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研究生:張千慧
研究生(外文):Chang Chien Hui
論文名稱:個別公司報酬變異對公司目標資本結構調整速度影響之研究
論文名稱(外文):The study of the effect of firm-specific return variation on adjustment speed of target capital structure.
指導教授:詹家昌詹家昌引用關係
學位類別:碩士
校院名稱:東海大學
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:2005
畢業學年度:93
語文別:中文
論文頁數:92
中文關鍵詞:個別公司報酬變異公司目標資本結構調整速度抵換理論融資順位理論市場擇時理論
外文關鍵詞:firm-specific return variationadjustment speed of target structuretrade-off theorypecking order theorymarket timing theo
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本文主要是探討個別公司報酬變異程度對公司目標資本結構調整速度之影響的實證研究,以台灣股票上市公司為研究對象,研究期間為民國84年到民國92年。本文中採用Roll(1988)個別公司報酬變異程度衡量市場效率性,及以市場價值及帳面價值觀點之部分調整模型觀察公司目標資本結構的調整速度。

觀察市場效率性對公司目標資本結構的實證結果發現:(1)以市場價值及帳面價值兩觀點來看:個別公司報酬變異程度較高則公司目標資本結構調整速度較快;(2)帳面價值的資本結構調整速度較市場價值的資本結構調整速度慢,表示帳面價值負債比率的變動較不受市場因素的影響。(3)從市場價值的觀點來看,股價波動對市場價值負債比率的影響程度愈大,則公司目標資本結構的調整速度愈快。

透過觀察不同個別公司報酬變異群組的公司之目標資本結構調整速度,推測台灣上市公司融資決策支持何種資本結構理論,實證結果發現(1)台灣資本市場上市公司的融資決策支持抵換理論,而且長期下有一目標資本結構;(2) 以市場價值觀點來看,惟個別公司報酬變異程度較高的群組支持融資順位理論;以帳面價值觀點來看,台灣上市公司的融資決策幾乎不支持融資順位理論(3) 以市場觀點來看,個別公司報酬變異程度低的群組支持市場擇時理論。
The purpose of this paper is to research the new influence of firm-specific return variation on the adjustment speed of firm’s target capital structure. The example of the listed companies in Taiwan over the period of 1995-2003 was used to evaluate significant causes relevant to the adjustment speed of firm’s target capital structure. The paper adopted the radical principle of “the firm-specific return variation,” as Roll had publiced in 1988, and explained the adjustment speed toward capital structure in term of the market-based value and book-based value estimation.

Besides, the study generated three points by observing the reaction of “target capital structure” and “market efficiency”. First, the higher firm-specific return variation, the faster adjustment speed of target capital structure in the view of the marker value and the book value. In addition, the ration of the book value to the debt will be less affected by market, if the adjusted speed of book-value capture structure is slower than the adjusted speed of market-value capture structure. Finally, the adjustment speed of target capital structure, in market value opinion, will be sooner than before if the fluctuation of stock price leads to the ration of the market value to the debt which is more significant.

Thus, the study presumed that the company’s leverage decision is supported by what kind of the theories of captal structure, and covers the best solution by investigating the adjusted speed of individual array of firm-specific return variation of target capital structure. Through the final discoveries, I suggested that, first, in Taiwan captal maket has a long-term target capital structure and the empirical result obsolutly supports trade-off theory. Moreover, on market-valued view the only array of higher firm-specific return variation in Taiwan companies stand for pecking order theory; otherwise, on book-value view the leverage decision in Taiwan companies is unsuitable for. As a result, on market-valued view, the leverage decision of lower firm-specific return variation in Taiwan companies is show up supporting market timing theory.
目錄
摘要 I
ABSTRACT III
目錄 V
表目錄 VI
圖目錄 VI
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 6
第貳章 文獻探討 8
第一節 市場訊息效率、個別公司資訊與公司價值 9
第二節 資本結構理論及相關文獻 12
第三節 動態資本結構理論及相關文獻 21
第四節 市場效率性與公司目標資本結構之調整速度 24
第參章 研究方法 27
第一節 研究期間、對象與資料來源 27
第二節 個別公司股票報酬變異程度的衡量 27
第三節 部分調整模型 29
第肆章 研究結果與分析 36
第一節 敍述性統計分析 36
第二節觀察個別公司報酬變異程度不同群組之公司目標資本結構調整速度 39
第三節 穩健性測試 53
第伍章 研究結論與建議 66
第一節 結論 66
第二節 研究建議 68
附錄 69
參考文獻 85
參考文獻
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