投資現金流敏感性的決定因素-台灣實證研究

Investment Cash Flow Sensitivity Evidence from Taiwan

羅立言(Dias Rui)

指導教授 ： 林允永

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.2015.01124

摘要

透過財政學調查，能洞悉一家公司投資政策所帶來的效。Fazzari， Hubbard， 和 Petersen (1988)為研究投資與融資限制關係的先驅。他們提出了以經驗為依據的證明，對有融資限制的公司來說，投資現金流的敏感度確實高了許多。而這篇文章的主旨為說明公司層級對內部現金流投資的敏感度與財政發展影響。2928家台灣製造業者重回台灣經濟新報財經資料庫。
從１９８６到２０１２，研究持續了２６年，根據前述的代理委託書及投資及現金流調整的變化，案例被歸納為－「高投資對現金流量敏感度」､「負投資對現金流量敏感度」與「投資對現金流量不敏感」。依照經驗所提的結論與美國團隊所提出的結果一致。此外，從規模､市場對賬面比率､營收成長､槓桿操作､有形資產､債券評級皆為決定現金流敏感度的重要因素。

關鍵字

投資現金流敏感度 ； 現金流 ； 敏感度 ； 現金流敏感度趨勢 ； 金融約束

並列摘要

Studies in finance have investigated the effect of financial factors on investment decisions of firms. Fazzari, Hubbard, and Petersen (1988) are the first to investigate the relationship between financing constraints and investment. They provide empirical evidences that the sensitivity of cash flow to investment is indeed higher for those financial constrained firms. The main purpose of this paper is therefore to understand the impact of financial development on the sensitivity of firm-level investment to internal cash flow.
Data of 2928 listed Taiwan manufacturing firms are retrieved from TEJ. Studying period covers 26 years, 1986 to 2012. All samples are classified into positive cash flow sensitive (PCF), negative cash flow sensitive (NCF), and cash flow insensitive (CF-IN) according to an ex post proxy, co-variance of adjusted investment and cash flow. The empirical results of each group are similar to that of the corresponding U.S.’s group. In addition, firm size, market-to-book ratio, sales growth, leverage, asset tangibility, bond ratings are all important factors in determining the investment cash flow sensitivity.

並列關鍵字

Investment cash flow sensitivity ； cash flow ； sensitivity ； trend of cash flow sensitivity ； investment ； financial constrain

參考文獻

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