資本支出宣告對股東財富之影響－Jensen閒餘現金流量與Tobin's Q兩假說之驗証

The Impact of Free Cash Flow and Tobin's Q on the Shareholder Wealth Effects of the Capital Investment Decision

謝劍平(Joseph C. P. Shieh)

《中國財務學刊》 1卷2期 (1994/01) Pp. 37-52

https://doi.org/10.6545/JoFS.1994.1(2).3

摘要

本結論文探討過去經營績效與代理成本如何影響資本支出宣告的股票報酬，其中過去經營績效是以Tobin's Q比率變數為代表，而代理成本則是以Jensen's（1986）開餘現金流量（free cash flow）為衡量基準。在以事件研究法分析了1985年至1989年閥美國216家股票上市公司增加年度資本支出時股票市場的反應後，本研究的實証結果顯示在資本支出宣告中的異常報酬與這兩個衡量變數有顯著相關。此結果意謂著投資人給予有好的過去經發績效的企業之投資專業較高的評價，而且代理成本也是投資人評價公司資本支出的考慮因索。

並列摘要

This paper examines how management quality as measured by Tobin's Q ratio, and agency costs as measured by Jensen's (1986) free cash flow affect security returns associated with capital investment announcements. Prior studies have found that the market value maximization hypothesis can explain the rationale of making capital expenditure announcement. This study attempts to further examine a firm's characteristic that might have differential effect with respect to excess returns to shareholders. Two variables, Tobin's Q ratio and Jensen's free cash flow, are used to account for the cross-sectional variations among sample firms. Event study methodology is employed to test a sample of 216 announcements regarding capital expenditure increases over the five-year period 1985 through 1989. The paper reports that excess ret urns associated with capital investment announcement s are significantly related to both measures. Firms with high Q ratios tend to receive significant excess stock returns in response to increases in capital investment announcements. Firms with high free cash flow receive strong excess rat urns when t hey make the announcement of increases in capital investment.