市場擇時與資本結構之非線性探討

Evidence for a Non-linear Relationship Between Market Timing and Capital Structure

石鈺錚(Yu-Chen Shih)

指導教授 ： 聶建中

共同指導教授 ： 張倉耀

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00016

摘要

當企業需要長期且龐大的資金挹注時，在面對不同籌資方式所需的成本及其所能達到的效用，除攸關財務決策之成敗，更是企業永續經營的關鍵考量。本研究為了探討公司市場價值與負債比率間的非線性關係，選取台灣496家上市櫃公司的年資料作為實證樣本，並將樣本區分為高科技產業和傳統產業。利用Gonzalez, Terasvirta and Dijk (2004, 2005)所發展的縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)，以市價淨值比為模型中的轉換變數，觀察市價淨值比是否為負債比率所產生轉折變化的重要因素，本研究另加入其它重要解釋變數，以深入分析市價淨值比對負債比率的影響程度與方向。

實證結果顯示市價淨值比相對較低的公司，有形資產與負債比率間無影響，而市價淨值比相對較高的公司，獲利能力愈高負債比率會愈低，規模愈大負債比率則愈高，成長力愈高負債比率也愈高。市價淨值比隱含個股的成長機會，從本研究中亦發現不論電子或傳統產業其市價淨值比在門檻值之上或之下，解釋變數對負債比率的影響會有所改變，證實市價淨值比和負債比率間確實存在非線性關係且具有平滑移轉效果。另發現市價淨值比愈高的公司其解釋變數對負債比率之影響愈明顯。

關鍵字

市價淨值比 ； 負債比率 ； 縱橫平滑移轉迴歸模型

並列摘要

In a long run, enterprises need to use different ways to find enough amount of money that can be utilized to invest the enterprises themselves, and the ways they use and the amount of money they have are the keys that would seriously affect the enterprises as if they are going to be successful or not in the future. This research is conducted as for understanding the non-linear relationship between the market value of an enterprise and the debt ratio, and 496 companies have been taken as samples for this research, and most of them are either in the field of hi- technological industry or traditional industry. Panel Smooth Transition Regression Model, which is developed
by Gonzalez, Terasvirta and Dijk(2004, 2005), is used to conduct the research, and the transformation variable is M/B ratio. Other independent variables are also added to
analyze how debt ratio would be affected.

The result shows that fixed asset is not correlated with the debt ratio when a company’s M/B ratio is comparatively lower. On the other hand, the higher a company’s EBITDA is, the lower the debt ratio. Also, the bigger the company is, the higher the debt ratio is. The higher the R&D is, the higher the debt ratio is. Based on the result of this
research, whether the M/B value of both hi-tech and traditional industries is up or down the threshold value, debt ratio is influenced by independent variables, and would also be changed. This confirms the fact that there is a non-linear relation (smooth transition effect) between M/B ratio and debt ratio. The higher the M/B ratio is, the more clear we can see how debt ratio would be influenced by independent variables.

並列關鍵字

M/B ratio ； Debt ratio ； Panel Smooth Transition Regression Model

參考文獻

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