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| 題名: | 會計穩健原則、融資額度、與商用不動產投資：理論及實證分析;Accounting Conservatism, Debt Capacity, and Corporate Real Estate Holdings: Theory and Empirical Analysis |
| 作者: | 李丹;黃泓人 |
| 貢獻者: | 國立中央大學財務金融學系 |
| 關鍵詞: | 會計穩健原則;商用不動產投資;資本結構;分析性模型;Accounting conservatism;Corporate real estate holdings;Capital structure;Analytical models |
| 日期: | 2018-12-19 |
| 上傳時間: | 2018-12-20 12:06:15 (UTC+8) |
| 出版者: | 科技部 |
| 摘要: | 本計畫擬探討「會計穩健原則」如何影響「商用不動產投資」。會計穩健原則可能透過兩種方式影響 商用不動產投資：第一是「抵押品」管道，亦即會計穩健原則增進企業借款能力，進而提昇其投資商 用不動產的潛力；另一方面，債權人對保守穩健的企業傾向要求較少擔保品抵押，反而減少企業投資 商不動產作為抵押品之動機。此兩項加總而言，無法確定會計穩健原則的影響。第二可稱為「直接」 影響管道，和多數既有實證研究探討會計穩健原則如何影響企業的總資本投資高度相關；然而由於過 去文獻顯示會計穩健原則可能增進或抑止企業資本投資，此一管道亦無確切結論。因此本計畫擬先建 立嚴謹的理論模型，探討此一研究謎題。 第一年計畫中，本人計畫擴充Li (CAR, 2013) 的三期模型，但考量最適舉債規模與不動產市場重 要特性。本計畫基本模型對 Li 的主要修正為：(1) 藉由倒推歸納法計算最適債務額，以確保債權人 的放款獲得合理報酬率；(2) 假設債權人要求以未來可能會增/貶值的商用不動產作為其貸款風險的抵 押品；以及(3) 若計畫報償優於預期，企業家可藉由租賃取得所需的額外空間。換句話說，「持有」商 用不動產與「租賃」互為替代性投資。在進階模型中，則擬納入Ambrose et al. (即將刊登在 RoF) 的 模型，亦即企業的商用不動產投資在某些情況下與租賃為互補性投資。 在本計畫基本模型中，企業家可獲知投資計畫本質（佳或差）的私人資訊，據以提供會計訊號予 債權人。企業家傾向「浮報」計畫利潤，然若企業會計原則愈穩健，此一傾向愈小。本計畫基本模型 的初步結果顯示，當預期商用不動產增值較高 (低)，同時租賃支出相對較低 (高)，愈保守的企業傾向 持有較多 (較少) 商用不動產。然而實務上不動產價值多與租賃支出同向變動，因而上述假說亟待驗 證，亦為本人第二年計畫擬探討重點。 第二年計畫中，本人擬採用紐約證券交易所、美國證券交易所、以及那斯達克交易所上市公司由1982 年到2014 年的縱橫資料進行實證分析。本人將利用Compustat 及 CRSP 資料庫計算如商用不動 產投資比例、租賃支出、與會計穩健程度等企業特性變數；並擬於國家不動產投資信託委員會 （NCREIF）等公開網站取得而不動產市場的趨勢和波動資料。實證方法擬聯立以公司債務和商用不 動產投資比例為應變數的兩縮減式，以兩階段最小平方法以及一般化動差法等，推估聯立方程式自變 數的係數。 ;This study investigates how accounting conservatism affects corporate real estate (CRE) holdings. Although ample extant empirical studies indicate that accounting conservatism may either encourage or deter physical investments, none has attempt to link accounting conservatism with CRE holdings which accounts for the largest capital investment of many firms. In this research proposal I argue that accounting conservatism may affect CRE holdings through two channels. One is the “collateral” channel as accounting conservatism enhances a firm’s ability to borrow, and thus increases its capacity for CRE holdings; while by contrast creditors tend to require less CRE collaterals from a more conservative firm. As a result no definite effect can be determined for this channel. As for the second “direct” channel, stemming from the focus of most literature which stress on how accounting conservatism affects the physical investments of a firm, would not help clarify the relation as they have not yielded an unambiguous conclusion. Therefore, in this proposal I plan to first establish a rigorous model to link accounting conservatism with CRE holdings of a firm so as to differentiate the impacts from different channels. In the first year of this proposal, I plan to extend the two-agents and three-dates model developed by Li (CAR, 2013) by incorporating the determination of corporate debt capacity and also consider important real estate market features. The main improvements in my basic model are: (1) By using the backward-induction concept I derive the optimal debt amount which ensures the creditor in the model receives a fair rate of return for her loan; (2) I assume the creditor requires CRE as collaterals for her risky loan, which may appreciate/depreciate in the future; And (3) the entrepreneur can lease the required extra space in case the investment turns out to be better than her original expectation; In other words, CRE holdings and leasing are substituting investments. In an advanced model I will attempt on relaxing the above third assumption by incorporating Ambrose et al. (forthcoming in RoF)’s model which finds that conditions under which a company’s real estate holdings and leases are compliments. In my model the entrepreneur observes private information regarding the nature of an investment project, i.e., good or bad, and then sends an accounting signal to the creditor. It is assumed that the entrepreneur tends to “over-state” the nature of the project to some extent. This tendency relates to how conservative the entrepreneur is, i.e., if she does not over-state the profits of a project much, it implies that she applies for higher degree of accounting conservatism. Bearing this definition in mind, the preliminary results of my basic model indicate that more conservative firms tend to hold more (less) CRE when the real estate appreciation is high (low) but leasing expense are relatively low (high). In practice, as the value of real estate and leasing expenses tend to move in the same direction, I plan to empirically answer the above question as the focus of my second year proposal. In the second year I plan to employ the panel data of the U. S. firms listed on the NYSE, AMEX, and NASDAQ exchanges during the period from 1982 to 2014. Firm characteristics including company’s CRE holdings, capital leases ratio, and degree of accounting conservatism will be computed from Compustat and CRISP database, while the trend and volatility in real estate market will be drawn from public websites such as of National Council of Real Estate Investment Fiduciaries (NCREIF) etc. I plan to estimate a pair of simultaneous equations in which the reduced forms for the determinants of corporate debt and CRE holdings will be specified, respectively. Statistical methods such as two-stage least squares and the generalized method of moments (GMM) will be used for estimating the determinants of companies’ financial leverage and their CRE holdings with the stress on the impact of accounting conservatism. |
| 關聯: | 財團法人國家實驗研究院科技政策研究與資訊中心 |
| 顯示於類別: | [財務金融學系] 研究計畫
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