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系統識別號 U0002-1206200718420400
中文論文名稱 現金持有對公司價值之影響分析-縱橫門檻平滑移轉迴歸模型之應用
英文論文名稱 Effects of Cash Holding Spread on the Firm’s Value: A Panel Smooth Threshold Regression Analysis
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 95
學期 2
出版年 96
研究生中文姓名 李福晉
研究生英文姓名 Fu-Chin Lee
學號 694490243
學位類別 碩士
語文別 中文
口試日期 2007-05-19
論文頁數 98頁
口試委員 指導教授-聶建中
共同指導教授-張倉耀
委員-林建甫
委員-唐代彪
委員-盧陽正
中文關鍵字 縱橫門檻平滑移轉模型  現金持有  公司價值 
英文關鍵字 Panel Smooth Transition Regression  cash holding  firm’s value 
學科別分類 學科別社會科學商學
中文摘要 當公司的現金持有超越正常水準時,會引起投資人懷疑公司經營者是否欲利用高額現金持有進行財務舞弊;但現金持有的不足,又會阻礙公司的成長發展。因此,本研究利用Gonzalez, Terasvirta and Dijk (2004)所發展的縱橫門檻平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR),以公司現金持有為模型中的轉換變數,觀察公司現金持有對公司價值的代理變數-市價淨值比,是否存在平滑移轉效果(smooth transition threshold effect),即現金持有是否為市價淨值比產生變化轉折的重要因素,並以台灣636家上市公司的季資料,作為本研究的實證樣本,探討現金持有對公司價值的影響方向與程度。
根據實證結果顯示,得知全部產業的現金持有與市價淨值比之間確實具有平滑移轉效果,存在二個分別為3.30%和30.21%的轉換門檻值,而表現在門檻值附近的結構性改變,使之區分成兩個直線模型,並發現稅後淨利、研究發展費用、利息費用和現金股利等各項變數,在現金持有轉換門檻前後,確實會對市價淨值比造成不同的影響。再就電子產業共297家上市公司資料進行分析,得知其現金持有與市價淨值比之間亦具有平滑移轉效果,存在一個為6.92%的轉換門檻值,但現金股利係數估計值卻是為0。最後以模型對十八個產業的估計結果,比較模型設定、轉換函數圖形、轉換速度、控制變數等項目,並觀察產業之間的差異。
英文摘要 When the cash holding in a company surmounts normal standard, then it can cause the investor to suspect whether the company operators use the high quota cash to premeditate corrupt actions on the firm’s finance. But the insufficient cash holding in a company, as if can hinder the company’s growth development. Therefore, this research uses the panel smooth transition regression model(PSTR) that Gonzalez, Terasvirta and Dijk (2004) developed, then we take the cash holdings as a transformation variable in the model and investigate whether there has the smooth transition threshold effect between the cash holdings and the proxy variable of the firm’s value–the market-to-book value. Whether the cash holdings will be the important transition factor for the market-to-book value. And we use the season data of 636 listed companies in Taiwan, takes the discussion on influence direction and the degree. According the result, we knew the cash holdings of all kind of industry has the smooth transition threshold effect with the market-to-book value and has two transformation threshold value respectively is 3.30% and 30.21%. Then the constitutive property change displays nearby in the threshold value, to causes it to differentiate two straight line models. And the net income, the research development expense, the interest cost and the cash dividend each independent variables nearby in the threshold value, do have the different influence truly to the market-to-book value. Again we use the data of 297 listed companies on the electronic industry, then we knew the cash holdings has the smooth transition threshold effect with the market-to-book value on the electronic industry and has one transformation threshold value is 6.92%. But the coefficient of cash dividend estimated value actually is 0. Finally aims at the estimated result of eighteen industries, and compared the model setting, transition function graph, transition rate and independent variables between all kinds of industries.
論文目次 第一章 緒論…………………………………………………………1
第一節 研究動機與目的……………………………………………………1
第二節 研究架構與流程……………………………………………………6

第二章 文獻探討……………………………………………………8
第一節 現金持有之相關理論………………………………………………8
第二節 現金持有與公司價值之正向關係…………………………………11
第三節 現金持有與公司價值之負向關係…………………………………15

第三章 變數定義與研究方法………………………………………21
第一節 變數之設定…………………………………………………………21
第二節 縱橫單根檢定………………………………………………………25
第三節 縱橫門檻平滑移轉迴歸模型………………………………………28
第四節 縱橫門檻平滑移轉迴歸模型之設定………………………………32
第五節 資料來源……………………………………………………………36

第四章 實證分析……………………………………………………38
第一節 各變數之基本敘述統計量…………………………………………38
第二節 縱橫單根檢定之實證結果…………………………………………50
第三節 全部產業之實證結果………………………………………………51
第四節 電子產業之實證結果………………………………………………61
第五節 產業實證結果之比較………………………………………………70

