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題名 短債、長債有差別嗎？債務期限結構對股票報酬率的影響：以臺灣及美國股票市場為例
Is There a Difference Between Short-term and Long-term Debt? The Impact of Debt Maturity Structure on Stock Returns: A Comparison of Taiwan and U.S. Stock Markets
作者 胡憲傑
Hu, Hsien-Chieh
貢獻者 李志宏
Lee, Jie-Haun
胡憲傑
Hu, Hsien-Chieh
關鍵詞 債務期限結構
資本結構
融資來源
Debt maturity structure
Capital structure
Source of financing
日期 2024
上傳時間 5-Aug-2024 13:43:28 (UTC+8)
摘要 　　由於臺灣的公司債市場規模較小，銀行業發展歷史悠久，臺灣企業更傾向與銀行進行借款，導致臺灣企業在公司債務方面表現出與美國企業不同的特性，如臺灣企業擁有高比例的短期債務，美國企業則有約八成債務屬於長期債務，這個結果導致臺灣企業的再融資強度（Refinancing intensity, RI）及短期負債比比美國企業高。但是銀行在進行放款時相較於公開市場有許多優勢，如銀行可以獲取企業內部資訊，在對企業徵信或進行監管時更有著規模經濟及比較利益的優勢，所以銀行對企業風險資訊的掌握比公開市場投資人更完整，更能夠確保企業在面臨風險時仍舊有能力還款，因此與企業借款相應的風險都較美國企業低，投資人不會要求額外的股票報酬作為風險補償。 　　本研究因此對於臺灣企業及美國企業的再融資強度、負債比和長、短期負債比與股票報酬率的關係進行研究與比較，實證結果發現臺灣企業不論是再融資強度、負債比和長、短期負債比都與股票報酬率無關。美國企業則是再融資強度、負債比和長、短期負債比皆與股票報酬率呈正相關，其中高短期負債比組合比低短期負債比組合每月多出0.356%的超額報酬率，代表美國企業若短期負債比較高，其在負債比與再融資強度的交互作用下會有較大的展期風險暴露。
Due to the relatively small size of Taiwan's corporate bond market and the long-standing development of its banking industry, Taiwanese companies prefer borrowing from banks rather than issuing corporate bonds. This has led to distinct characteristics in the debt structure of Taiwanese companies compared to US companies. For instance, Taiwanese companies have a higher proportion of short-term debt, whereas around 80% of US corporate debt is long-term. As a result, Taiwanese companies exhibit higher refinancing intensity (RI) and short-term leverages compared to US companies. However, banks possess several advantages over public markets when providing loans, such as access to internal corporate information and economies of scale in credit assessment and monitoring. Consequently, banks have a more comprehensive understanding of corporate risk information, allowing them to better ensure a company's repayment capability during times of risk. Therefore, the risks associated with corporate borrowing in Taiwan are lower than those of US companies, and investors do not require additional stock returns as risk compensation. This study thus compares the RI, leverages, and long- and short-term leverages in relation to stock returns between Taiwanese and US companies. The empirical results reveal that for Taiwanese companies, RI, leverages, and long- and short-term leverages are unrelated to stock returns. In contrast, for US companies, RI, leverages, and long- and short-term leverages are positively correlated with stock returns. Specifically, US companies with higher short-term leverages achieve an excess monthly return of 0.356% more than those with lower short-term leverages. This indicates that US companies with higher short-term debt face greater RI due to the interaction between leverages and RI.
