摘要
本論文以「公司投資」為主軸，進行三篇相關性主題之研究，藉由延伸Ohlson (1995)股權評價模型與修正跨期最適模型，以評估公司股價與實質投資行為，作為投資者投資股權與公司實質投資決策之重要參考依據，其中特別強調「不確定性」在投資行為上所扮演的角色。 第一個主題旨在探討當前蓬勃發展的金融環境下，無論是金融投資或實質投資均面臨高度的不確定性。因此，在進行股權投資時，必須將不確定或風險因素納入考量。Ohlson股權評價模型已考慮公司基本面因素，如帳面價值與異常盈餘，若能將公司無法消除的系統性風險因素再納入考量，更能符合當前高度不確定的投資環境，並填補Ohlson未將非會計資訊做明確界定之缺憾，進而改善股價評估預測之能力，為進行此方向之修正與延伸而建構出本論文的第一篇文章。實證結果支持系統性風險對於股權評價的重要性，且可彌補Ohlson模型未將非會計資訊明確界定之缺失。 第二個主題挑戰Ohlson 評價模型假設投資人是同質的且為風險中立者之合理性。由於股票市場是不完全的且多數投資人為異質而偏向風險趨避者，故在投資股市時存在一定程度的風險。為誘使投資人投入股市，必須給予額外風險溢酬之補償，若將風險溢酬視為投資人所獲取的套利利得時，則股權評價模型應該是非線性的 (Myers, 1999; Kanas, 2005)。本文將McMillan 所提出的外生平滑轉換自我迴歸模型中之「非線性」與「平滑轉換」觀念應用在Ohlson評價模型上，將移轉函數所建構之非線性部分視為本文的風險溢酬項，並作為非會計資訊替代變數而建構出本論文的第二篇文章。實證結果顯示，非線性的NLOM-Logistic模型優於原始的Ohlson模型與非線性的NLOM-Exponential 模型，此隱含投資人是異質的，且股價存在套利利得與非線性平滑轉折現象。 第三個主題在探討為創造更高公司價值以提昇投資者對公司股權的投資，公司須透過實質投資以提昇其現金流量現值。本文修正Bo and Sterken所建立的跨期最適模型並推導出更完善的實質投資函數，其中特別強調發行海內外債券所衍生的國外利率與匯率不確定性對於投資之影響而建構出本論文的第三篇文章。實證結果顯示，市場不確定性增加，以及低國外利率伴隨低匯率波動，均有利於提昇廠商發行海外債券以融通其投資計畫。
並列摘要
This Ph.D. dissertation, entitled “Uncertainty, Investment and Equity Valuation”, includes three essays on the related issues: (1) The Effect of Systematic Risk on Equity Valuation – An Extended Application of the Ohlson Model (2)Uncertainty, Fundamentals and Equity Valuation – An Application of the Non-Linear Ohlson Model (3)Twin-Rate Uncertainty, Debt and Investment Decisions – An Evidence of Dow Jones Panel Data The first essay studies the problem of “undefined non-accounting information” in the original Ohlson valuation model and regards the systematic risk as the proxy variables of undefined non-accounting information to improve the forecasting performance in the stock prices. The revised Ohlson model describes actual uncertain investment environment and displays better forecasting performance than the original Ohlson model. The second essay challenges the reasonability of “homogeneous risk-neutral investors” assumption in the original Ohlson model under an incomplete stock market. This study revises the original Ohlson model by utilizing the non-linear Ohlson model (NLOM) which transplants the concepts of “nonlinearities” and “smooth transition” of STARX model (McMillan, 2001) to represent the arbitrage behavior and heterogeneity among investors and using the uncertainties of macroeconomic fundamentals as exogenous proxy variables of “non-accounting information”. The empirical evidences show that the NLOM-Logistic model outperforms the original Ohlson valuation model and the NLOM-Exponential model. In other words, the assumption of “homogeneous risk-neutral investors” of the original Ohlson model is unsuitable and there exists arbitrage behavior and smooth transition phenomenon in stock price. The third essay modifies the intertemporal optimization model, proposed by Bo and Sterken (2002), by considering firm’s debt composition to derive a more suitable physical investment function and evaluates how twin-rate (i.e. interest rate and exchange rate) uncertainty, derived from the issuance of domestic and foreign debts, influences firm’s investment decision. The empirical results reveal that, from the viewpoint of market standing, the companies in Dow Jones Indexes decrease their investment as the uncertainty increases. Besides, when there is lower level of foreign interest rate along with lower exchange rate volatility, the companies in Dow Jones Indexes are inclined to increase the issuance of overseas firm debt to finance their investment planning.
參考文獻
被引用紀錄
延伸閱讀
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