臺灣博碩士論文加值系統

本研究應用Hansen (1999) 所推導出適用縱橫資料分析之進階門檻迴歸模型檢定美國壽險與產險公司之自由現金流量持有比率、負債比率與股利發放率與其公司績效間是否存在不對稱的門檻效果，並進一步找出表現最適財務比率的邊際門檻值以驗證美國保險產業是否存在最適之財務政策。

本研究經由實證而推論美國保險產業確實存在最適之財務政策。壽險公司所持有的自由現金流量一旦超過0.3372的最適門檻比率，則每增加1% 之持有比率導致權益報酬減少的幅度將高出17倍。又產險公司所持有的自由現金流量一旦高於0.2301，則每增加1% 之持有比率導致權益報酬減少的幅度將高出13倍。此之實證結果與Lai and Limpaphayom (2003)實證若能對自由現金流量有較好的控制，則保險公司的經營便能相對地有效率的推論一致。另值得注意的是，一旦所持有之自由現金流量超過其最適比率，則壽險公司之績效受過多自由現金流量所造成之負向影響的程度是產險公司的12倍，表示壽險公司所存在因自由現金流量所導致的代理問題較產險公司嚴重很多。而此之實證結果亦與美國壽險產業於2007金融危機中極不佳的財務狀況相一致。

美國壽險公司的最適負債比率區間為大於0.1579且小於0.164。當壽險公司的負債比率落於該區間時，則每增加1%的負債，公司價值將隨之增加4.8115%。而美國產險公司的最適負債比率區間則是小於或等於0.031。當產險公司的負債比率落於該區間時，則每增加1%的負債，公司價值將隨之增加1.7179%。該實證結果顯然不支持Modigliani and Miller (1958)的「資本結構無關論」以及Myers (1984) and Myers and Majluf (1984)的「融資順位理論」，然而卻與Myers (1977)所提出的「抵換理論」相一致。

美國壽險公司的最適股利發放率為0.1013。當股利發放率小於0.1013時，壽險公司每增加1%的股利發放，則其公司績效將隨之增加42.6329%。又美國產險公司的最適股利發放率為0.062。一旦產險公司的股利發放率高於0.062，則股利發放對公司績效的影響效果將由正向或影響效果不顯著轉變成嚴重且顯著的負向影響。另一方面，對於Miller and Modigliani (1961)所提出之“是否存在能極大化公司價值之最適股利發放率或區間？”的問題，本文經實證而得到了確切的、肯定的，但與Miller and Modigliani (1961) 完全不同的答案。

絕大多數的美國產險公司具有相對較高的負債比率，而且73%以上屬於股利發放相對較多的公司，因此91%以上的公司所持有自由現金流量的比率都落於相對較低的最適區間。而美國壽險產業中，有68%以上屬於低負債比率的公司，又高股利發放與低股利發放的公司各半，因而不難發現80%以上之壽險公司所持有自由現金流量的比率皆高於最適區間。根據此一發現，本研究因此建議美國保險公司可根據最適比率或最適比率的區間適度地增加舉債與股利的發放，以控制及調整所持有的自由現金流量，使其維持在最適持有比率，藉此達到提高公司績效、解決財務表現不佳及代理問題嚴重之困境的目標。

Hansen’s (1999) advanced panel threshold regression model will be used to test whether the marginal threshold value representing optimal (target) financial decision (ratio) exists respectively to the holding ratio of free cash flow, debt ratio and dividend payout ratio of the financial policy in the US life and property-casualty insurance industry.

