智慧資本的價值及國際化與審計品質對貸款利率的影響

The Value of Intellectual Capital and The Effects of Internationalization and Audit Quality on Loan Interest Rates

蔡學章(Hsuehchang Tsai)

指導教授 ： 滑明曙

國立暨南國際大學/管理學院/國際企業學系/博士(2009年)

摘要

本博士論文旨在探討智慧資本的價值及國際化與審計品質對貸款利率的影響，包含三篇深具管理意涵的研究。這三篇研究之題目分別為「企業智慧資本的價值關聯性」、「企業國際化對貸款利率的影響」及「審計品質的價值：來自貸款利率訂價的證據」。

本論文第一篇研究之目的在於，探討企業智慧資本的價值關聯性。此篇研究之動機在於，近年來有不少研究顯示，企業股東權益的市場價值與帳面價值的差異正在逐年擴大，而且有些實證研究的結果指出，會計盈餘與帳面價值已逐漸喪失其對股價的解釋能力。此篇研究使用兩階段的超額盈餘折現值法，衡量兩個不同國家樣本企業的智慧資本，分析企業實質基本的價值與實質基本的市價淨值比，是否分別都能顯著的解釋其實際觀測的價值與實際觀測的市價淨值比，並檢驗企業智慧資本與帳面價值對股價的聯合解釋能力是否優於會計盈餘與帳面價值。此篇研究之實證結果證明，企業實質基本的價值與實質基本的市價淨值比，確實分別都能顯著的解釋其實際觀測的價值與實際觀測的市價淨值比。迴歸的實證結果亦顯示，企業智慧資本與帳面價值對股價的聯合解釋能力確實優於會計盈餘與帳面價值；而且，若將智慧資本這個變數納入會計基礎的評價模式中，將可顯著提高其對股價的解釋能力。這些研究結果的管理意涵在於，智慧資本已經成為知識經濟時代中企業價值的重要部分，且智慧資本確實比會計盈餘更能強而有力的解釋企業的股價。

本論文第二篇研究之目的在於，探討台灣中小企業之國際化程度對其貸款利率與負債融資比率的影響。此篇研究之動機在於，先前的研究對於企業國際化、負債比率及其負債融資成本的關係之實證結果並無一致的定論，且沒有論文著重在新興市場中的中小企業研究上。此篇研究使用台灣已上市櫃中小企業2001-2006年期間之1038個實際的貸款利率資料，進行多元迴歸分析，期能提供新興市場實證的證據。此篇研究之實證結果證明，國際化程度較高的企業確實支付較低的銀行貸款利率。此外，研究之實證結果亦顯示，企業之國際化程度與其負債比率之間存有顯著的負向關係，且跨國型中小企業的平均負債比率亦低於國內型的中小企業。這些研究結果的管理意涵在於，跨國型中小企業致力於拓展國際市場時，可享有比國內型中小企業更多國際營運與更多成長機會的利益，因而享有較低的貸款利率，但同時也須面對比國內型中小企業較高的負債代理成本，因而產生較低的負債比率。

本論文第三篇研究之目的在於，探討審計品質對中小企業貸款利率的影響。此篇研究之動機在於，先前雖有很多論文探討過審計簽證對企業貸款利率的影響，卻很少有實證的研究探討審計品質的高低是否會影響企業的貸款利率，尤其是著重在新興市場的中小企業研究上。此篇研究使用台灣已上市櫃中小企業2001-2006年期間之1038個實際的貸款利率資料，進行多變量迴歸分析，期能提供新興市場實證的證據。研究之實證結果顯示，僱用四(五)大會計師事務所的會計師審計的企業，確實比僱用非四(五)大會計師事務所的會計師審計的企業，享有較低的貸款利率，但僱用四(五)大會計師事務所的會計師審計簽證的中小企業，在貸款利率上所能享有的利益，會隨著企業信用評等的好壞而變動。此外，在使用686家中小企業信用評等配對的子樣本進行檢測時，我們亦發現僱用四(五)大會計師事務所的會計師審計的中小企業之貸款利率，比僱用非四(五)大會計師事務所的會計師審計的中小企業之貸款利率，平均而言低了0.087%，且其所節省的利息負擔確實超過其所多支付的審計費用，而能產生淨利益。這些研究結果的管理意涵在於，較高的審計品質確實能降低中小企業的銀行貸款利率，但是企業信用評等的好壞在審計品質對其貸款利率的影響上，卻扮演著非常重要的角色。信用評等愈佳者，其所能享有的利息利益愈多。

綜合上述三篇研究的實證結果與管理意涵可知，企業的智慧資本、國際化程度及審計品質確實與企業價值的提高或享受貸款利率的利益有很密切的關係。因此，一個企業應致力於智慧資本的創造與管理，以增進其企業價值的提升；投資者則應投資那些實質基本價值明顯高於實際觀測價值的股票，以獲取投資的利潤。此外，一個企業也應積極拓展國際市場，並強化其審計品質，以能獲得更多來自於銀行貸款較低利率的利益。

關鍵字

智慧資本 ； 會計盈餘 ； 價值關聯性 ； 國際化 ； 貸款利率 ； 負債比率 ； 審計品質

並列摘要

The objective of this doctoral dissertation is to investigate the value relevance of intellectual capital and the effects of internationalization and audit quality on loan interest rates. This dissertation consists of three studies that may provide managerial implications. These studies are entitled “The Value Relevance of Intellectual Capital”, “The Effects of Internationalization on Loan Interest Rates”, and “The Value of Audit Quality: Evidence from Loan Pricing”, respectively.

