現金流量不確定性與極端風險關連：跨國證據

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姓名

吳藺曇(Lin-Tan Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

現金流量不確定性與極端風險關連：跨國證據
(The Relationship between Cash Flow Uncertainty and Extreme Risk: International Evidence)

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至系統瀏覽論文 (2027-6-30以後開放)

摘要(中)

本研究旨在調查國際上現金流量不確定性與股價崩盤風險之間的關係，樣本來自於22個國家的所有上市櫃公司，我們發現現金流的不確定性越高崩盤風險就越高，也證實在不同地區、行業與子樣本中該關連都顯著地存在；此外，現金流量不確定性與崩盤風險之間的正相關在競爭激烈的行業和經濟政策不確定性較高的國家更明顯。最後，本文使用聯立方程式和兩階段最小平方法來解決內生問題。總體而言，研究結果可提供投資者、公司和監管機構有效的政策意涵。

摘要(英)

This study investigates the relationship between cash flow uncertainty and stock price crash risk. Using a large sample that includes firms from 22 countries, we find a higher cash flow uncertainty leads to a higher crash risk for firms. The empirical results also indicate that cash flow uncertainty increases crash risk in most regions, industries, and other subsamples. Furthermore, this positive association between cash flow uncertainty and crash risk is more pronounced for firms in highly competitive industries and those in countries with higher economic policy uncertainty. We use simultaneous equation and two-stage least squares regression methods to address endogenous concerns. Overall, our findings have useful policy implications for investors, firms, and regulators.

關鍵字(中)

★ 現金流量不確定性
★ 崩盤風險
★ 產業競爭
★ 經濟政策不確定性

關鍵字(英)

★ Cash flow uncertainty
★ Crash risk
★ Industry competition
★ Economic policy uncertainty

論文目次

摘要 i
Abstract ii
誌謝 iii
Table of Contents iv
List of Tables vi
1. Introduction 1
2. Literature Review and Hypotheses 3
3. Data and Variables 7
3.1. Data 7
3.2. Estimation of firm’s cash flow uncertainty 8
3.3. Crash risk calculation 10
3.4. Control variables 11
4. Methodology 12
5. Empirical Results 14
5.1. Descriptive statistics 14
5.2. Correlation matrix 15
5.3. The effect of CFU on crash risk 15
5.4. The effect of CFU on crash risk in different regions 16
5.5. The effect of CFU on crash risk in different industries 17
5.6. Industry concentration interacts with the effects of CFU on crash risk 18
5.7. EPU interacts with the effects of CFU on crash risk 19
5.8. The effect of CFU on crash risk under different earnings management levels 21
6. Robustness Tests 21
6.1. Endogeneity problem: Simultaneous equation models 21
6.2. Endogeneity problem: Instrumental variables 23
7. Conclusion 25
Appendix A 27
Appendix B 28
Appendix C 28
Appendix D 29
Reference 30

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指導教授

王志瑋(Chih-Wei Wang)

審核日期

2023-7-13

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