臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：公司系統性風險與會計變數關聯性之研究
作者：邱垂昌 引用關係
作者(外文)：Chei-Chang Chiou
校院名稱：國立政治大學
系所名稱：會計學系
指導教授：蘇瓜藤
林祖嘉
學位類別：博士
出版日期：2002
主題關鍵詞：系統性風險；總槓桿程度；營運槓桿度；財務槓桿度；盈餘；股利；systematic risk；degree of total leverage；degree of operating leverage；degree of financial leverage；earnings；dividend
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:39
本研究旨在探討公司系統性風險與會計變數之關聯性。影響公司系統性風險之因素應包括公司內部因素與公司外部總體經濟因素，但過去文獻並未完全涵蓋到，致使其模式解釋力皆不高。為彌補過去文獻之不足，本研究先以理論推導方式將公司內部與外部因素納入系統性風險模式中，再以實證資料驗證之。
模型推導結果顯示，影響系統性風險之因素包括公司盈餘、營運槓桿度、財務槓桿度、帳面價值、股利、市場組合報酬率、無風險報酬率，以及其他總體經濟因素等。理論推導結果產生三大主要命題：
1.在公司前期盈餘為正及當期銷貨成長率為正，以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時，公司當期總槓桿程度（營運槓桿度與財務槓桿度之乘積）對系統性風險具有正向影響。
2.在公司前期盈餘為正，以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時，公司當期每股現金股利對系統性風險具有正向影響。
3.當公司當期銷貨成長率為正時，營運槓桿度與財務槓桿度為正向相關；但當公司當期銷貨成長率為負時，營運槓桿度與財務槓桿度具有抵換關係。
根據上述命題，本研究設立三項假說。第一，公司總槓桿程度對系統性風險具有正向影響，而營運槓桿度與財務槓桿度對系統性風險之影響皆為正向（或負向）。第二，公司發放現金股利對系統性風險具有正向影響。第三，在系統性風險與盈餘皆不變的額外前提下，當銷貨成長率為負時，營運槓桿度與財務槓桿度具有抵換關係；當銷貨成長率為正時，營運槓桿度與財務槓桿度為正相關。
實證結果部分支持上述三項假說。首先，公司總槓桿程度、財務槓桿度及現金股利皆對系統性風險具有顯著正向影響。因此，公司可利用降低總槓桿程度、財務槓桿度及減少現金股利之策略來減低系統性風險。其次，市場組合報酬、通貨膨脹率及國民生產毛額成長率等總體經濟因素，對系統性風險皆具有負向顯著影響。此結果說明導致公司系統性風險上升之因素應該包括公司內部與外部因素。因此，公司欲降低風險時，除了利用總槓桿程度、財務槓桿度與股利政策外，尚須考慮其他總體經濟變化。最後，實證結果亦顯示，當公司正處於銷貨成長時期，以追求成長為目標，可能同時面臨高營運風險與高財務風險。然而，在銷貨衰退時，公司卻不必然會以風險控管為目標。因此，營運槓桿度與財務槓桿度並不存在抵換關係。
This thesis examines the relationship between firm systematic risk and accounting variables. Potential determinants of firm systematic risk theoretically include accounting and macroeconomic variables, but prior research only explored part of them and most models yielded low explanatory power. This research analytically derives and empirically verifies a model of firm systematic risk.
The analytical results suggest that determinants of systematic risk at least include earnings, the degree of operating leverage, the degree of financial leverage, book value, dividend, market-portfolio return, risk-free return and other macroeconomic variables. Three main propositions are therefore derived as follows.
1. When a firm’s prior year earnings and current year sales growth are both positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its degree of total leverage, defined as the product of degree of operating leverage and degree of financial leverage, has a positive effect on its systematic risk.
2. When a firm’s prior year earnings is positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its current cash dividend has a positive effect on its systematic risk.
