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題名 公司投資理財決策理論
The Theory of Financial and Investment Decision作者 李宗培 貢獻者 林柏生<br>汪義育
李宗培關鍵詞 財務決策
投資決策
稅盾效果
破產成本
最適資本結構
financial decision
investment decision
tax shield effect
bankruptcy cost
optimal capital structure日期 1992 上傳時間 1-Jun-2015 11:07:22 (UTC+8) 摘要 本文建立一公司稅、累進個人稅、非債稅盾和破產可能之不確定經濟模型，探討公司的投資理財決策行為。和以前文獻最大的不同點，在於公司風險債利率水準明顯且完全的內生化處理，此內生化利率不僅受公司舉債額度的財務決策影響，也會反應公司現行投資或資本存量的實質決策，模型中的財務和實質決策具有完全互動之特性。累進個人稅下，只要存在一組投資人間的邊際稅率結構，能排除套稅資產配置，則市場無套稅價格和競爭均衡便存在。此一結果，使本文模型中的資產評價得以建立於競爭財務市場均衡的基礎。市場均衡下，公司債利率會隨公司舉債額度而同向、投資額度而反向調整，此時股東與債權人間的代理成本問題完全消失、市場具有公平保護債權人的機能。如果公司債利率外生而無法依市場均衡評價，則由於代理成本問題存在，使公司最適投資相對低於、舉債額度則高於利率內生之最適水準。另外，傳統一些稅制分析法的資本結構決定理論，只是本文之特例。稅盾變化，如投資減免率或定額減免等，對公司最適投資和舉債的影響，除以前文獻之結果外，還包含一利率回饋效果，後者可能改變以前文獻之結論。例如，本文發現獎勵投資之折舊率或投資扣抵的政策美意，可能反而造成抑制投資的結果，本文這部分之結論，或可提供有關公司資本結構決定之實證研究新的詮釋，另外在稅制設計上亦具政策上的含意。 參考文獻 陳明道、李宗培和林綸,"稅對資本結構之影響—臺灣稅制的探討," 未發表,(民80年)Alberts, W. A.,and Hite, G. L., "The Modigliani - Miller Leverage Equation Considered in a Product Market Context," Journal of Financial and Quantitative Analysis, (December 1983), pp.425-37.Baxter, N., "Leverage, Risk of Ruin and Cost of Capital," Journal of Finance, (September 1967), pp.395-403.Bhattacharya, S.,"Corporate Finance and the Legacy of Miller and Modigliani," Journal of Economic Perspectives, (Fall 1988), pp.135-47.Blazenko, G.,"Managerial Preference, Asymmetric Information, and Financial Structure," Journal of Finance, (September 1987), pp.839-62.Brander, J., and Lewis, T.R., "Oligopoly and Financial Structure: The Limited Liability Effect," American Economic Review, (December 1986), pp.956-70.Brennan, M. J.,"Necessary Conditions for Aggregation in Securities Markets," Journal of Financial and Quantitative Analysis (September 1978), pp.407-18.Brennan, M. J., and Kraus, A., "Efficient Signalling under Asymmetric Information," Journal of Finance, (December 1987), pp.1225-43..Constantinides, G., "Capital Market Equilibrium with Personal Tax," Econnmetrica, (May 1983), pp.611-36.Dammon, R. M., and Green, R. C., "Tax Arbitrage and Existence of Equilibrium Prices for Financial Assets," Journal of Finance, (December 1987), pp.1143-66.DeAngelo, H., and Masulis, R.W., "Optimal Capital Structure Under Corporate and Personal Taxation," Journal of Financial Economics, (March 1980), pp.3-29.Dotan, A., and Ravid, S. A., "On the Interaction of Real and Financial Decisions of the Firm under Uncertainty," Journal of Finance, (June 1985), pp.501-17.Fama, E. F., "The Effects of a Firm`s Investment and Financing Decisions on the Welfare of its Security Holders," American Economic Review, (June 1978), pp.272-84.Fama, E. F., and Miller, M. H., The Theory of Finance, New York:Holt, Rhinhart and Winston, 1972.Harris, M., and Raviv, A., "The Theory of Capital Structure," Journal of Finance, (March 1991), pp.297-355.Hite, G. L., "Leverage, Output Effects, and the M-M Theorems," Journal of Financial Economics, (March 1977), pp.177-202.Ingersoll, Jonathan E., Jr., Theory of Financial Decision Making, Rowman & Littlefield:New Jersey, 1987.Jensen, M., "Agency Cost of Free Cash Flow, Corporate Finance and Takeovers," American Economic Review, (May 1986), pp.323-29.Jensen, M., and Meckling, W., "Theory of Firm:Managerial Behavior, Agency Cost, and Capital Structure," Journal of Financial Economics, (October 1976), pp.305-60.Kraus, A., and Litzenberger, R., "A State Preference Model of Optimal Financial Leverage," Journal of Finance, (September 1973), pp.911-22.Leland, H., and Pyle, D., "Information