Trng i Hc Kinh T Thnh Ph H Ch Minh Khoa Ti Chnh Doanh Nghip Mn: Ti chnh doanh nghip

Ch :

Chnh sch c tc v bt cn xng thng tin

Bng chng t li nhun giao dch ni b

GVHD: Trn Th Hi L Nhm thc hin_ nhm 5: 1. ng Lu Bch Phng 2. Nguyn Th Bch Phng 3. Phm Thi Diu Trang STT: 31 STT: 32 STT: 43 Lp TC2-K34

TNG QUAN
S tn ti v tc ng ca thng tin bt cn xng trong th trng ti chnh l i tng ca nghin cu m rng trong cc ti liu ti chnh. Hai trong s cc pht biu chnh trong bi nghin cu ny l (1) trong ni b doanh nghip c tn dng li th ca thng tin bt cn xng trong giao dch v (2) chnh sch c tc c lin quan n thng tin bt cn xng. Tm li, cc pht biu ny ng rng chnh sch c tc ca cng ty v li ch thng mi thc hin bi ni b cng ty c th lin quan bi v c hai u lin quan n mc bt cn xng thng tin gia ngi trong ni b cng ty v nh u t bn ngoi. Mc ch ca bi nghin cu ny l kim tra xem liu c tn ti mt mi quan h nh th v qua cung cp bng chng trc tip cho cu hi: Liu chi tr c tc c phi l mt yu t quyt nh ca tnh bt cn xng thng tin v li ch ni b qua cc cng ty? Bng cch dng cc mu nghin cu l kt qu ca cc giao dch ni b trong cc cng ty, chng ta khng nh rng chnh sch c tc v bt cn xng c mi lin h mang tnh quyt nh nhau. Th nht, cng ty chi tr c tc cng cao th bt cn xng cng thp. Th hai, vic c hay khng chi tr c tc ca mt cng ty khng nh hng bi bt cn xng thng tin. Th ba, mt s thay i trong chnh sch c tc s nh hng n bt cn xng thng tin. Th t, tt c cc bng chng thc nghim nghin cu u ph hp vi l thuyt dng tin t do.

I. Mc tiu nghin cu: Mc tiu 1: Kim tra hai cu hi. (1) C tc v li nhun ni b c lin quan khng? (2) Nu c lin quan, c im ca mi quan h ny l g? tr li nhng cu hi ny trc tin chng ta kim tra xem mc c tc tc ng li ch giao dch ni b nh th no. Nu dng tin t do, s gim st cc th ch, hoc c hai u l ng lc quan trng ng sau vic tr c tc ( trong khi cc yu t khc khng i) th cc cng ty chi tr c tc cao hn c th c li ch ni b thp hn do t xy ra bt cn xng thng tin. Qua nghin cu, chng ta s thy mi quan h ny ph hp cho "l thuyt dng tin t do" v c l thuyt th ch gim st". Mc tiu 2: Kim tra cu hi: C tc l mt yu t quyt nh i vi quyn s hu t chc? Qua nghin cu, chng ti s thy phng hng ca mi quan h gia chnh sch c tc v quyn s hu t chc khng ph hp vi "l thuyt th ch gim st". Mc tiu 3: Kim tra cu hi: C phi cc cng ty chi tr c tc c li nhun ni b thp hn so vi cc cng ty khng chi tr khng, khi tt c cc yu t khc l nh nhau? Chng ti thy rng cng ty c hay khng chi tr c tc khng phi l mt yu t quyt nh quan trng i vi li ch ni b sau khi kim sot mt s yu t lin quan n bt cn xng thng tin. Cc kt qu ch ra rng hnh ng tr c tc khng lm gim tnh bt cn xng, tri li c mt s khc bit ng k trong bt cn xng thng tin (c o lng bng li ch ni b) gia cc cng ty chi tr c tc cao v thp. Nhng kt qu ny
3

cho thy mc c tc c ngha hn l quyt nh chi tr c tc trong vic gim thiu s bt cn xng thng tin. Ni cch khc, tr c tc thp c th s khng tt hn so vi khng chi tr c tc trong vic gim tnh bt cn xng thng tin. Tuy nhin, tr c tc cao l tt hn so vi khng chi tr hoc chi tr thp. iu ny ph hp vi c "l thuyt dng tin t do" cng nh "l thuyt th ch gim st". Mc tiu 4: Kim tra cu hi: C phi nhng thay i v mc c tc c lin quan n li ch ni b? Nu tn hiu thng tin v trin vng tng lai ca mt cng ty l ng lc quan trng ng sau chnh sch c tc, th li ch ni b c l thp hn sau khi thay i chnh sch c tc. Thay i truyn t thng tin cho cc th trng, lm gim tnh bt cn xng thng tin v lm gim c hi cho ngi trong ni b t c t li th thng tin. Tm kim mt mi quan h nhn th gia cc thay i c tc v li nhun ni b s h tr cho "l thuyt tn hiu thng tin". Chng ti khng tm thy bng chng rng li ch giao dch ni b sau khi thay i c tc thng thp hn trc.

II. Phng php nghin cu S dng cc m hnh trong phng php hi qui nh: hm hi qui ng lin kt, hm kim nh cho,

III. Cc l thuyt v vai tr ca chnh sch c tc i vi th trng ti chnh v c s mu d liu: 1. Cc l thuyt v vai tr ca chnh sch c tc: Cu hi t ra l 2 pht biu m chng ta cp nh trn pht sinh trn c s no? Pht biu (1) pht sinh t quan nim c chp nhn rng ri rng trong ni b doanh nghip, vic s hu v giao dch thng da trn thng tin v gi tr ca c phiu cng ty m cc nh u t bn ngoi khng c. Nhng thng tin bt cn xng ny cung cp cho nhng ngi trong ni b cty tn dng li th ca vic nh gi khng ng c phiu ca cng ty mnh. Jaffe (1974), Finnerty (1976), Seyhun (1986), Jeng, Metrick, v
4

Zeckhauser (1999), v Lakonishok v Lee (2001) cung cp nhiu bng chng rng ngi trong ni b cng ty kim c li nhun bt thng ng k t cc giao dch c phiu cng ty mnh, mc d c lng ln ca nhng li nhun ny rt khc nhau. Cn lu rng giao dch ny nm trong ranh gii quy phm php lut do y ban Chng khon v Giao dch (SEC) thit lp v do khng phi l giao dch ni gin bt hp php. Pht biu (2) li ph hp vi ba l thuyt khc nhau v vai tr ca chnh sch c tc ti cc th trng ti chnh. L thuyt u tin l "l thuyt dng tin t do" ca c tc. L thuyt ny tp trung vo s phn chia li ch gia cc nh qun l v cc c ng v c tc nh mt c ch x l k lut lm gim cc chi ph i din kt hp vi s phn chia nh vy. Vic chi tr c tc lm gim dng tin t do, buc cc cng ty phi gia nhp th trng vn thng xuyn hn v tit l thng tin khi c gng c ngun ti tr cho cc hot ng v u t. Vic ny buc h chu gim st ca ngn hng u t, cc nh phn tch, v cc nh u t tim nng mi thng xuyn hn v phc v gim thiu cc vn i din cng nh lm gim mc bt cn xng thng tin gia cc nh qun l v nh u t. Nh vy, c tc cao hn nn c kt hp vi vic gim bt cn xng thng tin, tt c mi th khc l nh nhau. L thuyt th hai l "l thuyt th ch gim st" (theo Allen, Bernardo, v Welch (2000)). L thuyt ny da trn hai gi nh. u tin l liu cc t chc u t c hiu qu hn trong vic iu phi qun l so vi cc nh u t c nhn. Do kch thc ca cc khon u t v ngun lc gii hn ca mnh, cc nh u t c ng c ln hn trong kh nng thu thp v phn tch thng tin lin quan n vic u t ca mnh, cng nh c kh nng ln hn trong vic k lut ban qun tr v thay i nhn s khi qun l km. Gi nh th hai l nguyn nhn m t chc u t thch c tc cao hn so vi cc nh u t c nhn ch yu do nh hng thu. Nhiu t chc u t c min thu thu nhp u t khi cc thu nhp dng cho cc qu hu tr x hi, hc bng dnh cho cc trng cao ng v i hc,. Nh vy, l thuyt ny cho thy c tc cao c th gim chi ph bng cch thu ht cc t chc u t. iu ny cng lm gim mc bt cn xng thng tin. C tc cao thu ht cc t chc u t bi v u t theo t chc s hiu qu hn so vi u t c nhn trong vic thu thp v phn tch thng tin v cc cng ty h u t, mc bt cn xng thng tin
5

gia ni b cng ty v nh u t bn ngoi l thp hn i vi cc cng ty chi tr c tc cao hn. Ni cch khc, c s u t ca h tinh vi hn bnh thng. Hn na, cc nh u t t chc bit phn bit u l cng ty cht lng cao v u l cng ty cht lng thp. Cng ty cht lng cao s tr c tc cao, cng ty cht lng thp t sn sng tr c tc v nh vy, cht lng thp ca h s b tit l. Nh vy, c tc cao hn cho thy thng tin bt cn xng thp hn v cht lng cao hn. L thuyt cui cng l "l thuyt tn hiu thng tin" ca c tc. L thuyt ny cho rng c tc lm gim thng tin bt cn xng bng cch hnh ng nh mt c ch truyn tn hiu. Tc l, nu cc nh qun l ca mt cng ty bit nhiu hn v trin vng tng lai ca cng ty so vi cc nh u t bn ngoi, sau l s thay i trong c tc hoc thc t l c tc khng thay i, c th bo hiu mt s thng tin cho cc nh u t bn ngoi. C tc tng cho php cc cng ty c trin vng v nhng tin tc tt n cc nh u t bn ngoi mt cch ng tin cy. C tc gim, kt qu ca vic hot ng km, buc cc cng ty bo hiu tin xu. V khng c thay i trong c tc bo hiu trin vng ca cng ty khng thay i. Nh vy, tn hiu thng tin c tc v thay i trong chnh sch c tc c bit quan trng trong vic gim tnh bt cn xng thng tin. 2. C s d liu cho cc nghin cu: Th nht, ngun d liu giao dch ni b l h thng bo co quyn s hu, h s ca y ban Chng khon v Giao dch (SEC) thu c t Cc Lu tr v qun l h s Quc gia . B d liu c s dng tng hp tt c cc giao dch ni b ca tt c cc cng ty tin hnh cng khai bo co vi SEC t thng Ging 1982 n thng 12 nm 1995. D liu bao gm ngy ca mi giao dch, vic phn loi ca ni b, loi giao dch, v s lng c phiu giao dch. Da trn nhng thng tin c a ra trong cc tp d liu, chng ta c phn loi trong ni b nh sau: nhn vin (O), nhn vin v ch s hu hng li (OB), nhn vin v gim c (OD), nhn vin v th qu (OT), ch tch (P), Ch tch Hi ng qun tr (CB), gim c iu hnh (CEO), gim c ti chnh (CFO), gim c (D), gim c v ch s hu hng li (DO), v nhn vin, gim c v ch s hu hng li (H). Cc chc danh v m s (trong ngoc n) c cung cp bi SEC. C th thy rng li ch giao dch tn ti ch yu cc cp qun l.
6

Th hai, c ba ngun d liu khc cho nghin cu. u tin l bng in tn hng ngy ca Trung tm nghin cu Gi chng khon (CRSP), cho bit li nhun chng khon, ngy cng b c tc hng qu, v nhng thay i c tc hng qu. Th hai l Compustat, cho bit vic chi tr c tc hng nm v d liu c trng ca cng ty cho hm s tiu dng cho ca cng ty t ngun ny. Th ba l d liu trong Thng tm nm 1990 n nm 1995 t Compact Disclosure, cho bit quyn s hu t chc cp cng ty. Bng I cho thy thng k mu ca giao dch ni b. Mc A s trnh by s lng cc giao dch ni b. Bng B trnh by s lng doanh nghip. Chng ta xp hng cc cng ty do mc c tc trung bnh trong nm nm qua v phn vng mu nghin cu thnh hai na. Cc cng ty chi tr c tc cao l nhng cty chia tr c tc hn 50% li nhun , cc cng ty chia tr c tc thp l tr c tc thp hn 50% li nhun. Bng B trnh by s lng doanh nghip. Cc kt qu quan st c nh sau: S lng cc cng ty chi tr c cao v thp tc l khng bng nhau ti mc trung bnh c nhiu giao dch trong cng mt ngy i vi mt cng ty. S lng cc giao dch bn (112873) vt qu s lng giao dch mua (59.503) vi bin ng k, mc d s lng cc cng ty c c phiu ang c mua (4420) gn bng s lng cng ty c c phiu ang c bn (4514). S lng ln cc giao dch bn c ngha bi v trong ni b c nhiu l do hn bn. V d, nhiu ngi trong ni b cng ty nhn c c phiu thng qua quyn chn mua c phiu dnh cho nhn vin v sau bn cc c phiu ny trn th trng m cn bng v/hoc a dng ha danh mc u t. Nh vy,li ch ni b d thy nht trong giao dch mua ni b, khng phi trong cc giao dch bn. III. Ni dung v kt qu nghin cu 1.Quan h gia c tc, bt cn xng thng tin v li nhun ni b Trong phn ny chng ta s kim tra 2 cu hi: (1) C tc v li nhun ni b c lin quan khng? (2) Nu c lin quan, c im ca mi quan h ny l g? tr li nhng cu hi ny trc tin chng ta kim tra xem mc c tc kt hp vi li ch giao dch ni b nh th no. Nu dng tin t do, s gim st th ch, hoc c hai u l ng lc quan trng ng sau vic tr c tc th cc cng ty chi tr c tc cao hn c th c li ch ni b thp hn do t xy ra bt cn xng thng tin. Nguyn nhn c th l gii l:
7

