Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/136335
|
| Title: | 市場競爭程度對企業現金持有政策之影響
Competition, cash holdings and expected return |
| Authors: | 林俊廷
Lin, Chun-Ting |
| Contributors: | 盧敬植
林俊廷
Lin, Chun-Ting |
| Keywords: | 市場競爭
赫芬達爾-赫希曼指數
現金持有
預期股票報酬
Market competition
Herfindahl-Hirschman Index
Cash holdings
Expected return |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:45:33 (UTC+8) |
| Abstract: | 本研究從企業持有現金的動機切入，以赫芬達爾-赫希曼指數(Herfindahl-Hirschman Index, HHI) 作為市場競爭的代理變數，分析台灣市場競爭程度對於企業現金持有政策的影響，並進一步觀察現金持有與股票報酬之間的關聯，是否會受到市場競爭程度的不同而有所改變。
實證結果顯示，企業的現金持有比率會隨著市場競爭度下降(HHI 上升)而
降低；本研究認為市場競爭會影響企業對投資機會的掌握而改變現金持有政策，因此另以總資產成長率作為投資的代理變數，研究市場競爭與投資成長之間的關聯，實證亦發現投資成長與 HHI 呈現負相關。最後則延續過去文獻的研究，觀察在控制市場集中度之下，現金持有與預期股票報酬率的關係，結果顯示市場競爭度越低的組別，高現金持有比率和低現金持有比率投資組合的CAPM 超額報酬差異更大。
This study investigates the relationship between market competition and cash holding policy of a firm. Using Herfindahl-Hirschman Index (HHI) as a proxy for market competition, I found the negative correlation between HHI and cash holdings in Taiwan. Furthermore, this study also investigate the relevance between cash holdings and expected stock return across different market competition situation. I separate data by two categories, HHI and cash-to-asset ratio, then use CAPM to analyze portfolio excess return. The results show that high cash-to-asset ratio portfolios got more excess return than low ones, and the gap was bigger when HHI are higher. |
| Reference: | Aghion, P., Bloom, N., Blundell, R., Griffith, R., & Howitt, P. (2005). Competition and innovation: An inverted-U relationship. The quarterly journal of economics, 120(2), 701-728.
Aharoni, G., Grundy, B., & Zeng, Q. (2013). Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis. Journal of financial economics, 110(2), 347-357.
Almeida, H., Campello, M., & Weisbach, M. S. (2004). The cash flow sensitivity of cash. The journal of finance, 59(4), 1777-1804.
Bates, T. W., Kahle, K. M., & Stulz, R. M. (2009). Why do US firms hold so much more cash than they used to?. The journal of finance, 64(5), 1985-2021.
Dittmar, A., Mahrt-Smith, J., & Servaes, H. (2003). International corporate governance and corporate cash holdings. Journal of Financial and Quantitative analysis, 111-133.
Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of financial economics, 82(3), 491-518.
Foley, C. F., Hartzell, J. C., Titman, S., & Twite, G. (2007). Why do firms hold so much cash? A tax-based explanation. Journal of financial economics, 86(3), 579-607.
Harford, J. (1999). Corporate cash reserves and acquisitions. The journal of finance, 54(6), 1969-1997.
Hoberg, G., Phillips, G. M., & Prabhala, N. R. (2013). Product market threats, payouts, and financial flexibility. The journal of finance, 69(1), 8.
Keynes, J.M. (1936). The General Theory of Employment Interest and Money. Macmillan
Lyandres, E., & Palazzo, B. (2016). Cash holdings, competition, and innovation. Journal of Financial and Quantitative Analysis, 1823-1861.
Miller, M. H., & Orr, D. (1966). A Model of the Demand for Money by Firms. The Quarterly journal of economics, 80(3), 413-435.
Morellec, E., Nikolov, B., & Zucchi, F. M. (2013). Cash holdings and competition (No. REP_WORK).
Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.
Opler, T., Pinkowitz, L., Stulz, R., & Williamson, R. (1999). The determinants and implications of corporate cash holdings. Journal of financial economics, 52(1), 3-46.
Palazzo, B. (2012). Cash holdings, risk, and expected returns. Journal of financial economics, 104(1), 162-185.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Shyam-Sunder, L., & Myers, S. C. (1999). Testing static tradeoff against pecking order models of capital structure. Journal of financial economics, 51(2), 219-244. |
| Description: | 碩士
國立政治大學
財務管理學系
108357031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108357031 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100816 |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 703101.pdf | | 1066Kb | Adobe PDF2 | 50 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
