臺灣博碩士論文加值系統

近年來，國內外大型公司與投資銀行接連爆發重大危機。2008年雷曼兄弟宣告破產，其銷售遍及全球的衍生性金融商品，讓世界各國的投資人損失慘重，投資人的投資策略開始以風險控管為優先考量。由此突顯出複雜的金融商品投資人不易理解，資訊透明度低導致投資風險升高。台灣政府為了保護投資人的權益、提升資本市場效率，每年由證基會公佈參與評鑑公司的揭露等級。評鑑等級越高代表企業資訊越透明，該項評鑑等級資訊對資本市場的參與者（企業或投資人）是否具有任何影響或效益，為本研究所要探討的議題。研究結果發現，有接受資訊評鑑系統評鑑的企業中，評鑑等級越高企業資金成本越低，企業的市場評價越高。此外，以Fama-French三因子模型分析得之，評鑑等級越低的公司擁有較高的超常報酬。公司規模小和淨值市價比高的價值型公司其平均報酬相對較高。因此，投資人可以參考評鑑等級資訊配合個人之風險偏好，做出最適之投資組合以提升投資效益。本研究結果可提供政府相關部門做為鼓勵企業增加資訊透明度之參考，也有助於提升台灣資本市場之效率。

Serious crisis had occurred to some domestic and foreign large companies and investment banks in recent years. Lehman Brothers declared bankruptcy in 2008. Investors all over the world had suffered heavy losses due to owning Lehman Brothers’ financial derivatives. As a result, investors start to set risk management as the top priority for their investment strategies. This crisis has shown the complex and incomprehensible of investment products and also implies that the existence of negative relationship between information transparency and investment risk. In order to protect the rights and interests of investors and enhance the efficiency of capital markets, SFI ranks company’s information disclosure and publishes the ranking every year. The higher the ranking of information disclosure, the more transparent the company is. This study explores whether the information disclosure ranking has any influence on capital market participants. The results of this study show a significant negative relationship between information disclosure ranking and capital cost and a significant positive relationship between information disclosure ranking and market value. Furthermore, the analysis based on Fama-French’s three factors model shows that companies with lower information disclosure ranking have higher abnormal returns and companies with smaller scale and high book-to-market have relatively higher average returns. Therefore, investors can make the optimum investment portfolio to enhance investment returns by referring to information disclosure rankings and personal risk preferences. The results of this study provide government with evidence to encourage business for increasing information transparency which will enhance capital market efficiency in Taiwan.

中文摘要.......................................................... .............................................................. i
英文摘要.........................................................................................................................ii
致謝................................................................................................................................iii
目錄................................................................................................................................iv
表目錄............................................................................................................................vi
圖目錄...........................................................................................................................vii
一、 緒論......................................................................................................................1
1.1 研究動機與目的..............................................................................................1
1.2 理論架構..........................................................................................................3
1.3 研究問題..........................................................................................................3
1.4 研究假說..........................................................................................................3
1.5 研究流程........................……………………………………………………..5
1.6 論文組織.............………………………………………………………...…..6
二、文獻回顧..................................................................................................................7
2.1 各項評鑑系統的介紹......................................................................................7
2.2 資訊透明度與資訊評鑑等級........................................................................15
2.3 資訊透明度與資金成本…............................................................................15
2.4 資訊透明度與公司市場評價........................................................................17
2.5 資訊透明度與超常報酬................................................................................19
2.6 規模效果................................................………………...…….……………19
2.7 淨值市價比效果............................................................................................20
三、 研究假說與研究設計….....................................................................................22
3.1 研究假說........................................................................................................22
3.2 樣本選取與資料來源....................................................................................22
3.3 變數定義與衡量............................................................................................23
3.4 研究設計........................................................................................................26
四、實證結果與分析...................................................................................................32
4.1 敘述性統計....................................................................................................32
4.2 相關性分析....................................................................................................33
4.3 迴歸分析........................................................................................................34
4.4變異數分析......................................................................................................38
伍、研究結論……….....................................................................................................46
5.1 結論................................................................................................................46
5.2 研究貢獻........................................................................................................46
5.3 研究建議與限制............................................................................................47
參考文獻.......................................................................................................................48

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