臺灣博碩士論文加值系統

近年來，國內金融市場在自由化、全球化的競爭趨勢下有突破性的發展，由於衍生性金融商品創新，考量不同資金需求、籌措資金目的、籌集資金金額、貨幣市場及法令等因素，公司經理人會在多元的管道中尋求對公司最有利的方法進行，並期能達到股東財富極大化，及公司創造最大價值。本研究回顧了國內外相關的文獻，少有人加以研究探討股東與債權人的負債代理問題中之投資不足問題，故本文將以投資不足的觀點切入探討。
本研究將以美國的公開交易公司債作為樣本基礎，分析公司的投資策略是否會影響公司債的評價，同時進一步探究其影響的效果為何，以及與投資不足之關係。本研究發現投資不足問題直接影響公司價值也使債權人投資風險增加，造就債權人要求相對高利息報酬，而對公司而言則增加負債的融資成本。然而，經過本研究的實證分析後，有幾項重大發現：
1、投資不足的問題與債券的融資成本呈現正相關。
2、公司資本支出比例低增強投資不足問題。
3、公司長期負債比例高會增強投資不足問題。

In recent years, the domestic financial market has achieved a substantial breakthrough following the competitive trend of liberalization and globalization. For the innovation of derivative products and for considering factors including different capital requirements, financing purposes and amounts, monetary markets and decrees, corporate managers have been seeking to maximize shareholder wealth and corporate value. This study reviews both domestic and international literature and turns its focus towards underinvestment issue due to the fact that agency problems of shareholders and creditors.
Using samples of U.S. public trading corporate bonds, this study analyzes whether corporate investment strategies will make an impact on the evaluation of corporate bond. This study further discusses its impacts as well as its relation with underinvestment. This study then comes to a conclusion that underinvestment leads to a direct impact on corporate value and raises the investment risks of creditors which results in a high interest rate request from creditors. It increases firm’s debt financial costs as a whole. Based on the empirical analysis of this study, some important findings are as follows:
1. A positive correlation exists between underinvestment and bond financing cost.
2. Low corporate capital investment enhances the problem of underinvestment.
3. Long term high corporate liability rate worsens the problem of underinvestment.

頁次
中文摘要................................................................................................................I
英文摘要..............................................................................................................II
誌 謝.............................................................................................................III
目 錄.............................................................................................................IV
表 目 錄.............................................................................................................VI

第一章 緒論
第一節 研究背景與動機.....................................................................01
第二節 研究目的.................................................................................03
第三節 研究範圍與內容.....................................................................04
第四節 研究流程.................................................................................05
第二章 文獻探討
第一節 文獻回顧.................................................................................07
第二節 研究假說.................................................................................26
第三章 研究方法
第一節 研究架構.................................................................................28
第二節 研究工具及樣本敘述.............................................................29
第三節 變數定義.................................................................................31
第四節 研究範圍與內容.....................................................................35第四章 研究分析
第一節 敘述統計................................................................................39
第二節 推論統計.................................................................................41
第五章 結論與建議
第一節 研究結論.................................................................................62
第二節　 研究結果建議.........................................................................65
參考文獻.............................................................................................................66








表 目 錄
表3-3-1：S&P、Moody’s所提出的兩種債券信用評等平均分數表……..……37
表4-1-1：樣本統計分配表………………………………………………..……39
表4-1-2：樣本變數統計分配表1……………………………………..….……40
表4-2-1：總樣本Yield Spread迴歸分析………………………………....……41
表4-2-2：投資等級債券樣本Yield Spread 迴歸分析…………………...……43
表4-2-3：投機等級債券樣本Yield Spread迴歸分析…………………………45
表4-2-4：總樣本Yield Spread迴歸分析－情境一……………………………47
表4-2-5：投資等級債券樣本Yield Spread迴歸分析－情境一………………49
表4-2-6：投機等級債券樣本Yield Spread迴歸分析－情境一………………52
表4-2-7：總樣本Yield Spread迴歸分析－情境二……………………………54
表4-2-8：投資等級債券樣本Yield Spread迴歸分析－情境二………………57
表4-2-9：投機等級債券樣本Yield Spread迴歸分析－情境二………………59
表5-1-1：假設檢定判別表…………………………….………………………63

圖 目 錄
圖1-4-1：研究流程圖…………………………….……………………………05
圖3-1-1：研究架構圖…………………………….…

1、Gamba, Andrea, Aranda, Mamen and Poiega, Daniele, 2007,“Investment and Credit Risk: A Structural Approach.Unpublished Master Thesis,”Department of Economics University of Verona,Verona, Italy.

2、Campbell, John Y. and Glen B. Taksler, 2003, “Equity Volatility and Corporate Bond Yields,” Journal of Finance, 152 - 1 self.