參考文獻 一、 中文參考資料 吳貞和、洪振虔、鍾紹熙、張俊文（2021）。市價淨值比和資本結構：市場時機與成長機會之論。管理與系統，28(1)，1-31。 蔡宛玲、王熙碩（2012）。我國公司債市場之現況發展。證券櫃檯月刊159期，60-74。 櫃檯買賣中心（無日期），上櫃債券流通在外餘額月報表，https://www.tpex.org.tw/web/bond/publish/publish_download/download_03.php?l=zh-tw，擷取日期：2024年3月12日。 二、 英文參考資料 Aggarwal, R., & Goodell, J. W. (2009). Markets and institutions in financial intermediation: National characteristics as determinants. Journal of Banking & Finance, 33(10), 1770-1780. Anginer, D., Demirguc-Kunt, A., Simsir, S. A., Tepe, M. (2022). Is short-term debt a substitute for or complementary to good governance? Borsa Istanbul Review, 22(2), 197-208. Barclay, M. J., & Smith Jr, C. W. (1995). The maturity structure of corporate debt. the Journal of Finance, 50(2), 609-631. Bhandari, L. C. (1988). Debt/equity ratio and expected common stock returns: empirical evidence. The Journal of Finance, 43(2), 507-528. Campbell, J. Y., & Vuolteenaho, T. (2004). Bad beta, good beta. American Economic Review, 94(5), 1249-1275. Chaderina, M., Weiss, P., & Zechner, J. (2022). The maturity premium. Journal of Financial Economics, 144(2), 670-694. Chang, K., Wee, J.B. and Yi, H.-C. (2012), Does National Culture Influence the Firm’s Choice of Debt Maturity?. Asia-Pacific Journal of Financial Studies, 41,424-457. Chen, A. (2002). The stable factors for the stock returns in Taiwan: cross-validation, factor analysis and simulation. Journal of Management, 19(3), 519-42. Chen, A., & Tu, E. H. (2002). The determinants for stock returns in emerging markets: The case of Taiwan. Studies in Economics and Finance, 20(2), 58-77. Chen, H., Wang, H., & Zhou, H. (2014). Stock Return Volatility and Capital Structure Decisions. PBCSF-NIFR Research Paper No. 13-04. Retrieved from SSRN: http://dx.doi.org/10.2139/ssrn.2346642 Chen, H., Xu, Y., & Yang, J. (2021). Systematic risk, debt maturity, and the term structure of credit spreads. Journal of Financial Economics, 139(3), 770-799. Chui, A. C. W., Kwok, C. C. Y., & Zhou, G. (S.). (2016). National culture and the cost of debt. Journal of Banking & Finance, 69, 1-19. Dangl, T., & Zechner, J. (2021). Debt Maturity and the Dynamics of Leverage. The Review of Financial Studies, 34(12), 5796-5840. De Fiore, F., & Uhlig, H. (2011). Bank Finance versus Bond Finance. Journal of Money, Credit and Banking, 43(7), 1399-1421. De Fiore, F., & Uhlig, H. (2011). Bank finance versus bond finance. Journal of Money, Credit and Banking, 43(7), 1399-1421. Demarzo, P.M. and He, Z. (2021). Leverage Dynamics without Commitment. The Journal of Finance, 76: 1195-1250. Diamond, D. W. (1984). Financial intermediation and delegated monitoring. The review of economic studies, 51(3), 393-414. El Ghoul, S., Guedhami, O., Kim, H., & Park, K. (2018). Corporate Environmental Responsibility and the Cost of Capital: International Evidence. Journal of Business Ethics, 149(2), 335-361. Emery, K. M., & Cantor, R. (2005). Relative default rates on corporate loans and bonds. Journal of Banking & Finance, 29(6), 1575-1584. Fama, E. F. (1985). What's different about banks?. Journal of monetary economics, 15(1), 29-39. Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The journal of finance, 50(1), 131-155. Fama, E. F., & French, K. R. (2008). Dissecting anomalies. The journal of finance, 63(4), 1653-1678. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22. Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of financial economics, 128(2), 234-252. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636. Fan, J. P., Titman, S., & Twite, G. (2012). An international comparison of capital structure and debt maturity choices. Journal of Financial and quantitative Analysis, 47(1), 23-56. Friewald, N., Nagler, F., & Wagner, C. (2022). Debt Refinancing and Equity Returns. The Journal of Finance, 77(4), 2287-2329. Friewald, N., Wagner, C., & Zechner, J. (2014). The Cross-Section of Credit Risk Premia and Equity Returns. The Journal of Finance, 69(6), 2419-2469. Gambacorta, L., Yang, J., & Tsatsaronis, K. (2014). Financial structure and growth. BIS Quarterly Review March. Retrieved from : https://ssrn.com/abstract=2457106 on March 5, 2024. Gopalan, R., Song, F., & Yerramilli, V. (2014). Debt Maturity Structure and Credit Quality. Journal of Financial and Quantitative Analysis, 49(4), 817–842. Graham, J. R., & Harvey, C. R. (2001). The theory and practice of corporate finance: evidence from the field. Journal of Financial Economics, 60(2–3), 187-243. Harford, J., Klasa, S., & Maxwell, W. F. (2014). Refinancing Risk and Cash Holdings. The Journal of Finance, 69(3), 975-1012. He, Z. and Xiong, W. (2012). Rollover Risk and Credit Risk. The Journal of Finance, 67, 391-430. Huberman, G., & Kandel, S. (1987). Mean‐variance spanning. The Journal of Finance, 42(4), 873-888. Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360. Kurshev, A., & Strebulaev, I. A. (2015). Firm size and capital structure. Quarterly Journal of Finance, 5(03), 1550008. La Porta, R., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1997). Legal Determinants of External Finance. The Journal of Finance, 52(3), 1131-1150. Lally, M. (2002). Time varying market leverage, the market risk premium and the cost of capital. Journal of Business Finance & Accounting, 29(9‐10), 1301-1318. Leland, H. E., & Toft, K. B. (1996). 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Asymmetric information, corporate finance, and investment, 63-104.University of Chicago Press. Modigliani, F. and Miller, M.H. (1963). Corporate Income Taxes and the Cost of Capital: A Correction. American Economic Review, 53, 433-443. Myers, S. C. (1977). Determinants of corporate borrowing. Journal of financial economics, 5(2), 147-175. Myers, S. C. (2003). Financing of corporations. In Handbook of the Economics of Finance (Vol. 1, pp. 215-253). Elsevier. Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703–708. Nguyen, C., & Wald, J. K. (2022). Debt maturity and the choice between bank loans and public bonds. Review of Quantitative Finance and Accounting, 59(1), 239-272. O'Connor Keefe, M., & Yaghoubi, M. (2016). The influence of cash flow volatility on capital structure and the use of debt of different maturities. Journal of Corporate Finance, 38, 18-36. Ozkan, A. (2000). An empirical analysis of corporate debt maturity structure. European Financial Management, 6(2), 197-212. Ozkan, A. (2002). The determinants of corporate debt maturity: evidence from UK firms. Applied Financial Economics, 12(1), 19-24. Shen, C. H., & Wang, C. A. (2005). Does bank relationship matter for a firm's investment and financial constraints? The case of Taiwan. Pacific-Basin Finance Journal, 13(2), 163-184. Stohs, M. H., & Mauer, D. C. (1996). The determinants of corporate debt maturity structure. Journal of business, 279-312. Strebulaev, I. A., & Yang, B. (2013). The mystery of zero-leverage firms. Journal of financial Economics, 109(1), 1-23. U.S. Securities Industry and Financial Markets Association (2024). US Corporate Bonds Statistics, Retrieved from https://www.sifma.org/resources/research/us-corporate-bonds-statistics/ on March 12, 2024. Wang, C. W., & Chiu, W. C. (2019). Effect of short-term debt on default risk: Evidence from Pacific Basin countries. 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描述 碩士
國立政治大學
財務管理學系
111357025
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357025
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.advisor Lee, Jie-Haunen_US
dc.contributor.author (Authors) 胡憲傑zh_TW
dc.contributor.author (Authors) Hu, Hsien-Chiehen_US
dc.creator (作者) 胡憲傑zh_TW
dc.creator (作者) Hu, Hsien-Chiehen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:43:28 (UTC+8)-
dc.date.available 5-Aug-2024 13:43:28 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:43:28 (UTC+8)-
dc.identifier (Other Identifiers) G0111357025en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152727-
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) 111357025zh_TW
dc.description.abstract (摘要) 　　由於臺灣的公司債市場規模較小，銀行業發展歷史悠久，臺灣企業更傾向與銀行進行借款，導致臺灣企業在公司債務方面表現出與美國企業不同的特性，如臺灣企業擁有高比例的短期債務，美國企業則有約八成債務屬於長期債務，這個結果導致臺灣企業的再融資強度（Refinancing intensity, RI）及短期負債比比美國企業高。但是銀行在進行放款時相較於公開市場有許多優勢，如銀行可以獲取企業內部資訊，在對企業徵信或進行監管時更有著規模經濟及比較利益的優勢，所以銀行對企業風險資訊的掌握比公開市場投資人更完整，更能夠確保企業在面臨風險時仍舊有能力還款，因此與企業借款相應的風險都較美國企業低，投資人不會要求額外的股票報酬作為風險補償。 　　本研究因此對於臺灣企業及美國企業的再融資強度、負債比和長、短期負債比與股票報酬率的關係進行研究與比較，實證結果發現臺灣企業不論是再融資強度、負債比和長、短期負債比都與股票報酬率無關。美國企業則是再融資強度、負債比和長、短期負債比皆與股票報酬率呈正相關，其中高短期負債比組合比低短期負債比組合每月多出0.356%的超額報酬率，代表美國企業若短期負債比較高，其在負債比與再融資強度的交互作用下會有較大的展期風險暴露。zh_TW
