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題名 公司投資與虧損扣抵對於企業價值之影響
The Effect of Firm Investments and Tax Loss Carryforwards on Firm Value作者 王凱筠
Wang, Kai-Yun貢獻者 何怡澄<br>郭振雄
He, Yi-Cheng<br>Guo, Jhen-Syong
王凱筠
Wang, Kai-Yun關鍵詞 公司投資
虧損扣抵
企業價值
Firm investments
Tax loss carryforwards
Firm value日期 2025 上傳時間 1-九月-2025 16:32:49 (UTC+8) 摘要 本文探討公司投資、虧損扣抵(Tax Loss Carryforwards, TLCF)及兩者交互作用對企業價值之影響。過去研究普遍指出，投資通常對企業價值具有正向影響，然而，若企業進行過度投資，則對企業價值產生負面影響；虧損扣抵對企業價值的影響則尚無一致結論。一方面，虧損扣抵可提供節稅利益，用以抵減未來課稅所得，進而增加企業價值。另一方面，市場亦可能將虧損扣抵視為企業過去經營績效不佳之訊號，對其投資未來獲利能力產生疑慮。因此，本文將探討兩者之交互作用對企業價值的影響。 本研究以1988年至2017年間在美國註冊之上市企業為樣本，資料來源為Compustat北美資料庫，樣本數為75,818。實證結果顯示，首先，公司投資與企業價值間具正向關聯性；其次，虧損扣抵與企業價值間具正向關聯性。第三，虧損扣抵顯著削弱公司投資與企業價值的正向關聯性，因企業過去營運不佳卻擴大投資易引發市場對其獲利前景與虧損扣抵實現可能性的疑慮，且投資所產生的稅務利益亦因虧損扣抵的存在而被延後實現。 本文進行敏感性分析，替代公司投資、虧損扣抵指標的衡量方式、增加控制變數及調整winsorize方法，結果皆與先前一致。在橫斷面分析，本文依據財務限制，以及現金流不確定性進行分組迴歸，發現公司特徵對交乘項具有調節作用。為緩解內生性疑慮，本文採用1997年《納稅人減稅法案》(Taxpayer Relief Act of 1997)進行差異中之差異法(Difference-in-Differences, DiD)分析。最後，於額外測試中，本文改以未來第三期TOBINSQ 及股東權益報酬率作為企業價值的替代變數，結果與先前一致，惟股東權益報酬率，因性質差異，導致交乘項呈現正向效果，但整體結果仍支持公司投資與虧損扣抵間存在替代關係的推論。
This study investigates the impact of firm investments, tax loss carryforwards (TLCF), and their interaction on firm value. Prior research generally suggests that investment positively affects firm value, though overinvestment may undermine it. The effect of TLCF remains ambiguous. While TLCF can enhance firm value by generating tax shields to offset future taxable income, it may also signal poor historical performance, leading investors to discount the firm’s future profitability. This paper examines how the interplay between investments and TLCF influences firm valuation. Using a sample of 75,818 U.S. publicly listed firms from 1988 to 2017 (data from Compustat North America), our empirical analysis yields three main findings. First, firm investments is positively related to firm value. Second, TLCF also exhibits a positive correlation with firm value. Third, TLCF significantly weakens the positive link between investment and firm value, as firms with past operating losses that expand investment may trigger market skepticism about their profit prospects and the realizability of TLCF. Moreover, the tax benefits generated by investments may be postponed due to the presence of TLCF. We conduct robustness checks using alternative measures of investment and TLCF, additional controls, and an adjusted winsorization approach. Cross-sectional analyses based on financial constraints, and cash flow uncertainty. A difference-in-differences approach using the 1997 U.S. tax reforms further mitigates endogeneity concerns. Additional tests using alternative firm value proxies support the view that investments and TLCF act as substitutes in their influence on firm value.參考文獻 Ahmed, E., and A. Hamdan. 2015. The impact of corporate governance on firm performance: Evidence from Bahrain Bourse. International Management Review 11 (2): 21–37. Aktaş, R., and S. Ünal. 2015. The relationship between financial efficiency ratios and stock prices: An empirical investigation on insurance companies listed in Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi 7 (12): 1–16. Al-Matari, E.M., A.K. Al-Swidi, F.H. Fadzil, and Y.A. Al-Matari. 2012. The Impact of Board Characteristics on Firm Performance: Evidence from Nonfinancial Listed Companies in Kuwaiti Stock Exchange. International Journal of Accounting and Financial Reporting 2 (2): 310–332. Amberger, H. J., and L. Robinson. 2024. The Initial Effect of U.S. Tax Reform on Foreign Acquisitions. Review of Accounting Studies 29 (2): 996–1038. Amir, E., and T. Sougiannis. 1999. Analysts' interpretation and investors' valuation of tax carryforwards. Contemporary Accounting Research 16 (1): 1–33. Auerbach, A. J., and J. M. Poterba. 