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系統識別號 U0002-0107200813534000
中文論文名稱 市場擇時與資本結構之非線性探討
英文論文名稱 Evidence for a Non-linear Relationship Between Market Timing and Capital Structure
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 2
出版年 97
研究生中文姓名 石鈺錚
研究生英文姓名 Yu-Chen Shih
學號 695530013
學位類別 碩士
語文別 中文
口試日期 2008-06-16
論文頁數 61頁
口試委員 指導教授-聶建中
共同指導教授-張倉耀
委員-聶建中
委員-張倉耀
委員-韋伯韜
委員-謝劍平
委員-薛琦
中文關鍵字 市價淨值比  負債比率  縱橫平滑移轉迴歸模型 
英文關鍵字 M/B ratio  Debt ratio  Panel Smooth Transition Regression Model 
學科別分類 學科別社會科學商學
中文摘要 當企業需要長期且龐大的資金挹注時,在面對不同籌資方式所需的成本及其所能達到的效用,除攸關財務決策之成敗,更是企業永續經營的關鍵考量。本研究為了探討公司市場價值與負債比率間的非線性關係,選取台灣496家上市櫃公司的年資料作為實證樣本,並將樣本區分為高科技產業和傳統產業。利用Gonzalez, Terasvirta and Dijk (2004, 2005)所發展的縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR),以市價淨值比為模型中的轉換變數,觀察市價淨值比是否為負債比率所產生轉折變化的重要因素,本研究另加入其它重要解釋變數,以深入分析市價淨值比對負債比率的影響程度與方向。

實證結果顯示市價淨值比相對較低的公司,有形資產與負債比率間無影響,而市價淨值比相對較高的公司,獲利能力愈高負債比率會愈低,規模愈大負債比率則愈高,成長力愈高負債比率也愈高。市價淨值比隱含個股的成長機會,從本研究中亦發現不論電子或傳統產業其市價淨值比在門檻值之上或之下,解釋變數對負債比率的影響會有所改變,證實市價淨值比和負債比率間確實存在非線性關係且具有平滑移轉效果。另發現市價淨值比愈高的公司其解釋變數對負債比率之影響愈明顯。
英文摘要 In a long run, enterprises need to use different ways to find enough amount of money that can be utilized to invest the enterprises themselves, and the ways they use and the amount of money they have are the keys that would seriously affect the enterprises as if they are going to be successful or not in the future. This research is conducted as for understanding the non-linear relationship between the market value of an enterprise and the debt ratio, and 496 companies have been taken as samples for this research, and most of them are either in the field of hi- technological industry or traditional industry. Panel Smooth Transition Regression Model, which is developed
by Gonzalez, Terasvirta and Dijk(2004, 2005), is used to conduct the research, and the transformation variable is M/B ratio. Other independent variables are also added to
analyze how debt ratio would be affected.

The result shows that fixed asset is not correlated with the debt ratio when a company’s M/B ratio is comparatively lower. On the other hand, the higher a company’s EBITDA is, the lower the debt ratio. Also, the bigger the company is, the higher the debt ratio is. The higher the R&D is, the higher the debt ratio is. Based on the result of this
research, whether the M/B value of both hi-tech and traditional industries is up or down the threshold value, debt ratio is influenced by independent variables, and would also be changed. This confirms the fact that there is a non-linear relation (smooth transition effect) between M/B ratio and debt ratio. The higher the M/B ratio is, the more clear we can see how debt ratio would be influenced by independent variables.
論文目次 致謝辭………………………………………………………………… i
中文摘要……………………………………………………………… ii
英文摘要……………………………………………………………… iii
目錄…………………………………………………………………… v
圖目錄………………………………………………………………… vii
表目錄………………………………………………………………… viii
第一章 緒論…………………………………………………………… 1
第一節 研究背景…………………………………………………… 1
第二節 研究動機與目的…………………………………………… 3
第三節 研究架構與流程…………………………………………… 6
第二章 相關理論與文獻探討………………………………………… 8
第一節 抵換理論和融資順位理論文獻回顧……………………… 8
第二節 早期資本結構中權益面的市場擇時理論文獻回顧……… 10
第三節 近代資本結構中權益面的市場擇時文獻………………… 12
第四節 資本結構中負債面的市場擇時理論文獻回顧…………… 14
第三章 變數定義與研究方法………………………………………… 16
第一節 資料期間及樣本選取……………………………………… 16
第二節 變數定義…………………………………………………… 18
第三節 研究方法…………………………………………………… 22
第四章 實證結果與分析……………………………………………… 32
第一節 各變數之基本敘述統計量………………………………… 32
第二節 縱橫單根檢定之實證結果………………………………… 39
第三節 縱橫平滑移轉模型之實證結果…………………………… 41
第五章 結論與建議…………………………………………………… 53
第一節 結論………………………………………………………… 53
第二節 研究建議…………………………………………………… 55

