臺灣博碩士論文加值系統

從Modigliani and Miller (1958)提出資本結構的相關理論後，後續許多文獻便認為融資限制也會對公司的投資決策造成影響。尤其在許多文獻指出公司主要融資管道為負債融資，其負債融資限制對公司投資決策便不可忽視。Durnev, Morck, and Yeung(2004)最適資本研究模型中，主要探討公司價值與股價效率程度的關係。以股價效率程度來推估公司價值的影響，除了質疑權益市場的重要性之外，亦無法確認影響公司價值的路徑。因此，本文同時考慮反映特定公司資訊之股價及融資限制的因素，希望以一個整合性的角度，觀察與公司價值的關聯性。文獻中多有探討公司投資對公司價值的影響，所以本文試圖以股價效率程度與融資限制對公司投資決策的影響性來串起此一路徑。實證結果顯示：
1. 企業投資決策皆會受到融資限制的影響。
2. 實證結果顯示公司規模並不影響融資限制與公司投資間的關係。
3. 股價效率程度愈高，愈會造成公司投資過度，當資金籌措相對容易，使經理人易於浮濫投資而造成投資過度；而融資限制則是造成公司投資不足的主因。

Since Modigliani and Miller (1958) addressed the theory about capital structure, many following studies have considered financing constraint would also affect corporations’ investment decisions. Especially, many literatures pointed out that the major financing method of companies is debt finance. Based on this reason, the influence of debt financing restriction on investment decisions could not be neglected. The research of optimal capital published by Durnev, Morck, and Yeung(2004) primarily investigated the relationship between firm value and efficiency of stock price. Using efficiency of stock price to estimate the effect of firm value could not confirm the path of firm value except query the importance of equity market. As a result, this article simultaneously considered firm-specific stock return variation and financing constraint, and by an overall angle, I hoped to observe the relationship between the above two factors and firm value. In past literatures, lots of them discuss the effect of investment on firm value. So this article tried to connect the path by the effect of efficiency of stock price and financing constraint on corporation investment decisions. The results of this researche showed that:
1 The investment decisions of corporations would be affected by financing constraint.
2 Firm size would not influence the relationship between financing restrictions and corporation investment.
3 The higher the degree of efficiency of stock price, the more easily it would result in over-investment. On the other hand, the financing constraint is the main reason it cause firms to under-investment.

目 錄

摘要
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第貳章 文獻探討 7
第一節 公司價值與投資決策 8
第二節 融資限制與投資決策 10
第三節 股價與投資決策 12
第四節 國內相關文獻 14
第参章 實證模型及方法 16
第一節 研究期間、樣本與資料來源 16
第二節 建立股價訊息因子之衡量 與 16
第三節 融資限制因子 18
第四節 建立投資水準衡量準則 19
第五節 控制變數說明及定義 21
第六節 實證模型 24
第肆章 實證結果分析 25
第一節 基本分析 25
第二節 公司股價及融資限制分析實證結果 27
第三節 「投資過度」、「投資不足」、股價及融資限制分析實證結果 34
第四節 ROBUSTNESS 穩健性分析 43
第伍章 及論與建議 45
第一節 結論 45
第二節 研究限制 46
第三節 研究建議 46
參 考 文 獻 47
附錄 51


圖 目 錄
圖一 本研究概念圖 3
圖二 研究流程圖 6
圖三 投資水準衡量準則 20

表 目 錄
表一：融資限制因子之定義 19
表二：樣本資料特徵值 26
表三：投資水準、股價報酬變異及融資限制之相關係數 28
表四：投資水準之公司股價報酬變異及融資限制迴歸分析 30
表五：SIZE分類樣本特徵值 32
表六：投資水準之公司股價報酬變異、公司規模及融資限制（PAYOUT RATIO） 迴歸分析 35
表七：投資水準之公司股價報酬變異、公司規模及融資限制（CASH FLOW / TOTAL CAPITAL）迴歸分析 36
表八：投資水準之公司股價報酬變異、公司規模及融資限制（DEBT/ TOTAL CAPITAL）迴歸分析 37
表九：投資水準之公司股價報酬變異、公司規模及融資限制（MARKET TO BOOK RATIO）迴歸分析 38
表十：分類樣本特徵值 40
表十一：投資水準之股價報酬變異及PAYOUT RATIO、CASH FLOW/TOTAL CAPITAL迴歸分析 41
表十二：投資水準之股價報酬變異及DEBTW/TOTAL CAPITAL、M/B迴歸分析 42
表十三：ROBUSTNESS 穩健性分析 44

一、中文部分：
1.王健安、沈中華，「融資限制對公司投資之研究」，經濟論文，第二八卷，第一期，67-95，民國八十九年。
2.王健安、沈中華，「資訊不對稱環境下，公司投資與銀行融資限制關係之研究」，管理學報，第二十卷，第四期，721-748，民國九十二年八月。
3.古青翔，「台灣上巿公司投資決策與內部現金流量之關係研究」，銘傳大學金融研究所未出版碩士論文，民國八十九年。
4.杜玉振、古青翔，「台灣上市公司融資限制與投資決策關係之研究–拔靴複製法之應用」，證券金融，第六十七卷，51-79，民國八十九年十月。
5.呂宜真，公司股利政策、投資決策與融資限制之研究，台灣大學財務金融研究所碩士論文，民國八十七年六月。
6.茹琮鈞，「台灣上市公司投資與財務狀況關聯性之研究」，淡江大學管理科學研究所未出版碩士論文，民國八十八年六月。











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