Does Advertising Growth Anomaly Proxy for Risk Exposure?

[[note]]MOST106-2410-H327-01

Leverage and Long-Run Performance Following Capital Investment: A Risk-Based Explanation

[[abstract]]Titman, Wei, and Xie (2004) 研究發現，公司從事異常資本投資活動後五年的股票長期績 效顯著低於其比較公司 (benchmarks)；而此現象更顯見於低槓桿或高現金流量的公司。Titman et al. (2004) 以價格錯估 (mispricing) 的觀點為上開現象提供解釋，認為市場投資人對於隱含 在資本投資中的帝國建立代理問題之相關訊息具有反應不足傾向。然而，低槓桿公司在資本 投資後，所面臨的長期績效不佳現象，亦可能是反映從事資本投資公司對於槓桿攸關風險因 子 (例如違約價差 (default spread)) 的曝險程度較低所致。 誠如過去文獻所述，槓桿闡述著公司股票對於系統性風險的曝露程度，此論點隱含較低 (高) 槓桿的公司對於槓桿攸關風險因子將具有較低 (高) 的曝險程度，致使應獲得較低 (高) 的期望報酬率 (例如Modigliani and Miller (1958); Eckbo, Masulis, and Norli (2000); Eckbo and Norli (2005); Penman, Richardson and Tuna (2007); 與George and Hwang (2009))。立基於此核 心論點，本文建立以下研究假說：公司從事異常資本投資活動之後，所面臨到的股票長期績 效不佳現象，係因其對於槓桿攸關風險因子的曝險程度較低所致。 倘若本文假說成立，則我們可以預期資本投資後五年的股票報酬率將能夠由一項包含與 槓桿攸關的總體風險因子之因子模型所解釋，亦即，在因子模型中考量了與槓桿攸關的總體 風險因子後，異常資本投資活動後的負向股票報酬率將不再具有統計顯著性。[[abstract]]Titman, Wei, and Xie (2004) document that firms that substantially increase capital expenditures significantly underperform various return benchmarks over a 5-year period following the expenditures. They also show that the negative relation between increased capital expenditures and subsequent returns is stronger for firms with less debt or more cash flows. By providing a mispricing-based explanation, Titman et al. (2004) interpret their overall findings as suggestion that market investors tend to underreact to the empire building implications of increased investment expenditures. However, the lower post-investment expected returns in low-leverage firms may also be a result from lower exposure to leverage-related risk factors. In this essay I attempt to show new evidence on a potential risk-based explanation for low post-investment returns. As suggested by previous literature, leverage amplifies the exposure of equity to priced systematic risk, which implies that firms with lower (higher) leverage tend to exhibit less (more) exposure to leverage-related risk factors and thus earn lower (higher) expected returns (e.g., Modigliani and Miller (1958); Eckbo, Masulis, and Norli (2000); Eckbo and Norli (2005); Penman, Richardson and Tuna (2007); and George and Hwang (2009)). Building upon this core argument, this essay hypothesizes that firms that substantially increase capital investments have lower expected return due to lower exposures to leverage-related risk factors (e.g., default spread). If it is the case that firms that substantially increase capital investments have lower expected return due to lower exposures to leverage-related risk factors, it is expected that the benchmark-adjusted abnormal return (Jensen’s alpha) is statistically insignificant different from zero after incorporating a set of leverage-related risk factors into the model specifications.[[note]]NSC102-2410-H327-00