第五章 結論與建議…………………………………………………83
第一節 研究結論……………………………………………………………83
第二節 研究限制與建議……………………………………………………86

參考文獻………………………………………………………………88

附錄……………………………………………………………………95
附錄一:產業之各項變數比例平均值季時間統計表………………………95


表目錄
頁次
表3-1:樣本資料產業分布情況表………………………………………………37
表4-1:各產業之變數項目平均值表……………………………………………39
表4-2:汽車產業之現金持有比例統計表………………………………………41
表4-3:各產業之現金持有比例(Cash)統計表………………………………43
表4-4:各產業之市價淨值比(MB)統計表……………………………………44
表4-5:各產業之稅後淨利比例(NI)統計表…………………………………45
表4-6:各產業之研發費用比例(RD)統計表…………………………………46
表4-7:各產業之利息費用比例(I)統計表……………………………………47
表4-8:各產業之現金股利比例(D)統計表……………………………………48
表4-9:樣本類別之各變數項目比例平均值比較表……………………………50
表4-10:全部產業之縱橫單根檢定………………………………………………51
表4-11:全部產業現金持有比例對市價淨值比之同質性檢定…………………52
表4-12:全部產業現金持有比例對市價淨值比之轉換區間個數檢定…………53
表4-13:全部產業現金持有比例對市價淨值比之模型估計結果………………54
表4-14:全部產業具有顯著水準的各項變數對市價淨值比之影響程度………57
表4-15:各產業縱橫門檻平滑移轉迴歸模型之截距項統計表…………………58
表4-16:電子產業之縱橫單根檢定………………………………………………62
表4-17:電子產業現金持有比例對市價淨值比之同質性檢定…………………62
表4-18:電子產業現金持有比例對市價淨值比之轉換區間個數檢定…………63
表4-19:電子產業現金持有比例對市價淨值比之模型估計結果………………64
表4-20:電子產業現金持有比例對市價淨值比之同質性檢定(二版)………65
表4-21:電子產業現金持有比例對市價淨值比之轉換區間個數檢定(二版)65
表4-22:電子產業現金持有比例對市價淨值比之模型估計結果(二版)……66
表4-23:電子產業具有顯著水準的各項變數對市價淨值比之影響程度………68
表4-24:各產業現金持有比例對市價淨值比之轉換函數………………………71
表4-25:各產業稅後淨利迴歸係數值之變化比較表……………………………79
表4-26:各產業研究發展費用迴歸係數值之變化比較表………………………80
表4-27:各產業利息費用迴歸係數值之變化比較表……………………………81
表4-28:各產業現金股利迴歸係數值之變化比較表……………………………82

圖目錄
頁次
圖1-1:本研究之研究流程圖………………………………………………………7
圖3-1:m=1之轉換模型…………………………………………………………30
圖3-2:m=2之轉換模型…………………………………………………………31
圖4-1:各產業之變數項目平均值圖……………………………………………40
圖4-2:汽車產業之現金持有比例比較圖………………………………………41
圖4-3:各產業之現金持有比例(Cash)平均值比較圖………………………43
圖4-4:各產業之市價淨值比(MB)平均值比較圖……………………………44
圖4-5:各產業之稅後淨利比例(NI)平均值比較圖…………………………45
圖4-6:各產業之研發費用比例(RD)平均值比較圖…………………………46
圖4-7:各產業之利息費用比例(I)平均值比較圖……………………………47
圖4-8:各產業之現金股利比例(D)平均值比較圖……………………………48
圖4-9:分類樣本之各變數項目比例平均值比較圖……………………………50
圖4-10:全部產業不同現金持有比例下之各項變數係數值變化………………57
圖4-11:各產業縱橫門檻平滑移轉迴歸模型之截距項比較圖…………………59
圖4-12:全部產業現金持有比例對市價淨值比之轉換函數
-第一門檻值 3.30%……………………………………………………60
圖4-13:全部產業現金持有比例對市價淨值比之轉換函數
-第二門檻值30.21%……………………………………………………60
圖4-14:電子產業在不同現金持有比例下之各項變數係數值變化……………68
圖4-15:電子產業現金持有比例對市價淨值比之轉換函數
-門檻值6.92%…………………………………………………………69
圖4-16:各產業現金持有比例對市價淨值比之轉換門檻值比較圖……………77
圖4-17:各產業現金持有比例對市價淨值比之轉換速度值比較圖……………78
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中文部分:
陳明進、陳瑞斌,2002,「公司流動性之決定性因素」,企銀季刊,第廿五卷第二期,pp. 173-190。
陳保丞,2005,「持續性高現金持有政策對公司營運績效之影響-以台灣上市公司為例」,真理大學管理科學研究所碩士論文。
湯珮妤,2000,「企業類型與研發支出、專利權成效之遞延效果研究」,國立中正大學企業管理研究所碩士論文。
施閔偉,2005,「公司現金持有因素與涵義之跨國比較分析」,國立暨南國際大學財務金融研究所碩士論文。
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