Mô Hình Beneish M-Score Trong Đo Lường Lợi Nhuận Thị Trường: Bằng Chứng Thực Nghiệm Tại Việt Nam

Tài liệu nghiên cứu Benenish m score model in market returns measurement empirical evidence in vietnam, tổng hợp lý thuyết và thực hành, cung cấp kiến thức chuyên sâu về .

• Tác giả: Duong Minh Khanh
• Người hướng dẫn: PhD. Nguyen Duy Linh
• Trường học: Banking University of Ho Chi Minh City
• Chuyên ngành: Banking - Finance
• Đề tài: Mô Hình Beneish M-Score và Đo Lường Lợi Nhuận Thị Trường Tại Việt Nam
• Loại tài liệu: Graduate Thesis
• Năm xuất bản: 2022
• Địa điểm: Ho Chi Minh City

Mục lục chi tiết

• 1. CHAPTER I: INTRODUCTION
• 1.1. Research objectives and research questions
• 1.2. Subject and scope of the study subject
• 1.3. Structure of the study
• 2. CHAPTER 2: THEORETICAL BASIS AND LITERATURE REVIEW
• 2.1. Definition of financial statement
• 2.2. Definition of financial reporting fraud
• 2.3. Theory explaining the motives for fraudulent financial statements
• 2.4. Acts of performing fraudulent financial statements
• 2.5. Identify distortions in financial statements
• 2.6. Beneish M-score model
• 2.7. Research on developing the Beneish M-score model
• 2.8. Research on the correlation between financial statement distortion and stock market profitability
• 3. CHAPTER 3: DATA AND RESEARCH METHODS
• 3.1. M – score and forecast future expected return
• 3.2. Calculate adjusted rate of return on a security (BHSAR)
• 3.3. Comparison of BHSAR (+1) of two groups of companies classified by M-score
• 3.4. Consider the relationship between M – Score and profitability
• 3.5. Consider the relationship between profitability and other factors
• 3.6. Empirical model about the relationship between M-score and return on stock market
• 3.7. Regression fit method – GMM
• 4. CHAPTER 4: RESEARCH RESULTS AND DISCUSSION
• 4.1. Financial distortion in Vietnam
• 4.2. Financial distortion from the perspective of the exchange
• 4.3. Fraud risk according to the capitalization classification
• 4.4. Impact of financial fraud on stock returns
• 4.5. M – Score and the influence of other factors on profitability
• 4.6. Correlation matrix between M - score and other influencing factors
• 4.7. Combined effect of M-score and other factors on stock return
• 4.8. Find the defects of the model
• 4.9. Regression by GMM method
• 4.10. Interpretation of regression results
• 5. CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS
• 5.1. Limitations and suggestions for further studies
• 5.2. Proposing solutions to limit fraud in financial statements

Tóm tắt

I. Tổng quan về Mô Hình Beneish M Score và Lợi Nhuận Thị Trường

Mô hình Beneish M-Score là một công cụ quan trọng trong việc phát hiện gian lận tài chính. Mô hình này giúp các nhà đầu tư và nhà phân tích đánh giá khả năng gian lận trong báo cáo tài chính của các công ty. Tại Việt Nam, việc áp dụng mô hình này ngày càng trở nên cần thiết, đặc biệt trong bối cảnh thị trường chứng khoán đang phát triển mạnh mẽ. Nghiên cứu này sẽ cung cấp cái nhìn tổng quan về mô hình Beneish M-Score và mối liên hệ của nó với lợi nhuận thị trường.

1.1. Mô hình Beneish M Score là gì

Mô hình Beneish M-Score được phát triển bởi Messod D. Beneish nhằm xác định khả năng gian lận trong báo cáo tài chính. Mô hình này sử dụng tám chỉ số tài chính để đánh giá độ tin cậy của báo cáo tài chính.

1.2. Tại sao M Score quan trọng trong đầu tư

M-Score giúp các nhà đầu tư phát hiện các công ty có khả năng gian lận, từ đó đưa ra quyết định đầu tư chính xác hơn. Việc hiểu rõ mô hình này có thể giúp giảm thiểu rủi ro đầu tư.

II. Thách thức trong việc Đo Lường Lợi Nhuận Thị Trường tại Việt Nam

Việc đo lường lợi nhuận thị trường tại Việt Nam gặp nhiều thách thức. Các công ty thường xuyên thay đổi cách thức báo cáo tài chính, dẫn đến khó khăn trong việc so sánh và phân tích. Hơn nữa, sự thiếu minh bạch trong thông tin tài chính cũng là một vấn đề lớn.

