Luận văn thạc sĩ UEH: Mối quan hệ giữa các thành phần lợi nhuận và lợi nhuận cổ phiếu

Luận văn thạc sĩ phân tích ueh the relation between earnings components and stock return in vietnam stock market, đánh giá thực trạng, chỉ ra hạn chế, đề xuất giải pháp khả thi

• Tác giả: Chu Thi Kim Huong
• Người hướng dẫn: Dr. Vo Xuan Vinh
• Trường học: University Of Economics Ho Chi Minh City
• Chuyên ngành: Finance-Banking
• Đề tài: The Relation Between Earnings Components And Stock Return In Vietnamese Stock Market
• Loại tài liệu: Master Thesis
• Năm xuất bản: 2015
• Địa điểm: Ho Chi Minh City

Mục lục chi tiết

• 1. CHAPTER ONE: INTRODUCTION
• 1.1. Purpose of study
• 1.2. Structure of the thesis
• 2. CHAPTER TWO: LITERATURE REVIEW
• 2.1. Vietnam Stock Market
• 2.2. Prior empirical studies
• 2.3. Cash flows and accruals information in earnings
• 2.4. Definition of earnings quality
• 2.5. Measuring earning quality
• 2.6. Link between earnings persistence and market pricing
• 3. CHAPTER THREE: METHODOLOGY
• 3.1. Hypothesis testing framework
• 3.2. Testing of hypothesis
• 3.2.1. Testing of Hypothesis 1
• 3.2.2. Testing of Hypothesis 2
• 4. CHAPTER FOUR: EMPIRICAL ANALYSIS AND RESULTS
• 4.1. Test of Hypothesis 1: Earnings persistence result
• 4.1.1. Steps for Analyze
• 4.2. Test of Hypothesis 2: Stock return result
• 4.2.1. Steps for Analyze
• 5. CHAPTER FIVE: RESEARCH EVALUATION
• 6. CHAPTER SIX: CONCLUSION
• 6.1. Implication for investors
• 6.2. Implication for researcher
• 6.3. Implication for policy maker

Tóm tắt

I. Tổng quan về mối quan hệ giữa các thành phần thu nhập và lợi nhuận cổ phiếu

Nghiên cứu này tập trung vào việc phân tích mối quan hệ giữa các thành phần thu nhập và lợi nhuận cổ phiếu trên thị trường chứng khoán Việt Nam. Mục tiêu là xác định cách mà các thành phần thu nhập ảnh hưởng đến lợi nhuận cổ phiếu của các công ty niêm yết.

1.1. Định nghĩa và tầm quan trọng của chất lượng thu nhập

Chất lượng thu nhập là một yếu tố quan trọng trong việc đánh giá hiệu quả tài chính của một công ty. Nó không chỉ ảnh hưởng đến quyết định đầu tư mà còn phản ánh sự minh bạch trong báo cáo tài chính.

1.2. Các thành phần thu nhập chính và vai trò của chúng

Các thành phần thu nhập bao gồm lợi nhuận từ hoạt động kinh doanh, lợi nhuận từ đầu tư và các khoản thu nhập khác. Mỗi thành phần có ảnh hưởng khác nhau đến lợi nhuận cổ phiếu và cần được phân tích kỹ lưỡng.

II. Vấn đề và thách thức trong việc phân tích thu nhập tại thị trường chứng khoán Việt Nam

Thị trường chứng khoán Việt Nam đang đối mặt với nhiều thách thức trong việc phân tích chất lượng thu nhập. Các vấn đề như sự thiếu minh bạch và khả năng thao túng số liệu tài chính là những yếu tố cần được xem xét.

2.1. Thiếu minh bạch trong báo cáo tài chính

Nhiều công ty niêm yết không cung cấp thông tin đầy đủ và chính xác về tình hình tài chính của họ, dẫn đến sự nghi ngờ từ phía nhà đầu tư.

2.2. Khả năng thao túng số liệu tài chính

Một số công ty sử dụng các phương pháp kế toán để điều chỉnh lợi nhuận, gây khó khăn cho việc đánh giá chính xác chất lượng thu nhập.

III. Phương pháp nghiên cứu mối quan hệ giữa thu nhập và lợi nhuận cổ phiếu

Nghiên cứu sử dụng các phương pháp phân tích định lượng để kiểm tra mối quan hệ giữa các thành phần thu nhập và lợi nhuận cổ phiếu. Các mô hình hồi quy sẽ được áp dụng để xác định mức độ ảnh hưởng.

