請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/55425
標題: &Quot;Value Relevance, Idiosyncratic Risk, and External Financing Activities&Quot;
價值攸關性、異質風險與外部融資活動
作者: 林宜勉
關鍵字: 應用研究
經濟學
摘要: This study not only examines a firm's net external financing activities, but also analyzesthe individual components of corporate financing activities, e.g., debt versus equity. As thevalue relevance of accounting numbers can explain the variation of market equity value, thisstudy intends to link the information roles of earnings and cash flow. Under controllingcurrent accruals or discretionary accruals, this study will first examine the effects of the valuerelevance of earnings and the incremental value relevance of cash flows on net externalfinancing, net equity financing, and net debt financing. Meanwhile, this study will measurethe value relevance of cash flows and the incremental value relevance of earnings, to analyzewhether cash flows is the primary performance measure and earnings is the supplementperformance measure.The investors, in general, suffer beta risk and idiosyncratic risk of a firm. The former isthe main determinant of risk premium, and the latter can be controlled by the manager. If thefirm has better control of idiosyncratic risk, it implies the manager has larger influence onstock returns. Hence, this study will also examine the effects of the value relevance ofearnings and the incremental value of cash flows on idiosyncratic risk. Furthermore, thisstudy will control accruals, the value relevance of earnings and the incremental valuerelevance of cash flows and examine the effects of net external financing, net debt financing,and net equity financing on idiosyncratic risk.To test whether the external financing policy of a firm is consistent with over-investmenthypothesis, this study will further investigate the effects of net external financing, net debtfinancing, and net equity financing on future stock returns under controlling for the valuerelevance of earnings and cash flows. This study will also analyze the relation betweencurrent idiosyncratic risk and future stock returns following firms' corporate financingactivities.On the other hand, the overall risk of an enterprise includes undiversifiable risk (e.g.,environmental uncertainty) and diversifiable risk (e.g., board of directors' monitoring). Thisstudy will examine whether a firm can raise external capitals more easily when the firm hassmaller overall risk. Finally, this study will investigate the relationships between net debtfinancing, net equity financing and enterprise integrated risk management, as well as therelationships between enterprise integrated risk management and future stock returns.
本研究擬將淨外部融資活動區分成淨負債融資與淨權益融資兩種成分,並控制當期應計項目或裁決性應計項目。由於價值攸關性是指會計數字與權益市價之間存在顯著的關係,本研究將連結盈餘與現金流量這兩個角色之間的關連性,首先探討盈餘的價值攸關性與現金流量的增額價值攸關性對淨外部融資活動、淨負債融資與淨權益融資的影響。同時,本研究亦嘗試分析是否現金流量為公司主要的績效衡量,而盈餘為補充性的績效衡量,故計畫中亦擬衡量現金流量的價值攸關性及盈餘的增額價值攸關性。其次,投資者所面臨的貝他風險及異質風險,前者為造成公司股票報酬中風險溢酬的主因,異質風險則可由公司經理人所管理。當公司有能力控制異質風險時,愈能增加其對股票報酬的影響力。因此,本研究將進一步驗證盈餘的價值攸關性與現金流量的增額價值攸關性對公司異質風險的影響,以及在控制應計項目、盈餘與現金流量的價值攸關性下,淨外部融資活動、淨負債融資與淨權益融資對公司異質風險的影響。由於公司當期股票報酬可能受前期股價或前期績效的影響,故價值攸關性或許可解釋公司的未來股票報酬。本研究將驗證在考慮應計項目、當期盈餘價值攸關性與現金流量增額價值攸關性下,公司當期淨外部融資、當期淨負債融資與當期淨權益融資對未來股票報酬的影響,以檢驗公司融資決策是否符合過度投資假說,並分析當期異質風險對公司未來股票報酬之影響。另一方面,由於企業整體風險的衡量包含了公司部分之可分散風險(如董事會監督因素所致)及不可分散風險(如環境不確定因素所致),所以本研究試圖驗證企業整體風險是否可解釋市場風險及異質性風險,並擬探討當企業整體風險愈小,是否公司較易籌措資金,而使外部融資的增加愈大。而在控制盈餘的價值攸關性與現金流量的增額價值攸關性下,本研究亦擬驗證公司的淨負債融資及淨權益融資活動與企業整體風險管理的績效之關連性,以及企業整體風險管理之績效對公司未來股票報酬之影響。
URI: http://hdl.handle.net/11455/55425
其他識別: NSC99-2410-H005-016-MY2
文章連結: http://grbsearch.stpi.narl.org.tw/GRB/result.jsp?id=2223127&plan_no=NSC99-2410-H005-016-MY2&plan_year=100&projkey=PF10001-0312&target=plan&highStr=*&check=0&pnchDesc=%E5%83%B9%E5%80%BC%E6%94%B8%E9%97%9C%E6%80%A7%E3%80%81%E7%95%B0%E8%B3%AA%E9%A2%A8%E9%9A%AA%E8%88%87%E5%A4%96%E9%83%A8%E8%9E%8D%E8%B3%87%E6%B4%BB%E5%8B%95
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