(3.227.235.183) 您好!臺灣時間:2021/04/18 11:58
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:林詠捷
研究生(外文):Yung-Chieh Lin
論文名稱:公司治理指標對股價報酬之影響分析:以購併事件為代理成本因子
論文名稱(外文):Does Corporate Governance Really Predict Future Stock Returns?Empirical Tests on Merger and Acquisition Activities
指導教授:湛可南湛可南引用關係
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:2005
畢業學年度:93
語文別:英文
論文頁數:47
中文關鍵詞:公司治理購併活動代理成本
外文關鍵詞:Corporate GovernanceMerger and Acquisition ActivitiesAgency Costs
相關次數:
  • 被引用被引用:3
  • 點閱點閱:390
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本篇文章主要是針對Gompers, Ishii及 Metrick (2003 Quarterly Journal of Economics)所提出的假說進行驗證。該假說認為公司治理指標(Corporate Governance Index)對股價報酬具有影響力,亦即公司治理情況較佳者(公司治理指標較小者)相對公司治理情況較差者(公司治理指標較大者)而言,股價報酬表現相對較好;此外,公司治理情況較佳者從事較少的購併活動,而購併活動往往被認為是代理成本的產生因素之一,因此推估公司治理指標對股價報酬產生影響力的原因乃是由於代理成本的存在,而該代理成本又被投資人低估所致。
本文在以factor model及cross-section regression兩種方式研究下,實証結果發現在子樣本期間1990年到1999年間,若以購併活動作為代理成本因子進行研究,則可發現Gompers, Ishii及Metrick(2003)的假說僅在極端的Governance Index情形下才成立,若是分組的方式改變,則該假說並不成立;此外,在子樣本期間為2000年到2003年間,該假說無論分組方式如何改變皆不成立,而在總樣本期間1990年到2003年的時段中,亦是皆不成立,因此推斷Gompers, Ishii及Metrick所提出的假說認為代理成本將透過公司治理指標而對股價報酬產生影響僅是單一特定情形,並非普遍現象。
This article examines the hypothesis proposed by Gompers, Ishii and Metrick (GIM) in 2003, arguing that governance provisions cause higher agency costs which were underestimated by investors. My empirical results show that the effect of governance provisions (Governance Index) does not exist and if there is any, GIM’s results hold only in extreme portfolios in sub-sample period of 1990 to 1999. Furthermore, the governance provisions can not explain firms’ stock returns in our extensive sub-sample period of 2000 to 2003. In addition, agency costs, proxied by merger and acquisition activities, seems not to be able to explain stock returns through governance provisions in any sample period I examine.
Section I. Introduction 3
Section II. Previous Literature 5
Section III. Data & Methodology
A. Corporate Governance Data 8
B. Merger and Acquisition Data 9
C. Corporate Stock Return and Accounting Data 9
D. Methodology 11
Section IV. Empirical Results
A. Carhart Four-Factor Model 14
B. Fama-MacBeth Cross-Section Regression 18
Section V. Conclusion 20
Reference 23

Table
Table I Summary Statistics 25
Table II Abnormal Returns Based on Factor Model Sorted by G Index 29
Table III Abnormal Returns Based on Factor Model Sorted by G Index
with New Classifications 32
Table IV Abnormal Returns Based on Factor Model Sorted by G Index When
the Effect of Merger and Acquisition Activities Exists 34
Table V Abnormal Returns Based on Factor Model Sorted by G Index
with New Classifications When the Effect of Merger and
Acquisition Activities Exists 37
Table VI Abnormal Returns Based on Factor Model Sorted by G Index When the Effect of Merger and Acquisition Activities Excluded 39
Table VII Regression Analysis of Corporate Governance Index on Firms’ Stock Return Performance with Fama-MacBeth Cross-Section Regression 42
Agrawal, Anup, Jeffrey F. Jaffe, and Gershon N. Mandelker, 1992, The Post-Merger Performance of Acquiring Firms:A reexamining of an Anomaly, The Journal of Finance 46, 1605-1621.
Berkovitch, Elazar, and Naveen Khanna, 1991, A Theory of Acquisition Markets:Mergers versus Tender Offers,and Golden Parachutes, The Review of Financial Studies 4, 149-174.
Bowen, Robert M., Shivaram Rajgopal, and Mohan Venkatachalam, 2005, Accounting Discretion,Corporate Governance and Firm Performance, working paper.
Core, John, Wayne Guay, and Tjomme Rusticus, 2005, Does weak governance cause weak stock returns? An examination of firm operating performance and investors'' expectations, Journal of Finance forthcoming.
Cremers, K. J. Martijn, and Vinay B nair, 2005, Governance Mechanisms and Equity Prices, Journal of Finance forthcoming.
Daniel, Kent, and Sheridan Titman, 1997, Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, The Journal of Finance 52, 1-33.
Fama, Eugene F., and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, The Journal of Finance 47, 427-465.
Fama, Eugene F., and Kenneth R. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor Explinations of Asset Pricing Anomalies, The Journal of Finance 51, 55-84.
Fama, Eugene F., and James D. MacBeth, 1973, Risk,Return, and Equilibrium:Empirical Tests, The Journal of Political Economy 81, 607-636.
Gompers, Paul, Joy Ishii, and Andrew Metrick, 2003, Corporate Governance and Equity Prices, Quarterly Journal of Economics 118, 107-155.
Jensen, Michael C., 1986, agency Costs of Free Cash Flow,Corporate Finance, and Takeovers, The American Economic Review 76, 323-329.
Loughran, Tim, and Jay R. Ritter, 2000, Uniformly Least Powerful tests of Market Efficiency, Journal of Financial Economics 55, 361-389.

Loughran, Tim, and Anand M. Vijh, 1997, Do Long-Term Shareholders Benefit From Corporate Acquisitions? The Journal of Finance 52, 1765-1790.
Martin, Kenneth J., 1996, The Method of Payment in Corporate Acquisitions,Investment Opportunies,and Management Ownership, The Journal of Finance 51, 1227-1246.
Martin, Kenneth J., and John J.McConnell, 1991, Corporate Performance,Corporate Takeovers,and Management Turnover, The Journal of Finance 46, 671-687.
Moeller, Sara B., Frederik P. Schlingemann, and Rene M. Stulz, 2004, Do Shareholders of Acquiring Firms Gain from Acquisitions? working paper.
Rau, P. Raghavendra, and Vermaelen Theo, 1998, Glamour, Value and the Post Acquisition Performance of acquiring Firms, Journal of Financial Economics 49, 223-253.
Rossi, Stefano, and Paolo F. Volpin, 2003, Cross-Country Determinants of Merger and Acquisitions, working paper.
Schnitzer, Monica, 1996, Hostile versus Friendly Takeovers, Economica 63, 37-55.
Teoh, Siew Hong, Ivo Welch, and T. J. Wong, 1998, Earnings Management and the Long-Run Market Performance of Initial Public Offering, Journal of Finance 53, 1935-1974.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