融資受限公司之投資與股價敏感度研究

The Sensitivity between Investment and Stock Price of Financial Constrained Firms

10.6985/TBFQ.200606.0001

詹家昌(Chia-Chung Chan)；許月瑜(Yueh-Yu Hsu)；林仕笙(Shih-Sheng Lin)

融資限制 ； 投資 ； 敏感度研究 ； financial constraints ； investment ； sensitive research

台灣金融財務季刊

7卷2期（2006 / 06 / 01）

1 - 23

繁體中文

過去有許多文獻致力於瞭解股價與投資之相關性，從傳統的觀點中，幾乎皆強調股價是扮演投資機會的指標。而本文使用Stein(1996)一文的觀點，解釋投資與股價表現的關係，並觀察融資限制公司在投資上是否對股價的非基本面特別敏感。實證結果發現融資受限較高的公司，投資對股價的敏感度稍高於融資受限較低的公司；但在投資與現金流量的敏感度方面，則發現融資限制較高的公司有顯著較高的敏感度。顯示國內融資受限公司的投資融資來源，仍然相當重視公司的現金流量，符合融資順位理論的主張。由於結論仍受其他因素的影響，本文同時檢視了其他實證意涵。

Over the past few years, a considerable number of studies have been made on understanding why stock prices were correlated with investment. The traditional view emphasizes stock prices as an indicator of investment opportunities. In this paper, we use a version of the Stein (1996) model to describe when investment would be sensitive to non-fundamental movements in stock price. The main cross-sectional prediction of the model is financial constrained firms will have investment that is specially sensitive to the non-fundamental components of stock prices. Using an index of financial constrained based on the work of Kaplan and Zingales (1997), our empirical results find that firms classified into higher financial constrained groups have investment that is slightly more sensitive to stock prices than firms classified into lower financial constrained groups. Moreover, we also find that the relationship between investment and cashflow is systematically stronger for financial constrained firms. The results are consistent with the pecking order theory. We also further explore several other empirical implications that are derived from the above results.

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