1987. Tax loss carryforwards and corporate tax incentives. In The Effects of Taxation on Capital Accumulation, edited by M. Feldstein, 305–342. Chicago, IL: University of Chicago Press. Ayers, B. 1998. Deferred tax accounting under SFAS No. 109: An empirical investigation of its incremental value-relevance relative to APB No. 11. The Accounting Review 73 (2): 195–212. Başgoze, P., and H. C. Sayin. 2013. The effect of R&D expenditure (investments) on firm value: Case of Istanbul Stock Exchange. Journal of Business, Economics and Finance 2 (3): 5–12. Beladi, H., J. Deng, and M. Hu. 2021. Cash flow uncertainty, financial constraints and R&D investment. International Review of Financial Analysis 76: 101785. Biddle, G. C., G. Hilary, and R. S. Verdi. 2009. How Does Financial Reporting Quality Relate to Investment Efficiency? Journal of Accounting and Economics 48 (2): 112–131. Bryant-Kutcher, L. A., D. A. Guenther, and M. Jackson. 2012. How Do Cross-Country Differences in Corporate Tax Rates Affect Firm Value? Journal of the American Taxation Association 34 (2): 1–17. Cassar, G., and S. Holmes. 2003. Capital Structure and Financing of SMEs: Australian Evidence. Accounting and Finance 43 (2): 123–147. Chen, Y.-C., and M. Hung. 2021. Corporate Sustainability and Stock Value in Asian–Pacific Emerging Markets: Synergies or Tradeoffs among ESG Factors? Sustainability 13 (11): 6458. Cockburn, I., and Z. Griliches. 1988. Industry effects and appropriability measures in the stock market’s valuation of R&D and patents. American Economic Review 78 (2): 419-423. Cordis, A. S., and C. Kirby. 2017. Capital Expenditures and Firm Performance: Evidence from a Cross-Sectional Analysis of Stock Returns. Accounting and Finance 57 (4): 1019–1042. Drake, M. S., J. N. Myers, S. Scholz, and R. J. Wilson. 2017. Discussion of “The information content of tax expense components”. Review of Accounting Studies 22 (2): 140–149. Dreßler, D., and M. Overesch. 2013. Investment impact of tax loss treatment: Empirical insights from a panel of multinationals. International Tax and Public Finance 20 (3): 513–543. Edgerton, J. 2010. Investment incentives and corporate tax asymmetries. Journal of Public Economics 94 (11–12): 936–952. Favilukis, J. Y., R. Giammarino, J. Pizarro, and M. Simutin. 2016. Tax-loss carryforwards and firms' risk. (Working paper). Graham, J. R., and H. Kim. 2009. The effects of the length of the tax-loss carryback period on tax receipts and corporate marginal tax rates. National Tax Journal 62 (3): 413–427. Hanlon, M., and S. Heitzman. 2010. A review of tax research. Journal of Accounting and Economics 50 (2–3): 127–178. Hasan, M. M., G. J. Lobo, and B. Qiu. 2021. Organizational capital, corporate tax avoidance, and firm value. Journal of Corporate Finance 70: 102050. Hirschey, M. 1982. Intangible capital aspects of advertising and R&D expenditures. Journal of Industrial Economics 30: 375–390. Irvine, P., and J. Pontiff. 2008. Idiosyncratic return volatility, cash flows, and product market competition. Review of Financial Studies 22 (3): 1149–1177. Jaffe, A. B. 1986. Technological opportunity and spillovers of R&D: Evidence from firms' patents, profits, and market value. American Economic Review 76 (5): 984–1001. Jensen, M. C. 1986. Agency costs of free cash flow, corporate finance, and takeovers. The American Economic Review 76 (2): 323–329. Katz, S. P., I. K. Khurana, and R. Moussawi. 2015. Tax avoidance and DuPont measures of future performance. Contemporary Accounting Research 32 (3): 869–898. Koch, R., S. Holtmann, and H. Giese. 2023. Losses never sleep – The effect of tax loss offset on stock market returns during economic crises. Journal of Business Economics 93 (1–2): 59–109. Krieg, R., B. A. Kusi, and B. Zinn. 2020. Tax loss offset restrictions, tax uncertainty, and corporate risk-taking. Journal of Banking and Finance 112: 105268. Kumar, K., and G. Visvanathan. 