2.1. Vấn đề về minh bạch thông tin tài chính

Nhiều công ty tại Việt Nam không cung cấp thông tin đầy đủ và chính xác, gây khó khăn cho các nhà đầu tư trong việc đánh giá tình hình tài chính thực tế.

2.2. Rủi ro từ gian lận tài chính

Gian lận tài chính là một trong những rủi ro lớn nhất mà các nhà đầu tư phải đối mặt. Các vụ bê bối tài chính trong quá khứ đã làm giảm niềm tin của nhà đầu tư vào thị trường.

III. Phương pháp áp dụng Mô Hình Beneish M Score trong Đo Lường Lợi Nhuận

Mô hình Beneish M-Score có thể được áp dụng để đo lường lợi nhuận thị trường thông qua việc phân tích các chỉ số tài chính. Bằng cách sử dụng các chỉ số này, nhà đầu tư có thể xác định được các công ty có khả năng gian lận và từ đó đưa ra quyết định đầu tư hợp lý.

3.1. Các chỉ số trong M Score

M-Score bao gồm các chỉ số như chỉ số doanh thu, chỉ số lợi nhuận gộp, và chỉ số chất lượng tài sản. Những chỉ số này giúp phát hiện các dấu hiệu gian lận trong báo cáo tài chính.

3.2. Phân tích kết quả từ M Score

Kết quả từ M-Score cho thấy mối liên hệ giữa khả năng gian lận và lợi nhuận thị trường. Các công ty có M-Score cao thường có lợi nhuận thấp hơn.

IV. Ứng dụng thực tiễn của Mô Hình Beneish M Score tại Việt Nam

Mô hình Beneish M-Score đã được áp dụng thành công tại Việt Nam để phát hiện gian lận tài chính. Nghiên cứu cho thấy rằng các công ty có M-Score cao thường có lợi nhuận thấp hơn, điều này cho thấy mối liên hệ giữa gian lận tài chính và hiệu suất thị trường.

4.1. Kết quả nghiên cứu từ các công ty niêm yết

Nghiên cứu đã chỉ ra rằng các công ty niêm yết có M-Score cao thường gặp khó khăn trong việc duy trì lợi nhuận ổn định.

4.2. Ảnh hưởng đến quyết định đầu tư

Nhà đầu tư có thể sử dụng M-Score như một công cụ để đánh giá rủi ro và đưa ra quyết định đầu tư thông minh hơn.

V. Kết luận và Tương lai của Mô Hình Beneish M Score tại Việt Nam

Mô hình Beneish M-Score có tiềm năng lớn trong việc cải thiện độ tin cậy của báo cáo tài chính tại Việt Nam. Việc áp dụng mô hình này không chỉ giúp phát hiện gian lận mà còn nâng cao chất lượng thông tin tài chính trên thị trường.

5.1. Tương lai của M Score trong đầu tư

M-Score có thể trở thành một công cụ quan trọng trong việc đánh giá các công ty niêm yết tại Việt Nam, giúp nhà đầu tư đưa ra quyết định chính xác hơn.

5.2. Đề xuất cải tiến mô hình

Cần có những nghiên cứu sâu hơn để cải tiến mô hình Beneish M-Score, từ đó nâng cao khả năng phát hiện gian lận tài chính.

Trích đoạn nội dung tài liệu

MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY ********************* GRADUATION THESIS DUONG MINH KHANH BENEISH M-SCORE MODEL IN MARKET RETURNS MEASUREMENT: EMPIRICAL EVIDENCE IN VIETNAM GRADUATE THESIS MAJOR: BANKING - FINANCE CODE: 7340201 Ho Chi Minh City, November 2022 vi MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY ********************** Student: DUONG MINH KHANH Code: 050606180159 Class: HQ6-GE10 BENEISH M-SCORE MODEL IN MARKET RETURNS MEASUREMENT: EMPIRICAL EVIDENCE IN VIETNAM GRADUATE THESIS MAJOR: BANKING - FINANCE CODE: 7340201 Supervisor: PhD. NGUYEN DUY LINH Ho Chi Minh City, November 2022 vii COMMENTS OF THE GRADUATE THESIS ADVISOR. Ho Chi Minh City, …………,. Nguyen Duy Linh COMMENTS OF REVIEW BOARD.

Ho Chi Minh City, …………, .…… 2022 Chairman of the Review Board i ABSTRACT The thesis aims to apply the Beneish M-score model to investigated a potential link between the probability of manipulation in financial statements of 4,336 observations corresponding from 2011-to 2021. From there, classifying potentially manipulation companies according to M-score, the study also shows a significant difference in stock returns between these two groups of companies. Companies with a high risk of manipulation (high M-score) will have low stock returns, and vice versa. At the same time, the regression model finding the relationship between the return to scale adjusted for the M-score index and other predictors also shows a negative correlation with the M-score, a positive correlation with the M-score, Accruals, Momentum, MVE and BTM.

