跳到主要內容

臺灣博碩士論文加值系統

(44.200.86.95) 您好!臺灣時間:2024/05/21 08:26
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:吳倩銀
研究生(外文):Chien-Yin Wu
論文名稱:公司治理對共同基金績效與風險之影響-以門檻迴歸模型分析
論文名稱(外文):A Threshold Analysis of the Mutual Fund Performance and the Corporate Governance of its Invested Portfolios
指導教授:趙莊敏趙莊敏引用關係
口試委員:李福慶林鳳儀
口試日期:2008-06-26
學位類別:碩士
校院名稱:國立臺北科技大學
系所名稱:商業自動化與管理研究所
學門:商業及管理學門
學類:企業管理學類
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:79
中文關鍵詞:共同基金公司治理門檻迴歸績效風險
外文關鍵詞:Mutual FundCorporate GovernanceThreshold AnalysisPerformanceRisk
相關次數:
  • 被引用被引用:1
  • 點閱點閱:187
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
公司治理良好的公司,其財務績效較好,公司股價也較好,投資人亦願意付出較高的股價貼水去投資此種公司治理好的公司股票。由於金融市場的商品種類及數量繁多,許多投資大眾會透過共同基金交由專業的機構投資人操作,加上機構投資人在我國買賣股票佔市場總成交值之比重逐年提高,在市場中具有相當的示範作用及領先效果。本文研究台灣投信中投資國內股票型共同基金,其投資組合中公司治理好的投資標的之家數累積月數對於共同基金之績效與風險的影響,以門檻迴歸模型分析,並使用公司治理好的投資標的之持股比例來當做門檻變數進行分組。本研究發現,共同基金中公司治理好的投資標的之家數累積月數對於共同基金風險是呈現負向影響,表示對於共同基金之公司治理好的投資標的若能愈為長期持有,共同基金風險的降低會愈為明顯;又共同基金中公司治理好的投資標的之家數累積月數對於共同基金績效是呈現正向影響,表示對於共同基金之公司治理好的投資標的若能愈為長期持有,共同基金績效的提升會愈為明顯。
Prior studies document that companies that offered higher disclosure quality, greater transparency, higher outside ownership, and more focused organization usually experienced better stock price performance. The data used in this study is the 126 open-end equity mutual funds in Taiwan observed from January, 2005 to December, 2007. Using Hansen’s (1999) panel threshold regression model, this study argues that the effect of better corporate governance cumulate number ratio on the mutual fund performance and risk is different in signs or statistical significance when the mutual fund data is grouped based on their better corporate governance holding ratio. We find that better corporate governance cumulate number ratio of mutual fund investment objective has negative effect on mutual fund risk. It means that if mutual fund holds better corporate governance objectives for a long time, its risk will be reduced obviously. In the other hand, better corporate governance cumulate number ratio of mutual fund investment objective has positive effect on mutual fund performance. It means that if mutual fund holds better corporate governance objectives for a long time, its performance will be improved obviously.
中文摘要 i
英文摘要 ii
誌 謝 iii
目 錄 iv
表目錄 vi
圖目錄 vii
第一章 緒論 1
1.1 研究背景與動機 1
1.3 研究架構 8
1.4 研究流程 9
第二章 相關文獻探討 10
2.1 公司治理 10
2.1.1 公司治理的定義與重要性 10
2.1.2 公司治理、公司價值與股價 15
2.1.3 公司治理評等指標 18
2.2 共同基金績效的影響因素 22
2.3 共同基金績效指標 25
2.4 門檻迴歸模型的應用 30
2.5 文獻小結 32
第三章 研究方法 33
3.1 門檻迴歸概述 33
3.2 門檻迴歸模型 34
3.3 門檻迴歸估計 35
3.4 門檻迴歸推論 37
3.4.1 檢定 37
3.4.2 門檻估計的漸進分配 38
3.5 多重門檻值的模型設定 39
3.5.1 估計 40
3.5.2 決定門檻點的數量 40
3.5.3 信賴區間的建立 41
3.6 研究流程 43
第四章 實證模型與結果分析 44
4.1 研究對象、研究期間與資料來源 44
4.2 變數定義與衡量 44
4.3 實證模型的建立 49
4.4 研究結果 51
第五章 結論與建議 63
5.1 結論 63
5.2 未來研究建議 64
參考文獻 65
附錄 1 標準普爾公司治理評等構面及項目 73
附錄 2 里昂證券公司治理評等構面及項目 76
附錄 3 歐元雜誌公司治理評等構面及項目 78
書籍
[1]葉銀華、李存修、柯承恩,公司治理與評等系統,台北,商智文化,2002。
[2]Credit Lyonnais Securities Asia(CLSA), C.G. Watch: Corporate Governance in Emerging Markets, CLSA, 2002.