2003. The information content of the deferred tax valuation allowance. The Accounting Review 78 (2): 471–490. Lamont, O. A., C. Polk, and J. Saa-Requejo. 2001. Financial constraints and stock returns. Review of Financial Studies 14 (2): 529–554. Lang, L., E. Ofek, and R. Stulz. 1996. Leverage, investment, and firm growth. Journal of Financial Economics 40 (1): 3–29. Li, Y., M. Gong, X.-Y. Zhang, and L. Koh. 2018. The impact of environmental, social, and governance disclosure on firm value: The role of CEO power. British Accounting Review 50 (1): 60–75. Max, M. M., J. L. Wielhouwer, and E. Wiersma. 2021. Estimating and imputing missing tax loss carryforward data to reduce measurement error. European Accounting Review 32 (1): 55–84. Max, M. M., J. L. Wielhouwer, and E. Wiersma. 2024. Tax loss carryforwards and firm investments. Journal of the American Taxation Association 45 (2): 1–28. McConnell, J. J., and C. J. Muscarella. 1985. Corporate capital expenditure decisions and the market value of the firm. Journal of Financial Economics 14 (3): 399–422. McGuire, S. T., S. S. Neuman, and T. C. Omer. 2016. Do investors use prior tax avoidance when pricing tax loss carryforwards? The Accounting Review 91 (5): 1415–1442. Muça, E., and V. Durmishi. 2021. Capital expenditure and firm performance: Evidence from Albanian construction sector. International Journal of Economics, Business and Accounting Research (IJEBAR) 5 (1): 205–210. Ng, A. C., and Z. Rezaee. 2015. Business sustainability performance and cost of equity capital. Journal of Corporate Finance 34: 128–149. Pindado, J., V. de Queiroz, and C. de la Torre. 2010. How do firm characteristics influence the relationship between R&D and firm value? Financial Management 39 (2): 757–782. Salehi, M., G. Zimon, A. Arianpoor, and F. E. Gholezoo. 2022. The Impact of Investment Efficiency on Firm Value and Moderating Role of Institutional Ownership and Board Independence. Journal of Risk and Financial Management 15 (4): 170. Santos, J. C. G. D., G. A. S. F. D. Lima, and F. C. Galdi. 2022. Cash liquidity and financial constraints in relation to the market performance of Brazilian companies. Revista Contabilidade and Finanças 33 (90): 144–159. Sarkar, S. 2014. Valuation of tax loss carryforwards. Review of Quantitative Finance and Accounting 43 (3): 803–828. Shahwan, T. M. 2015. The effects of corporate governance on financial performance and financial distress: Evidence from Egypt. Corporate Governance 15 (5): 641–662. Shahzad, F., J. Lu, and Z. Fareed. 2019. Does firm life cycle impact corporate risk taking and performance? Journal of Multinational Financial Management 51: 23–44. Shevlin, T. 1990. Estimating corporate marginal tax rates with asymmetric tax treatment of gains and losses. Journal of the American Taxation Association 11 (2): 51–67. Shih, N. 2013. How intangible dynamics influence firm value. Journal of Mathematical Finance 3 (2): 323–328. Sulaiman, M., and S. Alwi. 2021. Value relevance of property plant and equipment, and asset revaluation reserve: Upholding financial report reliability and evading misjudgment. Academy of Accounting and Financial Studies Journal, 25(6): 1–13. Titman, S., K. C. J. Wei, and F. Xie. 2004. Capital investments and stock returns. Journal of Financial and Quantitative Analysis 39 (4): 677–700. Wira, V., N. Lukviarman, R. Rahim, and E. Yonnedi. 2024. Intangible asset to improve firm value: The moderating role of managerial ability. Inovbiz: Jurnal Inovasi Bisnis 12 (1): 1–10. Zeng, T. 2003. The valuation of loss carryforwards. Contemporary Accounting Research 20 (2): 677–700. 描述 碩士
國立政治大學
財政學系
