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題名：獲利能力與股市績效對公司融資行為的影響—分位數迴歸法之應用
作者：鄭敏聰
作者(外文)：MIN-TSUNG CHENG
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
學位類別：博士
出版日期：2007
主題關鍵詞：分位數迴歸；融資行為；Quantile regression；financing behavior
原始連結：連回原系統網址new window
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以往探討資本結構相關文獻，常以普通最小平方法進行實證研究，然而當研究資料屬於非對稱性及存在偏離值的時候，使用普通最小平方法將可能使得研究結果不夠精確，甚至可能產生偏誤。
因此本文參考近期Fattouh et al.(2005)所發表對南韓上市公司資本結構的研究，以分位數迴歸法進行研究，以有效提升論文的可讀性及實證結果的精確性。
本文實證研究共分三大部分，茲分述如下：
第一部分:負債融資與權益融資間為互補關係的假設檢定
財務資源分配是否得宜端視公司融資策略是否成功而定。理論上，公司負債融資與權益融資間存在何種關係呢？檢視財務方面有關資本結構理論的實證文獻發現，負債融資與權益融資間關係存在二種不同看法，其一認為二者間屬於替代關係，另一認為二者間為互補關係。Hovakimian et al.(2004)即認為負債與權益融資融資間互為替代關係，Mehar(2005)則認為負債與權益融資間互為互補的關係。由於傳統財務理論普遍認為負債與權益融資融資間互為替代關係，文獻上較少探討負債融資與權益融資間關係
這方面的問題，因此，本論文參考Mehar(2005)的研究，實證檢視負債融資與權益融資的關係為何，以確實釐清二者關係而作為後續研究的參考
實證結果顯示，由於依變數「權益融資」呈顯著右偏情形，因此由最小平方法估計結果與分位數迴歸所得結果並不相同。首先，由最小平方法估計結果顯示負債融資與權益融資二者之關係接近無關。其次，分位數迴歸所得結果顯示，在高分位處負債融資與權益融資二者間為接近完全互補關係，表示「高度權益融資公司，負債融資與權益融資二者間為接近完全互補關係」。
第二部分:獲利能力與股票報酬對公司負債比率具顯著負向影響的假設檢定
過去有許多研究發現獲利能力與股票報酬對公司負債比率具有顯著的影響，而許多研究對資本結構相關理論的驗證結果卻不盡一致。多數的研究學者採用同一年度僅使用一種融資工具之單一融資的觀念選擇樣本，Hovakimian et al.(2004)提出了公司在同一年度內同時採行權益融資及負債融資二種融資工具的雙重發行 (dual issues)的觀念，強調以雙重發行公司為研究對象，較能檢驗出獲利能力與股票報酬二者對公司負債比率的影響。本論文延續Hovakimian et al.(2004)的研究，以雙重發行公司為研究對象探討獲利能力及股票報酬對負債比率的影響。
實證結果顯示，由於依變數「負債比率」呈些微右偏情形，因此由最小平方法估計結果與分位數迴歸所得結果並不相同。首先，由最小平方法估計結果顯示股票報酬對公司負債比率具有顯著的負向影響，而獲利能力對公司負債比率具有不顯著的負向影響。其次，分位數迴歸實證結果顯示，獲利能力對公司負債比率具有顯著的負向影響，而除了高度舉債的公司族群外，股票報酬對負債比率具顯著負向影響。
第三部分:負債比率及負債融資對經營績效具負向影響的假設檢定
由於歷來探討公司資本結構的文獻，通常局限於對其資本結構影響因素的探討，而卻忽略在公司選擇資本結構之後續影響，有鑒於此，本文將參考Kadapakkam et al.(2004)的研究，在理論驗證後繼續實證檢定公司對資本結構的安排對營運績效的影響，以使研究更臻完善。
實證結果顯示，由於依變數「營業而來現金流量」呈些微左偏情形，因此由最小平方法估計結果與分位數迴歸所得結果並不相同。首先，由最小平方法估計結果顯示負債比率及負債融資二變數對營業而來現金流量具顯著負向影響。其次，分位數迴歸證實發現，公司的負債比率對營業而來現金流量具顯著負向影響，而除了高營業而來現金流量公司外，負債融資對營業而來現金流量具顯著負向影響。
Most of the empirical literature on capital structure employs the ordinary least squares (OLS) techniques. But under certain circumstances, such as the asymmetric distribution of data or the existence of outliers, the OLS technique will not be robust; it might even yield inefficiency or biased estimators.
