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題名 公司系統性風險與會計變數關聯性之研究
A study on the relationship between firm systematic risk and accounting variables
作者 邱垂昌
Chiou, Chei Chang
貢獻者 蘇瓜藤<br>林祖嘉
Robert Su, K.<br>Lin, Chu Chia
邱垂昌
Chiou, Chei Chang
關鍵詞 系統性風險
總槓桿程度
營運槓桿度
財務槓桿度
盈餘
股利
systematic risk
degree of total leverage
degree of operating leverage
degree of financial leverage
earnings
dividend
日期 2002
上傳時間 10-May-2016 18:54:41 (UTC+8)
摘要 　　本研究旨在探討公司系統性風險與會計變數之關聯性。影響公司系統性風險之因素應包括公司內部因素與公司外部總體經濟因素，但過去文獻並未完全涵蓋到，致使其模式解釋力皆不高。為彌補過去文獻之不足，本研究先以理論推導方式將公司內部與外部因素納入系統性風險模式中，再以實證資料驗證之。
　　模型推導結果顯示，影響系統性風險之因素包括公司盈餘、營運槓桿度、財務槓桿度、帳面價值、股利、市場組合報酬率、無風險報酬率，以及其他總體經濟因素等。理論推導結果產生三大主要命題：
　　1. 在公司前期盈餘為正及當期銷貨成長率為正，以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時，公司當期總槓桿程度（營運槓桿度與財務槓桿度之乘積）對系統性風險具有正向影響。
　　2. 在公司前期盈餘為正，以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時，公司當期每股現金股利對系統性風險具有正向影響。
　　3. 當公司當期銷貨成長率為正時，營運槓桿度與財務槓桿度為正向相關；但當公司當期銷貨成長率為負時，營運槓桿度與財務槓桿度具有抵換關係。
　　根據上述命題，本研究設立三項假說。第一，公司總槓桿程度對系統性風險具有正向影響，而營運槓桿度與財務槓桿度對系統性風險之影響皆為正向（或負向）。第二，公司發放現金股利對系統性風險具有正向影響。第三，在系統性風險與盈餘皆不變的額外前提下，當銷貨成長率為負時，營運槓桿度與財務槓桿度具有抵換關係;當銷貨成長率為正時，營運槓桿度與財務槓桿度為正相關。
　　實證結果部分支持上述三項假說。首先，公司總槓桿程度、財務槓桿度及現金股利皆對系統性風險具有顯著正向影響。因此，公司可利用降低總槓桿程度、財務槓桿度及減少現金股利之策略來減低系統性風險。其次，市場組合報酬、通貨膨脹率及國民生產毛額成長率等總體經濟因素，對系統性風險皆具有負向顯著影響。此結果說明導致公司系統性風險上升之因素應該包括公司內部與外部因素。因此，公司欲降低風險時，除了利用總槓桿程度、財務槓桿度與股利政策外，尚須考慮其他總體經濟變化。最後，實證結果亦顯示，當公司正處於銷貨成長時期，以追求成長為目標，可能同時面臨高營運風險與高財務風險。然而，在銷貨衰退時，公司卻不必然會以風險控管為目標。因此，營運槓桿度與財務槓桿度並不存在抵換關係。
　　This thesis examines the relationship between firm systematic risk and accounting variables. Potential determinants of firm systematic risk theoretically include accounting and macroeconomic variables, but prior research only explored part of them and most models yielded low explanatory power. This research analytically derives and empirically verifies a model of firm systematic risk.
　　The analytical results suggest that determinants of systematic risk at least include earnings, the degree of operating leverage, the degree of financial leverage, book value, dividend, market-portfolio return, risk-free return and other macroeconomic variables. Three main propositions are therefore derived as follows.
　　1. When a firm`s prior year earnings and current year sales growth are both positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its degree of total leverage, defined as the product of degree of operating leverage and degree of financial leverage, has a positive effect on its systematic risk.
　　2. When a firm`s prior year earnings is positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its current cash dividend has a positive effect on its systematic risk.
　　3. When a firm`s current year sales growth is positive (negative), its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
　　Three hypotheses are then tested empirically. First, a firm`s degree of total leverage has a positive effect on its systematic risk; and its degree of operating leverage and degree of financial leverage both have a positive (or both negative) effect on its systematic risk. Second, a firm`s cash dividend has a positive effect on its systematic risk. Third, if a firm`s sales growth is positive (negative) without any change in its systematic risk or earnings, then its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
　　The empirical results provide partial support for the above hypotheses. First, the degree of total leverage, degree of financial leverage, and cash dividend each has a positive effect on the systematic risk. Therefore, a firm can reduce its systematic risk by lowering its degree of total leverage, degree of financial leverage and the cash dividend. Second, macroeconomic factors such as the market-portfolio return, inflation and GNP growth have a negative effect on the systematic risk. Hence, a firm attempting to control its systematic risk should consider the changes of macroeconomics besides the leverage and dividend policy. Finally, a firm with growing sales takes a high degree of operating leverage and financial leverage, but a firm does not necessarily take a high (low) degree of operating leverage and a low (high) degree of financial leverage as target when its sales are declining. In other words, these two leverages have no offset relationship.