3. When a firm’s current year sales growth is positive (negative), its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
Three hypotheses are then tested empirically. First, a firm’s degree of total leverage has a positive effect on its systematic risk; and its degree of operating leverage and degree of financial leverage both have a positive (or both negative) effect on its systematic risk. Second, a firm’s cash dividend has a positive effect on its systematic risk. Third, if a firm’s sales growth is positive (negative) without any change in its systematic risk or earnings, then its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
The empirical results provide partial support for the above hypotheses. First, the degree of total leverage, degree of financial leverage, and cash dividend each has a positive effect on the systematic risk. Therefore, a firm can reduce its systematic risk by lowering its degree of total leverage, degree of financial leverage and the cash dividend. Second, macroeconomic factors such as the market-portfolio return, inflation and GNP growth have a negative effect on the systematic risk. Hence, a firm attempting to control its systematic risk should consider the changes of macroeconomics besides the leverage and dividend policy. Finally, a firm with growing sales takes a high degree of operating leverage and financial leverage, but a firm does not necessarily take a high (low) degree of operating leverage and a low (high) degree of financial leverage as target when its sales are declining. In other words, these two leverages have no offset relationship.
參考文獻
一、 中文部分
王麗惠，1988，公司財務結構對股票系統風險之影響，國立中山大學企業管理研究所未出版碩士論文。
王元章，1995，台灣地區股票上市公司系統風險與營運槓桿、財務槓桿及真實營運風險要素間關係的實證研究，國立中正大學財務金融研究所國科會專案。
方凌峰，1997，財務槓桿與營運槓桿之抵換關係─以日本上市公司為例，國立交通大學管理科學研究所未出版碩士論文。
江淑玲，1990，公司財務流動能力與風險結構關係之研究，東吳大學會計學研究所未出版碩士論文。
李先莉，1995，營運槓桿與財務槓桿抵換之實證研究，國立交通大學管理科學研究所未出版碩士論文。
李又剛與戴毓慧，1997，剖析開放外資對國內股市系統性風險之結構所造成的影響（上），企銀季刊，第21卷，第1期：54-69。
李又剛與戴毓慧，1997，剖析開放外資對國內股市系統性風險之結構所造成的影響（下），企銀季刊，第21卷，第2期：81-94。
林炯垚，1990，財務管理理論與實務，台北：華泰書局。
徐守德與蘇弘哲，1997，跨國企業營運風險分析，產業金融季刊，第94期：2-15頁。
姜清海，1988，營運槓桿度與財務槓桿度與系統風險間的交互關連之研究，國立台灣工業技術研究院工程技術研究所未出版碩士論文。
張錫芬，1989，槓桿作用程度與股票系統風險關連之研究，國立交通大學管理科學研究所未出版碩士論文。
黃惠君，1995，公司上市前後盈餘操縱與上市後營運績效及盈餘操縱動機之關聯性研究，國立台灣大學會計學研究所未出版碩士論文。
蕭富仁，1987，營運槓桿與財務槓桿抵換之研究─台灣與美國的實證比較，國立交通大學管理科學研究所未出版碩士論文。
薛健宏，1999，營業槓桿度估計模式之變數修正與成本結構分析法應用之研究－以石化業為例，私立東海大學管理研究所未出版碩士論文。
薛健宏，2001，不同營運槓桿度之衡量與系統性風險關聯性之實證研究，國立成功大學第三屆亞太管理學術研討會：16-27。
二、 英文部分
Abell, J. D., and T. M. Krueger. 1989. Macroeconomic influences on beta. Journal of Economics and Business 41 (May): 185-193.
Beaver, W. H., and J. Manegold. 1975. The association between market-determined and accounting-determined measures of systematic risk: Some further evidence. Journal of Financial and Quantitative Analysis 10 (June): 231-284.
───, P. Kettler, and M. Scholes. 1970.The association between market- determined and accounting-determined Risk measures. The Accounting Review 45 (October): 654-682.
Bernard, V. L. 1995. The Feltham-Ohlson framework: Implications for empiricists. Contemporary Accounting Research 11 (Spring): 733-747.
Blazenko, G. W. 1996. Corporate leverage and the distribution of equity returns. Journal of Business Finance and Accounting 23 (October): 1097-1120.
Breeden, D. T., M. R. Gibbons, and R. H. Litzenberger. 1989. Empirical tests of the consumption-oriented CAPM. Journal of Finance 44 (June): 231-261.
Brenner, M., and S. Smidt. 1978. Asset characteristics and systematic risk. Financial Management 7 (Winter): 33-39.
Brigham, E. F. 1986. Fundamentals of Financial Management, 4th Edition. New York: CBS College Publishing.
