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系統識別號 U0002-2007201422291500
中文論文名稱 台灣製造業上市上櫃公司投資對現金流量敏感度研究
英文論文名稱 The investment cash flow sensitivity of listed manufacturing firms in Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 102
學期 2
出版年 103
研究生中文姓名 郭祝綺
研究生英文姓名 Chu-Chih Kuo
學號 701530080
學位類別 碩士
語文別 中文
口試日期 2014-06-18
論文頁數 62頁
口試委員 指導教授-邱忠榮
委員-謝文良
委員-林允永
委員-邱忠榮
中文關鍵字 投資對現金流量敏感度  財務受限  現金流量  敏感度  現金流量趨勢 
英文關鍵字 Investment cash flow sensitivity  Financially Constrained  cash flow  sensitivity  trend of cash flow sensitivity 
學科別分類
中文摘要 投資是公司成長的主要途徑。投資需要資金。如公司內部資金不足,則需尋求外部資金的奧援。如資本市場不完美,則外部資金成本會因代理問題、資訊不對稱等因素而墊高,其程度視公司財務受限程度而定。如果外部資金成本太高,則公司可能放棄投資機會。
Fazzari, Hubbard, and Petersen (1988)首開財務受限與投資關係研究之先河。台灣相關研究相對較少,故本研究以台灣製造業上市櫃公司為標的,希望能瞭解近26年來整體製造業投資與現金流量敏感度的趨勢,以及財務受限程度對公司投資與現金流量敏感度的影響,作為後續相關研究之參考。
如果將資料以投資與現金流量敏感度來區分,分為全樣本、正敏感組、負敏感組、及不敏感組,我們發現大致上台灣製造業各組情況與美國的研究結果相似,但敏感度與各相關變數之變動程度卻比美國大了許多。整體而言,公司規模、投資機會、銷售成長、負債比率、資產實質性與信用評等是決定敏感度的重要因素;負敏感組則以其信評較差,負債比率、資產實質性較小的小公司居多;至於正敏感組與不敏感組,不敏感組的公司在規模、銷售額、上市櫃年數、現金股利發放率等因素均顯著的大於正敏感組的公司。
以台灣狀況來說,台灣製造業投資與現金流量敏感度在1995年左右達到高峰後開始下降,但相較於已開發國家,台灣迄今仍維持在一個不低的水準,而且我們也發現台灣製造業財務資料變異程度很大。這對本研究的實證結果有一定程度的影響。本研究對相關議題提供了一些實證證據,但同時也發掘一些須進一步探討的議題,如影響台灣投資和現金流量敏感度趨勢的原因、個別公司敏感度是否會與時俱變、財務受限公司如何調度外部資金等。
英文摘要 Firms grow through investment activities. If internal funds do not meet investment needs, firms will finance through external funds. Modigliani and Miller (1958) show, under perfect markets, external financing through debt or equity is irrelevant. In reality, markets are not perfect. Agency costs and information asymmetry lead to higher external financing costs if the firm is financial constrained. It is therefore interesting to know the investment behaviors of financial constrained firms.
Fazzari, Hubbard, and Petersen (1988) is the first to investigate the relationship between financing constraints and investment. They provide empirical evidences that the sensitivity of cash flow to investment is indeed higher for those financial constrained firms. There are many relevant studies follows but, among them, studies on Taiwan manufacturing firm’s investment cash flow sensitivity attracts much less attention. The main purpose of this paper is therefore to understand how those listed Taiwan manufacturing firms responds to investment opportunity when they are financially constraint.
Data of 1012 listed Taiwan manufacturing firms are retrieved from TEJ. Studying period covers 27 years, 1986 to 2012. All samples are classified into positively cash flow sensitive group (PCF), negative cash flow sensitive group (NCF), and cash flow insensitive group (CF_IN) according to an ex post proxy, co-variance of adjusted investment and cash flow. The empirical results of each group are similar to that of the corresponding U.S.’s group. In addition, firm size, market-to-book ratio, sales growth, leverage, asset tangibility, credit ratings are all important factors in determining the investment cash flow sensitivity. Finally, we check the trend of this sensitivity also. It reaches its peak around 1995 and declines ever since but not to zero as the case of US.
This issue has been studied for more than 2 decades. In this study we provide only a preliminary picture of Taiwan manufacturing firms’ investment behavior and we do hope it may be helpful for further studies.
論文目次 目錄
謝辭 I
中文摘要 II
英文摘要 IV
目錄 VI
圖目錄 VIII
表目錄 IX
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 論文架構與研究流程 6
第二章 文獻探討 8
第一節 資本結構理論與相關文獻 8
第二節 財務限制及投資-現金流量敏感度之相關實證文獻 11
第三節 研究變數之相關文獻 17
第三章 研究方法 24
第一節 樣本研究期間、選樣準則與資料來源 24
第二節 變數定義和衡量 26
第三節 研究模型 33
第四節 研究步驟 34
第五節 理論模型 35
第四章 實證結果與分析 40
第一節 基本統計分析 40
第二節 投資對現金流量敏感度的分組 41
第三節 針對不同的現金流量敏感度分組進行傳統縱橫資料迴歸分析 42
第四節 不同投資對現金流量敏感度群組的單變數及多變數分析 44
第五節 不同投資對現金流量敏感度群組的外部資金及成長性比較 47
第六節 歷年投資與現金流量敏感度趨勢分析 48
第五章 結論與建議 53
第一節 結論 53
第二節 研究限制與後續研究建議 53
參考文獻 55

圖目錄
圖1-1 研究流程圖 7
圖2-1 摘自張耿豪(2006)TCRI信用評等和投資現金流量係數關係圖 21
圖4-1 未考量固定效果之歷年投資與現金流量敏感度趨勢 50
圖4-2 固定效果下全期分為五期投資與現金流量敏感度趨勢 52

表目錄
表3-1 臺灣地區消費者物價指數 26
表3-2 摘自台灣經濟新報TCRI等級說明 29
表3-3 財務變數彙總表 32
表4-1 公司特性變數的敘述統計 41
表4-2 投資對現金流量敏感度(CFS)的分組統計表 42
表4-3 依現金流量敏感度分組的投資縱?資料迴歸分析 43
表4-4 不同投資對現金流量敏感度群組的公司特性比較表 45
表4-5 各組別邏輯迴歸分析 46
表4-6 不同投資對現金流量敏感度群組的外部資金及成長性比較表 48
表4-7 未考量固定效果之歷年投資與現金流量敏感度迴歸分析 49
表4-8 1995年後現金流量敏感度和年度迴歸分析 50
表4-9 固定效果下全期分為五期投資縱橫資料迴歸分析 51
參考文獻 國內文獻
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5.張耿豪,(2006),財務限制與廠商投資:台灣廠商的實證研究, 國立清華大學經濟學系碩士論文。
6.張雅惠(2013) ,盈餘持續性對投資與現金流量敏感度之影響,東海大學財務金融學系碩士論文。
7.陳儀禎,(2007) ,不確定性與投資對現金流量敏感度之關聯性研究,東海大學國際貿易學系碩士論文。
8.辜儀芳,(2002) ,臺灣上市公司資本結構選擇之實證研究,國立中正大學財務金融研究所碩士論文。
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11.鄭世暉,(2008) ,台灣地區上市公司資本結構之實證研究-靜態抵換理論之應用,朝陽科技大學財務金融系碩士論文。
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