Phản ứng của thị trường khi công bố thông tin chi trả cổ tức bằng tiền nghiên cứu thực nghiệm trên thị trường chứng khoán Việt Nam

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B(> GIAO Dl)C v A DAO T~O

TRUONG D~I HQC MO THANH PHO HO CHI MINH

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DOAN THI . MINH THAI

PHAN UNG CUA THI TRUONG KHI

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CONG BO THONG TIN CHI TRA co TUC BANG TIEN

NGHIEN ciru THUC NGHIEM TREN THI TRUONG

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CHUNG KHOAN VIET NAM

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Chuyen nganh : Tai chinh ngan hang

Ma sfi chuyen nganh : 60 34 02 01

- ...,, ,,,,, ' , " ' LUAN VAN THAC SY TAI CHINH- NGAN HANG

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TRUONG D~l HOC M~ TP .HCM

NguOi hu6ng d~n khoa h9c:

Ti~n si Vo Xuan Vinh

~~~~~~!!!!!!!!!!!!!!!~T~P~·~H~6~C~h~iM!!!!!inh!!!!!,n~a~m~2~0~1~4!!!!!!!!!!!!!!!!!!!l~ \. ~

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Lin CAM DOAN

Toi cam doan dmg lu~n van "Phan frng cua thi trm'mg khi cong ba thong tin chi

tra ca ttrc bdng ti~n -Nghien cll'll thl}'c nghi~m tren thi trll'img chfrng khoan Vi~t Nam"

la bai nghien c(ru cua chinh t6i du6i sv hu6ng d~n cua Ti~n sI Vo Xuan Vinh.

Ngoc;ii trir nhfmg tai li~u tham khao duqc trich d~n trong lu~n van nay, t6i cam k~t

toan phAn hay nhfrng phAn nho cua lu~n van nay chua tirng duqc c6ng b6 ho~c duqc SU

dvng d~ nh~n b~ng cftp 6 nhfmg nai khac.

' Khong c6 san phftm, nghien Clru nao cua nguai khac duqc SU dvng trong lu~n van

nay ma kh6ng duqc trich d~n theo dung quy dinh.

Lu~n van nay chua bao gia duqc n()p d~ nh~n bftt ky b~ng cftp nao tc;ii cac truang dc;ti

h9c ho~c ca sa dao tc;io khac.

Thanh ph6 H6 Chi Minh, ngay 16 thang 1 o nam 2014

Ngmn cam doan

Doan Thi Minh Thai

Trang i 1 '

LOI CAMON

Lm dftu tien, v&i IOng kinh trQng sau s~c, toi xin bay to lai cam on chan thanh dSn

TiSn si Vo Xuan Vinh, ngueri trµc tiSp hu&ng d~n va h6 trq toi trong qua trinh hoan thanh

lu~n van nay. Thfty da danh nhiSu theri gian quy bau d~ giup do toi tiSp c~n dung phuong

phap nghien Clru khoa hQC, hi~u ro hon cac ly thuySt kinh tS lien quan dSn lu~n van, v·a d~c

bi~t la y nghia cua lu~n van d6i v&i khoa hQc cung nhu d6i v&i thvc tiSn. Cam on Thfty vi

sv nhi~t tinh va kien nh~n truySn dC;tt kiSn thuc cho toi. Thfty khong nhfrng la m()t nguai

thfty ma con Ia m()t ngueri anh luon luon d()ng vien, giup do va chia se nhfrng kho khan

trong CUQC s6ng d~ toi co d()ng Ive hoan thanh nghien Clru nay. Qua lu~n van nay, toi khong

chi hQc hoi duqc nhfrng kiSn thuc lien quan t&i lu~n van ma con hQc hoi duqc r~t nhiSu diSu

b6 ich, nhfrng ky nang, kinh nghi~m va phong each s6ng khiSn toi tru&ng thanh hon.

Toi chan thanh cam on Pho Giao su, TiSn sy NguySn Minh Hada danh thai gian

quy bau dong gop y- kiSn d~ toi hoan thanh lu~n van nay.

TOi chan thanh gui lai cam on dSn gia dinh da tC;to mQi diSu ki~n thu~n lqi d~ toi thvc

hi~n va hoan thi~n lu~n van nay.

Cu6i cimg, toi xin gui dSn nhfrng anh chi, nhfrng ngueri bC;tn than thiSt va d~c bi~t la

cac bC;tn trong nhom "ChiSu chu nh~t" ICri cam on chan thanh da hf> trq va dong gop y kiSn

d~ toi hoan thanh lu~n van nay.

Doan Thi Minh Thai

Trang ii

TOM TAT LU~N v AN

Lu~n van xac dinh phan (mg cua thi truang khi cong b6 thong tin chi tra c6 tuc b&ng

ti~n. Phan (mg thi thuang duqc do luang thong qua gia ho{lc kh6i luqng giao dich c6 phiSu.

Ngoai ra, lu~n van con nghien clrti tac d<)ng cua cac ySu t6 d{lc trung cua doanh nghi~p dSn

phan (mg cua thi truang thong qua gia c6 phi Su. Dfr li~u duqc SU dvng bao g6m cac' cong

ty phi tai chinh niem ySt tren thi truang chtmg khoan Vi~t Nam tir thang 01nam2008 dSn

thang os nam 2014. Ap dvng cac phuong phap kinh ts luqng, d{lc bi~t la phuong phap

nghien clrti sv ki~n trong tai chinh, kSt qua nghien clrti chi ra r&ng thi truang khong hi~u

qua a d;;ing vira, cv the thi truang phan (mg ch~m thong qua gia c6 phiSu tang trong mQt

giai do;;in va xay ra hi~n tuqng ro ri thong tin thong qua kh6i luqng giao dich khi cong b6

thong tin chi tra c6 me b&ng ti~n. Ngoai ra, kSt qua cho thfty cac ySu t6 d{lc trung cua doanh

nghi~p co tac d9ng dSn lqi nhu~n b.it thuang ti ch liiy bao g6m quy mo cong ty ( quan h~

nguqc chi~u va c6 y nghia th6ng ke) va ty l~ c6 me ( quan h~ cimg chi~u va c6 y nghia th6ng

ke). Di~u nay c6 nghia la c6 phiSu cua nhfrng doanh nghi~p c6 quy mo 16n la nhfrng c6

phiSu c6 gia tuan theo ly thuySt thi truang hi~u qua.

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MUCLUC . .

Trang

LOI CAM DOAN ................................................................................................................. i

LOI CAM ON ................................................................................................................ , ..... ii

