資本支出對股價報酬率之影響：產業別分析

在過去的研究中，部份學者針對公司的資本支出對其股價報酬率所產生之影響（Pontiff and Woodgate, 2008）進行探討；其中，多數論文結論指出股價報酬和資本支出呈現負向相關；亦即，當公司花費越多的資本支出，代表公司所能賺得的報酬率將隨之降低（Titman, Wei and Xie, 2004）；而在這些論文之中，主要在探究資本支出的形式（IPO、SEO、可轉換公司債、普通公司債等）和公司股價報酬率之間的關係，而較少著墨於探討不同產業間，資本支出對股價報酬率的影響是否相同。直覺上，資本支出的必要性和重要性會隨著不同的產業而有所改變；況且，即便是在同一產業，市場亦會對具有不同性質（淨值股價比、負債權益比、權益報酬率、市場估值）公司之資本支出展現出不同的股價報酬率反映。由於過去的文獻中少有針對產業層面的研究，於是藉由本篇論文，我們將產業別納入考量因子進行分析，將產業別分為48 組的同時，透過Fama-MacBeth（1973）所提出的迴歸模型，發現在多數產業中，股價報酬率和資本支出確實呈現負相關，然而仍有少數產業呈現不顯著或不相關的結果，顯示產業別對於資本支出對股價報酬率仍存在一定程度影響。

關鍵字

Fama-MacBeth ；資本支出；股價報酬率；產業分析

並列摘要

Several past studies examine the relation between capital investments and cross-sectional stock returns (e.g., Titman, Wei and Xie, 2004, and Pontiff and Woodgate, 2008). Most of the studies draw a conclusion that capital investments are inversely related to of stock returns. Intuitively, the importance and necessity of capital investments could be very different. However, there is little studies that focus on the industrial analysis. Therefore, this paper tries to figure out the role of industry, which affects the patterns of stock returns and capital investments. The conclusion is, briefly speaking, that the effect of capital investments on future stock return remains valid for most of industries, with few exceptions such as consumer durables and business equipment under twelve classifications.

並列關鍵字

cross-sectional stock return ； capital expenditure ； capital investment ； Fama-MacBeth ； industry analysis

參考文獻

4. Chambers, D., R. Jennings, and R.B. Thompson II. “Excess Returns to R&D Intensive Firms.” Review of Accounting Studies, 7 (2002), 133-158.

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2. Cai, J., and K. C. J. Wei. “The Investment and Operating Performance of Japanese IPO Firms.” Pacific-Basin Finance Journal, 5 (1997), 389-417.

3. Carlson, M., A. Fisher, and R. Giammarino. “Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns.” Journal of Finance, 59 (2004), 1009-1034.

5. Chan, L. K. C., J. Lakonishok, and T. Sougiannis. “The Stock Market Valuation of Research and Development Expenditures.” Journal of Finance, 56 (2001), 2431-2456.

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資本支出對股價報酬率之影響：產業別分析

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