市場情緒因素、公司融資特性、與資本結構調整之研究

The Study of Market Sentiment factor, Financing Characteristics and Capital Structure Adjustment

詹家昌(Chia-Chung Chan) ； 林丙輝(Bing-Huei Lin) ； 杜佳珊(Chia-Shan Tu)

《證券市場發展季刊》 25卷2期 (2013/06) Pp. 97-128

https://doi.org/10.6529/RSFM.2013.25(2).3

摘要

本文旨在研究公司目標資本結構的調整如何受到市場情緒因素與公司融資特性的影響。實證結果發現市場情緒因素顯著影響公司調整至目標資本結構的速度，應為公司融資時之調整成本項目之一。當市場情緒高漲時，公司調整至目標資本結構的速度明顯增加。當總體經濟因素置入目標資本結構的估計，結果顯示其調整速度顯得更快，表示市場情緒因素對公司資本結構的調整具有推波助瀾的作用。若將影響融資決策之公司特性納入考慮，則發現槓桿高於目標資本結構的公司與融資限制程度較高的公司，都會在市場情緒高漲時有明顯較高的調整速度。最後檢視權益的流動性是否會影響融資效率時，結果顯示權益流動性低的公司，明顯的會利用有利的市場情緒條件調整其資本結構。

關鍵字

目標資本結構 ； 市場情緒因素 ； 公司融資特性 ； 調整速度

並列摘要

This study is to investigate how the adjustment of company's capital structure towards its target is influenced by the market sentiment factor and its financing characteristics. Empirical findings include: The market sentiment factor significantly affect the adjustment speed towards the company's target capital structure and it should be accounted as an adjustment cost for companies to adjust their capital structure. When market sentiment is high, the adjustment speed toward the company's target capital structure increases significantly. As the macroeconomic effect is taken into account, the adjustment speed is even faster, indicating the enhancement effect of the market sentiment factor. When considering the interaction with the company's financing characteristics, the empirical results show that for companies whose leverage ratio exceeding their target capital structure, the adjustment speed towards their target capital structure is higher when market sentiment is high. Finally, considering the liquidity of equity, companies with low equity liquidity tend to take advantage of high market sentiment to adjust their capital structure toward the target.

參考文獻

Acharya, V., H. Almeida, and M. Campello (2007), “Is Cash Negative Debt? A hedging perspective on corporate financial policies” Journal of Financial Intermediation, Vol. 16, No. 4, 515-554.

Almeida, H., M. Campello, and M. S. Weisbach (2004), “The Cash Flow Sensitivity of Cash,” Journal of Finance, Vol. 59, No. 4, 1777-1804.

Ben-Rephael, A., S. Kandel, and A. Wohl (2012), “Measuring Investor Sentiment With Mutual Fund Flows,” Journal of Financial Economics, Vol. 104, No. 2 363-382.

Baker, M., J. C. Stein, and J. Wurgler (2003), “When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms,” Quarterly Journal of Economics, Vol. 118, No. 3, 969-1005.

Baker, M., and J. Wurgler (2002), “Market Timing and Capital Structure,” Journal of Finance, Vol. 57, No. 1, 1-32.