臺灣博碩士論文加值系統

本文主要是探討金融產業之股價報酬與系統風險的關係。採用台灣經濟新報
（TEJ）資料庫，針對上市金融產業的財務報表、公司治理及股價的年度資料，分析期間為2000 年至2015 年（共16 年）。本文除了分析全體金融產業樣本外，還分別比較金控公司與非金控公司分群樣本之差異。
本文研究方法為兩階段最小平方法及非線性方法。兩種方法的實證結果均發
現，不論在全體樣本或分群子樣本，股價報酬與系統風險皆為顯著正相關，亦即公司之股價報酬愈高，其系統風險相對愈高；或者公司之系統風險較高，其股價報酬亦相對較高。
此外，從投資者所關心的角度而言，本文發現對股價報酬有正面影響之變數
僅有每股盈餘。然而，可降低系統風險的公司治理變數為，較高的董事質押比例、較高的董事持股比例、較高的外部大股東持股比例、較大的股份盈餘偏離差、有交叉持股、獨立董監有兼任其他公司獨立董監及有設置審計委員會。而其他的控制變數有，較高的資產報酬率、較高的負債比率、較高的每股盈餘及較高的每股淨值。

This study mainly analyzes the association between Stock Returns and Systematic Risk in Financial Industry. We use Taiwan listed financial company’s stock price, corporate governance and financial data from 2000 to 2015 of Taiwan Economic Journal (TEJ) database. We not only observe all financial industry samples but also observe the difference between the Financial holding company and the Non-financial
holding company.
We use the two-stage least square method and the nonlinear method to examine the association between Stock Returns and Systematic Risk. The empirical results show that there is a significantly positive correlation between Stock Returns and Systematic Risk in all samples and sub-samples.
In addition, we find that only Earnings per share has positive impact on the Stock Returns. By contrast, the independent variables such as Directors pledge ratio, Directors shareholding ratio, Major shareholders shareholding ratio, Voting rights minus Cash flow rights, Cross-shareholding, Independent director duality, Audit committee, Debt ratio, Earnings per share and Book value per share are significantly negative related to Systematic Risk.

中文摘要 ........................................................................................................................... i
英文摘要 .......................................................................................................................... ii
誌謝 ................................................................................................................................. iii
目錄 ................................................................................................................................. iv
表目錄 .............................................................................................................................. v
圖目錄 ............................................................................................................................. vi
第一章 緒論 .................................................................................................................. 1
第一節 研究背景 .................................................................................................. 1
第二節 研究目的 .................................................................................................. 3
第三節 研究架構與流程 ...................................................................................... 4
第二章 文獻回顧 .......................................................................................................... 6
第一節 公司績效 .................................................................................................. 6
第二節 公司風險 ................................................................................................ 12
第三章 研究方法與設計 ............................................................................................ 23
第一節 資料來源 ................................................................................................ 23
第二節 變數定義 ................................................................................................ 24
第三節 研究方法與實證模型 ............................................................................ 31
第四章 實證結果與分析 ............................................................................................ 38
第一節 敘述統計分析 ........................................................................................ 38
第二節 相關分析 ................................................................................................ 43
第三節 兩階段方法實證結果 ............................................................................ 46
第四節 非線性方法實證結果 ............................................................................ 81
第五章 結論與建議 .................................................................................................. 100
第一節 結論 ...................................................................................................... 100
第二節 建議 ...................................................................................................... 101
參考文獻 ...................................................................................................................... 103
附錄 .............................................................................................................................. 108