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描述 博士
國立政治大學
會計學系
87259011
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000057
資料類型 thesis
dc.contributor.advisor 蘇瓜藤<br>林祖嘉zh_TW
dc.contributor.advisor Robert Su, K.<br>Lin, Chu Chiaen_US
dc.contributor.author (Authors) 邱垂昌zh_TW
dc.contributor.author (Authors) Chiou, Chei Changen_US
dc.creator (作者) 邱垂昌zh_TW
dc.creator (作者) Chiou, Chei Changen_US
dc.date (日期) 2002en_US
dc.date.accessioned 10-May-2016 18:54:41 (UTC+8)-
dc.date.available 10-May-2016 18:54:41 (UTC+8)-
dc.date.issued (上傳時間) 10-May-2016 18:54:41 (UTC+8)-
dc.identifier (Other Identifiers) A2010000057en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96284-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計學系zh_TW
dc.description (描述) 87259011zh_TW
dc.description.abstract (摘要) 　　本研究旨在探討公司系統性風險與會計變數之關聯性。影響公司系統性風險之因素應包括公司內部因素與公司外部總體經濟因素，但過去文獻並未完全涵蓋到，致使其模式解釋力皆不高。為彌補過去文獻之不足，本研究先以理論推導方式將公司內部與外部因素納入系統性風險模式中，再以實證資料驗證之。
　　模型推導結果顯示，影響系統性風險之因素包括公司盈餘、營運槓桿度、財務槓桿度、帳面價值、股利、市場組合報酬率、無風險報酬率，以及其他總體經濟因素等。理論推導結果產生三大主要命題：
　　1. 在公司前期盈餘為正及當期銷貨成長率為正，以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時，公司當期總槓桿程度（營運槓桿度與財務槓桿度之乘積）對系統性風險具有正向影響。
　　2. 在公司前期盈餘為正，以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時，公司當期每股現金股利對系統性風險具有正向影響。
　　3. 當公司當期銷貨成長率為正時，營運槓桿度與財務槓桿度為正向相關；但當公司當期銷貨成長率為負時，營運槓桿度與財務槓桿度具有抵換關係。
　　根據上述命題，本研究設立三項假說。第一，公司總槓桿程度對系統性風險具有正向影響，而營運槓桿度與財務槓桿度對系統性風險之影響皆為正向（或負向）。第二，公司發放現金股利對系統性風險具有正向影響。第三，在系統性風險與盈餘皆不變的額外前提下，當銷貨成長率為負時，營運槓桿度與財務槓桿度具有抵換關係;當銷貨成長率為正時，營運槓桿度與財務槓桿度為正相關。
　　實證結果部分支持上述三項假說。首先，公司總槓桿程度、財務槓桿度及現金股利皆對系統性風險具有顯著正向影響。因此，公司可利用降低總槓桿程度、財務槓桿度及減少現金股利之策略來減低系統性風險。其次，市場組合報酬、通貨膨脹率及國民生產毛額成長率等總體經濟因素，對系統性風險皆具有負向顯著影響。此結果說明導致公司系統性風險上升之因素應該包括公司內部與外部因素。因此，公司欲降低風險時，除了利用總槓桿程度、財務槓桿度與股利政策外，尚須考慮其他總體經濟變化。最後，實證結果亦顯示，當公司正處於銷貨成長時期，以追求成長為目標，可能同時面臨高營運風險與高財務風險。然而，在銷貨衰退時，公司卻不必然會以風險控管為目標。因此，營運槓桿度與財務槓桿度並不存在抵換關係。		zh_TW
dc.description.abstract (摘要) 　　This thesis examines the relationship between firm systematic risk and accounting variables. Potential determinants of firm systematic risk theoretically include accounting and macroeconomic variables, but prior research only explored part of them and most models yielded low explanatory power. This research analytically derives and empirically verifies a model of firm systematic risk.
　　The analytical results suggest that determinants of systematic risk at least include earnings, the degree of operating leverage, the degree of financial leverage, book value, dividend, market-portfolio return, risk-free return and other macroeconomic variables. Three main propositions are therefore derived as follows.
