Investigation of Target Capital Structure for Electronic Listed Firms in Taiwan

[[notice]]補正完畢[[conferencetype]]國內[[conferencedate]]20070306~2007030

Investigation of Target Capital Structure for Electronic Listed Firms in Taiwan

[[notice]]補正完畢[[conferencetype]]國際[[conferencedate]]20060710~20060712[[conferencelocation]]Auckland, New Zealan

[[alternative]]From Euro to Asian Dollar ： An Application of Generalized Purchasing Power Parity

[[abstract]]以最佳貨幣區之理論為基礎，本文比較歐洲與亞洲之多國設定，實證評估亞洲區域經濟暨貨幣整合之適切性。採用一般化購買力評價理論，並運用Johansen(1988，1990，&1994)五個向量自我迴歸模型，本研究實證發現，歐、亞兩經濟區塊都能建構出最佳貨幣區；然而，歐元十一國內之高度共整連接，顯示出歐元之可信度與有效性都較亞元來的堅實。本研究另由因果關係發現，歐元各國擁有權重相當之領先地位，而亞洲國家則出現領先-落後地位不一之現象。結論可得歐元國之最佳貨幣區建構較為完整，且歐元之設立較具合適性；至於亞元之成立，需要亞洲各國之政策釐定者，對亞元區國家經暨貨幣之整合，付出更多的努力，以提高亞元之可信度與有效性，俾利亞元之順利建構。[[abstract]]This paper empirically assesses the suitability of the Asian economiesfor a regional monetary integration, by comparing two regionalmulti-nation settings - Europe and Asia, on the basis of forming anoptimum currency area (OCA). By adopting the theory of G-PPP andapplying five Johansen VAR models, this paper argues that both regionswell constitute the domain of the OCAs. However, the higher degree ofthe linkage within the eleven euro countries implies the more suitablecircumstance for the creditability and the effectiveness of the eurothan the Asian currency unit (ACU). Moreover, from the Grangercausality test, euro countries are found more equal weighted in theirleading positions than those countries in the Asian. This paperconcludes that European countries' setting is more suitable forconstituting the domain of the OCA and thus the set up of the euro isappropriate. On the other hand, policy makers in each of the Asiancountries need more exertions in fulfilling the regional economic andmonetary integration in order for the ACU to be properly constituted.[[sponsorship]]行政院國家科學委員會社會科學研究中心; 台灣經濟學會; 暨南國際大學經濟學系[[conferencetype]]國內[[conferencedate]]20020420~20020421[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]南投縣, 臺

[[alternative]]Threshold Effects between Capital Structure and Operating Performance of Electronic Listed Firms in Taiwan

[[abstract]]本研究旨在探討電子資訊產業公司財務槓桿運用與公司價值之門檻效果 (Threshold Effect)，運用縱橫門檻(Panel Threshold)自我迴歸模型，檢測是 否存在一最適負債門檻值，使公司價值之走勢受到負債比率之影響而呈現上下不 對稱之兩個以上區間關係。研究分別以資產報酬率、權益報酬率、每股盈餘及 Tobin q值四個變數作為公司價值之衡量因子，分別進行負債門檻測試。實證結 果發現，只有代表公司內部無形資產與未來成長機會的Tobin q值存在單一門檻 效果，且其兩區間之影響係數(α1及α2)皆呈現正向變動關係，但其中係數α 2相當不顯著，此結果與本文所臆測公司價值於負債比率門檻上下，呈現一正一 負的非線性關係有所差異。另在不考慮是否存在門檻效果的假設下時，吾人發現 公司價值代理變數之資產報酬率及權益報酬率皆呈現門檻區間上下一正一負不對 稱之非線性關係，顯示負債比率適度的使用確實可提高電子資訊產業公司價值， 但過度使用卻又會導致公司價值下降。故建議公司經理人應於適當限度下，妥善 運用財務槓桿，以達到公司價值有效極大化。[[abstract]]Threshold Effects between Capital Structure and Operating Performance of Electronic Listed Firms in Taiwan. This paper aims at investigating whether application of financial leverage affects operating performance or firm value of electronic listed firms in Taiwan. We apply newly-developed panel threshold regression model to the observed "balanced panel data" to testif there exists an optimal debt/asset ratio which may result in threshold effects and asymmetrical responses of the firm value to the debt/asset ratio. Return on Asset(ROA), Return on Equity, Earings Per Share(EPS) and Tobing q value are selected as the indicators or proxy variables to evaluate the operating performance of the observed listedfirms. The result shows that there only one single threshold effect exists if Tobing q value is selected as the proxy variable, while all of the observations can be divided into two "regimes" depending on whether the debt ratio is smaller or large than the single threshold value. Two cofficients(α1 and α2) are all postive whileα1 is significant for the first half regime where the debt ratio is smaller than the single threshold value(γ). This result indicates that the operating performance is positively related to debt level; however, firms with lower debt will benefit the value of firms. This suggests that financial managers should use financial leverage wisely in order to maximize the firm value.[[sponsorship]]政治大學會計學系; 中華會計教育學會[[conferencetype]]國內[[conferencedate]]20041023~20041024[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]臺北市, 臺

