chnh cc b ca n by cho tt c cc cng ty mu, bng cch s dng hn ch

Vi

l h s vector c tnh bng

bao gm:

Tc ng c nh ln cng ty EBIT_TA = ( Thu nhp trc hng mc c bit + Chi ph li vay + Thu thu nhp)/ Tng ti sn MB = ( Gi tr s sch ca n + Gi tr th trng ca vn c phn)/ Tng ti sn DEP_TA = Khu hao / Tng ti sn LnTA = Ln( Tng ti sn b gim theo ch s gi tiu dng la 1983) FA_TA = ( Bt ng sn, nh my v thit b rng)/Tng ti sn R&D_TA = Chi ph nghin cu v pht trin/ Tng Ti sn ( Nu khng c chi ph R&D th R&D _TA= 0) R&D_Dum = 1 Nu chi ph nghin cu v pht trin = 0

Ind_Median Leverage = T l n trung bnh ca ca cng ty trong ngnh cng nghip Fama v French(1997) Vic sp xp m hnh bng iu khin ng i hi mt s vn c tnh quan trng (Nickell, nm 1981; Baltagi, 2008), mt s k thut kinh t c thit k gii quyt. Flannery v Hankins (2011) kt lun rng h thng Blundell v tri phiu (1998) Phng php tng qut ca Moments (GMM) phng php c lng a ra c tnh y . Nhm tc gi c tnh (3) thng qua Blundell v h thng GMM Bond v tnh ton t i, t. Cng thc (1) v (2) sau c th c c tnh bng s dng OLS, vi sai s chun bootstrapped vo cc kt qu hi quy (Pagan, 1984). Kt qu c lng cng thc (3) kh tng ng vi cc c tnh trc y v o lng gi tr th trng v gi tr s sch ca n by, v khng trnh khng ngn gn. 5
Bng 1 Tm tt thng k Bng 1 trnh by trung bnh, trung v v lch chun ca cc bin . Mu c cha tt c cc cng ty Compustat c b sung d liu t Trung tm nghin cu Gi chng khon ( CRSP ) ngoi tr cc cng ty ti chnh ( phn loi theo tiu chun cng nghip (SIC) 6000-6999 ) v (SIC 4900-4999 ) , trong khong thi gian nm 1965 -2006 . Trong bng A v B, gi tr trung bnh s dng n thp v cao c a ra . Gi tr ny khng c trnh by trong bng C bi v cc bin c s dng c tnh nhng mc tiu v cc ch tiu c c tnh trn ton mu (tr khi bin Rated bao gm trong vic tnh ton nhng mc tiu, mu c gii hn sau nm 1985 ). Gi tr mc tiu s sch v th trng c c tnh s dng phng php c trnh by trong phn 2 . Book dev l gi tr s sch mc tiu tr i mc n by s sch so vi nm trc . Book active dev l n by s sch tr i mc n by s sch iu chnh c nh ngha l tng s n nm trc chia cho tng ti sn s sch nm trc cng vi thu nhp rng
5

Mc tiu c tnh t ton b thi gian mu (1965-2006) c s dng trong tt c cc kt qu bo co ca nhm tc gi, ngoi tr Bng 6 khi d liu nh gi ch c t nm 1986-2006. Nhm tc gi a ra cc bin gii thch n by mc tiu trong mt s trng hp, nhng kt qu ca chng ti l khng nhy cm vi nhng thay i . Xem Phn 5 bn di

trong nm ny . iu chnh mc n by s sch c gii hn mc hai gim hiu ng ca thu nhp thc bin . Market dev l gi tr mc tiu th trng tr mc n by th trng so vi nm trc . CF l thu nhp hot ng trc khu hao tr tng s thu tr chi ph li vay chia cho gi tr ti sn s sch nm trc tr chi ph u t ngnh cng nghip . Chi ph u t ngnh cng nghip c xc nh bng trung bnh chi u t cc ngnh cng nghip hng nm ca Fama - French chun ha bng gi tr ti sn s sch nm trc . DevLarger l mt nu khi gi tr tuyt i ca Dev hot ng s sch ln hn gi tr tuyt i ca dng tin v bng nu ngc li. Sign l mt nu cng ty s dng n cao v bng -1 nu cng ty s dng n thp . ExcessDev l DevLarger nhn vi chnh lch v gi tr tuyt i ca Bookdev tr gi tr tuyt i ca CF. Overlap. |Dev| > |CF| l DevLarger nhn vi gi tr tuyt i ca CF . Overlap , |CF| > |Dev| l ( 1 - DevLarger ) nhn vi gi tr tuyt i ca Book dev. ExcessCF l ( 1 DevLarger ) nhn vi chnh lch gia gi tr tuyt i ca dng tin tr gi tr tuyt i ca Bookdev. Baa l nng sut bnh qun Baa giai on t - 1 v t . MBDiff l gi tr th trng trn gi tr s sch cng ty tr i trung bnh gi tr th trng trn gi tr s sch cc ngnh cng nghip Fama v Php (1997). IndMB l t l trung bnh gi tr th trng trn gi tr s sch cc ngnh cng nghip Fama v French (1997). Ln(Basset ) l ln ca gi tr ti sn s sch trong cc nm trc . Rated l mt nu cng ty c xp hng tri phiu v khng nu ngc li . Div bng mt nu cng ty tr c tc trong cc nm trc v khng nu ngc li. Book Lev l tng s n trn gi tr s sch ca ti sn. EBIT_TA l thu nhp trc cc hng mc c bit cng vi chi ph li vay cng vi thu thu nhp trn tng ti sn. MB l tng gi tr s sch ca n v gi tr th trng ca vn ch s hu chia cho tng ti sn. DEP_TA l khu hao chia tng ti sn. LnTA l ln ca Tng ti sn b gim theo ch s gi tiu dng la 1983. FA_TA l tng ti sn, nh my , thit b chia tng ti sn. R & D_TA l chi ph nghin cu v pht trin chia cho tng ti sn . R & D_Dum bng mt nu chi ph nghin cu v pht trin ln hn khng v bng khng nu ngc li. Trung bnh ngnh l trung bnh mc tiu hng nm cc ngnh cng

nghip

Fama

French

1997).

