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研究生：	莊智安 Chuang, Chih-An
論文名稱：	公司現金持有與經濟成長-分量迴歸之應用 Firm’s Cash Holdings Ratio and Economic Growth: Two Essays on Application of Quantile Regression Model
指導教授：	黎明淵 Li, Ming-Yuan
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2007
畢業學年度：	95
語文別：	英文
論文頁數：	44
中文關鍵詞：	分量迴歸、現金持有、經濟成長
外文關鍵詞：	cash holdings, economic growth, quantile regression
相關次數：	點閱：126 下載：5
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The essays in the thesis employ the quantile regression method to examine the determinants of firm’s cash holdings ratio and the macroeconomic variables how affect economic growth.
The first essay examines the determinants of the cash holdings ratio by S&P 500 firms from 1996-2005. We employ the quantile regression method to test how the various variables affect the cash holdings ratio of the firms. Based on our empirical evidence, we find that the firm’s size, leverage, capital expenditures, and dividend payout have a negative effect on the cash holdings ratio. In particular, in the firm with the higher cash holdings, the effect on size is significant. But at the higher cash holdings ratio, leverage effect is not significant. Also, we find that the investment opportunity and R&D expenses are positively related to the cash holdings ratio of the firm. There is little evidence at the higher cash holdings the investment opportunities have a positive impact on the cash holdings ratio. The evidence results show that size, leverage and R&D expenses consist with static model. Firm’s capital expenditure consists with financing hierarchy model.
The second essay examines the determinants of economic growth by group-of-seven countries from 1959-2006. We employ the quantile regression method to test the effect of government consumption, short term interest rate, investment, export, and import on GDP. Based on our empirical evidence, government consumption and short term interest rate has a negative effect on GDP during the period of business recession. Investment and export have a positive effect on GDP. There is a negative relation between import and GDP. The effect of investment on GDP is statistically significant during business cycle. During the period of business expansion, import has a statistically negative effect on GDP.

Essay 1: The Evidence Study of the Determinants of the Firm’s Cash Holdings Ratio

1. Introduction ----------------------------------------------------------------------------------------- 6
1.1 Motives for Cash Holdings ----------------------------------------------------------------- 6
1.2 Theory and Hypotheses --------------------------------------------------------------------- 7
   1.2.1 The Transaction Cost Theory -------------------------------------------------------- 7
   1.2.2 The Information Asymmetries Theory --------------------------------------------- 8
   1.2.3 The Agency Costs Theory ----------------------------------------------------------- 8
   1.2.4 The Financing Hierarchy Theory --------------------------------------------------- 8
1.3 Related Literature ----------------------------------------------------------------------------- 9
2. Data, determinants, and model specification ------------------------------------------------- 11
  2.1 Data -------------------------------------------------------------------------------------------- 11
  2.2 Determinants --------------------------------------------------------------------------------- 12
  2.3 Model specification -------------------------------------------------------------------------- 13
3. Empirical results ---------------------------------------------------------------------------------- 14
  3.1 Empirical results by OLS ------------------------------------------------------------------- 14
  3.2 Empirical results by quantile regression -------------------------------------------------- 15
4. Conclusion ---------------------------------------------------------------------------------------- 18
Reference --------------------------------------------------------------------------------------------- 20
Essay 2: The Evidence Study of the Determinants of the Economic Growth

1. Introduction --------------------------------------------------------------------------------------- 30
2. Data, determinants, and model specification ------------------------------------------------- 31
  2.1 Data and determinants ---------------------------------------------------------------------- 31
  2.2 Model specification -------------------------------------------------------------------------- 33
3. Empirical results ---------------------------------------------------------------------------------- 34
  3.1 Empirical results by OLS ------------------------------------------------------------------- 34
  3.2 Empirical results by quantile regression -------------------------------------------------- 35
4. Conclusion ---------------------------------------------------------------------------------------- 38
Reference --------------------------------------------------------------------------------------------- 39

List of Tables
Essay 1: The Evidence Study of the Determinants of the Firm’s Cash Holdings Ratio

