公司個別風險和投資支出

Idiosyncratic Risk and Capital Outlays

劉曉薇(Hsiao-Wei Liu)

指導教授 ： 吳儀玲

國立臺灣大學/社會科學院/經濟學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.00318

摘要

公司個別風險是公司特有的風險，可以利用分散投資來完全規避掉。本研究使用股票報酬和二因子市場模式得到公司個別風險的估計值，以最小平方虛擬變數模型(LSDV)分析追蹤資料，研究在NYSE、NASDAQ、AMEX上市的公司在1980年至2010年之間公司個別風險和投資支出之間的關係，且將該研究應用在市場出現衝擊(股市泡沫)時對兩者關係的影響。

研究結果發現：(1)公司個別風險對公司投資支出有顯著的負向影響。(2)股市泡沫發生之後，投資支出對公司個別風險的敏感性有顯著增加的現象。

關鍵字

公司個別風險 ； 投資支出 ； 股市泡沫

並列摘要

This paper uses stock return and two-factor market model to get the estimates of idiosycratic risk. Our sample includes publicly traded firms listed on NYSE、NASDAQ、AMEX. We use the Least Squares Dummy Variable Model(LSDV) to examines the relation between idiosyncratic risk and investment during 1980-2010. Furthermore,we investigate whether there are significant changes in coefficient of idiosyncratic risk due to financial shock in 1987 and 2000.

The results are as follows：(1) There is a significantly negative relation between idiosyncratic risk and investment. (2) The sensitivity of invesment to idiosyncratic risk increases after the stock bubble burst.

並列關鍵字

idiosyncratic risk ； capital outlays ； stock market bubble

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