Bng 2 Tc iu chnh ng c s. Bng 2 trnh by cc kt qu t phn tch hi quy trong bin ph thuc l s thay i mc n by s sch trong ct 1, s thay i mc n by th trng trong ct 2, v s thay i mc n by s sch c gii hn bng s iu chnh hot ng trong ct 3 tt c u c trnh by ti Bng 1. Sai s chun c kim nh bootstrapped tnh ton bin hi quy to ra. pValues c trnh by trong du ngoc n. ***,**,* i din cho mc ngha 1%, 5%, 10%

3. Kt qu c tnh ban u:
Bng 2 trnh by kt qu c lng m hnh hi quy c bn. Hai ct u tin th hin c tnh t cng thc (1), s dng mc n by tng ng theo gi tr s sch v gi tr th trng. n by theo gi tr s sch v gi tr th trng to ra tc iu chnh hng nm l 21,9% (22,3%). Nhng kt qu ny gn ging vi tc iu chnh c tnh trc (v d , Lemmon , Roberts, v Zender , 2008). Ph hp vi hu ht cc ti liu hin c, chng t tc iu chnh rt ging nhau gia gi tr th trng v gi tr s sch. Ct th ba ca bng 2 o lng tc iu chnh c bn s dng thc o v n by hot ng trong phng trnh (2). Tc iu chnh c tnh tng ln n 31,6% trong vic o lng iu chnh n by hot ng. Mt l do ca s gia tng ny c th l do cc cng ty trung bnh c thu nhp rng dng v s dng n thp. B qua vic iu chnh n by ch ng, cc cng ty trung bnh c xu hng s dng vn vay ngy cng thp, v vy khi mt cng ty ch ng iu chnh cu trc vn, thc o n by thay th c s dng mang li cho cng ty mt vi khon tn dng gip xa b nh hng ca thu nhp rng dng. Phn iu chnh ny khng b rng buc trong phng trnh (1).

Tc gi quan tm ti vic lu chuyn tin t nh hng n (chi ph) s iu chnh n by ch ng v hiu qu thc nghim ca vic s dng L Pi,t-1 l im khi u ca vic iu chnh n by, tc gi duy tr lp lun ny trong sut phn cn li ca bi nghin cu. iu lu th hai l phng trnh (1) loi b s i xng gia cc cng ty s dng n thp v cao. Cc nh nghin cu trc y gi nh tt c cc cng ty iu chnh t l n by mc tng t nhau, tr nghin cu ca DeAngelo, DeAngelo, v Whited (2011). Tuy nhin, chng ta c th d dng tng tng ra l do ti sao s iu chnh ti u khc bit bt i xng gia cc cng ty. 6 Ngay c khi chi ph iu chnh l bng nhau gia cc cng ty s dng n thp v cao, nhng li ch c th cng bt i xng. Cc cng ty s dng n thp t b li ch tm chn thu ca n by v kh lo lng v chi ph kit qu ti chnh. Tuy nhin, ri ro chi ph kit qu ti chnh l kh ln i vi cc cng ty s dng n cao. Khng c l do no v mt l thuyt gii thch ti sao li ch tm chn thu rng tr i chi ph kit qu ti chnh d kin phi tng xng vi t l n by ti u ca cng ty, v do khng c l do duy tr khong cch tuyt i t n by mc tiu lm ng c cng ty iu chnh. Korteweg (2010) c tnh mc di t l n by ti u ca cng ty, hm gi tr ca cng ty c mc n by gim nhiu c dc tng i thp. Ngc li, i vi cc cng ty s dng n cao, gi tr ca cng ty gim ng k khi n by tng thm.
Bng 3 Phn tch ng tc iu chnh c bn Bng 3 trnh by kt qu ca phn tch hi quy vi bin ph thuc l s thay i n by theo s sch gii hn iu chnh hot ng .Ct 1 v 3 i din cho cng ty c n by thp hn mc n by mc tiu trong khi ct 2 v 4 i din cng ty c n by cao hn mc tiu. Xc nh s bin i v mu m t th hin trong bng1 . p - Values c trnh by trong du ngoc n.
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V d , Korajczyk v Levy (2003) cung cp bng chng cho thy vic iu chnh n by cc cng ty b hn ch v khng b hn ch l khc nhau.

***, **, * ln lt l cc mc ngha thng k 1%, 5%, 10%.

Na bn tri ca Bng 3 trnh by kt qu c lng ca m hnh c bn (2) mt cch ring r i vi cng ty s dng n cao v thp. Tc iu chnh c tnh l khc nhau mt cch ng ch : 29,8% mt nm cc cng ty s dng n thp, so

vi 56,4% cng ty s dng n cao.7 Theo , kt qu ny ch ra rng cc cng ty s dng n cao c li nhun ln hn hoc chi ph thp hn khi c cc iu chnh hng n t l n by mc tiu ca h. Kt qu ny ph hp vi Hovakimian (2004), ngi pht hin ra xu hng hng ti mc tiu n by l ni bt hn cc cng ty s dng n cao. Chng ti xy dng da trn nhng pht hin ny bng cch ch ra rng s dng tin thc ca cng ty cho th gip xc nh thi im v mc gim n. Tim hiu xem khi no v bao nhiu cng ty t ti t l n by mc tiu l mt trong nhng ng gp hng u trong cng vic ca chng ti. Vi s khc bit ng k trong tc iu chnh gia cc cng ty s dng n thp v cao, tt c cc tnh ton tip theo s c tnh ring cho hai mu con ny. Nh mt li ch tng thm, chng ta s thy trong phn 6, c lng m hnh ring bit ca cc cng ty s dng n thp v cao gip lm sng t cch thc bin thi gian nh hng n s hi t hng n n by mc tiu nh th no.
Bng 4: nh ngha khc v dng tin hot ng (Eq. (4)). Bng 4 trnh by cc kt qu c tnh t cng thc 6 cho cc bin php o lng dng tin hot ng cho tng quan st trong n by ln hn hoc nh hn so vi n by mc tiu. Ct 1 v 3 thm thi gian u nm gi tin mt ca cng ty trn t s ca C trong cng thc (4). Ct 2 v 4 thm c tnh tin mt d tha trn t s ca (4). Sai s chun c cho l do bin hi quy to ra. nh ngha bin v m t mu c miu t trong bng 1. trnh by trong du ngoc n i tr p c

Mt kt qu tng t c trnh by bi Byoun (2009) , vi m hnh hi quy kim tra nhng thay i trong d n ca mt cng ty khi iu kin dng tin khc nhau. Nhng c tnh ca tc gi khc vi Byoun hai kha cnh quan trng . Th nht , tnh ton ca Byoun l i nhng thay i r rng trong vn c phn ang lu hnh, v do khng th pht hin ra nhng thay i trong n by, phn t s ca d n . Th hai, tnh ton ca tc gi s dng cc bin dng tin lin tc v lch n by mc tiu rt ra kt lun v chi ph iu chnh bin i , trong khi Byoun s dng mt bin gi th hin dng tin ca cng ty l dng hay m.

