本文將透過自由現金流量假說以及資訊不對稱假說,檢驗公司管理階層是否會利用資本投資支出增加來追求其本身的私利,以及資本投資異常支出是否會影響該公司的股票報酬。 本文沿用Titman,Wei and Xie(2004)的研究架構,以1992年至2010年台灣上市(櫃)公司為研究對象進行實證觀察,將樣本分為五個CI投資組合,利用Fama and French 三因子模型檢驗資本支出異常增加和未來股票報酬間的關係。研究結果顯示,公司的資本支出較低時偏向自由現金流量假說的現象,公司的資本支出較高時偏向資訊不對稱假說的現象。因此,本文建議投資人在選擇投資標的時,應先認知該公司處在自由現金流量假說的範圍,或是在資訊不對稱假說的範圍,以追求更高的投資報酬。
This present study applies revised Jensen’s (1986) Free Cash Flow Hypothesis and Miller and Rock’s(1985) Information Asymnetry Hypothseis investigate whether top managers pursuit their private benefits by using capital investment (hereafter CI) increases, and the effect on abnormal stock returns of firms following increases in CI.First, from July 1992 through June 2010, the abnormal returns are measured over 216 months(18 years) following the unexpectedly increases in CI listed on the TSE. Second, We divided CI samples into 5 portfolios accordng to CI intensity, which base on the methods developed by Titman,Wei and Xie(2004). Furthermore, we use the three-factor model (Fama and French, 1993) to calculate the expected returns of securities. The empirical results show that the CI tend to lower free cash flow hypothesis of the phenomenon, the CI tend to high information asymmetry hypothesis of the phenomenon.Therefore, this article proposes to invest in their choice of investment targets, the recognition of the company should be free cash flow hypothesis in the scope or extent of information asymmetry hypothesis, in pursuit of a higher return on investment.