3.1. Thiết lập giả thuyết nghiên cứu

Giả thuyết nghiên cứu sẽ được xây dựng dựa trên các lý thuyết tài chính hiện có và các nghiên cứu trước đó về mối quan hệ giữa thu nhập và lợi nhuận cổ phiếu.

3.2. Phân tích dữ liệu và kết quả

Dữ liệu sẽ được thu thập từ các báo cáo tài chính của các công ty niêm yết và sẽ được phân tích để tìm ra mối liên hệ giữa các thành phần thu nhập và lợi nhuận cổ phiếu.

IV. Kết quả nghiên cứu và ứng dụng thực tiễn

Kết quả nghiên cứu cho thấy rằng các thành phần thu nhập có ảnh hưởng đáng kể đến lợi nhuận cổ phiếu. Điều này có thể giúp các nhà đầu tư đưa ra quyết định đầu tư chính xác hơn.

4.1. Phân tích kết quả và ý nghĩa

Kết quả cho thấy rằng lợi nhuận từ hoạt động kinh doanh có ảnh hưởng lớn nhất đến lợi nhuận cổ phiếu, trong khi lợi nhuận từ đầu tư có ảnh hưởng ít hơn.

4.2. Ứng dụng cho nhà đầu tư

Nhà đầu tư có thể sử dụng thông tin về chất lượng thu nhập để đưa ra quyết định đầu tư thông minh hơn, từ đó tối ưu hóa lợi nhuận.

V. Kết luận và triển vọng tương lai của nghiên cứu

Nghiên cứu này cung cấp cái nhìn sâu sắc về mối quan hệ giữa các thành phần thu nhập và lợi nhuận cổ phiếu trên thị trường chứng khoán Việt Nam. Tương lai của nghiên cứu có thể mở rộng sang các lĩnh vực khác.

5.1. Tóm tắt các phát hiện chính

Các phát hiện chính cho thấy rằng chất lượng thu nhập có ảnh hưởng lớn đến quyết định đầu tư và lợi nhuận cổ phiếu.

5.2. Đề xuất cho nghiên cứu tiếp theo

Nghiên cứu tiếp theo có thể xem xét các yếu tố khác ảnh hưởng đến lợi nhuận cổ phiếu, chẳng hạn như yếu tố kinh tế vĩ mô và chính sách tài chính.

