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研究生:鄭家雯
研究生(外文):Chia-Wen Cheng
論文名稱:公司治理與投資策略
論文名稱(外文):The Combination of Corporate Governance and Investment Policies
指導教授:李存修李存修引用關係
指導教授(外文):Tsun-Siou Lee
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:36
中文關鍵詞:投資策略公司治理
外文關鍵詞:corporate governanceinvestment policy
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本篇文章主要的研究目的在於驗證公司治理是否能夠作為投資策略的準則?沿用套利投資組合的實證方法,買賣不同公司治理等級的股票,建構零成本的投資組合,並檢驗是否具有獲利機會。若公司治理已被完全反映在市場價格上,則此一投資策略無法獲取超額報酬;但若在控制了其他的因素之下,仍有獲利機會存在,則往後投資人在挑選投資標的時,可以公司治理來代替個股基本面的分析。我們使用2000~2002年台灣上市公司來進行實證,發現以綜合公司治理指標及質押比率為基礎的投資組合,在控制了其他風險因素之後仍然能賺取超額報酬;而以控制權與現金權偏離程度為基礎的投資組合,其獲利能力則不具一致性的結論。
The major intention of this paper is to clarify the relationship between corporate governance and stock valuation. If the value of corporate governance is fairly priced, investment strategies based on corporate governance practice cannot generate superior risk-adjusted return. Following the basic idea of arbitrage portfolios, we replace the past performance with integrated index, excess control and pledge ratio, which are confirmed to be decidedly influential to the stock return. Analyzing listed companies in Taiwan from 2000 to 2002, we discover that investment strategies based on the CGI, change level of CGI and pledge ratio are profitable after controlling other risk factors, but the profitability of the deviation portfolios are not verified by the empirical results.
Table of Contents

Ⅰ.Introduction...........................................1
Ⅱ. The Methodology
A. The Empirical Model....................................5
B. Definition of variables................................8
C. The sample............................................11
Ⅲ. Empirical Results
A. Preliminary analysis..................................12
B. The profitability of Corporate Governance portfolios..14
Ⅳ. Conclusion...........................................17
Reference................................................19
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葉銀華,李存修,柯承恩,2002,「公司治理與評等系統」,商智文化
翁淑育,2000,「台灣上市公司股權結構、核心代理問題與公司價值之研究」,私立輔仁大學金融所碩士論文
林玉霞,2002,「台灣上市公司代理問題、公司治理與股東價值之研究」,私立中原大學會計所碩士論文
林明謙,2002,「股權結構、董事組成對大股東介入股市行為影響之研究」,私立輔仁大學金融所碩士論文
邱郁茹,2003,「台灣商業銀行股權結構與經營績效風險關連性之研究」,國立台灣大學財務金融所碩士論文
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