*** ** * i din cho ngha mc mt phn trm nm phn trm v mc mi phn trm tng ng.

4. nh hng ca dng tin ln chi ph iu chnh th trng

vn:
S bin i th ba v quan trng nht ca tc gi vi m hnh iu chnh cc phn chun (1) l dng tin hot ng ca mt cng ty (CF) c th nh hng n chi ph thc hin iu chnh n by. CF c hai kh nng iu chnh n by. u

tin, nhu cu p ng CF trn th trng to ra mt chi ph c hi thp iu chnh n by. Nu mt cng ty cn phi huy ng vn bn ngoi v c mc n by mc tiu, cng ty c th chn cch pht hnh n hoc vn ch s hu ty theo cng ty s dng n thp hay cao. Tng t nh vy, mt cng ty c dng tin dng cao s c xu hng phn phi qu cho nh u t, nhng n c th nh hng n n by bng cch chn n hoc vn c phn chi tr. Cc du ca dng tin khng quan trng, quan trng l gi tr tuyt i ca n. Th hai, nu cc cng ty i mt vi mt mc chi ph c nh khi tip cn cc th trng vn, h c nhiu kh nng thc hin iu chnh n by khi mt phn ca nh ph tip cn th trng l do cng ty cn phi b p cho s mt cn bng ca dng tin. Chng ti xc nh dng tin hot ng ca cng ty ( hoc thm ht ti chnh ) nh sau:

Trong : OIBDi,t l thu nhp hot ng trc khu hao, Ti,t l tng thu c n nh trn bo co thu nhp, Inti, t l li c tr, Industry_CapExt l gi tr trung bnh ca chi ph vn trong nm t ( gim do gi tr ti sn trn s sch gim) cho tt c cc cng ty Compustat trong ngnh cng nghip theo Fama v (1997) French, v Ai, t 1 l gi tr ca tng ti sn trong nm ti chnh kt thc ti t-1. Ba iu kin u tin trong (4) l gm s o lng chun mc thm ht ti chnh ca mt cng ty, bt u vi Shyam Sunder -v Myers (1999). Mt s nh nghin cu trc loi tr chi ph vn thc t t vic s dng ngun ti chnh bn ngoi ca cng ty. Thay vo , c hi u t ca cng ty c thit lp vi Industry_CapExt. Chi ph gim st ca mt cng ty phn nh c vic thit lp c hi u t ca cng ty v quyt nh tip cn th trng ti chnh. Cui cng tc gi s dng Industry_CapExt nh mt cng c tm mi tng quan vi chnh lch n by ca mt cng ty.

Nu mc tiu n by l quan trng, cng ti hi vng rng cc cng ty c gi tr tuyt i CF cao s c nhiu kh nng thc hin iu chnh n by. Theo nh c lng ban u, du ca CF khng quan trng. Xem xt mt cng ty ban u c c hi u t ln v to ra mt CF m. Nu hin gi rng ca cc c hi u t vt qu chi ph tip cn th trng ti chnh, cng ty s huy ng vn bn ngoi v thc hin cc giao dch lin quan n iu chnh n by m c th khng tn nh ph tip cn. Ngay c khi cc c hi u t khng m bo tip cn th trng, s kt hp gia li ch ca vic u t v s dng n by c th bin minh cho chi ph tip cn th trng vn. Tng t, mt cng ty c CF dng ln s xem xt phn phi nhng qu thng d ra th trng bng cch mua li c phiu hoc n, tng ng vi mc chnh lch n by. Chng ta c th tm hiu v chi ph ca vic iu chnh cu trc vn bng cch so snh ln CFi,t ca mt cng ty theo lch ca n vi n by mc tiu :

Mt cng ty c | n |

| ln hn |

| ca n s to ra vic iu chnh n by t

| vi chi ph thp do chi ph tip cn th trng c chia s gia li ch | s c thu hp ch khi chi ph cn

ca vic t ti cu trc vn mc tiu v qu / phn phi cc dng tin thc. Tuy nhin , mt chnh lch n by vt qu | bin ca cc giao dch th trng vn b sung l thp. Tr khi bin ph l 0, tc gi hy vng rng tc iu chnh ca cng ty hng ti mc tiu s nhanh hn trong khong | | n | |. | vt qu | |. Cng ty ny c nhu Tip theo, hy xem xt mt cng ty c |

cu kinh ph y (hoc d tha tin mt tr li cc c ng) t c mc tiu s dng n by bng cch chn mt cch thch hp gia cc giao dch n v chng khon. Ni cch khc, cc cng ty ng thi c th thu hp chnh lch n by v gii quyt nhu cu lu chuyn tin t ca n. Do tc gi d on rng

cc cng ty c lng tin mt ln (tuyt i) s gy ra s chuyn i ln thu hp | |. Trong trng hp khng c bin ph iu chnh, h s ny c th t | vt qu | | ban u, s la chn n s ng nht. Tuy nhin, nu cho |

gia n v vn ch s hu ca cng ty nn hng ti mc n by mc tiu, do , tc gi cho rng khng c s thay i c h thng mc n by t vic phn loi dng tin d tha. Tho lun trc quan ny chia CF v Dev thnh bn phn on:

DevLarger =1 nu |

|>|

| , nu ngc li th = 0 . u tin phn tch | v hai phn Overlap | | .Bin th t ,

lch n by thnh 3 bin : exceeds |

ExcessCF o lng nhu cu dng tin ngoi nhng yu cu thu hp lch n by hon ton . Nu cc phn on ny lin quan n nhng chi ph khc nhau ca vic iu chnh n by, chng ta nn m rng (2) thnh m hnh iu chnh bin i cc b :

Trong : Sign=1 nu l cng ty s dng n cao v = -1 nu ngc li. Cng thc ( 6 ) dng xc nh s iu chnh n by mt cch d dng.8 v o lng khuynh hng cng ty iu chnh mc n by khi tnh hnh lu chuyn tin t

Du hiu ca ti khon iu chnh trn thc t c biu hin bi cc bin ph thuc, trong khi cc bin gii thch c xy dng u l dng

gip thc hin nhng iu chnh n gin nht.9 Gi nh rng cc cng ty mun t ti t l n by mc tiu , Khi | mc tiu. Khi | | vt qu | | , nhu cu lu chuyn tin ca cng ty cho php n t phi bng : mt khi chi ph c nh ca vic | bng vi c n by mc tiu. Vi bin ph giao dch bng 0 , tip cn th trng bn ngoi pht sinh , cc cng ty nn thu h p | thu hp | |. < v giao dch nhm mc ch duy s l mt s nh: mt cng ty vi | em li li ch t hn. | vt qu | v kh ln : | c th dng iu chnh n by t | , tt c cc |

