Extracto
2
Content
1.
Introduction ... 3
2.
Preliminary Notes ... 3
2.1 Research Issues ... 3
2.2 Literature review ... 3
2.3 Conceptual theories ... 4
2.4 Methodology ... 4
3. Main Results ... 4
3.1 General Data Analysis ... 4
3.2 Empirical Research Findings and Discussion ... 5
3.3. Comparing statistical results in 3 scenarios of changing leverage: ... 9
4.
Conclusion and Policy suggestion ... 12
Acknowledgements ... 13
References ... 14
Appendix ... 15
Introduction
Throughout many recent years, Viet Nam electric power market is evaluated as one of
active markets, which has certain positive effect for the economy.
The organization of paper contents is as following. As our previous series of paper, The
research issues and literature review will be covered in next sessions 2.1 and 2.2, for a
short summary. Then, methodology and conceptual theories are introduced in session 2.3
and 2.4. Session 3.1 describes the data in empirical analysis. Session 3.2 presents
empirical results and findings. Then, session 4 will conclude with some policy suggestions.
This paper also supports readers with references, exhibits and relevant web sources.
1. Preliminary Notes
2.1
Research Issues
Among the scope of the paperwork are:
Issue 1: Whether the risk level of electric power firms under the different changing
scenarios of tax rates increase or decrease so much?
Issue 2: Because Viet Nam is an emerging and immature financial market and the stock
market still in the starting stage, whether the dispersed distribution of beta values become
large in the different changing scenarios of leverage estimated in the electric power
industry
.
2.2
Literature review
John (1999) mentions a two-rate tax system where land is taxed at a higher rate than
structures in his research on two-rate property tax effects on land development.
Smith (2004) mentions in Chicago, properties located in a designated TIF (tax increment
financing) district will exhibit higher rates of appreciation after the area is designated a
qualifying TIF district when compared to those properties selling outside TIF districts, and
when compared to properties that sell within TIF district boundaries prior to designation.
Anderson (2009) recognized that the user cost tax elasticities are relatively small while the
expected house price inflation elasticity is substantially larger and therefore plays a greater
role in affecting housing market demand.
Spinassou (2013) showed that the impact of Basel III on the regulator's welfare depends
on the regulator's strength, and the implementation of an identical leverage ratio across
countries would decrease the welfare of regulators with strong powers. Next, Tasca et all
(2013) identified a safe regime, in which excessive leverage does not result in an increase
of systemic risk, and a risky regime, in which excessive leverage cannot be mitigated
leading to an increased systemic risk. And Gunaratha (2013) revealed that in different
industries in Sri Lanka, the degree of financial leverage has a significant positive
correlation with financial risk.
4
2.3
Conceptual theories
The combination of tax rate policy and leverage during the crisis period
The central bank and government or Ministry of Finance could use two tools: fiscal and
monetary policies to perform macro economic goals. Tax rate is one of fiscal policies,
either expansion or contraction, can affect quickly the aggregate demand and good market
and industry growth.
Beside, on the one hand, using leverage with a decrease or increase in certain periods
could affect tax obligations, revenues, profit after tax and technology innovation and
compensation and jobs of the industry. On the other hand, using financial leverage and
changing capital structure offers firms better economic conditions. Firms can vary the
capital structure with leverage and change the structure of fixed costs and variable costs.
Although leverage can help a firm to increase return, the firm will prefer to increase debt
up to a point to be not so nervous about risk because of too much debt financing.
2.4
Methodology
We use the data from the stock exchange market in Viet Nam (HOSE and HNX) during
the 2007-2011 period to estimate systemic risk results.
In this study, analytical research method and specially, tax rate scenario analysis
method is used. Analytical data is from the situation of listed electric power firms
in VN stock exchange and current tax rate is 25%.
Finally, we use the results to suggest policy for both these enterprises, relevant
organizations and government.
3. Main Results
3.1 General Data Analysis
The research sample has 20 listed firms in the
electric power
market with the live date
from the stock exchange.
