投資q理論-台灣上市領導廠商之實證研究

民間投資被視為經濟成長的重要動力來源，面對當前景氣衰退，各國先後祭出寬鬆貨幣政策，希望藉此提振民間投資並刺激經濟成長。ｑ理論連結股價指數與公司投資，同時提供了貨幣政策明確的傳導過程。本文選用11家台灣指標性上市公司資料，樣本期間涵蓋2004~2011年，以OLS、固定效果模型與隨機效果模型，對ｑ理論進行實證分析，觀察台灣公司只固定投資是否受到股價指數之正向影響。迴歸結果顯示，不論在上述何種模型之下，所選之11家台灣上市公司的固定投資率與ｑ值皆呈現顯著負相關，不符合學理上之預期。推究可能原因為，1.台灣股市投機性高、2.所選上市公司之資金來源多為信用貸款而非現金增資、3.公司發放現金股利、4.ｑ值僅供外部投資人參考。

關鍵字

q理論；企業固定投資；股票指數

並列摘要

Investment is very important to the economic. Countries start the monetary easing to cope with the decline around world. Hoping to rise the investment by firms and stimulate the economics. q theory connects the firm’s investment with the stock price index and provides monetary policy an exact way to affect the investment. The research objects are 11 Taiwan listed leading firms. The duration of the sample information is from 2004 to 2011. This study uses OLS, fixed effect Model and random effect model for analysis to investigate that if the q theory is applicable in Taiwan. This empirical research draws a conclusion that q ratio has significant negative effect on the fixed asset investment in every kinds of models. This result is different from the classical q theory. The possible reasons are listed below, 1. Taiwan’s capital market is speculative. 2. Capital resource is not cash. 3. Cash dividends. 4. q ratio is not a considered factor for the insider while investing.

並列關鍵字

fixed investment ； q ratio

參考文獻

俞海琴、陳慧娟 (1999)，「我國上市公司成長、槓桿與托賓 Q 關聯之研究」，風險管理學報，第一卷，第一期，P.81-101。

李靜如 (2001)，「我國上市公司使用銀行貸款、槓桿與托賓 Q 關聯之實證研究」，中原大學國際貿易碩士論文。

Baum, C. F. and Thies, C.F. (1997) “Q, Cash Flow and Invwstment: An Econometric Critique.” Boston College Working Papers in Economics No.332.

Bolton Patrick, Hui Chen, and Neng Wang (2011) “A Unified Theory of Tobin’s q, Corporate Investment, Financing, and Risk Management” The Journal of Finance, vol.79, No.5, Oct 2011. 1545-1575.

Bond, S., A. Klemm, Newton-Smith, R., and M. Syed (2004) “The roles of expected profitability, Tobin’s Q and Cash flow in econometric models of company investment.” Mimeograph, Institute for Fiscal Studies, London.61

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投資q理論-台灣上市領導廠商之實證研究

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