(1) c tc cao buc nh qun l tip cn th trng vn bn ngoi thng xuyn hn, chu s cc gim st k lng ca ngn hng u t, cc nh phn tch v cc nh u t mi tim nng. (2) c tc cao hn thu ht cc t chc u t, nhng ngi c trang b tt hn thu thp v phn tch thng tin v cng ty v cho thy cht lng ca cng ty. => Kt qu lm gim mc bt cn xng thng tin, v do , gim kh nng ca ni b hng li t thng tin tt hn. A.. Chi tr c tc v li nhun ni b Bng II th hin li ch v tn tht ni b ca cc cng ty chi tr c tc cao so vi cc cng ty chi tr c tc thp. N cho thy li nhun ni b bnh qun m th trng iu chnh (li nhun chng khon thun tr i gi tr da trn ch s NYSE CRSP / AMEX / NASDAQ v lng ha vn) ngay sau ngy din ra giao dch ni b. Phm vi chng ta kim tra l 21 ngy giao dch, tng ng khong gn mt thng. Trong sut thi k mu, SEC yu cu ngi trong ni b bo co hot ng kinh doanh trong vng 10 ngy tip theo cho n ngy cui cng ca thng xy ra giao dch. Aboody v Lev (2000) tm thy trung bnh 26 ngy k t ngy giao dch n ngy SEC nhn c h s v giao dch, tc l ch di mt thng. V vy, phm vi 21 ngy giao dch th hin xp x khong thi gian ny. Trong , mc A hin th cc kt qu bng cch s dng ch s gi tr . Mc B s dng ch s cn bng. Cc kt qu thu c nh sau: Th nht, t l li nhun vt mc khi mua trong ni b cao hn khi bn. C phiu c xu hng tng so vi ch s sau giao dch mua trong ni b v gim sau giao dch bn. Th hai, s khc bit trong li nhun vt mc gia vic mua v bn trong ni b th nh hn i vi cc cng ty chi tr c tc cao . i vi phm vi 21 ngy giao dch, li nhun vt mc so vi ch s theo gi tr (ch s cn bng) gia vic mua v bn trong ni b l 1,21% (1,53%) i vi cng ty chi tr c tc cao v l 2,32% ( 3,00%) i vi cng ty chi tr c tc thp. Kt qu ng rng li th ca ngi trong ni b cng ty chi tr c tc thp nhiu hn cng ty chi tr cao. Tuy nhin cng c mt cch khc so snh li th ca ngi trong ni b cng ty chi tr c tc thp vi cng ty chi tr c tc cao l xem xt cc li ch t vic mua v bn trong ni b mt cch ring bit. C th nh sau:
8

Bng II cho thy li ch khi mua i vi ni b cng ty chi tr c tc cao th t hn i vi cng ty chi tr c tc thp. i vi phm vi 21 ngy giao dch, li nhun vt mc trung bnh trn ch s gi tr ( ch s cn bng) i vi ni b cng ty chi tr c tc cao l 0,99% (0,90%) thp hn ni b cng ty chi tr c tc thp. S khc bit ny c gi tr kim nh t l -10,36 (-9,39). Nhng kt qu ny cho thy rng sau khi mua c phiu, trong ni b cng ty chi tr c tc cao c li nhun thp hn. Ni cch khc, nhng ngi trong ni b cc cng ty chi tr c tc cao c li th thng tin t hn khi mua c phn trong chnh cng ty mnh. Tng t, so snh cc giao dch bn trong cho thy li th ca ngi trong ni b cc cng ty chi tr c tc cao t hn nhng ngi trong ni b cc cng ty c tc thp. Vic bn trong cng ty chi tr cc c tc thp cho php ni b trnh thu nhp thp hn so vi nhng ngi trong cc cng ty chi tr c tc cao. V d, bng cch s dng phm vi 21 ngy giao dch, li nhun vt mc trung bnh trn ch s gi tr (ch s cn bng) i vi ni b cc cng ty chi tr c tc cao l 0,07% (-1,01%) so vi -0,05% (-1,58%) i vi ni b cng ty chi tr c tc thp. S khc bit l 0,12% (0,57%) v gi tr kim nh t l 1,65 (8,27). Kt lun: Bt cn xng thng tin v li ch ni b t hn trong cng ty chi tr c tc thp hn. Tuy nhin, nhng kt qu thu c trong bng 2 cng c nhng hn ch: (1) cc giao dch c nhn khng c lp bi v c th c nhiu giao dch trong cng ty ti bt k thi im no; (2) cc ch s theo gi tr hoc ch s cn bng CRSP khng phi im chun thch hp o lng li nhun bt thng trong ni b; (3) vic so snh t sut c tc i vi mu gp a n mt vn v t sut c tc gim trong khong thi gian mu. khc phc cc hn ch , trong phn tip theo, chng ta s thit lp danh mc u t v s dng chng trong cc kim nh chui thi gian c tng hp nhiu giao dch v nhm giao dch theo thng. B. chi tr c tc v bt cn xng thng tin: (Kim nghim chui thi gian) B1. Thit lp ban u: Trong phn ny, chng ta s xy dng 4 danh mc u t hng thng (four equallyweighted monthly calendar-time portfolios ) bng phng php lun ca Aboody and Lev (2000).
9

i. Li nhun ca danh mc u tin, HDP, trong thng a ra c to thnh t li nhun thun i vi cc cng ty chi tr c tc cao-cc cng ty m ni b l ngi mua rng c phiu trong thng . ii. LDP l danh mc u t ca cc cng ty tr c tc thp m ni b l ngi mua rng c phiu trong thng . iii. HDS l danh mc u t th ba, trong bao gm cc cng ty chi tr c tc caoni b cc cng ty ny l nhng ngi bn rng c phn. iv. LDS, gm cc cng ty chi tr c tc thp- ni b l nhng ngi bn rng c phn. Chng ta tnh ton li nhun ca cc danh mc u t trong mi thng t thng 11982 n thng 12-1995 theo cch sau y. Tt c cc giao dch ni b din ra sau ngy 20 ca thng trc v trc ngy 21 ca thng hin ti c tnh cho thng hin ti. Chng ta tnh s lng c phiu giao dch ca mi cng ty trong tng thng xc nh xem ni b ca cc cng ty l mua rng hay bn rng trong thng . Nh vy, trong mi thng chng ta n nh mi cng ty c cha cc giao dch ni b cho mt trong bn danh mc u t m t trn. tnh li nhun hng thng cho mi danh mc u t, chng ta ly tng giao dch ni b tt c cc cng ty c ch nh v tnh ton li nhun thun trong thi gian 21 ngy sau giao dch. Nu c nhiu hn mt giao dch trong mt ngy, chng ta s tnh c s lng thc cc c phiu trong mt giao dch thc. Chng ta ly trung bnh nhng li nhun ny thng qua cc giao dch rng nh l kt qu ca li nhun trung bnh 21 ngy giao dch ni b kim c t danh mc u t ca tng thng. V vy, chng ta tnh ton c li nhun ca cc danh mc u t c t trng nh nhau ca tt c cc giao dch rng cho tt c cc cng ty c giao dch ni b. minh ha cho cc th tc trn, ta xem xt danh mc u t HDP cho thng 11982. i vi mi cng ty chi tr c tc cao, chng ta tnh c s c phiu mua vo v bn ra trn tt c cc giao dch ni b trong thng 1-1982. Mi giao dch din ra trong khong ngy 21 thng 12 nm 1981 n ngy 20 thng 1 nm 1982 c tnh cho thng 1 nm 1982. Sau , chng ta tp hp tt c cc cng ty c s lng c phiu ni b mua vt qu s lng c phiu ni b bn vo danh mc u t HDP cho thng 1. V d nh ABC Co., chng ta s bao gm tt c li nhun thun ca 21 ngy giao dch ca ni b cng ty. Gi s Cng ty ABC c hai thng v mua trong ni b thun, mt xy
10

ra vo ngy 30 thng 12 v mt vo ngy 15 thng 1. Cng ty ABC s c hai li nhun bao gm c li nhun trung bnh danh mc u t HDP. Th nht l li nhun 21 ngy giao dch sau ngy 30 thng 12. Th hai l li nhun trong 21 ngy giao dch sau ngy 15 thng 1. Nh vy, li nhun danh mc u t l li nhun trung bnh 21 ngy giao dch i vi 1 danh mc tch cc -danh mc m c th mua mt c phn ca Cng ty ABC vo ngy 30 v gi n trong vng 21 ngy giao dch v sau s mua mt c phiu khc vo ngy 15 thng mt v gi n trong 21 giao dch tip theo. B2. Li ch ni b cc cng ty chi tr c tc cao t hn cc cng ty chi tr c tc thp nh th no? phn tch xem li ch ni b cc cng ty chi tr c tc cao t hn cc cng ty chi tr c tc thp nh th no, chng ta thc hin mt kim nghim chui thi gian s dng cc nhn t Fama-French(1993). ( cu trc danh mc m phng yu t Fama-French ngn hn- di hn ny c tho lun trong nghin cu Fama-French 1993. Chng ta thu c li nhun danh mc t website ca Kwnneth French) Bin ph thuc trong hi quy i vi vic mua (bn) rng l danh mc ngn hn- di hn khng pht sinh chi ph danh mc trong di hn HDP (HDS) v ngn hn LDP (LDS) Do , RHDPt RLDPt = + Rmt + SMBt + HMLt + t RHDSt RLDSt = + Rmt + SMBt + HMLt + t Trong , -RHDPt l li nhun thng t i vi danh mc u t HDP; -RLDPt l li nhun thng t i vi danh mc u t LDP; -R HDSt l li nhun thng t i vi danh mc u t HDS; -RLDSt l li nhun thng t i vi danh mc u t LDS; - l mt thut ng chn o lng alpha, hoc li nhun bt thng, - l nhy vi yu t th trng ; -Rmt l li nhun vt mc trn th trng, m trong trng hp ny l ch s gi tr CRSP; - nhy vi yu t quy m; - SMBt l danh mc u t m phng yu t Fama-French i vi quy m; - l nhy vi yu t s sch trn tr trng;
11

(1)

- HMLt l danh mc m phng yu t Fama-French i vi cc yu t s sch trn th trng; - t l sai s hi quy. V vy, hi quy cho php chng ta kim tra li ch ni b tng i i vi giao dch mua v bn ca cng ty chi tr c tc cao so vi chi tr c tc thp. Chng ta cho chy c hai hm hi quy chui thi gian ca 168 quan st hng thng t thng 1-1982 n Thng 12-1995. Nu chng ta gi nh rng cc yu t FamaFrench l nhng yu t ri ro th th hin nhng bt li v li nhun c iu chnh ri ro ca ni b cng ty tr c tc cao so vi tr c tc thp .V d, nu cng ty chi tr c tc cao c li ch ni b thp hn so vi cng ty chi tr c tc thp (v quy m ln hn), th vic s dng yu t quy m s kim sot cho hiu qu quy m ny. Tng t nh vy, hiu ng lin quan n t l gi tr s sch trn th trng v yu t th trng s c nm bt bi cc danh mc u t m phng tng ng trong cc hi quy.
a. Li nhun vt mc:

Giao dch mua ni b:

Mc A ca Bng III s dng cc li ch 21 ngy giao dch vt qu ch s gi tr CRSP hnh thnh li nhun vt mc trong bn danh mc u t: HDP, LDP, HDS, v LDS. Phn u trnh by danh mc mua trong ni b, HDP v LDP. Li ch ni b ca cng ty chi tr c tc cao trung bnh 1,13% / thng so vi 2,39% i vi cng ty chi tr c tc thp. S khc bit -1,26% l khc bit ng k vi kim nh t l -5,44. Chng ta cng nhn thy rng t l cc thng m li ch ni b ca cc cng ty chi tr c tc cao t hn chi tr c tc thp l 64,3%. Mt kim tra nh thc rng liu t l ny c ln hn 50% l 3.7. Nh vy, vic kim nh ny ch ra rng trong ni b ca cng ty chi tr c tc cao c t li th thng tin hn so vi cc i tc ca h trong cc cng ty chi tr c tc thp

Giao dch bn ni b:

