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    Title: 廣告費用在不同公司資產規模下對企業價值之非線性影響探討
    Other Titles: The study on the non-linear effect of advertising on firm value under the different level of asset size
    Authors: 王志豪;Wang, Chih-Hao
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;盧陽正;Nieh, Chieh-Chung;Lu, Yang-Cheng
    Keywords: 資產規模;廣告費用;企業價值;縱橫門檻平滑移轉迴歸模型;Asset size;Advertising;firm value;panel smooth transition regression model
    Date: 2012
    Issue Date: 2013-04-13 10:49:09 (UTC+8)
    Abstract: 本研究運用Gonzalez, Terasvirta and van Dijk (2004, 2005)所發展的縱橫門檻平滑移轉迴歸模型,以異質(heterogeneity)角度探討在大小不同的公司資產規模下,廣告費用之對於企業價值所可能產生的非線性影響變化關係。
    研究首先實證推論,無論以ROA或ROE作為企業價值的代裡變數,所驗證之模型皆為非線性且存在一個結構性變化。而分別就ROA及ROE模型所得轉換門檻值為新台幣64.661億及8.690億,轉換速度則分別為0.2042及0.2075,兩模型之轉換門檻值差異較大,轉換速度則皆為極其平緩的平滑移轉現象。
    先針對ROA模型進行分析,研究結果得到,在資產總額門檻值上下,廣告費用對於ROA,無論門檻上下皆無顯著影響;現金持有則對ROA於門檻值上下皆呈現正向影響,惟此正向關係明顯於大於門檻值時有減弱趨勢;資產總額對ROA之影響,於門檻值上下由負向轉為正向影響;至於,負債總額對ROA之影響,於門檻值上下則相反的由正向轉為負向影響。
    另外,針對ROE進行實證之結果顯示,在資產總額門檻值上下,廣告費用對ROE之影響由正向轉為負向影響;現金持有對於ROE無論門檻上下皆無顯著影響;資產總額對ROE之影響,於門檻值上下由負向轉為正向影響;最後,負債總額對於ROE之影響,於門檻值上下則由正向轉為負向影響。
    本研究最主要在探討在不同公司資產規模下,廣告費用之對於企業價值所可能產生的非線性影響。研究所得結果為:就ROA模型而言,在資產總額無論在門檻值上下,廣告費用對ROA皆無顯著影響;然而,針對ROE進行實證之結果則顯示,在資產總額大於門檻值之8.690億時,廣告費用對ROE有正向影響,小於門檻值時,廣告費用則對ROE轉為負向影響關係。
    This research employs the panel threshold smooth transition regression model elaborated by Gonzalez, Terasvirta and van Dijk (2004, 2005) to investigate the effect of advertising on firm value under the different levels of asset size from the view of non-linear heterogeneity.

    The empirical findings first indicate that there exists one structural change no matter for models of using ROA or ROE as the proxy for the firm value. The threshold values and the speeds of transition are 6.4661 billion NT dollars and 0.2042 for ROA model and 0.8690 billion NT dollars and 0.2075 for ROE model, respectively. As shown from the empirical results, there is a big difference between ROA and ROE models in the value of thresholds, however, the speeds of transition are quite similar for both models.

    Analyzing the ROA model, the result shows that the advertising does not has any effect on firm value for all ranges of firm assets. For other explanation variables, cash holding shows diminishing positive effect on ROA. Total asset and total debt show the effects turn from negative to positive and from positive to negative on ROA, respectively, when total asset is from upper region to lower region.

    Regarding the model of ROE, the result shows the effect of advertising on firm value turns from positive to negative for asset from upper region to lower region. Cash holding shows no effect on firm value. Moreover, same results as ROA model are found for the effect of total asset and total debt on ROE.

    The main purpose of this research is using firm assets as threshold to investigate the non-linear effect of advertising on firm values. For ROA proxy model, the result shows that the advertising does not has any effect on firm value for all ranges of firm assets. On the other hand, the ROE proxy model shows the effect of advertising on firm value turns from positive to negative for asset from upper region to lower region.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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