Thereby, the M-score is proven to have a significant impact on the profitability when impacting other forecast plates. Keywords: Beneish M-score, financial statement fraud, stock return. ii DECLARATION I hereby declare that this is my research work, and the research results presented in the thesis are honest and objective. The sources of information cited in this thesis are clearly indicated.

I am responsible for my thesis. Signature Khanh Duong Minh Khanh iii ACKNOWLEDGEMENT First of all, I am grateful and would like to send my sincerest and special thanks to my supervisor, PhD. Nguyen Duy Linh for helping me to finish this challenging thesis. Despite my defects throughout the process of performing the thesis, he always showed his caring and enthusiasm to support me to overcome.

Nguyen Duy Linh con0scientious guidance and support, this thesis cannot be successfully accomplished. Next, I would like to express my deepest gratitude to the teachers who are teaching at the Banking University of Ho Chi Minh City, who have spread the fire, passion and knowledge about economics from the most basic subjects, helping me to have a background in finance - banking. Finally, I would like to thank to my family, friends, and colleagues who have always encouraged and helped me in the process of studying and researching the topic. Although I have tried a lot, the thesis is not free of shortcomings.

I hope to receive the sympathy, guidance, help, and support of my colleagues. iv TABLE OF CONTENTS ABSTRACT. iii LIST OF TABLES AND FIGURES .vi CHAPTER I: INTRODUCTION. Research objectives and research questions.

Subject and scope of the study subject. Structure of the study. 4 CHAPTER 2: THEORETICAL BASIS AND LITERATURE REVIEW. Definition of financial statement.

Definition of financial reporting fraud. Theory explaining the motives for fraudulent financial statements. Acts of performing fraudulent financial statements. Identify distortions in financial statements.

Beneish M-score model. Research on developing the Beneish M-score model. Research on the correlation between financial statement distortion and stock market profitability. 15 CHAPTER 3: DATA AND RESEARCH METHODS.

M – score and forecast future expected return. Calculate adjusted rate of return on a security (BHSAR). Comparison of BHSAR (+1) of two groups of companies classified by M-score. Consider the relationship between M – Score and profitability.

Consider the relationship between profitability and other factors. Empirical model about the relationship between M-score and return on stock market. Regression fit method – GMM. 23 CHAPTER 4: RESEARCH RESULTS AND DISCUSSION.

Financial distortion in Vietnam. Financial distortion from the perspective of the exchange. Fraud risk according to the capitalization classification. Impact of financial fraud on stock returns.

M – Score and the influence of other factors on profitability. Correlation matrix between M - score and other influencing factors. Combined effect of M-score and other factors on stock return. Find the defects of the model.

Regression by GMM method. Interpretation of regression results. 36 CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS. Limitations and suggestions for further studies.

Proposing solutions to limit fraud in financial statements .44 vi LIST OF TABLES AND FIGURES Figure 4. Statistics on the number of companies at risk of fraud on stock exchanges Figure 4. Statistics on the number of companies at risk of fraud over the years Figure 4. Statistics by percentage of companies at risk of fraud over the years Table 3.

Statistics of research observations on HOSE and HNX 2011 - 2021 Table 4. Average M-score of fraudulent and non-fraudulent firms by exchange Table 4. Fraud risk according to the capitalization classification Table 4. Compare the average BHSAR return (t+1) of the two groups of companies Table 4.

Correlation matrix between M - score and other influencing factors Table 4. Regression results Table 4. Table of test results for VIF coefficient Table 4. Modified Wald Test Results Table 4.

Wooldridge Test Result Table Table 4. Table of regression results according to GMM method 1 CHAPTER I: INTRODUCTION 1. Rationales Nowadays, financial statements play a central and vital role in making investment decisions in the stock market. Financial statements provide information about the assets, sources of capital owned, results of operations, cash flows, and interpretation of material transactions during the business period enterprise.

Thereby helping users of financial statements check and monitor the current status of business activities in the past period, how enterprises use capital, and assess the ability to raise capital and generate revenue potential, future profits. However, many businesses have committed fraud and manipulated financial statements, and this behavior is increasing day by day. For various purposes, a company's management may seek to influence and alter the figures in the reports to make financial results better, but not to reflect the actual situation. Typically, the manipulation of the global financial statements was Enron in 2002 – the seventh- largest company in the US.