Firstly, we estimate equity beta values of these firms and use financial leverage to estimate
asset beta values of them. Secondly, we change the tax rate from 25% to 28% and 20% to
see the sensitivity of beta values. In 3 cases (rate = 20%, 25%, and 28%), with current debt
financing, asset beta mean is estimated at 0,271, 0,272 and 0,270. Also in 3 scenarios, we
find out var of asset beta estimated at 0,025 (almost the same). Tax rate changes almost
have no effect on asset beta var under financial leverage.
3.2 Empirical Research Findings and Discussion
In the below section, data used are from total 9 listed
electric power
industry companies on VN stock
exchange (HOSE and HNX mainly). In the scenario 1, current tax rate is kept as 25% then changed
from 20% to 30%. Then, three (3) FL scenarios are changed up to 30% and down to 20%, compared to
the current FL degree. In short, the below table 1 shows three scenarios used for analyzing the risk level
of these listed firms.
Market risk (beta) under the impact of tax rate, includes: 1) equity beta; and 2) asset beta.
Table 1 Analyzing market risk under three (3) scenarios (Made by Author)
Tax rate as
current (25%)
Tax rate up
to 30%
Tax rate down
to 20%
Leverage as current
Scenario 1
Scenario 2
Scenario 3
Leverage up 30%
Leverage down 20%
a. Scenario 1: current tax rate 25% and leverage kept as current, 20% down and 30% up
In this case, all beta values of 20 listed firms on VN electric power market as following:
6
Table 2 Market risk of listed companies on VN
electric power
industry market under a
two factors model (case 1) (source: VN stock exchange 2012)
Order
No.
Company
stock code
Leverage as current
Leverage down
20%
Leverage up 30%
Equity
beta
Asset beta (assume
debt beta = 0)
Equity
beta
Asset
beta
(assume
debt beta
= 0)
Equity
beta
Asset beta
(assume
debt beta
= 0)
1
BTP
0,840
0,357
0,840
0,453
0,840
0,212
2
CHP
0,407
0,168
0,505
0,268
0,246
0,059
3
DNC
-0,865
-0,270
-0,865
-0,389
-0,865
-0,092
4
DRL
0,473
0,388
0,489
0,419
0,448
0,344
5
DTV
0,527
0,499
0,532
0,509
0,520
0,484
6
GHC
0,359
0,117
0,487
0,225
0,146
0,018
7
HJS
0,699
0,200
0,699
0,300
0,699
0,051
8
KHP
0,615
0,308
0,615
0,369
0,615
0,215
9
NBP
0,914
0,604
0,914
0,666
0,914
0,511
10
ND2
0,180
0,043
0,282
0,110
0,007
0,000
11
NLC
0,550
0,510
0,550
0,518
0,550
0,498
12
NT2
0,639
0,137
0,639
0,237
0,639
-0,014
13
PPC
0,811
0,232
0,811
0,348
0,811
0,059
14
RHC
0,361
0,200
0,361
0,232
0,361
0,151
15
SBA
0,177
0,062
0,233
0,112
0,084
0,013
16
SEB
0,427
0,194
0,427
0,241
0,427
0,124
17
SHP
0,485
0,245
0,563
0,341
0,358
0,128
18
SJD
0,420
0,221
0,420
0,261
0,420
0,161
19
TBC
0,612
0,568
0,612
0,577
0,612
0,554
20
TIC
0,351
0,343
0,351
0,345
0,351
0,341
b. Scenario 2: tax rate increases up to 28% and leverage kept as current, 20% down and 30%
up
All beta values of total 20 listed firms on VN electric power industry market as below:
Table 3 Market risks of listed
electric power
industry firms under a two factors
model (case 2) (source: VN stock exchange 2012)
Order
No.