一、中文文獻
1.方俊儒，李秀英，龍春伶，2008，“獨立董監事對公司績效與盈餘品質之影響－控制股東之調節效果＂，會計與公司治理，第5卷，第1期：頁55-80。
2.方偉廉，2011，“合併財務報表資訊與企業系統風險之關聯性研究”，會計審計論叢，第2期，頁1-25。
3.李馨蘋，何喜將，2007，“銀行業之公司治理機制如何影響銀行風險承擔行為?”，會計與公司治理，第4卷，第2期，頁1-22。
4.李馨蘋，莊宗憲，2007，“公司治理機制與公司績效之實證研究”，東吳經濟商學學報，第57期，頁1-27。
5.林翠蓉，張力，侯啟娉，曾韻如，許雅棠，2011，“家族所有權、公司治理與公司績效關係之實證研究”，績效與策略研究，第8卷，第1期，頁59-78。
6.徐中琦，2012，投資學：專業與實務，前程文化事業有限公司。
7.張紹勳，2016，Panel-data迴歸模型：Stata在廣義時間序列的應用，五南圖書出版股份有限公司。
8.郭翠菱，王志洋，2017，“公司治理如何影響家族企業之績效？長期縱貫分析”，會計評論，第64期，頁61-111。
9.陳怡珮，林翠蓉，侯啟娉，張力，謝佩娟，2012，“家族所有權、公司治理與風險承擔關係”，輔仁管理評論，第19卷，第2期，頁59-90。
10.廖秀梅，李建然，吳祥華，2006，“董事會結構特性與公司績效關係之研究—兼論台灣家族企業因素的影響”，東吳經濟商學學報，第54期，頁117-160。
11.歐陽豪，許溪南，廖瑞芹，曹惠婷，2004，“股權結構、獨立董事與公司價值創造之實證分析-以台灣上市電子業為例”，2004科技整合管理國際研討會，台北，5月22日，頁748-762。
12.鄭燦堂，2016，風險管理－理論與實務，八版，五南圖書出版股份有限公司。
二、英文文獻
1.Akbar, S., Kharabsheh, B., Poletti-Hughes, J., Shah, S. Z. A., 2017, Board structure and corporate risk taking in the UK financial sector, International Review of Financial Analysis, 50: 101-110.
2.Baek, J. S., Kang, J. K., Park, K. S., 2004, Corporate governance and firm value: evidence from the Korean financial crisis, Journal of Financial Economics, 71: 265-313.
3.Battaglia, F., and Gallo, A., 2015, Risk governance and Asian bank performance: An empirical investigation over the financial crisis, Emerging Markets Review, 25: 53-68.
4.Chhaochharia, V., and Grinstein, Y., 2007, Corporate Governance and Firm Value: The Impact of the 2002 Governance Rules, The Journal of Finance, 4: 1789-1825.
5.Dincer, B., and Dincer, C., 2013, Corporate Governance and Market Value: Evidence from Turkish Banks, International Journal of Academic Research in Business and Social Sciences, 3(1): 241-249.
6.Dionne, G., Gouriéroux, C., and Vanasse, C., 2001, Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment, Journal of Political Economy, 109: 444–453.
7.Hausman, J., 1978 , Specification Tests in Econometrics, Econometrica: Journal of the Econometric Society, 46(6): 1251-1271.
8.Ho, C.L., Lai, G.C., Lee, J.P., 2013, Organizational Structure, Board Composition, and Risk Taking in the U.S. Property Casualty Insurance Industry, The Journal of Risk and Insurance, 80(1): 169-203.
9.Hutchinson, M., Seamer, M., Chapple, L., 2015, Institutional Investors, Risk/Performance and Corporate Governance, The International Journal of Accounting, 50: 31-52.
10.Iannotta, G., Nocera, G., Sironi, A., 2007, Ownership structure, risk and performance in the European banking industry, Journal of Banking & Finance, 31: 2127–2149.
11.Iqbal, J., Strobl, S., Vähämaa, S., 2015, Corporate governance and the systemic risk of financial institutions, Journal of Economics and Business, 82: 42–61.
12.Jiraporn, P., Chatjuthamard, P., Tong, S., Kim, Y. S., 2015, Does corporate governance influence corporate risk-taking? Evidence from the Institutional Shareholders Services (ISS), Finance Research Letters, 13: 105–112.
13.La Porta, R., Lopez-de-Silanes F., Shleifer, A., 1999, Corporate ownership around the World, Journal of Finance , 54: 471-517.
14.Lai, G. C., Limpaphayom, P., 2003, Organizational Structure and Performance: Evidence From The Nonlife Insurance Industry In Japan, The Journal of Risk and Insurance, 70(4): 735-757.
15.Mar-Molinero, C., Menéndez-Plans, C., Orgaz-Guerrero, N., 2017, Has the 2008 financial crisis changed the factors determining the systematic risk of shares in the “European Hospitality Industry”?(2003–2013), Journal of Hospitality and Tourism Management, 31: 59-69.
16.Moeinadin, M., Heirany, F., Khoshnood, E., 2014, The effect of the reliability of accounting information on systemic risk on listed companies at Tehran Stock Exchange, International Journal of Academic Research in Economics and Management Sciences, 3(1): 1-11.
17.Mundlak, Y., 1978, On the pooling of time series and cross section data, Econometrica: Journal of the Econometric Society, 46: 69-85.
18.Neter, J.,Wasserman W., and Kunter, M. H., 1996, Applied Linear Statistical Models, Chicago: Irwin.
19.Nguyen, P., 2011, Corporate governance and risk-taking: Evidence from Japanese firms, Pacific-Basin Finance Journal, 19: 278-297.
20.Park, S., Song, S., Lee, S., 2017, Corporate social responsibility and systematic risk of restaurant firms: The moderating role of geographical diversification, Tourism Management, 59: 610-620.
21.Ramdani, D., and Van Witteloostuijn, A., 2010, The Impact of Board Independence and CEO Duality on Firm Performance: A Quantile Regression Analysis for Indonesia, Malaysia, South Korea and Thailand, British Journal of Management, 21: 607-626.
22.Sharpe, W. F., 1964, Capital Assets Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 29: 425-442.
23.Tzang, S. W., Wang, C. W., Yu, M. T., 2016, Systematic risk and volatility skew, International Review of Economics and Finance, 43: 72-87.
24.Upadhyay, A. D., Bhargava, R., Faircloth, S., Zeng, H., 2017, Inside directors, risk aversion, and firm performance, Review of Financial Economics, 32: 64-74.
25.Wang, J. L., Jeng, V., Peng, J. L., 2007, The Impact of Corporate Governance Structure on the Efficiency Performance of Insurance Companies in Taiwan, The Geneva Papers , 32: 264-282.
26.Yeh, Y. H., 2005, Do the Controlling Shareholders Enhance Corporate Value?, Corporate Governance: An International Review, 13(2): 313-324.
三、網路資源
1.政府資料開放平臺，http://data.gov.tw/。