[[alternative]]The Migration of Taiwan's Industries to China and Taiwan's Fundamentals

[[abstract]]本文探討台灣產業外移大陸投資與台灣經濟之互動影響。由共整合以及誤差修正模型的檢定結果得知，台灣產業外移投資金額與國內總體經濟存在有長期均衡關係，而其間之共移為Johansen[[abstract]]This paper investigates the interrelationship between the migration ofTaiwan's industries to China and the Taiwan's fundamentals. Theresults from cointegration test and VECM show that there exists along-run equilibrium relationship between the capital outflows toChina and the Taiwan's macroeconomic fundamentals. The co-movementsamong them are presented in Johansen's first model, with no linear andquadratic trend. The VECM also shows that, in the short-run, all thefundamentals are shown to be the factors influencing the activities ofthe industries migrating to China. The Granger causality, however,argues that the fundamentals in Taiwan cannot play the leading rolesof the activities of the industries migrating to China. From theimpulse response, we find that the migration of Taiwan's industry toChina responding to the shocks of GDP and interest rate issignificant. The final finding from the variance decompositionpresents that the key factor explaining the forecast error variance( FEV) of the capital outflows to China. Moreover, the stock price isfound to be the only factor which can exhibit an explaining power inFEV of the migration of Taiwan's industries.[[sponsorship]]東吳大學商學院; 江蘇省財政學會; 蘇州大學財經學院[[notice]]補正完畢[[conferencetype]]兩岸[[conferencedate]]20020423~20020424[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]臺北市, 臺

利率與各型基金淨值之縱橫門檻效果關係研究

[[abstract]]本研究探討主要六類不同類型之基金平均淨值，當利率變動時，其與利率間的互動關係。運用[[abstract]]This paper investigates the relationship between the interest rate and the average net asset value(ANAV)[[sponsorship]]淡江大學 經濟學系; 國科會社會科學研究中心; 教育部[[notice]]補正完畢[[conferencetype]]校內[[conferencetype]]國內[[conferencetkucampus]]台北校園[[conferencedate]]20031017~20031017[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]臺北市, 臺

以選擇權及風險值評價台灣上市公司之信用風險

[[sponsorship]]政治大學商學院[[conferencetype]]國內[[conferencedate]]20020518~20020519[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]臺北市, 臺

[[alternative]]The Study of the Macroeconomic Factors to Affect the Number of Inbound Visitors and Revenues

[[abstract]]本文針對台灣觀光旅遊業，探討自1956年至2000年期間，最可能影響旅遊業榮枯之實質國內生產毛額、消費者物價及匯率等三個總體經濟因素與作為旅遊業興盛指標的歷年來台觀光人數及觀光外匯收入之長、短期互動影響模式。Johansen共整發現，五個選取變數間存在長期均衡的關係，其共移模式含線性趨勢及二次趨勢；變數間短期互動，由Granger（1988）含誤差修正項之因果關係得知，除了匯率走勢外，來台觀光客人數的變化，對CPI、實質GDP、及觀光外匯收入等變數的走勢，均呈現顯著相對領先的地位，此外，實質GDP為觀光外匯收入之顯著領先指標；由衝擊反應函數得知：短期間，匯率的起落（升、貶），對來台觀光人數的所造成的衝擊，扮演著重要的角色，長期而言，對來台觀光人數的衝擊，取而代之的為實質GDP以及觀光外匯收入；由變異數分解可歸納：匯率以及實質的GDP波動在解釋觀光客人數的變異上，在長、短期扮演著一個輪動解釋觀光客人數變異之兩個重要關鍵角色，而來台觀光人數在解釋觀光外匯收入波動上，具有較強的解釋力。綜合上述，不難發現，無論短期或長期，來台觀光人數與觀光外匯收入以及實質GDP具有較強的互動關係；各種證據亦顯示，來台觀光客人數的變化，對CPI、實質GDP、及觀光外匯收入等變數的走勢，均呈現顯著影響，然而匯率升貶卻是影響來台觀光旅客人數的重要指標。[[abstract]]Emphasized on the travel industries of Taiwan, this study investigatesthe long-term and short-term dynamic relationships among the variablesof travel indeices---inbound visitor and inbound revenue andmacroeconomic factors-real gross domestic product (GDP), consumerprice index (CPI) and exchange rate for the sample periods from 1956through 2000. A long-term equilibrium relationship in the presence oflinear trend and quadratic trend is found from the Johansen'scointegration test. Regarding the short-term interaction among thosevariables, Granger causality with the error correction model foundthat, except for the trend of exchange rate, the change of the numberof inbound visitors shows a significant leading position to the trendof CPI, real GDP and inbound revenue. Besides, real GDP was fuondobviously preceding the inbound revenue. From impulse responsefunction, we found that the exchange rate fluctuation were the mainimpulse to the number of inbound visitors in short period. However,for a longer period, the main impulse to the number of inboundvisitors was replaced by real GDP and inbound revenue. Finally,variance decomposition found that exchange rate and real GDP play twokey roles in explanation of the variance of the number of inboundvisitors no matter in short or long period, whereas it is moreconvincible to explain the variance of inbound revenue by the numberof inbound Visitors. In view of all the above, it is easy to findinbound visitor, inbound revenue and Real GDP are more stronglyrelated to each other at both short and long term. Various kinds ofevidence also indicate that the change of the number of inboundvisitors shows significant influence on the trend of CPI, real GDP andinbound revenue. However, the exchange rate fluctuation is the mainfactor to affect the number of inbound visitors.[[sponsorship]]嘉義大學管理學院; 行政院國家科學委員會[[conferencetype]]國內[[conferencedate]]20020419~20020419[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]嘉義縣, 臺

