臺灣博碩士論文加值系統

本研究旨在探討台灣上市各產業公司投資與融資行為間之長、短期關係，並驗證其關係是否符合Myers與Majluf（1984）所提出之融資順位理論及Jensen（1986）所提出之自由現金流量假說，以民國八十三年第二季至九十一年第三季，共三十個時間序列觀察值為樣本，嘗試以向量誤差修正模型（Vector Error Correction Model，VECM）等時間序列分析法進行研究。實證結果發現：
1.長期關係下符合融資順位理論者，在衝擊反應函數分析時有食品、塑膠、汽車及運輸業等四個產業皆符合；而在變異數分解分析時，則有食品、塑膠、紡織、造紙、橡膠、汽車、電子、營建、運輸及觀光業等十個產業符合。長期關係下符合自由現金流量假說者，在以共整合檢定時有水泥、塑膠、化工、玻璃陶瓷、造紙、鋼鐵、汽車、營建、觀光及綜合＆其他業等十個產業皆符合；而在以衝擊反應函數分析時，僅有橡膠業符合。
2.短期關係下符合融資順位理論者，在VECM分析時有造紙及鋼鐵業符合；而在衝擊反應分析時，則有塑膠、紡織、鋼鐵、橡膠、汽車、電子及運輸業等七個產業符合；在變異數分解時，則有塑膠、造紙、橡膠、汽車、電子、運輸及觀光等七個產業符合。短期下符合自由現金流量假說者，在VECM下有鋼鐵及汽車業符合；而在衝擊反應分析時，則有營建及觀光業符合。

The relationships between finance and investment whether conform to the pecking order theory or free cash flow hypothesis are the objectives of this thesis. In order to investigate the long-term and short-term relationships between corporate finance and investment, the empirical analysis adopts each industry in Taiwan and takes 218 firms from Taiwan industry.
For the long-term relationships, the empirical results show that from the impulse response function analysis foodstuff industry, plastics industry, automobile industry, shipping industry, satisfy pecking order theory. Form the variance decomposition analysis foodstuff industry, plastics industry, textile industry, paper-making industry, rubber industry, automobile industry, electronics industry, building industry, shipping industry, tourist industry, satisfy pecking order theory. However, form the Johansen cointegration analysis cement industry, plastics industry, chemical industry, glass and ceramics industry, paper-making industry, iron and steel industry, automobile industry, building industry, tourist industry, other industry, satisfy free cash flow hypothesis. From the impulse response function analysis only rubber industry satisfy free cash flow hypothesis.
For the short-term relationships, the empirical results tell us that from the VECM analysis there are paper-making industry, iron and steel industry, fitting pecking order theory. From the impulse response function analysis plastics industry, textile industry, iron and steel industry, rubber industry, automobile industry, electronics industry, shipping industry fit pecking order theory. From the variance decomposition analysis there are plastics industry, paper-making industry, rubber industry, automobile industry, electronics industry, shipping industry, tourist industry, fitting pecking order theory. Furthermore, as to free cash flow hypothesis, the VECM show only iron and steel industry, automobile industry are satisfied. From the impulse response function analysis only building industry, tourist industry are satisfied.

摘要..........................................................................Ⅰ
章節目錄......................................................................Ⅲ
表目錄........................................................................Ⅴ
圖目錄........................................................................Ⅶ
第壹章 緒論
第一節 研究動機..........................................................1
第二節 研究目的..........................................................2
第三節 研究流程及架構....................................................3
第貳章 資本結構理論與文獻回顧
第一節 資本結構理論之回顧................................................5
第二節 融資順位理論相關實證文獻.............................................19
第三節 自由現金流量假說相關實證文獻.........................................21
第參章 研究假說與研究方法之建立
第一節 研究假說之建立...................................................24
第二節 變數定義.........................................................25
第三節 研究範圍與資料來源...............................................28
第四節 研究方法.........................................................31
第肆章 實證結果分析
第一節 單根檢定.........................................................48
第二節 共整合檢定.......................................................50
第三節 向量自我迴歸模型.................................................54
第四節 向量誤差修正模型.................................................56
第五節 衝擊反應分析.....................................................60
第六節 變異數分解.......................................................63

第伍章 結論與建議
第一節 結論.............................................................65
第二節 研究限制與未來研究建議...........................................68
註釋.........................................................................69
附錄一　單根檢定彙整表.......................................................72
附錄二　共整合檢定彙整表.....................................................81
附錄三　向量自我迴歸(VAR)模型................................................83
附錄四　向量誤差修正模型(VECM)...............................................85
附錄五　衝擊反應分析.........................................................90
附錄六　變異數分解分析.......................................................95
參考文獻.....................................................................98

