不確定性與資本結構：臺灣上市上櫃公司實證研究

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何思慧(Szu-Hui Ho) 查詢紙本館藏

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產業經濟研究所

論文名稱

不確定性與資本結構：臺灣上市上櫃公司實證研究
(Uncertainty and Capital Structure: An Empirical Study of Listed and OTC Companies in Taiwan)

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至系統瀏覽論文 (2028-2-16以後開放)

摘要(中)

本研究運用臺灣上市上櫃公司財務數據，探討不確定性與資本結構之間的關聯性。資料取自臺灣經濟新報(TEJ)資料庫，使用2008年至2022年，共15年期間數據進行實證分析。文中使用系統性動差法(system generalized method of moments, system GMM)估計，以資產波動性(asset volatility)作為不確定性衡量指標。實證結果顯示，當使用資產波動性將公司分為高、低不確定性公司時，高不確定性公司之帳面(市場)槓桿相比低不確定性公司來的低，平均差異為-3.515(-4.921)%，而不確定性對公司帳面槓桿為負向顯著影響，對市場槓桿則為正向顯著影響，公司規模、市場對帳面價值比率及資產有形性亦為影響資本結構的重要因素。
　　此外，在二階段最小平方迴歸(two-stage least squares, 2SLS)模型估計下，檢測了不確定性透過稅盾效果、財務危機及代理問題對資本結構產生之影響。結果顯示，不確定性的增加會加劇公司潛在的財務危機成本，減緩股東與經理人之間的利益衝突，從而導致公司具有較低的槓桿率。
　　在額外分析上，使用一階自我迴歸模型(first-order autoregressive model, AR(1))檢測是否存在融資順位理論及市場擇時理論下，不確定性對資本結構的不同影響，結果亦顯示與系統性動差法估計結果一致。藉由實證結果，本研究分析出臺灣上市上櫃公司在應對公司層面的不確定性時，所調整槓桿之方向，以及透過不同中介途徑對槓桿之影響。

摘要(英)

This study utilizes financial data from listed and over-the-counter(OTC) companies in Taiwan to investigate the relationship between uncertainty and capital structure. The data is sourced from the Taiwan Economic Journal (TEJ) database and covers a 15-year period from 2008 to 2022 for empirical analysis. The study employs the System Generalized Method of Moments (system GMM) for estimation, using asset volatility as a measure of uncertainty.
　　The empirical results reveal that when companies are categorized into high and low uncertainty groups using asset volatility, high uncertainty firms exhibit lower book(market) leverage compared to low uncertainty firms, with an average difference of -3.515(-4.921)%, respectively. Uncertainty has a significant negative impact on firms′ book leverage and a significant positive impact on market leverage. Firm size, market-to-book ratio, and asset tangibility are also identified as important factors influencing capital structure.
　　Furthermore, under the two-stage least squares (2SLS) regression model, the study examines the significant effects of uncertainty on capital structure through tax shield effects, financial distress, and agency problems. The results show that an increase in uncertainty exacerbates potential financial distress costs for companies and mitigates conflicts of interest between shareholders and managers, leading to lower leverage for firms.
　　In additional analyses, a first-order autoregressive model(AR(1)), was employed to examine whether there exists differential impact of uncertainty on capital structure under the pecking order theory and market timing theory. The results also demonstrated consistency with the estimates obtained through the system generalized method of moments. Based on the empirical results, this study analyzes the direction in which Taiwan-listed and OTC companies adjust leverage in response to firm-level uncertainty and the methods through different mediating mechanisms that impact leverage.

關鍵字(中)

★ 不確定性
★ 資本結構
★ 稅盾效果
★ 財務危機
★ 代理問題

關鍵字(英)

★ Uncertainty
★ Capital Structure
★ Tax Shields
★ Financial Distress
★ Agency Problems

論文目次

一、緒論1
1-1 研究背景與動機1
1-2 研究目的與架構3
二、文獻回顧5
2-1 資本結構相關理論5
2-2 不確定性與資本結構關聯實證13
三、資料來源與變數說明16
3-1 資料來源16
3-2 變數定義與說明17
四、研究方法21
4-1 系統性動差法21
五、實證結果與分析23
5-1 敘述性統計23
5-2 Pearson相關係數分析23
5-3 不確定性與資本結構關連性26
5-4 內生性處理30
5-5 不確定性影響資本結構途徑33
5-6 額外分析39
六、結論與研究限制42
6-1 結論42
6-2 研究限制與建議43
參考文獻44

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指導教授

蔡明宏蔡栢昇(MIn-Hung Tsay Pak-Sing Choi)

審核日期

2023-11-15

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