This study has positively confirmed that optimal (target) financial policy does really exist. To US life insurance company, once holding ratio of free cash flow exceeds the threshold ratio of 0.3372, then 1% increase in holding ratio of free cash flow will lead to the decrease of return on equity of as high as 17 times. Once the holding ratio of free cash flow of US property-casualty insurance company is higher than 0.2301, then 1% increase in holding ratio of free cash flow will lead to the decrease in return on equity of as high as 13 times. The empirical result is consistent with that of Lai and Limpaphayom (2003), that is, the free cash flow can be well controlled, then the operation efficiency of the company might still be relatively high. What needs to be noticed more is once the free cash flow held exceeds the optimal (target) holding ratio, the negative influence of free cash flow on life insurance company will be 12 times its influence on property-casualty insurance company, which shows that the agency problem due to free cash flow as existed in US life insurance company is more serious than that existed in US property-casualty insurance company, and the empirical result is consistent with the performance of US life insurance industry in 2007 Financial Crisis.

The optimal (target) debt ratio regime of US life insurance company is larger than 0.1579 but smaller than 0.164. When the debt ratio of US life insurance company falls within that regime, then firm value will be increased by 4.8115% with an increase of 1% in debt ratio. Moreover, the optimal (target) debt ratio regime of US property-casualty insurance company is smaller than or equal to 0.031. When the debt ratio of US property-casualty insurance company falls within that regime, then firm value is increased by 1.7179% with an increase of 1% in debt ratio. The empirical result obviously does not support the “Capital Structure Irrelevance Theory” of Modigliani and Miller (1958) and the “The Pecking Order Theory” of Myers (1984) and Myers and Majluf (1984). However, it is consistent with the “The Trade-Off Theory” as proposed by Myers (1977).

The optimal (target) dividend payout ratio of US life insurance company is 0.1013. When dividend payout ratio is smaller than 0.1013, firm performance will be increased by 42.6329% with an increase of 1% in dividend payout ratio. Moreover, the optimal (target) dividend payout ratio of US property-casualty insurance company is 0.062. Once the dividend payout ratio is higher than 0.062, the influence of the issuance of dividend on firm performance will be changed from positive or less obvious influence to seriously and significantly negative influence. To the “Is there an optimal payout ratio or range of ratios that maximizes the firm value?” issue as proposed by Miller and Modigliani (1961), this article has obtained not only accurate and confirmative but also totally different answer.

Most of the US property-casualty insurance companies have relatively higher debt ratios. Meanwhile, more than 73% belongs to high-payout group, and more than 91% of company has holding ratio of free cash flow falling on relatively lower optimal (target) regime. In US life insurance industry, more than 68% of the company belongs to low-debt group, and company in low-payout group and high-payout group is half and half respectively. And then it can be seen that more than 80% of the company has holding ratio of free cash flow higher than the optimal (target) regime. This finding suggests that US insurance company can, based on optimal (target) ratio or optimal (target) ratio regime, increase appropriately debt raise and dividend issuance so as to adjust the free cash flow held to optimal holding ratio, and finally, to achieve the goals of enhancing firm performance and solving financial difficulty.

Abstract -----i
Contents -----iii
List of Tables -----iv
Chapter 1 Introduction -----1
Chapter 2 Literature Reviews -----7
2.1 The Effect of Free Cash Flow on Firm Performance ---7
2.2 The Effect of Leverage on Firm Performance ---11
2.3 The Effect of Dividend Policy on Firm Performance ---16
2.4 Summary ---24
Chapter 3 Data -----28
3.1 Sample Description -----28
3.2 Variables -----29
Chapter 4 Research Methodology -----42
4.1 Panel Unit Root Models -----42
4.2 Panel Threshold Regressive Model -----42
4.3 Construction of the Threshold Model -----44
4.4 Estimations -----46
4.5 Testing for a Threshold -----48
4.6 Asymptotic Distribution of the Threshold Estimates --50
4.7 Multiple Threshold Model -----51
Chapter 5 Empirical Results -----52
5.1 The Effect of Free Cash Flow on Firm Performance ---54
5.2 The Effect of Leverage on Firm Performance ---60
5.3 The Effect of Dividend Policy on Firm Performance ---68
5.4 Trendy Analysis of Corporate Distribution between Optimal Regime and Non-Optimal Regime -----74
5.5 The Effect of the Control Variables -----83
Chapter 6 Conclusion -----90
References -----99

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