CF- cc qu c lin quan hoc thc hin cc giao dch nhm mc ch duy nht l Tuy nhin , bin ph dng s lm cho nht l thu hp | Excess |

| c th t c n by mc tiu trong qu trnh p ng nhu cu CF

, giao dch nhiu hn cho php mc n by khng b nh hng. Tm li, tc gi cho rng V d, xem xt mt cng ty s dng n thp bng 5% (lagged) tng ti sn v c mc thm ht dng tin tng ng vi 8% tng ti sn. M hnh iu chnh cc b d on rng nm im phn trm u tin ca thm ht dng tin (tng ng vi gi tr ca bin trong (6)) s tng ln theo cc mc n, dn ti = 1. V 3% cn li ca mc thm ht dng tin? Gi nh rng cc cng ty nhn thy s tn km thanh l ti sn hn huy ng vn v khng c kh nng thanh ton ni b, cng ty s tng thm 3% ti sn theo t l n by mc tiu ca n. V d, nu t l n by mc tiu ca cng ty l 40% v pht hnh n ban u (5%) t c mc n by, 1,2 im phn trm ca 3% cn li ca nhu cu ti chnh
9

Cc cng ty c DevLarger = 0 s c xu hng tin gn n n by mc tiu ca h hn so vi cc cng ty c DevLarger = 1 . V vy , chng ti d on ( 1 cch m h) rng .

s tng ln t n v 1,8 im phn trm khc tng t vn ch s hu. Kt qu, tc gi a ra gi thuyt rng CF bin ny s lm cho mc n by khng b nh hng, trn trung bnh. H s s gn bng 0. By gi, o ngc nhng con s trong v d: cho cng ty s dng n thp bng 8% tng ti sn, vi mc thm ht dng tin bng 5% tng ti sn. Cng ty mt ln na c d on s thu hp 5% u tin ca thm ht n by bng mt pht hnh n ( = 1). V 3% cn li ca Dev? Vi mt chi ph giao dch bin cao (bin i), cc cng ty s khng lm g thu hp phn lch ny. Mt khc, vi bin ph thp, n s tng thm 3% ti sn di hnh thc n (cho rng chi ph tip cn c nh c thanh ton). Vi bin ph cao hn, c d on l gn =0. Kt qu c lng ca (6) c trnh by phn bn phi ca bng 3, ring bit cho nhng cng ty s dng n thp v cao. Gi thuyt sp xp th hng ca c lng h s nm trong c hai mu. Khi dng tin ln (v gi tr tuyt i), nhng ) cng ln. Cc cng ty s dng n cao in hnh iu chnh mc n by ( ,

dnh t 69% n 90% dng tin thc ca n cho cc giao dch vn nhm thu hp khong cch gia n by thc t v n by mc tiu, so vi 27-52% ca cc cng ty s dng n thp. Trong Bng 3, nhng li ch ca vic gim s dng n by qu mc dng nh vt qu nhng li ch ca vic theo ui n by mc tiu khi cng ty s dng n by thp. Lu rng iu chnh n by l nh hn ng k i vi ExcessDev, iu ny cho thy cc giao dch th trng vn lin quan n t nht mt s bin ph giao dch. Cui cng, cc h s khng c ngha trn ExcessCF ch ra rng cc cng ty khng thay i n by theo h thng mt khi h loi b lch khi mc tiu. Bng 4 lm r cc bin xc nh CF (4) phn nh kh nng ca mt cng ty phng nga nhng nh hng ca bin ng dng tin bng cch duy tr cc ti sn c tnh thanh khon. nh ngha dng tin trong (4) b qua s d tin mt tch ly, s d ny c th tch bit dng tin thc t nhu cu phi tip cn th trng

vn bn ngoi (v d, Opler, Pinkowitz, Stulz v Williamson, 1999; Almeida, Campello, v Weisbach, 2004). Tc gi a ra hai cch tng hp s d tin mt: xem xt li cch xc nh CF (4) v c tnh (6). u tin, tin mt c thm vo t s ca (4). Kt qu c lng trong ct u tin v th ba ca Bng 4 cho thy mt vi thay i trong tc iu chnh c tnh, nhng kt qu chnh vn khng thay i trong phn bn phi ca Bng 3: cc cng ty ng mt phn quan trng trong s khc bit n by mc tiu khi chi ph iu chnh c kt hp vi vic nhm ti dng tin thc. Tc iu chnh th nh hn ng k khi chi ph iu chnh ch c b p bng nhng li ch ca vic tip cn n by mc tiu: gi thuyt cho rng = b bc b. Mt cch khc kt hp s d tin mt vi vic o lng CF l ghi nhn mt vi khon tin mt ca mt cng ty c th c dng cho duy tr tnh thanh khon. tc gi lm iu ny bng cch thay th v th tin mt thi k u ca cng ty (trong (4)) vi c lng vt qu v th tin mt, o lng tin mt thi k u ca cng ty tr mc tin mt trung bnh ngnh cng nghip thi k u theo Fama and French (nm 1997 ), theo quy m. Kt qu trong ct 2 v 4 ca Bng 4 xc nh mt cch gn ng tm ra cch s dng v th tin mt ca cng ty. Chng ti kt lun hai iu t Bng 4. Th nht, chi ph iu chnh n by th quan trng trong vic xc nh c bao nhiu cng ty iu chnh. Mt khc, dng tin thc s khng c nh hng ln nht ln phm vi iu chnh n by. Th hai, chi ph iu chnh xut hin c t nht mt thnh phn bin i. Nu cc chi ph c c nh hon ton, mt khi cng ty dng cc chi ph c nh hng ti dng tin thc, n s iu chnh tt c nhm n mc tiu ca n. iu ny s to ra h s v khng khc bit ng k vi nhau.

