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研究生:鄭淑菁
研究生(外文):Shu-Ching Jheng
論文名稱:資訊揭露、融資限制與系統風險影響之實證分析
論文名稱(外文):An Empirical Analysis of the Effects of Corporate Disclosure and Financial Constraints on Systematic Risks
指導教授:鄧誠中鄧誠中引用關係
指導教授(外文):Tseng-Chung Tang
學位類別:碩士
校院名稱:國立虎尾科技大學
系所名稱:經營管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:64
中文關鍵詞:系統風險資訊不對稱資訊揭露透明度融資限制
外文關鍵詞:systematic riskasymmetric informationinformation disclosure and transparency (IDT)financing constraints
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  • 被引用被引用:4
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本研究旨在探討企業之資訊揭露透明度與融資限制對其股票在系統風險上的影響。過去相關文獻多以單一因素探討與系統風險間的關聯性,而且也只針對公司特性、財務面因素或對資本市場影響進行分析,缺乏更週延之考量。準此,本研究嘗試由資訊不對稱之觀點,同時考量公司治理之管理面以及企業財務之績效面,結合非財務變數之資訊揭露透明度與財務變數之融資限制,證實此二者對市場系統風險確實造成影響。再者,本研究依據資訊揭露透明度與融資限制程度高低加以區分為數個等級,並利用此分類屬性將樣本區隔成12個群集,以深入檢視對系統風險的個別影響程度。迴歸結果指出,資訊揭露透明度以及融資限制與系統風險間分別都呈現顯著正相關。進一步依資訊揭露評鑑等級與融資限制程度分別將樣本予以分群,經基點分析與母無數檢定後發現,各揭露評鑑等級與系統風險間呈現遞增但不一定顯著之關係,當評鑑等級從C等級 (B等級)上升一級至B等級 (A等級)時,評鑑等級與系統風險間不具 (具)顯著性,本研究推測其原因為:B、C等級企業其揭露程度相對偏低,暗示其股票有著較高的不確定性與風險,投資者多數抱持保守的態度,導致其股票流動性低,故其評鑑等級上升對系統風險不產生太大的變動與影響。然而由B等級上升至A等級之企業,其資訊透明度良好因而使投資者投資信心增加,導致股票產生較大的波動,系統風險因而明顯增大。此外,本研究發現評鑑等級 (融資限制)相同之企業,融資限制 (評鑑等級)愈高之股票,其系統風險愈高。
This paper delves into the effects of information disclosure and transparency (IDT) and financing constraints of a corporation on its systematic risk in terms of stocks. Previous literatures in this field merely used a single factor to discuss the correlation with systematic risk and conducted analysis only from the firm-specific or financial aspect, thus lacking comprehensive considerations. Hence, this study, from the angle of asymmetric information, attempts to account both corporate governance (management aspect) and corporate finance (performance aspect), as well as combines the non-financial variable information disclosure and transparency (IDT) and the financial variable financing constraints to prove the fact that these two factors do have an effect on the market systematic risk. In addition, this study takes the initiative in using the IDT and financing constraints of different levels to cluster samples, and probe into their individual impacts on the systematic risk.
The findings of this study reveal that a positive correlation exists between IDT rankings and system risk as well as between financing constraints and system risk. In further sample clustering based on IDT rankings and level of financing constraints, an increasing relationship, though not necessarily obvious, is found between each IDT ranking and systemic risk. In the case where a corporation’s IDT ranking upgrades from C (B) to B (A) rank, the relationship between IDT ranking and systemic risk is not noticeable (noticeable). It can be assumed that: corporations of B and C ranks have relatively low IDT levels, and hence their stocks have higher uncertainties and risks; their investors tend to be conservative and thus stock liquidity is low. As a result, rank upgrade produces limited effects on system risk. As for corporation’s IDT upgrading from B to A rank, stocks are highly affected and system risk increase evidently, because better transparency of information has boosted investor confidence. The findings also suggest that for corporations of the same IDT (financing constraints) rank, the more the financing constraints (IDT rank) there are, the higher the system risk would be.
中文摘要 i
英文摘要 ii
謝 辭 iii
目 錄 iv
表 目 錄 v
圖 目 錄 vi
附 錄 vii
第一章 緒論 1
1.1 研究動機與目的 1
1.2 研究架構與研究流程 5
第二章 文獻探討 7
2.1 系統風險 7
2.2資訊揭露透明度 10
2.2.1影響資訊揭露透明度之因素 11
2.2.2 資訊揭露透明度之效益 13
2.2.3 資訊揭露透明度之資訊內涵 16
2.2.4 資訊揭露透明度與系統風險之相關文獻 18
2.3 融資限制 21
2.3.1 影響融資限制之相關文獻 21
2.3.2 融資限制與投資決策之相關文獻 23
2.3.3 融資限制與股票報酬之相關文獻 25
第三章 研究設計 28
3.1變數衡量 28
3.1.1系統風險 28
3.1.2資訊揭露透明度 28
3.1.3 融資限制 29
3.1.4 控制變數 30
3.2資料來源 32
3.3 模型 33
第四章 實證結果與分析 35
4.1 樣本特性分析 35
4.2 敘述統計分析與迴歸實證結果 38
4.3 資訊揭露透明度、融資限制與系統風險之關聯性分析 41
第五章 結論與建議 47
參考文獻 50
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