Description of variables in the model
| Variables | Description | Used in equation |
|---|---|---|
| FO | Represents total shareholding in percentage of foreign investors in a firm at a quarter | (1), (3) |
| AFI | Abnormal foreign investment measured by the residuals of the investment efficiency model (Equation 1) | (2), (4) |
| Tobin’s q | Represents firm performance. Calculated as total asset plus market value of equity minus book value of equity divided by total asset | (2), (3) |
| MTBV | Represents firm performance. Calculated as the market value of equity divided by the book value of equity | (2), (3), (4) |
| ROA | Represents firm performance. Calculated as the operating income divided by total assets | (2), (3) |
| IDVOL | Idiosyncratic risk, defined as the unsystematic risk estimated for each stock under the three-factor Fama and French model (Fama and French, 1993) | (1) |
| FTSE | FTSE Vietnam Index inclusion, the proxy for the firm presence in the international market. FTSE equals 1 if firms are included in the FTSE Vietnam Index and 0 otherwise | (1), (3) |
| lnTA | The logarithm of firm total assets | (1), (2), (3) |
| Leverage | Firm leverage. Calculated as the ratio of firm total debts divided by firm total assets | (1), (2), (3) |
| Amihud | Measures the stock illiquidity, estimated from the model by Amihud (2002) | (1), (4) |
| DPS | Dividend payout per common share | (1), (4) |
| Cash | Cash holding ratio (money available for use in a normal operation), scaled by total assets | (1), (3) |
| lnAge | The logarithm of firm month ages | (2), (3) |
| CAPEX | Firm capital expenditure scaled by total assets | (2), (3) |
| SGA | Firm selling and general administrative express scaled by total assets | (2), (3) |
| Close | Insider ownership, measured by the fraction of insider ownership | (3) |
| lnMV | The logarithm of the market value of equity | (4) |
| ln_sale | The logarithm of net sales | (4) |
| r | The average of daily stock returns | (4) |
| Variables | Description | Used in equation |
|---|---|---|
| FO | Represents total shareholding in percentage of foreign investors in a firm at a quarter | (1), (3) |
| AFI | Abnormal foreign investment measured by the residuals of the investment efficiency model ( | (2), (4) |
| Tobin’s q | Represents firm performance. Calculated as total asset plus market value of equity minus book value of equity divided by total asset | (2), (3) |
| MTBV | Represents firm performance. Calculated as the market value of equity divided by the book value of equity | (2), (3), (4) |
| ROA | Represents firm performance. Calculated as the operating income divided by total assets | (2), (3) |
| IDVOL | Idiosyncratic risk, defined as the unsystematic risk estimated for each stock under the three-factor Fama and French model ( | (1) |
| FTSE | FTSE Vietnam Index inclusion, the proxy for the firm presence in the international market. FTSE equals 1 if firms are included in the FTSE Vietnam Index and 0 otherwise | (1), (3) |
| lnTA | The logarithm of firm total assets | (1), (2), (3) |
| Leverage | Firm leverage. Calculated as the ratio of firm total debts divided by firm total assets | (1), (2), (3) |
| Amihud | Measures the stock illiquidity, estimated from the model by | (1), (4) |
| DPS | Dividend payout per common share | (1), (4) |
| Cash | Cash holding ratio (money available for use in a normal operation), scaled by total assets | (1), (3) |
| lnAge | The logarithm of firm month ages | (2), (3) |
| CAPEX | Firm capital expenditure scaled by total assets | (2), (3) |
| SGA | Firm selling and general administrative express scaled by total assets | (2), (3) |
| Close | Insider ownership, measured by the fraction of insider ownership | (3) |
| lnMV | The logarithm of the market value of equity | (4) |
| ln_sale | The logarithm of net sales | (4) |
| r | The average of daily stock returns | (4) |
Source(s): Authors' own work