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題名 市場競爭程度對企業現金持有政策之影響
Competition, cash holdings and expected return作者 林俊廷
Lin, Chun-Ting貢獻者 盧敬植
林俊廷
Lin, Chun-Ting關鍵詞 市場競爭
赫芬達爾-赫希曼指數
現金持有
預期股票報酬
Market competition
Herfindahl-Hirschman Index
Cash holdings
Expected return日期 2021 上傳時間 4-Aug-2021 14:45:33 (UTC+8) 摘要 本研究從企業持有現金的動機切入，以赫芬達爾-赫希曼指數(Herfindahl-Hirschman Index, HHI) 作為市場競爭的代理變數，分析台灣市場競爭程度對於企業現金持有政策的影響，並進一步觀察現金持有與股票報酬之間的關聯，是否會受到市場競爭程度的不同而有所改變。實證結果顯示，企業的現金持有比率會隨著市場競爭度下降(HHI 上升)而降低；本研究認為市場競爭會影響企業對投資機會的掌握而改變現金持有政策，因此另以總資產成長率作為投資的代理變數，研究市場競爭與投資成長之間的關聯，實證亦發現投資成長與 HHI 呈現負相關。最後則延續過去文獻的研究，觀察在控制市場集中度之下，現金持有與預期股票報酬率的關係，結果顯示市場競爭度越低的組別，高現金持有比率和低現金持有比率投資組合的CAPM 超額報酬差異更大。
This study investigates the relationship between market competition and cash holding policy of a firm. Using Herfindahl-Hirschman Index (HHI) as a proxy for market competition, I found the negative correlation between HHI and cash holdings in Taiwan. Furthermore, this study also investigate the relevance between cash holdings and expected stock return across different market competition situation. I separate data by two categories, HHI and cash-to-asset ratio, then use CAPM to analyze portfolio excess return. The results show that high cash-to-asset ratio portfolios got more excess return than low ones, and the gap was bigger when HHI are higher.參考文獻 Aghion, P., Bloom, N., Blundell, R., Griffith, R., & Howitt, P. (2005). Competition and innovation: An inverted-U relationship. The quarterly journal of economics, 120(2), 701-728.Aharoni, G., Grundy, B., & Zeng, Q. (2013). Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis. Journal of financial economics, 110(2), 347-357.Almeida, H., Campello, M., & Weisbach, M. S. (2004). The cash flow sensitivity of cash. The journal of finance, 59(4), 1777-1804.Bates, T. W., Kahle, K. M., & Stulz, R. M. (2009). Why do US firms hold so much more cash than they used to?. The journal of finance, 64(5), 1985-2021.Dittmar, A., Mahrt-Smith, J., & Servaes, H. (2003). International corporate governance and corporate cash holdings. Journal of Financial and Quantitative analysis, 111-133.Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of financial economics, 82(3), 491-518.Foley, C. F., Hartzell, J. C., Titman, S., & Twite, G. (2007). Why do firms hold so much cash? A tax-based explanation. Journal of financial economics, 86(3), 579-607.Harford, J. (1999). Corporate cash reserves and acquisitions. The journal of finance, 54(6), 1969-1997.Hoberg, G., Phillips, G. M., & Prabhala, N. R. (2013). Product market threats, payouts, and financial flexibility. The journal of finance, 69(1), 8.Keynes, J.M. (1936). The General Theory of Employment Interest and Money. MacmillanLyandres, E., & Palazzo, B. (2016). Cash holdings, competition, and innovation. Journal of Financial and Quantitative Analysis, 1823-1861.Miller, M. H., & Orr, D. (1966). A Model of the Demand for Money by Firms. The Quarterly journal of economics, 80(3), 413-435.Morellec, E., Nikolov, B., & Zucchi, F. M. (2013). Cash holdings and competition (No. REP_WORK).Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.Opler, T., Pinkowitz, L., Stulz, R., & Williamson, R. (1999). The determinants and implications of corporate cash holdings. Journal of financial economics, 52(1), 3-46.Palazzo, B. (2012). Cash holdings, risk, and expected returns. Journal of financial economics, 104(1), 162-185.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.Shyam-Sunder, L., & Myers, S. C. (1999). Testing static tradeoff against pecking order models of capital structure. Journal of financial economics, 51(2), 219-244. 描述 碩士
國立政治大學
財務管理學系
