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    題名: 過度自信與過度樂觀經理人對公司價值影響
    How overconfident and optimistic manager will affect firm value
    作者: 施維筑
    Shih, Wei Chu
    貢獻者: 胡聯國
    Hu, Len Kuo
    施維筑
    Shih, Wei Chu
    關鍵詞: 過度自信
    過度樂觀
    風險中立
    風險趨避
    overconfidence
    optimistic
    risk-neutral
    risk-averse
    日期: 2009
    上傳時間: 2010-12-08 01:52:17 (UTC+8)
    摘要: 現實社會中，由於人並非如傳統學派所聲稱完全理性制定決策，自1980年以來即產生諸多傳統學派無法說明的現象，因此行為財務學派興起。本篇導入行為財務學的模型，探討當經理人具過度自信與過度樂觀特質時，經理人的特性會如何影響公司價值。研究假設當經理人為風險中立者，可達到公司價值極大化first-best value。若經理人為風險趨避，產生的效用成本將使其無法達成此目標，但此時經理人若具過度自信，則可抵消風險趨避帶來的公司價值減損，而達成股東所希望達到的公司價值極大。除此之外，根據Heaton(2003)模型所聲稱，過度樂觀的經理人無法達成公司價值極大，而本篇修改其模型，得出當公司經理人具過度樂觀特性，是有可能符合股東利益，而達到公司價值極大化的目標。
    In real world, people don’t make decisions depend on rationality. Therefore, there exists many facts that traditional researchers can’t explain since 1980’s and that’s why behavioral finance school arises. In this paper, we use behavioral finance models to discuss when managers are overconfident or optimistic, how their personality will affect the value of company. We find that when a manager is risk-neutral, he can maximize the firm value that we called “first-best value.” However, when a manager is risk-averse, the utility cost will be the huge obstacle to attain the goal. However, if the manager is overconfident, this characteristic will counterbalance the drawback that risk-averse will decrease company value.
    In addition, according to Heaton’s (2003) model, an optimistic manager can’t maximize firm value. This paper modifies Heaton’s model and finds that when managers are optimistic, it is likely that a manager can meet shareholder’s needs and maximize the firm value.
    參考文獻: Barber, Brad M. and Terrance Odean, 2001. “Boys will be Boys: Gender, Overconfidence, and Common Stock Investment. ” Quarterly Journal of Economics, vol. 141, 261-292.
    Baker, Malcolm, Richard S. Ruback and Jeffrey Wurgler, 2004. “Behavioral Corporate Finance: A Survey.” working paper. No. FIN-04-024.
    Bertrand, Marianne and Antoinette Schoar, 2003. “Managing with Style: The Effect of Manager on Firm Policies.” working paper.
    Brown, R., and Sarma, N., 2007. “CEO Overconfidence, CEO Dominance and Corporate Acquisitions.” Journal of Economics and Business, vol. 59, 358-379.
    Daniel, K., Hirshleifer, D., and Subrahmanyam, A., 1998. “Investor Psychology and Security Market under- and Overreactions.” Journal of Finance, vol. 53, no. 6, 1839-1886.
    Ellen J. Langer, 1975. ”The Illusion of Control. ” Journal of Personality and Social Psychology, vol. 32, Issue 2, August 1975, 311-328.
    Gervais, S., Heaton, J. B., and Odean, T., 2002. ”The Positive Role of Overconfidence and Optimism Investment Policy.” working paper.
    Gervais, Simon and Terrance Odean, 2003. “Overconfidence, Investment Policy, and Executive Stock Options.” working paper.
    Gerffin,D. and A. Tversky,1992. “The Weighing of Evidence and the Determinants of Confidence.” Cognitive Psychology, 24, 411-435.
    Hersh M. Shefrin and Richard H. Thale, 2007. “The Behavioral Life-Cycle Hypothesis.” vol. 26, 609-643.
    Heaton, J.B, 2002, “Managerial Optimism and Corporate Finance.” Financial Management, summer, 33-45.
    Harrison Hong and Jeremy C. Stein, 1999. ”A Unified Theory of underreaction, Momentum Trading and Overreaction in Asset Markets.” Journal of Finance, vol. 54, 2143-2184.
    Kahneman, D., and Tversky, A., 1979. ”Prospect Theory: An Analysis of Decision under Risk.” Econometrica, vol. 47, no. 2, 263-292.
    Kunda, Ziva, 1987. “Motivated Inference: Self-serving Generation and Evaluation of Causal Theories.” Journal of Personality and Social Psychology, vol. 53, 636-647.
    Lin, Yueh-hsiang, Shing-yang Hu and Ming-shen Chen, 2005. ”Managerial Optimism and Corporate Investment: Some Empirical Evidence from Taiwan.” Pacific-Basin Finance Journal, vol. 13, 523-546.
    Lin, Yueh-hsiang, Shing-yang Hu and Ming-shen Chen, 2008. “Testing Pecking Order Prediction from the Viewpoint of Managerial Optimism: Some Empirical Evidence from Taiwan.” working paper.
    Malmendier, Ulrike and Geoffrey Tate, 2005. “CEO Overconfidence and Corporate Investment.” Journal of Finance, vol. 60, 2661-2700.
    Malmendier, Ulrike and Geoffrey Tate, 2005. “Who makes Acquisitions? CEO Overconfidence and the Market"s Reaction.” working paper.
    Malmendier, Ulrike and Geoffrey Tate, 2005. “Does Overconfidence Affect Corporate Investment? CEO Overconfidence Measures Revisited.” European Financial Management, vol. 11, no. 5, 649-659.
    Nicholas Barberis, Andrei Shleifer, Robert W. Vishny, 1997. “A Model of Investor Sentiment.” Journal of Financial Economics, vol. 49, 307-343.
    Roll, R., 1986. ”The Hubris Hypothesis of Corporate Takeovers.” Journal of Business, vol. 59, no. 2.
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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351011
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097351011
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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