Company
stock code
Leverage as current
Leverage down
20%
Leverage up 30%
Equity
beta
Asset beta
(assume debt
beta = 0)
Equity
beta
Asset
beta
(assume
debt beta
= 0)
Equity
beta
Asset beta
(assume
debt beta =
0)
1
BTP
0,840
0,357
0,840
0,453
0,840
0,212
2
CHP
0,415
0,172
0,513
0,272
0,254
0,060
3
DNC
-0,865
-0,270
-0,865
-0,389
-0,865
-0,092
4
DRL
0,475
0,390
0,491
0,421
0,451
0,346
5
DTV
0,528
0,500
0,533
0,510
0,522
0,485
6
GHC
0,368
0,120
0,496
0,229
0,151
0,019
7
HJS
0,699
0,200
0,699
0,300
0,699
0,051
8
KHP
0,615
0,308
0,615
0,369
0,615
0,215
9
NBP
0,914
0,604
0,914
0,666
0,914
0,511
10
ND2
0,185
0,044
0,288
0,112
0,008
0,000
11
NLC
0,550
0,510
0,550
0,518
0,550
0,498
12
NT2
0,639
0,137
0,639
0,237
0,639
-0,014
13
PPC
0,811
0,232
0,811
0,348
0,811
0,059
14
RHC
0,361
0,200
0,361
0,232
0,361
0,151
15
SBA
0,181
0,064
0,237
0,114
0,087
0,014
16
SEB
0,427
0,194
0,427
0,241
0,427
0,124
17
SHP
0,493
0,249
0,571
0,345
0,366
0,131
18
SJD
0,420
0,221
0,420
0,261
0,420
0,161
19
TBC
0,612
0,568
0,612
0,577
0,612
0,554
20
TIC
0,351
0,343
0,351
0,345
0,351
0,341
c. Scenario 3: tax rate decreases down to 20% and leverage kept as current, 20% down and
30% up
8
All beta values of total 20 listed firms on VN electric power industry market as below:
Table 4 Market risks of listed
electric power
industry firms under a two factors
model (case 3) (source: VN stock exchange 2012)
Order
No.
Company
stock code
Leverage as current
Leverage down
20%
Leverage up 30%
Equity
beta
Asset beta
(assume debt
beta = 0)
Equity
beta
Asset
beta
(assume
debt beta
= 0)
Equity
beta
Asset beta
(assume
debt beta =
0)
1
BTP
0,840
0,357
0,840
0,453
0,840
0,212
2
CHP
0,393
0,163
0,492
0,261
0,235
0,056
3
DNC
-0,865
-0,270
-0,865
-0,389
-0,865
-0,092
4
DRL
0,468
0,384
0,485
0,416
0,443
0,340
5
DTV
0,526
0,498
0,531
0,508
0,519
0,482
6
GHC
0,345
0,113
0,472
0,218
0,138
0,017
7
HJS
0,699
0,200
0,699
0,300
0,699
0,051
8
KHP
0,615
0,308
0,615
0,369
0,615
0,215
9
NBP
0,914
0,604
0,914
0,666
0,914
0,511
10
ND2
0,172
0,041
0,272
0,106
0,007
0,000
11
NLC
0,550
0,510
0,550
0,518
0,550
0,498
12
NT2
0,639
0,137
0,639
0,237
0,639
-0,014
13
PPC
0,811
0,232
0,811
0,348
0,811
0,059
14
RHC
0,361
0,200
0,361
0,232
0,361
0,151
15
SBA
0,170
0,060
0,226
0,109
0,080
0,013
16
SEB
0,427
0,194
0,427
0,241
0,427
0,124
17
SHP
0,471
0,238
0,551
0,333
0,345
0,123
18
SJD
0,420
0,221
0,420
0,261
0,420
0,161
19
TBC
0,612
0,568
0,612
0,577
0,612
0,554
20
TIC
0,351
0,343
0,351
0,345
0,351
0,341
All three above tables and data show that values of equity and asset beta in the
three (3) scenarios have certain fluctuation.
