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| Title: | 短債、長債有差別嗎？債務期限結構對股票報酬率的影響：以臺灣及美國股票市場為例
Is There a Difference Between Short-term and Long-term Debt? The Impact of Debt Maturity Structure on Stock Returns: A Comparison of Taiwan and U.S. Stock Markets |
| Authors: | 胡憲傑
Hu, Hsien-Chieh |
| Contributors: | 李志宏
Lee, Jie-Haun
胡憲傑
Hu, Hsien-Chieh |
| Keywords: | 債務期限結構
資本結構
融資來源
Debt maturity structure
Capital structure
Source of financing |
| Date: | 2024 |
| Issue Date: | 2024-08-05 13:43:28 (UTC+8) |
| Abstract: | 由於臺灣的公司債市場規模較小，銀行業發展歷史悠久，臺灣企業更傾向與銀行進行借款，導致臺灣企業在公司債務方面表現出與美國企業不同的特性，如臺灣企業擁有高比例的短期債務，美國企業則有約八成債務屬於長期債務，這個結果導致臺灣企業的再融資強度（Refinancing intensity, RI）及短期負債比比美國企業高。但是銀行在進行放款時相較於公開市場有許多優勢，如銀行可以獲取企業內部資訊，在對企業徵信或進行監管時更有著規模經濟及比較利益的優勢，所以銀行對企業風險資訊的掌握比公開市場投資人更完整，更能夠確保企業在面臨風險時仍舊有能力還款，因此與企業借款相應的風險都較美國企業低，投資人不會要求額外的股票報酬作為風險補償。
本研究因此對於臺灣企業及美國企業的再融資強度、負債比和長、短期負債比與股票報酬率的關係進行研究與比較，實證結果發現臺灣企業不論是再融資強度、負債比和長、短期負債比都與股票報酬率無關。美國企業則是再融資強度、負債比和長、短期負債比皆與股票報酬率呈正相關，其中高短期負債比組合比低短期負債比組合每月多出0.356%的超額報酬率，代表美國企業若短期負債比較高，其在負債比與再融資強度的交互作用下會有較大的展期風險暴露。
Due to the relatively small size of Taiwan's corporate bond market and the long-standing development of its banking industry, Taiwanese companies prefer borrowing from banks rather than issuing corporate bonds. This has led to distinct characteristics in the debt structure of Taiwanese companies compared to US companies. For instance, Taiwanese companies have a higher proportion of short-term debt, whereas around 80% of US corporate debt is long-term. As a result, Taiwanese companies exhibit higher refinancing intensity (RI) and short-term leverages compared to US companies. However, banks possess several advantages over public markets when providing loans, such as access to internal corporate information and economies of scale in credit assessment and monitoring. Consequently, banks have a more comprehensive understanding of corporate risk information, allowing them to better ensure a company's repayment capability during times of risk. Therefore, the risks associated with corporate borrowing in Taiwan are lower than those of US companies, and investors do not require additional stock returns as risk compensation.
This study thus compares the RI, leverages, and long- and short-term leverages in relation to stock returns between Taiwanese and US companies. The empirical results reveal that for Taiwanese companies, RI, leverages, and long- and short-term leverages are unrelated to stock returns. In contrast, for US companies, RI, leverages, and long- and short-term leverages are positively correlated with stock returns. Specifically, US companies with higher short-term leverages achieve an excess monthly return of 0.356% more than those with lower short-term leverages. This indicates that US companies with higher short-term debt face greater RI due to the interaction between leverages and RI. |
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| Description: | 碩士
國立政治大學
財務管理學系
111357025 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111357025 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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