[[alternative]]The Effect of Macro Policies on the Stock Market - Taiwan Evidence

[[abstract]]本文探討並比較財政政策與貨幣政策之施政有效性，以股票市場為主要目標，導入相關總體經濟變數，分析政府施以不同之政策，對於股票市場的影響結果。運用多項時間序列分析技術，首先共整發現，財政政策與貨幣政策兩政策變數分別皆與股價加權指數及總體經濟變數中的消費者物價指數、工業生產指數及匯率存在著相同趨勢的長期均衡關係。另於因果關係中，明顯得知在影響股市之施政中，貨幣政策的擬定與施行顯著優於財政政策措施。綜合預測變異數分解之分析，吾人得知貨幣政策對股價變異之解釋力，為所選取變數中唯一最能影響股市波動的因素，表示貨幣政策因子為所選取變數中外生性最強之政策變數，至於財政政策解釋股市波動的能力則相當有限，其外生性極弱。政策建議為：央行擴張性或緊縮性貨幣政策之適時施行為股市增降溫之良方。[[abstract]]This paper investigates and compares the effectiveness of fiscal policy and monetary policy. Macroeconomic variables are considered for the analysis of the policies effects on the stock market. Employing the time series techniques, we first find that, from the cointegration test, both the proxy variables for fiscal policy and monetary policy are sharing the long-run equilibrium relationship with stock price and other macro-variables considered, which include consumer price index, industrial production, and exchange rate. The results of Granger causality test significantly show that monetary policy overwhelms fiscal policy in leading the stock market. Moreover, in the variance decomposition, monetary policy is found to have strongest influence power in explaining the volatility of other variables considered. Therefore, we conclude that the monetary variable shows the strongest exogeniety, whereas exogenety of the fiscal variable is weak. The policy suggestions are that central bank should employ monetary policy rather than fiscal policy in influencing the trend of the stock market.[[sponsorship]]真理大學管理學院[[conferencetype]]國內[[conferencedate]]20030516~20030516[[booktype]]電子[[iscallforpapers]]Y[[conferencelocation]]臺北縣, 臺

[[alternative]]Market Timing and Capital Structure：Hot and Cold Market Effect

[[abstract]]Shefrin (1996)提出市場擇時(Market timing)理論，假設理性的公司經理以公司真實價值的最大化作為目標和行為準則，在投資者是非理性的情況下，公司的股價往往會錯誤定價(Mispricing)。假如在公司股價高估(Overvalued)的情況下，公司經理在最大化上市公司真實價值的條件下，很明顯會採取發行新股的做法。Baker and wurgler（2002）沿續上述觀點，提出資本結構市場擇時理論，進一步對傳統資本結構理論提出挑戰，認為公司經理在股價高時發行股票，股價低時回購股票，並且這會給資本結構帶來持續的影響，市場擇時效應的不斷累積，決定了公司的資本結構。市場擇時不僅僅是一個短期衝擊和經驗結果，市場擇時對資本結構有較大的衝擊和持續的作用。本研究採用1981年1月至2000年12月台灣新上市公司財務資料，本研究採用台灣新上市公司，樣本期間自1981年1月至2000年12月，為探討市場擇時對資本結構的長短期影響，其資料期間自1981年1月至2005年12月，檢驗市場擇時對台灣的適用性，實證結果發現樣本期間內台灣上市公司確實存在股權融資與債務融資的市場擇時行為；短期內市場擇時指標HOT較M/B顯著，且熱市(hot market)公司較冷市(cold market)公司會有較多的股權融資及較少的債務融資，惟長期而言，市場擇時指標HOT與M/B並不具有持久影響資本結構的效應，市場擇時理論並不適用台灣的新上市公司。[[sponsorship]]淡江大學 財務金融系[[conferencetype]]兩岸[[conferencetkucampus]]淡水校園[[conferencedate]]20061226~20061226[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]臺北縣, 臺