聯立方程在財務研究上的應用:方法與實證

Abstract

本論文(1)回顧聯立方程在財金文獻上的應用(2)探討在不同假設下二階段最小平方法(2SLS)、三階段最小平方法(3SLS)、與一般化動差法(GMM)之適用(3)應用聯立方程研究公司投資、融資、與股利政策之間的交互影響關係。本論文回顧聯立方程在財金議題上的應用，涵蓋資本結構、企業投資決策、股利政策、董事會組成與股權結構、公司治理、公司績效與股價等領域。除了探討上述三種主要估計聯立方程的計量方法，本論文亦介紹異質性檢定與弱工具變數檢定，以選取適當的估計方法與有效的工具變數。最後，本論文以1965至2012年美國上市櫃公司年資料為樣本，分別以2SLS、3SLS、GMM估計公司投資、融資、與股利政策之聯立方程決策模型。實證結果顯示此三項公司政策係共同決定，應以聯立方程系統控制其間之交互影響效果。

The main purposes of this paper are: i) to review finance literature using simultaneous equations method, ii) to discuss the difference among two-stage least squares (2SLS), three-stage least squares (3SLS) and generalized method of moments (GMM) methods under different assumptions, and iii) to investigate the interrelationship among investment, financing, and dividend decisions as an example to demonstrate the discussion. We review studies that apply the simultaneous equations estimation on capital structure, corporate investment, payout decisions, ownership structure, corporate governance, stock return, firm performance and/or other corporate issues. In addition to these three methods, we also present Pagan and Hall's (1983) test of heteroskedasticity and weak instruments test for selecting the applicable method and testing the validity of instruments. Finally, we investigate the interrelationship among investment, financing and dividend decisions using 2SLS, 3SLS, and GMM methods based on the U.S. listed firm annual data between 1965 and 2012. Our results show that these three corporate decisions are co-determined and the interaction among them should be taken into account in a simultaneous equations framework.