Breusch, T., and A. Pagan. 1979. A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47: 1287-1294.
Burgstahler, D., and I. Dichev. 1997. Earnings, adaptation and equity value. The Accounting Review 72 (April): 187-215.
Chow, G. C. 1960. Tests of Equity between Sets of Coefficients in Two Linear Regressions. Econometrica 28 (July): 591-605.
Copeland, T. E., and J. F. Weston. 1992. Financial Theory and Corporate Policy. 3rd Edition. New York: Addison-Wesley Publishing Company.
Corgel, J. B., and C. Djoganopoulos. 2000. Equity REIT beta estimation. Association for Investment Management and Research (January/February): 70-79.
Darrat, A. F., and T. K. Mukherjee. 1995. Inter-industry differences and the impact of operating and financial leverages on equity risk. Review of Financial Economics 4 (Spring): 141-155.
Durand, D. 1957. Bank stock prices and the bank capital problem. New York: National Bureau of Economic Research, Occasional Paper 54.
Dotan, A., and S. A. Ravid. 1985. On the interaction of real and financial decisions of the firm under uncertainty. The Journal of Finance 2 (June): 501-517.
Dugan, M. T., D. H. Minyard, and K. A. Shriver. 1994. A re-examination of the operating leverage-financial leverage tradeoff hypothesis. The Quarterly Review of Economics and Finance 34 (Fall): 327-334.
───, and K. A. Shriver. 1989. The effects of estimation period, indus- try, and proxy on the calculation of the degree of operating leverage. The Financial Review 24 (February): 109-122.
───, and ───.1992. An empirical comparison of alternative methods for the estimation of the degree of operating leverage. The Financial Review 27 (May): 309-321.
Fama, E. F. 1974. The empirical relationship between the dividend and investment decision of firms. The American Economic Review 64 (June): 304-318.
───. 1998. Determining the number of pricing state variables in the ICAPM. Journal of Financial and Quantitative Analysis 33 (June): 217-231.
Feltham, G. A., and J. A. Ohlson. 1995. Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research 11 (Spring): 689-731.
Ferri, M. G., and W. H. Jones. 1979. Determinants of financial structure: A new method logical approach. Journal of Finance 34 (June): 631-644.
Flood, E. J., and D. R. Lessard. 1986. On the measurement of operating exposure to exchange rates: A conceptual approach. Financial Management 15 (Spring): 25-36.
Gahlon, J. M., and J. A. Gentry. 1982. On the relationship between systematic risk and the degrees of operating and financial leverage. Financial Management 11 (Summer): 15-23.
Gangemi, M. A. M., R. D. Brooks, and R. W. Faff. 2000. Modeling Australia’s country risk: A country beta approach. Journal of Economics and Business 52 (May/June): 259-276.
Gonedes, N. J. 1973. Evidence on the information content of accounting number: Accounting-based and market-based estimates of systematic risk. Journal of Financial and Quantitative Analysis 8 (June): 407-443.
Hagiwara, M. and M. A. Herce. 1997. Risk aversion and stock price sensitivity to dividends. The American Economic Review 87 (September): 739-745.
Hamada, R. S. 1969. Portfolio analysis, market equilibrium and corporation finance. Journal of Finance 24 (March): 13-31.
───.1972. The effects of the firms capital structure on the systematic risk of common stock. Journal of Finance 27 (May): 435-452.
Higgins, R. C. 1977. How much growth can a firm afford ? Financial Management 6 (Fall): 21-40.
Hill, N. C., and B. K. Stone. 1980. Accounting beta, systematic operating risk, and financial leverage: A risk-composition approach to the determinants of systematic risk. Journal of Financial and Quantitative Analysis 15 (September): 595-637.
Huffman, L. 1983. Operating leverage, financial leverage, and equity risk. Journal of Banking and Finance 7 (June): 197-212.
Huffman, S. P. 1989. The impact of the degrees of operating and financial leverage on the systematic risk of common stocks: Another look. Quarterly Journal of Business and Economics 28 (Winter): 83-100.
Kim, W. S., and E. H. Sorensen. 1986. Evidence on the impact of the agency costs of debt on corporate debt policy. Journal of Financial and Quantitative Analysis 21 (June): 131-144.
Lev, B. 1974. On the association between operating leverage and risk. Journal of Financial and Quantitative Analysis 9 (September): 627-641.