3.3. Comparing statistical results in 3 scenarios of changing leverage:
Table 5 - Statistical results (FL in case 1) (source: VN stock exchange 2012)
Leverage as current
Leverage down
20%
Leverage up 30%
Statistic
results
Equity
beta
Asset beta
(assume
debt beta =
0)
Difference
Equity
beta
Asset
beta
(assum
e debt
beta =
0)
Difference
Equity
beta
Asset
beta
(assum
e debt
beta =
0)
Difference
MAX
0,811
0,568
0,243
0,811
0,666
0,145
0,811
0,554
0,257
MIN
0,177
0,062
0,114
-0,865
-0,389
-0,476
0,084
-0,014
0,098
MEAN
0,483
0,271
0,212
0,473
0,307
0,166
0,461
0,321
0,140
VAR
0,0318
0,0253
0,007
0,1314
0,0482
0,083
0,0403
0,0389
0,001
Note: Sample size : 20 firms
Table 6 Statistical results (FL in case 2)
(source: VN stock exchange 2012)
Leverage as
current
Leverage down
20%
Leverage up 30%
Statistic
results
Equity
beta
Asset
beta
(assume
debt beta
= 0)
Difference
Equity
beta
Asset beta
(assume
debt beta
= 0)
Difference
Equity
beta
Asset
beta
(assume
debt beta
= 0)
Difference
MAX
0,811
0,568
0,243
0,811
0,666
0,145
0,811
0,554
0,257
MIN
0,181
0,064
0,117
-0,865
-0,389
-0,476
0,087
-0,014
0,101
MEAN
0,485
0,272
0,213
0,475
0,308
0,167
0,462
0,322
0,141
VAR
0,0315
0,0252
0,006
0,1313
0,0481
0,083
0,0399
0,0388
0,001
Note: Sample size : 20 firms
10
Table 7- Statistical results (FL in case 3)
(source: VN stock exchange 2012)
Leverage as
current
Leverage down
20%
Leverage up 30%
Statistic
results
Equity
beta
Asset
beta
(assume
debt beta
= 0)
Difference
Equity
beta
Asset beta
(assume
debt beta
= 0)
Difference
Equity
beta
Asset
beta
(assume
debt
beta = 0) Difference
MAX
0,811
0,568
0,243
0,811
0,666
0,145
0,811
0,554
0,257
MIN
0,170
0,060
0,110
-0,865
-0,389
-0,476
0,080
-0,014
0,094
MEAN
0,481
0,270
0,211
0,470
0,305
0,165
0,460
0,320
0,140
VAR
0,0323
0,0255
0,007
0,1316
0,0484
0,083
0,0410
0,0390
0,002
Note: Sample size : 20 firms
The above calculated figures generate some following results:
First of all, Equity beta mean values in all 3 scenarios are acceptable (< 0,5) and asset beta
mean values are also small (< 0,4). If leverage increases to 30%, equity beta min value
increases to the value of 0,087 when tax rate is up to 28%. Finally, when leverage decreases
down to 20%, asset beta max values maintain the value of 0,666 in both cases: tax rate up and
down.
The below chart 1 shows us : when leverage degree decreases down to 20%, if tax rate is up to
28%, average equity beta value increases slightly (0,475) compared to that at the decrease of
tax rate of 20% (0,470). However, equity beta var is 0,131 (tax rate up), little smaller than
0,132 (tax rate down). Then, when leverage degree increases up to 30%, if tax rate is up to
28%, average equity beta increases little less (to 0,462) compared to that at the decrease of tax
rate of 20% (0,460). However, in case the tax rate up, the equity beta var is 0,040, slightly
smaller than 0,041 (tax rate down).
The below chart 2 shows us : when leverage degree decreases down to 20%, if tax rate is up to
28%, average asset beta value increases slightly (0,308) compared to that at the decrease of tax
rate of 20% (0,305). However, asset beta var is 0,048 (tax rate up), almost the same as in case
tax rate down. Then, when leverage degree increases up to 30%, if tax rate is up to 28%,
average asset beta also increases little more (to 0,322) compared to that at the decrease of tax
rate of 20% (0,320). However, in case the tax rate up, the asset beta var is 0,039, almost the
same as the case of tax rate down.
