低利率期間對投資現金流敏感度與內部資本市場影響 台灣上市櫃公司之實證研究

Abstract

歷經2008年金融海嘯後，各國為有效刺激經濟復甦而採用極低利率、甚至為負利率之貨幣政策，台灣央行同樣地亦採取降低利率的方式來應對。歷年海內外研究多著重於投資-現金流敏感度與融資限制之間的關係，鮮少考慮外部衝擊對於投資-現金流敏感度之影響。本研究的目的在於探討金融海嘯後極低利率對於台灣上市櫃企業的投資-現金流量敏感度以及集團內部資本市場機制的影響。 本研究取樣2003至2007年及2011至2016年，共11年之台灣上市櫃公司資料，排除2008年至2010年金融海嘯期間，並將樣本分為集團、非集團、大公司及小公司。本研究的實證結果發現：在低利率時期，台灣上市櫃公司全體的投資-現金流量敏感度顯著下降；集團企業因有內部資金市場的優勢，面臨的融資限制問題較小，因此敏感度雖顯著下降，但下降幅度比非集團企業小；大公司因自身資產規模大，可做為融資抵押品之金額高且資訊不對稱問題小，融資受限較小，因此其投資-現金流敏感度無顯著降低；而小公司之敏感度則呈現顯著下降。最後，在低利率期間，集團內部資本市場仍保有降低集團成員融資限制的功能，但其效果未如高利率期間好。

After the financial crisis of 2008, countries all over the world slashed interest rates by loosening monetary policies to protect the fragile economy. ECB and Japan even implemented the negative interest rate policy. The reduction in interest rates changes the funding costs of firms, and therefore may have important impacts on the firms’ financing and investment decisions. Using the data of the Taiwanese listed firms in the pre-crisis period with higher interest rates (2003-2007) and the post-crisis period with lower interest rates (2011-2016), this thesis studies how the changes in interest rates affect firms’ investment-cash flow sensitivity and the internal capital market of group firms. Neither one of these two issues has been extensively studied in the literature. In addition to investigating the effects of low interest rates on firms’ investment-cash flow sensitivity for the whole sample, the thesis also examines the same effects for the subsamples of group and non-group firms and the subsamples with different firm size. For the whole sample, the investment-cash flow sensitivity decreases significantly when the interest rates become lower. The same result holds for the subsamples of both group firms and non-group firms, and the non-group firm subsample faces a greater drop in the sensitivity after the 2008 crisis. The investment-cash flow sensitivity of small firms also significantly decreases in the post-crisis period, while that of large firms does not. In addition, the internal capital market of enterprise groups has the merit of reducing financial constraints of group members in both the pre-crisis and post-crisis periods, but its function becomes weaker in the post-crisis period.