跳到主要內容

臺灣博碩士論文加值系統

(3.236.124.56) 您好!臺灣時間:2021/07/31 07:41
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:陳儀禎
研究生(外文):YI-CHEN CHEN
論文名稱:不確定性與投資對現金流量敏感度之關聯性研究
論文名稱(外文):The Study of Relationship between Uncertainty and Investment–Cash Flow SensitivityThe Study of Relationship between Uncertainty and Investment–Cash Flow Sensitivity
指導教授:詹家昌詹家昌引用關係
指導教授(外文):CHIA-CHUNG CHAN
學位類別:碩士
校院名稱:東海大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:61
中文關鍵詞:不確定性投資對現金流量敏感度融資限制
外文關鍵詞:uncertaintyinvestment-cash flow sensitivityfinancial constraints
相關次數:
  • 被引用被引用:3
  • 點閱點閱:825
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文旨在利用「投資對現金流量敏感度」取代「投資」,瞭解不確定性與敏感度之關係,並依敏感度區分為高、不敏感與負值三類,進一步觀察結果是否具一致性。為了考慮資金因素,本文亦將融資限制納入控制。利用2001至2005年間之上市公司為研究樣本,經由篩選後共選取314間公司作為有效觀察對象。實證結果發現不確定性會降低投資對現金流量敏感度,然在分類後發現兩者不具單調負向關係。就投資對現金流量不敏感之公司而言,主要是受到實質選擇權效果影響,使得遞延之不確定性會正向影響敏感度;而敏感度高之公司則是受到成長性與融資限制之影響使不確定性具有正向效果;至於敏感度為負之公司由於受到融資限制與內部資金不足之原因,使不確定性對敏感度產生負向影響,故在三類敏感度下,不確定性與敏感度之關係會受不同因素之影響。此外,在敏感度大於零的情況下,發現投資與現金流量的敏感度仍可以視為融資限制之代理變數。
Using investment-cash flow sensitivity instead of investments, this paper attempts to examine the relationship between uncertainty and the sensitivity and classifies the samples into three groups which are positive、insensitive and negative to analyze whether the results are consistent. Furthermore, we also control the impact of financial constraints with respect to the demand of funds. The data collected in this paper are the Taiwanese Stock-Listed companies from 2001 to 2005, and 314 effective samples are adopted. The empirical result shows that the relationship between uncertainty and the sensitivity is negative, while it is not monotonously negative after the samples are classified. For cash flow-insensitive firms, uncertainty positively impacts on the sensitivity due to the real option effect. Firms with high investment-cash flow sensitivity have characteristics associated with tighter financial constraint and more growth opportunities, so uncertainty has positive influence on the sensitivity. As to negative investment-cash flow sensitive firms, uncertainty negatively influences the sensitivity by tighter financial constraint and cash holding. In short, uncertainty affects these three sensitivities by different factors. Finally, the findings on the positive investment-cash flow sensitivity show that the sensitivity is viewed as the proxy of financing constraints.
目錄
中文摘要 I
英文摘要 II
致謝 III
目錄 V
表目錄 VI
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第二章 文獻探討 6
第一節 現金流量與投資之敏感度 6
第二節 融資限制與投資對現金流量敏感度 7
第三節 不確定性對投資影響之相關理論 11
第三章 實證研究方法 14
第一節 不確定性影響投資現金流量敏感度之模型 14
第二節 投資對現金流量敏感度之衡量 15
第三節 不確定性之衡量 16
第四節 融資限制下之模型設定 18
第五節 資料來源與樣本期間 20
第四章 實證結果分析 21
第一節 樣本資料分析 21
第二節 不確定性對投資現金流量敏感度之影響 27
第三節 融資限制下不確定性對投資現金流量敏感度之影響 31
第五章 結論與建議 47
第一節 結論 47
第二節 建議 49
參考文獻 50
表目錄
表 一:敘述統計 23
表 二:相關係數 26
表 三:(TGARCH)不確定性與投資對現金流量敏感度之影響 29
表 四:(EGARCH) 不確定性與投資對現金流量敏感度之影響 30
表 五:融資限制影響下之敏感度與不確定關係 33
表 六:(TGARCH)成長性於融資限制下對敏感度與不確定性之影響 36
表 七:(EGARCH) 成長性於融資限制下對敏感度與不確定性之影響 37
表 八:差異性比較 40
表 九:Multinomial logit regression 41
表 十:Logit regression (PCF 與 NCF之比較) 42
表 十一:(TGARCH)資產流動性於融資限制下對敏感度與不確定性之影響 45
表 十二:(EGARCH)資產流動性於融資限制下對敏感度與不確定性之影響 46
圖目錄
圖 一:研究架構 5
參考文獻
1.楊奕農(2005),時間序列分析-經濟與財務上之應用,台北,雙葉書廊,頁169-172。
2.游志成,「融資限制與錯誤定價對投資與現流量段影響之研究」,私立東海大學國際貿易研究所碩士論文,民國九十三年6月。
3.牟中全,「從不同資金角度探討不確定性與公司投資關聯性之研究」,私立東海大學貿易研究所碩士論文,民國九十五年6月。
4.Abel, A. B., 1983, “Optimal Investment under Uncertainty,” American Economic Review, 73, 228-233.
