臺灣上市櫃公司之財務限制指標評估

Abstract

目前文獻中較常提到之財務限制衡量方式有：Kaplan & Zingales Index (KZ Index)、Whited & Wu Index (WW Index)、Size & Age Index (SA Index)、Cash Flow Sensitivity of Cash與Investment-Cash Flow Sensitivity。本文試著透過2000年至2014年之臺灣上市櫃公司財務資料，針對上述五種衡量方式進行檢驗，視何種衡量方式相對較適合用來衡量臺灣企業。本文發現，如以2000年至2014年之長期財務資料進行分析，則以新建立之KZ Index其模型係數較為顯著，且與傳統KZ Index之係數相去不遠；惟如以金融海嘯期間之資料進行分析，則無論係採取2008年至2009年之年資料，或2008年第三季至2009年第三季之季資料，其模型係數幾不顯著，意即該模型似無法於金融海嘯期間適用。

Nowadays, the most common financial constraint measures in empirical studies are: Kaplan & Zingales Index (KZ Index), Whited & Wu Index (WW Index), Size & Age Index (SA Index), Cash Flow Sensitivity of Cash and Investment-Cash Flow Sensitivity. In this study, we try to use financial data of Taiwan TSEC & OTC listed companies to fit these models. The data period is from 2000 to 2014. We want to figure out which model is relatively proper for Taiwan listed companies. The empirical results show that the coefficients of the new KZ Index model are statistically significant. Also, the coefficients are quite similar to the traditional KZ Index. However, the coefficients of the new KZ Index model are not statistically significant during financial crisis. More clearly, whether we use the annual data from 2008 to 2009, or quarterly data from the third quarter in 2008 to third quarter in 2009, the coefficients of the KZ Index model are not statistically significant. Accordingly, the KZ Index model is not proper for Taiwan listed companies during the financial crisis.