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標題: 過度自信經理人與錯價對融資選擇之影響
The Effects of Overconfident Manager and Mispricing on Financing Choice
作者: 葉昕翰
Yeh, Hsin-Han
Contributors: 林宜勉
Yi-Mien Lin
會計學研究所
關鍵字: 過度自信;市場擇時;錯誤定價;實質投資;資本結構;目標槓桿調整;融資順位理論
Overconfidence;Market timing;Mispricing;Real investment;Capital structure;Target leverage adjustment;Pecking order theory
日期: 2013
Issue Date: 2013-11-19 12:53:50 (UTC+8)
Publisher: 會計學研究所
摘要: 過度自信經理人與錯價對公司融資選擇之影響

摘 要

本文首先探討公司融資行為是否受到過度自信經理人與市場擇時之影響。其次,探討市場擇時與投資機會和過度自信經理人特性對融資活動之影響。最後,對實際槓桿比率與目標槓桿比率差異下對於市場擇時與投資機會和過度自信經理人特性對融資活動產生何種效果作探討。本文於三項研究之後,分析其後續報酬率,以探討公司是否會因為融資行為進而使未來報酬受到影響。最後,利用敏感性測試驗證資本結構調節、當公司處於不同生命週期階段時與過度自信、市場擇時及實質投資對於融資行為的影響是否穩健。

實證結果顯示,在過度自信與錯價交互影響下,公司融資決策會偏向權益融資,而同時採權益及負債融資方式時則不顯著。在融資後績效影響上,過度自信與錯價之交互效果對權益融資後未來報酬有正向影響,但當公司因錯價而進行權益融資,反而造成後續報酬減少;當同時採用權益及負債融資時,過度自信與錯價之相互影響會對後續績效產生負面影響。而當公司具成長選擇權時,過度自信特性與錯價之交互效果對於公司權益融資的決策呈正向影響;但在考慮投資機會後,公司融資決策則未具顯著偏好,甚至,與採用權益融資行為呈負相關;而後續績效衡量上,採取權益融資時,公司進行研發會使後續績效增加;同時採取權益及負債融資時,當經理人持股數越多,資本支出對公司後續績效會造成正向影響。

另一方面,藉由目標槓桿比率與實際槓桿比率之差距作分群,在公司融資行為選擇上方向相同,但影響都降低,甚至不顯著。而後續績效上,過度自信、市場擇時及具成長選擇權相互影響情況都並未與後續報酬呈顯著關係,除了當完全採權益融資,錯價與過度自信之相互影響、研究發展費用與過度自信之相互影響均會對公司未來績效呈現顯著正相關。當考慮生命週期階段下,公司有錯誤定價且經理人具過度自信時,成長期的公司會較傾向進行權益融資。實證結果說明,資本結構調整確實會對過度自信、市場擇時及實質投資三者與公司融資行為選擇上產生顯著的影響。
The Effects of Overconfident Manager and Mispricing
on Financing Choice

Abstract

This study first examines whether corporate financing choice is influenced by overconfidence managers and market timing, and whether financing choice are influenced by market timing, investment opportunities, and overconfidence characteristics of managers. Furthermore, this study uses the differences between actual leverage ratio and target leverage ratio to examine how market timing, investment opportunities, and manager’s overconfidence characteristics to affect financing choices. After that, using future performance, we investigate whether return of assets of a firm will be affected by the financing choice. Finally, a robustness test verifies that the effects of overconfidence manager, market timing, and real investment on the financing choice when the firm is in the different life-cycle.

The empirical results show that when the interaction between overconfidence and mispricing, make the firm prefer to choice equity financing, while if the firm use both equity and debts financings, this effect does not significant. For the operating performance after financing, the interaction between overconfidence and mispricing has a positive impact on future returns of assets. However, when the firm choose equity financing because of the mispricing, would cause the subsequent loss of return. If the firm uses equity and debt financings, the interaction between overconfidence and mispricing would cause the negative impact on subsequent performance. For the firm with growth option, the interaction between overconfidence characteristics and mispricing has a positive impact on equity financings of a firm. After considering investment opportunities, the firm’s financing choice does not have significant prefer once, even has a negative association with equity financing. For subsequent operating performance, when the firm chooses equity financings, R&D expenditure induces the subsequent returns increase.

On the other hand, grouping the samples based on the difference between the target and actual leverage ratios, although the directions of findings are consistent with the above results, the influcence ability decrease. As for subsequent performance, both the interaction between overconfidence and market timing and the interaction overconfidence and growth option do not have significant association with subsequent performance. Using equity financings, both the interaction between mispricing and overconfidence and the interaction between R&D expenditure and overconfidence of managers have significant positively association with future performance of a firm. As for the firm’s life-cycle, when firm is at the growth stage, the interaction between mispricing and overconfidence has a positive impact on equity financing.

The documents also indicate that the capital constructure have a significant influence on relationship among financing choice and overconfidence, real investment, and market timing.
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