　　1. When a firm`s prior year earnings and current year sales growth are both positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its degree of total leverage, defined as the product of degree of operating leverage and degree of financial leverage, has a positive effect on its systematic risk.
　　2. When a firm`s prior year earnings is positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its current cash dividend has a positive effect on its systematic risk.
　　3. When a firm`s current year sales growth is positive (negative), its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
　　Three hypotheses are then tested empirically. First, a firm`s degree of total leverage has a positive effect on its systematic risk; and its degree of operating leverage and degree of financial leverage both have a positive (or both negative) effect on its systematic risk. Second, a firm`s cash dividend has a positive effect on its systematic risk. Third, if a firm`s sales growth is positive (negative) without any change in its systematic risk or earnings, then its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
　　The empirical results provide partial support for the above hypotheses. First, the degree of total leverage, degree of financial leverage, and cash dividend each has a positive effect on the systematic risk. Therefore, a firm can reduce its systematic risk by lowering its degree of total leverage, degree of financial leverage and the cash dividend. Second, macroeconomic factors such as the market-portfolio return, inflation and GNP growth have a negative effect on the systematic risk. Hence, a firm attempting to control its systematic risk should consider the changes of macroeconomics besides the leverage and dividend policy. Finally, a firm with growing sales takes a high degree of operating leverage and financial leverage, but a firm does not necessarily take a high (low) degree of operating leverage and a low (high) degree of financial leverage as target when its sales are declining. In other words, these two leverages have no offset relationship.		en_US
dc.description.tableofcontents 謝辭
中文摘要-----I
Abstract-----II
目錄-----IV
表目錄-----VI
圖目錄-----IX
第一章　緒論-----1
　　第一節　研究背景與動機-----1
　　第二節　研究問題與目的-----4
　　第三節　研究方法與論文架構-----4
第二章　公司系統性風險與會計變數關聯性之相關文獻-----7
　　第一節　財務理論與系統性風險-----8
　　第二節　槓桿之估計方法-----15
　　第三節　槓桿與系統性風險之關聯性-----21
　　第四節　財務槓桿與營運槓桿之關聯性-----28
第三章　公司系統性風險與會計變數關聯性之研究方法-----35
　　第一節　公司系統性風險與會計變數關聯性之理論模式-----35
　　　　一、在第1、2種情況（b>0,d>0,x<0,b+d+x>0或b<0,d<0,x>0,b+d+x<0）下之結果-----43
　　　　二、在第3種情況（b,d,x>0）下之結果-----54
　　　　三、在第4種情況（b,x>0,d<0）下之結果-----59
　　第二節　股東投資報酬率包含股利之敏威性分析-----63
　　　　一、在第1種情況（b>0,d>0,x<0,b十d+x>0）下之結果-----65
　　　　二、在第2種情況（b<0,d<0,x>0,b+d+x<0）下之結果-----67
　　　　三、在第3種情況（b,d,x>0）下之結果-----70
　　　　四、在第4種情況（b,x>0,d<0）下之結果-----72
　　第三節　公司系統性風險與會計變數關聯性之研究假說-----74
　　第四節　公司系統性風險與會計變數關聯性之實證模式-----79
　　　　一、各假說中前提條件之測試-----80
　　　　二、系統性風險、營運槓桿度及財務槓桿度之估計-----81
　　　　三、複迴歸模式-----81
　　　　四、DOL與DFL抵換關係之實證模式-----84
　　第五節　變數衡量-----85
　　第六節　選樣標準與資料來源-----93
　　　　一、研究期間-----93
　　　　二、選樣標準-----93
　　　　三、樣本篩選過程-----94
　　　　四、資料來源-----95