5.Abel, A.B. and Eberly, J. C., 1997, “The Effects of Irreversibility and Uncertainty on Capital Accumulation,” Journal of Monetary Economics, 44, 339–77.
6.Aizenman, Joshua, and Nancy Marion, 1999, “Volatility and Investment; Interpreting Evidence from Developing Countries,” Journal of Economica, 67, 157-179.
7.Allayannis, G., Mozumdar, A., 2004, “The Impact of Negative Cash Flow and Influential Observations on Investment-Cash Flow Estimates,” Journal of Banking and Finance, 28, 901-930.
8.Almeida, H., Campello, M., Weisbach, M., 2004, “The Cash Flow Sensitivity of Cash,” Journal of Finance, 57, 1-32.
9.Alti A., 2003, “How Sensitive Is Investment to Cash Flow When Financing Is Frictionless?,” The Journal of Finance 58, 707-722.
10.Bar-Ilan, A. and Strange, W. C., 1999, “The Timing and Intensity of Investment,” Journal of Macroeconomics, 21, 57-77.
11.Berkson, J., 1944,”Application of the Logistic Function to Bioassay,” Journal of American Statistical Association, 39, 357-365.
12.Bernanke, B., 1983, “Irreversibility, Uncertainty, and Cyclical Investment,” Quarterly Journal of Economics , 98, 85-106.
13.Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 637-659.
14.Bo, H. and R. Lensin, 2005, “Is The Investment-Uncertainty Relationship Nonlinear? An Empirical Analysis for the Netherlands,” Journal of Economica, 72, 307-331.
15.Caballero, R. J., 1991, “On the Sign of The Investment-Uncertainty Relationship,” American Economic Review, 81, 279-288.
16.Chapman, D. R., C. W. Junor and T. R. Stegman, 1996, “Cash Flow Constraints and Firms' Investment Behavior,” Applied Economics 28, 1037-1044.
17.Cleary, S., 1999, “The Relationship between Firm Investment and Financial Status,” Journal of Finance 54, 673-692.
18.Cleary, S, P. Paul and M. Raith, 2003, “The U-shaped Investment Curve: Theory and Evidence,” Social Science Research Network working paper , 1-48.
19.Cleary, S., 2004, “International Corporate Investment and Role of Financial Constraints,” Working Paper.
20.Cox, J., Ross, S., and Rubinstein, M., 1979, ”Option Pricing: A Simplified Approach,” Journal of Financial Economics, 7, 229-264.
21.Daft, R. L., 2001, “Essentials of organization theory & Design,” Ohio: South-Western college Publishing.
22.Dixit, A. and R. Pindyck, 1994, “Investment under Uncertainty,” Princeton University Press.
23.Dasgupta, Sudipto and Kunal Sengupta, 2003, “Financial Constraints, Hurdle Rates, and Economic Activity: Implications from a Multi-Period Model,” Social Science Research Network working paper, 1-48.
24.Devereux, M. and F. Schiantarelli, 1990, “Investment, Financial Factors and Cash Flow from UK Panel Data, in G. Hubbard (ed.), Asymmetric Information, Corporate Finance, and Investment,” Chicago: U. of Chicago Press,279-306.