[3]Credit Lyonnais Securities Asia(CLSA), CG Watch 2005, CLSA, October 2005.
[4]Euromoney, Euromoney Corporate Governance Survey, 2003.
[5]McKinsey & Company, Investor Opinion Survey, June 2000.
[6]OECD, OECD Principles of Corporate Governance, Paris, OECD, 2004.
[7]Standard and Poor’s Corporation., Standard and Poor’s Corporate Governance Scores: Criteria, Methodology and Definitions, 2002.
[8]World Bank, Corporate Governance: A Framework for Implementation-Overview, 1999, pp. 5.
期刊論文
[9]王佳真、徐辜元宏,「風險值的應用與台灣共同基金績效指標之持續性」,臺大管理論叢,第14卷,第2期,2004.6,第23-48頁。
[10]行政院金融監督管理委員會證券期貨局,國際公司治理發展簡訊,第14期,2006.1.15。
[11]行政院金融監督管理委員會證券期貨局,國際公司治理發展簡訊,第25期,2007.11.15。
[12]李绍華,「韓國公司治理股價指數簡介及我國辦理公司治理指數之構思」,中華公司治理協會,2006.8.1。
[13]林秀玉,「人生哲學、經營哲學、執行力與公司治理」,經濟日報,第六版,2003.8.9。
[14]柯承恩,「公司治理的發展」,經濟日報,治理專文(一),2004.9.4。
[15]徐清俊、姜志堅,「基金績效持續性與基金類型之相關性研究」,遠東學報,第20卷,第4期,2003.9.20,第785-796頁。
[16]財團法人中華民國證券暨期貨市場發展基金會,上市櫃公司資訊揭露評鑑系統 評鑑結果暨評鑑程序說明,第四屆,2007.5.31。
[17]富達證券,「震盪股市下的投資策略:在波動的金融市場中,保持長期投資的觀念」,2007.3。
[18]Alkhafaji, A. F., “Effective Board of Directors: An Overview,” Industrial Management and Data System, vol.90, 1990, pp.18-26.
[19]Apap, A. and Griffith, J. M., ”The Impact of Expenses on Equity Mutual FundPerformance,” Journal of Financial Planning, vol.11, 1998, pp.76-81.
[20]Badrinath, S. G., Gerald Gay and Jayant R. Kale, “Patterns of Institutional Investment, Prudence, and The Managerial“Safety-Net”hypothesis,” The Journal of Risk and Insurance, vol.56, 1989, pp.605-629.
[21]Basso, A., Funari, S. ”A data envelopment analysis approach to measure the mutual fund performance,” European Journal of Operational Research, vol.135(3), 2001, pp.477-492.
[22]Bushee, B., “Do Institutional Investors Prefer Near-Term Earnings over Long-Rule Value?” Contemporary Accounting Research, vol.18, 2001, pp.207-246.
[23]Charhart, Mark M., “On persistence in mutual fund performance,” Journal of Finance, vol.52, 1997, pp.57-82.
[24]Chiao, C. and K. I. Lin, “The Informative Content of the Net Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market,” Review of Pacific Basin Financial Markets and Policies, vol.7, 2004, pp.259-288.
[25]Chih-Hsien Yu and Yu-Chung Yao, “On the Trading Strategies of Taiwan Mutual Funds,” Journal of Financial Studies, vol.8, No.2, August 2000, pp.49-76.
[26]Cornell, B., “Asymmetric Information and Portfolio Performance Measure,” Journal of Financial Economics, vol.7, 1997, pp.381-390.
[27]Dahlquist, M., and G. Robertsson, “Direct Foreign Ownership, Institutional Investors, and Firm Characteristics,” Journal of Financial Economics, vol.59, 2001, pp.413-440.
[28]Dellva, Wilfred L. and Gerard T. Olson, “The relationship between mutual fund fees and expenses and their effects on performance,” The Financial Review vol.33, 1998, pp.85-104.
[29]Elton, Edwin J., Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, “Efficiency with costly information: A reinterpretation of evidence from managed portfolios,” Review of Financial vol.6, 1993, pp.1-22.
[30]Falkenstein, E. G., “Preference for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,” Journal of Finance, vol.51, 1996, pp.111-135.
[31]Fama, E. F. and M. C., Jensen, “Separation of Ownership and Control,” Journal of Law and Economics vol.26, 1983, pp.301-325.
