財務受限與股票報酬關係之多因子模型探討 -以台灣上市櫃公司為例

The Relationship Between Financial Constraint and Stock Return in Taiwan – An Application of Three-Factor Model

吳書瑈(Shu-Rou Wu)

指導教授 ： 邱忠榮

淡江大學/商管學院/財務金融學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00808

摘要

投資為企業營運及發展中，相當重要的一環，其最大的關鍵在於是否擁有足夠的資金，資金來源主要可區分為二：內部資金及外部融資。當內部資金充裕之情況下，企業投資活動能正常運作；但當內部資金不足時，因無法再由內部增資獲取資金，企業需做向外融資的動作。當企業面臨財務受限時，是否會阻礙投資活動進行，在過去幾十年來不斷被探討。
財務受限表示企業擁有之內部資金無法支持其進行所期望的投資活動，造成公司財務受限可能因素為：資訊不對稱或代理人問題，但並不等同於Financial distress。直覺上來說，財務受限會影響公司的投資行為，進而影響公司股票報酬率。而在投資學領域中，Fama多因子模型是在找出影響報酬率的因素，本研究利用Fama多因子模型，探討財務受限公司與其股票報酬間之關係。由於過去有文獻指出財務受限確實影響著投資，像是：Whited (1992)、Bond and Meghir (1994) 及 Love (2003) 提出投資尤拉方程式驗證，發現財務受限增進其契合度。在了解到財務受限影響投資後，財務受限是否進而影響著股票市場報酬表現的議題，也就隨之而來。
目前台灣利用Fama多因子模型討論財務受限議題的研究甚少，Whited and Wu (2006) 在此方面結果較為明確，且其建置之財務受限指數有別於較傳統的KZ指數，因此本研究將Whited and Wu (2006) 視為研究基礎，並以台灣上市櫃製造業為研究對象，探討台灣上市櫃製造業公司，財務受限與股票報酬之間關係。

關鍵字

財務受限 ； 股票報酬 ； 財務受限與股票報酬關係 ； Fama多因子模型

並列摘要

Investment activities play an important role in company’s operation and development. The key of company investment is if company has enough funds to do investment activities. The sources of funds can be divided into the part: internal funds and external financing. When internal funds is abundant, the company has regular investment activities. In contrast, when company is short of internal funds, company needs external financing. In case of financial constrained in company whether affects investment activities is constantly discussed in the past decades.
Intuitively, company has financial constrained phenomenon will influence its investment activities, then further influence the stock returns. In the field of investment, fama three-factor model is the model trying to find the factors which influence stock return. Therefore, this study will discuss the relationship between financial constrained and stock returns by using fama there-factor model.

並列關鍵字

Financially constrained ； stock return ； the relationship of financial constrained and stock return ； fama three-factor model

參考文獻

沈中華與王健安，(2000)，「融資限制對公司投資的影響」，經濟論文，28，頁67－95。

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