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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/145925


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145925


    Title: 投資人是否關心性別多樣性－臺灣實證研究
    Do Investors Care About Gender Diversity? Evidence from Taiwan
    Authors: 徐敏翔
    Hsu, Min-Hsiang
    Contributors: 黃嘉威
    Huang, Chia-Wei
    徐敏翔
    Hsu, Min-Hsiang
    Keywords: 性別多樣性
    董事會成員性別
    女性董事
    性別因子
    資產定價模型
    Gender Diversity
    Gender of Board Members
    Female Directors
    Gender Factor
    Asset Pricing Model
    Date: 2023
    Issue Date: 2023-07-06 17:01:14 (UTC+8)
    Abstract: 本文以董事會性別組成提出新的因子-董事會性別因子(DMN)，在臺灣市場實證中發現DMN因子之重要性正在隨年份提升，2018年初時DMN並無法有效解釋市場報酬，而在2022年時DMN因子顯著性明顯提升；DMN新三因子模型相比於Fama-French三因子模型能消除更多的異常報酬(Alpha)，更精確的解釋市場報酬，且在調整後判定係數的表現同樣逐年提升，2018年與Fama-French三因子模型相去甚遠，而2022年時DMN新三因子模型解釋力與Fama-French三因子模型近乎相同，說明董事會性別因子(DMN)影響力正隨著時間推移而不斷增加，DMN因子不僅能有效的捕捉並解釋股票報酬，其消除異常報酬的能力同樣更佳，為一有效之因子，DMN因子在臺灣市場中能有效捕捉大部分之系統性風險。
    In this paper, we propose a new factor, board gender factor (DMN), based on the gender composition of the board of directors, and find that the importance of the DMN factor is increasing with each year in the Taiwan market. In addition, the DMN new three-factor model can eliminate more abnormal returns (Alpha) and explain market returns more precisely than the Fama-French three-factor model, and the performance of the adjusted judgment coefficients also improves year by year, and is very different from the Fama-French three-factor model in 2018, while the explanatory power of the DMN new three-factor model is nearly the same as the Fama-French three-factor model in 2022. The DMN factor is not only effective in capturing and explaining stock returns, but also has a better ability to eliminate abnormal returns. The DMN factor is effective in capturing most of the systemic risk in the Taiwan market.
    Reference: 一、中文部分
    1.劉清標, 吳佩紋, & 林筱鳳. (2019). 企業創新效率之六因子資產定價模型. 商管科技季刊, 20(1), 69-108.

    二、英文部分
    1.Adhikari, B. K., Agrawal, A., & Malm, J. (2019). Do women managers keep firms out of trouble? Evidence from corporate litigation and policies. Journal of Accounting and Economics, 67(1), 202-225.

    2.Adams, R. B., & Ferreira, D. (2009). Women in the boardroom and their impact on governance and performance. Journal of financial economics, 94(2), 291-309.

    3.Arfken, D. E., Bellar, S. L., & Helms, M. M. (2004). The ultimate glass ceiling revisited: The presence of women on corporate boards. Journal of Business ethics, 50, 177-186.

    4.Barr Rosenberg, K. R., & Lanstein, R. (1998). Persuasive evidence of market inefficiency. Streetwise: The Best of the Journal of Portfolio Management, 48.

    5.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.

    6.Erhardt, N. L., Werbel, J. D., & Shrader, C. B. (2003). Board of director diversity and firm financial performance. Corporate governance: An international review, 11(2), 102-111.

    7.Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.

    8.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.

    9.Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of financial economics, 82(3), 491-518.

    10.Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22.

    11.Farrell, K. A., & Hersch, P. L. (2005). Additions to corporate boards: The effect of gender. Journal of Corporate finance, 11(1-2), 85-106.

    12.Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of financial economics, 41(3), 401-439.

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    17.Torchia, M., Calabrò, A., & Huse, M. (2011). Women directors on corporate boards: From tokenism to critical mass. Journal of business ethics, 102, 299-317.

    18.Watson, W. E., Kumar, K., & Michaelsen, L. K. (1993). Cultural diversity`s impact on interaction process and performance: Comparing homogeneous and diverse task groups. Academy of management journal, 36(3), 590-602.
    Description: 碩士
    國立政治大學
    財務管理學系
    110357027
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357027
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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