dc.description.abstract (摘要) Due to the relatively small size of Taiwan's corporate bond market and the long-standing development of its banking industry, Taiwanese companies prefer borrowing from banks rather than issuing corporate bonds. This has led to distinct characteristics in the debt structure of Taiwanese companies compared to US companies. For instance, Taiwanese companies have a higher proportion of short-term debt, whereas around 80% of US corporate debt is long-term. As a result, Taiwanese companies exhibit higher refinancing intensity (RI) and short-term leverages compared to US companies. However, banks possess several advantages over public markets when providing loans, such as access to internal corporate information and economies of scale in credit assessment and monitoring. Consequently, banks have a more comprehensive understanding of corporate risk information, allowing them to better ensure a company's repayment capability during times of risk. Therefore, the risks associated with corporate borrowing in Taiwan are lower than those of US companies, and investors do not require additional stock returns as risk compensation. This study thus compares the RI, leverages, and long- and short-term leverages in relation to stock returns between Taiwanese and US companies. The empirical results reveal that for Taiwanese companies, RI, leverages, and long- and short-term leverages are unrelated to stock returns. In contrast, for US companies, RI, leverages, and long- and short-term leverages are positively correlated with stock returns. Specifically, US companies with higher short-term leverages achieve an excess monthly return of 0.356% more than those with lower short-term leverages. This indicates that US companies with higher short-term debt face greater RI due to the interaction between leverages and RI.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究架構 4 第二章 文獻回顧 5 第一節 關於負債比與債務期限結構的影響因素 5 第二節 短期債務的相關影響 6 第三節 臺灣企業與美國企業負債融資不同之處 7 第四節 公司債與銀行貸款的差異 9 第五節 債務期限結構、槓桿與信用風險對報酬影響 10 第三章 研究方法 13 第一節 研究假說 13 第二節 樣本與研究期間 15 第三節 變數說明 17 第一項 負債比、再融資強度及長、短期負債比 17 第二項 負債比、再融資強度及長、短期負債比多空投組的超額報酬率 18 第四節 實證模型 20 第一項 Fama-MacBeth橫斷面迴歸 20 第二項 Factor Spanning regressions 21 第四章 實證結果 24 第一節 Fama-Macbeth橫斷面迴歸 24 第一項 敘述統計 24 第二項 實證結果 27 第二節 Factor spanning test 33 第一項 負債比、再融資強度多空投組的超額報酬率 33 第二項 長、短期負債比多空投組的超額報酬率 40 第三節 穩健性測試 45 第五章 結論與建議 50 參考文獻 52zh_TW
dc.format.extent 2818115 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357025en_US
dc.subject (關鍵詞) 債務期限結構zh_TW
dc.subject (關鍵詞) 資本結構zh_TW
dc.subject (關鍵詞) 融資來源zh_TW
dc.subject (關鍵詞) Debt maturity structureen_US
dc.subject (關鍵詞) Capital structureen_US
dc.subject (關鍵詞) Source of financingen_US
dc.title (題名) 短債、長債有差別嗎？債務期限結構對股票報酬率的影響：以臺灣及美國股票市場為例zh_TW
dc.title (題名) Is There a Difference Between Short-term and Long-term Debt? The Impact of Debt Maturity Structure on Stock Returns: A Comparison of Taiwan and U.S. Stock Marketsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、 中文參考資料 吳貞和、洪振虔、鍾紹熙、張俊文（2021）。市價淨值比和資本結構：市場時機與成長機會之論。管理與系統，28(1)，1-31。 蔡宛玲、王熙碩（2012）。我國公司債市場之現況發展。證券櫃檯月刊159期，60-74。 櫃檯買賣中心（無日期），上櫃債券流通在外餘額月報表，https://www.tpex.org.tw/web/bond/publish/publish_download/download_03.php?l=zh-tw，擷取日期：2024年3月12日。 二、 英文參考資料 Aggarwal, R., & Goodell, J. W. (2009). Markets and institutions in financial intermediation: National characteristics as determinants. Journal of Banking & Finance, 33(10), 1770-1780. Anginer, D., Demirguc-Kunt, A., Simsir, S. A., Tepe, M. (2022). Is short-term debt a substitute for or complementary to good governance? Borsa Istanbul Review, 22(2), 197-208. Barclay, M. J., & Smith Jr, C. W. (1995). The maturity structure of corporate debt. the Journal of Finance, 50(2), 609-631. Bhandari, L. C. (1988). Debt/equity ratio and expected common stock returns: empirical evidence. The Journal of Finance, 43(2), 507-528. Campbell, J. Y., & Vuolteenaho, T. (2004). Bad beta, good beta. 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