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Title:	首度上市上櫃公司高階主管持股, 初次投資宣告與公司價值關係之研究 Executive Ownership, Initial Investment Announcement and the Corporate Value in Publicly Traded Corporations in Taiwan
Authors:	溫福星 Wen, Fur-Hsing
Contributors:	陳隆麒吳啟銘 Chen, Long-Chi Wu, Eric 溫福星 Wen, Fur-Hsing
Keywords:	高階主管持股股權集中度初次投資宣告訊號放射理論資訊不對稱投資規模 initial investment announcement ownership corporate value signaling asymmetric information agent problem
Date:	2001
Issue Date:	2009-09-18 18:49:56 (UTC+8)
Abstract:	財務三大決策：投資、融資與股利政策一直是學術界研究探討的主題，也是實務界關心的重要課題。過去有關融資與股利支付宣告的文章不少，但投資支出相關研究則一直被視為股權結構下的控制變數，鮮少學者探討有關投資宣告對公司價值的影響。本研究嘗試從資訊不對稱的角度，探討首度上市上櫃公司管理當局為傳遞公司經營績效及未來成長機會給予外部投資人，透過自身的持股與投資規模進行初次投資宣告，藉以傳遞公司真正價值予投資人，以追求公司與自身財富的最大化。本研究在訊號放射理論的架構下，透過完美貝氏的分離均衡解，經過模式推導獲致三個研究命題，並以此研究命題、個案訪談與文獻整理推衍出可驗證的八個假說。在假說驗證方面，以民國80年至89年共225家新上市上櫃公司的初次投資宣告為研究樣本，並依未來前景看佳與否、股權集中度高低與初次宣告投資規模大小來分類，將研究樣本區分為八個子樣本，利用事件研究法對宣告公司事件日的平均異常報酬率反應以及累積異常報酬率反應進行假說的檢驗。並且，以產業類別、高階主管持股、高階主管持股的二次方、投資規模、初次投資支出類型為自變數，公司規模、市場景氣與負債比率為控制變數，對事件窗口(-1,+1)的累積平均異常報酬率進行橫斷面迴歸分析，探討宣告事件對股票異常報酬率反應的影響。經由上述的實證過程，本研究獲得以下主要結論： 1.初次投資宣告具有資訊內涵，當股權集中度越高的高科技股公司，若進行大規模的初次投資支出宣告，則公司股票異常報酬率的正面反應訊號越強。 2.投資人對高科技股與非高科技股公司的初次投資宣告有不同的評價，屬於未來前景看佳的高科技股，進行初次投資宣告的股票異常報酬率反應顯著為正，且顯著高於未來前景不佳的非高科技股公司。 3.屬於資本支出類型的初次投資宣告有利於公司價值的提升。目錄第壹章緒論…………………………………………... 1 第一節研究動機與研究目的……………………………… 3 第二節研究範圍與研究限制……………………………… 8 第三節研究流程與論文架構……………………………… 11 第貳章文獻探討與個案訪談整理…… ……………. 17 第一節代理理論與資訊不對稱…………………………… 18 第二節股權結構與公司價值之關係……………………… 23 第三節資本支出與公司價值之關係……………………… 28 第四節股權、資本支出與公司價值相關實證文獻……… 31 第五節文獻評述與個案訪談整理………………………… 50 第參章理論模式建立…………………… …………. 59 第一節模式背景……,,…………………………………… 60 第二節模式架構與模式條件設定………………………… 63 第三節模式推導與命題建立……………………………… 72 第肆章研究設計… ………………………………… 81 第一節實證架構與研究假說……………………………… 82 第二節資料來源與樣本選取……………………………… 93 第三節變數操作性定義…………………………………… 96 第四節實證分析方法……………………………………… 102 第伍章實證結果分析…… ………………………… 113 第一節樣本資料統計分析………………………………… 114 第二節全體樣本初次投資支出宣告的效果分析………… 121 第三節研究假說的驗證……………………………………. 132 第四節投資支出宣告異常報酬率影響因素分析………… 150 第五節實證結果與涵義……………………………………. 154 第陸章結論與建議…… …………………………… 163 第一節結論………………………………………………… 164 第二節建議………………………………………………… 166 參考文獻中文部分……………………………………………………… 171 英文部分……………………………………………………… 173 表目錄表2-1 國外其他股權結構與公司價值關係實證文獻整理… 36 表2-2 國外其他資本支出與公司價值關係實證文獻整理… 43 表2-3 個案訪談發現與對本研究的涵義……………………. 56 表3-1 研究模式的前提設計…………………………………. 67 表3-2 研究模式符號說明……………………………………. 68 表4-1 研究範疇的分類情形…………………………………. 86 表4-2 研究範疇的分類情形與對應的假說…………………. 90 表4-3 市場景氣劃分……………………………………… 101 表5-1 整體上市上櫃公司的分配狀況……………………… 115 表5-2 研究樣本按初次投資支出宣告年度分類…………… 116 表5-3 研究樣本按產業類別分類…………………………… 117 表5-4 研究樣本按高科技類股與市場景氣分類統計……… 118 表5-5 各研究變數的樣本統計量…………………………… 119 表5-6 全體樣本初次投資支出宣告的平均異常報酬率…… 122 表5-7 全體樣本事件窗口累積異常報酬率………………… 123 表5-8 高科技股公司初次投資支出宣告的平均異常報酬…. 