Nhng giao dch bn trong ni b cng bao hm mt kt lun tng t. Li ch ni b ca cng ty chi tr c tc cao trung bnh l -0,14% / thng so vi -0,41% i vi cng ty chi tr c tc thp. Tuy nhin, s khc bit ca 0,28% l khng ng k. Kt qu ny c th do thc t l cc giao dch bn trong ni b thng c thc y bi cc l do, chng hn nh tnh thanh khon v ti cn bng danh mc u t, m khng lin quan n thng tin. iu
12

ny lm cho vic bn trong ni b l mt bin php o lng bt cn xng thng tin phc tp hn so vi giao dch mua. Ngoi ra, nghin cu trc ch ra rng cc cng ty vi giao dch bn trong ni b c xu hng ln hn mua trong ni b. Do thng tin bt i xng s t nghim trng trong cc cng ty ln hn, c th l trng hp c t thng tin pht hin cc giao dch bn trong ni b. b. Fama-French Regressions: Tuy nhin, c c cc du hiu chnh xc l rt quan trng bi v n ch ra rng s khc bit li nhun giao dch ni b do t sut c tc ch khng phi do ri ro. Nu l nh vy, chng ta s c c nhng du hiu tng t trn cc hm hi quy bn cng nh trn hm hi quy mua. Mc B ca Bng III cho thy cc hi quy Fama-French c m t bi phng trnh (1). Chng ta tm cc alpha cho c cc hi quy mua v bn c du hiu cho thy l ph hp vi gi thuyt, tuy nhin, nh trong mc A, ch c cc kt qu ca vic mua l quan trng. Alpha cho cc hi quy mua l -0,0141 vi kim nh t l -6,46. iu ny tng ng vi mt li nhun bt thng -1,41% / thng. Kt qu l c ngha c v mt kinh t v thng k. Mc d cc h s ch ra rng cng ty chi tr c tc cao th ln hn v c gi tr hn cc cng ty chi tr c tc thp, bng chng cho thy mt khc bit ph nh ng k trong li nhun bt thng gia cng ty chi tr c tc cao v thp, ngay c sau khi kim sot cc yu t Fama-French v quy m v tng trng/gi tr. Nh trong mc A, kt qu cho vic bn l khng ng k, nhng l mt tn hiu ng. Cc nguyn nhn v tc ng ca vic ny l tng t nh trong mc A. C. Mc c tc hay quyt nh chi tr c tc l vn ?( Cc th nghim cho gia cc phn) tip tc kim tra tin cy ca cc kt qu trn, chng ta phn tch s khc bit trong li ch ni b gia cc cng ty chi tr c tc cao vi cng ty chi tr c tc thp bng cch s dng mt th nghim cho gia cc phn. Trong th nghim ny chng ta kim tra xem mc c tc c phi l mt yu t quyt nh li ch ni b v bt cn xng thng tin. Chng ta theo cc phng php lun ca Fama v Macbeth (1973). Chng ta chy hai chng trnh hi quy hng thng, mt l hi quy m bin ph thuc l li ch ni b thu t cc giao dch mua, v mt l hi quy m bin ph thuc l li ch ni b t cc giao dch
13

bn . Trong phn tch ny, chng ta s dng li nhun 21 ngy giao dch vt qu trng s gi tr CRSP l thc o li ch ni b. Chng ta n nh cc giao dch ni b i vi mi thng v tnh ton li ch ni b theo cch thc ging nh trong mc IIIB. Sau chng ta chy hai hi quy cho mi thng, kt qu cung cp hai chui thi gian. Chng ta kim tra gi thuyt rng h s mong i l 0 bng cch thit lp t s-t l chui thi gian trung bnh ca h s cho hng thng chia cho sai s chun trung bnh. Cc sai s chun c tnh t chui thi gian ca cc c tnh h s. Chng ta chn hai tp hp bin c lp cho hi quy ny. + Tp u tin c lin quan n c chnh sch c tc cng nh bt cn xng thng tin v li ch ni b. Bin c lp u tin t tp ny, l bin li sut DYi. y l li tc trung bnh (c tc trn gi c phiu) trong 5 nm trc. Bin ny cho php chng ta xc nh liu mc c tc l mt yu t quyt nh quan trng li ch ni b v bt cn xng thng tin. Bin th hai BMi c s dng kim sot s khc bit v c hi pht trin trong tng lai. Cc cng ty tng trng cao hn c th khng chi tr c tc hoc chi tr c tc thp bi v h mun ti tr cho cc d n t ngun ni b trnh s huy ng khng hiu qu t th trng vn bn ngoi. Cc cng ty tng trng cao hn cng chu bt cn xng thng tin ln hn bi v kh khn trong vic nh gi cc c hi tng trng trong tng lai. Li th thng tin m ngi trong cuc c c c th nhiu hn nh u t bn ngoi. Chng ta bao gm t l gia gi tr s sch v thc t ca cng ty t nm ti chnh trc kim sot nhng khc bit trong nhng c hi pht trin tng lai ca cng ty. Bin th ba ln (MV)i c lin quan n quy m ca cng ty. Cc cng ty chu chi ph cao hn thm nhp vo cc th trng vn khi pht hnh c phiu hoc n (thng l cc cng ty c quy m nh) thng s dng ti tr ni b- tc chi tr c tc thp. Cc cng ty nh cng phi chu bt cn xng thng tin nhiu hn v t kh nng phn tch v v nm bt thng tin Do , cc cng ty nh thng kt hp cc c tnh ca thng tin bt i xng cao hn v li ch ni b vi c tc thp hn. iu ny s xy ra ngay c khi c tc khng phi l th ch gim st, dng tin t do, hoc c ch bo hiu. kim sot kh nng ny, chng ta bao gm quy m doanh nghip, c o lng bng gi tr th trng ca vn ch s hu cui nm ti chnh nm trc .
14

Bin th t EVi l s n nh thu nhp. Cc cng ty c thu nhp khng n nh c kh nng t chi tr c tc trnh ti tr tn km t bn ngoi khi li nhun m. Bin ng ca thu nhp cng c th lm cho d on thu nhp trong tng lai kh khn hn, dn n bt cn xng thng tin ln hn. Do , cc cng ty c bin ng ca thu nhp cao hn thng kt hp li ch ni b cao hn v c tc thp hn. kim sot kh nng ny, chng ta bao gm cc phng sai ca thu nhp hng nm trn mi c phiu trong nm nm trc nh mt c tnh hi quy. Hai bin cui cng l DRi, l t l n ca cng ty, v ln (SH), s lng c ng gia nhp t nhin. C hai bin ny nn c lin h vi chnh sch c tc. Trc tin, mt t l ng k cc vn n thc hin cc giao c hn ch chi tr c tc. Nh vy, n cao hn nn c kt hp vi chi tr c tc thp hn. Th hai, Rozeff (1982) xut rng s lng c ng cng ln, cc quyn s hu cng ty cng b khch tn, dn n vic gia tng trong cc vn i din. ng cho thy rng c mt mi quan cho gia s lng c ng v mc c tc ca cng ty. S c ng cng nhiu, c tc cng ln. C hai bin ny c th cng lin quan nhiu n bt cn xng thng tin. u tin, l thuyt i din v cu trc vn cho thy rng s la chn cu trc vn c th l hm s ca bt cn xng thng tin. Th hai, c th l s lng c ng cng ln th cng nhiu chuyn gia phn tch, cc t chc, v cc nh u t gim st hot ng cng ty. Nh vy, c th l ngay c khi c tc khng phi l dng tin t do, gim st th ch, hoc c ch bo hiu, c tc c th lin quan n bt i xng thng tin v li ch ni b do mi quan h gia n by ca cng ty / s lng c ng v bt cn xng thng tin. Chng ta kim sot kh nng ny bng cch bao gm cc t l n - l n di hn trn tng ti sn, v logarit c s e ca s c ng t nm ti chnh trc nh bin kim sot b sung. + Cc thit lp th hai ca cc bin l cc bin khng lin quan n c tc, nhng c th lin quan thng tin bt i xng v li ch ni b. Bin u tin RDi l trung bnh ca t l chi ph R & D trn doanh thu trong nm nm trc. Aboody v Lev (2000) cho thy cc cng ty vi chi ph R & D c thng tin bt i xng v li ch ni b cao hn so vi cc cng ty khng thc hin. Cc bin th hai v th ba ITi, l t l ti sn v hnh (ngoi tr s tn nhim) trn tng ti sn ca nm ti chnh trc , v Ti t l ti sn hu hnh (nh xng, t ai, v thit b) trn tng ti sn. Cc doanh nghip c ti sn v hnh cng nhiu th bt cn
15

xng thng tin cng cao. V vy, ITi c s dng nm bt trng hp khi cc cng ty vn ha cc chi ph lin quan n ti sn v hnh. Cng ty c t l ti sn hu hnh thp c th c thu nhp di hn to ra ti sn ch yu l v hnh, chng hn nh con ngi, thng hiu, cng ngh, Do , Ti cng c ngha l nm bt ti sn v hnh cho i vi cc cng ty c s lng ln ti sn v hnh khng c vn ha. Bin th t EXi l tng hp ca cc khon mc bt thng, cc hot ng b gin on, v cc khon mc c bit hng trn tng doanh s t nm ti chnh trc . Cc hng c EXi ln hn c th c t thng tin k ton hn. Elliott v Hanna (1996) cho thy th trng s phn ng t hn n thng tin v thu nhp ca cc cng ty c nhiu khon mc c bit hn so vi cc cng ty khng c cc mc nh vy, v ti liu ca Myers v Skinner (2000) m cc nh qun l tnh ton thu nhp kt ton bng cch s dng cc khon mc c bit, ng rng cc cng ty c nhinh vy c thu nhp s sch km cht lng hn. V vy, EXi cao hn nn c kt hp tt hn vi thng tin bt cn xng. Bin th nm RVi l phng sai ca li nhun chng khon hng ngy trong nm dng lch trc . Bin ng cao hn c kt hp vi bt i xng thng tin nhiu hn. Bin ng cao hn c th ch ra s khng tng xng trn th trng so vi gi "ng" ca c phiu cng ty. Bin th su LSi - tn tht, l bin 0,1. LSi bng 1 nu thu nhp trn c phn m trong nm ti chnh trc v ngc li bng 0. Hayn (1995) cho thy rng h s phn ng i vi cc cng ty bo co thua l thp hn i vi cc cng ty c thu nhp dng. iu ny cho thy th trng xem xt thit hi s sch t thng tin hn l li nhun khi nh gi hiu qu hot ng trong tng lai ca cng ty. V vy, thng tin bt cn xng c th ln hn i vi doanh nghip l trn s sch. Bin cui cng Ei - mt bin 0,1. Ei bng 1 nu c phiu c giao dch trn NYSE hoc AMEX trong nm ti chnh trc v ngc li bng 0. Lin v Howe (1990) quy nh rng cc th trng nh NASDAQ vi cc nh hoch nh th trng phc tp c th cho php trong ni b che giu tt hn hot ng kinh doanh. iu ny cho thy kh nng c thng tin bt i xng thp hn cho cc c phiu trn sn giao dch ln. V vy, chng ta theo Barth v Kasznik (1995) v bao gm bin ny nh l kim sot b sung. +Phng trnh v kt qu hi quy:
a. Phng trnh 16

Chng ta chy ba hi quy. Hi quy u tin ch c t sut c tc. Th hai bao gm t sut c tc cng vi tt c cc bin lin quan ti c tc v bt cn xng thng tin. Th ba bao gm t sut c tc cng vi tt c cc bin kim sot. V vy, ta c hi quy cho nh sau: Rki Rki = + dyDYi + ki = + dyDYi + bmBMi + m v ln(MV)i + e v EVi + drDRi + shln(SH)i + ki (2b) (2a)

Rki = + dyDYi + bmBMi + m v ln(MV)i + e v EVi + drDRi + shln(SH )i + rdRDi + itITi + tT + exEX i + r v RVi + lsLSi + eEi + ki , (2c)

Trong , Rki l li ch ni b rng thng t cho ngy k, ngy m mt giao dch ni b xy ra cho cng ty i ( V vy, nu mt cng ty c nhiu ngy din ra giao dch, th s c nhiu quan st trong mt thng. iu ny cho php chng ta o lng li ch ni b 21 ngy sau ngy giao dch.) b. Kt qu Bng IV trnh by cc kt qu ca th nghim cho. Trong Mc A1, A2 v A3, chng ta kim tra tt c cc cng ty. i vi giao dch mua trong ni b trong bng A1, h s v t sut c tc l -0,1994 vi kim nh t -4,64. iu ny cho thy li ch ni b hng thng cng vi giao dch mua lin quan nghch bin n mc c tc. Khi chng ta thm cc bin kim sot lin quan n chnh sch c tc v bt cn xng thng tin trong bng A2, h s t sut c tc gim cn -0,1537 vi kim nh t -3,67. Cui cng, khi chng ta thm cc bin kim sot bt cn xng thng tin, cc h s v t sut c tc gim thm n - 0,1102, nhng vn cn c ngha vi kim nh-t -2,36. iu ny cho thy rng ni b cc cng ty chi tr c tc cao c li th thng tin t hn cc cng ty chi tr c tc thp khi ni n giao dch mua. i vi giao dch bn trong ni b, cc h s v t sut c tc i vi hi quy n bin l 0,1023 vi kim nh-t 2,36. Khi chng ta thm cc bin c tc / bt cn xng thng tin, cc h s tng ln n 0,1185 vi kim nh-t 2,85. Cui cng, khi chng ta thm kim sot bt cn xng thng tin, h s ny tr thnh ti 0,1167 vi kim nh-t 2,72. iu ny cho thy rng ni b cc cng ty chi tr c tc thp trnh b l t hn ni b cc cng ty chi tr c tc cao.
17