Management Voluntary Disclosure and the Value of Cash

[[abstract]]彙整過去文獻所述，公司現金持有對於公司價值將可能產生正面或負面影響。在正面影 響方面，融資順位理論認為，基於資金成本的考量，公司將偏好使用內部資金。此理論隱含， 當公司承受著因資訊不對稱所帶來的逆選擇問題；或當公司承受著較高的融資限制障礙時， 則其現金持有價值將較高。在負面影響方面，自由現金流量假說認為，公司具有充足自由現 金流量時，將可能導致公司管理階層因其個人私利動機而進行浪費性投資，但卻不願將公司 現金發放給股東。此假說隱含，當公司承受著因資訊不對稱所帶來的道德風險問題，則其現 金持有價值將較低。近期文獻普遍發現，當公司具有建全公司治理機制，較能夠有效抑制上 述道德風險問題，因而提高其公司現金持有價值。 立基於上開理論基礎，本文試圖探討管理階層自願性揭露的質與量如何影響公司現金持 有價值。本文所提之「外部融資成本假說」主張公司管理階層自願性揭露的可能性 (頻率) 較 高或盈餘預測的可信度較高時，其資訊不對稱的逆選擇問題將愈趨緩，外部資金成本亦較低， 致使其現金持有價值愈低。相對地，本文所提之「代理衝突假說」則主張公司管理階層自願 性揭露的可能性 (頻率) 較高或盈餘預測的可信度較高時，可能反映公司具有較健全公司治 理機制，其道德風險問題將愈趨緩，代理成本亦較低，致使其現金持有價值愈高。 為驗證上開兩項假說，本文研究設計將以公司價值為被解釋變數，並以管理階層自願性 揭露頻率 (或盈餘預測可信度) 與現金持有比例的交乘項為最主要解釋變數，在控制其他變 數下進行迴歸分析。本文「外部融資成本假說」預期管理階層從事自願性揭露頻率 (或盈餘 預測可信度) 與現金持有比例的交乘項將呈現顯著負值 (負值)。相反地，本文「代理衝突假 說」預期管理階層從事自願性揭露頻率 (或盈餘預測可信度) 與現金持有比例的交乘項將呈 現顯著正值 (正值)。[[abstract]]As suggested by previous literature, firm with more cash holdings could experience more or less market value. On the one hand, the pecking order theory suggests that firms prefer internal to external finance due to costly external financing, which implies that cash holdings would be valuable for firms with adverse selection problems from information asymmetry or for financially constrained firms. On the other hand, the free cash flow hypothesis suggests that the self-interest managers endowed with free cash flow will invest wastefully, rather than pay it out to shareholders, which implies that cash holdings would be invaluable for firms with moral hazard problems from information asymmetry. Recent researches empirically find that well-governed firms generally have less entrenched managers and thus substantially increase the value of a dollar of cash. Building upon the suggestions above, this essay attempts to examine how the quantity and quality of management voluntary disclosure impact the value of cash holdings. Our “costly external financing” hypothesis suggests that firms with a higher likelihood (frequency) of making a management earnings forecast or with a higher accuracy of management earnings forecast would be less like to exhibit adverse selection problems and thus have lower cost of capital, which should imply a decrease in cash value. In contrast, our “agency conflict” hypothesis suggests that firms with a higher likelihood (frequency) of making a management earnings forecast or with a higher accuracy of management earnings forecast would be less like to exhibit moral hazard problems and thus have lower agency cost, which should imply an increase in cash value. To test the two competing hypotheses, I will estimate the valuation regression using firm value as a dependent variable and the interaction term between management forecast likelihood (management forecast accuracy) and cash ratio as the main independent variable. Our “costly external financing” hypothesis predicts that the interaction term between management forecast likelihood (management forecast accuracy) and cash ratio would be significantly negative (negative). In contrast, our “agency conflict” hypothesis predicts that the interaction term between management forecast likelihood (management forecast accuracy) and cash ratio would be significantly positive (positive).[[note]]MOST103-2410-H327-00

台灣上市公司的現?持有、現?持有價值與公司生命週期：預防性動機假?之驗證 Cash Holding, Value of Cash Holding, and Firm Life Cycle in Taiwan: An Examination of Precautionary Motive Hypothesis

[[abstract]]?基於 Keynes (1936) 預防性動機假?，本文以台灣上市公司為研究樣本，探討現?持有 與現?持有價值如何隨著公司生命週期而變化。以公司?齡為公司生命週期代?變?， 本文研究發現，公司現?持有比?隨著公司?齡增長而逐漸下?。而此單調遞減現象可 由預防性動機假??解釋：相對於成熟公司，台灣?輕公司普遍具有較大的產業平均現 ???波動?、較高的市價淨值比、較高的資本支出?、較高的研發支出?、較嚴重的 財務赤字與較小的公司規模，此等特性隱含在面對現????足與財務危機的??衝擊 時，?輕的草創公司將承受較高成本，因此傾向持有較多預防性現?。此外，本文另一 項重要研究結果顯示，現?持有價值亦隨著公司?齡增長而逐漸下?，此發現支持台灣 ?輕草創公司相較於成熟公司具有較高融資限制的??預期。整體而言，本文研究結果 與預防性動機假?的財務意涵相符。本文研究貢獻在於引用預防性動機假?，以直接證 據詮釋台灣上市公司的現?持有與現?持有價值隨著公司生命週期演進的動態趨勢。 Building upon Keynes (1936) precautionary motive hypothesis, this paper tests how the cash holding and the value of cash holding vary with firm life cycle for firms listed on Taiwan Stock Exchange (TSE). By employing firm age as a proxy for firm life cycle, we find that ratio of cash holding decreases with firm age. Such monotonic decreasing pattern in cash ratios can be explained by precautionary motive hypothesis: relative to mature firms, Taiwan’s young firms tend to exhibit more precautionary-based cash due to greater industry-level volatility in cash flow, higher market-to-book ratio, greater density of capital expenditures, greater R&D intensive, higher financing deficit, and smaller size, in which case adverse shocks and financial distress are more costly for them. Furthermore, another key finding in this paper is that the value of cash holding also decreases with firm age, supporting that young firms are more financially constraint than mature firms in Taiwan. Overall, our results are consistent with the implication of the precautionary motive hypothesis. This paper contributes to literature by providing direct evidence to relate the cash holding and the value of cash holding to firm life cycle for TSE-listed firms based on the precautionary motive hypothesis

