本文採用台灣經濟新報資料庫選取台灣製造業上市櫃公司1986-2015年期間作為樣本資料，並研究公司現金流量對持有現金敏感度的影響。延續Bao, Chan and Zhang(2012)的方法，但該篇文章使用WW指數區分財務受限與不受限公司，WW指數僅適用於美國。本研究為了符合台灣的情形，採用Hovakimian(2009)先計算出每家公司事後的投資與現金流量敏感度，再仿照陳雁羚(2015)利用移動視窗(Moving window)計算出個別公司每年的投資與現金流量敏感度。可區分成負敏感、正敏感及不敏感，並歸類為財務最受限、財務較受限及財務不受限公司。接著，再對持有現金的多寡進行探討。從實證結果可得知財務最受限公司現金流量對持有現金的敏感度較大，其他解釋變數同樣也對持有現金變動量具有一定的影響力。最後使用穩健性測試，加入其他區分財務受限的方法，可發現以股利支付率為財務受限的指標與美國研究結果較符合。
另外，相較於Almeida, Campello and Weisbach (2004)與Riddick and Whited(2009)對於持有現金與現金流量產生不同的結論。本文除了使用最小平方法(OLS)來估計外，也納入現今一般學者常採用一般四階動差法(GMM4)來校正OLS所產生非獨立性的問題。而實證結果顯示就台灣資料而言，不論使用OLS或是GMM4迴歸模型皆呈現一致的結果。
最後，本文除了使用縱橫資料模型(Panel data)外，亦針對橫斷面(Cross section)的資料加以做探討。且利用Opler, Pinkowitz, Stulz and Williamson(1999)文章中使用Fama-MacBeth迴歸模型來做分析，並將時間年份分成三組。從中可觀察出大部分的解釋變數並沒有一個明確的走勢，只有非現金淨營運資金變動量隨著時間增加而遞減。

The purpose of this study is to investigate the sensitivity of Taiwan manufacturing firm’s cash flow to cash holding. The studies of this sensitivity can be dated back to the work of Almedia, Campello, and Weisback (2004). They argue that only financial constrained firms save cash out of cash flow while unconstrained firms do not. However, Riddick and Whited (2009) and Bao, Chan, and Zhang (2012) provide contradict evidences.
Taiwan manufacturing firms’ investment behaviors are not necessary same as U.S., we redefine financial constrained firms by using an ex post measurement provided by Hovakimian (2009). In addition, moving window is adapted to estimate investment-cash flow sensitivity for each sample firm each year.
Our study covers 30 years. In general, empirical evidences support Almedia, Campello, and Weisback (2004) and can be summarized as follows. First, it seems that the sensitivity of Taiwan manufacturing firm’s cash flow to cash holding does not have a significant trend over the whole studying period. Second, the impacts of financial variables on the sensitivity are roughly same as U.S. Third, the sensitivity of financial constrained firms are larger than that of unconstrained firms. Finally, all results similar to Almedia, Campello, and Weisback (2004) findings. However, firms have larger responses to their cash holdings when facing negative cash flow.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究方法 3
第三節 論文架構與研究流程 4
第二章 文獻回顧 7
第一節 資本結構之相關理論 7
第二節 財務受限與現金流量對持有現金敏感度之相關文獻 10
第三章 研究方法 16
第一節 研究變數定義及衡量 16
第二節 研究模型 21
第三節 研究步驟 27
第四節 縱橫資料模型及動態縱橫資料模型 28
第四章 實證結果 33
第一節 研究樣本期間、選取準則與資料來源 33
第二節 基本統計分析 34
第三節 持有現金敏感度分析比較OLS與GMM4 38
第四節 各組投資與現金流量敏感度之摘要統計量 42
第五節 各組公司特性平均數及中位數 43
第六節 投資對現金流量敏感度比較OLS與GMM4 44
第七節 穩健性測試 48
第八節 FAMA-MACBETH迴歸分析 52
第五章 結論與研究限制 54
第一節 結論 54
第二節 研究限制與後續研究建議 56
參考文獻 57

表目錄
表3-1 變數定義整理表 26
表4.1 各變數之基本敘述統計表 35
表4.2 各變數之相關係數 37
表4.3 持有現金敏感度分析比較OLS與GMM4 (1) 40
表4.4 持有現金敏感度分析比較OLS與GMM4 (2) 41
表4.5 投資對現金流量敏感度(CFS)的分組統計表 43
表4.6 各組公司特性平均數及中位數之比較 44
表4.7 投資對現金流量敏感度區分正敏感、負敏感、不敏感(OLS) 46
表4.8 投資對現金流量敏感度區分正敏感、負敏感、不敏感(GMM4) 47
表4.9 財務受限指標： WW指數、股利支付率、公司規模(OLS) 50
表4.10 財務受限指標： WW指數、股利支付率、公司規模(GMM4) 51
表4.11 FAMA-MACBETH迴歸分析表 53
 

圖目錄
圖1-1 研究流程圖 6


 

參考文獻
一、國內文獻
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2.吳佳玲，(2006)，現金流量對現金敏感度與融資限制關係之研究，國立交通大學經營管理研究所碩士論文。
3.陳雁羚，(2015)，臺灣投資與現金流量敏感度趨勢研究，淡江大學財務金融學系碩士論文。
4.黃郁彤，(2013)， 企業社會責任對現金持有現金流量敏感度之影響，國立雲林科技大學財務金融所碩士論文。
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