Asymmetries, Financial Structure and Financial Intermediaries," Journal of Finance, (May 1977), pp.371-87.Lewis. C. M., "A Multiperiod Theory of Corporate Financial Policy under Taxation," Journal of Financial and Quantitative Analysis, (March 1990), pp.25-43.Modigliani, F., and Miller, M., "The Cost of Capital, Corporation Finance and the Theory of Investment," American Economic Review, (June 1958), pp.261-97.Miller, M., "The Modigliani - Miller Propositions After Thirty Years," Journal of Economic Perspectives, (Fall 1988), pp.99-120.Modigliani, F., "MM - Past, Present, Future," Journal of Economic Perspectives, (Fall 1988), pp.149-58.Myers, S., "The Determinants of Corporate Borrowing," Journal of Economic Perspectives, (1977) ,pp.147-75.—, "Interaction of Corporate Financing and Investment Decisions — Implications for Capital Budgeting," Journal of Finance, (March 1974), pp.1-25.Myers, S., and Majluf, N., "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have," Journal of Financial Economics, (June 1984), pp.187-22.Myers, S., and Porgue, G., "A Programming Approach to Corporate Financial Management," Journal of Finance, (May 1974), pp.579-99.Modigliani, F., and Miller, M., "The Cost of Capital, Corporate Finance and the Theory of Imvestment — A Correction," American Economic Review, (June 1963), pp.433-43.Miller, M., "Debt and Taxes," Journal of Finance, (May 1977), pp.261-75.Obsterberg, W. P., "Tobin`s q, Investment,and the Endogeneous Adjustment of Financial Structure," Journal of Public Economics, (September 1989), pp.293-318.Ohlson, J. A., The Theory of Financial Markets and Information, North-Holland:New York, 1987.Ravid, S. A., "On Interactions of Production and Financial Decisions, "Financial Management, (Autumn 1988), pp.87-99.Ross, S. A., "The Arbitrage Theory of Capital Asset Pricing, "Journal of Economic Theory, (December 1976a), pp.343-62.—, "The Determination of Financial Structure:The Incentive Signalling Approach, "Bell Journal of Economics, (Spring 1977), pp.23-40.—, "A Simple Approach to the Valuation of Risky Streams, "Journal of Business, (1978), pp.452-75.—, "Arbitrage and Martingales with Taxation, " Journal of Political Economics, (April 1987), pp.371-93.—, "Comment on the Modigliani - Miller Propositions, "Journal of Economic Perspectives, (Fall 1988), pp.127-33.Stiglitz, J. E., "A Re-Examation of the Modigliani - Miller Theorem, "Amercian Economic Review, (1969), pp.784-93.—, "Some Aspects of the Pure Theory of Corporate Finance:Bankruptcies and Take-Overs, "Bell Journal of Economics and Management Science, (Autumn 1972), pp.458-82.—, "On the Irrelevance of Corporate Financial Policy," Amercian Economic Review, (December 1974), pp.851-66.—, "Why Financial Structure Matters, "Journal of Economic Perspectives, (Fall 1988), pp.121-26.Takayama, Mathematical Economics, (1985).Varian, H. R.,Microeconomic Analysis, New York:W.W.Norton & Company, Inc.,(1984). 描述 博士
國立政治大學
經濟學系
000746824
81資料來源 http://thesis.lib.nccu.edu.tw/record/#G0000746824 資料類型 thesis dc.contributor.advisor 林柏生<br>汪義育 zh_TW dc.contributor.author (Authors) 李宗培 zh_TW dc.creator (作者) 李宗培 zh_TW dc.date (日期) 1992 en_US dc.date.accessioned 1-Jun-2015 11:07:22 (UTC+8) - dc.date.available 1-Jun-2015 11:07:22 (UTC+8) - dc.date.issued (上傳時間) 1-Jun-2015 11:07:22 (UTC+8) - dc.identifier (Other Identifiers) G0000746824 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75444 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 000746824 zh_TW dc.description (描述) 81 zh_TW dc.description.abstract (摘要) 本文建立一公司稅、累進個人稅、非債稅盾和破產可能之不確定經濟模型，探討公司的投資理財決策行為。