漢珍 2008 商學研究與數位資源應用研討會

漢珍 2008商學研究與數位資源應用研討會分量迴歸的介紹與應用降息刺激經濟成長？如何增加公司利潤？漲時看勢，跌時看質？

How Many Years for One SSCI Publication?

How Many Years for One SSCI Publication?

2004 2005 2006 2007 2008 SSCI 發表總篇數 1 1 0 2 7+1 IF>0.5 之 SSCI 發表總篇數 0 0 0 1 5 國科會評定之優良國際期刊 0 0 0 1 5 IF 總合 0.327 0.327 0 0.849 3.518

計量模型與方法的應用• 分析並呈現資料的特性• 解釋過去的經濟現象• 預測未來

• 追蹤資料 (panel) 資料 :

資料• 橫斷面 (cross-section) 資料 :• 時間序列 (time series) 資料 :

不同實證結果的爭論 ?

• 計量模型失靈 ?• 計量學家失靈 ?• 實證資料不對 ?• 瞎子摸象？

不同實證結果的爭論 ?• Certain puzzles of the relations between

firm profitability and its determinants:– R&D expense– Size effect on the profitability – Debt ratio puzzle

不同實證結果的爭論 ?• R&D expense

– Branch (1974); Grabowski and Mueller (1978); Reinhard (1985); Guerard, et al. (1987); Brown (1988); Kraft (1989): Chan, et al. (1990); Morbey and Reithner (1990); Sougiannis (1994); Deng, et al. (1999) and Schoenecker and Swanson (2002)

不同實證結果的爭論 ?• The effect of size on the profitability

– Ferri and Jones (1979), Smith and Watts (1992), Panzar and Willig (1979), Eckard (1990) and Paul (2001)

– Williamson (1967), Holmes, et al. (1991); Lever (1996); Chuang (1999); Pull (2003)

不同實證結果的爭論 ?• Capital structure (Debt ratio):

– Kim (1978), Schneller (1980) and Bradley, et al. (1984)

– Titman and Wessels (1988) and Baskin (1989)

計量方法的演變• Specification

Yi =β1+β2 X2i+…+ βk Xki+ ei , i =1,…,N

linear model nonlinear model nonparametrics

least squares (least absolute deviation), QMLE, GMM, computationally intensive methods, etc.

single equation multiple equations

(simultaneous-equation model, VAR)

• Method

• Structure

Does the era of linearity and least-squares come to an end?

• Legendre: – Least squares:– Minimizing sum of squared errors

• Boscovich:– Least absolute deviation– Minimizing sum of absolute errors

• Key: “averaging” the errors

BoscovichLegendre

An Example: Simple Regression

An Example: Multiple Regression

Regression Line

OLS and LAD

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平均數具有代表性嗎？• 應用和計算平均數的前提條件是什麼？

– 同質性的分配– 因為只有是同質性的分配，計算平均數才有意義

The Perspective of Quantile Regression (QR)

The Perspective of Quantile Regression (QR)

How to Enhance Firm Profit?

Motivations• Limitations of OLS and LAD methods

– Central behaviors only– Conditional mean

• Qunantitle Regression (QR) Model– Whole distribution– Conditional distribution

Key Question• The impacts of the identified determina

nts of profitability performance on firms are consistent with different levels of firm’s profitability quantiles?

Motivations• Certain puzzles of the relations between

firm profitability and its determinants:– R&D expense– Size effect on the profitability – Debt ratio puzzle

Motivations• Firm life cycle• Adizes (1988):

– Business strategies and organizational structures of firms vary according to the problems faced at different life cycle stages of the organization

Prior Studies on Life-cycle Theory

• The concept of corporate life-cycle stage has generated considerable applied interest – Dodge et al. (1994) on the relationship between operation str

ategies and life cycles– Beldona et al. (1997) and Robinson (1998) on effects of ope

ration strategies on performance at various firm life cycle stages

– Kimberley and Miles (1980) and Dodge and Robins (1992) positing that organization structure reflects current life cycle stage

– Adizes (1979); Miller and Friesen (1984); Alexander et al. (1993); and Maturi (1999) examining the relationship between CEO leadership styles and life cycle stages

– Anthony and Ramesh (1992), Black (1998) and Jorion and Talmor (2001) testing the impact of life-cycle on corporate earnings.

Key Limitation of Prior Studies

• Segment sample companies into various subsets – Use criteria such as earnings and/or age – Apply traditional optimization techniques such

as ordinary least squares (OLS) and least absolute deviation (LAD) to fit their subsets

Key Limitation of Prior Studies

• The analytical framework in these studies was based on unconditional distribution of firm samples

• This form of “truncation of samples” may yield invalid results

• As demonstrated by Heckman (1979), such methods often exhibit sample selection bias

Key Advantage of QR

• A valid alternative is the quantile regression framework, which segments the sample into subsets defined by conditioning covariates

• Moreover, in comparison with the least square method, quantile regression offers a relatively rich description of the conditional mean for extreme cases in the samples

Empirical Methods• No quantile models: OLS and LAD

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Empirical Methods• Quantile regression model

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Data• Sample S&P500 firms over the 10-year pe

riod from 1996 to 2005 were analyzed• Financial firms were excluded• Firms were also excluded from the analysi

s if the specified financial data were not available for the entire 10-year period

• The final sample included 2,078 firm observations

• All data were obtained from the Compustat database.

Data• Return on equity (ROE) was selected as the

proxy variable for firm profitability• Five determinants of profitability were recorded:

– R&D expense– Company size– Debt ratio– Total asset turnover– Current ratio

Empirical ResultsTable 1 Definitions of Dependent/Independent Variables

Variables Definitions Dependent Variable

ROE Return on equity= Net income/ shareholder’s Equity (ROE reveals how much profit a company generates with the money shareholders have invested in the company)

Independent Variables RD Per research and development expenses=R&D expenses/employee

numbers (Discovering new knowledge about products, processes, and services, and then applying that knowledge to create new and improved products, processes, and services that fill market needs)

SIZE Natural log of book value of total asset=Ln (total assets) DR Debt ratio=Total liabilities/total assets

(Debt ratio shows how much the company relies on debt to finance assets)

TAT Total asset turnover=Net sales/total assets (TAT is a measure of how well assets are being used to produce revenue)

CR Current ratio=Current assets/current liability (Current ratio is an indication of a company's ability to meet short-term debt obligations; the higher the ratio, the more liquid the company is)

Conclusions and Directions for Future Research

• A comparative analysis: QR, OLS and LAD estimates

• The nonlinearities derived from conditional QR: – size, significance and sign

• It should be noted that certain existing puzzles of the relations between firm profitability and its determinants could be satisfactorily accounted for in this study

Conclusions and Directions for Future Research

• Certain caveats– U.S. S&P 500 firms– Comparisons with models with other dynamic

parameter designs– Proxy variable selection– Other determinants of firm profitability– Panel data

Application #2: 降息刺激經濟成長？

Table 1 Definition of Dependent/Independent Variables Variables Definitions Dependent Variable

GGDP Growth rates of real GDP Independent Variables

GGOV Growth rates on government-consumption-expenditure/GDP ratios

SR 3-month short term interest rates GIVT Growth rates on investment/GDP ratios GEXT Growth rates on export/GDP ratios GIMT Growth rates on import/GDP ratios

Application #3漲時看勢，跌時看質？