The first study of this dissertation aims to investigate the value relevance of intellectual capital (IC). This research is motivated by the increasing gap between the market value and book value of firm’s equity and the empirical results of several studies that the joint explanatory power of earnings and book value for stock prices has decreased over time. This study uses a “two-stage” discounted residual income (DRI) model to measure firm’s IC and test it on two different country samples (142 electronics companies in the US and 239 in Taiwan). The empirical results show that a firm’s IC-measured fundamental value and fundamental P/B ratio are highly correlated with its current observed value and observed P/B ratio, respectively. In regressions of stock prices, the joint explanatory power of IC and book value is superior to that of earnings and book value. Moreover, the empirical results also document that including IC in the Accounting-based valuation model will significantly increase the explanatory power of the model for stock prices. These empirical results imply that IC has been the major part of a firm’s value in the knowledge-based economy, and that IC can powerfully explain the firm’s stock price more than earnings.

The second study of this dissertation aims to reinvestigate the effects of firm internationalization on loan interest rates as well as the relationship between firm internationalization and debt ratios with a focus on small and medium-sized enterprises (SMEs). This research is motivated by the inconclusive results of empirical studies on the effects of firm internationalization on debt costs and the relationship between firm internationalization and debt ratios, as well as by the lack of such research that focuses on SMEs in emerging markets. Using a panel sample of 1,038 SME year observations in Taiwan from 2001 to 2006, our findings indicate that an SME with a higher degree of internationalization (DOI) does pay lower loan interest rates. Our findings also indicate that the SME’s debt ratio is inversely related to its DOI, and that the average debt ratio of multinational SMEs is lower than that of domestic SMEs. These results provide empirical evidence that a higher DOI leads to lower interest rates on bank loans to SMEs and results in a lower level of debt financing by the SMEs, implying that multinational SMEs aggressively expand into international markets may enjoy more benefits from diversification and more growth opportunities, while facing higher agency costs of debt than domestic SMEs.

The third study of this dissertation aims to investigate the effects of audit quality on loan interest rates for SMEs. This research is motivated by the inconclusive results of experimental studies on how loan officers both use and perceive audited financial statements and the limited amount of direct empirical research on the value of audit quality in relation to loan interest rates. This study uses a multivariate regression to investigate the effects of audit quality on loan interest rates for SMEs. In our full sample of 1,038 annual observations in Taiwan during the period 2001-2006, the empirical results indicate that Big 4 (5) audited SMEs actually pay lower interest rates than non-Big 4 (5) audited SMEs, and that the interest rate benefit of purchasing a Big 4 (5) audit decreases as a firm’s credit rating increases. These results imply that higher audit quality does reduce the interest rates on bank loans, and a firm’s credit rating is crucial in determining the effects of audit quality on the interest rates of bank loans. Using a credit rating-matched subsample of 686 SMEs, we find that the Big 4 (5) audited SMEs’ interest rates are, on average, 8.7 basis points lower than those of non-Big 4 (5) audited SMEs. Moreover, these interest savings can cover the entire premium of Big 4 (5) audit fees and result in net benefits.

From the empirical results and managerial implications of three studies that mentioned above, it is quite obvious that the intangible IC, firm internationalization and well audit quality may increase firm’s value. Therefore, a firm should strive to enhance the creation and management of IC to enlarge its value, and the investor should invest in a portfolio of stocks whose fundamental value is obviously higher than observed value in order to get profits. Furthermore, a firm should strive to expand into international markets and enhance its audit quality in order to obtain more benefits from the lower interest rates on bank loans.

並列關鍵字

Intellectual capital ； Earnings ； Value relevance ； Internationalization ； Loan interest rates ； Debt ratio ； Audit quality

參考文獻

Abbott, L. J., S. Parker, and G. F. Peters. 2006. Earnings management, litigation

risk and asymmetric audit fee responses. Auditing: A Journal of Practice & Theory 25(1): 85-98.

Asthana, S.and J. Krishnan. 2006. Factors associated with the early adoption of the SEC’s revised auditor fee disclosure rules. Auditing: A Journal of Practice & Theory 25(2): 41-51.

Asthana, S., J. Krishnan, and S. Kim. 2004. The effect of enron, andersen, and

Sarbanes-Oxley on the market audit service. Working paper, Temple University.