股市景氣及產業別與公司資本結構相關性研究--台灣股票上市公司實証研究

Abstract

本研究嘗試以台灣股票上市公司的過去資料對資本結構理論做一驗證。研究樣本包括326家股票上市公司，1986-1996年共11年的年度財務資料。 研究分為三大主題，各研究主題及實證結論分述如下： 一、 股市景氣對資本結構之影響 本研究以Spearman相關分析、迴歸分析、Kruskal Wallis test等實證出股市的景氣狀況與代表公司資本結構之負債比率間均有很顯著的負相關。其中去年度股市變化對公司資本結構的影響最顯著，顯示股市影響會有時間落差的現象。 股市變化對不同產業負債比率的影響程度不一。尤其觀光和玻璃二種產業，更是與其他多種產業有明顯的差異。 二、 產業別對資本結構之影響 本研究以Spearman相關分析、Kruskal Wallis test、two-way ANOVA等實證發現，不同產業的資本結構有明顯差異，但不同產業的營運風險無明顯差異，因此，無法認定不同產業的資本結構差異是由於營運風險不同之故。 對於最適資本結構區間的推論，實証結果顯示：產業存在最適資本結構區，此資本結構區間會移動，並似乎有向產業平均值趨近之現象。 三、其他因素對資本結構之影響 本階段以一般化最小平方法估算出各項影響因素與資本結構間的誤差成分模式。實證結果，公司規模、成長性、資產抵押價值與公司負債比率成顯著正相關，而獲利能力與公司負債比率成顯著負相關，股利發放力、非負債性稅盾則與公司負債比率成負相關，顯示各決定因素對資本結構的影響與理論一致。

This research is to empirically verify the capital structure theories with the historical financial data of the public companies in Taiwan. The sample consists of 326 companies covering 17 industries for the years 1986-96. Three main subjects and their results are enumerated as follows. 1. The impact of stock market status on capital structure. (i)The empirical result reveals that stock market status is negatively related to capital structure. The influence of last year’s stock market status is the most significant one on current year’s capital structure comparing to that of the year before last year and current year. This implies that there is a one-year lagging effect exists. (ii)The stock market influence varies across industries. 2. Different industries demand different capital structure (i) The empirical results reveal that capital structures vary significantly across industries whereas their risks do not. Therefore, this research does not support that the variations of capital structure across industries is caused by different risks of industries. (ii) There seems to exist an optimal capital structure range in each industry. The range is convergent to industrial average. 3. The relationships between capital structure and other determinants. It is shown that company size, growth rate and collateral value of asset are positively related to capital structure. However, profitability, dividend rate and nondebt tax shelters are negatively related to capital structure. Relationships of capital structure to these determinants do conform theories of capital structure.