The Enron scandal caused a loss of more than $80 billion in capitalization for investors investing in this company. Also, it led to the collapse of the fifth auditing firm in the world at that time - Arthur Andersen. After Eron was the collapse of Lehman Brothers when fraudulently recording short-term debt financing operations into sales worth up to $50 billion. This scandal cost Lehman Brothers' auditing company at the time, EY, up to USD 109 billion to settle this case and compensate Lehman's investors.

In Vietnam, the financial scandal of Cuu Long Pharmaceutical Company in 2014 or the manipulation of Viet Nhat JVC Medical Joint Stock Company in 2015 up to VND 900 billion are typical examples and many the case of other listed companies on the stock exchange. These behaviors have highly negative impacts on the capital market and the economy in general. It leads to financial statements' quality that does not guarantee stakeholder decision-making. Therefore, assessing the reliability of 2 financial statements is always an urgent need when not everyone is capable of analyzing and identifying the company's actual situation.

In Vietnam, the research work "Using the Beneish M-score model to assess the quality of financial statements in Vietnam" by Vo Minh Duong (2016) has demonstrated the feasibility of using the Beineish M-score model to examine the quality of financial statements by detecting signs of data distortion of companies in Vietnam. However, no research explicitly studies how this distortion affects the return of the company's stock during the Covid-19 Pandemic. Therefore, the range of studies assesses financial statement fraud through the M-score model and extends to understanding the correlation between financial statement fraud and the profitability of stocks in the stock market before and during the Covid-19 epidemic. The study results can apply as a reference measure for investors and credit providers to evaluate the company's transparency and add a supporting tool to Invest in the stock market.

Research objectives and research questions 1. Research objectives  Overall objectives The object of the study revolves around detecting fraudulent financial statements of listed companies, thereby affecting the profitability of these companies on the stock market in Vietnam.  Detail objectives  Measure the possibility of distorting financial statements by the M-Score model.  Finding a suitable model to evaluate the impact of M-Score model on stock market return.

 Testing the impact of credit growth on M-Score model on stock market return, making appropriate assessments. 3  Proposing and giving appropriate solutions to limited fraud in financial statements in Vietnam. Research questions In this study, the author aims to answer three main research questions as follows:  Firstly, do the M-Score model measure the possibility of distorting financial statements?  Second, what is a suitable model to evaluate the impact of M-Score model on stock market return?  Third, correlation of M-score model with the profitability of listed companies on Vietnam stock market.  Fourth, what is solution to limited fraud in financial statements in Vietnam? 1.

Subject and scope of the study subject 1. Subject The subject of the study detects fraudulent financial statements of listed companies, thereby affecting the profitability of these companies on the stock market in Vietnam. Research scope  Scope of space: The companies listed on Ho Chi Minh Stock Exchange and Hanoi Stock Exchange.  Scope of time: The data are collected from 2011 to 2021.

 Research content: In this study, the author focuses on studying the impact of financial statement distortion on stock profitability. Thereby, we clarify the influence of the Beneish M-score model to detect fraudulent financial statements and find out the relationship between it and the profitability of companies on the stock market in Vietnam. Structure of the study The content of the study is divided into five specific chapters:  Chapter 1: Introduction to the topic  Chapter 2: Theoretical basis and literature review  Chapter 3: Data and research methods  Chapter 4: Research result and discussion  Chapter 5: Conclusion and recommendations 5 CHAPTER 2: THEORETICAL BASIS AND LITERATURE REVIEW 2. Definition of financial statement Financial statements are consolidated reports that show the current financial position of an enterprise and how that business uses capital from shareholders and credit providers.

The financial statement includes four main reports: (1) the balance sheet shows a company's financial position at a point in time, (2) the income statement shows how a company's profits have formed over a period, and (3) cash flow statements show the cash inflows and outflows of a company over some time and the last is the statement of changes in equity. Definition of financial reporting fraud Financial statements fraud is the company's use of techniques to change information on financial statements, making the numbers no longer truthful and objective to achieve specific purposes. These could be reducing taxes, matching reporting with analysts' forecasts, securing debt contracts, and managers achieving short-term compensation. However, fraud in financial statements causes information distortion, affects the market and decisions of investors and credit providers, and reduces the quality of the company's financial statements.

Theory explaining the motives for fraudulent financial statements  Fraud Triangle by Donald R. Cressey (1919 - 1987) Cressey focuses on analyzing fraud from the perspective of embezzlement and embezzlement by surveying about 200 cases of economic crimes to find out the causes of the above violations. He came up with a model: The Fraud Triangle consisting of Motivation - Attitude - Opportunity.