25.Fazzari, S. M., R. G. Hubbard and B. C. Petersen, 1988, “Financing Constraints and Corporate Investment,” Brookings Papers on Economics1, 141-195.
26.Ferreia, M. A., and Vilela, A. S., 2003, “Why Do Firms Cash? Evidence form EMU Countries,” Social Science Research Network Working Paper, 1- 42.
27.French, M. W. and Sichel, D. E, 1993, “Cyclical Patterns in The Variance of Economic Activity,” Journal of Business and Economic Statistics, 11, 113 -19.
28.Ghosal, V. and P. Loungani, 2000, “The Differential Impact of Uncertainty on Investment in Small and Large Businesses,” Review of Economics and Statistics, 82, 338-349.
29.Chang, X., Jan, T. J. and Wong, G., 2006, “The Effects of Financial Constraints on Corporate Polices in Australia,” Social Science Research Network Working Paper, 1-39.
30.Greenwald, B., J. Stiglitz and A. Weiss, 1984, “Informational Imperfections in Capital Market and Macroeconomic Fluctuations,” American Economic Review,74, 194-199.
31.Greenwald, B. and J. Stiglitz, 1990, “Macroeconomic Models with Equity and Credit Rationing,” University of Chicago Press, 15-42.
32.Guiso, L. and Parigi, G., 1999, “Investment and Demand Uncertainty,” Quarterly Journal of Economics, 110, 185–227.
33.Hartman, Richard, 1976, “Factor Demand with Output Price Uncertainty,” American Economic Review 66, 675-81.
34.Hansen, L.,1982, “Large Sample Properties of Generalize Method of Moments Estimators,” Economica, 50,1029-1054.
35.Hoshi, T., A. Kashyap and D. Sxharfstein, 1991, “Corporate Structure, Liquidity, and Investment: Evidence from Japanese Industrial Groups,” Quarterly Journal of Economic, 106, 33-60.
36.Hovakimian, G., 2006, “The Determinants of Investment Cash Flow Sensitivity,” Social Science Research Network Working Paper, 1-34
37.Jensen, M., 1986, “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,” American Economic Review, 76, 323-329.
38.Kaplan, S. N. and L. Zingales, 1997, “Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?,” Quarterly Journal of Economic, 12, 169-215.
39.McConnell, John J. and Chris J. Muscarella, 1985, “Corporate Capital Expenditure Decisions and the Market Value of the Firm,” Journal of Financial Economics, 14, 99-422.
40.Mills K., S. M. Morling, and W. Tease, 1995, “The Influence of Financial Factors on Corporate Investment,” Australia Economic Review, 110, 60-64.
41.Minton, B. A. and Schrand, C., 1999, “The Impact of Cash Flow Volatility on Discretionary Investment and The Costs of Debt and Equity Financing,” Journal of Financial Economics, 54, 423-460.
42.Modigliani, F. and M. Miller, 1958, “The Cost of Capital, Corporation Finance and the Theory of Investment,” American Economic Review, 48, 261-297.
43.Myers, S., 1977, “Determinants of Corporate Borrowing,” Journal of Financial Economics, 5, 147-175.
44.Myers, S. and N. Majluf, 1984, “Corporate Financing and Investment Decisions when Firms have Information that Investors do not Have,” Journal of Financial Economics, 13,187-221.
45.Nakamura, T., 1999, “Risk aversion and the uncertainty–investment relationship: a note,” Journal of Economic Behaviour and Organization, 38, 357–63.
46.Paul, P. and M., Raith, 2001, “Optimal Investment under Financial Constraints: the Roles of Internal Funds and Asymmetric Information,” Social Science Research Network Working Paper, 1-40.
47.Pawlina, G. and L., Renneboog, 2005, “In Investment-Cash Flow Sensitivity Caused by the Agency Costs or Asymmetric Information? Evidence from the UK,” ECGI Working Paper Series in Finance, 1-49.
48.Schaller, and Huntley, 1993, “Asymmetric Information, Liquidity Constraints and Canadian Investment,” Canadian Journal of Economics, 26, 552-574.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top