[32]Fan, Joseph P.H. and T.J. Wong, “Corporate Ownership Structure and the Informativeness of Accounting Earnings in East Asia,” Journal of Accounting and Economics, 2002
[33]Faugere, C. and H. A. Shawky, “Volatility and Institutional Investor Holdings in a Declining Market: A Study of Nasdaq during the Year 2000,” Journal of Applied Finance, vol.13, 2003, pp.32-42.
[34]Füerst, O. and S. H. Kang, “Corporate governance, expected operating performance, and pricing,” Working paper, Yale School of Management, New Haven, 2000
[35]Gompers, P.A. and A. Metrick, “Institutional Investors and Equity Prices,” Quarterly Journal of Economics, vol.116, 2001, pp.229-259.
[36]Gompers, Paul, Joy Ishii, and Andrew Metrick, “Corporate Governance and Equity Prices,” NBER Working Paper, no.8449, 2001
[37]Grinblatt, Mark, and Sheridan Titman, “A study of monthly mutual fund returns and performance evaluation techniques,” Journal of financial and quantitative analysis, vol.29, 1994, pp.419-443.
[38]Haugen, R. A. and L. W. Senbet, “Resolving the Agency Problems of External Capital through Options,” Journal of Finance, 1981, pp.629-647.
[39]Hansen, G. S. and C. W. L. Hill., “Are institutional investors myopic? A time series study of four technology-driven industry.” Strategic Management Journal, vol.12, 1991, pp.1-16.
[40]Hansen, B. E., “Inference when a nuisance parameter is not identified under the null hypothesis,” Econometrica, vol.64, 1996, pp.413-430.
[41]Hansen, B. E., “Threshold effects in non-dynamic panels: Estimation, testing and inference,” Journal of Econometrics, vol.93, 1999, pp.345-368.
[42]Hansen, B. E., “Sample splitting and threshold estimation,” Econometrica, vol.68, 2000, pp.575-603.
[43]Hessel, C. A. and M. Norman, “Financial Characteristics of Neglected and Institutionally Held Stocks,” Journal of Accounting, Auditing & Finance, vol.7, 1992, pp.313-334.
[44]Ippolito, Richard A., “Efficiency with costly information: A study of mutual fund performance,” Quarterly Journal of Economics, vol.104, 1989, pp.1-23.
[45]Jensen, M. C. and W. H. Meckling, “Theory of the Firm: Managerial Behavior, Agency cost and Ownership Structure,” Journal of Financial Economics, vol.3, 1976, pp.305-360.
[46]Jensen, M., “The Performance of Mutual Fund in the Period 1945-1964,” Journal of Finance, vol.23, 1986, pp.389-416.
[47]Kang, J. K. and R. M. Stulz, “Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan,” Journal of Financial Economics, vol.46, 1997, pp.3-28.
[48]Kuhle and Pope, ”A Comprehensive Long-term Performance Analysis of Load VS. No-load Mutual Funds,” Journal of Financial and Strategic Decisions, vol.3(2), 2000, pp.1-11.
[49]Leland, H. and D. H. Pyle, “Information Asymmetric, Financial Structure and Financial Intermediation,” Journal of Finance, vol.32, 1977, pp.371-388.
[50]McConnell, J. and H. Servaes., “Additional evidence on equity ownership and corporate value,” Journal of Financial Economics, vol.27, 1990, pp.595-612.
[51]Mohanty, P., “Institutional Investors and Corporate Governance in India,” National Stock Exchange of India Research Initiative Paper, no.15, 2003
[52]Murthi, B. P. S., Choi Y. K., and Desai P., “Efficiency of Mutual Funds and Portfolio Performance Measurement A Non-paramatric Approach,” European Journal of Operational Research, vol.98, 1997, pp.408-418.
[53]Oviatt, B. M., “Agency and transaction cost perspectives on themanager-shareholder relationship, incentives for congruent interests,” Academy of Management Review, vol.13, 1988, pp.214-225.
[54]Pround, J., “Proxy contests and the efficiency of shareholder oversight,” Journal of Financial Economics, vol.20, 1988, pp.237-265.
[55]Prowse, S., “Corporate Governance: Emerging Issues and Lessons from East Asia,” Responding to the Global Financial Crisis-World Bank mimeo, 1998
[56]Rajan, R. and L. Zingales, “Which Capitalism? Lessons from the East Asian Crisis,” Journal of Applied Corporate Finance, vol.11, 1998, pp.40-48.
[57]Sharpe, W., “Mutual Fund Performance,” Journal of Business, vol.34, 1966, pp.119-138.
