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研究生:邱垂昌
研究生(外文):Chei-Chang Chiou
論文名稱:公司系統性風險與會計變數關聯性之研究
論文名稱(外文):A study on the relationship between firm systematic risk and accounting variables
指導教授:蘇瓜藤蘇瓜藤引用關係林祖嘉林祖嘉引用關係
指導教授(外文):Robert K. Su, Ph.D.Chu-Chia Lin, Ph.D.
學位類別:博士
校院名稱:國立政治大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:175
中文關鍵詞:系統性風險總槓桿程度營運槓桿度財務槓桿度盈餘股利
外文關鍵詞:systematic riskdegree of total leveragedegree of operating leveragedegree of financial leverageearningsdividend
相關次數:
  • 被引用被引用:30
  • 點閱點閱:885
  • 評分評分:
  • 下載下載:163
  • 收藏至我的研究室書目清單書目收藏:2
本研究旨在探討公司系統性風險與會計變數之關聯性。影響公司系統性風險之因素應包括公司內部因素與公司外部總體經濟因素,但過去文獻並未完全涵蓋到,致使其模式解釋力皆不高。為彌補過去文獻之不足,本研究先以理論推導方式將公司內部與外部因素納入系統性風險模式中,再以實證資料驗證之。
模型推導結果顯示,影響系統性風險之因素包括公司盈餘、營運槓桿度、財務槓桿度、帳面價值、股利、市場組合報酬率、無風險報酬率,以及其他總體經濟因素等。理論推導結果產生三大主要命題:
1.在公司前期盈餘為正及當期銷貨成長率為正,以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時,公司當期總槓桿程度(營運槓桿度與財務槓桿度之乘積)對系統性風險具有正向影響。
2.在公司前期盈餘為正,以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時,公司當期每股現金股利對系統性風險具有正向影響。
3.當公司當期銷貨成長率為正時,營運槓桿度與財務槓桿度為正向相關;但當公司當期銷貨成長率為負時,營運槓桿度與財務槓桿度具有抵換關係。
根據上述命題,本研究設立三項假說。第一,公司總槓桿程度對系統性風險具有正向影響,而營運槓桿度與財務槓桿度對系統性風險之影響皆為正向(或負向)。第二,公司發放現金股利對系統性風險具有正向影響。第三,在系統性風險與盈餘皆不變的額外前提下,當銷貨成長率為負時,營運槓桿度與財務槓桿度具有抵換關係;當銷貨成長率為正時,營運槓桿度與財務槓桿度為正相關。
實證結果部分支持上述三項假說。首先,公司總槓桿程度、財務槓桿度及現金股利皆對系統性風險具有顯著正向影響。因此,公司可利用降低總槓桿程度、財務槓桿度及減少現金股利之策略來減低系統性風險。其次,市場組合報酬、通貨膨脹率及國民生產毛額成長率等總體經濟因素,對系統性風險皆具有負向顯著影響。此結果說明導致公司系統性風險上升之因素應該包括公司內部與外部因素。因此,公司欲降低風險時,除了利用總槓桿程度、財務槓桿度與股利政策外,尚須考慮其他總體經濟變化。最後,實證結果亦顯示,當公司正處於銷貨成長時期,以追求成長為目標,可能同時面臨高營運風險與高財務風險。然而,在銷貨衰退時,公司卻不必然會以風險控管為目標。因此,營運槓桿度與財務槓桿度並不存在抵換關係。
This thesis examines the relationship between firm systematic risk and accounting variables. Potential determinants of firm systematic risk theoretically include accounting and macroeconomic variables, but prior research only explored part of them and most models yielded low explanatory power. This research analytically derives and empirically verifies a model of firm systematic risk.
The analytical results suggest that determinants of systematic risk at least include earnings, the degree of operating leverage, the degree of financial leverage, book value, dividend, market-portfolio return, risk-free return and other macroeconomic variables. Three main propositions are therefore derived as follows.
1. When a firm’s prior year earnings and current year sales growth are both positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its degree of total leverage, defined as the product of degree of operating leverage and degree of financial leverage, has a positive effect on its systematic risk.
