現金持有對公司價值之影響分析－縱橫門檻平滑移轉迴歸模型之應用

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Title:	現金持有對公司價值之影響分析－縱橫門檻平滑移轉迴歸模型之應用
Other Titles:	Effects of cash holding spread on the firm's value: a panel smooth threshold regression analysis
Authors:	李福晉;Lee, Fu-chin
Contributors:	淡江大學財務金融學系碩士班聶建中;Neih, Chien-chung
Keywords:	縱橫門檻平滑移轉模型;現金持有;公司價值;Panel Smooth Transition Regression;cash holding;firm’s value
Date:	2007
Issue Date:	2010-01-11 00:46:01 (UTC+8)
Abstract:	當公司的現金持有超越正常水準時，會引起投資人懷疑公司經營者是否欲利用高額現金持有進行財務舞弊；但現金持有的不足，又會阻礙公司的成長發展。因此，本研究利用Gonzalez, Terasvirta and Dijk (2004)所發展的縱橫門檻平滑移轉迴歸模型（Panel Smooth Transition Regression Model, PSTR），以公司現金持有為模型中的轉換變數，觀察公司現金持有對公司價值的代理變數－市價淨值比，是否存在平滑移轉效果(smooth transition threshold effect)，即現金持有是否為市價淨值比產生變化轉折的重要因素，並以台灣636家上市公司的季資料，作為本研究的實證樣本，探討現金持有對公司價值的影響方向與程度。根據實證結果顯示，得知全部產業的現金持有與市價淨值比之間確實具有平滑移轉效果，存在二個分別為3.30%和30.21%的轉換門檻值，而表現在門檻值附近的結構性改變，使之區分成兩個直線模型，並發現稅後淨利、研究發展費用、利息費用和現金股利等各項變數，在現金持有轉換門檻前後，確實會對市價淨值比造成不同的影響。再就電子產業共297家上市公司資料進行分析，得知其現金持有與市價淨值比之間亦具有平滑移轉效果，存在一個為6.92%的轉換門檻值，但現金股利係數估計值卻是為0。最後以模型對十八個產業的估計結果，比較模型設定、轉換函數圖形、轉換速度、控制變數等項目，並觀察產業之間的差異。 When the cash holding in a company surmounts normal standard, then it can cause the investor to suspect whether the company operators use the high quota cash to premeditate corrupt actions on the firm’s finance. But the insufficient cash holding in a company, as if can hinder the company’s growth development. Therefore, this research uses the panel smooth transition regression model(PSTR) that Gonzalez, Terasvirta and Dijk (2004) developed, then we take the cash holdings as a transformation variable in the model and investigate whether there has the smooth transition threshold effect between the cash holdings and the proxy variable of the firm’s value–the market-to-book value. Whether the cash holdings will be the important transition factor for the market-to-book value. And we use the season data of 636 listed companies in Taiwan, takes the discussion on influence direction and the degree. According the result, we knew the cash holdings of all kind of industry has the smooth transition threshold effect with the market-to-book value and has two transformation threshold value respectively is 3.30% and 30.21%. Then the constitutive property change displays nearby in the threshold value, to causes it to differentiate two straight line models. And the net income, the research development expense, the interest cost and the cash dividend each independent variables nearby in the threshold value, do have the different influence truly to the market-to-book value. Again we use the data of 297 listed companies on the electronic industry, then we knew the cash holdings has the smooth transition threshold effect with the market-to-book value on the electronic industry and has one transformation threshold value is 6.92%. But the coefficient of cash dividend estimated value actually is 0. Finally aims at the estimated result of eighteen industries, and compared the model setting, transition function graph, transition rate and independent variables between all kinds of industries.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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