Mt cu hi chng ta cn gii quyt l liu kt qu ca chng ta c dn dt bi cc cng ty khng chi tr c tc. V d, vn l mc c tc hay hnh ng chi tr c tc? gii quyt cu hi ny, trc ht chng ta ch xt cc cng ty chi tr c tc v kim tra xem liu mc chia c tc vn cn l vn khng?. Mc B1, B2, v B3 ( Bng IV) trnh by cc kt qu hi quy ch i vi cc cng ty chi tr c tc. i vi giao dch mua trong ni b trong B1, h s ca t sut c tc l -0,1356 vi kim nh-t -2,60. iu ny cho thy li ch ni b hng thng sau giao dch mua i vi cc cng ty chi tr c tc lin quan tiu cc/nghch bin vi mc c tc. Khi chng ta thm cc thit lp u tin ca bin kim sot, cc h s v t sut c tc tr thnh -0,1626 vi kim nh-t -2,96. Thm cc thit lp th hai ca cc bin kim sot lm thay i cc h s v t sut c tc n -0,2072, iu ny quan trng vi s liu kim nh t -2,83. Nh vy, c tc l mt yu t quyt nh ca bt cn xng thng tin v li ch ni b sau giao dch mua i vi ch cc cng ty chi tr c tc. Ni cch khc, kt qu cho thy rng mc c tc l vn . i vi giao dch bn trong ni b, cc h s v t sut c tc cho cc hi quy n bin l 0,0797 vi mt kim nh -t ca 1,99. Khi chng ta thm cc thit lp u tin ca bin kim sot, h s ny tr thnh 0,1287 vi kim nh-t l 2,99. Tuy nhin, khi chng ta thm thit lp th hai ca cc kim sot, h s tr nn khng ng k. Nh vy,c l, trong cc cng ty chi tr c tc, li th thng tin t giao dch mua trong ni b lin quan n vic c phiu c nim yt ti s giao dch hay khng cht ch hn l lin quan n c tc, v ch c kim nh t ca Ei l quan trng. iu ny khng cho mt kt qu quan trng v t sut c tc, v tt c cc bin khc, ngoi tr ch s giao dch, c th do thc t giao dch bn l mt i din phc tp ca bt i xng thng tin. Kt lun: Nhn chung, cc kt qu cho cc cng ty chi tr c tc cho thy s khc bit v li ch ni b lin quan n vic mua v bn gia cng ty chi tr c tc cao v chi tr c tc thp khng b nh hng bi cc cng ty khng chi tr c tc v rng l vn mc chi tr c tc. Cc cu hi tip theo l liu hnh ng chi tr c tc c l quan trng i vi li ch ni b v bt cn xng thng tin. Phn sau y tm hiu vn ny. 2. Hnh ng chi tr c tc: C phi cc cng ty chi tr c tc thp c mc bt cn xng thng tin v li ch ni b thp hn cc cng ty khng tr c tc? Nu dng tin t do, gim st th ch, hoc
18

cc c ch truyn tn hiu l ng lc quan trng sau chnh sch c tc, th chng ta c th tm thy mi quan h nh th. Chng ta ch ra trn mc c tc l vn i vi li ch ni b v bt cn xng thng tin, t nht c lin quan n mua trong ni b. Trong phn ny chng ta kim tra xem quyt nh chi tr c tc c phi vn i vi bt cn xng thng tin. a. Phng trnh: Bng V trnh by th nghim kt qu ca th nghim cho (Chng ta cng chy bng I, II, v III i vi cc cng ty chi tr c tc so vi khng chi tr c tc ty v kt qu ch ra mt s khc bit quan trng gia 2 nhm ny. n gin ta b qua kt qu ny). Cc phng trnh ging nh trong 2a, 2b, v 2c, ngoi tr bin t sut c tc. Thay v t sut c tc, chng ta s dng bin DIi l bin 0,1. DIi bng 0 nu cc cng ty khng tr c tc trong nm nm ti chnh trc v 1 nu cng ty tr c tc trong thi gian . V vy, cc phng trnh hi quy nh sau: Rki Rki = + dyDIi + ki = + dyDIi + bmBMi + m v ln(MV)i + e v EVi + drDRi + shln(SH)i + ki Rki (3b) = + dyDIi + bmBMi + m v ln(MV)i + e v EVi + drDRi + shln(SH )i + rdRDi + itITi + tT + exEX i + r v RVi + lsLSi + eEi + ki ,
a. Kt qu:

(3a)

(3c)

i vi mua trong ni b, h s ca bin ch s c tc bng 1 l - 0,0159 vi mt kim nh t l -5,51. iu ny cho thy li ch ni b hng thng sau giao dch mua lin quan nghch bin vi vic cng ty tr c tc. Khi chng ta thm cc thit lp u tin ca bin kim sot trong bng 2, h s ny tr thnh -0,0098 vi mt kim nh-t -3,42. Tuy nhin, khi chng ta thm thit lp th hai ca cc bin kim sot trong bng 3, cc h s ca bin s c tc tr nn khng ng k. i vi bn trong ni b, cc h s trong c ba hi quy l khng ng k. Nh vy, mc c tc ch khng phi quyt nh chi tr c tc l yu t quan trng i vi li ch ni b. Ni cch khc, n cho thy rng s khc bit ng k i vi mua trong ni b l gia c tc kh cao v thp. iu ny c ngha l tr c tc thp khng lm gim tnh bt cn

19

xng thng tin, ph hp vi c l thuyt dng tin t do v th ch gim st. Kt lun: Quyt nh chi tr ct tc khng phi l vn . 3.Bin ni sinh1 Mt vn tim nng i vi phn tch cho l bin ni sinh c th c gia cc quyt nh chi tr c tc c thc hin bi ban qun l v li ch ni b. V d, nu mt phn ng lc ca qun l l ti a ha li ch kinh doanh ca ring mnh, th quyt nh chia c tc, mt bin la chn i vi ban qun tr, c th b nh hng bi nhng li ch giao dch ni b d kin. xc nh xem liu bin ni sinh c phi l vn , chng ta s dng th nghim Hausman (1978) trong bin c tc l mt bin lin tc v th nghim Heckman (1979) trong bin c tc l bin 0,1. i vi cc phng trnh bao gm mc t sut c tc, chng ta s dng c tnh bnh phng nh nht hai giai on vi th nghim Hausman.Tuy nhin, kh khn ca vic thc hin phng php ny, l chng ta i hi cc bin c lin quan n quyt nh chia c tc, nhng khng tng quan vi li ch ni b. Cc bin ny c b qua trong cc phng trnh giai on th hai cung cp vn nh dng. Tuy nhin, hu ht cc bin s nh hng n quyt nh chi tr c tc cng l bin lin quan n li ch ni b nh chng ta lp lun. Trong trng hp ny, chng ta b qua cc bin BM v EV bi v cc kt qu hi quy trong cc bng IV v V cho thy rng cc bin ny xut hin khng lin quan n li ch trong ni b. Nh vy, trong giai on u tin, chng ta c tnh DYi = + +
it bm

BMi +

v ln(MV)i +
ex

ev

EVi +
ls

dr

DRi +
e

sh

ln(SH )i +

rd

RDi (4a).

ITi + tT +

EX i +

v RVi +

LSi +

Ei + v i

Trong giai on th hai, chng ta c tnh Rki = + dypredDYipred + dyDYi + m v ln(MV)i + drDRi + shln(SH )i + rdRDi + itITi + tT + exEX i + r v RVi + lsLSi + eEi + ki (4b)

Cc kt qu cho th nghim Hausman(1978) khng bc b gi thuyt khng ni sinh. Cc kim nh t v cc bin hi quy b sung trong hi quy mua (bn) l -1,78 (-0,26) i vi mu gm tt c cc cng ty. Quan trng hn, cc kim nh t cho mu ch gm cc
Trong cc m hnh kinh t, mt bin hay tham s c gi l ni sinh khi c s tng quan gia tham s hoc bin vi sai s. Bin ni sinh c th c th pht sinh nh kt qu ca sai s trong o lng, hi quy t ng vi cc sai s tng quan t ng, bin b loi, sai s la chon mu. ni chung, mi quan h nhn qu gia bin c lp v ph thuc dn n s hnh thnh bin ni sinh.
1

20

cng ty chi tr c tc l 0,70 (-0,79) ( Lu rng chng ta ch thm mt bin b sung, cho php chng ta kim tra ngha vi mt kim nh t hn l kim nh F khi s dng th nghim Hausman (1978) i vi bin ni sinh. iu ny quan trng bi v chng ta ang s dng cc th tc Fama-Macbeth kim tra ngha ca cc c tnh h s. i vi cc phng trnh s dng cc bin s c tc, chng ta s dng chin lc hai giai on Heckman (1979) kim tra bin ni sinh. Trong giai on u tin, chng ta s dng m hnh probit2 c tnh: D*i =
bm

BMi + +
it

v ln(MV)i +
ex

ev

EVi +
r

dr

DRi +

sh

ln(SH )i +
e

rd

RDi (5a)

ITi + tT +

EX i +

v RVi +

ls

LSi +

Ei + v i

Di = 1 nu D*i > 0 Di = 1 nu D*i 0 D*il mt bin tim n khng quan st c xc nh quyt nh chi tr c tc ca ban qun l, Di l bin chi s c tc c th quan st, v v i l sai s. Giai on th hai bao gm vic s dng t l nghch o Mills la chn v khng la chn vic hnh thnh mt bin hi quy b sung cho phng trnh (3c), vi BM v EV b loi tr xc nh nh trc. V vy: Rki = +mills( SDI i + N (1 DI i ))+ d DI i + mvln(MV )i + dr DRi + shln(SH )i + rd RDi + it ITi + t T + ex EX i+ rv RVi + ls LS i + e Ei + ki (5b) Trong ,
S =

v N =

l t l nghch o Mills la chn v khng

la chn (.) v (.) l hm phn b tch ly v mt cho phn phi chun. Cc kt qu cho cc th nghim (1979) Heckman khng bc b gi thuyt khng ca khng ni sinh

M hnh probit l mt m hnh ton kinh t m bin ph thuc yi c th bng 1 hoc 0, v

bin c lp lin tc xi c c tnh trong: Pr(yi=1)=F(xi'b) y, b l tham s c tnh, F l hm phn phi tch ly chun CDF. 21

v bin hi quy b sung l khng ng k. Cc kim nh t ca cc bin hi quy b sung trong hi quy mua (bn) l -1,27 (-0,04). 4. Kim tra "l thuyt th ch gim st" da trn d liu v quyn s hu t chc kim tra xem c tc c l yu t quyt nh quyn s hu t chc, chng ta xem xt hai hm hi quy gp l log ca t l phn trm quyn s hu i vi cng ty i; d liu v quyn s hu t chc trch t Compact Disclosure t nm 1990 n nm 1995: ln(I i )= + dy DYi + yy YY + i ln(I i )= + dy DYi + spi SPI i + bm BM i + mv ln(MV )i + yy YY + i Trong : DYi l mc c tc trung bnh (c tc/gi c phiu) trong nm nm qua. SPI l mt trong 2 bin 0,1; l 1 nu mt c phiu thuc S&P 500 v 0 nu khng thuc. BMi l gi tr s sch cty t nm ti chnh trc . Ln (MVi) l hm log gi tr vn c phn th trng ca cng ty ca cui nm ti chnh trc. YY l bin ch s nm v i l sai s hi quy. C hai hm hi quy. u tin l Hm u tin l n bin khng c bin chng. Hm th hai l a bin c cc bin chng. Bng VI trnh by cc kt qu ca 2 hm ny: Mc A1 cho thy kt qu vic mua bn ni b i vi phng trnh (1). Trong trng hp ny h s v mc c tc (DY) mang tnh tch cc iu ny ph hp vi l thuyt v th ch gim st l c tc cao hn cho thy quyn s hu cao hn. Tuy nhin, khi thm cc bin kim sot trong bng A2 ta c kt qu ngc li: mc c tc l mt yu t mang tnh tiu cc i vi quyn s hu t chc: c tc cao hn dn n quyn s hu thp hn. Kt qu ny r rng l khng ph hp vi l thuyt v th ch gim st. Nh vy, nu nh cc kt qu nghin cu trc cho thy vn chi tr c tc i vi cc li ch giao dch ni b l ph hp vi c "l thuyt dng tin t do" v "l thuyt th ch gim st" th qua nghin cu ny, bng qu trnh loi tr, cc bng chng thc nghim cho rng l thuyt dng tin t do mang tnh qaun trng v quyt nh hn.
22

5. Vic truyn tn hiu v li ch ni b: Trong phn ny chng ta kim tra xem cc thay i c tc c l mt phng thc truyn tn hiu lm gim bt cn xng thng tin bng cch kim tra xem h c lin quan n li ch ni b khng. Nu vic s dng c tc truyn thng tin v trng thi ca cng ty l ng lc quan trng ng sau chnh sch c tc, th cc cng ty truyn tn hiu c l c li ch ni b thp hn do thng tin bt i xng thp hn sau khi thay i chnh sch c tc. V d, nu c tc l mt tn hiu, th sau khi mt cng ty gia tng hoc gim c tc ca mnh, th chng ta mong i sau khi thay i chnh sch c tc mc bt i xng thng tin s gim so vi trc khi thay i. kim tra tng ny, chng ta s dng mt mu thay th gm tt c cc cng ty chi tr c tc c thay i c tc trong thi gian mu. to mt mu so snh mua trong ni b, tt c thay i c tc vi mua trong ni b trc v sau khi thay i c la chn phn tch. Cc mu cho giao dch bn ni b c to ra theo cch tng t. S dng ngy cng b c tc t CRSP l ngy 0, chng ta xem xt liu nhng li ch ni b l cao hn, thp hn, hoc khng thay i sau khi thay i c tc. thc hin vic so snh ny, chng ta tnh ton li nhun trung bnh ni b, hoc vt qu thu nhp tng i so vi ch s gi tr CRSP, i vi cng ty i cho giao dch din ra t ngy-182 n ngy -1 v so snh iu ny vi nhng li ch ni b trung bnh cho cc giao dch din ra t ngy 1 n ngy 182. Bng VII cho thy kt qu. C v nh khng c bng chng ph hp rng cc thng tin bt i xng l thp hn sau khi mt thay i trong c tc. i vi mua ni b, li ch ni b thp hn sau khi thay i c tc, tc thng tin bt i xng thp hn. Tuy nhin, kt qu khng c ngha kim nh. i vi bn ni b, kt qu ngc li, ch ra thng tin bt i xng cao hn. Tuy nhin, nhng kt qu ny cng khng quan trng. Nh vy, bng chng khng cung cp h tr cho "l thuyt thng tin tn hiu".

