本研究將利用Gonzalez, Terasvirta and Dijk (2004, 2005)所發展的一般化縱橫平滑移 轉迴歸（Generalized-Panel Smooth Transition Regression Model, GPSTR）模型，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是否存在平滑移轉效果 (smooth transition threshold effect)，即公司現金持有是否為公司價值產生變化轉折的重要 因素。本研究除了GPSTR 模型外，並將依據Fama and French（1998）所建構的公司價 值評估模型，採集對公司價值具有重要影響的解釋因子，進一步分析公司現金持有對公 司價值之平滑移轉效果下，各重要財務變數解釋因子(包括：稅後淨利、研發費用、利 息費用、及現金股利)對公司價值之影響變化。 以研究所得結果，提供更正確的公司現金持有對公司價值受各重要解釋因子的衝擊 影響變化的資訊，俾有助公司經營者創造公司最大股東財富，甚或對公司的投資者進 行投資的重要參考依據。 This study analyzes for the impact of the firm’s cash holding on the variations of the firm value. Using firm’s cash holding as a transition variable, we first find a threshold value of the cash holding on it the variation pattern of the firm value is heterogeneous. We further investigate the asymmetric phenomena of impacts on the firm value from certain financial variables of corporate operating (e.g., net income, R&D, interest expense, and cash dividend). The newly developed methodology of generalized-panel smooth transition regression model (GPSTR) by Gonzalez, Terasvirta and Dijk (2004, 2005) is employed for analyzing the smooth transition threshold effect of the cash holding on the variations of the firm value caused by certain financial variables. Those financial variables are mainly constructed following Fama and French (1998). The findings should be benefit to financial manager for making operating decision, and also to those investing in these firms.