Stock Market Liquidity and the Business Cycle: Comprehensive Evidence from Taiwan

[[abstract]]本文以台灣股市為樣本，探討股市流動性與總體景氣循環的動態關係。Granger因果檢定結果顯示，台灣股市流動性對於未來總體景氣循環具預測能力，但總體景氣循環卻無法捕捉股市流動性趨勢。再者，時間序列迴歸結果顯示，在控制其他攸關變數後 (例如股市報酬率)，前一季股市流動性的下降 (提高) 依然能夠顯著地預測本季總體景氣即將衰退 (成長) 態勢。而相對於大型股票，台灣小型股票流動性較具有預測未來總體景氣循環的能力，此結果符合安全性轉移或流動性轉移的理論預期。更進一步地，本文發現台灣機構投資人參與股市意願的強弱程度能夠顯著正向地解釋股市流動性動態。再以2008年金融海嘯期間為例，本文亦發現，在總體景氣衰退 (成長) 期間，台灣機構投資人普遍顯現出集體退出 (進入) 股市的傾向；而礙於最低持股限制，台灣投信法人則傾向在景氣衰退 (成長) 期間逐漸減少 (增加) 持有小型股票且同時逐漸增加 (減少) 持有大型股票。整體而言，本文研究貢獻在於提供廣泛性證據驗證台灣股市流動性確實涵蓋關於未來總體景氣的資訊成份，特別是小型股票流動性的資訊內涵更為攸關；而台灣股市流動性對於總體景氣循環所具備的預測能力至少可部份歸因於台灣機構投資人的持股交易動態。[[abstract]]Using a sample of the Taiwan Stock Exchange (TWSE) during 1982Q1-2012Q2, this paper provides comprehensive evidence on testing the relation between stock market liquidity and the business cycle. The Granger causality test shows that the TWSE market liquidity appears to predict the future state of the real economy, while the real economy cannot capture the variation of the market liquidity. Further, results of the time-series regressions indicate that after controlling for other well-known predictors of the business cycle, a decline (increase) in market liquidity in the previous quarter is still significantly related to an economic downturn (turnaround) in this quarter. Compared to large-cap stocks, the liquidity of small-cap stocks are more powerful in predicting future economic conditions, which is consistent with the expectation of flight-to-quality or flight-to-liquidity. Using the ownership by the TWSE’s three major institutional investors to capture the institutional market participation, we find that the institutional market participation contributes positively the TWSE market liquidity. By studying the case of the financial tsunami during 2008Q1-2010Q4, we also find that, on average, TWSE institutional investors tend to flee (enter) the stock market altogether during economic recessions (expansions). Due to binding stake constraints, TWSE mutual funds tend to shift their portfolios from small (large) to large (small) stocks during economic recessions (expansions). Overall, this paper contributes to literature by providing comprehensive evidence to confirm that Taiwan stock market liquidity indeed contains information about future real economic activity (especially for the liquidity of small stocks) and that the predictive ability of market liquidity for the economic growth is due, at least in part, to the dynamic in institutional market participation

The Work plan of Shourthern Environmental Education Regional Center.

[[abstract]]本計畫以「環境教育增能計畫」(EECapacity)的運作架構，計畫執行區域範圍，包括：嘉義縣、嘉義市、台南市、高雄市、屏東縣、澎湖縣等六縣市，並依照美國環境教育增能計畫的五個主要方案規劃工作項目，包括：專業領導、增能學習、科技支援、研究評估與夥伴傳播。本年度計畫工作以整合南部地區產、官、學及民間組織等各方的環境教育資源及人力，形成夥伴網絡並建置專業學習社群，彙整併歸納南部地區的環境資源特色，以有效推廣環境教育工作，針對目前環境教育實施現況，進行機構、場域及人員之現況分析，提出可行方案。並以產業化導向作為主軸發展，提出試運行方案評估後續發展之可能。[[abstract]]"Environmental education (EE) capacity" is used as the operational framework in this project. Six cities and counties are covered in this project: Chiayi, Tainan, Kaohsiung, Pingtung, and Penghu. The tasks including leadership academy, capacity building, technological support, research and evaluation, and dissemination partnership are planned according to the five programs of a US EE capacity project.This year, we integrated the environmental education resources and manpower of industries, governments, academic institutes, and NGOs in southern region to form partner networks, developed professional learning communities, summarized the features of local environmental resources to effectively promote environmental education, analyzed the current status of environmental education in terms of agencies, venues,and personnel to propose feasible measures. We also adopted industrialization as a theme for development and devised a tentative program to assess subsequent developmental possibilities.[[note]]EPA-103-EA04-03-A14