Trích đoạn nội dung tài liệu

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY CHU THI KIM HUONG THE RELATION BETWEEN EARNINGS COMPONENTS AND STOCK RETURN IN VIETNAMESE STOCK MARKET A THESIS OF MASTER OF FINACE AND BANKING Ho Chi Minh City - 2015 LUAN VAN CHAT LUONG download : add [e-mail] MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY CHU THI KIM HUONG THE RELATION BETWEEN EARNINGS COMPONENTS AND STOCK RETURN IN VIETNAMESE STOCK MARKET Major: Finance-Banking Code: 60340201 A THESIS OF MASTER OF FINACE AND BANKING Supervisor: Dr. Vo Xuan Vinh Ho Chi Minh City - 2015 LUAN VAN CHAT LUONG download : add [e-mail] Contents Contents. List of Figures. List of Tables . CHAPTER ONE: INTRODUCTION.3 Purpose of study.4 Structure of the thesis . 4 CHAPTER TWO: LITERATURE REVIEW .1 Vietnam Stock Market .3 Prior empirical studies .1 Cash flows and accruals information in earnings .2 Definition of earnings quality .3 Measuring earning quality .4 Link between earnings persistence and market pricing . 18 CHAPTER THREE: METHODOLOGY .2 Hypothesis testing framework .4 Testing of hypothesis.1 Testing of Hypothesis 1 .2 Testing of Hypothesis 2 . 33 CHAPTER FOUR: EMPIRICAL ANALYSIS AND RESULTS .2 Test of Hypothesis 1: Earnings persistence result .1 Steps for Analyze .3 Test of Hypothesis 2: Stock return result .1 Steps for Analyze . 41 LUAN VAN CHAT LUONG download : add luanvanchat@agmail. 47 CHAPTER FIVE: RESEARCH EVALUATION . 49 CHAPTER SIX: CONCLUSION.1 Implication for investors .2 Implication for researcher .3 Implication for policy maker . LUAN VAN CHAT LUONG download : add [e-mail] Abstract This study examines the information of earnings quality which is reflected by the persistence of earnings and then investigates the link of earnings quality and stock returns of 245 listed firms in Vietnam stock market beginning from 2007 to 2013. The results are given in research show the earnings persistence rate is average 0.627, meaning that 62,7% current earning will contribute to the next year’s earnings. Moreover, the study finds that the cash flow component is more persist than the accruals component in earnings. Finally, stock price in Vietnam stock market appears that it do not reflect fully the different contribution of cash flow component and accruals components in earnings. LUAN VAN CHAT LUONG download : add [e-mail] List of Figures Figure 2.1 Vietnam's inflation - Source : World Bank* .2 Market cap in % of GDP - Source : Bloomberg .3 Price/Earnings ratio – Source: Bloomberg .4 Number of listed companies – Source: HSX and HNX .5 VN-index history data – Source: VNDIRECT company .1 The Framework for the Hypothesis 1 .2 The Framework for the Hypothesis 2 .3 The Logical Structure of the Quantitative Research Process (Alan (1988)) .4 Steps of Estimation Procedures for Hypothesis 1 .5 Steps of Estimation Procedures for Hypothesis 2 . 32 LUAN VAN CHAT LUONG download : add [e-mail] List of Tables TABLE 3.1 Descriptive statistics on earnings, the accrual and cash flow components of income and abnormal stock returns for a sample of 1,470 firm-year observations obtained from VN-Index and Bloomberg terminal during period 2007 to 2013 .2 Ordinary Least Squares regressions analyzing the persistence of the current earnings into the future earnings. Sample consists of 1,470 firm-year observations obtained from Bloomberg terminal during period 2007 to 2013 .3 Wald Test for Ho: α1 =1.4 Ordinary Least Squares regressions analyzing the persistence of the accrual and free cash flow components of earnings. Sample consists of 1,470 firm- year observations obtained from VN-Index and Bloomberg terminal during period 2007 to 2013.5 Wald test for Equality of coefficient cash flow and accrual .7 Iterative Weighted Non-linear least squares estimation of the stock price reaction to information in current earnings about future earnings. Sample consists of 2,940 firm-year observations obtained from VN-Index and Bloomberg terminal during period 2007 to 2013 .8 Wald test for Test of market efficiency Ho: α1 = α1* .9 Iterative Weighted Non-linear least squares estimation of the stock price reaction to information in the accrual and cash flow components of current earnings about future earnings. Sample consists of 2,940 firm-year observations obtained from VN-Index and Bloomberg terminal during period 2007 to 2013.10 Wald test for Test of market efficiency Ho: γ1 = γ1* ; γ2 = γ2* . 46 LUAN VAN CHAT LUONG download : add [e-mail] 1 CHAPTER ONE: INTRODUCTION How the earnings quality of listed firms in stock market is and whether stock price correctly reflects the information of earnings are the questions which have been attracted numbers of researchers. It is interesting and practical to identify the quality of earnings and how do investors response with this information that indicates in the stock price in Vietnamese stock market. The answer is meaningful to not only researchers, but also the market involvers who would like to understand and make an investment decision. It helps investors see the full picture of market and successfully set up investment strategies. The purpose of this research is to analyze the quality of reporting earnings and test the relation of earnings quality and stock return of listed firms in Vietnam stock market. Through the thesis, you may have some information about a new emerging market as Vietnam. This chapter presents the background of the topic, the research questions, the purpose of the study and the structure of the thesis 1.1 Background The first question is why earnings quality should be analyzed. Apparently, participants in financial market are aware that numbers of earnings can be manipulated. Despite the shortcomings of earnings, a majority of the market is looking at earnings; therefore, earnings quality issue still makes sense in study work. In investors’ perspective, before making an investment decision, except the stock price variable, the best pick would be earnings to look at the value of a security in one financial year or in a quarter. Sloan (2006) presented that future earnings are more informative than intrinsic value for those interested in forecasting stock returns over the next 3–12 months. LUAN VAN CHAT LUONG download : add [e-mail] 2 Studying earnings quality is also important because it affects investors’ buy- hold-sell action. This variable is an indicator to decide which firm is good and bad. In Vietnam stock market context, the quality of financial information of listed companies is an existing issue. With earnings reports, a bulk of firms are determined has not recorded properly to estimate of interest to be paid, do not transfer the entire business management costs incurred during the period in the income statement report. Many enterprises also use accounting policies as "the valves" to adjusted earnings, such as changing depreciation from 15 years to 25 years to reduce depreciation expense, as consequence make an increase in their earnings. The case of Vitaly Joint Stock Company (code: VTA) is an example. In the first half of 2010, to avoid the risk of being delisted, VTA leaders did everything possible to "create" numbers to the lowest losses. In the first- half financial year report, VTA were stopped depreciating of 5 production lines with a total cost estimated at 5. Thus, if they added depreciation cost, the after-tax losses on the income statement in 6 months of 2010 would be loss 29.09 billion VND instead of 19. Following is another example: SaiGon Beverages Joint Stock Company (TRI). In the 9 months of 2010 business result, TRI posted 10.6 billion profits; however, many investors remained cautiously with this information, since TRI was named "erratic" stock. Because investors were cheated the same case in 2008, TRI released profit at 750 million in 9 months of 2008 but in the fourth quarter of 2008, they announced an unexpected loss of over 146 billion. Subsequently, in 2009, TRI set profit target at 17 billion, but they announced a loss at 82.29 billion in the end of this year. The story still happened in the first 6 months of 2010, the parent company announced the loss of nearly 40 billion, but in the consolidated financial statements, they posted nearly 42 billion profits, thanks to the transfer of financial investments in subsidiaries Tribeco Binh Duong and Northern Tribeco right on 30th June. LUAN VAN CHAT LUONG download : add [e-mail] 3 Within three years, the story of the profit and loss of TRI like a quirky film that investors did not know what they should act with that code. And the sad ending of this story was that TRI delisted on 9th April, 2012. Therefore, getting the knowledge of earnings number and underlying of that number is the need for researchers and the investors either in the emerging market as Vietnam stock market.2 Research questions According to the problem background, it raises questions how the earning quality of Vietnam stock market listed firms is and whether stock price is reflected correctly the information of earnings, specifically the components of earnings. These answers for the following questions can give us some perspectives of the market. It can also provide us a better understanding on the Vietnam stock market. It can be interesting and useful to set up short and long investment strategies. The research questions are as followed:  How is the earnings’ quality of listed firms in Vietnam stock market?  Which components of earning play the major role to contribute to net income?  Do investors use information of earnings quality to apply for their investment action? 1.3 Purpose of study The objectives of the research are: - To figure out the quality of earnings of listed firms in Vietnam stock market; - To find out which part of earnings is major contribution to earnings; - To find out how investors react toward the information of earnings and toward the information of components of earnings; LUAN VAN CHAT LUONG download : add [e-mail] 4 - To suggest some implications to participants in Vietnam stock market, especially researcher, investors and policy makers.4 Structure of the thesis Chapter Two: An introduction to Vietnam stock market, reviews relevant literature relating to the definition of earnings quality, the content information of cash flow and accruals. A review of the concept of random walk, market efficiency which are also present which is a basis for measuring the two tested hypotheses Chapter Three: I focus on the theoretical and statistical methodology. I then explain how I approached the research and present the process for measuring the two hypotheses based on the literature. Chapter Four: Provide steps to analyze hypothesis and display results of tested regressions. I find the evidence to support my predictions of persistence of earnings. I also find interesting results from the pricing equation. Chapter Five and Six: The two last chapters summarized the key findings and strategy conclusions made in the thesis. A recommendation for further studies and self-evaluation of the research is also included. LUAN VAN CHAT LUONG download : add [e-mail] 5 CHAPTER TWO: LITERATURE REVIEW 2.1 Vietnam Stock Market This part shall give you a better overlook on Vietnamese market. Vietnam keeps maintain developing of the land’s economy on GDP (Gross Domestic Product) and to control the inflation. The inflation rate is peak in 2008 and 2011 at 22. The recent tightening of monetary policy had some impact in cooling the economy; inflation slowed down in 2012 and dropped sharply to 4.1 Vietnam's inflation - Source : World Bank* To control the inflation into single digits, stabilize the macro economics, and to grow the stock market are among the priority goals of Vietnam. Vietnam’s stock market capitalization represented nearly 23% of GDP in 2013, it is a low market cap/ GDP 2relative to ASEAN nations. This is a positive sign for the economy and suggests that the stock market still has strong 1 Vietnam’s inflation data is obtained at http://data.org/indicator/NY.ZG 2 See Appendix 1 LUAN VAN CHAT LUONG download : add [e-mail] 6 development potentials.