5. Robustness

Kt qu ca chng ti l c ngha vi cc cch o lng thay th ca n by mc tiu v s thay i ca dng tin c o lng.. BecauseKorajczyk v Levy (2003) thy rng mc n by khc nhau vi tng iu kin kinh t v m, chng ti c tnh li t l n by mc tiu vi bin gi theo nm cho php thay i chui thi gian cp kinh t v m thay i mc n by mc tiu ca cc cng ty cho nm ti chnh tng ng. S dng cc mc tiu thay th, chng ti c tnh li phng trnh (6) v trnh by kt qu trong hai ct ca bng 5 ct I. So snh kt qu vi kt qu tm thy na bn phi ca Bng 3 ch ra rng vic thay i n by theo bin ng kinh t v m nhng khng lm thay i nh hng ca dng tin thc ln tc iu chnh n by. Nhm tc gi a ra thm ba iu chnh xc nh v dng tin thc ca cng ty trong cng thc (Eq. (4)), v trnh by kt qu tng ng trong ct II, III, v IV, Bng 5. u tin, chng ti b qua s thay i trong vn lun chuyn, cng nhn rng cc ti sn v n phi tr ngn hn c th c coi nh l ngun thay th v s dng nh tin mt. Th hai, chng ti b qua vic chi tr c bng tc tin mt trong nm ti chnh trc, da trn gi nh cc cng ty xem dng c tc ca h nh l mt cam kt s dng tin mt tng t nh li vay phi tr cho ch n (Graham v Harvey, 2001). Th ba, nu cc cng ty c n o hn trong nm ti chnh hin ti, h s cn phi ti ti tr mn n o hn tr khi dng tin hot ng ca h l mnh. Khai thc th trng vn bn ngoi ti ti tr khon n hin ti cng s gim chi ph pht sinh ca mt cng ty t vic tip cn n by mc tiu. V vy, nhm tc gi b qua n ngn hn (Compustat d liu 34-n trong n ngn hn) thit lp phng php o lng th ba v dng tin thc . Kt qu l cc k thuyt phc v ph hp vi kt qu trc ca nhm tc gi. Tc iu chnh rt nhanh trn hai bin Overlap ch ra rng nhu cu CF lm gim ng k chi

ph iu chnh n by. Cc h s nh hn trn ExcessDev ph hp vi gi thuyt cho rng chi ph iu chnh n by bao gm thnh phn bin i. 10 Cui cng, chi ph iu chnh c nh s lm cc cng ty a ra quyt nh ring v vic tip cn th trng vn, thay i n by bao nhiu v iu kin tip cn nh th no. Do chng ti c tnh (6) nh mt phn ca m hnh la chon ni sinh (Heckman), trong m hnh u tin (probit) gii thch cch m cc cng ty tip cn th trng vn trong cc hnh thc thay i ln ca d n v / hoc vn c phn.11 Sau chng ti c tnh (6) ch cho cc doanh nghip tip cn th trng, v bao gm t l nghch o Mills lm bin gii thch thm. Kt qu Untabulated cho rng cc cng ty c nhiu kh nng tip cn th trng vn bn ngoi khi h c CF ln hn hoc Dev ln hn, ph hp vi s tn ti ca mt chi ph tip cn c nh. Kt qu giai on th tng t nh trnh by trong Bng 3.

6. H n ch v t i chnh v thi im th trng


Mt bi nghin cu ang ph bin cho thy kh nng khai thc th trng vn khc nhau gia cc doanh nghip v chi ph iu chnh n by c th khc nhau gia cc cng ty ti chnh b hn ch v cng ty khng b hn ch (v d, Korajczyk v Levy, 2003). V d, Faulkender v Petersen (2006) cho thy rng tham gia vo cc th trng tri phiu chnh ph cho php mt cng ty c s dng vn vay nhiu hn, c bit khi c nhng c sc trm th trng tn dng (Leary, 2009). Nh trong cc nghin cu trc y, nhm tc gi a ra hai bin php o lng hn ch ti chnh c tnh n by mc tiu ( kch thc v nh gi). Nhng kh khn ti chnh cng c th nh hng n kh nng ca mt cng ty iu chnh theo hng n by mc tiu. Tht vy, ngi ta c th xc nh mt cch tip cn th trng vn tt hn nh l chi ph thp hn hng ti n
10 11

by mc tiu. Trong khi mt s nh nghin cu ch ra rng hn ch ti chnh v iu kin th trng nh hng n s la chn pht hnh chng khon ca cc cng ty (Hovakimian, Opler, v Titman nm 2001; Korajczyk v Levy, nm 2003; Leary v Roberts, 2005), rng khng ai c th kt hp cc bin php ny c tnh tc iu chnh. By gi nhm tc gi sa i m hnh c bn bng cch kim tra c im th trng v cng ty ti chnh nh hng nh th no n tc iu chnh. Cc nh nghin cu cng kt lun rng cc iu kin th trng tm thi -''thi im th trng'' -nh hng s la chn chng khon bng nhng cch m c th nh hng vnh vin n cu trc vn ca cng ty (Baker v Wurgler, 2002; Korajczyk v Levy, nm 2003; Huang v Ritter, 2009). Nhm tc gi nhn thy rng kh hp l khi m xem xt thi im th trng nh hng n ng lc trong ngn hn ca mt cng ty thu hp chnh lch mc n by.12 V d, hy xem xt mt cng ty s dng n cao ang mun gim bt mt vi khon n ca n. Khuynh hng ny c th gia tng nu li sut tri phiu ca cng ty ang tm thi cao (lm cho gi tr n thp), nhng n c th b tr hon nu li sut ang tm thi thp. V vy, cng ty ny s c nhiu kh nng s thc hin mt s iu chnh ln hng ti n by mc tiu nh vic tng li sut tri phiu .13 Mt cng ty c s dng n cao c th ln k hoch pht hnh c phiu. Li sut tri phiu c th t tc ng n cng ty ny, nhng cng ty s sn lng pht hnh c phiu nu gi c phiu ang tm thi cao. Chi ph c hi vic nh gi sai ny s nh hng bao nhiu n vic iu chnh hng ti n by mc tiu, v nh hng n cu trc vn s vn tn ti cho n khi cng ty nhn thy ng thay i cu trc vn. Do nhm tc gi a ra gi thuyt rng tc iu chnh cu

12

Kt qu ca chng ti c da trn cc mc tiu m khng cn tnh ton bin gi nm. Tuy nhin, h mnh m n s bao gm ca bin gi nm, m nn bao hm nhiu s thay i lin thi gian trong iu kin kinh t v m 13 Graham v Harvey (2001) tm thy bng chng kho st rng Gim c ti chnh c gng pht hnh tri phiu khi li sut tng i thp

trc vn phi thch hp vi mt s bin v thi im th trng xc nh trong cc ti liu nghin cu trc y v nh hng ca mc n by.
Bng 5 trnh by kt qu c tnh t cng thc 6 mt cch ring bit cho cc cng ty c nhiu n v cc cng ty t n. Ct trnh by h s tc iu chnh cho mi bn ph p phn tch khi cc mc tiu c tnh ton vi cc bin gi nm kim sot cc iu kin kinh t v m. Ct trnh by h s iu chnh khi cc bin php o lng c bn ca dng tin t do c iu chnh bng cch tr s thay i trong vn lu ng. Ct trnh by h s iu chnh khi cc bin php o lng c bn ca dng tin t do c iu chnh bng cch tr i c tc giai on trc. Ct V trnh by h s iu chnh khi cc bin php o lng c bn ca dng tin t do c iu chnh bng cch tr n trong n ngn hn. Tt c cc b sung iu chnh u c chung c s bt u t phng php o lng dng tin c bn thi gian bt u ca ti sn s sch . nh ngha bin v m t mu c trnh by trong bng 1. p-gi tr c bo co trong du ngoc n. *** ** * i din tng ng cho ngha mc mt phn trm nm phn trm v mc mi phn trm.

