臺灣博碩士論文加值系統

本研究延續Acharya (2012)探討現金持有量與信用利差(credit risk)之間的關係，針對2000年至2016年北美所有公司，在剔除金融業後採用Chen (2011)的流動性折扣模型及Amihud (2002)作為流動性風險因子來取代信用利差，藉此來探討公司現金持有量與流動性之間的關係，實證結果顯示企業整體現金持有量與不流動性因子呈顯著相關；接著再以三種不同融資限制條件來研究是否在面對不同的資金成本會有不同的現金持有量及流動性變化關係，分別是為Easton (2004)修正後權益資金成本(modified price-earnings growth ratio)、Kaplan and Zingales (1997)的KZ-Index及Whited and Wu (2006)的WW-Index，實證發現企業現金持有量與融資限制具一定程度相關，其中修正後權益資金成本呈現一Ｕ型相關；最後再針對前一關係透過現金流量活動來分析現金來源，發現企業在資金成本較高時現金持有量與投資活動及融資活動現金流呈正相關，表示企業會因預防性動機去透過投資及融資活動來增加現金持有量，同時也發現企業在資金成本較低時現金持有量與投資現金流呈正相關，表示此時企業可能會透過投資收益的方式來持有較多的現金部位。

According to Acharya (2012), the correlation between cash holdings and credit spreads is robustly positive. We are interested in replacing credit risk factor by Chen (2012) liquidity discount rate to analyze the relation of U.S. corporate excluding the financial institutions from 2000 to 2016. Empirical results show that the liquidity discount rate can illustrate the cash holdings. Furthermore, we use Easton (2004) modified PEG ratio as the financial constraints to describe the relation between cash holdings and cost of equity. It is consistent with the result of Acharya (2012), showing a U-shaped correlation. We then analyze the source of cash holdings and find that the corporate have more cash through the cash flow from financing and investing activities when the cost of equity is in the high level. It indicates that corporate will be due to precautionary motive to financing and investing activities to increase cash holdings. And we also find that corporate have the positive correlation between cash holdings and cash flow from investing activities when corporate are in the lower level of cost of equity. It shows that corporate will increase cash holdings by investing activities.

第一章 緒論 1
第二章 文獻回顧 2
2-1 流動性衡量 2
2-2 現金持有文獻 3
2-3 融資限制文獻 3
2-4 研究假說 4
第三章 研究設計 5
3-1 研究模型 5
3-1-1 前言 5
3-1-2 Chen (2011)模型經濟意義與模型建立 5
3-1-3 Chen (2012)模型實際應用 7
3-1-4 Easton(2004)模型經濟意義與模型建立 8
3-1-5 KZ-Index (1997)模型經濟意義與模型建立 10
3-1-6 WW-Index (2006)模型經濟意義與模型建立 10
3-2 資料來源與處理方式 12
3-2-1 Chen (2011)流動性折扣 12
3-2-2 Easton (2004)修正後權益資金成本模型 13
第四章 實證結果 14
4-1敘述統計與相關係數 14
4-2流動性折扣衡量 14
4-3迴歸結果與分析 15
4-3-1流動性折扣率迴歸分析 15
4-3-2融資限制下現金持有 16
4-3-3現金持有與現金流量 18
第五章 結論 20
參考文獻 21
附錄 23

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