本研究以投資迎合理論為出發點，當投資人為不理性的情況下，經理人可能為了討好投資人的喜好，讓股價維持在高估的水準，而做了異常的投資行為，並採用三個不同地區(台灣、香港和大陸)來探討當股票市場上投資人對公司之股價產生錯估情況時，經理人是否可能因此想討好投資人之情緒，進而改變公司之資本投資，此外並分析財務透明度的高低及內部現金流量的多寡如何影響公司經理人資本支出的行為；同時將公司進行融資限制的分組，觀察公司的資本支出是否會因融資限制程度而有所差別，並使用分量迴歸對於不同分量下之資本投資加以討論和分析。最後除了將公司分成不同的融資限制程度，亦將公司以股票周轉率高低分組，進一步探討三個地區在公司增加資本支出之後對於未來股價報酬之間的關係。
本研究之實證結果顯示，投資人的錯誤訂價和對於公司的財務透明度越高，則經理人會為了迎合投資人進而增加資本投資，而內部現金流量的增加也會造成公司的資本投資增加。加入融資限制分組後，台灣地區的現金流量對於資本投資的敏感度在低融資限制分組的公司會比高融資限制分組下的公司會較高。在各個地區的資本投資迎合行為，會視不同地區、不同融資限制分組及不同分量下而受到影響。在台灣和香港地區，在低融資限制分組之下的公司，資本投資的增加亦會會提升公司的未來股票報酬。

This study aims to test the status of mispricing and apply it to catering theory in order to investigate managers’ investment decision-making. This study further takes financial transparency and cash flow into consideration to broadly examine the relationship with capital investment. Moreover, this study takes financial constraints into consideration to examine whether a firm’s managers would cater to the sentiment of investors, and adopt quantile regression to test the impact of capital investment. In addition, this study tests the relationship between stock returns and capital investment under the financial constraints and splits the sample by different share turnover level in the three areas.
This study presents empirical evidence that due to the increase of mispricing and financial transparency for investors, the manager may cater to the investor by raising capital investment. An increase in cash flow may raise the amount of capital investment. Taking the financial constraints into consideration, the sensitivity for capital investment and cash flow is higher for the less financially constrained firms in Taiwan. Capital investment involved in the catering decision is affected differently by area, financial constraints, and quantile factors. The increase of the capital investment raises the stock returns for less financially constrained firms in Taiwan and Hong Kong.

摘要 ii
Abstract iii
I. INTRODUCTION 1
1.1 Background 1
1.2 Purpose 4
II. LITERATURE REVIEW 6
2.1 Mispricing, Capital Investment and Financial Constraints 6
2.2 Financial Transparency, Cash Flow and Capital Investment under the Financial Constraints 9
2.2 The Impact of Mispricing, Capital Investment, and Stock Returns under Financial Constraints 14
2.3 The Relationship between the Catering Theory of Capital Investment and Stock Returns 17
III. DATA AND METHODOLOGY 19
3.1 Data Sources and Sample Selection 19
3.2 Methodology 19
3.2.1 Quantile Regression 19
3.2.2 The Basic Model of Discretionary Accruals and Capital Investment 21
3.2.3 The Extend Model of Discretionary Accruals and Capital Investment 22
3.2.4 The Basic Model of Capital Investment and Stock Returns 24
3.2.5 The Extended Model of Capital Investment and Stock Returns 25
3.3 The Definitions and Measurement of Variables 26
3.4 Financial Constraints 27
3.4.1 The Kaplan and Zingales Index 27
3.4.2 The Whited and Wu Index 28
3.5 Measure of Mispricing 29
IV. EMPIRICAL RESULTS 31
4.1 Summary and Descriptive Statistics 31
4.2 The Results of Discretionary Accruals and Capital Investment 36
4.3 The Results of Capital Investment and Stock Returns 52
V. CONCLUSIONS 57
5.1 Conclusions of This Study 57
5.2 Suggestions for Future Study 60
References 61

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