參考文獻……………………………………………………………… 56

圖 目 錄
圖1-1 1986年至2007年台灣直接金融與間接金融之比例………… 5
圖1-2 1999年至2007年現金增資與發行公司債…………………… 5
圖1-3 研究流程圖…………………………………………………… 7
圖3-1 m=1之轉換模型……………………………………………… 26
圖3-2 m=2之轉換模型……………………………………………… 27
圖4-1 各產業之市價淨值比平均值比較圖………………………… 34
圖4-2 各產業之有形資產平均值比較圖…………………………… 35
圖4-3 各產業之獲利能力平均值比較圖…………………………… 36
圖4-4 各產業之公司規模平均值比較圖…………………………… 37
圖4-5 各產業之成長力平均值比較圖……………………………… 38
圖4-6 電子業市價淨值比對負債比率之轉換函數………………… 44
圖4-7 傳統產業市價淨值比對負債比率之轉換函數……………… 49

表 目 錄
表3-1 樣本產業分佈………………………………………………… 17
表3-2 變數名稱與定義對照表……………………………………… 21
表4-1 各產業之變數項目平均值表………………………………… 33
表4-2 各產業之市價淨值比(M/B)統計表…………………………… 34
表4-3 各產業之有形資產(PPE/A)統計表…………………………… 35
表4-4 各產業之獲利能力(EBITDA/A)統計表……………………… 36
表4-5 各產業之公司規模Log(s)統計表…………………………… 37
表4-6 各產業之成長力(R&D/A)統計表…………………………… 38
表4-7 電子業之縱橫單根檢定結果………………………………… 40
表4-8 傳統產業之縱橫單根檢定結果……………………………… 40
表4-9 電子業市價淨值比對負債比率之線性檢定……………… 42
表4-10 電子業市價淨值比對負債比率之轉換模型選取…………… 42
表4-11 電子業市價淨值比對負債比率之轉換區間個數檢定……… 42
表4-12 電子業市價淨值比對負債比率之模型估計結果…………… 43
表4-13 電子業市價淨值比對負債比率模型中解釋變數之影響…… 43
表4-14 傳統產業市價淨值比對負債比率之線性檢定…………… 47
表4-15 傳統產業市價淨值比對負債比率之轉換模型選取………… 47
表4-16 傳統產業市價淨值比對負債比率之轉換區間個數檢定…… 47
表4-17 傳統產業市價淨值比對負債比率之模型估計結果………… 48
表4-18 傳統產業市價淨值比對負債比率模型中解釋變數之影響… 48
表4-19 電子業與傳統產業解釋變數對負債比率之影響比較……… 51
參考文獻 中文文獻:
古永嘉、鄭敏聰、游佳鈴,民國94年9月,「台灣資訊電子業上市公司融資決策順位之研究-Ordered-logistic迴歸模式之應用」,輔仁管理評論,第12卷第3期,頁41-70。
洪榮華、郭怡萍、蕭雯華,民國95年5月,「兩稅合一對公司資本結構影響之研究-高科技產業與傳統產業之比較」,輔仁管理評論,第13卷第2期,頁29-56。
陳信榮,民國95年6月,「融資工具選擇因素與宣告效果之實證探討」,國立中山大學財務管理研究所碩士論文。
鄭博文,民國92年6月,「市場擇時與資本結構」,國立中正大學財務金融研究所碩士論文。

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