TOM TAT LUAN VAN ..................................................................................................... iii

Ml.JC Ll)C .......................................................................................................................... iv

DANH Ml)C cAc BANG ................................................................................................ vii ..

DANH sAcH cAc HINH ............................................................................................... viii

DANH sAcH cAc TU VIET TAT ................................................................................. .ix

CHUONG 1: GIOI THil$U ................................................................................................. 1

1.1. Ly do nghien CUu ..................................................................................... :.1

1.2. Ml,lC tieu nghien CUu .................................................................................. 2

1.3. Cau hoi nghien CUu .................................................................................... 2

1.4. Ph~m vi va df>i tuqng nghien ctru ............................................................. 3

1.5. y nghia va di~m m6i cua lu~n van ............................................................ 3

1.6. Phuong phap nghien cuu ........................................................................... 4

, ,

1.7. Ket cau cua lu~n van ................................................................................. 5

CHUONG 2: CO SO LY THUYET .................................................................................... 7

2.1. Ly thuy€t thi truang hi~u qua .................................................................... 7

2.2. M()t s6 nghien cl'.ru tru6c v€ trng dl,lng ly thuy€t thi truang hi~u qua va phan

trng cua thi truang khi cong b6 thong tin chi tra c6 tlrc ....................................... 9

2.3. Cac l~p lu~n v€ chinh sach c6 ttrc va gia tri doanh nghi~p ..................... 14

CHUONG 3: PHUONG PHAP NGHIEN CUD .............................................................. 17

3 .1. Du li~u nghien CUu .................................................................................. 1 7

Trang iv

3.2. Phuong phap nghien cfui sµ ki~n ............................................................ 18

3.2.1. Phan (mg cua thi truang thong qua gia va kh6i lm;mg giao djch c6

p h1eu .fa. kh" 1 'th" t" h" t ? ;.. -I-(,. b! t•.l. 18 co ong m c 1 ra co Luc ang 1en ....................................... .

3.2.2. Tac d<}ng cua m<}t s6 ySu t6 d~c trung cua doanh nghi~p dSn phan

trng cua thi truang .................................................................................... 24

CHVdNG 4: KET QUA NGHIEN CUu ......................................................................... 27

4.1. Phan (mg cua thi truang thong qua gia va kh6i luqng giao dich c6 phiSu

kh. " bfa. th" t" h. t ? ;.. -!,',. b! t . .l, 27 i cong o ong m c i ra co wc ang 1en ................................................... .

4.2. Tac d<}ng cua m<}t s6 ySu t6 d~c trung cua doanh nghi~p dSn phan (mg cua

thi truang thong qua gia c6 phiSu khi c6 thong tin chi tra c6 me b~ng tiSn ...... 32

4.2.1. Phan tich th6ng ke mo ta ............................................................ 33

4.2.2. Phan tich tuang quan .................................................................. 35

4.2.3. Phan tich kSt qua h6i quy ........................................................... 35

CHVdNG 5: KET LUAN v A KIEN NGHl .................................................................... 40

5.1. KSt lu~n ................................................................................................... 40

5.2. KiSn nghj ................................................................................................. 40

5 3 H h fa. ' d.i. fa.t huon' h"" uu' t.fa_ th 41 . . ~n c e va e xua g ng ien c iep eo .................................... .

TAI LI.SU THAM KHAO ................................................................................................. 42

PHl) Ll,JC .......................................................................................................................... 46

Phv lvc A. Danh sach cac c6 phi Su trong m~u ................................................... 46

Phv Ivc B. KSt qua hf>i quy mo hinh theo phuong phap OLS vm ba biSn d<}c l~p

SIZE, DR va BETA ............................................................................................ 51

Phv Ivc C. KSt qua h6i quy mo hinh theo phuong phap OLS v6i nam biSn d<}c l~p

SIZE, DR, BETA, ATV va AAV ....................................................................... 52

Phv Ivc D. Ki~m djnh White .............................................................................. 53

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