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研究生:劉莉美
研究生(外文):Li-May Liu
論文名稱:淨營運資金對公司價值的影響-以台灣上市櫃營建業為例
論文名稱(外文):The effects of Net Working Capital impact on company value -Evidence from the Listed Construction Firms in Taiwan
指導教授:黃瑞卿黃瑞卿引用關係
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融學系在職專班
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:2018
畢業學年度:106
語文別:中文
論文頁數:34
中文關鍵詞:淨營運資金公司價值超額報酬報酬率標準差夏普指數最小平方法
外文關鍵詞:Net working CapitalCompany ValueExcess ReturnsStandard Deviation of Return RateSharpe RatioThe Method of Least Square
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淨營運資金與公司價值的關聯性始終為公司經營決策的一重要方針,然而淨營運資金的多寡對公司價值的影響究竟為何?成為促使本研究的起因。在參酌Aktas et al. (2015)的研究,探討淨營運資金與公司價值之間的關係,並更加深入針對風險層面來做分析。考量營建產業與景氣波動之間具有極高的連動性,本文便採用台灣經濟新報社資料TEJ資料庫中1996-2016年上市、上櫃公司,樣本選取以營建產業為主,分析其超額報酬、報酬率標準差及夏普指數等指標,並以最小平方法(The Method of Least Square),以迴歸分析求得近似的標準方法做為模型建構與估計的方式。
實證結果顯示,淨營運資金與超額報酬率、報酬率標準差均為顯著的負相關,此結果與Aktas et al. (2015)及Faulkender and Wang(2006)的研究結果相呼應。在景氣的部分,本研究發現景氣佳時超額報酬反而下滑,但風險亦同步下降。
The relationship between net working capital and company value has always been an important policy for the company's business decisions. However, by how much the net working capital affects the company's value has motivated this research. In the study of Aktas et al. (2015), the relationship between net working capital and corporate value was explored, and a deeper discussion was made on the risk aspect. Considering that there is a high degree of linkage between the construction industry and the fluctuations in the economy, this paper use the TEJ database of the Taiwan Economic News Agency, which will be listed in the TECO database from 1996 to 2016, and will be based on the construction industry and analyze the Excess Return、Standard Deviation of Return Rate and Sharpe Ratio etc., and using The Method of Least Square, the standard method for obtaining approximate solutions by regression analysis is used as a model construction and estimation method.
Empirical results show that the net working capital is significantly negatively correlated with the Excess Returns and the standard deviation of returns. This result echoes the findings of Aktas et al. (2015) and Faukkender and Wang (2006). In the business climate, this study found that Excess Returns declined while the economy is booming, but the risks also dropped.
頁次
中文摘要 …………………………………………………………………… i
英文摘要 …………………………………………………………………… ii  
誌謝 …………………………………………………………………… iii  
目錄 …………………………………………………………………… iv  
表目錄 …………………………………………………………………… vi  
第一章、 緒論……………………………………………………………… 1 
  1-1 研究背景和動機………………………………………………… 1  
1-2 研究目的………………………………………………………… 2  
第貳章、 文獻探討………………………………………………………… 3
2-1 淨營運資金和公司價值間的關係……………………………… 3  
2-2 現金持有因素…………………………………………………… 3   
第叁章、 研究設計………………………………………………………… 4  
3-1 資料來源和樣本選取…………………………………………… 4  
3-2 變數定義………………………………………………………… 4
3-3 研究方法………………………………………………………… 6
第肆章、 實證結果與分析………………………………………………… 7
  4-1 敘述性統計分析………………………………………………… 7
4-2 迴歸分析………………………………………………………… 9
第伍章、 研究結論、限制與建議………………………………………… 12   
  5-1 研究結論………………………………………………………… 12
5-2 研究限制………………………………………………………… 12
5-3 研究建議………………………………………………………… 12
參考文獻 …………………………………………………………………… 13
表目錄
表ㄧ、台灣上市櫃營建業現金持有比例……………………………………… 15
表二、台灣上市櫃營建業營運現金流量比率………………………………… 16
表三、台灣上市櫃營建業營運現金流量比率的標準差……………………… 17
表四、台灣上市櫃營建業淨營運資金比率…………………………………… 18
表五、台灣上市櫃營建業公司規模…………………………………………… 19
表六、景氣成長率GDP與景氣燈號…………………………………………… 20
表七、台灣上市櫃營建業超額報酬…………………………………………… 21
表八、台灣上市櫃營建業超額報酬率迴歸分析……………………………… 22
表九、台灣上市櫃營建業報酬率標準差迴歸分析…………………………… 23
表十、台灣上市櫃營建業夏普指數迴歸分析………………………………… 24
參考文獻
Acharya, V. V., Almeida, H., and Campello, M. (2007). Is cash
negative debt? A hedging perspective on corporate financial policies. Journal of Financial Intermediation, 16, 515-554.
. (2013). Aggregate risk and the choice between cash and lines of credit. TheJournal of Finance, 68, 2059-2116.
Aktas, N., Croci, E., and Petmezas, D. (2015). Is working capital management value-enhancing? Evidence from firm performance and investments. Journal of Corporate Finance, 30, 98-113.
Almeida, H., Campello, M., and Weisbach, M. S. (2004). The cash flow sensitivity of cash. The Journal of Finance, 59, 1777-1804.
Bates, T. W., Chang, C. H., and Chi, J. D. (2011). Why has the value of cash increased over time?. Working paper, Arizona State University, Tempe, AZ
Bates, T. W., Kahle, K. M., and Stulz, R. M. (2009). Why do U.S. firms hold so much more cash than they used to?. The Journal of Finance, 64, 1985-2021.
Denis, D. J., and Sibilkov, V. (2010). Financial constraints, investment, and the value of cash holdings. Review of Financial Studies, 23, 247-269.
Enqvist, J., Graham, M., and Nikkinen, J. (2014). The impact of working capital management on firm profitability in different business cycles: Evidence from Finland. Research in International Business and Finance, 32, 36-49.
Faulkender, M., and Wang, R. (2006). Corporate financial policy and the value of cash. The Journal of Finance, 61, 1957-1990.
Han, S., and Qiu, J. (2007). Corporate precautionary cash holdings. Journal of Corporate Finance, 13, 43-57.
Keynes, J. M. (1936). The General Theory of Employment, Interest, and Money. London, UK: Palgrave Macmillan.
Kim, C. S., Mauer, D. C., and Sherman, A. E. (1998). The determinants of corporate liquidity: Theory and evidence. Journal of Financial and Quantitative Analysis, 33, 335-359.
Opler, T., Pinkowitz, L., Stulz, R., and Williamson, R. (1999). The determinants and implications of corporate cash holdings. Journal of Financial Economics, 52, 3-46.
Pinkowitz, L., and Williamson, R. (2007). What is the market value of a dollar of corporate cash?. Journal of Applied Corporate Finance, 19, 74-81.
Riddick, L. A., and Whited, T. M. (2009). The corporate propensity to save. The Journal of Finance, 64, 729-1766..
王競達, 詹雷, 等譯 第3版(2007), 會計學概論, 中國人民大學出版社.
余佩蓉, (2017), 公司治理與經營績效關係之研究- 以上市櫃營建業為例, 財務金融研究所碩士在職專班(東海大學).
張軒慈, (2015), 公司現金持有和公司價值間的關係, 財務金融研究所(台灣大學).
蕭慧玲, 康庭毓 (2016), 淨營運資金對公司績效影響之探究-以台灣與中國上市公司為例, 財務金融研究所(東海大學), 科際整合管理研討會, 2016第19屆 (2016 / 06 / 01), 368–385
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