和以前文獻最大的不同點，在於公司風險債利率水準明顯且完全的內生化處理，此內生化利率不僅受公司舉債額度的財務決策影響，也會反應公司現行投資或資本存量的實質決策，模型中的財務和實質決策具有完全互動之特性。累進個人稅下，只要存在一組投資人間的邊際稅率結構，能排除套稅資產配置，則市場無套稅價格和競爭均衡便存在。此一結果，使本文模型中的資產評價得以建立於競爭財務市場均衡的基礎。市場均衡下，公司債利率會隨公司舉債額度而同向、投資額度而反向調整，此時股東與債權人間的代理成本問題完全消失、市場具有公平保護債權人的機能。如果公司債利率外生而無法依市場均衡評價，則由於代理成本問題存在，使公司最適投資相對低於、舉債額度則高於利率內生之最適水準。另外，傳統一些稅制分析法的資本結構決定理論，只是本文之特例。稅盾變化，如投資減免率或定額減免等，對公司最適投資和舉債的影響，除以前文獻之結果外，還包含一利率回饋效果，後者可能改變以前文獻之結論。例如，本文發現獎勵投資之折舊率或投資扣抵的政策美意，可能反而造成抑制投資的結果，本文這部分之結論，或可提供有關公司資本結構決定之實證研究新的詮釋，另外在稅制設計上亦具政策上的含意。 zh_TW dc.description.tableofcontents 第一章 緒 論第二章 文獻回顧和比較第一節 資本結構決定理論之緣起和發展第二節 投資和財務決策互動之理論發展和評述第三節 本文模型與相近文獻比較第三章 無套稅評價第一節 假設條件第二節 無套稅評價與隱含或有狀況價格泛函數 ─ 固定之個人稅率第三節 無套稅條件與財務市場均衡 ─ 累進稅率附 註第四章 投資理財決策模型第一節 假設條件第二節 評價模式第三節 最適決策第四節 破產成本第五章 稅制環境變化對資本結構的影響第一節 公司價值最大化的比較靜態第二節 股東權益最大化的比較靜態附註第六章 結論數學附錄 一.數學附錄 二. zh_TW dc.format.extent 19818360 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0000746824 en_US dc.subject (關鍵詞) 財務決策 zh_TW dc.subject (關鍵詞) 投資決策 zh_TW dc.subject (關鍵詞) 稅盾效果 zh_TW dc.subject (關鍵詞) 破產成本 zh_TW dc.subject (關鍵詞) 最適資本結構 zh_TW dc.subject (關鍵詞) financial decision en_US dc.subject (關鍵詞) investment decision en_US dc.subject (關鍵詞) tax shield effect en_US dc.subject (關鍵詞) bankruptcy cost en_US dc.subject (關鍵詞) optimal capital structure en_US dc.title (題名) 公司投資理財決策理論 zh_TW dc.title (題名) The Theory of Financial and Investment Decision en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 陳明道、李宗培和林綸,"稅對資本結構之影響—臺灣稅制的探討," 未發表,(民80年)Alberts, W. A.,and Hite, G. L., "The Modigliani - Miller Leverage Equation Considered in a Product Market Context," Journal of Financial and Quantitative Analysis, (December 1983), pp.425-37.Baxter, N., "Leverage, Risk of Ruin and Cost of Capital," Journal of Finance, (September 1967), pp.395-403.Bhattacharya, S.,"Corporate Finance and the Legacy of Miller and Modigliani," Journal of Economic Perspectives, (Fall 1988), pp.135-47.Blazenko, G.,"Managerial Preference, Asymmetric Information, and Financial Structure," Journal of Finance, (September 1987), pp.839-62.Brander, J., and Lewis, T.R., "Oligopoly and Financial Structure: The Limited Liability Effect," American Economic Review, (December 1986), pp.956-70.Brennan, M. J.,"Necessary Conditions for Aggregation in Securities Markets," Journal of Financial and Quantitative Analysis (September 1978), pp.407-18.Brennan, M. J., and Kraus, A., "Efficient Signalling under Asymmetric Information," Journal of Finance, (December 1987), pp.1225-43..Constantinides, G., "Capital Market Equilibrium with Personal Tax," Econnmetrica, (May 1983), pp.611-36.Dammon, R. M., and Green, R. C., "Tax Arbitrage and Existence of Equilibrium Prices for Financial Assets," Journal of Finance, (December 1987), pp.1143-66.DeAngelo, H., and Masulis, R.W., "Optimal Capital Structure Under Corporate and Personal Taxation," Journal of Financial Economics, (March 1980), pp.3-29.Dotan, A., and Ravid, S. A., "On the Interaction of Real and Financial Decisions of the Firm under Uncertainty," Journal of Finance, (June 1985), pp.501-17.Fama, E. F., "The Effects of a Firm`s Investment and Financing Decisions on the Welfare of its Security Holders," American Economic Review, (June 1978), pp.272-84.Fama, E. F., and Miller, M. H., The Theory of Finance, New York:Holt, Rhinhart and Winston, 1972.Harris, M., and Raviv, A., "The Theory of Capital Structure," Journal of Finance, (March 1991), pp.297-355.Hite, G. L., "Leverage, Output Effects, and the M-M Theorems," Journal of Financial