| 摘要: | 本文採用台灣經濟新報資料庫選取台灣製造業上市櫃公司1986-2015年期間作為樣本資料，並研究公司現金流量對持有現金敏感度的影響。延續Bao, Chan and Zhang(2012)的方法，但該篇文章使用WW指數區分財務受限與不受限公司，WW指數僅適用於美國。本研究為了符合台灣的情形，採用Hovakimian(2009)先計算出每家公司事後的投資與現金流量敏感度，再仿照陳雁羚(2015)利用移動視窗(Moving window)計算出個別公司每年的投資與現金流量敏感度。可區分成負敏感、正敏感及不敏感，並歸類為財務最受限、財務較受限及財務不受限公司。接著，再對持有現金的多寡進行探討。從實證結果可得知財務最受限公司現金流量對持有現金的敏感度較大，其他解釋變數同樣也對持有現金變動量具有一定的影響力。最後使用穩健性測試，加入其他區分財務受限的方法，可發現以股利支付率為財務受限的指標與美國研究結果較符合。
另外，相較於Almeida, Campello and Weisbach (2004)與Riddick and Whited(2009)對於持有現金與現金流量產生不同的結論。本文除了使用最小平方法(OLS)來估計外，也納入現今一般學者常採用一般四階動差法(GMM4)來校正OLS所產生非獨立性的問題。而實證結果顯示就台灣資料而言，不論使用OLS或是GMM4迴歸模型皆呈現一致的結果。
最後，本文除了使用縱橫資料模型(Panel data)外，亦針對橫斷面(Cross section)的資料加以做探討。且利用Opler, Pinkowitz, Stulz and Williamson(1999)文章中使用Fama-MacBeth迴歸模型來做分析，並將時間年份分成三組。從中可觀察出大部分的解釋變數並沒有一個明確的走勢，只有非現金淨營運資金變動量隨著時間增加而遞減。
The purpose of this study is to investigate the sensitivity of Taiwan manufacturing firm’s cash flow to cash holding. The studies of this sensitivity can be dated back to the work of Almedia, Campello, and Weisback (2004). They argue that only financial constrained firms save cash out of cash flow while unconstrained firms do not. However, Riddick and Whited (2009) and Bao, Chan, and Zhang (2012) provide contradict evidences.
Taiwan manufacturing firms’ investment behaviors are not necessary same as U.S., we redefine financial constrained firms by using an ex post measurement provided by Hovakimian (2009). In addition, moving window is adapted to estimate investment-cash flow sensitivity for each sample firm each year.
Our study covers 30 years. In general, empirical evidences support Almedia, Campello, and Weisback (2004) and can be summarized as follows. First, it seems that the sensitivity of Taiwan manufacturing firm’s cash flow to cash holding does not have a significant trend over the whole studying period. Second, the impacts of financial variables on the sensitivity are roughly same as U.S. Third, the sensitivity of financial constrained firms are larger than that of unconstrained firms. Finally, all results similar to Almedia, Campello, and Weisback (2004) findings. However, firms have larger responses to their cash holdings when facing negative cash flow. |