　　第七節　資料分析方法-----95
第四章　公司系統性風險與會計變數關聯性之實證結果分析-----98
　　第一節　帳面價值、盈餘及股利對股價之影響-----98
　　第二節　系統性風險與會計變數之關聯性分析-----102
　　　　一、敘述統計及相關分析-----102
　　　　二、各研究假說之實證結果分析-----107
　　　　三、本研究迴歸模式與Mandelker and Rhee (1984)迴歸模式解釋力之比較-----129
　　　　四、營運槓桿度及財務槓桿度之理論與實務定義之比較-----134
　　　　五、營運槓桿度與財務槓桿度之抵換關係分析-----138
第五章　結論、研究限制與建議-----147
　　第一節　結論-----147
　　第二節　研究限制-----154
　　第三節　研究建議-----155
參考文獻-----158
附錄-----165

表目錄
表2-1　財務理論與系統性風險文獻彙總表-----13
表2-2　槓桿之估計方法文獻彙總表-----19
表2-3　槓桿與系統性風險之關聯性文獻彙總表-----27
表2-4　財務槓桿與營運槓桿之關聯性文獻彙總表-----33
表3-1　各變數（帳面價值、股利及盈餘）對股價之彈性正負符號-----43
表3-2　變數衡量表-----92
表3-3　股價與系統性風險模式樣本篩選過程-----95
表4-1　帳面價值、股利、盈餘及股價敘述統計-----100
表4-2　帳面價值、股利及盈餘對股價之影響相關分析-----100
表4-3　帳面價值、股利及盈餘對股價之影響迴歸分析-----101
表4-4　樣本公司及剔除之樣本公司之銷貨成長率敘述統計-----101
表4-5　系統性風險之影響因素敘述統計-----104
表4-6　相關係數矩陣一系統性風險之影響因素（包括DOL與DFL）-----105
表4-7　相關係數矩陣一系統性風險之影響因素（包括DTL）-----106
表4-8　系統性風險之影響因素之迴歸分析結果－以兩期定義D0L與DFL-----108
表4-9　系統性風險之影響因素之迴歸分析結果－以兩期定義DTL-----109
表4-10　產業分類表-----115
表4-11　系統性風險、營運槓桿度、財務槓桿度、帳面價值及股利之產業平均數-----116
表4-12　系統性風險之影響因素之迴歸分析結果－加入產業虛擬變數（以兩期定義DOL與DFL）-----117
表4-13　系統性風險之影響因素之迴歸分析結果－加入產業虛擬變數（以兩期定義DTL）-----118
表4-14　系統性風險之影響因素之迴歸分析結果－傳統製造業（以兩期定義DOL與DFL）-----120
表4-15　系統性風險之影響因素之迴歸分析結果－傳統製造業（以兩期定義DTL）-----121
表4-16　系統性風險之影響因素之迴歸分析結果－電子產業（以兩期定義DOL與DFL）-----122
表4-17　系統性風險之影響因素之迴歸分析結果－電子產業（以兩期定義DTL）-----123
表4-18　系統性風險之影響因素之迴歸分析結果－服務業及其他（以兩期定義DOL與DFL）-----124
表4-19　系統性風險之影響因素之迴歸分析結果－服務業及其他（以兩期定義DTL）-----125
表4-20　公司內部因素對系統性風險之影響的相關分析-----131
表4-21　公司內部因素對系統性風險之影響的迴歸分析-----132
表4-22　營運槓桿度與財務槓桿度對系統性風險之影響的相關分析-----133
表4-23　營運槓桿度與財務槓桿度對系統性風險之影響的迴歸分析-----133
表4-24　系統性風險之影響因素之迴歸分析結果－以兩期定義DOL與DFL（理論與實務比較）-----136
表4-25　系統性風險之影響因素之迴歸分析結果－以單期定義DOL與DFL（理論與實務比較）-----137
表4-26　營運槓桿度與財務槓桿度之相關分析－銷貨成長率為正時-----142
表4-27　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為正時-----142
表4-28　營運槓桿度與財務槓桿度之相關分析－銷貨成長率為負時-----143
表4-29　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為負時-----143
表4-30　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為正時（傳統製造業）-----144
表4-31　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為正時（電子產業）-----144
表4-32　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為正時（服務業及其他）-----145
表4-38　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為負時（傳統製造業）-----145
表4-34　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為負時（電子產業）-----146
表4-35　營運槓桿度與財務槓桿度抵換關係之迴歸分析結果－銷貨成長率為負時（服務業及其他）-----146
附表1　各種情況下之系統性風險一階條件-----172

圖目錄
圖1-1　本論文架構圖-----6
圖2-1　第二章文獻探討之架構圖-----7		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000057en_US
dc.subject (關鍵詞) 系統性風險zh_TW
dc.subject (關鍵詞) 總槓桿程度zh_TW
dc.subject (關鍵詞) 營運槓桿度zh_TW
dc.subject (關鍵詞) 財務槓桿度zh_TW
dc.subject (關鍵詞) 盈餘zh_TW
dc.subject (關鍵詞) 股利zh_TW
dc.subject (關鍵詞) systematic risken_US
dc.subject (關鍵詞) degree of total leverageen_US
dc.subject (關鍵詞) degree of operating leverageen_US
dc.subject (關鍵詞) degree of financial leverageen_US
dc.subject (關鍵詞) earningsen_US
dc.subject (關鍵詞) dividenden_US
dc.title (題名) 公司系統性風險與會計變數關聯性之研究zh_TW
dc.title (題名) A study on the relationship between firm systematic risk and accounting variablesen_US
dc.type (資料類型) thesisen_US
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