臺灣博碩士論文加值系統

本研究以台灣電子業上市上櫃公司為研究對象，從台灣經濟新報社 (TEJ) 資料庫中選取1999年至2004年共計六年之年資料，計189家公司之財務報表數據資料、董事、監察人、經理人、大股東等持股比率，以三階段最小平方法 (3SLS) 及近似不相關迴歸分析 (SUR) 驗證Tobin’s Q與內部人持股比率雙向關係；在Tobin’s Q與內部人持股比率三段轉折關係上，以三次複迴歸模式進行探討；而對於Tobin’s Q是否具有門檻值，則引用Burgstahler and Dichev (1997) z檢定模式加以驗證；而Tobin’s Q是否符合展望理論價值函數特性，則配適二次複迴歸模式並依據展望理論中價值函數三項特性進行比較。研究結果如下：
1.Tobin’s Q與董事持股比率呈負相關，亦與大股東持股比率變動呈負相關，顯示鞏固地位假說存在於台灣電子業董事與大股東。而公司規模與Tobin’s Q呈負向關係。
2.台灣電子業Tobin’s Q與內部人持股比率之關係非三段轉折關係，而是倒U型曲線，且其
轉折點約在持股比率47%至54%間。
3.前期Tobin’s Q值正向影響董事、監察人持股比率以及大股東持股比率之變動，符合賭資效果、過度自信等Kahneman and Tversky (1972) 所謂的捷思傾向之詮釋，且持股比率變動的解釋力高於持股比率。
4.Tobin’s Q有門檻值，且其值為1。
5.Tobin’s Q與內部人持股比率關係並不完全符合展望理論價值函數特性，但近似。

This paper examines the reciprocal relationships between the ratio of Tobin’s Q and internal shareholders using the Taiwanese electronic industry as the sample. The yearly data are drawn from the database of TEJ from 1999 to 2004 for a total sample size of 189 companies. The internal shareholders are further distinguished into three categories: board member, management team, and large shareholder. And the primary analytic methods are the three stage least square (3 SLS) and seemingly unrelated regression (SUR) for the reciprocal relationships. Then use the multiple regression of the third degree to investigate the three-phased-switching relationships between the Tobin’s Q and internal shareholders, the z-test model by Burgstahler and Dichev (1997) to examine if there are any thresholds for Tobin’s Q. Finally, apply the three features of value function to test if the ratio of Tobin’s Q matches the prospect theory value function. The results are as follows:
1.Negative relations exist between the ratio of Tobin’s Q and the shares of board members and the shares of large shareholders. This supports the hypothesis of managerial entrenchment in the Taiwanese electronic industry. The relationship between Tobin’s Q and the firm size is also negative.
2.The relationship between Tobin’s Q and internal shareholder is not a three- phased-switching figure but displays an inverted U-shape with the turning point between 47% and 54%.
3.The ratio of Tobin’s Q of previous period has a positive effect on the changes of the shares held by board members and large shareholders, showing the heuristics bias: the house money effect and over-confidence suggested by Kahneman and Tversky (1972). Yet the explaining power of the change of the shares is greater than the shares itself.
4.The ratio of Tobin’s Q does have a threshold, of which the value is 1.
5.Though the relationship between Tobin’s Q and internal shareholders does not exactly match the prospect theory value function, the result is close enough yet.

第一章　緒　論 1
第一節　研究背景與動機 1
第二節　研究問題與目的 6
第三節　研究範圍與限制 8

第二章　文獻探討 10
第一節　代理理論相關文獻 10
第二節　行為財務相關文獻 18
第三節　Tobin’s Q相關文獻 27
第四節　內部人持股相關文獻 31

第三章　研究設計 33
第一節　研究架構 35
第二節　研究假說 36
第三節　資料來源與處理 44
第四節　研究變數的定義與衡量 44
第五節　實證設計 46

第四章　實證結果與分析 52
第一節　基本統計量分析 52
第二節　實證結果分析 53
第三節　實證結果討論 81

第五章　結論與建議 87
第一節　研究結論 87
第二節　研究意涵 89

參考文獻 92

作者簡歷 99

圖　次
頁數
圖1-1 內部人持股影響Tobin’s Q 3
圖1-2 Tobin’s Q影響內部人持股 5
圖1-3 觀念架構圖 6
圖2-1 價值函數 20
圖3-1 研究架構 36
圖3-2 展望理論之驗證 51
圖4-1 Tobin’s Q與內部人持股比率總和倒U形曲線關係圖 72
圖4-2 Tobin’s Q與董事持股比率倒U形曲線關係圖 73
圖4-3 Tobin’s Q與董監持股比率之和倒U形曲線關係圖 74
圖4-4 高Q值組價值函數圖 80
圖4-5 低Q值組價值函數圖 80


表　　次
頁數
表2-1 代理理論與實證彙總表 16
表2-2 Tobin’s Q與內部人持股比率關係與行為財務效果彙總表 25
表2-3 行為財務理論與實證彙總表 25
表4-1 各變數基本統計量 52
表4-2 Tobin’s Q與內部人持股比率年平均數趨勢 53
表4-3 當期內部人持股比率對Tobin’s Q模式估計結果(3SLS) 55
表4-4 當期內部人持股比率變動對Tobin’s Q模式估計結果(3SLS) 56
表4-5 前期內部人持股比率對本期Tobin’s Q模式估計結果(SUR) 57
表4-6 前期內部人持股比率變動對本期Tobin’s Q模式估計結果 (SUR) 58
表4-7 當期Tobin’s Q對內部人持股比率模式估計結果(3SLS) 60
表4-8 前期Tobin’s Q對本期內部人持股比率模式估計結果(SUR) 62
表4-9 當期Tobin’s Q對內部人持股比率變動模式估計結果(3SLS) 64
表4-10 前期Tobin’s Q對本期內部人持股比率變動模式估計結果(SUR) 65
表4-11 Tobin’s Q與內部人持股比率總和三段轉折模式估計結果 69
表4-12 Tobin’s Q與董事持股比率三段轉折模式估計結果 70
表4-13 Tobin’s Q與董監持股比率三段轉折模式估計結果 70
表4-14 Tobin’s Q與董事持股比率倒U形曲線關係模式估計結果 71
表4-15 Tobin’s Q與董監持股比率之和倒U形曲線關係模式估計結果 72
表4-16 Tobin’s Q與內部人持股比率總和倒U形曲線關係模式估計結果 73
表4-17 Q區間分解ㄧ覽表 75
表4-18 Tobin’Q 門檻檢定 76
表4-19 Tobin’Q 擴大門檻檢定 (區間寬距加倍) 77
表4-20 Tobin’s Q展望理論模式估計結果 (高Q值組) 79
表4-21 Tobin’s Q展望理論模式估計結果 (低Q值組) 79
表4-22 本研究實證分析結果彙整 81
表4-23 本研究實證分析結果達顯著水準摘錄一 83
表4-24 本研究實證分析結果達顯著水準摘錄二 85

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