流動性、成長性與資本結構之探討

Abstract

流動性為影響資本結構的要素之一，不過以實證方式連結流動性與資本結構的文獻很少，目前僅見Lipson and Mortal( 2009)發表的股票流動性影響資本結構之文章。然而，該文無法證明兩者間之因果關係，為補足該文之不足，本文設定研究目的為證明股票流動性與槓桿比率有因果關係。本研究使用2001年美國股市報價系統改變做為股票流動性的外生衝擊，並觀察該衝擊發生後，槓桿比率是否因此受影響，若槓桿比率改變，表示股票流動性與公司槓桿比率有因果關係。 本研究由兩部分組成，第一部分為多變項迴歸分析，本文控制不同公司成長性後，複製Lipson and Mortal( 2009)的簡單迴歸，確認在控制不同公司成長性的情況下，股票流動性與槓桿比率仍有相關性。由於公司的流動性基數不同時，流動性對槓桿比率的影響可能不同，因此本文將樣本依照其流動性程度分成五等份，分別進行迴歸分析，以進一步看股票流動性對槓桿比率的影響是否有非線性的現象。此外，在不同交易市場以及不同的產業中，流動性對槓桿比率的影響亦可能不同，因此本研究針對這兩點，仿照基本迴歸架構分別進行迴歸分析。由於文獻顯示股票流動性可能透過公司成長性間接影響槓桿比率，故本研究將進行股票流動性對公司成長性的影響做為可靠性分析。 第二部分為外生性影響的迴歸分析，本研究使用只影響流動性的外生衝擊測試流動性與槓桿比率之因果關係，並且針對流動性透過公司成長性的增加，間接影響槓桿比率之說法進行可靠性測試。 本研究證實流動性與槓桿比率有因果關係，並發現股票流動性對槓桿比率之影響在不同的流動性程度下，有非線性的現象，流動性越佳的股票，其流動性對槓桿比率的影響越大。

Liquidity is one of the factors influencing capital structure. However, empirical evidence focusing on the linkage between liquidity and capital structure is rare. So far, the only empirical evidence is Lipson and Mortal (2009)’s paper showing that liquidity affects capital structure. Nonetheless, this article cannot prove the casual relationship between liquidity and capital structure. Therefore, the purpose of my research is to fill in this gap and show that there is a casual relationship between liquidity and capital structure. I use the change of quote system for U.S. stocks in 2001 as an exogenous shock. The change in liquidity caused by this shock can be used to identify the causal effect of liquidity on capital structure. If capital structure changes after the exogenous shock, the casual relationship between liquidity and capital structure can is proved. The research consists of two parts. The first part is multivariate regression. After controlling different growth measures, I replicate Lipson and Mortal (2009)’s result to confirm the relationship between liquidity and capital structure. When the level of liquidity is different, liquidity’s effect on capital structure may be dissimilar. I group sample firms by quintile according to liquidity and conduct multivariate regression to confirm the nonlinear effect of liquidity on capital structure. In addition, liquidity’s effect on capital structure can be distinct in different markets and industries so I also conduct regressions to confirm these conjectures. Because literatures show that liquidity can influence capital structure through growth, I analyze the effect of liquidity on growth as a robustness test. The second part is the effect of an exogenous shock, which is used to verify the casual effect of liquidity on capital structure. I also confirm the casual effect of liquidity on growth as a robustness test. This study shows two main results. First, liquidity has a casual effect on capital structure. Second, the effect of liquidity on capital structure is nonlinear. The better the liquidity, the greater its influence on capital structure.