Effects of Macroeconomic Conditions and Firm-Level Productivity on Optimal Capital Structure: Theory and Evidence

總體經濟條件與公司生產力對最適資本結構之影響：理論與實證分析

廖四郎(Szu-Lang Liao) ； 黃星華(Hsing-Hua Huang)

《財務金融學刊》 14卷4期 (2006/12) Pp. 1-27

https://doi.org/10.6545/JFS.2006.14(4).1

摘要

本文提出一個部份均衡模型來探討總體經濟條件與公司生產力對最適負債比率之影響，並用資料對模型加以檢驗。本模型將產業需求與個別供給對公司盈餘與非槓桿資產價值的影響，導入資本結構或有求債權模型之中。本模型預測公司最適負債比率與總體經濟條件及公司生產力呈負相關，而此預測也由1994年到2003年間台灣311家上市製造業公司之季資料，利用pooled feasible generalized least squares estimation加以驗證。我們也探討高科技製造業與一般製造業的差異。其中高科技製造業並末和其它製造業公司一樣，與本國總體經濟條件緊密相關。

關鍵字

總體經濟條件 ； 公司生產力 ； 最適資本結構

並列摘要

This paper develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm's capital structure by incorporating both the industry demand and firm-level supply factors into the firm's earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms' quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are.

並列關鍵字

Macroeconomic Conditions ； Firm-Level Productivity ； Optimal Capital Structure