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研究生:王君羽
研究生(外文):Chun-Yu Wang
論文名稱:同產業公司槓桿比率之改變對公司債期結構之影響
論文名稱(外文):The effects of Peer Firms'' Leverage on Debt Maturity chioce
指導教授:廖咸興廖咸興引用關係
口試日期:2016-06-22
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2016
畢業學年度:105
語文別:中文
論文頁數:22
中文關鍵詞:資本結構槓桿比率同業間互動債期結構
外文關鍵詞:Capital StructureLeveragePeer Firm IntersactionMaturity choice
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近年來關於債期結構的研究逐漸增加,從許多不同面相研究公司如何決定負債期限,如流動性(Greenwood (2010))、投資動機(Diamond and He(2014))、負債比率(Brick and Ravid (1985))等,但幾乎沒有文獻將債期結構與同產業間公司的互動互相連結,故本論文利用Leary and Roberts (2014)的同產業公司平均股價報酬衝擊當作同產業資本結構(槓桿比率)變化之代理變數,探討同產業公司之資本結構變化對公司債期結構之影響。研究結果發現,同產業間公司資本結構的變化確實會對公司自身資本決策造成顯著影響,進而影響公司債期結構,且同業槓桿比率越高,公司發行短債比例越低。本論文另對公司評等高低對同產業公司之槓桿比率對公司短期負債比例推論之影響進行分析,發現低評等及無評等的公司受同業資本決策的影響較顯著。
This research investigates the relationship between peer firms’ leverage and maturity choice of the firm. We employ the average of the peer firms’ stock return shocks as a proxy of change of the peer firms’ capital structures. This approach is developed in Leary and Roberts (2014). The empirical results of this study show that the change of peer firms’ capital structure does affect a firm’s maturity choice, and that peer firms’ equity shock will have positive effect on a firm’s short term debt ratio. Moreover, we find that firms with lower rating and without rating are sensitive to the peer firms’ stock return shock.
誌謝--------------------------------------ii
摘要--------------------------------------iii
Abstract----------------------------------iv
圖表目錄 ----------------------------------vi
第一章、 概述-------------------------------1
第二章、 研究假說與研究方法------------------4
2.1研究假說----------------------------4
2.2研究方法----------------------------5
第三章、 研究樣本與研究方法-------------------7
3.1資料來源與樣本篩選-------------------7
3.2使用變數----------------------------7
3.2.1被解釋變數----------------------7
3.2.2主要解釋變數:股價報酬衝擊變數(Equity return shock)--------------------------------------8
3.2.3公司特徵控制變數----------------10
3.3敘述統計-----------------------------12
第四章、 實證結果與分析-----------------------13
4.1 主要假說:公司的債期結構受同業槓桿比率影響,且為負相關---------------------------------------------13
4.2子假說:公司評等對短期債期結構對同產業公司的風險溢酬之影響------------------------------------------14
第五章、結論---------------------------------16
參考文獻-------------------------------------17
Bates, T. W., Kahie, K. M., & Stulz, R. M. (2009). Why do U.S. Firms hold so much more cash than they used to? The Journal of Finance, 64(5), 1985–2021.
Berger, A. N., Espinosa-Vega, M. A., Frame, S. W., & Miller, N. H. (2005). Debt maturity, risk, and asymmetric information; by Allen N. Berger, Marco A. Espinosa-Vega, W. Scott frame, and Nathan H. Miller; IMF working paper 05/201; October 1, 2005
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Diamond, D. W. (1991). Debt maturity structure and liquidity risk. The Quarterly Journal of Economics, 106(3), 709–737.
Diamond, D. W., & He, Z. (2014). A theory of debt maturity: The long and short of debt overhang. The Journal of Finance, 69(2), 719–762.
Fan, J. P. H., Titman, S., & Twite, G. (2010, October 6). An international comparison of capital structure and debt maturity choices.
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Greenwood, R., Hanson, S., & Stein, J. C. (2010). A gap-filling theory of corporate debt maturity choice. The Journal of Finance, 65(3), 993–1028.
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Johnson, S. A. (2003). Debt maturity and the effects of growth opportunities and liquidity risk on leverage. Review of Financial Studies, 16(1), 209–236.
Leary, M. T., & Roberts, M. R. (2014). Do peer firms affect corporate financial policy? The Journal of Finance, 69(1), 139–178.
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Wiggins, J. B. (1990). The relation between risk and optimal debt maturity and the value of leverage. The Journal of Financial and Quantitative Analysis, 25(3), 377–386.
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