6.1.

rng

h nh iu chnh c c b

dificati n t the partial

adjustment model) Kt hp tc iu chnh iu kin c lp ( state-dependent) vi mc tiu c th ca cng ty lin quan n mt s nhn t kinh t quan trng. Ban u c th xem xt c tnh mt hi quy ring bit theo cng thc (6) cho khong thi gian vi cc bin c gi tr cao v thp nh hng n tc iu chnh. Tuy nhin, nhiu c lng ca cng thc (6) tht bi trong vic p t mt m hnh ph hp ca n by mc tiu (bao gm c hiu ng cng ty c nh) trn nhng c tnh ca m hnh. Nhm tc gi c th xc nh m hnh bng iu khin c bn bng cch xc nh rng tc iu chnh cng ty th i ti thi im t ph thuc vo bin li sut, Zk,t:

Nh trn, i din cho gi tr mc tiu

c to ra t cng thc (3). Zi,t bao

gm c hai bin hn ch ti chnh'' v'' thi im th trng''. 1. Hn ch ti chnh c th s phn nh s thay i d liu cho trong chi ph v li ch ca vic iu chnh n by cng ty. V vy, nhm tc gi thy rng i vi cng mt lch t n by mc tiu v cng mt dng tin thc, cc cng ty c hn ch t v nhiu s c cu trc vn khc nhau. Nhm tc gi s dng ba bin i din cho hn ch ti chnh: Size= Ln(Basseti,t-1) Divs= 1 nu cng ty chi tr c tc trong nm t-1, ngc li th bng 0 Rated = 1 nu cng ty c xp hng tn dng, bng 0 nu ngc li Theo nh Faulkender v Wang (2006) v Almeida,Campello, v Weisbach (2004), bn cnh nhng yu t khc, kh nng tip cn vo th trng vn ca mt cng ty

thay i theo quy m (ln(basset)). Trong phm vi chi ph tip cn c nh, cng ty ln s thy rng ng chu chi ph c nh hn so vi cng ty nh hn. Ngi tr c tc c cho l khng b gii hn khi tip cn th trng vn, nu khng, h s gi li cc khon tin m h to ra ch khng chi tr c tc. Cc cng ty c xp hng s c chi ph tip cn th trng ti chnh tng i thp hn. Chng ti xem xt s khc bit trong tc iu chnh cu trc vn cho c ba bin php o lng. 2. Bin thi im th trng o iu kin th trng ti chnh c th nh hng n li ch ca doanh nghip trong vic tip cn cc th trng vn ti mt thi im c th. Nhm tc gi s dng ba i din cho bin im th trng Baa = t l Baa trung bnh khong thi gian t-1 v t IndMB= Trung bnh MB ca ngnh MBDiff = MB ca cng ty IndMB Mt t l Baa tm thi cao c th ngn cn pht hnh tri phiu mi (Graham, 1996), cng c th lm gim tc iu chnh n by cho cc doanh nghip s dng t n. Tuy nhin, t l Baa cao cng c th khuyn khch iu chnh bi cc cng ty c nhu cu loi b mt vi khon n (nh mt khon chit khu). Tng t nh vy, t l gi tr th trng trn gi tr s sch ca cng ty c lin quan ti ngnh ny c th nh hng n li sut ca cc cng ty khi tip cn th trng vn (ph hp vi Baker v Wurgler nm 2002, v nhng ngi khc), nhng hiu qu s khc nhau ty thuc vo vic cng ty lp k hoch pht hnh hoc mua li c phn hay cha. Nhm tc gi c tnh cc c im hi quy sau, ring bit cho cc cng ty c n cao v thp.

ph hp ngha v mt kinh t, bn bin lin tc (Size, Baarate, MB Diff, v IndMB) c chun ha c gi tr trung bnh bng khng v lch tiu chun l mt. iu ny cho php tnh ton n gin v tc ng ca nhng thay i trong cc gi tr Z vo tc iu chnh. Bng 6 trnh by kt qu c lng cho tng tc ca ba bin hn ch ti chnh v Bng 7 trnh by kt qu tng t cho tng tc ca ba bin v thi im th trng 6.2 Cc kt qu ca s h n ch ti chnh:( Financial constraints results) Cc cng ty s dng t n c m t trong 4 ct u tin ca bng 6 v cc cng ty s dng nhiu n c m t trong 4 ct cn li. 14 u tin, hy xem xt cc cng ty s dng t n. C s base c tnh tng ng vi 1 cng ty c Div=0, Rate=0, v (bi v cc bin c chun ha) Size ti trung bnh mu. Chng ti nhn thy rng cc doanh nghip ln iu chnh chm hn so vi nhng doanh nghip nh hn, mc d thc t l cc DN ny s c t nhy cm vi chi ph giao dch c nh. Ni nh vy tc l cc DN ln, s dng t n hng li ch thp hn t vic gia tng s dng n by. Tuy nhin, hai ch s khc ca hn ch ti chnh th dng v c ngha thng k , hm v vic iu chnh nhanh hn cc DN t b hn ch ti chnh. Mt s xp hng tri phiu lm tc iu chnh tng gp i lin quan n mt trng khp gia /Dev/ v
14

Bi v thng tin nh gi l c sn ch sau nm 1985, cc hi quy trong Bng 6 bao gm nhng ngy thng trong 1986-2006. Kt qu trong Bng 6 s dng cc i din mc tiu tnh bng cch c tnh (3) trong thi k mu 1986 2006. Cc kt qu pht hin l ging nhau nu chng ti s dng cc c tnh mc tiu da trn thi k mu y (1965-2006). Hn na, cc kt qu ca chng ti trong bng 6 v 7 khng b nh hng bi vic thm hn ch ti chnh hoc cc bin thi im th trng vo cc yu t quyt nh mc tiu n by trong (3).

