企业的资产波动性、有效税率和杠杆效应——来自台湾的证据

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2020-01-02 DOI:10.1080/10293523.2019.1707457

An-Sing Chen, P. Anh

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引用次数: 0

摘要

摘要本文以台湾上市非金融企业为研究对象，检视资本结构框架下企业资产波动率与有效税率及股权波动率的关系。通过对不对称对角VECH-GJR模型下企业杠杆效应假设的分析，我们发现股票波动率和资产波动率都不存在不对称效应。在股票波动率动态背景下，当模型加入资产波动率作为控制变量时，财务杠杆与股票波动率由负相关变为正相关。此外，研究发现，较低的股票波动性与较高的有效税率有关。

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The firm’s asset volatility, effective tax rate and leverage effect: Evidence from Taiwan

ABSTRACT This paper examines firms’ asset volatility across a broad cross-section of publicly traded Taiwanese listed nonfinancial firms and its relationship with effective tax rate and equity volatility under the capital structure framework. By analysing the leverage effect hypothesis of firms under the asymmetric diagonal VECH-GJR model, we find both equity volatility and asset volatility do not show the asymmetric effect. In the context of equity volatility dynamics, financial leverage turns from being negatively related to equity volatility to being positively related to equity volatility when the model adds asset volatility as a control variable. Moreover, lower equity volatility is found to be associated with higher effective tax rates.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.