中文部分：
1.徐俊明(2001),「財務管理：理論與實務」,增訂版,台北：新陸,408-423頁。
2.張賢智(1997),「自由現金流量假說-以台灣上市公司為例」,國立東華大學國際經濟研究所,未出版碩士論文。
3.鄭丁旺(2002),「中級會計學(下冊)」,七版,台北:宜增, 277。
4.劉維琪與李宗怡(1993),「近代資本結構理論的綜合探討」,企銀季刊,17卷, 1期,1-26頁。
5.劉維琪與李宗怡(1993),「融資順位理論之調查研究」,管理評論,12期, 119-143頁。
6.謝劍平(1999),「財務管理：新觀念與本土化」,再版,台北：智勝,386-408頁。
7.蕭麗娟(1996),「自由現金流量、融資順位與Tobin''s Q之實證研究」,國立交通大學管理科學研究所,未出版碩士論文。
西文部分：
1.Brealey, R. and S. C. Myers(1988), “Principles of Corporate Finance”, 3th. McGraw-hall Book Co..
2.Chung, Kee H. and Stephen W. Pruitt(1994),”A Simple Approximation of Tobin’s Q”, Financial Management Vol.23, Issue 3, Autumn, 70-74.
3.Dickey, David A. and Wayne A. Fuller (1979), “Distribution of the Estimates for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association 74,427-431.
4.Dickey, David A. and Wayne A. Fuller (1981),“Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica 49,1057-1072.
5.Durand, David(1959),”The Cost of Capital, Corporation Finance, and the Theory of Investment: Comment”, American Economic Review, Sep59, Vol. 49 Issue 4, p639-655.
6. Durand, David(1989),”After thoughts on a Controversy with MM, Plus New Thoughts on Growth and the Cost of Capital”, Financial Management, Summer89, Vol. 18 Issue 2, p12-18.
7.Engle, Robert F. and Clive W. J. Granger(1987),“Co-Integration and Error Correction：Representation, Estimation and Testing”, Econometrica 55,251-276.
8.Fazzari, S. M. and R. G. Hubbard and B. Petersen(1988),”Financing Constraints and Corporate investment”, Brookings Papers on Economic Activity, 141-206.
9.Granger, Clive W. J. (1969),”Investing causal relations by econometric models and cross-spectral methods”, Econometrics 37,424-438.
10.Granger, Clive W. J. and Paul Newbold(1974),”Spurious Regressions in Econometrics”, Journal of Econometrics. 2,111-120.
11.Granger, Clive W. J. and Andrew A. Weiss(1983),”Time Series Analysis of Error-Correcting Models”, Academic Press,255-278.
12.Granger, Clive W. J.(1988),”Some Recent Development in a Concept for Causality”, Journal of Econometrics 39,199-211.
13.Hoshi, T. , A. K. Kashyap and D. Scharfstein(1991),”Corporate Structure Liquidity and Investment Evidence from Japanese Panel Data”, Quarterly Journal of Economics 106, 33-66.
14.Jensen, M. C and W. Meckling(1976), ”Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure”, Journal of Financial Economics, 305-360.
15.Jensen, M. C.(1986),”Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers ”, American Economics Review 76, 323-329.
16.Johansen, Soren(1988),”Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control 12,231-254.
17.Johansen, Soren and Juselius Katarina(1990),“Maximum Likelihood Estimation and Inferences on Cointegration-with Applications to the Demand for Money”, Oxford Bulletin of Economics and Staticstics 52,169-210.
18.Johansen, Soren(1992),”Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Model”, Econometrica 59,1551-1580.
19.Kholdy, S., A. Sohrabian and S. Mahdavi(1993), ”The Investment-Cash Flow Linkage Revistited: Evidence from aggregate data and multivariate Granger-causality test “,The Quarterly Review of Economics and Finance 33, 155-169.
20.Mackinnon, J. E.(1991), “Crtical Values for Cointegration tests, in R. F. Engle and C. W. J. Granger(eds.), Long Run Economic Relationship”, Oxford University Press, 267-276
21.Miller, M. H.(1977), ”Debt and Taxes”, Journal of Finance, 32,261-278.
22.Modigliani, F. and M. Miller(1958),”The Cost of Capital, Corporation Finance, and the theory of Investment”, American Economic Review 48, 261-297.
23.Myers, S. and N. Majluf(1984), ”Corporate Financing and Investment Decisions when firms have Investment Information that Investors do not have”, Journal of Financial Economics 13, 187-220.
24.Phillips, Peter C. B.(1987),”Time Series Regression with a Unit Root”, Econometrica 55,277-301.
25.Phillips, Peter C. B. and Pierre Perron(1988),”Testing for a Unit Root in Time Series Regression”, Biometrica 75,311-340.
26.Said, Said E. and David A. Dickey(1984),”Testing for Unit Roots in Autoregressive-Moving Average Models with Unknown Order”, Biometrica 71,599-607.
27.Sims, Christopher A.(1980),”Macroeconomics and Reality”, Econometrica 48,1-48.
28.Vogt, S. C.(1994),”The Cash Flow/Investment Relationship: Evidence From U.S. Manufacturing Firms”, Financial Management 23, 3-20.