Financing Pecking Order and the Forecast of Stock Returns--An Ordered Probit Selection Approach_

:::

詳目顯示

第 1 筆 / 總合 1 筆

/1頁

來源文獻資料
摘要
外文摘要
引文資料

題名：	Financing Pecking Order and the Forecast of Stock Returns--An Ordered Probit Selection Approach
書刊名：	臺大管理論叢
作者：	楊朝成
作者(外文)：	Yang, Chau-chen
出版日期：	1994
卷期：	5:2
頁次：	頁115-154
主題關鍵詞：	融資順序；股票報酬；資本結構；基本面變數；Financing pecking order；Stock return；Capital structure；Fundamental variables
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:32

公司之平均股票報酬是否可由貝他外之基本面變數協助解釋或預測，是最近財務實證研究重心之一。本益筆、淨值市價筆、現金流量筆、及公司規模是常被發現有此能力之變數，而Bhandari ( 1988 ) 曾提出證據說明融資變數也是其中之一。本文認為融資是公司主要決策之一，不應和本益比等外生變數一起放在迴歸式右手邊分析；不同融資順位之公司可能有不同之財務風險，會使股票報酬與基本面之關係作結構上之轉移。因此本文採取與以前文獻不同之方法，並不將融資變數直接置於迴歸式之右手邊，而你採用Ordered Probit Selection模式分二階段處理。第一階段將公司依融資順位型態分為四群，及內部融資、銀行貸款、發行可轉換公司證券及現金增資。第二階段則依不同之順位群，分別分析其股票報酬率與基本面變數間之關係。我們利用民國七十六年到八十一年間之台灣上市公司之財務資料分析，結果發現，不同之族群的確發現不同之顯著基本面變數來解釋股票報酬。淨值市價比變數是發行新股票群之顯著變數，現金流量比則屬內部融資群，公司規模則在大部份之群皆顯著，但本益比則在任一群皆不顯著。

以文找文

We classified firms' financing decisions into four categories: internal financing banking, bank loans, convertible bonds and preferred stocks, and new common shares. We use the ordered probit selection model to investigate the relation between stock re-turns and market fundamentals for each category. At the first stage, the probabilities of selecting one of the four financing decisions are estimated. Then, for each choice catego-ry, we examine the relations between stock returns and market fundamental ariables; E/P, B/M CF and size, given market betas. The empirical results using financial data of listed firms in Taiwan show the im-portance of classifying firms into different categories. We find that different category of firms may find different significant explanatory variabkes to financing decisions, so do different fundamental variables to stock returns. This paper uses pooled cross-sction and time series data. We adjust fudamental variables to account for changes in stock prices overtime. When the adjusted data is used, we find that BIM has explanatory power to stock returns for the new-issue catego-ry; CF for the internal-financing category. The sign of both are positive. These are con-sistent with the findings in other papers. The size variable is also significant in all categories. However, the sign is not consistent. The convertible category has reverse size effect and others have size effects. As for the EIP variable, we don't find any additional explanatory power to stock returns for any category. The use of different definition of size hardly changes our results. However, the size variable is the most consistent and persistent explanatory variable to stock returns given market betas.

