負債比對股價的影響—縱橫平滑轉換迴歸模型之應用

The Effect of Debt Ratio on Stock Price－An Application of Panel Smooth Transition Regresssion Model

何蘋軒(Pin-Xuan HO)

指導教授 ： 吳博欽 ； 劉曉燕

中原大學/商學院/國際經營與貿易研究所/碩士(2014年)

https://doi.org/10.6840/cycu201400703

摘要

本研究將Ohlson (1995)股權評價模型修正為縱橫平滑轉換迴歸(panel smooth transition regression, PSTR)模型，並以公司的負債比率作為轉換變數，以探討股價的動態走勢，以及負債比在帳面價值與盈餘對股價影響上所扮演的角色。實證上以56家台灣半導體上市公司的股價為對象，樣本期間為2003年1月至2013年9月，共計2408個觀察值。實證結果可提供股市投資者進行股票投資時的參考，提供金融機構進行授信時的參考，以及政府決策單位採取配套措施以穩定股市的依據。
實證結果可歸納如下:
一、半導體公司股價呈現非線性的走勢，且帳面價值與盈餘對股價的影響亦呈非線性的影響，隨個別公司各期的負債比不同而有別，並非Ohlson模型所主張是固定的。
二、對於相對較低負債比(低於42.53%)的公司，帳面價值對股價的貢獻最低，而對於中度負債比(介於42.53%與52.02%)公司，帳面價值對股價的貢獻最高；至於高度負債比(高於52.02%)公司，帳面價值對股價的貢獻下降，但仍高於低負債比時。換言之，中度負債比最有利於帳面價值對股價的貢獻。
三、對於相對較低負債比(低於42.53%)的公司，盈餘對股價的貢獻最低，而對於中度負債比(介於42.53%與52.02%)公司，盈餘對股價的貢獻最高；至於高度負債比(高於52.02%)公司，盈餘對股價的貢獻下降，但仍高於低負債比時。換言之，中度負債比最有利於盈餘對股價的貢獻。
四、適度舉債有助於提升公司營運與股價，而過度舉債讓投資者心生畏懼而降低帳面價值或盈餘對股價的貢獻。從投資股票報酬或銀行授信的立場觀之，52.02%的負債比可作為舉債上限的參考數據。

關鍵字

負債比率 ； Ohlson股權評價模型 ； 盈餘 ； 帳面價值 ； 縱橫平滑移轉迴歸模型

並列摘要

This thesis revises the equity valuation model, proposed by Ohlson in 1995, as a panel smooth transition regression (PSTR) framework with debt ratios as the transition variable to evaluate the dynamic path of stock prices, and the role of debt ratios in the effects of book value and earnings on stock prices. To perform the empirical estimation, we select 56 semiconductor companies listed on Taiwan Security Exchange Corporation as sample objects. The sample period spans from 2003:Q1 through 2013:Q3. Thus, we have 2408 observations. The empirical results provide useful information for investors to make investment strategies, for financial institutions to loan to enterprises, and for governmental to make policies for stabilizing the stock market.
The empirical results can be summarized as follows:
1. The stock prices of semiconductor companies display a nonlinear path, and the effects of book value and earnings on stock prices are also nonlinear, depending on the values of the debt ratios of individual companies in each period.
2. For companies with a relatively low debt ratio (below 42.53%), the contribution of book value on the stock price is the smallest; for companies with a relatively moderate debt ratio (42.53%~52.02%), the contribution of book value on the stock price is the largest, and for companies with a relatively high debt ratio (above 52.02%), the contribution of book value on the stock price declines, but still higher than the situation of a relatively low debt ratio. That is, a moderate debt ratio is helpful for book value to stimulate the stock price.
3. For companies with a relatively low debt ratio (below 42.53%), the contribution of earnings on the stock price is the smallest; for companies with a relatively moderate debt ratio (42.53%~52.02%), the contribution of earnings on the stock price is the largest, and for companies with a relatively high debt ratio (above 52.02%), the contribution of earnings on the stock price declines, but still higher than the situation of a relatively low debt ratio. Evidently, a moderate debt ratio is helpful for earnings to stimulate the stock price.
4. A moderate debt-financing policy can enhance company’s operations and stock price. However, an excessive debt-financing policy makes investors fear about company’s future development, which weakens the contribution of book value or earnings on the stock price. The threshold of debt ratio, 52.02%, is a referenced index for investors to make investment strategies and for financial institutions to loan to the companies.

並列關鍵字

book value ； panel smooth transition regression model ； earnings ； Ohlson equity valuation model ； debt ratio

參考文獻

5.吳仁杰(2003)，「時間序列及橫斷面評價模式應用之比較」，中原大學會計學系碩士論文。

6.吳博欽、鄭哲惠(2006)，「企業生命週期、產業別與股權評價：Real Option 與Ohlson Model 之比較」，會計評論，第43期，第95- 121頁。

11.張家峰(2012)，「景氣效果下總體、財務指標對台灣電子業報酬之非線性影響」，淡江大學財務金融學系研究所碩士論文。

12.曹新正(2003)，「研發支出、負債型態與公司績效之實證－美國與台灣之比較研究」，中原大學國際貿易學系碩士學位論文。

15.陳振遠、王朝仕、徐如萍(2008)，「會計資訊、公司治理特性與企業評價之攸關性」，會計與公司治理，第五卷，第二期，第79-108頁。