Chart 1 Comparing statistical results of equity beta var and mean in three (3) scenarios
of changing FL and tax rate (source: VN stock exchange 2012)
0,483
0,461
0,473
0,032
0,040
0,131
0,485
0,462
0,475
0,032
0,040
0,131
0,481
0,4596
0,470
0,0323
0,0410
0,132
0,00
0
0,20
0
0,40
0
0,60
0
Equity Beta Mean
(FL current)
Equity Beta Mean
(FL down 20%)
Equity Beta VAR
(FL up 30%)
tax rate down to
20%
tax rate up to
28%%
tax rate kept as in
reports
Chart 2 Comparing statistical results of asset beta var and mean in three (3) scenarios of
changing FL and tax rate (source: VN stock exchange 2012)
0,271
0,321
0,307
0,025
0,0389
0,0482
0,272
0,322
0,308
0,025
0,039
0,048
0,270
0,3201
0,305
0,025
0,0390
0,0484
0,0
00
0,1
00
0,2
00
0,3
00
0,4
00
Asset Beta Mean
(FL current)
Asset Beta Mean
(FL down 20%)
Asset Beta VAR
(FL up 30%)
tax rate down to
20%
tax rate up to
28%%
tax rate kept as in
reports
12
4. Conclusion and Policy suggestion
In summary, the government has to consider the impacts on the movement of market risk in
the markets when it changes the macro policies and the legal system and regulation for
developing the electric power market. The Ministry of Finance continues to increase the
effectiveness of fiscal policies and tax policies which are needed to combine with other macro
policies at the same time. The State Bank of Viet Nam continues to increase the effectiveness
of capital providing channels for electric power companies as we might note that in this study
when leverage is going to increase up to 30%, the risk level decreases (asset beta mean
increases to 0,322 if tax rate up to 28%.
Furthermore, the entire efforts among many different government bodies need to be
coordinated.
Finally, this paper suggests implications for further research and policy suggestion for the Viet
Nam government and relevant organizations, economists and investors from current market
conditions.
Acknowledgements
I would like to take this opportunity to express my warm thanks to Board of Editors and Colleagues at
Citibank HCMC, SCB and BIDV-HCMC, Dr. Chen and Dr. Yu Hai-Chin at Chung Yuan Christian University
for class lectures, also Dr Chet Borucki, Dr Jay and my ex-Corporate Governance sensei, Dr. Shingo Takahashi at
International University of Japan. My sincere thanks are for the editorial office, for their work during my research.
Also, my warm thanks are for Dr. Ngo Huong, Dr. Ho Dieu, Dr. Ly H. Anh, Dr Nguyen V. Phuc and my lecturers
at Banking University HCMC, Viet Nam for their help.
Lastly, thank you very much for my family, colleagues, and brother in assisting convenient conditions for my
research paper.
14
References
[1] Allen, F., and Gale, D., Stock Price Manipulation, Review of Financial
Studies, (1992).
[2] Basu, Devraj., Streme, Alexander., (2007), CAPM and Time-Varying Beta:
The Cross-Section of Expected Returns, SSRN Working paper series
[3] Chatterjea, Arkadev., Jerian, Joseph A., and Jarrow, Robert A., Market
Manipulation and Corporate Finance: A new Perspectives, 1994 Annual
Meeting Review, SouthWestern Finance Association, Texas, USA, (2001).