108357031資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357031 資料類型 thesis dc.contributor.advisor 盧敬植 zh_TW dc.contributor.author (Authors) 林俊廷 zh_TW dc.contributor.author (Authors) Lin, Chun-Ting en_US dc.creator (作者) 林俊廷 zh_TW dc.creator (作者) Lin, Chun-Ting en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:45:33 (UTC+8) - dc.date.available 4-Aug-2021 14:45:33 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:45:33 (UTC+8) - dc.identifier (Other Identifiers) G0108357031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136335 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 108357031 zh_TW dc.description.abstract (摘要) 本研究從企業持有現金的動機切入，以赫芬達爾-赫希曼指數(Herfindahl-Hirschman Index, HHI) 作為市場競爭的代理變數，分析台灣市場競爭程度對於企業現金持有政策的影響，並進一步觀察現金持有與股票報酬之間的關聯，是否會受到市場競爭程度的不同而有所改變。實證結果顯示，企業的現金持有比率會隨著市場競爭度下降(HHI 上升)而降低；本研究認為市場競爭會影響企業對投資機會的掌握而改變現金持有政策，因此另以總資產成長率作為投資的代理變數，研究市場競爭與投資成長之間的關聯，實證亦發現投資成長與 HHI 呈現負相關。最後則延續過去文獻的研究，觀察在控制市場集中度之下，現金持有與預期股票報酬率的關係，結果顯示市場競爭度越低的組別，高現金持有比率和低現金持有比率投資組合的CAPM 超額報酬差異更大。 zh_TW dc.description.abstract (摘要) This study investigates the relationship between market competition and cash holding policy of a firm. Using Herfindahl-Hirschman Index (HHI) as a proxy for market competition, I found the negative correlation between HHI and cash holdings in Taiwan. Furthermore, this study also investigate the relevance between cash holdings and expected stock return across different market competition situation. I separate data by two categories, HHI and cash-to-asset ratio, then use CAPM to analyze portfolio excess return. The results show that high cash-to-asset ratio portfolios got more excess return than low ones, and the gap was bigger when HHI are higher. en_US dc.description.tableofcontents 第一章、緒論 P.1第二章、文獻探討 P.4第一節、企業現金持有決策相關理論 P.4第二節、現金持有動機 P.6第三節、市場競爭 P.8第四節、本章小結 P.10第三章、研究設計 P.11第一節、資料來源 P.11第二節、資料處理 P.12第三節、研究方法與模型設定 P.13第四章、實證結果 P.19第一節、預期競爭程度對現金持有比率之影響 P.19第二節、HHI、現金持有與實際股票報酬率表現 P.25第五章、結論與後續建議 P.28第一節、研究結論 P.28第二節、研究限制與後續建議 P.29參考資料 P.30 zh_TW dc.format.extent 1092122 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357031 en_US dc.subject (關鍵詞) 市場競爭 zh_TW dc.subject (關鍵詞) 赫芬達爾-赫希曼指數 zh_TW dc.subject (關鍵詞) 現金持有 zh_TW dc.subject (關鍵詞) 預期股票報酬 zh_TW dc.subject (關鍵詞) Market competition en_US dc.subject (關鍵詞) Herfindahl-Hirschman Index en_US dc.subject (關鍵詞) Cash holdings en_US dc.subject (關鍵詞) Expected return en_US dc.title (題名) 市場競爭程度對企業現金持有政策之影響 zh_TW dc.title (題名) Competition, cash holdings and expected return en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aghion, P., Bloom, N., Blundell, R., Griffith, R., & Howitt, P. (2005). Competition and innovation: An inverted-U relationship. The quarterly journal of economics, 120(2), 701-728.Aharoni, G., Grundy, B., & Zeng, Q. (2013). Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis. Journal of financial economics, 110(2), 347-357.Almeida, H., Campello, M., & Weisbach, M. S. (2004). The cash flow sensitivity of cash. The journal of finance, 59(4), 1777-1804.Bates, T. W., Kahle, K. M., & Stulz, R. M. (2009). Why do US firms hold so much more cash than they used to?. The journal of finance, 64(5), 1985-2021.Dittmar, A., Mahrt-Smith, J., & Servaes, H. (2003). International corporate governance and corporate cash holdings. Journal of Financial and Quantitative analysis, 111-133.Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of financial economics, 82(3), 491-518.Foley, C. F., Hartzell, J. C., Titman, S., & Twite, G. (2007). Why do firms hold so much cash? A tax-based explanation. Journal of financial economics, 86(3), 579-607.Harford, J. (1999). Corporate cash reserves and acquisitions. The journal of finance, 54(6), 1969-1997.Hoberg, G., Phillips, G. M., & Prabhala, N. R. (2013). Product market threats, payouts, and financial flexibility. The journal of finance, 69(1), 8.Keynes, J.M. (1936). The General Theory of Employment Interest and Money. MacmillanLyandres, E., & Palazzo, B. (2016). Cash holdings, competition, and innovation. Journal of Financial and Quantitative Analysis, 1823-1861.Miller, M. H., & Orr, D. (1966). A Model of the Demand for Money by Firms. The Quarterly journal of economics, 80(3), 413-435.Morellec, E., Nikolov, B., & Zucchi, F. M. (2013). Cash holdings and competition (No. REP_WORK).Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.Opler, T., Pinkowitz, L., Stulz, R., & Williamson, R. (1999). The determinants and implications of corporate cash holdings. Journal of financial economics, 52(1), 3-46.Palazzo, B. (2012). Cash holdings, risk, and expected returns. Journal of financial economics, 104(1), 162-185.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.Shyam-Sunder, L., & Myers, S. C. (1999). Testing static tradeoff against pecking order models of capital structure. Journal of financial economics, 51(2), 219-244. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100816 en_US