This study, therefore, by following Fattouh et al. (2005), who applies quantile regression to the capital structure of listed companies in South Korea, expects to draw strong inferences and shed light on the issue of corporate financing.
The empirical research in this study of corporate financing behaviors is subsumed three subsets of hypothesis tests: complements between debt financing and equity financing, the hypothesis of significantly negative effects of profitability and market performance on corporate debt ratio, and negative effects of debt ratio and debt financing on operating performance.
1. Complements between debt financing and equity financing
Effective allocation of financing sources relies on the extent to which the corporate financing strategy was successful. What is the theoretical relationship between debt financing and equity financing? The literature on capital structure considers either substitutive or complementary financing sources. Hovakimian et al. (2004) assume that debt can substitute for equity; to the contrary, Mehar (2005) argues that debt and equity are complementary sources of finance. Whereas the majority of traditional financing theories assumes but rarely testifies the relationship of substitution, this study seeks to demarcate two competing explanations, adopting Mehar (2005) to attest the extent of association between debt financing and equity financing.
The findings from OLS and quantile regression are discrepant in that the equity financing, as a proxy of the dependent variable, is significantly skewed to the right. First, the well-nigh irrelevant relationship between debt and equity is shown in the OLS analysis. Second, the findings from quantile regression indicate that at high quantiles which characterizes high-equity financing firms, debt and equity are close to be perfect complements.
2. Significantly negative impacts of profitability and market performance on corporate debt ratio
Profitability and market performance have been widely perceived in the literature as the decisive determinants of corporate financing behavior, yet the evidence to verify this hypothesis of capital structure theory is inconclusive. The inference may be due to the choice of samples that consist of companies using a single financing concept, either debt or equity, within the same fiscal year. To compensate, this study adopts Hovakimian’s concept of “dual issues” in corporate financing behavior (2004). By making the practice of a firm issuing both debt and equity in the same fiscal year as the basis for sample classification, it can explicitly attest the corporate financing behavior. Derived from Hovakimian et al. (2004), this study considers dual issuers as observations to investigate the effects of profitability and market performance on debt ratio.
Because of the distribution of dependent variable, i.e. debt ratio representing slightly right skewed, the effect of profitability and market performance on debt ratio by OLS and quantile regression would be somewhat inconsistent. First, the OLS analysis shows a significantly negative effect of market performance, and an insignificantly negative effect of profitability on debt ratio separately. Second, in the quantile analysis, a significantly negative impact of profitability, and a significantly negative impact of market performance with the exception of highly levered firms, on corporate debt ratio are shown.
3. Negative effects of debt ratio and debt financing on operating performance
Most studies of capital structure are limited to the perspective of influential determinants, or rarely review and overlook the repercussions of firms’ choices of financing behavior. Thus, after illustrating the concepts and techniques of the capital structure theory, this study follows Kadapakkam et al. (2004), conducting an ongoing analysis for corroborating the effect of corporate financing behavior on operating performance to make the research integrated and consolidated.
As to a slightly left skewed distribution of cash flow from operating as the dependent variable, the evidence from OLS and quantile regression is discrepant. First, the effects of debt ratio and debt financing variables on cash flow from operating show significantly negative effects from the OLS analysis. Second, the findings from quantile regression indicate that debt ratio has a significantly negative effect on cash flow from operating. In addition, a departure from firms with high cash flow, a significantly negative effect of debt financing on cash flow from operating is found.
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