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研究生:劉宛姍
研究生(外文):Wan-Shan Liu
論文名稱:財務限制與股票分割訊息傳遞關聯性之研究
論文名稱(外文):The Relationship between Financial Constraint and the Signal of Stock Splits
指導教授:楊東曉楊東曉引用關係
指導教授(外文):Tung-Hsiao Yang
口試委員:李超雄葉錦徽
口試日期:2011-06-23
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:57
中文關鍵詞:股票分割訊息傳遞財務限制成長機會
外文關鍵詞:Stock splitsSignaling theoryFinancial constraintGrowth opportunity
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由於以往文獻指出股票分割具有訊息傳遞的機制,故本文將財務限制與股票分割作一連結,以了解是否在高財務限制之下的公司會傾向採取股票分割。除此之外,研究中也透過公司成長機會的代理變數來探討,這些有高財務限制的公司在面臨有成長機會的時候,是否會更傾向去執行股票分割。本文研究期間為西元1992年到2009年,研究對象為樣本期間內執行股票分割之美國上市交易公司。本研究將利用t檢定、配對t檢定與Logistic 迴歸模型來探討在有財務限制下公司的累積異常報酬是否較沒有財務限制下公司的累積異常報酬大。本文實證結果顯示,財務限制高且成長率高的公司,特別是在總資產增加率高的情況下時,其愈容易去做股票分割。且由於股票分割後,財務限制高的累積異常報酬短期內持續上升,因此預期股票分割對財務限制是一種訊息傳遞的機制。

The existing literature shows that the decision of stock split signals some important message about firm’s future perspective. This study links financial constraints with stock split and tests whether the firms with financial constraints prefer to split their stocks. In addition, this study also analyzes whether firms splitting their stocks would more likely to do so when they have more growth opportunities. To analyze the signaling effect of stock split, we examine the cumulative abnormal returns of the public firms with stock splits from 1992 to 2009.In the study, we utilize t tests, paired t tests, and logistic regressions to find under which conditions firms would like to split and how their market performance would be after the splits. The empirical results show that firms are more likely to split their stock when they have highly financial constraints and more growth opportunity. In particular, when firms have higher increase in their capital expenditure, it would more likely to split. Because the firms with highly financial constraints have substantial increase in cumulative abnormal returns in the short run after stock split, we conclude that stock split is a signal for the firms to convey the information about their level of financial constraints.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻探討 3
第一節 股票分割之意義及相關理論假說 3
第二節 財務限制的衡量 7
第三章 研究方法 10
第一節 資料來源與選取樣本 10
第二節 研究方法 10
第三節 研究變數之衡量 12
第四章 實證結果分析 20
第一節 股票分割與財務限制的關係 20
第二節 財務限制與公司未來成長機會和股票分割的關係 22
第三節 股票分割與未股票分割之差異 31
第四節 以Logistic迴歸模型再驗證變數關係 35
第五章 結論與建議 41
第一節 結論 41
第二節 研究限制與建議 42
參考文獻 43


中文參考文獻
莊宗憲,2005,「公司治理機制與公司經營績效之實證研究」,銘傳大學會計研究所碩士論文

英文參考文獻
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Charest, Guy. 1978b., " Split Information, Stock Returns and Market Efficiency-I." Journal of Financial Economics, Vol.6, pp. 265-296.
Cleary, S., 1999, " The Relationship between Firm Investment and Financial Status, " Journal of Finance, Vol.54, pp. 673-692.
Copland, T. E., 1979, " Liquidity Changes Following Stock Splits, " Journal of Finance, Vol.34, pp. 115-141.
Demesetz, H., 1968, " The Costs of Transacting," Quarterly Journal of Economics, Vol.82, pp. 33-53.
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Fazzari, Steven M., R. Glenn Hubbard, and Bruce C. Petersen, 1988, " Financing Constraints and Corporate Investment, " Brookings Papers on Economics, Vol.19, pp. 141-195.
Grinblatt, S., W. Masulis, and S. Titman, 1984, " The Valuation Effects of Stock Splits and Stock Dividends, " Journal of Financial Economics, Vol.13, pp. 461-490.
Haugen, R., 1995, The New Finance: The Case against Efficient Markets (Prentice Hall, Englewood Cliffs, N.J.).
Hovakimian, A. and Hovakimian, G., 2005, " Cash flow sensitivity of investment," Working Paper, Fordham University.
Ikenberry, David L., Graeme Rankine and E. Kay Stice, 1996, " What do stock splits really signal?," Journal of Financial and Quantitative Analysis, Vol.31, pp. 357-375.
Kaplan, Steven N., and Luigi Zingales, 1997, "Do investment-cash flow sensitivities provide useful measures of financing constraints?," Quarterly Journal of Economics, Vol.112, pp. 169-215.
Lakonishok, J., A. Shleifer, and R. Vishny, 1994, " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, Vo1.49, pp. 1541-1578.
Lakonishok, J. and B. Lev, 1987, " Stock Splits and Stock Dividends: Why, Who and When, " Journal of Finance, Vol. 42, pp. 913-932.
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McCorry, Michael S. and Forjan, James M., 1995, " Evidence on the Behavior of Bid-Ask Spreads surrounding Stock Split Announcements, " Journal of Applied Business Research, pp. 97-102.
McNichols, Maureen and Ajay Dravid, 1990, " Stock Dividends, Stock Splits and Signaling," Journal of Finance, Vol.45, pp. 857-879.
Modigliani, Franco and Miller, Merton H., 1958, " The Cost of Capital, Corporation Finance and the Theory of Investment", The American Economic Review, Vol. 48, pp. 261-297.
Phillips, A. L., H. K. Baker, and R. B. Edelman, 1997, " The Market Reaction to Discontinuing Regular Stock Dividends, " Financial Review, Vo1.32, pp. 801-819.
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Whited, T. M. and Wu, G., 2006, " Financial constraints risk," The Review of Financial Studies, Vol.19, pp. 531-559.


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