臺灣博碩士論文加值系統

本研究主旨在探討高估權益市值與代理成本之關聯性，以瞭解代理成本是否會影響公司價值被錯誤高估之程度，並間接證實Jensen (2002) 提出高估權益市值代理成本之想法。
Jensen (2002; 2005) 一系列有關高估權益之代理成本之文獻指出，當公司價值被不當高估時，經理人為了達成市場預期，以獲取高額報酬，或為了增加自己所持權益之價值，將會盡力去增加公司短期盈餘，使市場相信公司之表現符合預期，然而，為了達成盈餘目標，經理人很可能會犧牲掉公司之長期價值。再者，一旦市場發現公司表現根本無法達到預期水準，公司股價將大幅滑落。Kothari, Loutskina, Nikolaev(2005)發現，公司前期之異常報酬，會促使經理人增加當期之應計數，且當股價被過度高估後，將會經歷價格之反轉。此外，公司內部人之淨賣出、淨買入活動，及相關投資或融資決策，亦與高估權益之代理理論一致。
本研究分別以公開預測資訊及管理者預測資訊代入剩餘盈餘模式中估算出公司之應有價值，並利用實際股價與應有價值之差異求得公司之錯誤評價水準。透過兩組錯誤評價水準之檢定，將可驗證資訊不對稱情形是否存在。此外，再以資產利用率、裁決性費用率與公司規模作為代理成本之代理變數，探討其與錯誤評價水準之關聯性。
本研究以民國83年至91年間之現金增資樣本進行實證研究，實證結果彙整如下：
(一)經理人會選擇於股價被高估時進行現金增資，因此，對所有增資樣本而言，價格
被高估公司佔總樣本之比率是顯著高於50%。
(二)以管理者預測資訊估算之錯誤評價水準大於以公開預測資訊估算之錯誤評價水
準，而此情形在超額評價之情形下較為明顯，顯示對股價高估公司而言，管理者
擁有較多關於公司真正價值之私有資訊。
(三)多元迴歸分析顯示，資產利用率及公司規模與錯誤評價水準呈顯著之負向關係，
表示當公司代理成本越高時，公司被錯誤評價之情形將越嚴重。而當樣本分為高
估組與低估組個別分析時可發現，此顯著關係只存在於被超額評價之樣本中，然
而，裁決性費用率與公司錯誤高估水準間並無明顯之關係。

The main purpose of this study is to explore the relationship between overvalued equity and agency costs. A series of papers by Jensen (2002; 2005) demonstrate that, when a firm’s equity is overvalued that it will not, except by pure luck, be able to deliver the financial performance the market requires justifying that valuation, managers are likely to take actions designed to meet the market’s optimistic expectations and sustain the overvaluation, instead of disseminating information disappoint capital markets. They are more likely to generate the appearance of improved performance in the short run. Such actions, however, may sacrifice equity value of the firms in the long run. Kothari, Loutskina, Nikolaev (2005) find that, there is a positive relation between leading period returns and year zero accruals for high accrual-decile firms, however the price reverses in subsequent year. In addition, investment-financing decisions and insider trading activity also correspond with the agency theory of overvalued equity.
This study uses Earnings-Based Valuation Model to estimate the theoretical value of a firm’s equity with public available information and management foresight information. The difference between actual and theoretical value is misvaluation. By comparing with the misvaluations which happen in different situations, we test whether asymmetric information exists or not. Moreover, taking assets utilization rate, discretional expense rate and firm size as the proxies of agency costs to examine the connection between agency costs and misvaluation.
Research data were collected from TSEC listed companies issued seasoned equity from 1994 to 2002, and the major findings are summarized as follows:
1.SEO companies are more likely to issue equity when stock price are overestimated.
2.Misevaluation based on management foresight information is more than misvaluation based on public available information, and the result shows that when the equity is overvalued, information asymmetries is more serious.
3.There is a significantly negative relation between assets utilization rate and misvaluation, as well as firm size and misevaluation. However, as we separate samples into over-group and under-group by positive or negative value of misevaluation, such significant relation only exists in over-group. This finding implied that the relation between agency costs and misvaluation may not be linear.

摘要 I
Abstract II
目錄 III
表目錄 IV
圖目錄 IV
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 3
第三節 研究架構 5
第二章 文獻探討 7
第一節 權益代理理論 7
第二節 代理問題與公司價值之關連性 13
第三節 高估權益市值之代理成本 17
第三章 研究方法 21
第一節 研究觀念性架構 21
第二節 研究假說 22
第三節 建立權益評價模型 25
第四節 變數定義與實證模型 32
第五節 資料來源與樣本選取 40
第四章 實證結果與分析 43
第一節 敘述統計 43
第二節 單變量分析 47
第三節 多變量分析 59
第四節 敏感性分析 73
第五章 結論與建議 76
參考文獻 80

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