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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68224


    Title: 從預防性動機談風險與現金持有政策之關聯性_以台灣資料為例
    Associate Risk with Cash Holding Policy from Precautionary Motive : Evidence from the Listed and OTC Companies in Taiwan
    Authors: 洪子婷
    Contributors: 林信助
    洪子婷
    Keywords: 預防性動機
    現金持有
    風險溢酬
    剩餘所得模型
    Date: 2013
    Issue Date: 2014-08-06 11:39:06 (UTC+8)
    Abstract: 本文透過Palazzo (2012) 之模型，檢視台灣上市上櫃公司之現金持有率變動程度是否與風險溢酬存在正向關係。當我們使用剩餘所得模型所估計出隱含資金成本作為風險溢酬時，符合Palazzo (2012) 預防性動機之預期，公司在面臨高風險時，傾向增加其現金持有，以備面臨流動性危機。而使用已實現報酬模型作為風險溢酬之估計時，則無法解釋正向且顯著地解釋，與Black (1993), Elton (1999) 及 Fama and French (1997) 之論點一致，已實現報酬並非預期報酬良好之估計；而採用現金持有波動度作為風險之代理變數時，亦無法正向地解釋當期現金持有變動情況。此外，並發現公司之現金持有率變動受風險影響程度與公司之未來投資機會有關，未來投資機會較多的廠商其預期報酬與現金持有政策有較大的正向關係。
    Reference: 中文部分
    張介銘(2004)，「持續性高現金儲備政策對公司長期營運績效與長期股價之影響」，國立成功大學企業管理學系博士論文。
    劉金鳳、蘇育玲與黃國志(2008) 「以資本資產訂價模式分析海運業資金成本與風險之關係」，中華管理評論國際學報，11-1，1-21。
    胡偉哲(2012)，「為什麼台灣公司的現金比率逐年增加? 」，國立中央大學財務金融研究所碩士論文。
    潘為萃(2013)，「台灣股票報酬和現金持有的關聯性」，國立中正大學財務金融研究所碩士論文。
    陳玉慧(2013)，「權益資金成本之估計-橫斷面資料的應用」，國立政治大學國際經營與貿易研究所碩士論文。
    賴孜玟(2013)「初次上市(櫃)公司於興櫃市場期間股權結構及現金持有率對未來公司績效之研究」，國立成功大學高階管理專班碩士論文。

    英文部分
    Barnea, A., Haugen, R. A., & Senbet, L. W. (1981). "Market imperfections, agency problems, and capital structure: a review." Financial Management: 7-22.
    Berle, A. A., & Means, G. G. C (1991). The Modern Corporation and Private Property, Transaction Publishers.
    Black, B. S. (1998). "Shareholder Activism and Corporate Goverance in the United States." The Nes Palgrave Dictionary of Economics and the Law 3: 459-465.
    Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
    Dittmar, A., Mahrt-Smith, J., & Servaes, H. (2003). "International corporate governance and corporate cash holdings." Journal of Financial and Quantitative analysis 38(01): 111-133.
    Elton, E. J. (1999). "Presidential address: expected return, realized return, and asset pricing tests." The Journal of Finance 54(4): 1199-1220.
    Fama, E. F., & French, K. R. (1997). "Industry costs of equity." Journal of Financial Economics 43(2): 153-193.
    Faulkender, M., & Wang, R. (2006). Corporate financial policy and the value of cash. The Journal of Finance, 61(4), 1957-1990.
    Gebhardt, W. R., Lee, C., & Swaminathan, B. (2001). "Toward an implied cost of capital." Journal of accounting research 39(1): 135-176.
    Gertner, R., & Scharfstein, D. (1991). "A theory of workouts and the effects of reorganization law." The Journal of Finance 46(4): 1189-1222.
    Harford, J., Mansi, S. A., & Maxwell, W. F. (2008). "Corporate governance and firm cash holdings in the US." Journal of Financial Economics 87(3): 535-555.
    Hou, K., Van Dijk, M. A., & Zhang, Y. (2012). "The implied cost of capital: A new approach." Journal of Accounting and Economics 53(3): 504-526.
    Jensen, M., & Scholes, M. (1972). The capital asset pricing model: Some empirical tests, Praeger Publishers Inc.
    Jensen, M. C., & Meckling, W. H. (1976). "Theory of the firm: Managerial behavior, agency costs and ownership structure." Journal of Financial Economics 3(4): 305-360.
    Jensen, M. C. (1986). "Agency costs of free cash flow, corporate finance, and takeovers." 323-329.
    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 29(1): 1-25.
    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: 162-185.
    Ross, S. A., Kim, W. C., Mauborgne, R. A., & Nanda, A. (1990). Fundamental of Corporate Finance McGraw-Hill.
    Sodjahin, W. R. (2013). "Change in Cash-Holding Policies and Stock Return Predictability in the Cross Section." Financial Analysts Journal 69(1): 53-70.
    Wu, J. G., & Zhang, L. (2010). Do Anomalies Exist Ex Ante?, National Bureau of Economic Research.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    101351041
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101351041
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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