23

Kt lun
Nghin cu ny xem xt cc mi quan h gia c tc, bt cn xng thng tin, v li nhun kinh doanh. Cc bng chng thc nghim chng minh cho cc xut rng c tc l mt yu t mang tnh quyt nh cho li nhun v bt i xng thng tin gia cc cng ty. Trc tin, chng ta thy rng cc cng ty c chnh sch cho tr c tc cao s c mc li nhun cng nh thng tin bt cn xng ni thng tin thp hn so vi cc cty c chnh sch chi tr c tc thp. Nhng kt qu ny ph hp vi "l thuyt t do lu chuyn tin t" v "l thuyt th ch gim st" ca chnh sch c tc. Th hai, chng ta thy rng cc hnh ng chi tr c tc khng phi l mt yu t quyt nh quan trng ca li nhun ni b v bt cn xng thng tin i vi cc giao dch mua bn . iu ny khng phi khng ph hp vi cc dng tin t do hoc cc l thuyt v th ch gim st c tc. N ch n gin ng rng s khc bit tng i l gia c tc cao v thp, ch khng phi gia khng c c tc v c c tc. Tip theo, chng ta kim tra xem c phi c tc l mt yu t quyt nh i th ch quyn s hu hay ko. Chng ta thy kt qu khng ph hp vi "l thuyt th ch gim st". V vy, qua qu trnh loi b, cc kt qu xem "l thuyt dng tin t do" nh l l do
24

chnh ti sao mc c tc l yu t quan trng trong vic xc nh tnh bt cn xng thng tin. Cui cng, chng ta kim tra gi thuyt: C phi c tc l mt thit b truyn tn hiu gip gim bt bt cn xng thng tin? Nu chnh sch c tc c xem nh l mt ng lc quan trng bo hiu v tnh trng hot ng ca cc cng ty , th cc cng ty cn phi c thng tin bt i xng thp hn sau khi c s thay i trong chnh sch c tc. Kim nghim ny cho chng ta cht t bng chng minh chng cho cc gi thuyt ny. Nhn chung, kt qu cho ta mt s kt lun. Th nht, mc c tc hay ni ng hn l quyt nh quyt nh chi tr c tc l mt yu t quyt nh quan trng i vi li nhun ni b. Th hai, khi gii thch mi quan h gia mc c tc v khng i xng thng tin, "th ch gim st l thuyt" ca chnh sch c tc khng ph hp vi kt qu ca chng ta na, ch c "L thuyt dng tin t do" l li gii thch tt nht cho l do ti sao mc c tc l mt yu t quyt nh ca thng tin bt cn xng. Cui cng, chng ta tm thy mi t minh chng cho khi nim rng nhng thay i c tc l mt tn hiu lm gim tnh bt cn xng thng tin.

25

Ph lc 1 T l nghch o Mills Trong thng k , t l nghch o Mills , t theo tn ca John P. Mills , l t s gia hm mt xc sutvi hm phn b tch ly. S dng t l nghch o Mills thng c thc y bi cc c tnh sau y ca phn phi chun rt gn( phn phi xc sut ca bin ngu nhin m gi tr c gii hn trn hoc di hoc c hai). Nu x l mt bin phn phi ngu nhin vi tr trung bnh v phng sai 2, th

Trong , l mt hng s, biu th hm phn phi mt tiu chun, v l hm phn phi tch ly tiu chun. Hai phn s ny l t l nghch o Mills. Hm phn phi tch ly (CDF) m t kh nng m bin ngu nhin thuc khong (, x]. CDF ca phn phi chun k hiu l c xc nh bi cng thc:

26

Hm mt xc sut (PDF) ca bin ngu nhin m t tn s tng i ca nhng gi tr khc nhau ca bin ngu nhin ny. PDF ca phn phi chun c xc nh bi cng thc:

Hm ny ch ng khi phng sai 2 khc 0. Kim tra nh thc l kim tra chnh xc ngha thng k ca lch t cc phn phi xc sut mong i ca cc quan st theo hai hng mc.

Ph lc 2 M hnh ba nhn t Fama French Fama v French bt u vi vic quan st hai loi c phiu c khuynh hng chung l tt hn th trng: (i) small caps v (ii) stocks with a high book-value-to-price ratio (nhng c phiu c h s gi tr s sch trn gi th trng cao) - vn hay thng c gi l nhng c phiu gi tr, ngc li vi chng l nhng c phiu tng trng". V sau , nhng thm 2 nhn t vo m hnh CAPM phn nh s nhy cm ca danh mc i vi 2 loi c phiu ny: r - Rf = 3 x (Km - Rf) + bs x SMB + bv x HML + alpha y l t sut sinh li ca danh mc. Rf l t sut sinh li phi ri ro, Km l t sut sinh li ca c th trng chng khon. 3-nhn t gn ging nh beta truyn thng nhng c gi tr nh hn, l do l v c thm 2 nhn t thm vo thc hin cng vic. SMB v HML tng trng cho s khc bit gia t sut sinh li hoc t l B/P ca mt cng ty nh v mt cng ty ln, chng o lng s khc bit b t sut sinh li thng d ca nhng cng ty nh v nhng cng ty ln trn th trng mt cch tng th. Cng lc vi khi SMB v HML c xc nh, cc h s bv v bs s c gi tr trong khong t 0 n

27

1: bs=1 c th l danh mc c phiu ca nhng cng ty nh, bs=0 c th ca nhng cng ty ln hn v bv=1 c th l danh mc nhng c phiu c t s B/P cao,.v.v. im th v trong nghin cu ny l Fama v French vn cho rng t sut sinh li cao l phn thng cho s chp nhn ri ro cao, trong trng hp ring bit iu ny c ngha rng nu t sut sinh li tng ln cng vi t s B/P, th sau nhng c phiu c t s B/P cao s tr nn ri ro hn mc trung bnh chnh xc vi nhng g m nhng nh phn tch kinh doanh truyn thng nhn nh. im khc nhau l ch liu bn c th tin tng vo mt th trng hiu qu (EMT) hay khng. Mt nh phn tch kinh doanh khng tin vo th trng hiu qu, do anh ta cho rng mt t l B/P cao s ch ra l mt c hi mua vo: gi cc c phiu xem ra r. nhng nu bn tinh chc vo EMT v bn cng tin rng nhng c phiu gi r ch c th r v mt l do tt, l v nhng nh u t ngh rng chng c ri ro cao Fama v French khng l trng hp c bit v l do ti sao m t s B/P o lng ri ro, mc d h v nhng ngi khc a ra mt s l do c kh nng. V d, mt t s B/P cao c th c ngha rng c phiu ang b kim gi, n ang b bn di gi trong tc thi bi v nhng ngun thu trong tng lai ang b nghi ng v tnh kh thi. Hoc, n c th c ngha rng c phiu l phn thng d vn, lm cho n tr nn d b tc ng bi thu nhp thp trong thi k kinh t b tr tr. Tt c nhng lp lun ny c v nh l hp l, nhng n c v nh ang miu t nhng hon cnh hon ton khc bit (v iu g xy ra khi mt cng ty c phn thng d vn khng b kim gi). C th l s thnh cng ca m hnh ny trong vic gii thch "phong " trong qu kh ca mt cng ty khng phi l v s quan trng ca bt c yu t no trong c 3 nhn t c tch ring, nhng vi s khc bit tng i, nu c i cng nhau th chng s c mt tc ng kh ln trong vic lm cng th trng Mt danh mc th trng ln s nh gi cc c phiu trn kh nng vn ha ca n trn th trng, lm cho quy m v gi tr ca n b sai lch i, v do , c th c thm 2 nhn t trong m hnh ny l nhng iu chnh tng ng vi hai vn ny. iu ny cng gii thch ti sao tng trng cng i khi c s dng nh mt nhn t khc: kh nng vn ha th trng cho thy ni m th trng u t trong nhiu nm di, trong khi tng trng cho thy ni m ng tin c u t vo sau , v do nu bn mun li
28

dng dng th trng hiu qu, bn nn bt du vi nhng danh mc v sau iu chnh chng mt cht t theo pht trin nh hng gi tr s sch so vi gi tr th trng: Trong nghin cu ca mnh, Fama v French c gng nh gi cc vai tr kt hp ca beta th trng, quy m, E/P, n by ti chnh v t gi gi tr s sch trn gi tr th trng ca vn ch s hu trong mu tiu biu ca t sut sinh li trung bnh trn cc c phiu ca NYSE, AMEX v NASDAQ. Hai ng cho rng quan h gia beta v t sut sinh li trung bnh khng tn ti trong sut thi k 1963-1990, ngay c ch dng beta gii thch cho t sut sinh li trung bnh. Tri li, cc kim nh ln lt gia t sut sinh li trung bnh vi quy m, n by, E/P v B/P cho thy rng tt c cc bin ny u quan trng v c tn hiu mong i.

Bng I Thng k mu ca giao dch ni b Bng I trnh by tm tt s liu thng k cho cc mu ca cc giao dch ni b. Mc A s trnh by s lng cc giao dch ni b bng chnh sch c tc. Chng ta xp hng cc cng ty do nng sut c tc trung bnh trong nm nm qua v phn vng mu nghin cu thnh hai na. Cc cty chi tr c tc cao l nhng cty chia tr c tc hn 50% li nhun , cc cty chia tr c tc thp l tr c tc thp hn 50% li nhun. Bng B trnh by s lng doanh nghip bng chnh sch c tc.

Panel A

No. Transactions Insider Purchases Insider Sales 56,439 56,434 112,873 Total 86,206 86,170

High-dividend-paying firms Low-dividend-paying firms Total

29,767 29,736 59,503

Panel B

No. Firms Insider Purchases Insider Sales 2071 Total 3,743

High-dividend-paying firms

1672

29

Low-dividend-paying firms Total

2748 4,420

2443 4,514

5,191

30

Bng II Li nhun ni b trong iu kin th trng c iu chnh Cc cty chia tr c tc cao vs cc cng ty chi tr c tc thp Bng II cho thy li ch trong ni b trung bnh da trn 21 ngy kinh doanh.Chng ta xp hng cc cng ty do nng sut c tc trung bnh ca h trong nm nm qua v phn vng mu thnh hai na. Cc cty chi tr c tc cao l nhng cty chia tr c tc hn 50% li nhun , cc cty chia tr c tc thp l tr c tc thp hn 50% li nhun. Bng A s hin th nhng li ch c o bng t l phn trm vt qu so vi ch s gi tr NYSE CRSP / AMEX/NASDAQ. Bng B hin th cc li ch c o do vt qu t l phn trm li nhun tng i so vi ch s tng ng NYSE CRSP / AMEX /NASDAQ. Cc thng k-t hin th cho s khc bit trong li nhun gia cc cng ty cao chi tr c tc cao v cng ty chi tr c tc thp.