/CF/.(xem hng (b) v (c)). N cng tng vi tc bng mt na tc ca ExcessDev (hng(a)). Theo d kin, Rated khng nh hng n vic iu chnh ExcessCF trong hng d, bi v cc CF ny ch c lin quan sau khi cng ty t c t l n mc tiu. Cc h s ca cc bin Div tng t cng chng t c s iu chnh nhanh hn cc cng ty t hn ch, nhng nhng nh hng c tnh khim tn hn nhiu.
B ng 6: Cc tng tc ca s hn ch ti chnh Bng 6 trnh by cc kt qu c tnh (6) ring bit cho cc DN s dng nhiu n v cc DN s dng t n. Ct Base l h s tc iu chnh cho mi php phn tch trong s 4 phn tch, trong khi mi ct khc l mt s tng tc ca mi phn tch vi bin tiu . Nhng s tng tc ny i din cho mc hn ch ti chnh ca mt doanh nghip. Mi bin tng tc lin tc c chuyn i thnh mt bin chun bnh thng trc khi tng tc. Bin tng tc c xc nh: Div=1 nu Dn tr c tc trong nm t-1 v ngc li bng 0. Size=ln(Basseti,t-1) v Rated =1 nu DN c nh hng tri phiu v =0 nu khng c. Cc nh ngha bin v m t mu c trnh by trong bng 1. P-values c trnh by trong du ngoc n. ***, ** v * ln lt i din cho mc ngha 1% 5% v 10%.

Cc kt qu tp mu con DN s dng nhiu n(na bn phi ca Bng 6) mt ln na cho thy tc iu chnh nhanh hn nhiu so vi cc DN s dng t n. Chng ti mt ln na thy rng cc doanh nghip ln iu chnh t nhng m nhanh, mc d nhng tc ng ln cc DN ny nh hn so vi cc DN t dng vn vay. Chng ti thy rng cc DN tip cn tt hn vi ngun ti chnh (Div =1,Rated=1) c s iu chnh v mt thng k v kinh t t nhng nhanh hn. Cc DN b hn ch ti chnh hnh ng mt cch nhanh chng loi b n by qu mc. V d, cc DN vi s trng khp gia dng tin v lch chun(dng (b) v (c)) iu chnh trong khong 75% n 87.8% nu cc DN ny khng chi tr c tc, c quy m trung bnh v khng c nh gi xp hng(no rating). Tuy nhin, mt c tc chi tr c lch chun so vi kch thc trung bnh v c xp hng th iu chnh hng ti mc tiu n by vi tc hng nm t 35,9% (0.878 _ 0.139 _ 0.080 _ 0.300) xung 16,3% (0.750 _ 0,287 _ 0,037 _ 0,263). S tip cn th trng ti chnh tt hn lm gim mi quan tm ca mt DN v n by qu mc. Nhn chung, nhng hn ch ti chnh thay i ng k tc iu chnh hng ti n by mc tiu mt cch rt bt i xng. Cc DN hn ch ti chnh iu chnh chm hn so vi cc DN khng b rng buc khi h s dng t vn vay, nhng nhanh hn khi h s dng vn vay nhiu. Cc hn ch v ti chnh nh hng n tc iu chnh n by rt ln n mc c th o ngc nhng kt qu thng thng (t Bng 3), dn n cc DN t s dng vn vay iu chnh chm hn so vi cc cng ty s dng nhiu vn vay. Khi dng tin trng khp vi lch n by (hng (b) v (c) trong bng 6), mt DN khng hn ch ti chnh s dng nhiu n iu chnh t hn (35,9% hay 16,3%) mt DN khng hn ch c cng quy m s dng t n (45,4% hay 46,9%). Cc kt qu bng 6 cho thy tm quan trng ca vic xc nh hn ch v ti chnh khi nghin cu iu chnh vn, v nhn mnh gi tr ca qu trnh c tnh

s iu chnh khc nhau gia cc DN s dng n nhiu v cc DN s dng n t trong cng mt mu. 6.3 Cc kt qu bin thi im th trng: Chng ti bt u cc kim tra ca mnh v vai tr ca thi im th trng vi cc doanh nghip t s dng vn vay trong bn ct u tin ca Bng 7. Nhng DN ny nn pht hnh n(tri phiu) hoc thu hi vn c phn thu hp cc chnh lch n by. Cc c tnh Base trong ct u tin ca Bng 7 tng i ging vi na bn phi ca bng 3. Ph hp vi cc gi thuyt ca chng ti, mt th trng li sut cao hn v nh gi vn cao hn lm gim tc iu chnh t l n by ca cc DN s dng t vn vay. Tuy nhin, ln ca s thay i trong tc iu chnh l nh hn so vi kt qu m chng ti c tnh vi cc nh hng ca vic hn ch ti chnh. Vic gim t l Baa ca mt lch chun(gim 11.8%) lm tng tc iu chnh ca cc DN c dng tin mt di do (hng (c)) t 35,7% n 47,5% (35,7%- 1* (- 11,8%)). i vi cc doanh nghip c dng tin thu hp khong chnh lch n by (hng (b)), s gia tng tc iu chnh l kt qu t mt khon gim lch chun trong t l Baa l 2,0%, t 27,1% n 29,1%. Tng t nh vy, gi tr ngnh cao hn lm gim tc iu chnh ca DN ang cn phi tng mc n by, nhng ln ca vic iu chnh ny l nh. Bn ct cui cng ca Bng 7 trnh by cc kt qu ca cc cng ty s dng nhiu n, nhng DN ny s gim n hoc pht hnh c phiu thu hp cc chnh lch n by. i vi cc doanh nghip ny, tc ng ca li sut cao l t, nhng khi c phn c nh gi cao lm cho n d dng iu chnh t c n by mc tiu. Khi gi tr ngnh v cng ty c nh gi cao ( lch chun trn trung bnh), tc iu chnh tng t 80,5% n 90,8% (0.805+0.016+0.087) khi dng tin khng b p thm ht n by, v t 61,1% n 73,0% (0.611+0.020+0.099) khi dng tin cho php mt DN s dng n nhiu thu hp hon ton chnh lch n by (hng (c)). Nhng t l phn trm ln v nhng

