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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60629


    Title: 股票流動性與企業價值之關聯性研究
    Stock liquidity and firm performance
    Authors: 劉以萱
    Contributors: 吳啟銘
    劉以萱
    Keywords: 企業價值
    流動性
    公司治理
    資訊揭露程度
    公司特有風險
    firm performance
    stock liquidity
    corporate governance
    information transparency
    idiosyncratic risk
    Date: 2009
    Issue Date: 2013-09-09 11:28:22 (UTC+8)
    Abstract: 本研究目的為透過實證分析研究2005年至2008年台灣上市櫃公司股票流動性與企業價值兩者之關係，企圖瞭解當考慮其他已證實會影響企業價值之因素，如：公司治理、資訊揭露程度、公司特有風險等因素後，股票流動性是否依然對企業價值存在影響力，即本研究將在控制公司治理程度、資訊揭露程度及公司特有風險等因素下，以周轉率作為股票流動性之代理變數、以Tobin’s Q作為企業價值之代理變數，分別使用普通最小平方法與兩階段最小平方法，檢視股票流動性是否依然影響企業價值。除此之外，亦參考Vivian W. Fang, Thomas H. Noe, Sheri Tice[2009]的研究方法，將代表企業價值之Tobin’s Q拆解成其他三個變數：營業利益對股價比、權益佔資產比及資產報酬率，取代企業價值成為應變數，再以相同研究模型對股票流動性進行實證分析，以求瞭解股票流動性影響企業價值之背後原因。最後，將研究樣本分別依照不同程度之公司治理、不同程度之資訊透明度、不同程度之公司特有風險分成低、中、高三組，以普通最小平方法分析在不同程度之控制變數下，股票流動性對企業價值之影響是否不同。本研究結果如下：第一、股票流動性越高之企業，其企業價值亦越高。第二、股票流動性高的企業，擁有較低之負債比與較高之資產報酬率，是企業價值高的中間影響因子。第三、在不同的董監持股比率、董監質押比率、法人持股比率、獨立董監比率、資訊揭露程度及公司特有風險下，流動性對企業價值的影響力是不同的。公司治理越差、資訊揭露程度越低、公司特有風險越高的公司，其流動性對企業價值越具顯著影響力。
    This paper investigates the relationship between stock liquidity and firm performance in Taiwan by using both of Ordinary Least Squares method and two-stage least squares method. To access whether stock liquidity improves, harms, or has no effect on firm performance, a proxy for Tobin’s Q is regressed on the liquidity measure, stock turnover, and several control variables, for example, corporate governance, information transparency, idiosyncratic risk, etc. Next, In order to gain further insight into the source of higher firm performance for stocks with high liquidity, based on Vivian W. Fang, Thomas H. Noe, Sheri Tice (2009), I break Tobin’s Q into three components: price-to-operating earnings, financial leverage, and operating profitability and then use these three variables as dependent variables to be regressed respectively on the liquidity measure in the same regression model. Besides, I also examine whether the effect of high liquidity on firm performance is different for firms with different level of each control variable. At last, this study shows that liquidity positively affects firm performance and proves that stocks with high liquidity not only have better firm performance, but also have more equity in their capital structure and higher operating profitability levels. This study also finds that the effect of stock liquidity on firm performance is significantly different for firms with different level of control variables.
    Reference: 一、中文部份
    1. 徐裕明(2003)。探討我國新舊股市交易制度對價量波動性與流動性之影響。中原大學會計學系碩士論文。
    2. 周本鄂(1992)。台灣地區上市公司董監事、關係人持股比率和公司Tobin’s Q關係之實證研究。中原大學企管學系碩士論文。
    3. 蕭清文(2001)。股票報酬與流動性溢酬的關係—以台灣股市為例。文化大學會計學系碩士論文。
    4. 張集州(2007)。公司治理、分析師追隨與公司行為關聯性之研究。中興大學高階經理人在職專班碩士論文。
    5. 吳郁萱(2005)。公司資訊透明度、分析師追隨與公司績效之關聯性。政治大學會計學系碩士論文。
    6. 邱鳳美(2006)。公司治理與企業績效之關聯性研究。中原大學會計學系碩士論文。
    7. 陳玟秀(2004)。公司資訊透明度、董事結構和股權結構與公司經營績效關係之研究－以電子產業為例 。成功大學會計學系博士論文。
    8. 陳柔安(2005)。資訊透明度.流動性與資訊內涵關係之研究。中原大學會計學系碩士論文。
    9. 方尹妏(2005)。公司治理評等與公司績效關聯性之研究。政治大學會計學系碩士論文。
    10. 許玉葉(2005)。公司治理、流動性與公司績效--台灣海外掛牌存託憑證公司之實證研究 。中原大學國際貿易學系碩士論文。
    11. 胡星陽(1998)。流動性對臺灣股市報酬率的影響。中國財務學刊 。


    二、英文部份
    1. Amihud, Y. ( 2002). Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets 5, 31-56.
    2. Admati, A., Pfleiderer, P., (2009). The “wall street walk” and shareholder activism: exit as a form of voice. Review of Financial Studies 22, 2645-2685.
    3. Baker, M., Stein, J., (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271-299.
    4. Bhide, A.(1993). The hidden costs of stock market liquidity. Journal of Financial Economics 34, 31-51.
    5. Coffee, J.(1991). Liquidity versus control: the institutional investor as corporate monitor. Columbia Law Review 91, 1277-1368.
    6. Diamond, D. W., and R. E. Verrecchia. (1991) Disclosure, liquidity, and the cost of capital. The Journal of finance 46, 1325-1359.
    7. Edmans, A., Manso, G.(2009). Governance through exit and voice: a theory of multiple blockholders. Unpublished working paper, University of Penesylvania-the Wharton School and MIT Sloan School of Management.
    8. Khanna, N., Sonti, R.(2004). Value creating stock manipulation: feedback effect of stock prices on firm value. Journal of Financial Markets 7, 237-270.
    9. Maug, E.(1998). Large shareholders as monitors: is there a tradeoff between liquidity and control? Journal of Finance 53, 65-98.
    10. Spiegel, M., Wang, X.(2005). Cross-sectional variation in stock returns: liquidity and idiosyncratic risk. Unpublished working paper, Yale University and Penn State University.
    11. Statman, M., Thorley, S., Vorkink, K.(2006). Investor overconfidence and trading volume. Review of Financial Studies 19, 1531-1565.
    12. Vivian W. Fang, Thomas H. Noe, Sheri Tice (2009). Stock market liquidity and firm value. Journal of Financial Economics 94,150-169.
    Description: 碩士
    國立政治大學
    財務管理研究所
    96357019
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096357019
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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