市場競爭程度對企業現金持有政策之影響

Competition, cash holdings and expected return

林俊廷(Lin Chun-Ting)

指導教授 ： 盧敬植

國立政治大學/商學院/財務管理學系/碩士(2021年)

https://doi.org/10.6814/NCCU202100816

摘要

本研究從企業持有現金的動機切入，以赫芬達爾-赫希曼指數(Herfindahl-Hirschman Index, HHI) 作為市場競爭的代理變數，分析台灣市場競爭程度對於企業現金持有政策的影響，並進一步觀察現金持有與股票報酬之間的關聯，是否會受到市場競爭程度的不同而有所改變。
實證結果顯示，企業的現金持有比率會隨著市場競爭度下降(HHI 上升)而
降低；本研究認為市場競爭會影響企業對投資機會的掌握而改變現金持有政策，因此另以總資產成長率作為投資的代理變數，研究市場競爭與投資成長之間的關聯，實證亦發現投資成長與 HHI 呈現負相關。最後則延續過去文獻的研究，觀察在控制市場集中度之下，現金持有與預期股票報酬率的關係，結果顯示市場競爭度越低的組別，高現金持有比率和低現金持有比率投資組合的CAPM 超額報酬差異更大。

關鍵字

市場競爭 ； 赫芬達爾-赫希曼指數 ； 現金持有 ； 預期股票報酬

並列摘要

This study investigates the relationship between market competition and cash holding policy of a firm. Using Herfindahl-Hirschman Index (HHI) as a proxy for market competition, I found the negative correlation between HHI and cash holdings in Taiwan. Furthermore, this study also investigate the relevance between cash holdings and expected stock return across different market competition situation. I separate data by two categories, HHI and cash-to-asset ratio, then use CAPM to analyze portfolio excess return. The results show that high cash-to-asset ratio portfolios got more excess return than low ones, and the gap was bigger when HHI are higher.

並列關鍵字

Market competition ； Herfindahl-Hirschman Index ； Cash holdings ； Expected return

參考文獻

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