- 期刊
市場不完美對投資與現金流量敏感度影響之研究
A Study of the Effect of Market Imperfection on the Sensitivity between Investment and Cashflow
摘要
本文主要探討市場不完全如何影響投資與現金流的敏感度，在市場不完全方面則將焦點放在融資限制與錯誤定價等兩個議題。除了提出簡單的模型來形成可驗證的命題外，亦提供實證結果來驗證模型的主張。本文主要實證結果有三，首先發現在負債與權益融資限制下，投資與現金流量敏感度隨融資限制增加而降低，當公司未面臨融資限制時，投資對現金流量並無敏感度；其次，公司面臨融資限制時，成長率愈高則投資對現金流量敏感度愈高，亦即投資對現金流量敏感度可能深受公司成長機會的影響，此亦可能是造成Fazzari, Hubbard and Petersen (1988)與Kaplan and Zing ales (1997)實證結果差異之原因；最後，本文發現代理問題較高之公司，投資對現金流量敏感度有較低的現象。
並列摘要
This paper aims to study the effect of market imperfection on the sensitivity between investment and cashflow. We focus on the financial constraints and stock mispricing to define the market imperfection in our paper. In addition to develop a model explaining the relation between financial constraints and investment-cash flow sensitivities, we also present empirical results to confirm our model. These results can be summarized as follows. First, firms that appear more financially constrained exhibit significantly smaller investment-cash flow sensitivities than firms that appear less financially constrained. On the other hand, the investment-cash flow sensitivities are insignificant when firms are unconstrained. Second, the sensitivities are higher for firms with high growth rates, so long as firms are not entirely unconstrained. Because investment-cash flow sensitivities may proxy for growth opportunities, it may explain why Fazzari, Hubbard and Petersen (1988) and Kaplan and Zingales(1997) yield very distinct implications for investment-cash flow sensitivities. Third, moral hazard will dampen the investment-cash flow sensitivities relatively more in the high agency problems firms when they are financially constrained.