Li, R. J., and G. V. Henderson. 1991. Combined leverage and stock risk. Quarterly Journal of Business and Economics 30 (Winter): 18-39.
Liang, B. 2000. Portfolio formation, measurement errors, and beta shifts: A random sampling approach. The Journal of Financial Research 3 (Fall): 261-284.
Lord, R. A. 1998. Properties of time-series estimates of degree of leverage measures. The Financial Review 33 (May): 69-84.
Manderlker, G. N., and S. G. Rhee. 1984. The impact of the degrees of operating and financial leverage on systematic risk of common stock. Journal of Financial and Quantitative Analysis 19 (March): 45-57.
Mao, J.C.T. 1969. Quantitative Analysis of Financial Decisions. New York: Collier-MacMillan Canada, Ltd.
Marsh, P. 1982. The choice between equity and debt: An empirical study. Journal of Finance 37 (March): 121-144.
Marshall, D. A. and N. G. Parekh. 1999. Can costs of consumption adjustment explain asset pricing puzzles? Juornal of Finance 54 (April): 623-655.
McCabe, G. M. 1979. The empirical relationship between investment and financing: A new look. Journal of Financial and Quantitative Analysis 14 (March): 119-135.
McDonald, J. G., B. Jacqillat, and M. Nussenbaum. 1975. Dividend, investment and financial decisions: Empirical evidence on French firms. Journal of Financial and Quantitative Analysis 5 (December): 741-755.
Mensah, Y. M. 1992. Adjusted accounting beta, operating leverage and financial leverage as determinants of market beta: A synthesis and empirical evaluation. Review of Quantitative Finance and Accounting 2 (June): 187-203.
Miller, M. H. and F. Modigliani. 1961. Dividend policy, growth, and the valuation of shares. Journal of Business 34(October): 411-433.
Modigliani, F., and M. H. Miller. 1958. The cost of capital, corporation finance and the theory of investment. American Economic Review 48 (June): 261-297.
Myers, S. C. 1977. The relation between real and financial measure of risk and return. Forthcoming in J. Bicksler and I. Friend, eds., Studies in Risk and Return (Cambridge: Ballinger Publishing Company).
O’Brien, T. J., and P. A. Van Her Heiden. 1987. Empirical measurement of operating leverage for growing firms. Financial Management 16 (Summer): 45-53.
Ohlson, J. A. 1995. Earnings, book Value, and dividends in security valuation. Contemporary Accounting Research 11 (Spring): 661-687.
Peterson, P. P., and G. A. Benesh. 1983. A reexamination of the empirical relationship between investment and financing decisions. Journal of Financial and Quantitative Analysis 18 (December): 439-453.
Prezas, A. P. 1987. Effects of debt on the degrees of operating and financial leverage. Financial Management 16 (Summer): 39-44.
Rosenberg, B., and W. M. McKibben. 1973. The prediction of systematic and specific risk in common stocks. Journal of Financial and Quantitative Analysis 8 (March): 317-333.
Ross, S. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13 (December): 341-361.
Rubinstein, M. E. 1973. A mean-variance synthesis of corporate financial theory. Journal of Finance 28 (March): 167-182.
Rubio, G. 1989. An empirical evaluation of the intertemporal capital asset pricing model: The stock market in Spain. Journal of Business Finance and Accounting 16 (Winter): 729-743.
Sharpe, W. F., J. Lintner, and J. Mossin. 1965. The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47 (February): 13-37.
Thompson, D. J. 1978. Sources of systematic risk in common stocks. Journal of Business 40 (April): 173-188.
Turtle, H., A. Buse, and B. Korkie. 1994. Tests of conditional asset pricing with time-varying moments and risk prices. Journal of Financial and Quantitative Analysis 29 (March): 15-29.
Van Horne, J. C. 1977. Financial Management and Finance, 4th Edition. Englewood Cliffs, NJ: Prentice Hall, Inc.
Weston, J. F., and T. E. Copeland. 1986. Managerial Finance. New York： CBS College Publishing.
White, H. 1980. A heteroskedasiticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48(4): 817-838.new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：719（臺灣：717，外國：2） ／ 本年度總使用人次：1972506 ／ 訪客人次（自102年09月）：67769766
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上