112255031資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112255031 資料類型 thesis dc.contributor.advisor 何怡澄<br>郭振雄 zh_TW dc.contributor.advisor He, Yi-Cheng<br>Guo, Jhen-Syong en_US dc.contributor.author (作者) 王凱筠 zh_TW dc.contributor.author (作者) Wang, Kai-Yun en_US dc.creator (作者) 王凱筠 zh_TW dc.creator (作者) Wang, Kai-Yun en_US dc.date (日期) 2025 en_US dc.date.accessioned 1-九月-2025 16:32:49 (UTC+8) - dc.date.available 1-九月-2025 16:32:49 (UTC+8) - dc.date.issued (上傳時間) 1-九月-2025 16:32:49 (UTC+8) - dc.identifier (其他 識別碼) G0112255031 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159327 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財政學系 zh_TW dc.description (描述) 112255031 zh_TW dc.description.abstract (摘要) 本文探討公司投資、虧損扣抵(Tax Loss Carryforwards, TLCF)及兩者交互作用對企業價值之影響。過去研究普遍指出，投資通常對企業價值具有正向影響，然而，若企業進行過度投資，則對企業價值產生負面影響；虧損扣抵對企業價值的影響則尚無一致結論。一方面，虧損扣抵可提供節稅利益，用以抵減未來課稅所得，進而增加企業價值。另一方面，市場亦可能將虧損扣抵視為企業過去經營績效不佳之訊號，對其投資未來獲利能力產生疑慮。因此，本文將探討兩者之交互作用對企業價值的影響。 本研究以1988年至2017年間在美國註冊之上市企業為樣本，資料來源為Compustat北美資料庫，樣本數為75,818。實證結果顯示，首先，公司投資與企業價值間具正向關聯性；其次，虧損扣抵與企業價值間具正向關聯性。第三，虧損扣抵顯著削弱公司投資與企業價值的正向關聯性，因企業過去營運不佳卻擴大投資易引發市場對其獲利前景與虧損扣抵實現可能性的疑慮，且投資所產生的稅務利益亦因虧損扣抵的存在而被延後實現。 本文進行敏感性分析，替代公司投資、虧損扣抵指標的衡量方式、增加控制變數及調整winsorize方法，結果皆與先前一致。在橫斷面分析，本文依據財務限制，以及現金流不確定性進行分組迴歸，發現公司特徵對交乘項具有調節作用。為緩解內生性疑慮，本文採用1997年《納稅人減稅法案》(Taxpayer Relief Act of 1997)進行差異中之差異法(Difference-in-Differences, DiD)分析。最後，於額外測試中，本文改以未來第三期TOBINSQ 及股東權益報酬率作為企業價值的替代變數，結果與先前一致，惟股東權益報酬率，因性質差異，導致交乘項呈現正向效果，但整體結果仍支持公司投資與虧損扣抵間存在替代關係的推論。 zh_TW dc.description.abstract (摘要) This study investigates the impact of firm investments, tax loss carryforwards (TLCF), and their interaction on firm value. Prior research generally suggests that investment positively affects firm value, though overinvestment may undermine it. The effect of TLCF remains ambiguous. While TLCF can enhance firm value by generating tax shields to offset future taxable income, it may also signal poor historical performance, leading investors to discount the firm’s future profitability. This paper examines how the interplay between investments and TLCF influences firm valuation. Using a sample of 75,818 U.S. publicly listed firms from 1988 to 2017 (data from Compustat North America), our empirical analysis yields three main findings. First, firm investments is positively related to firm value. Second, TLCF also exhibits a positive correlation with firm value. Third, TLCF significantly weakens the positive link between investment and firm value, as firms with past operating losses that expand investment may trigger market skepticism about their profit prospects and the realizability of TLCF. Moreover, the tax benefits generated by investments may be postponed due to the presence of TLCF. We conduct robustness checks using alternative measures of investment and TLCF, additional controls, and an adjusted winsorization approach. Cross-sectional analyses based on financial constraints, and cash flow uncertainty. A difference-in-differences approach using the 1997 U.S. tax reforms further mitigates endogeneity concerns. Additional tests using alternative firm value proxies support the view that investments and TLCF act as substitutes in their influence on firm value. en_US dc.description.tableofcontents 第壹章 緒論 1 第一節 研究背景與動機 1 第二節 研究流程 3 第貳章 文獻探討與假說 4 第一節 虧損扣抵 5 第二節 公司投資與虧損扣抵 7 第三節 企業價值 8 第四節 假說建立 10 第參章 研究方法 12 第一節 資料來源與樣本篩選 12 第二節 變數定義 13 第三節 實證模型 18 第肆章 實證結果 19 第一節 敘述性統計 19 第二節 實證結果 25 第三節 敏感性分析 27 第四節 橫斷面分析 31 第五節 內生性 34 第六節 額外測試 40 第伍章 結論與限制 44 第一節 研究結論 44 第二節 研究限制 45 參考文獻 46 zh_TW dc.format.extent 2488227 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112255031 en_US dc.subject (關鍵詞) 公司投資 zh_TW dc.subject (關鍵詞) 虧損扣抵 zh_TW dc.subject (關鍵詞) 企業價值 zh_TW dc.subject (關鍵詞) Firm investments en_US dc.subject (關鍵詞) Tax loss carryforwards en_US dc.subject (關鍵詞) Firm value en_US dc.title (題名) 公司投資與虧損扣抵對於企業價值之影響 zh_TW dc.title (題名) The Effect of Firm Investments and Tax Loss Carryforwards on Firm Value en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ahmed, E., and A. Hamdan. 