資本結構與公司價值之非線性研究─台灣與美國上市電子業比較

Non-linear Analysis of the Impact between Capital Structure and Firm Value

陳品懋(Pin-Mao Chen)

指導教授 ： 聶建中

共同指導教授 ： 陳達新

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00961

摘要

本研究以2004年至2013年台灣上市電子公司181家和美國上市電子公司74家之年資料，並運用縱橫平滑移轉迴歸模型探討負債比與公司價值之非線性關係，以營收成長率及總資產做為解釋變數，並以負債比率作為門檻變數，企圖能更清楚地觀察到負債比率與公司價值的關係，在代理公司價值之變數採用ROE、ROA、EPS，為了是想從更多層面來探討公司價值。
研究結果:美國上市電子業，以ROE代理公司價值時，將負債比維持高於門檻值，銷售成長率對公司價值呈現正向影響，而ROA及EPS則效果皆不顯著；以ROE代理公司價值時，負債比高於門檻值，總資產將對公司價值呈現負向影響，然而，ROA及EPS的結果，建議負債比高於門檻值，總資產將對公司價值呈現正向影響。台灣上市電子業以ROE、EPS及ROA代理公司價值顯示，負債比低門檻值時，銷售成長率對公司價值呈現正向影響；以ROE及EPS代理公司價值顯示，負債比率高於門檻值，總資產對公司價值呈現正向影響，然而ROA的結果，建議負債比率高於門檻值時，總資產對公司價值呈現負向影響，因此，建議負債比率保持低於門檻值。

關鍵字

資本結構 ； 公司價值 ； 緃橫平滑移轉模型

並列摘要

The purpose of this study is to investigate the effect of debt ratio on the electronic firm value, which are public listed in United State and Taiwan, by using panel smooth transition regression model which introduced by Gonzalez, Terasvirta and van Dijk (2004, 2005). The samples consist of 181 public listed electronic company in Taiwan and 74 public listed electronic company in United State during the period of 2004 to 2013. Return on Equity, Return on Assets and Earnings per Share are used to measure the firm value. This empirical study will apply debt ratio as transfer variables. Furthermore, it uses asset size and sales growth to estimate how these variables influence the firm value.
The empirical result shows that there exists a nonlinear relationship between debt ratio and firm value. Based on the finding of ROE threshold estimation with US listed firm, sales growth have a positive influence on firm value once the debt ratio above the threshold. However, based on ROA and EPS, there is no influence on firm value. Asset size have a negative influence on firm value once the debt ratio above the threshold. By contrast, based on ROA and EPS, asset size have a positive influence on firm value. Based on the finding of ROE, EPS and ROA threshold estimation with Taiwan listed firm, sales growth have positive influence on firm value once the debt ratio below the threshold. ROE and EPS suggested that assets have a positive influence on firm value once the ratio above the threshold. However, ROA suggested that assets have a negative influence on firm value once the ratio above the threshold.

並列關鍵字

Capital Structure ； Firm Value ； Panel Smooth Transition Regression Model

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