Panel A

Excess Returns relative to CRSP value-weighted index Insider Purchases Insider Sales 0.07% -0.05% 0.12% 1.65 Difference 1.21% 2.32% t-statistic 19.80 22.80

High-dividend-paying firms Low-dividend-paying firms Difference t-statistic

1.27% 2.27% -0.99% ** -10.36

Panel B

Excess Returns relative to CRSP equally-weighted index Insider Purchases Insider Sales -1.01% -1.58% 0.57% ** 8.27 Difference 1.53% 3.00% t-statistic 24.57 29.93

High-dividend-paying firms Low-dividend-paying firms Difference t-statistic

0.51% 1.41% -0.90% ** -9.39

31

Bng III Li nhun thu c vi chi ph khng i Cty tr c tc cao vs cty tr c tc Bng A trnh by t l phn trm li nhun ni b c o bng doanh thu 21 ngy kinh doanh vt qu so vi trng s CRSP v bn danh mc u t. Chng ta xp hng cc cng ty theo mc c tc trung bnh trong 5 nm gn y v phn chia mu thnh hai na. Cty tr c tc cao cc cty c mc chi tr hn 50% li nhun. Thp l chi tr c tc t hn 50% li nhun. Chng ta tnh doanh thu ca danh mc u t cho tng thng nh sau: u tin, chng ta ly s lng giao dch ni b mi ngy . Sau vi mi giao dch ni b, chng ta tnh ton li nhun ni b l doanh thunguyn trong sut 21 ngy giao dch. i vi mi cng ty, chng ta ly trung bnh s giao dch. Tip theo, chng ta tnh doanh thu trn s cng ty trong 4 doanh mc u t. Cc mc ny bao gm:cc cty chi tr c tc cao cho php ni b c mua c phiu, cty tr c tc cao cho php ni b c bn c phiu, cty tr c tc thp cho php ni b mua c phiu, cty tr c tc thp cho php ni b bn c tc. Trong mc B chng ta dng m hnh 3 nhn t Pama-French din t doanh thu cho hai danh mc c chi ph bng khng. Danh mc u tin th a dng i vi cc cty tr c tc cao cho php ni b l ngi mua v t a dng i vi cty tr c tc thp, cng cho php ni b l ngi mua. Danh mc th hai cng tng t nh u tin, ch khc ch cc cty l ngi bn. Ta c hm hi quy ca danh mc c chi ph bng 0 nh sau: RHDPt RLDPt = + R mt + SMBt + HMLt +t

RHDSt RLDSt = + Rmt + SMBt + HMLt

+t

Trong : +RHDPt l doanh thu thng th t cho danh mc ca cty tr c tc cao cho php ni b l ngi mua + RLDPt l doanh thu thng t cho danh mc ca cty tr c tc thp cho php ni b l ngi bn +RHDSt l doanh thu thng t cho danh mc HDP cho php ni b l ngi bn
32

+ RLDSt l doanh thu thng t cho doanh mc LDP cho php ni b l ngi bn + l mt thut ng tc doanh thu bt thng + l nhy cm vi cc yu t th trng + Rmt l doanh thu vt mc th trng, m trong trng hp ny l trng s CRSP + l nhy cm vi cc yu t kch thc + SMBt l danh mc u t gm cc yu t tng t Fama-French v kinh thc + l nhy cm vi cc yu t book-to-market + HMLt l danh mc u t gm cc yu t tng t Fama-French v book-tovalue + et l sai s
Mean Excess Return Proporti on Negati Binomial Test

Panel A: Excess Returns Insider Purchases High-dividend-paying firms Low-dividend-paying firms excess RHDPt excess RLDPt t-statistic Insider Sales High-dividend-paying firms Low-dividend-paying excess RHDSt excess RLDSt t-statistic Panel B:

1.13% 2.39% -1.26% ** 5. -0.14% -0.41% 0.26% 1.30

64.3% **

3.70

42.9% *

-1.85

R-SQR Fama-French Regressions H ML S MB (adjusted) Insider Purchases RHDPt - RLDPt t-statistic Insider Sales RHDSt - RLDSt t-statistic 0.0016 1.07 -0.1108 ** -2.86 0.3879 ** 5.66 -0.0141 ** -6.46 -0.1120 * -2.01 0.2306 * 2.34

Rmt

-0.4186 ** -4.49

0.2213

-0.4351 ** -6.72

0.4764

* and ** indicate significance at the 0.05 and 0.01 levels (two-tailed, except binomial), respectively.

33

Bng IV Fama-Macbeth tch hi qui cho tt c cc cng ty v cng ty chi tr c tc

Bng ny trnh by cc h s trung bnh v cc thng k lin quan i vi hm hi qui hng thng Fama-Macbeth v li nhun ni b (c o bng li nhun vt qu trng s CRSP) trong 21 ngy giao dch. DY l mc c tc trung bnh (c tc trn gi c phn) trong nm nm qua. BM l gi tr s sch ca cty t nm ti chnh trc . Ln (MV) l hm log gi tr vn c phn th trng ca cng ty ca nm ti chnh trc nm cui. EV l cc chnh lch khon thu nhp hng nm trn mi c phiu so vi nm nm trc. DR l t l ca n di hn ca cng ty cng vi ph n trong mt nm tnh trn tng ti sn t nm ti chnh trc . RD l trung bnh ca cc t l chi ph R & D so vi doanh s bn trong nm nm trc. IT l t l ti sn v hnh trn tng ti sn t nm ti chnh trc . T l t s ca nh my, ti sn, thit b, i din cho ti sn hu hnh, trn tng ti sn t nm ti chnh trc . Ln (SH) l hm log s c ng vo cui nm ti chnh trc . EX l tng hp ca cc bt thng, ngng hot ng, v cc mt hng c bit trn tng doanh thu t nm ti chnh trc . RV l phng sai ca li nhun hng ngy trong nm trc . LS l mt trong 2 bin 0,1; l 1 nu thu nhp trn mi c phiu l tiu cc trong nm ti chnh trc v 0 nu ngc li. E l mt trong 2 bin 0,1; l 1 nu cng ty c giao dch trn NYSE hoc AMEX trong nm ti chnh trc v 0 nu khng. Bng A cho thy cc kt qu nu mu l tt c cty. Bng B cho thy cc kt qu nu mu ch l cc cty c tr c tc. C ba hm hi quy hng thng. u tin l n bin khng c bin khc nh hng. Th hai l a bin, c thm cc bin lin quan n c chnh sch c tc cng nh thng tin bt i xng. Th ba l a bin, c thm cc bin kim sot thng tin bt i xng. Rki Rki = + dy DYi + ki = + dy DYi + bm BM i + mv ln(MV )i + ev EVi + dr DRi + sh

ln(SH )i + ki Rki = + dy DYi + bm BM i + mv ln(MV )i + ev EVi + dr DRi + sh

ln(SH )i + rd RDi + it ITi + t T + ex EX i + rv RVi + ls LS i + e Ei + k

Bng IV (tip theo)

Panel A1 : All Firms In sider P urc h ases Insider gains t -st at ist ic In sider Sales Insider gains t -st at ist ic -0.0053 * -2.38 0.102 3 * 2.36 0.0235 ** 10.08 -0.199 4 ** -4.64 Int ercept DY

Panel A2: All Firms In sider P urch ases Insider gains t -st at ist ic In sider Sales Insider gains t -st at ist ic
P anel A3: All Firms I n side r P ur ch ase s Insider gains t -st at ist ic I n side r Sale s Insider gains t -st at ist ic -0.00 57 -0. 84 0.116 7 ** 2.72 0.0004 0.14 -0.0006 -0.57 0.0001 0.50 -0.0 043 -0.72 -0.0017 -1.79 0.02 43 1.3 3 -0.0039 -0.28 0.0 017 0.57 -0.0056 -0.26 -1.0901 -0. 66 -0.011 2 ** -3.14 0.0086 ** 4.80 Int ercept DY BM ln(MV) EV DR ln(SH) RD IT T EX RV LS E

Int ercept

DY

BM

ln(MV)

EV

DR

ln(SH)

0.0547 ** 7.76

-0.153 7 ** -3.67

-0.0041 -1.28

-0.006 1 ** -5.39

0.0000 -0.17

-0.020 8 ** -3.25

0.0034 ** 3.08

-0.0098 -1.59

0.118 5 ** 2.85

0.0023 0.86

0.0012 1.25

-0.0001 -0.93

-0.0032 -0.67

-0.0022 * -2.27

0.04 30 ** 4.6 6

-0.1102 * -2.36

-0. 0026 -0.73

-0.0050 ** -3.39

-0.0003 -0. 91

-0.0163 * -2.25

0.0021 1.38

0.0915 * 2.4 6

-0.0047 -0.14

-0. 0038 -1.12

-0.0082 -0.20

4.3628 * 2.3 3

-0.0021 -0.42

0.0071 ** 2.67

Bng IV (tip theo)

P anel B1: Dividend-p aying Firms In sider P ur ch ases Insider gains t -st at ist ic Insider gains t -st at ist ic Panel B2: Dividend-paying Firms In sider P urch ases Insider gains t -st at ist ic In sider Sales Insider gains t -st at ist ic -0.0169 ** -2.72 0.128 7 ** 2.99 0.0002 0.06 0.002 6 ** 2.92 -0.0001 -0.81 0.0024 0.53 -0.0035 ** -4.01 0.0344 ** 4.87 -0.162 6 ** -2.96 0.0029 0.83 -0.003 9 ** -3.41 0.0000 -0.06 -0.0060 -0.97 0.0027 * 2.29 Int ercept DY BM ln(MV) EV DR ln(SH) -0.0048 * -2.42 0.079 7 * 1.99 0.018 8 ** 7.45 -0.1356 * -2.60 Int ercept Dividend Yield

Panel B3 : Dividend-paying Firms In sider P ur ch ases Insider gains t -st at ist ic In sider Sales Insider gains t -st at ist ic -0.0 055 -0 .70 0.06 35 1.24 -0.000 3 -0.1 0 -0 .0002 -0.22 0.0000 -0.23 0.0 013 0 .22 -0.00 16 -1.5 0 0.023 6 0.76 0 .0019 0.13 0.0 014 0.48 -0.02 90 -1 .34 -2.962 5 -1.0 3 -0 .0066 -1.36 0.0065 ** 3.41 Int ercept DY BM ln( MV) EV DR ln(SH) RD IT T EX RV LS E

0.0 400 ** 4 .02

-0.20 72 ** -2 .83

-0.001 4 -0.3 2

-0 .0058 * * -3.86

-0.0004 -1.14

0.0 066 0 .74

0.003 9 * 2.35

0.147 3 * 2.13

-0 .0553 -0.95

-0.0 024 -0.66

0.01 21 0 .20

3.027 3 0.9 7

-0 .0057 -0.91

0.0095 ** 3.82

* and ** indicate significance at the 0.05 and 0.01 levels (two-tailed), respectively.

Bng V Hi qui Fama-MacBeth cho cty tr c tc vs cty ko tr c tc Bng ny trnh by cc h s trung bnh v thng k lin quan cho hm hi qui Fama-Macbeth hng thng v li nhun ni b (c o bng li nhun vt qu ch s CRSP) trong 21 ngy giao dch cng ty i: DI l bin 0 hoc 1; l 0 nu cng ty ko tr c tc trong nm nm ti chnh trc v l 1 nu cng ty tr c tc trong thi gian . BM gi tr s scg ca cng ty t nm ti chnh trc . Ln (MV) l hm log gi tr vn c phn th trng khi kt thc nm ti chnh trc. EV l cc khon thu nhp hng nm trn mi c phiu bin ng trong nm nm trc. DR l t s ca n di hn cng vi n n hn trong mt nm trn tng ti sn t nm ti chnh trc . RD l trung bnh ca cc t l chi ph R&D bn hng trong nm nm trc. IT l t s gia ti sn v hnh trn tng ti sn t nm ti chnh trc . T l t s gia ti sn hu hnh trn tng ti sn t nm ti chnh trc . Ln (SH) l hm log s c ng vo cui nm ti chnh trc . EX l tng hp ca cc bt thng, ngng hot ng, v cc mt hng c bit trn tng doanh thu t nm ti chnh trc . RV l phng sai ca li nhun hng ngy trong nm trc . LS l mt trong 2 bin 0,1; l 1 nu thu nhp trn mi c phiu l tiu cc trong nm ti chnh trc v l 0 nu ngc li. E l mt trong 2 bin 0,1; l 1 nu cng ty c giao dch trn NYSE hoc AMEX trong nm ti chnh trc v 0 nu khng. C ba hm hi qui hng thng. u tin l n bin khng c bin chng. Th hai l a bin, c thm cc bin lin quan n c chnh sch c tc cng nh thng tin bt i xng. Th ba l a bin, c thm cc bin iu khin khng i xng thng tin.
Rki = + dy DI i + ki Rki = + di DI i + bm BM i + mv ln (MV )i + ev EVi + dr DRi + sh ln (SH )i + ki . Rki = + di DI i + bm BM i + mv ln (MV )i + ev EVi + dr DRi + sh ln (SH )i + rd RDi + it ITi + t T + ex EX i + rv RVi + ls LS i + e E i + ki

Bng V (tip theo)

P anel 1 In sider P urc h ases Insider gains t -st at ist ic Insider gains t -st at ist ic -0.0063 * -2.20 0.0040 1.74 0.029 9 ** 9.37 -0.0159 ** -5.51 Int ercept DI

P anel 2 In sider P urch ases Insider gains t -st at ist ic In sider Sales Insider gains t -st at ist ic

Int ercept

DI

BM

ln(MV)

EV

DR

ln(SH)

0.0536 ** 7.55

-0.009 8 ** -3.42

-0.0036 -1.24

-0.005 0 ** -4.28

0.0000 -0.06

-0.021 6 ** -3.27

0.0021 1.84

-0.0103 -1.67

0.0035 1.58

0.0032 1.20

0.0009 0.93

-0.0001 -0.90

-0.0036 -0.75

-0.0013 -1.32

P anel 3 In sider P urch ases Insider gains t -st at ist ic In sider Sales Insider gains t -st at ist ic

Int ercept

DI

BM

ln(MV)

EV

DR

ln(SH)

RD

IT

EX

RV

LS

0.0 393 * * 4 .21

-0.00 13 -0.38

-0 .003 4 -0.9 9

-0.0 042 * * -2.88

-0.0 003 -0 .86

-0.01 40 -1.89

0 .000 7 0.4 9

0.0 862 * 2.45

-0.00 94 -0 .32

-0 .005 0 -1.3 1

-0 .0049 -0.1 1

4.0 316 * 2.18

0.00 10 0 .23

0 .006 9 ** 2.6 6

-0.0 050 -0 .75

0.00 46 1.87

0 .000 6 0.1 9

-0.0 012 -1.20

0.00 01 0 .41

-0.00 34 -0.59

-0 .000 9 -0.9 2

0.0 306 1.53

-0.00 30 -0 .23

0.00 20 0.66

-0 .0013 -0.0 6

-1.0 624 -0.63

-0.01 17 ** -3 .32

0 .008 5 ** 4.5 6

* and ** indicate significance at the 0.05 and 0.01 levels (two-tailed), respectively.