2015. The impact of corporate governance on firm performance: Evidence from Bahrain Bourse. International Management Review 11 (2): 21–37. Aktaş, R., and S. Ünal. 2015. The relationship between financial efficiency ratios and stock prices: An empirical investigation on insurance companies listed in Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi 7 (12): 1–16. Al-Matari, E.M., A.K. Al-Swidi, F.H. Fadzil, and Y.A. Al-Matari. 2012. The Impact of Board Characteristics on Firm Performance: Evidence from Nonfinancial Listed Companies in Kuwaiti Stock Exchange. International Journal of Accounting and Financial Reporting 2 (2): 310–332. Amberger, H. J., and L. Robinson. 2024. The Initial Effect of U.S. Tax Reform on Foreign Acquisitions. Review of Accounting Studies 29 (2): 996–1038. Amir, E., and T. Sougiannis. 1999. Analysts' interpretation and investors' valuation of tax carryforwards. Contemporary Accounting Research 16 (1): 1–33. Auerbach, A. J., and J. M. Poterba. 1987. Tax loss carryforwards and corporate tax incentives. In The Effects of Taxation on Capital Accumulation, edited by M. Feldstein, 305–342. Chicago, IL: University of Chicago Press. Ayers, B. 1998. Deferred tax accounting under SFAS No. 109: An empirical investigation of its incremental value-relevance relative to APB No. 11. The Accounting Review 73 (2): 195–212. Başgoze, P., and H. C. Sayin. 2013. The effect of R&D expenditure (investments) on firm value: Case of Istanbul Stock Exchange. Journal of Business, Economics and Finance 2 (3): 5–12. Beladi, H., J. Deng, and M. Hu. 2021. Cash flow uncertainty, financial constraints and R&D investment. International Review of Financial Analysis 76: 101785. Biddle, G. C., G. Hilary, and R. S. Verdi. 2009. How Does Financial Reporting Quality Relate to Investment Efficiency? Journal of Accounting and Economics 48 (2): 112–131. Bryant-Kutcher, L. A., D. A. Guenther, and M. Jackson. 2012. How Do Cross-Country Differences in Corporate Tax Rates Affect Firm Value? Journal of the American Taxation Association 34 (2): 1–17. Cassar, G., and S. Holmes. 2003. Capital Structure and Financing of SMEs: Australian Evidence. Accounting and Finance 43 (2): 123–147. Chen, Y.-C., and M. Hung. 2021. Corporate Sustainability and Stock Value in Asian–Pacific Emerging Markets: Synergies or Tradeoffs among ESG Factors? Sustainability 13 (11): 6458. Cockburn, I., and Z. Griliches. 1988. Industry effects and appropriability measures in the stock market’s valuation of R&D and patents. American Economic Review 78 (2): 419-423. Cordis, A. S., and C. Kirby. 2017. Capital Expenditures and Firm Performance: Evidence from a Cross-Sectional Analysis of Stock Returns. Accounting and Finance 57 (4): 1019–1042. Drake, M. S., J. N. Myers, S. Scholz, and R. J. Wilson. 2017. Discussion of “The information content of tax expense components”. Review of Accounting Studies 22 (2): 140–149. Dreßler, D., and M. Overesch. 2013. Investment impact of tax loss treatment: Empirical insights from a panel of multinationals. International Tax and Public Finance 20 (3): 513–543. Edgerton, J. 2010. Investment incentives and corporate tax asymmetries. Journal of Public Economics 94 (11–12): 936–952. Favilukis, J. Y., R. Giammarino, J. Pizarro, and M. Simutin. 2016. Tax-loss carryforwards and firms' risk. (Working paper). Graham, J. R., and H. Kim. 2009. The effects of the length of the tax-loss carryback period on tax receipts and corporate marginal tax rates. National Tax Journal 62 (3): 413–427. Hanlon, M., and S. Heitzman. 2010. A review of tax research. Journal of Accounting and Economics 50 (2–3): 127–178. Hasan, M. M., G. J. Lobo, and B. Qiu. 2021. Organizational capital, corporate tax avoidance, and firm value. Journal of Corporate Finance 70: 102050. Hirschey, M. 1982. Intangible capital aspects of advertising and R&D expenditures. 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