[58]Shleifer, A. and R. Vishny, “A Survey of Corporate Governance,” Journal of Financial Economics, vol.52, 1997, pp.737-783.
[59]Szewczyk, S. H., G. P. Tsetsekos and R. Varma., “Institutional ownership and the liquidity of common stock offerings,” The Financial Review, vol.27, 1992, pp.211-225.
[60]Taylor, W. R. L., and J. A. Yoder, “Mutual Fund Trading Activity and Investor Utility”, Financial Analysts Journal, May-June 1994, pp.66-69.
[61]Treynor, J. L., “How to Rate Management Investment Funds,” Harvard Business Review, vol.43, 1965, pp.63-75.
[62]Walther, B., “Investor Sophistication and Market Earnings Expectations,” Journal of Accounting Research, vol.35, 1997, pp.157-179.
[63]Yeh, Y. H., T. S. Lee and T. Woidtke, “Family Control and Corporate Governance: Evidence from Taiwan,” International Review of Finance, vol.2, March 2001, pp.21-48.
學位論文
[64]丁立平,公司治理、會計資訊與公司價值關係之研究,碩士論文,國立台灣大學會計學研究所,台北,2003。
[65]丁秀儀,上市公司公司治理、經營績效與機構投資人投資行為關聯性之研究,博士論文,國立政治大學企業管理研究所,台北,2004。
[66]王凱律,產業集中度與共同基金績效之關聯-以分位數迴歸模型探討,碩士論文,國立台北科技大學商業自動化與管理研究所,台北,2007。
[67]吳慧君,系統風險及公司特徵因子對台灣共同基金績效之實證研究,碩士論文,朝陽科技大學財務金融研究所,台中,2002。
[68]吳蕙雯,公司治理對IPOs承銷價與上市後股價表現影響之研究,碩士論文,輔仁大學金融研究所,台北,2002。
[69]李偉誠,共同基金績效評估-門檻迴歸模型的應用,碩士論文,國立中央大學財務管理研究所,桃園,2001。
[70]林美菁,利用融入參考點之資料包絡分析模式評估共同基金之相對投資績效,碩士論文,國立中央大學企業管理研究所,桃園,2000。
[71]林尚志,我國公司治理評等指標建立之研究,碩士論文,國立政治大學會計研究所,台北,2004。
[72]洪秋萍,我國開放型共同基金之風險分散程度、績效與風險調整行為,碩士論文,國立高雄第一科技大學財務管理研究所,高雄,2004。
[73]胡萱婷,國內基金經理人特質、基金特性與基金績效之關聯性,碩士論文,嶺東科技大學財務金融研究所,台中,2007。
[74]范文政,台灣共同基金經理人有擇時能力嗎,碩士論文,國立高雄應用科技大學金融資訊研究所,高雄,2006。
[75]張有若,全球共同基金群組風險與績效評估-以風險值修正夏普指標之應用,碩士論文,中原大學企業管理研究所,桃園,2002。
[76]許志彬,機構投資人持有上市櫃股票特徵與善良管理人責任之研究,碩士論文,逢甲大學保險學研究所,台中,2003。
[77]郭素菱,機構投資人與財務報表攸關性之研究,碩士論文,國立成功大學會計研究所,台南,2001。
[78]陳哲瑜,風險值應用在共同基金績效評估上之研究,碩士論文,國立中正大學企業管理研究所,嘉義,2003。
[79]陳櫻建,外資持股比例、公司特性與公司價值,碩士論文,國立中正大學財務金融研究所,嘉義,2001。
[80]傅楷智,美國存託憑證與標的股價格之動態傳遞關係-非線性MVTAR模型之應用,碩士論文,國立中正大學國際經濟研究所,嘉義,2003。
[81]辜素敏,公司治理評等與股價報酬相關性研究,碩士論文,義守大學管理研究所,高雄,2005。
[82]楊哲明,機構投資人持股與公司治理關聯性之研究,碩士論文,國立雲林科技大學財務金融研究所,雲林,2006。
[83]廖含珮,台灣共同基金績效之分析-資料包絡分析法之應用,碩士論文,中國文化大學經濟學研究所,台北,2002。
[84]賴靜瑤,台灣共同基金績效持續性之探討-技術效率與夏普指數之聯立推估,碩士論文,東海大學管理碩士在職專班,台中,2004。
[85]羅瑞媛,台灣共同基金資訊揭露對績效與流量影響之實證研究,碩士論文,國立中央大學財務金融碩士在職專班,桃園,2005。
電子全文 電子全文(本篇電子全文限研究生所屬學校校內系統及IP範圍內開放)
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top