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| 研究生： |
賴宛宜 |
|---|---|
| 論文名稱： |
廠商的財務狀態與投資行為 -- 以多變量方法做分類 |
| 指導教授： | 黃朝熙 |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
科技管理學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2009 |
| 畢業學年度： | 97 |
| 語文別： | 中文 |
| 論文頁數： | 52 |
| 中文關鍵詞： | 財務限制 、廠商投資 、區別分析 、聚集分析 |
| 相關次數： | 點閱：2 下載：0 |
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在研究廠商投資行為與其財務限制之相關性的文獻中，Fazzari, Hubbard, and Petersen (1988)以廠商股利發放的多寡衡量廠商財務限制的嚴重程度，將股利發放較低的廠商視為面對較嚴重的財務限制，其發現，此類廠商之投資會對內部現金流量產生較為敏感的波動。Kaplan和Zingales (1997)使用量化與質化的變數以區別廠商財務限制的程度，得出的結論卻恰與FHP (1988)相反，其實證結果認定，財務限制較嚴重的廠商，其投資較不會隨著內部現金流量的波動而大幅變動。
本文為解決上述廠商對於財務限制區分上的紛爭，採用羅吉斯區別分析法(logistic discriminant analysis)預測廠商財務限制的程度。本文以下一期廠商是否會發放現金股利以及下一期廠商發放現金股利之變動當作財務限制的先驗準則變數，再以負債對淨值比、借款依存度等數個當期的財務變數做為預測廠商是否會受到財務限制之變數，最後可以估計出各廠商不會發生財務限制之事後機率。
結果發現，不論是預測下一期是否會發放股利或者是預測下一期股利發放會呈現增加、不變或減少，預測力皆達70%以上。於此，本文再利用聚集分析法(cluster analysis)將當期財務變數所得出的事後機率做分組，客觀地將機率以實際的距離大小做分組。本文將此事後機率各分為兩組以及三組，而在其投資方程式的結果中皆發現，財務限制較為嚴重的廠商其投資行為對於內部現金流量的波動會產生較大的敏感度，其結論與FHP (1988)相符。
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