Table 1 The impact of determinants on cash holdings ratio ----------------------------------- 22
Table 2 Cash holdings ratio by maximum, minimum, mean, and quartiles ----------------- 23
Table 3 Definitions of Variables ------------------------------------------------------------------ 23
Table 4 OLS Estimation Results ------------------------------------------------------------------ 24
Table 5 Estimation Results for the Quantile Regression --------------------------------------- 25
Table 6 Test whether the effect of variables are the same at the θth and 1-θth quantiles----------------------------------------------------------------------------------------------- 26

Essay 2: The Evidence Study of the Determinants of the Economic Growth
Table 1 OLS Estimation Results ---------------------------------------------------------------------- 41
Table 2 Estimation Results for the Quantile Regression --------------------------------------- 42
Table 3 Test whether the effect of variables are the same at the θth and 1-θth quantiles----------------------------------------------------------------------------------------------- 43

List of Figures
Essay 1: The Evidence Study of the Determinants of the Firm’s Cash Holdings Ratio

Figure 1 Cash holdings ratio of the firms by quartiles and mean ----------------------------- 22
Figure 2(a-f) Estimated coefficients and 95% confidence interval --------------------------- 27

Essay 2: The Evidence Study of the Determinants of the Economic Growth

Figure 1(a-e) Estimated coefficients and 95% confidence interval --------------------------- 44
                                    

Essay 1:
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Fattouh, B., Scaramozzino, P., and Harris, L. (2005), “Capital Structure in South Korea: A Quantile Regression Approach,” Journal of Development Economics, 76, 231-250
Harford, J. (1999), “Corporate cash reserves and acquisitions,” Journal of Finance, 54, 1969-1997
Harford, J., and Haushalter, D. (2000), “Cash Flow Shock, Investment, and Financial Constraint: Evidence from A Natural Experiment,” Unpulished working paper University of Oregon, Eugene, OR
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Kester, C. W. (1986), “Capital and Ownership Structure: A Comparison of United States and Japanese Manufacturing Corporations,” Financial Management, 15, 5-16
Keynes, J. M. (1936) “The General Theory of Employment in Interest and Money” Harcourt Brace, London
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Lakshmi, S. S., and Myers, S. C. (1999), “Testing static tradeoff against pecking order models of capital structure,” Journal of Financial Economics, 51, 219-244
Mikkelson, W., and Partch, M. (2003), “Do Persistent Large Cash Reserves Hinder Performance?” Journal of Financial and Quantitative Analysis, 38, 275-294
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Essay 2:
Kormendi, R. C., and Meguire, P. (1985), “Macroeconomic Determinants of Growth: Cross-Country Evidence,” Journal of Monetary Economics, 16, 141-163
Grier, K. B., and Tullock, G. (1989), “An Empirical Analysis of Cross-National Economic Growth,” Journal of Monetary Economics, 24, 259-276
Garrison, C. B., and Lee, F. Y. (1995), “The Effect of Macroeconomic Variables on Economic Growth Rates: A Cross-Country Study,” Journal of Macroeconomics, 17, 303-317
Barro, R. J. (1991), “Economic Growth in a Cross Section of Countries,” The Quarterly Journal of Economics, 106, 407-443
Kandil, M. (1992), “Interest Rate Variability and Economic Performance: Some International Evidence,” Applied Economics, 24, 175-191
Ghali, K. H. (1998), “Government Size and Economic Growth: evidence from a multivariate cointegration analysis”
Lin, A. Y. (1994), “Government Spending and Economic Growth,” Applied Economics, 26, 83-94
Martin, R., and Fardmanesh, M. (1990), “Fiscal Variables and Growth: A Cross-Sectional Analysis,” Public Choice, 64, 239-251
Easterly, W., and Rebelo, S. (1993), “Fiscal Policy and Economic Growth: An Empirical Investigation,” Journal of Monetary Economics, 32, 417-458
Landau, D. (1983), “Government Expenditure and Economic Growth: A Cross-Country Study,” Southern Economic Journal, 49, 783-792
Smith, W. L. (1957), “Monetary-Fiscal Policy and Economic Growth,” The Quarterly Journal of Economics, 71, 36-55
Smith, D. C. (1960), “Monetary-Fiscal Policy and Economic Growth in an Open Economy,” The Quarterly Journal of Economics, 74, 614-632
Mankiw, N. G., Romer, D., and Weil, D. N. (1992), “A Contribution to the Empirics of Economic Growth,” The Quarterly Journal of Economics, 107, 407-437

校內：2010-06-27公開
校外：2010-06-27公開

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