以文找文

期刊論文
1.	Ang, J.、Chua, J.、McConnel, J.(1982)。The Administrative Costs of Corporate Bankruptcy: A Note。Journal of Finance，37，219-226。
2.	Banz, S.(1981)。The Relationship between Securities' Yield and Yield-surrogates。Journal of Financial Economics，9，3-18。
3.	Basu, S.(1977)。Investment Performance of Common Stocks in Relation to Their price-Earnings Ratios : A Test of the Efficient Market Hypothesis。Journal of Finance，32，663-682。
4.	Bowman, R. C.(1979)。The Theoretical Relationship between Systematic Risk and Financial (Accounting) Variables。Journal of Finance，34(3)，617-630。
5.	Bowman, R. C.(1980)。The Importance of a Market-Value Measurement of Debt in Assessing Leverage。Journal of Accounting Research，1980(Spring)，242-254。
6.	Bowman, R. C.(1981)。The Theoretical Relationship between Systematic Risk and Financial (Accounting) Variables: A Reply。Journal of Finance，36，749-750。
7.	Bradley, Michael、Jarrell, Gregg A.、Kim, E. Han(1984)。On the Existence of an Optimal Capital Structure: Theory and Evidence。Journal of Finance，39，857-880。
8.	Brennan, Michael、Kraus, Alan(1987)。Efficient Financing under Asymmetric Information。Journal of Finance，42，1225-1243。
9.	Campbell, J. Y.、Shiller, R.(1988)。Stock Prices, Earnings and Expected Dividends。Journal of Finance，43，661-676。
10.	Constanias, G. M.、Grundy, B. D.(1989)。Optimal Investments with Stock Repurchase and Financing as Signals。The Review of Financial Studies，2，445-466。
11.	Dammon, R. M.、Senbet, L. W.(1988)。The Effects of Taxes and Depreciation on Corporate Investment and Financial Leverage。Journal of Finance，43(2)，357-373。
12.	Dotan, A.、Ravid, S.(1985)。On the Interaction of Real and Financial Decisions of the Firm under Uncertainty。Journal of Finance，40，501-517。
13.	Fama, E. F.(1991)。Efficient Capital Markets。Journal of Finance，46(5)，1575-1617。
14.	Friend, I.、Hasbrouck, J.(1988)。Determinants of Capital Structure。Research in Finance，7，1-19。
15.	Friend, I.、Hasbrouck, J.、Lang, L.(1988)。An Empirical Test the Impact of Managerial Self-Interest on Corporate Capital Structure。Journal of Finance，43，271-281。
16.	Hamada, R. S.(1969)。Portfolio Analysis, Market Equilibrium and Corporation Finance。Journal of Finance，24，13-31。
17.	Hamada, R. S.(1972)。The Effects of the Firm's Capital Structure on the Systematic Risk of Common Stocks。Journal of Finance，27，435-452。
18.	Heinkel, R.、Senbet, L.(1982)。A Theory of Capital Structure Relevance under Imperfect Information。Journal of Finance，37，1141-1150。
19.	Kim, Wi Saeng、Sorensen, Eric H.(1986)。Evidence on the Impact of the Agency Costs of Debt in Corporate Debt Policy。Journal of Financial and Quantitative Analysis，21(2)，131-144。
20.	Krasker, W.(1986)。Stock Price Movements in Response to Stock Issues under Asymmetric Information。Journal of Finance，41，93-105。
21.	Lee, L. F.(1983)。Notes and Comments--Generalized Econometric Models with Selectivity。Econometrica，51(2)，507-512。
22.	Leland, H.、Pyle, D.(1977)。Information Asymmetries, Financial Structure, and Financial Intermediation。Journal of Finance，323，371-388。
23.	Lo, A.、MacKinlay, A. C.(1990)。Data-snooping Biases in Test of Financial Asset Pricing Models。Review of Financial Studies，3，431-467。
24.	Long, M.、Malitz, I.(1985)。The Investment-Financing Nexus: Some Empirical Evidence。Midland Corporate Finance Journal，3，53-59。
25.	Marsh, P.(1982)。The Choice Between Equity and Debt: An Empirical Study。Journal of Finance，37，121-144。
26.	Narayanan, M. P.(1988)。Debt versus Equity under Asymmetric Information。Journal of Finance，42，1083-1090。
27.	Rozeff, M.(1984)。Dividend Yields Are Equity Risk Premiums。Journal of Portfolio Management，11，68-75。
28.	Smith, C.(1977)。Alternative methods for Raising Capital: Rights versus Underwritten Offerings。Journal of Financial Economics，5，67-73。
29.	Stattman, D.(1988)。Book Values and Stock Returns。The Chicago MBA: A Journal of Selected Papers，4，25-45。
30.	Terza, J.(1985)。Ordinal Probit: A Generalization。Communications in Statistics，14，1461-1482。
31.	Titman, S.、Wessels, R.(1988)。The Determination of Capital Structure。Journal of Finance，43，1-20。
32.	Warner, J.(1977)。Bankruptcy Costs: Some Evidence。Journal of Finance，32，337-347。
33.	Lintner, J.(1965)。The Valuation of Risky Assets and The Selection of Risky Investments in Stock portfolios and Capital budgets。Review of Economics and Statistics，47(1)，13-37。
34.	Shiller, Robert J.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity，2，457-510。
35.	Harris, Milton、Raviv, Artur(1991)。The Theory of Capital Structure。The Journal of Finance，46(1)，297-355。
36.	Ross, Stephen A.(1977)。The Determination of Financial Structure: The Incentive Signaling Approach。The Bell Journal of Economics，8(1)，23-40。
37.	Kester, W. Carl(1986)。Capital and Ownership Structure: A Comparison of United States and Japanese Manufacturing Corporations。Financial Management，15(1)，5-16。
38.	Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics，22(1)，3-25。
39.	DeAngelo, Harry、Masulis, Ronald W.(1980)。Optimal Capital Structure under Corporate and Personal Taxation。Journal of Financial Economics，8(1)，3-29。
40.	Myers, Stewart C.(1984)。The Capital Structure Puzzle。Journal of Finance，39(3)，574-592。
41.	Noe, Thomas H.(1988)。Capital Structure and Signaling Game Equilibria。The Review of Financial Studies，1(4)，331-355。
42.	Scott, David F. Jr.(1972)。Evidence on the Importance of Financial Structure。Financial Management，1(2)，45-50。
43.	Myers, Stewart C.、Majluf, Nicholas S.(1984)。Corporate Financing and Investment Decisions When Firms Have Information That Investor Do Not Have。Journal of Financial Economics，13(2)，187-221。
44.	Bhandari, Laxmi Chand(1988)。Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence。Journal of Finance，43(2)，507-528。
45.	Black, Fischer(1972)。Capital Market Equilibrium with Restricted Borrowing。Journal of Business，45(3)，444-455。
46.	Chan, Ka Keung Ceajer、Chen, Nai Fu(1991)。Structural and Return Characteristics of Small and Large Firms。Journal of Finance，46(4)，1467-1484。
47.	Chan, Louis K. C.、Lakonishok, Josef、Hamao, Yasushi(1991)。Fundamentals and Stock Returns in Japan。The Journal of Finance，46(5)，1739-1789。
48.	Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。
49.	Basu, Sanjoy(1983)。The Relationship between Earnings' Yield, Market Value and Return for NYSE Common Stocks: Further Evidence。Journal of Finance Economics，12(1)，129-156。
50.	Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。
51.	Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management，11(3)，9-16。