Bng VI Hi quy v th ch quyn s hu

Bng ny trnh by cc h s v cc thng k lin quan i vi hm hi quy ng lin kt t nm 1990-95 ca hm ly log t l phn trm quyn s hu cho cng ty i: DY l mc c tc trung bnh (c tc trn gi c phiu) trong nm nm qua. SPI l mt trong 2 bin 0,1; l 1 nu mt c phiu thuc S&P 500 v 0 nu khng phi. BM l gi tr s sch cty t nm ti chnh trc . Ln (MV) l hm log gi tr vn c phn th trng ca cng ty ca cui nm ti chnh trc. YY l mt nm bin. C hai hm hi quy. u tin l n bin khng c bin chng. Cc a bin th hai vi cc bin chng.

ln(I i )= + dy DYi + yy YY + i ln(I i )= + dy DYi + spi SPI i + bm BM i + s ln(MV )i + yy YY + i .

R-SQR P anel A1 In sider P ur ch ases Inst it ut ion al Ownersh ip t -st at ist ic Inst it ut ion al Ownersh ip t -st at ist ic R-SQR P anel A2 In sider P urc h ases Inst it ut ion al Ownership t -st at ist ic In sider Sales Inst it ut ion al Ownership t -st at ist ic 31.4616 ** 4.20 -1.89 31 ** -10 .13 -0.280 2 ** -20 .60 0.365 5 ** 131 .20 0.170 2 ** 19.0 1 0.1702 ** 19 .0100 -18 .8601 -1.57 -1.79 55 ** -8.6 3 -0.324 2 ** -13 .99 0.337 2 ** 81 .10 0.028 1 ** 2.74 0.0102 1.6800 Int ercept DY SP I ln(MV) BM YY (adjust ed) -73 .095 5 ** -7.55 4.361 8 ** 18 .77 0.038 4 ** 7.89 -251 .236 4 ** -17 .01 3.808 7 ** 15 .25 0.127 6 ** 17 .22 Int ercept DY YY (adjust ed)

0.0337

0.0132

0.3980

0.4177

* and ** indicate significance at the 0.05 and 0.01 levels (two-tailed, except binomial), respectively.

Bng VII Li nhun trc v sau khi thay i c tc khi th trng c s iu chnh Bng ny trnh by li nhun thu c bnh qun trong 21 ngy c o bng t l phn trm li nhun vt so vi ch s gi tr NYSE CRSP / AMEX /NASDAQ trng. Ngy 0 l ngy tuyn b c s thay i trong chia c tc. Mi thay i c tc-d c s mua bn trc v sau khi c thay i trong chia c tc-u c bao gm trong cc v mua bn Mi thay i c tc d c doanh thu trc v sau khi c thay i trong c tc u c k n trong cc mu doanh thu. Tt c li nhun t cc giao dch din ra t ngy 1 n ngy 182 c tnh trung bnh v th hin cho li nhun sau khi c s thay i c tc.
Insider Purchases Mean 1.71% 0.73% 0.98% 1.87 0.00% -0.70% 0.69% 0.57 Insider Sales Mean 0.22% 0.19% 0.03% 0.31 0.23% -0.21% 0.45% 1.93

Before Dividend Increase After Dividend Increase Difference t-stat Before Dividend Decrease After Dividend Decrease Difference t-stat

# Obs. 355 355

# Obs. 12,726 14,016

135 138

3,092 3,771

* and ** indicate significance at the 0.05 and 0.01 levels (two-tailed, except binomial), respectively.

Phn m rng

Chnh sch c tc Australia v Nht Bn

1.Mc tiu ca ti Australia v Nht Bn hai trong nhng nc pht trin nht trong khu vc chu Thi Bnh Dng.Tuy nhin, 2 quc gia ny c nhiu im khc nhau v vn ha ngun lc ti chnh, lut php v th ch chnh tr. Mc tiu nghin cu ca bi ny l tm hiu s tc ng ca nhng yu t mi trng c to s khc bit gia chnh sch c tc ca 2 quc gia:Australia-Nht Bn v nu c, tng nhn t nh hng n quc gia nh th no( tnh quan trng ca nhn t) 2. i tng nghin cu: D liu trong 10nm ca2235 quan st theo nm ca cng ty t cc c phiu hp thnh ch s ASX 200 ca th trng chng khon Australia v ch s Nikkei 225 ca th trng chng khon Nht Bn 1992-2001, s dng m hnh hi quy nhn t c nh. 3. Gii thiu mt vi c im mi trng 2 quc gia Da trn s phn loi ca cc bin mi trng trong nc v cc loi thu doanh nghip trong nc thnh vin ca T chc hp tc v pht trin kinh t OECD ,Bng 1 cho thy s khc bit gia cc mi trng Australia v Nht Bn h thng k ton ca h rt khc nhau, trong Australia theo m hnh Anh-M v Nht Bn da trn m hnh Chu u lc a. Nhng yu t mi trng gy ra s khc bit v mc yu cu cng b thng tin ca th trng chng khon p ng vi mc khc nhau ca chnh tr, Ti chnh, v nguy c kinh t c lin quan n chnh sch c tc.

Bng 1 Nhng bin s mi trng ca Australia v Nht Bn

Bin s Ti tr bn ngoi H thng php lut Quan h chnh tr v kinh t Thu Cultu re: Ch ngha c nhn Trnh ri ro

Austr alia Th trng chng khon Thng lut Khi thnh vng chung v Chu Thu c in 1987 Gn thu sau 1987 Cao Yu

N B ht n Cc ngn hng Lut La M M v Chu C in vi c tc Tn dng thu Thp Mnh

Quan h i l ph hp l thuyt truyn tn hiu ca chnh sch c tc, cc yu t mi trng cho thy chi tr c tc Nht Bn thp hn so vi Australia. Quyt nh c tc ca mt Doanh nghip c lin quan vi vic trin khai ca li nhun c to ra t hot ng ca mnh. Li nhun hoc li cho Doanh nghip ti u t hoc phn phi cho cc c ng. Cc nghin cu su rng v chnh sch c tc trong nhng 50 nm qua khng th t c mt s ng thun v mt l thuyt c tc chung c th gii thch qu trnh ra quyt nh chia c tc, hoc d on mt chnh sch c tc ti u. Cc kch bn phc tp ca vic ra quyt nh chia c tc i hi mt ci nhn ton din ca nhiu mi quan h tng quan gia chnh sch c tc vi cc bin s quyt nh quan trng khc trong mt chin lc tng th ca cng ty nhm mc ch t c mc tiu ca Doanh nghip trong iu kin chu s tng tc ca mi trng. Vi s a dng trong cc mc tiu doanh nghip v mi trng, c th hiu c c chnh sch c tc khc nhau ring c th cho Doanh nghip, ngnh, th trng, hoc khu vc. John, Kalay, Loewenstein, v Sarig [2000] kt lun rng bt k li khuyn v cch thit lp chnh sch c tc phi c thc hin cp vi m tng cng ty c th. Nh qun l ti chnh phi xem xt liu s c st th trng khc nhau nh thng tin bt i xng, chi ph i din, thu, v chi ph giao dch nh hng n cng ty nh th no 4. M hnh thc nghim: s dng m hnh nhn t c nh ca phn tch hi quy Nghin cu c m t y c tin hnh theo hai giai on: - cp vi m, xc nh cc bin Ti chnh quan trng c nh hng n chi tr c tc Doanh nghip Australia v Nht Bn - cp v m, xc nh nhng nh hng khu vc v ngnh.

 xc nh cc bin Ti chnh quan trng c nh hng n chi tr c tc ca Doanh nghip Australia v Nht Bn, m hnh nhn t c nh c p dng cho cc d liu bng t cc c phiu thnh phn ca ch s ASX 200 ca th trng chng khon Australia v ch s Nikkei 225 ca th trng chng khon Nht Bn. Cc m hnh thc nghim ca Aivazian, Booth, v Cleary [2001] ch ra rng chnh sch c tc ca Doanh nghipb nh hng bi li kh nng sinh li, tnh quy m, n, ri ro, ti sn c nh hu hnh, v tng trng. B sung thm thanh khon cho cc thit lp ca cc bin gii thch, l mt mt m hnh hi quy nhn t c nh: Yit Yit i = = = i + 0 Xit + %it . DPit , chi tr c tc ca Doanh nghip i trong nm (1) t H s chn ca Doanh nghip i 0 = vector hng

ca cc h s dc ca bin hi quy c lp Xit = vector ct ca cc bin Ti chnh ca Doanh nghip i trong t nm X 1 = ROC E, li nhun trn vn s dng i din cho kh nng sinh li X 2 = SI ZE, Vn th trng trong hm Logarit t nhin i din cho cc chi ph giao dch X 3 = WCR, T l vn lu ng i din cho thanh khon X 4 = DEBT, n T l n trn vn c phn i din cho cc n by X 5 = BET A, Chng khon Beta i din cho cc ri ro X 6 = T AN G,t l TSCHH i din cho cc kt hp ti sn X 7 = MT BV, T l gi tr th trng trn gi tr s sch, i din cho s tng trng % it = sai s ca Doanh nghip i trong t nm Cc gi thuyt l - 0 = 0 : chi tr c tc ca Doanh nghipkhng b nh hng bi kh nng sinh li, kch thc ca n, tnh thanh khon, n by, ri ro, kt hp ti sn v tng trng. Nhng du hiu hy vng cho cc bin gii thch trong m hnh thc nghim

c a ra trong Bng 5, a ra gi thuyt rng chi tr c tc ca Doanh nghipb nh hng tch cc ca kh nng sinh li, kch thc, v tnh thanh khon; v tiu cc ca n by, ri ro, kt hp ti sn v tng trng da trn quan h i l, s truyn thng tin, v l thuyt chi ph giao dch ca chnh sch c tc. Tuy nhin, cc bng chng v s tng trng v tc ng chi tr c tc l khng r rng. La Porta, Lopez-de-Silanes, Shleifer v Vishny [2000] thy rng Doanh nghip cc nc s dng thng lut, ni nh u t c bo v thng tt hn, chi tr c tc cao hn quc gia s dng dn lut. cc nc thng lut, tng trng doanh nghip cao lm cho chi tr c tc thp hn Doanh nghip tng trng thp .Cc bng chng thc nghim t Aivazian et al. [2001] cho thy kt qu ngc li m chi c tc tng nhanh th trng mi ni cao hn ti M. Tt c cc kt qu ny vi nhau c xu hng ch ra tm quan trng ca cc bin mi trng: thng lut so vi lut dn s, v th trng mi ni so vi th trng pht trin. 4. Mu m t D liu mu trong mi nm 1992-2001, bao gm cc 2235 quan st theo nm ca cng ty t 332 Doanh nghip ti cc th trng chng khon Australia v Nht Bn: 840 quan st theo nm ca cng ty t s 140 c phiu thnh phn ca ch s ASX 200 ti Australia v nm 1395 quan st theo nm ca cng ty t s 192 c phiu thnh phn ca ch s Nikkei 225 ti Nht Bn. Cc d liu c trch xut t Datastream, c cung cp bi Cng ty cung cp thng tin Thomson Financial. Cc mu y mu ca khu vc v thi gian c m t trong Bng 2

Bng 2 Miu t mu
S cng ty (Yi ) S quan st c inh nm (Yit ) Kch thc mu (N )

Theo khu vc Australia Nht Bn Tng Theo nm Australia 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 Total 42 44 60 75 86 98 107 116 107 105 840 Nht Bn 128 116 131 157 161 138 125 145 148 146 1395 Tng 170 160 191 232 247 236 232 261 255 251 2235 140 192 332 840 1395 2235 2235

T nhng thng k m t trong bng 3 v kim tra gi thuyt ca cc trung bnh mu trong Bng 4, Australia c mt chi tr c tc hn trung bnh 0,620 cao hn so vi 0,333 ca Nht Bn, mt kh nng sinh li cao hn (16,288 % so vi 5,429 %), v tng trng (3,175 so vi 2,192), nhng thp hn so vi Nht Bn v kch thc (7,023 so vi 12,802), n by (0,720 so vi 2,161), nguy c (0,803 so vi 0,961), v kt hp ti sn (0,301 so vi 0,324). Hn na, khng c s khc bit thng k ng k trong tnh thanh khon gia Australia v Nht Bn (1,452 so vi1,412). Cc c phiu thnh phn ca hai ch s c phn loi vo cc ngnh khc nhau theo cc hot ng kinh doanh ca chng. Nhng ch s ngnh cho thy cc nh u t thc hin ca cc tlnh vc khc nhau ca th trng chng khon. Vi Doanh nghip b phn nhm theo khu vc v ngnh, cc i s cho cc tc ng ca cng ty v chnh sch c tc nh tm quan trng tng i ca cnh tranh v ly lan truyn thng tin trong ni ngnh c th c tm hiu. V nh hng ca khu vc, mt Doanh nghip khng tn ti ring mnh, m hot ng trong mt mi trng kinh doanh chu s tc ng ca nn kinh t chnh tr . Cc bn lin quan chu chi phi ca h thng chnh tr [Cornell v Shapiro, 1987] cn phi c a vo xem xt bi nhng ngi a ra quyt nh ca cng ty, bao gm c vic xc nh chnh sch c tc. Mt lp lun hp l cho tc ng ca ngnh l chin lc a dng trong l thuyt u t hin i, v mt cch a dng ha bi ngnh. Mt Doanh nghiphot ng trong mt ngnh c th phi xc nh c bn cht ca v th cnh tranh ca mnh trong ngnh . Chnh sch c tc ca cng ty l mt trong nhiu yu t cnh tranh nh hng n nhu cu th trng cho vn ch s hu. N c th tc ng n v tr Doanh nghip trong ngnh v tm quan trng tc ng l i tng nghin cu thc nghim.

