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題名:財務限制會影響公司系統風險嗎?
書刊名:臺灣管理學刊
作者:詹家昌 引用關係王冠婷
作者(外文):Chan, Chia-chungWang, Kuan-ting
出版日期:2006
卷期:6:1
頁次:頁59-83
主題關鍵詞:財務限制系統風險Financial constraintsSystematic risk
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:14
  • 點閱點閱:20
Modigliani and Miller(1958)證明市場在完美的狀態下,企業資本結構與投資決策無關。但企業在資本市場不完全的情況下,若加上資訊不對稱與代理成本等,將造成公司內部與外部資金成本產生差異,導致公司面臨財務限制的融資問題,也使公司無法做出正確的投資決策。此外,當財務限制影響總體經濟行為時,財務限制高的公司相對就面臨較高的風險,而本文即想探討公司財務限制是否影響公司的系統風險。結果發現公司財務限制程度越高,公司的系統風險也越高;在不同的投資組合下,投資組合期間越長,則愈顯著看出財務限制因子對系統風險的影響力。將三因子和動能因素加入後,發現財務限制高的公司雖擁有較高的系統風險,但並沒有同時反應在股票的風險溢酬。
Mdigliani and Miller (1958) proposed that in a perfect capital market, the investment decisions are independent of the capital structure. However, the imperfections of capital market usually lead to difficulties in financing for firms. With the existence of asymmetric information and agency problem, a considerable disparity between the costs internal and external financing arises. In other words, firms will ineffectively execute the investment decisions when they are financially constrained. If financial constrains influence macroeconomic behavior, financially constrained firms may be riskier than unconstrained. Therefore, we study whether financial constrains affect corporate systematic risk. We find that financially constrained firms are indeed riskier than unconstrained because they have higher systematic risk. Consequently, the financial constrain factors provide more significant explanatory strength for the portfolios with longer investment period. Including three factors and momentum, the empirical result also shows that the financial constrain factors may not significantly improve the ability in explaining risk premium.
期刊論文
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16.陳安琳、李文智、葉仲康(20001100)。系統風險與規模效果對股票報酬的影響--持有期間報酬之分析。中華管理評論,3(4),1-14。  延伸查詢new window
17.Black, F. M. C.(1993)。Beta and Return。Journal of Portfolio Management,20,8-18。  new window
18.Modigliani, F.、Miller, M.(1958)。The Costs of Capital, Corporation Finance, and the Theory of Investment。The American Economic Review,48(3),261-297。  new window
19.Lev, B.(1974)。On the association between operating leverage and risk。Journal of Financial and Quantitative Analysis,9(4),627-641。  new window
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22.Whited, Toni M.、Wu, Guojun(2006)。Financial Constraints Risk。The Review of Financial Studies,19(2),531-559。  new window
23.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
24.Keim, Donald B.(1983)。Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence。Journal of Financial Economics,12(1),13-32。  new window
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28.Bernanke, Ben S.、Gertler, Mark(1989)。Agency Costs, Net Worth, and Business Fluctuations。The American Economic Review,79(1),14-31。  new window
29.Kiyotaki, Nobuhiro、Moore, John(1997)。Credit Cycles。Journal of Political Economy,105(2),211-248。  new window
30.West, Kenneth D.、Newey, Whitney K.(1987)。Hypothesis Testing with Efficient Method of Moments Estimation。International Economic Review,28(3),777-787。  new window
31.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
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研究報告
1.Maestro, M. H.、Pindado, J.、Miguel, A.(2003)。Financial Constraints: Models and Evidence from International Data。Social Science Research Network。  new window
2.Huang, Z.(2002)。Financial Constraints and Investment-Cash Flow Sensitivity。  new window
3.Cooper, R.、Ejarque, J.(2001)。Exhuming Q: Market Power versus Capital Market Imperfections。Boston University。  new window
4.Bond, S.、Cummins, J. G.(2001)。Noisy Share Prices and the Q Model of Investment。Oxford University。  new window
5.Cleary, S., P. Povel and M. Raith,(2003)。“The U-shaped Investment Curve: Theory and Evidence,”。  new window
6.Gomes, J.F., A. Yaron, and L.Zhang,(2002)。“Asset pricing implications of firms’ financing constraints,”。  new window
學位論文
1.周志隆(1991)。股票風險波動之研究:異值條件變異數分析法(碩士論文)。國立臺灣大學。  延伸查詢new window
2.蔡佳賓(2001)。公司貝他值估計之研究--期別與離群效果(碩士論文)。東海大學。  延伸查詢new window
3.李憲杰(1993)。「一般化自我迴歸條件異質性變異數模型參數之選定、估計與檢定」,台南市。  延伸查詢new window
圖書
1.Gilchrist, S., and C. Himmelberg,(1998)。“Investment, Fundamentals and Finance,”。NBER Macroeconomics Annual。MIT Press。  new window
圖書論文
1.Black, F. M. C.、Jensen, M. C.、Scholes, M.(1972)。The Capital Asset Pricing Model: Some Empirical Test。Studies in the Theory of Capital Market。New York:Praeger。  new window
 
 
 
 
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