125 表5-9 非高科技股公司初次投資支出宣告的平均異常報酬率126 表5-10 高科技股公司事件窗口累積異常報酬率…………… 127 表5-11 非高科技股公司事件窗口累積異常報酬率………… 127 表5-12 投資規模大的公司初次投資支出宣告的平均異常報酬129 表5-13 投資規模小的公司初次投資支出宣告的平均異常報酬130 表5-14 投資規模大的公司事件窗口累積異常報酬率……… 131 表5-15 投資規模小的公司事件窗口累積異常報酬率……… 131 表5-16 研究樣本交叉分類分布情形(n=225) ……………… 132 表5-17 第一種情況公司初次投資支出宣告的平均異常報酬率134 表5-18 第一種情況公司事件窗口累積異常報酬率 135 表5-19 第二種情況公司初次投資支出宣告的平均異常報酬率136 表5-20 第二種情況公司事件窗口累積異常報酬率……………137 表5-21 第三種情況公司初次投資支出宣告的平均異常報酬率138 表5-22 第三種情況公司事件窗口累積異常報酬率……………139 表5-23 第四種情況公司初次投資支出宣告的平均異常報酬率140 表5-24 第四種情況公司事件窗口累積異常報酬率……………141 表5-25 第五種情況公司初次投資支出宣告的平均異常報酬率142 表5-26 第五種情況公司事件窗口累積異常報酬率……………143 表5-27 第六種情況公司初次投資支出宣告的平均異常報酬率144 表5-28 第六種情況公司事件窗口累積異常報酬率……………145 表5-29 第七種情況公司初次投資支出宣告的平均異常報酬率146 表5-30 第七種情況公司事件窗口累積異常報酬率……………147 表5-31 第八種情況公司初次投資支出宣告的平均異常報酬率148 表5-32 第八種情況公司事件窗口累積異常報酬率……………149 表5-33 累積異常報酬率的橫斷面多元迴歸分析………………153 表5-34 各研究假說實證結果……………………………………158 圖目錄圖1-1 研究流程………………………………………………. 12 圖3-1 初次投資支出宣告的信號放射………………………. 63 圖3-2 研究模式與觀念架構………………………………... 65 圖3-3 初次投資出宣告的樹狀機率分析…………………… 71 圖4-1 實證架構…………………………………………………82 圖4-2 實證分析方法與流程……………………………………102 圖4-3 事件研究的各時間參數的關係……………………… 105 Previous foreign studies on corporate investment impact on market prices have revealed that investors react positively to the announcement of increases in capital expenditure. But, the few papers study the topic in Taiwan. This study applies the agency theory, the signaling theory which reduce the asymmetric information and agent problems between the management and external investors and the perfect Baysian Equilibrium to construct the theoretic model to analyze the effect of the initial investment announcement. Following the theoretical model, case interview and literature review, the study derives the three propositions and eight hypotheses. We test these hypotheses for the publicly traded corporations in Taiwan considering a sample composed of the initial investment announcement. The period of the study was January 1991 to December 2000, and the firms selected were all companies listed on the Taiwan Security Exchange or the OTC. The number of the initial investment announcements initially collected was 365 for publicly traded corporations. Nevertheless, the final sample was reduced to 225 after excluding the confounding events and other screen. Finally, we separated the full sample to eight sub-samples by corporate type, ownership and investment scale and used the event study and regression analysis to test the information effect of the initial investment announcement. Our empirical results are not hold in the full sample since no significant market reaction, but are supported in the sub-samples grouped by high-tech. Moreover, the initial investment announcements of high-tech, high ownership, and high scale companies lead the significant positively abcdrmal rate of return at the announcement day. In addition, the investors significantly positively react to the initial investment announcements belong to the capital investment.
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Description:	博士國立政治大學企業管理研究所 85355506 90
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002000015
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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