Bng 3 Thng k m t
DP Mean Median Mean Median Mean Median 0.441 0.420 0.295 0.620 0.670 0.281 0.333 0.300 0.247 ROCE 9.256 7.100 12.758 16.288 12.450 18.744 5.429 4.980 4.331 SI Z E W CR Full sample 10.630 1.425 11.778 1.240 3.095 0.746 7.023 6.865 1.489 12.802 12.812 1.207 1.452 1.290 0.921 1.412 1.220 0.640 DEBT BET A T AN G (N = 2235) 1.636 0.904 0.315 0.930 0.897 0.308 10.785 0.356 0.187 Australia (N = 840) 0.720 0.803 0.301 0.590 0.776 0.285 3.482 0.417 0.245 Japan (N = 1395) 2.161 0.961 0.324 1.280 0.949 0.316 13.240 0.303 0.142 M T BV 2.561 1.930 6.454 3.175 2.090 10.297 2.192 1.880 1.609

DP: chi tr c tc; ROCE: phn trm li tc trn vn s dng; SI ZE: s vn ha trong hm Logarit t nhin ; WCR: T l vn lu ng; DEBT: T l n trn vn c phn; BET A: C phn Beta; T AN G: t l TSCHH = Ti sn c nh hu hnh rng / Tng ti sn; MT BV: T l gi tr th trng trn gi tr s sch. Bng 4 Kim tra gi thuyt cho trung bnh mu
Dependent variable Sample size t -s t ta (Y ) DP 2235 25.252 20.652 ROCE 2154 -100.261 SI ZE 2235 WC R 2094 1.158 -3.016 DEBT 2194 -10.110 BET A 2177 -2.787 T AN G 2202 3.497 M T BV 2235 ngha thng k tnh ti 1 phn trm . Prob value 0.000 0.000 0.000 0.247 0.003 0.000 0.005 0.000 Result Australia higher than Japan Australia higher than Japan Australia lower than Japan No dierence Australia lower than Japan Australia lower than Japan Australia lower than Japan Australia higher than Japan

5.Kt qu thc nghim Chy m hnh hi quy vi LIMDEP 7.0 Kt qu thc nghim c bo co trong bng 5, 6 v 7 theo hai giai on nghin cu. cp cng ty, c tc chi tr l tht li vi cc tc ng C nh (Yit = i + 0 Xit + %it ) trong mu y da vo by bin Ti chnh : kh nng sinh li, kch thc, tn dng, ri ro,kt hp ti sn, tnh thanh khon, v tng trng. Mi m hnh nhn t c nh trong

Bng 5 c kim nh da vo phng php bnh phng nh nht (OLS) i chiu vi (Yit = i + 0 Xit + %it) trong Bng 6 thng qua mt Kim nh-F.
TABLE 5 M hnh nhn t c nh DP Expected Sign Dividend Theory ROC E +ve ST SI Z E +ve TC W C R DEBT +ve -ve ST AT BET A -ve AT T AN G -ve AT M T BV -ve AT

Full Sample: N = 2235, Adj R2 = 0.637, df = 1896 0.133 0.209 -0.112 0.112 0.269 -0.277 0.100 E-05 E-01 E-03 E-03 E-04 E-04 E-03 t stat 0.023 2.407 -1.413 1.140 1.011 -0.269 0.130 prob value 0.982 0.016 0.158 0.254 0.312 0.788 0.897 0 Vs OLS Model (Yit = + Xit + it )F(331, 1896) = 9.614 with prob value = 0.000 Australia: N = 840, Adj R2 = 0.695, df = 693 0.710 0.330 -0.112 0.111 0.200 -0.37 0.381 E-06 E-01 E-03 E-03 E-04 E-04 E-03 t stat 0.014 3.023 -1.617 1.251 0.850 -0.411 0.560 prob value 0.989 0.003 0.106 0.211 0.395 0.681 0.576 0 Vs OLS Model (Yit = + Xit + it )F(139,693) = 13.661 with prob value = 0.000 Japan: N = 1395, Adj R2 = 0.427, df = 1196 -0.469 0.123 0.822 0.243 -0.133 -0.683 -0.916 E-03 E-01 E-01 E-03 E-01 E-02 t stat -0.227 0.747 3.167 0.586 -3.909 -0.415 -1.560 prob value 0.820 0.455 0.002 0.558 0.000 0.678 0.119 0 Vs OLS Model (Yit = + Xit + it )F(191, 1196) = 5.727 with prob value = 0.000

* ngha thng k ti 1 phn trm. ** ngha thng k ti 5 phn trm.

ST: L thuyt truyn tn hiu ca chnh sch c tc; TC: Thuyt chi ph giao dch ca chnh sch c tc; AT: L thuyt quan h i l ca chnh sch c tc. Trong bng 5 cc m hnh hi quy nhn t c nh trn ton b mu mu c gi tr R2 l 0,637 v Kim nh F l 9,614 vi mt gi tr xc sut 0,000. Cc mu ca Australia c s liu thng k tng ng 0,695, 13,661, v 0,000, trong khi mu ca Nht Bn l 0,427, 5,727 v 0,000. i ng OLS , mu ca Australia v Nht Bn c R 2 iu chnh ln lt l 0,172, 0,049 v 0,053. Khi Doanh nghip s dng kim sot chnh h, sc mnh gii thch ca m hnh hi quy tc nhn c nh tng trong mi trng hp ,n chu tc ng ng k ca cc yu t ca c nh c th

TABLE 6 Ordinary Least Squares Models DP ROCE SIZE WCR DEBT BETA TANG MTBV Full Sample: N = 2235, Adj R2 = 0.172, df = 2227
t stat prob value t stat prob value t stat prob value -0.258 E-06 -0.006 0.996 Australia: 0.470 E-04 1.010 0.313 Japan: N -0.393 E-02 -2.170 0.030 -0.341 E-01 -17.483 0.000 -0.198 E-03 -6.605 0.000 0.478 E-04 0.466 0.641 = 0.049, 0.221 E-04 0.207 0.836 -0.259 E-04 -0.707 0.479 0.156 E-03 1.493 0.135 -0.306 E-02 -3.471 0.001 -0.403 E-02 -4.349 0.000 -0.182 E-01 -4.204 0.000

N = 840, Adj R2 0.261 -0.108 E-01 E-03 3.961 -3.428 0.000 0.001 = 1395, 0.177 E-03 0.025 0.980

df = 832 0.928 0.592 E-05 E-04 0.248 0.546 0.804 0.585 0.982 E-01 1.910 0.056

Adj R2 = 0.053, df = 1387 -0.204 0.445 -0.173 E-01 E-03 -1.627 0.894 -5.736 0.104 0.371 0.000

* ngha thng k ti 1 phn trm. ** ngha thng k ti 5 phn trm.

i vi by bin gii thch, cc s liu thng k t-cho SI ZE c ngha thng k ti 1 phn trm trong mu Australia, mc d c ngha mc 5 phn trm trong cc mu Tng th. Cc kim inh t cho WCR v BET A c ngha thng k ti 1 phn trm trong mu Nht Bn. Nhng tc dng m hnh hi quy tc nhn c nh ch ra rng chnh sch c tc b nh hng tch cc ca kch thc Australia v thanh khon Nht Bn, v ch b nh hng tiu cc bi nguy c Nht Bn. Trong Bng 7, cc m hnh hi quy tc ng c inh c kim nh li i vi cc m hnh hi quy OLS cho nhng tc ng khu vc v ngnh. Kim nh F l 210,180 vi xc sut 0,000 cho thy s tn ti ca mt tc ng do khu vc gia Australia v Nht Bn. Cc cng ty Australia c chnh sch c tc khc cng ty ti Nht Bn do tc ng ca mi trng khc nhau. Hn na, kim nh F-10,695 vi mt gi tr xc sut 0,000 cho thy s tn ti tc ng ngnh gia cc lnh vc khc nhau ca th trng trong cc mu tng th. Tc ng ca cc ngnh tng t cng c tm ra v c ngha c Australia v Nht Bn. Miller [1986] thm vo vic c tc bt thng cho cc vn thu. l, c

mt s thin v thu s la chn ca thu nhp u t, m l mt yu t quan trng mt s nc. Hai h thng thu c lin quan n c tc ti cc nc pht trin: h thng thu c in nh Nht Bn, v h thng quy thu nh Australia. Cc h thng thu thu c in, mt Doanh nghip nh mt thc th chu thu ring bit vi c ng. Cc li nhun ca mt Doanh nghiptheo h thng ny b nh thu hai ln, ln u khi c thc hin bi cc Doanh nghipv mt ln na khi phn phi cho c ng nh c tc. H thng quy thu thu ngha l c ng b nh thu vo c tc c quyn khu tr vi thu doanh nghip np.
TABLE 7 Hypothesis Tests of Fixed Eects Models Fixed Eect Region i = 1 (Australia) i = 2 (Japan) Industry in Full Sample i = 1, 2,..., 68 Industry in Australia i = 1, 2,..., 50 Industry in Japan i = 1, 2, ..., 45 Sample Size 2235 2235 840 1395 F Test F(1, 2226) =210.180 Prob Value 0.000 Result Region Eect Not Rejected Industry Eect Not Rejected Industry Eect Not Rejected Industry Eect Not Rejected

F(67, 2160) = 10.695 0.000 F(49, 783) = 13.958 F(44, 1343) = 7.059 0.000 0.000

* Kim nh c ngha ti 1 phn trm.

6. Kt lun Hu ht cc nghin cu thc nghim v chnh sch c tc c tin hnh cc nc Anglo-Saxon, c bit ti M. Tuy nhin, Tsay [1998] kt lun rng c nhng khc bit quan trng, cng nh mt s im tng ng, Nht Bn . Cc bng chng cho thy Australia c mt chi tr c tc cao hn so vi Nht Bn cho vay h tr cc tc ng mi trng v chnh sch c tc. chnh sch c tc ti Australia v Nht Bn ang b nh hng bi cc yu t Ti chnh khc nhau: nh hng tch cc ca quy m Australia v tnh thanh khon Nht Bn, v tiu cc bi nguy c ch Nht Bn. Nhng kt qu ny c xu hng h tr cc quan h i l, truyn tn hiu, v chi ph giao dch cc l thuyt v chnh sch c tc. Tc ng ca ngnh cng c tm thy c Australia v Nht Bn, m ch ra tm quan trng

ca ngnh, trong Doanh nghipcnh tranh. Thm vo l yu t tc ng mi trng vo chnh sch c tc. Vn c bn l mc m chnh sch c tc l b nh hng bi cc bin mi trng, v cc tng tc gia cc bin mi trng. V d, vi tc dng u th thun li hn v thu ca c tc ti Australia, cc tc ng tch c ca kch thc cho thy rng cc giao dch chi ph l mt yu t quyt nh quan trng ca phn phi cc khon chi tr cho cc c ng ti Australia nhng khng phi Nht Bn, c th v kch thc tng i nh Doanh nghip ca n. La Porta et al. [2000] tm ra cc tc ng ca h thng php lut v chnh sch c tc trn ton th gii, nhng cn nghin cu thm khng nh tm quan trng ca cc yu t mi trng. Ngun tham kho: HORACE HO, Dividend Policies in Australia and Japan www.wikipedia.com www.saga.vn www.tratu.vn www.oldict.com