資本結構之實證研究－以台灣上市上櫃公司為例

Empirical Studies on Firm's Capital Structure－Evidence from Taiwan Stock Market

楊耀升(Yao-Sheng Yang)

指導教授 ： 楊朝成

國立臺灣大學/社會科學院/經濟學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.00771

摘要

有關公司資本結構上的假說包括︰ (1)公司有一個最佳的資本架構， (2)公司的融資行為服從融資順位理論 (3)公司資本結構的改變來自於市場擇時的結果， 及(4)公司資本結構變化僅僅反映出在股價方面的變化。在抵換理論中，公司將權衡分析舉債邊際成本與舉債節稅利益間的抵換，以尋求一平衡點，並找出最適資本結構(或目標負債比率)。Myers (1984)提出在資訊不對稱情況下，公司有資金需求時，首先由保留盈餘支應，其次依序為無風險負債，風險性負債，最後為發行新股。Baker及Wurgler(2002)發現低舉債公司其股票價格較高，而高舉債公司其股票價格較低，因此市場擇時現象可解釋資本結構的變化。然而Welch
(2004)提出資本結構(帳面負債相對於市值權益)的變化僅僅是股票價格的變動所造成。
本研究利用兩階段 Probit 移轉迴歸方法(Two-stage Probit Switching Regression model)探討廠商有無赴大陸投資對其融資行為是否有所差異。研究發現，無論是靜態抵換理論，融資順位理論，或是市場擇時理論都不能一致的解釋廠商融資行為。而股價報酬率對於公司資本結構的變化確有極高的解釋能力，亦即我們的研究結果與Welch(2004)的發現一致。

關鍵字

股票報酬率 ； 融資順位理論 ； 靜態抵換理論 ； 市場擇時

並列摘要

Hypotheses on firms’ capital structure include: (1) Firms have an optimal capital structure, (2) Firms’ financing decision follows a pecking order, (3) Firms time the equity issuing, and (4) Changes in firms’ capital structure in terms of book value of debt over market value of equity simply reflect the changes in equity price. In the trade-off model, firms will identify their optimal leverage by weighing the costs and benefits of an additional dollar of debt. Myers (1984) develops an alternative theory known as the pecking order model of financing decisions. Under informational asymmetries, firms finance new investments first with retained earnings, then with safe debt, then with risky debt, and finally with equity. Baker and Jeffrey (2002) found that low leverage firms are those that raised funds when their market valuations were high, as measured by the market-to-book ratio, while high leverage firms are those that raised funds when their market valuations were low. In other words, market timing phenomenon can explain well on capital structure. However, Welch (2004) provided evidence that the determinant of debt ratios are stock returns. Changes in firms’ capital structure in terms of book value of debt over market value of equity simply reflect the changes in equity price.
A Two-stage Probit Switching Regression model is used to examine whether investing in China has impacts on firms’ determination of capital structure or not. The empirical results provided evidence that does not support the static trade-off model, pecking order theory, and market timing phenomenon. We find that stock returns are a major determinant of debt ratios in Taiwan. In other words, our findings in debt ratio dynamics are in accordance with those of Welch (2004).

並列關鍵字

stock return ； pecking order ； static trade-off theory ； market timing

參考文獻

1. Baker, M. and Jeffrey, W., 2002, “Market Timing and Capital Structure.”, Journal of Finance 57 (2): 1–32.

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4. Bowen, R.M., Daley, L.A., and Huber, C.C., 1982, “Evidence on the existence and determinants of inter-industry differences in leverage.”, Financial Management