2. When a firm’s prior year earnings is positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its current cash dividend has a positive effect on its systematic risk.
3. When a firm’s current year sales growth is positive (negative), its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
Three hypotheses are then tested empirically. First, a firm’s degree of total leverage has a positive effect on its systematic risk; and its degree of operating leverage and degree of financial leverage both have a positive (or both negative) effect on its systematic risk. Second, a firm’s cash dividend has a positive effect on its systematic risk. Third, if a firm’s sales growth is positive (negative) without any change in its systematic risk or earnings, then its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
The empirical results provide partial support for the above hypotheses. First, the degree of total leverage, degree of financial leverage, and cash dividend each has a positive effect on the systematic risk. Therefore, a firm can reduce its systematic risk by lowering its degree of total leverage, degree of financial leverage and the cash dividend. Second, macroeconomic factors such as the market-portfolio return, inflation and GNP growth have a negative effect on the systematic risk. Hence, a firm attempting to control its systematic risk should consider the changes of macroeconomics besides the leverage and dividend policy. Finally, a firm with growing sales takes a high degree of operating leverage and financial leverage, but a firm does not necessarily take a high (low) degree of operating leverage and a low (high) degree of financial leverage as target when its sales are declining. In other words, these two leverages have no offset relationship.
第一章 緒論……………………………………………………....……..1
第一節 研究背景與動機………………………………………..……1
第二節 研究問題與目的……………………………………..………4
第三節 研究方法與論文架構…………………………………..……4
第二章 公司系統性風險與會計變數關聯性之相關文獻………..……7
第一節 財務理論與系統性風險……………………………………..8
第二節 槓桿之估計方法..……………………………………….….15
第三節 槓桿與系統性風險之關聯性………………..………….….21
第四節 財務槓桿與營運槓桿之關聯性……………..………….….28
第三章 公司系統性風險與會計變數關聯性之研究方法……..……..35
第一節 公司系統性風險與會計變數關聯性之理論模式…..……..35
一、在第1、2種情況( 或
)下之結果…..…………….….43
二、在第3種情況( )下之結果….………………….54
三、在第4種情況( )下之結果…………………59
第二節 股東投資報酬率包含股利之敏感性分析…..………….….63
一、在第1種情況( )下之結果…65
二、在第2種情況( )下之結果…67
三、在第3種情況( )下之結果….…………………70
四、在第4種情況( )下之結果…………………72
第三節 公司系統性風險與會計變數關聯性之研究假說…………74
第四節 公司系統性風險與會計變數關聯性之實證模式…………79
一、各假說中前提條件之測試…………………………………80
二、系統性風險、營運槓桿度及財務槓桿度之估計…………81
三、複迴歸模式…………………………………………………81
四、DOL與DFL抵換關係之實證模式………………………….84
第五節 變數衡量………..…………………………………………..85
第六節 選樣標準與資料來源………………………………………93
一、研究期間……………………………………………………93
二、選樣標準…………………………………………………....93
三、樣本篩選過程……………………………………………....94
四、資料來源…………………………………………………....95
第七節 資料分析方法…..………………………………………..…95
第四章 公司系統性風險與會計變數關聯性之實證結果分析………98
第一節 帳面價值、盈餘及股利對股價之影響……………………98
第二節 系統性風險與會計變數之關聯性分析…………..………102
一、敘述統計及相關分析……………………………………..102
二、各研究假說之實證結果分析……………………………..107
三、本研究迴歸模式與Mandelker and Rhee(1984)迴歸
模式解釋力之比較………………………………………..129
四、營運槓桿度及財務槓桿度之理論與實務定義之比較…..134
五、營運槓桿度與財務槓桿度之抵換關係分析……………..138
第五章 結論、研究限制與建議 ..……………………………..……147
第一節 結論….……………..………………..…………………….147
第二節 研究限制.…………..……………………………...………154
第三節 研究建議.…………..…………………………..………….155
參考文獻 ……….……………..……………………..……………….158
附錄……………..……………..……………………..………………..165
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