研究報告
1.	Castanias, R.、DeAngelo, H.(1981)。Business Risk and Optimal Capital Structure。University of Washington。
2.	Chaplinsky, S.、Niehaus, G.(1990)。The Determinants of Inside Ownership and Leverage。University of Michigan。
3.	Gonedes, N. J.、Lang L.、Chikaonda, M.(1988)。Empirical Results on Managerial Incentives and Capital Structure。The Wharton School, University of Pennsylvania。

圖書
1.	Greene, W. H.(1990)。Econometric Analysis。New York：Macmillan。
2.	Greene, W. H.(1992)。LIMDEP-User's Manual and Reference Guide。New York：Econometric Software, Inc.。
3.	Maddala, G. S.(1983)。Limited and Qualitative Dependent Variables in Econometrics。Cambridge：Cambridge University Press。

其他
1.	Donaldson, G.(1961)。Corporate Debt Capacity: A Study of Corporate Debt Policy and the Determination of Corporate Debt Capacity，Boston：Harvard Graduate School of Business Administration。

圖書論文
1.	Grossman, S.、Hart, O.(1982)。Corporate Financial Structure and Managerial Incentives。The Economics of Information and Uncertainty。Chicago：University of Chicago Press。

推文
推薦
引用網址
引用嵌入語法
轉寄

top

:::

相關期刊
相關論文
相關專書
相關著作
熱門點閱

無相關期刊論文

1.	人民幣匯率機制改革對股價報酬率與資產報酬率的影響：來自於資本結構的觀點
2.	資本結構，競爭策略及公司績效

無相關書籍

無相關著作

無相關點閱

QR Code

臺灣人文及社會科學引文索引資料庫系統

詳目顯示

臺灣人文及社會科學引文索引資料庫