Economics, (March 1977), pp.177-202.Ingersoll, Jonathan E., Jr., Theory of Financial Decision Making, Rowman & Littlefield:New Jersey, 1987.Jensen, M., "Agency Cost of Free Cash Flow, Corporate Finance and Takeovers," American Economic Review, (May 1986), pp.323-29.Jensen, M., and Meckling, W., "Theory of Firm:Managerial Behavior, Agency Cost, and Capital Structure," Journal of Financial Economics, (October 1976), pp.305-60.Kraus, A., and Litzenberger, R., "A State Preference Model of Optimal Financial Leverage," Journal of Finance, (September 1973), pp.911-22.Leland, H., and Pyle, D., "Information Asymmetries, Financial Structure and Financial Intermediaries," Journal of Finance, (May 1977), pp.371-87.Lewis. C. M., "A Multiperiod Theory of Corporate Financial Policy under Taxation," Journal of Financial and Quantitative Analysis, (March 1990), pp.25-43.Modigliani, F., and Miller, M., "The Cost of Capital, Corporation Finance and the Theory of Investment," American Economic Review, (June 1958), pp.261-97.Miller, M., "The Modigliani - Miller Propositions After Thirty Years," Journal of Economic Perspectives, (Fall 1988), pp.99-120.Modigliani, F., "MM - Past, Present, Future," Journal of Economic Perspectives, (Fall 1988), pp.149-58.Myers, S., "The Determinants of Corporate Borrowing," Journal of Economic Perspectives, (1977) ,pp.147-75.—, "Interaction of Corporate Financing and Investment Decisions — Implications for Capital Budgeting," Journal of Finance, (March 1974), pp.1-25.Myers, S., and Majluf, N., "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have," Journal of Financial Economics, (June 1984), pp.187-22.Myers, S., and Porgue, G., "A Programming Approach to Corporate Financial Management," Journal of Finance, (May 1974), pp.579-99.Modigliani, F., and Miller, M., "The Cost of Capital, Corporate Finance and the Theory of Imvestment — A Correction," American Economic Review, (June 1963), pp.433-43.Miller, M., "Debt and Taxes," Journal of Finance, (May 1977), pp.261-75.Obsterberg, W. P., "Tobin`s q, Investment,and the Endogeneous Adjustment of Financial Structure," Journal of Public Economics, (September 1989), pp.293-318.Ohlson, J. A., The Theory of Financial Markets and Information, North-Holland:New York, 1987.Ravid, S. A., "On Interactions of Production and Financial Decisions, "Financial Management, (Autumn 1988), pp.87-99.Ross, S. A., "The Arbitrage Theory of Capital Asset Pricing, "Journal of Economic Theory, (December 1976a), pp.343-62.—, "The Determination of Financial Structure:The Incentive Signalling Approach, "Bell Journal of Economics, (Spring 1977), pp.23-40.—, "A Simple Approach to the Valuation of Risky Streams, "Journal of Business, (1978), pp.452-75.—, "Arbitrage and Martingales with Taxation, " Journal of Political Economics, (April 1987), pp.371-93.—, "Comment on the Modigliani - Miller Propositions, "Journal of Economic Perspectives, (Fall 1988), pp.127-33.Stiglitz, J. E., "A Re-Examation of the Modigliani - Miller Theorem, "Amercian Economic Review, (1969), pp.784-93.—, "Some Aspects of the Pure Theory of Corporate Finance:Bankruptcies and Take-Overs, "Bell Journal of Economics and Management Science, (Autumn 1972), pp.458-82.—, "On the Irrelevance of Corporate Financial Policy," Amercian Economic Review, (December 1974), pp.851-66.—, "Why Financial Structure Matters, "Journal of Economic Perspectives, (Fall 1988), pp.121-26.Takayama, Mathematical Economics, (1985).Varian, H. R.,Microeconomic Analysis, New York:W.W.Norton & Company, Inc.,(1984). zh_TW