s khc bit pht sinh t s thay i trong nh gi th trng c ngha v mt thng k v mt kinh t. N cng c ngha rng cc DN ch yu tham gia vo cc giao dch lm tng vn ch s hu th nhy cm vi vic nh gi c phn hn l vic o lng n khi thu hp chnh lch n by. Tm li, cc kt qu trong Bng 7 ch yu trnh by kt qu trc quan v tc ng ca iu kin th trng ln tc iu chnh. Cc DN s dng t n iu chnh less quickly hng ti cc mc n by mc tiu cao hn khi li sut cao. Cc cng ty s dng nhiu n gii thch s gia tng ng k tc iu chnh ca h l do nh gi vn cao hn. Cc kt qu ny tm thi ph hp vi cc iu kin th trng thay th cho chi ph iu chnh cu trc vn
B 7 Cc c hi gian: Bng 7 trnh by cc kt qu c tnh (6) ring bit cho cc DN s dng nhiu v t vn vay. Ct Base l h s tc iu chnh cho mi php phn tch trong s 4 phn tch, trong khi mi ct khc l mt s tng tc ca mi phn tch vi bin tiu . Nhng s tng tc ny i din cho mc hn ch ti chnh ca mt doanh nghip. Mi bin tng tc lin tc c chuyn i thnh mt bin chun bnh thng trc khi tng tc. Bin tng tc c xc nh: Baa= t l Baa trung bnh theo nm gia nm t-1 v t, IndMB= MB( li ch cn bin) trung bnh ngnh v MBDiff= MB doanh nghip ndMB. Cc nh ngha bin v m t mu c trnh by bng 1. P-values c th hin trong ngoc. *** ** v * i din cho mc ngha 1% 5% v 10%.

7. Tm tt v kt lun:
Hu ht cc nh gi trc y v cu trc vn DN c tnh mt m hnh hi quy duy nht cho tt c cc DN, mt vi nh gi c tnh cc DN quan tm nh th no t c t l n by mc tiu. iu chnh chm cng c th phn nh s hin din ca chi ph iu chnh nh gi ca Fisher, Heinkel, v Zechner (1989), Leary v Roberts (2005), v Strebulaev (2007). Cc doanh nghi p s iu chnh mt cch ti u cu trc vn ca h ch khi li ch ca vic iu chnh l cao hoc chi ph iu chnh c bit thp. Mt s nh nghin cu chia mu thnh cc mu con gm cc DN hn ch ti chnh v cc DN khng b hn ch ti chnh phn nh s khc bit gi nh trong tc iu chnh i vi t l vn mc tiu. Cc chi ph giao dch o lng theo cch thng thng ch cung cp mt phn ca vic tnh ton, cc DN vi nhiu l do khc nhau nhm tip cn th trng vn c th iu chnh n by ca h vi chi ph cn bin tng i thp, bt k chi ph giao dch l cao hay thp. y, chng ti ch ra rng dng tin nh hng ng k n cc quyt nh ni b iu chnh n by. M hnh hi quy ca chng ti nm bt c cc tc ng ny bng cch kt hp nhng bin php o lng dng tin ca cng ty vi lch ca n t n by mc tiu. Bng cch xc nh nhng nh hng qua li ln nhau gia dng tin v lch n by, chng ti c tnh thy tc iu chnh kh ln cc cng ty ang i mt vi chi ph iu chnh n by thp. Nhng thay i hp l trong tc iu chnh c tnh h tr cho cc m hnh iu chnh cc b n by mc tiu. Cc c tnh ca chng ti chng minh rng cc doanh nghip c dng tin hot ng ln (dng hoc m) to ra nhng thay i linh hot hn trong t l vn ca doanh nghip. Ph hp vi cc gi thuyt cho rng cc chi ph tip cn th trng

vn bn ngoi nh hng quan trng ti n by c quan st, cc DN c gi tr tuyt i ca dng tin cao v ca lch n by cao thc hin iu chnh cu trc vn ln hn so vi cc DN c cng lch n by nhng c dng tin thc gn bng khng. Ni cch khc, s iu chnh n by c nhiu kh nng c thc hin khi chi ph iu chnh c '' chia s'' vi cc giao dch lin quan n dng tin hot ng ca doanh nghip. iu ny c bit ng vi cc doanh nghip s dng nhiu vn vay, nhng DN m c chnh lch t l n by khong 80% khi h ang giao dch vi mc ch lu chuyn tin t. Nhng DN s dng t vn vay thng c chnh lch t l n by khong 39%, iu ny cho thy li ch ca vic tng n by c th nh hn so vi nhng li ch t vic gim n by. S bt i xng gia cc doanh nghip s dng n nhiu v t cn c a vo nghin cu thc nghim. Chng ti nhn thy rng cc hn ch ti chnh nh hng n tc iu chnh nhm t t l n by mc tiu. Cc DN chi tr c tc hoc c mt s xp hng tn dng iu chnh nhanh hn nhiu so vi cc cng ty hn ch ti chnh khi cc DN ny s dng t vn vay, v s iu chnh ny tng i chm hn khi s dng nhiu vn vay. Tng t nh vy, cc doanh nghip ln iu chnh n by qu mc(excess leverage: d tha n by) chm hn, v cc doanh nghip ln ny c chi ph iu chnh n by qu mc nh. Chng ti cng xem xt nhng tc ng tng t ca cc bin th trng trong qu trnh iu chnh. Cc DN s dng t vn vay nn gim vn c phn, thu hp t hn(close less) chnh lch n by khi gi c phiu cao (so vi gi tr s sch). Tng t, cc DN s dng nhiu vn vay nn thu hp nhiu hn cc khong chnh lch n by khi gi c phiu cao. Tuy nhin, nhng nh hng ny t quan trng hn so vi nh hng ca hn ch ti chnh ln tc iu chnh DN. Nhn chung, kt qu thc nghim ca chng ti ph hp vi gi thuyt cn bng cu trc ngun vn: cc cng ty c cc mc tiu, v mong mun t c nhng

mc tiu vi chi ph ti u. M hnh iu chnh cc b mang li nhng kt qu hp l v mt l thuyt v cch m cc c trng ca 1 DN v iu kin th trng nh hng n vic iu chnh n by c quan st. Nhng li ch v chi ph ca vic iu chnh bin i khc nhau cc mc khc nhau ca chnh lch n by (cc DN s dng vn vay nhiu iu chnh nhanh hn), dng tin hot ng ca DN, c hi u t, kh nng tip cn cc th trng vn, v mt s yu t ca iu kin th trng. Nghin cu tip theo cn tip tc iu tra cc yu t quyt nh c bn ca chi ph v li ch t vic iu chnh trn cc loi doanh nghip khc nhau, kt hp vi cc nh hng ca dng tin thc v s khc bit gia cc doanh nghip s dng n nhiu v t.

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