[4] DeGennaro, Ramon P., Kim, Sangphill., (2003), The CAPM and Beta in an
Imperfect Market, SSRN Working paper series
[5] Galagedera, D.U.A., (2007),An alternative perspective on the relationship
between downside beta and CAPM beta, Emerging Markets Review
[6] Huy, Dinh T.N., (2013), Whether The Risk Level of Viet Nam Real Estate
Firms Under The Different Changing Tax Rates Increase or Decrease So
Much, International Journal of Research in Business and Technology
[7] Khwaja, Asim Ijaz., Mian, Atif., Unchecked intermediaries:Price
manipulation in an emerging stock market, Journal of Financial Economics
78, (2005), 243 - 241
[8] Marchesi, Michael Favere., The Impact of Tax Services on Auditors' Fraud
Risk Assessments, Advances in Accounting
[9] Romo, J.M., (2013), Investments Decision With Financial
Constraints-Evidence from Spanish Firms, Quantitative Finance
[10] Wang, Jying N., (2013), Three-Point Approach for Estimating Integrated
Volatility and Integrated Covariance, Quantitative Finance
Research
[11] Ang, A., Chen, J., (2007), CAPM Over the Long Run: 1926-2001, Journal of
Empirical Finance
[12] ADB and Viet Nam Fact Sheet, 2010
Other web sources
[13]
http://www.ifc.org/ifcext/mekongpsdf.nsf/Content/PSDP22
[14]
http://www.construction-int.com/article/vietnam-construction-market.html
[15]
http://fia.mpi.gov.vn/Default.aspx?ctl=Article&MenuID=170&aID=185&Pag
eSize=10&Page=0
[16]
http://kientruc.vn/tin_trong_nuoc/nganh-bat-dong-san-rui-ro-va-co-hoi/4881.
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[18]
http://www.mofa.gov.vn/vi/
Appendix
Exhibit 1- VNI Index and other stock market index during crisis 2006-2010
(source: global stock exchange 2012)
0
1000
2000
3000
4000
5000
6000
7000
Th
g1
-06
Th
g4
-06
Th
g7
-0
6
Th
g10
-06
Th
g1-
07
Th
g4-
07
Th
g7
-07
Th
g10
-0
7
Th
g1
-0
8
Thg
4-
08
Th
g7-
08
Th
g10
-0
8
Th
g1
-09
Th
g4
-0
9
Th
g7
-0
9
Th
g10
-0
9
Thg
1-
10
Th
g4-
10
Th
g7
-10
VN Index
S&P 500
SSE index
NIKKEI 225 (/0')
TSEC (/0')
KOSPI
CNT (/00')
16
Exhibit 2- Comparable firms and changing leverage for Viet Nam electric
power firms
(source: Viet Nam stock exchange 2012)
Order
No.
Company
Stock
code
Comparable firm
FL as current
FL up 30%
FL
down
20%
1
BTP
0,575
0,748
0,460
2
CHP
BTP as
comparable
0,587
0,762
0,469
3
DNC
0,688
0,894
0,550
4
DRL
NLC as
comparable
0,179
0,232
0,143
5
DTV
NLC as
comparable
0,054
0,070
0,043
6
GHC
NBP as
comparable
0,673
0,875
0,539
7
HJS
0,713
0,927
0,571
8
KHP
0,500
0,650
0,400
9
NBP
0,339
0,440
0,271
10
ND2
TBC as
comparable
0,762
0,991
0,610
11
NLC
0,072
0,094
0,058
12
NT2
0,786
1,022
0,629
13
PPC
0,713
0,927
0,571
14
RHC
0,447
0,581
0,357
15
SBA
SJD as comparable
0,648
0,842
0,518
16
SEB
0,545
0,709
0,436
17
SHP
BTP as
comparable
0,494
0,642
0,395
18
SJD
0,474
0,616
0,379
19
TBC
0,073
0,095
0,058
20
TIC
0,022
0,029
0,018
Average
42,7%
55,6%
34,2%
Final del extracto de 16 páginas
- Citar trabajo
- Dinh Tran Ngoc Huy (Autor), 2015, To what extent do changing tax policy and external financing influence the risk level of Vietnam electric power industry during and after the global crisis?, Múnich, GRIN Verlag, https://www.grin.com/document/387064
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