3、Lesmond, David A., Chen, Long, and Jason Z. Wei, 2007, “Corporate Yield Spreads and Bond Liquidity,” Journal of Finance, 62(1), 119-149.

4、Christopher A. Hennessy and Toni M. Whited, 2007,“How Costly Is External Financing Evidence from a Structural Estimation, ”Journal of Finance, 2007, vol. 62, issue 4, pp 1705-1745.
5、Mao, Connie X., 2003, “On the Importance of Systematic Risk Factors in Explaining the Cross-section of Corporate Bond Yield Spreads,” Journal of Banking & Finance, 29(12), 3141-3158.
6、Cremers, Martijn , Nair, Vinay B. and Chenyang Wei, 2007,“Governance
Mechanisms and Bond Prices, ”Oxford Journals,Social Sciences,Review of Financial Studies,Volume 20, Issue 5, pp.1359-1388.

7、Reeb, David M. , Mansi, Sattar and John G ,Allee, 2001,
“Firm Internationalization and the Cost of Debt Financing: Evidence from
Non-Provisional Publicly Traded Debt, ”The Journal of Financial and Quantitative Analysis Vol. 36, No. 3 (Sep., 2001), pp. 395-414.

8、Mark S. Klock, Sattar A. Mansi and William F. Maxwell, 1976,“Theory of the firm : Managerial Behavior”,Agency Costs and Ownership Structure. Modern Library, New York, 1937, p. 700.
9、Mark S. Klock, Sattar A. Mansi and William F. Maxwell, 2005,“Does Corporate Governance Matter toBondholders, ”The Journal of Financial and Quantitative Analysis Vol. 40, No. 4 (Dec., 2005), pp. 693-719.

10、Lins, Karl V. and Michael L. Lemmon, 2003,“Ownership Structure, Corporate Governance, and FirmValue: Evidence from the East Asian Financial Crisis, ”The Journal of Finance Vol. 58, No. 4 (Aug., 2003), pp. 1445-1468.
11、Stewart C. Myers, 1977, “Determinants of Corporate Borrowing.Journal of Financial Economics,” vol. 5, issue 2, pages 147-175.

12、Robert C. Merton, 1974, “On the pricing of corporate Debt: The risk structure of interest rates. Journal of Finance,” vol. 29, issue 2, pages 449-70.

13、Franco Modigliani and Merton H. Miller,1958, “ The Cost of Capital, Corporation Finance, and the Theory of Investment: Reply,”Journal of Finance 29, no. 2 (May 1974): 449–470.

14、Franco Modigliani and Merton H. Miller,1963, “ Corporate Income Taxes and the Cost of Capital:A Correction,”The American Economic Review, Vol. 53, No. 3 (Jun., 1963), pp. 433-443.

15、Nathalie Moyen, 2007, “How Big Is the Debt Overhang Problem? ,” Leeds School of Business, University of Colorado, Boulder, CO 80309-0419, USA.

16、Ortiz-Molina, Hernan, 2006, “Top Management Incentives and the Pricing of Corporate Public Debt.Journal of Financial & Quantitative Analysis,”Jun2006, Vol. 41 Issue 2, p317.
17、Anderson, Ronald C., Mansi, Sattar and David M. Reeb, 2003, “Founding family ownership and the agency cost of debt,” Journal of Financial Economics Volume 68, Issue 2 , May 2003, pp 263–285.

18、Sanjeev Bhojraj and Partha Sengupta , 2003, “Effect of Corporate Governance on Bond Ratings and Yields: The Role of Institutional Investors and Outside Directors,” The Journal of Business Vol. 76, No. 3 (July 2003), pp. 455-475.

19、Stewart.C Myers, 1977, “ The Determinants of Corporate Liquidity: Theory and Evidence,” The Journal of Financial and Quantitative Analysis
Vol. 33, No. 3 (Sep., 1998), pp. 335-359.

20、Stewart C. Myers and Nicholas S. Majluf, 1983, “Corporate financing and
investment decisions when firms have information that investors do not have,”Journal of Financial Economics, Vol. 13, No. 2, 1984, pp. 187-221.


中文文獻:
1、鄭悅 (2007)。信用評等、公司治理對於債務資金成本之影響。未出版碩
士論文，輔仁大學會計學系研究所，新莊。
2、鄭揚耀&林如峯 (2008)。經理人持股比例與公司債到期期間結構關係之
研究—以台灣上市公司為例。未出版碩士論文，國立中正大學財務金
融所，民雄。
3、孫得盈 (2008)，公司債殖利率與其流動性影響因素之關聯性研究。未出
版碩士論文，輔仁大學金融研究所，新莊。