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研究生:劉晉儒
研究生(外文):Liu, Chin-Ju
論文名稱:指數股票型基金所有權對台灣企業投資的影響
論文名稱(外文):The Impact of ETF Ownership on Taiwanese Corporate Investment
指導教授:林信助林信助引用關係
指導教授(外文):Lin, Shin-Jhu
口試委員:詹場張元晨
口試委員(外文):Chan, ChangChang, Yuan-Chen
口試日期:2019-06-24
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營與貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:中文
論文頁數:50
中文關鍵詞:指數股票型證券投資信託基金ETF所有權企業投資效率資本支出企業投資
外文關鍵詞:Exchange traded fundETF ownershipCorporate investmentCapital expenditureCorporate investment efficiency
相關次數:
  • 被引用被引用:1
  • 點閱點閱:257
  • 評分評分:
  • 下載下載:32
  • 收藏至我的研究室書目清單書目收藏:0
隨著指數股票型基金市場規模逐步上升,指數股票型基金為資本市場帶來的影響逐漸受到重視,近來研究顯示當企業股票被指數股票型基金納入成分股,股價所能反映的企業特定資訊含量將受到影響,企業內部經理人進行投資決策時將減少對股價資訊的依賴且可能使企業投資無法達到企業市值極大化的目標。為探討指數股票型基金所有權對企業投資造成的影響,本研究透過兩個模型分別驗證兩大假說: (1). ETF所有權上升為企業投資對股價敏感度帶來負面影響。(2). ETF所有權上升將使企業投資水平無法達到最適水準。本研究結果顯示ETF所有權的上升會為企業投資帶來顯著影響,其影響尤其體現在企業投資對股價敏感度的負面衝擊。ETF所有權在投資對股價敏感度的影響上,因為大型、壽命長、銷售波動度大的企業經理人本身在應對產業及市場不確定性時較小規模、成立年數短且銷售波動度小的企業經理人更加審慎,再者,因對市場資訊掌握更具經驗,此類大型、經營年數長且銷售波動大的企業內部經理人掌握資訊更加充分,當股價因ETF所有權上升而無法提供此類專業經理人未知的額外訊息時,大規模、壽命長、銷售波動度大的企業經理人將傾向減少對股價資訊的依賴,而造成ETF所有權變動為大規模、成立年數長、銷售波動度大的公司之「投資對股價敏感度」帶來更明顯的影響。在對企業投資效率的影響上,由於小規模、成立年數短、低銷售波動的企業在企業特定資訊含量下降時,企業內部經理人本身蒐集資訊的能力與經驗較大規模、壽命長、高度銷售波動的企業經理人不足,因此當ETF所有權比率上升時,本研究的結果發現ETF所有權會使企業投資不足,尤其對規模小、壽命短、銷售波動小的企業更容易造成其資本支出無法達成最適水準。
With the gradual increase of the size of ETF market, the impact of ETF on the capital market has attracted attentions from the society. Recently, some researches showed that the firm-specific information content would probably be diluted when the stock of the company is included in ETF. Consequently, the internal manager of the company will reduce the dependence on the stock price information when making investment decisions and may make the enterprise investment unable to achieve the optimal level of maximizing the market value of the enterprise. In order to explore the impact of ETF ownership on corporate investment, this study validates two hypotheses through two models: (1). ETF ownership will negatively affect stock price sensitivity of corporate investment. (2). The rise in ETF ownership will make the corporate investment unable to reach the optimal level.
The results of this study show that the rise in ETF ownership will have a significant impact on corporate investment, especially in terms of negative effect of corporate investment on stock price sensitivity. As of the impact on the efficiency of corporate investment, because the investment experience and information of managers of small-scale, short-term established and low-sales fluctuation enterprises are insufficient compared with those of large sized companies, when the company's specific information content declines, higher ETF ownership will make the company under-invested.
壹、導論 1
第一節、研究背景 1
第二節、研究動機與目的 3
貳、研究假說 7
參、研究方法 10
第一節、樣本選取與資料來源 10
第二節、實證模型 11
一、模型一: ETF所有權是否為企業投資對股價敏感度帶來影響 11
二、模型二: ETF所有權對企業投資決策品質之影響 16
第三節、變數定義 18
一、被解釋變數 18
二、解釋變數 20
肆、實證結果 26
第一節、敘述統計資料分析 26
第二節、實證結果與分析 28
伍、研究結論、限制與檢討 44
附錄 46
參考文獻 48
西文部份
Aghion, P. and Van Reenen, J. and Zingales, L. (2013), "Innovation and Institutional Ownership." American Economic Review 103, 277-304.
Antoniou, Constantinos and Subrahmanyam, Avanidhar and Tosun, Onur Kemal, ETF Ownership and Corporate Investment (2019). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3184949
Baker, Malcolm P. and Wurgler, Jeffrey A. and Stein, Jeremy C. (2003), "When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms." The Quarterly Journal of Economics 118, 969-1005
Barro, R. (1990), "The Stock Market and Investment." Review of Financial Studies 3, 115-131.
Ben-David, Itzhak and Franzoni, Francesco A. and Moussawi, Rabih (2018), "Do ETFs Increase Volatility?" Journal of Finance 73, 2471-2535.
Benninga, S. and Sarig, O. H. (1997), Corporate finance : a valuation approach. New York, McGraw-Hill.
Blanchard, Olivier J. and Rhee, Changyong and Summers, Lawrence H. (1993), "The Stock Market, Profit and Investment." The Quarterly Journal of Economics 108, 115-136.
Chen, Qi and Goldstein, Itay and Jiang, Wei (2007), "Price Informativeness and Investment Sensitivity to Stock Price." Review of Financial Studies 20, 619-650.
Cleary, S. (1999), "The Relationship between Firm Investment and Financial Status." The Journal of Finance 54, 673-692.
Durnev, A. and Morck, Randall K. and Yeung, Bernard Yin (2003), "Value Enhancing Capital Budgeting and Firm-Specific Stock Returns Variation." Journal of Finance 59, 65-105
Fazzari, Steven M. and Petersen, Bruce Clayton and Hubbard, Robert Glenn (1988), "Financing Constraints and Corporate Investment." Brookings Papers on Economic Activity 1988, 141-206
Glosten, Lawrence R. and Nallareddy, Suresh and Zou, Yuan. (2016), "ETF Activity and Informational Efficiency of Underlying Securities." Columbia Business School Research Paper, 16-71.
Hamm, Sophia, The Effect of ETFs on Stock Liquidity (2014). Available at SSRN: https://ssrn.com/abstract=1687914 or http://dx.doi.org/10.2139/ssrn.1687914
Hausman, Jerry (1978), "A Specification Test in Econometrics." Econometrica 46, 1251-1271
Israeli, Doron and Lee, Charles M.C. and Sridharan, Suhas A. (2017). "Is There a Dark Side to Exchange Traded Funds An Information Perspective." Review of Accounting Studies 22, 1048-1083.
Kaplan, Steven Neil and Zingales, Luigi (1997), "Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?" The Quarterly Journal of Economics 112, 169-215.
Lamont, Owen A. and Polk, Christopher and Saa-Requejo, Jesus (2015), "Financial Constraints and Stock Returns." The Review of Financial Studies 14, 529-554.
Morck, Randall K. and Shleifer, Andrei and Vishny, Robert W. (1990), "The Stock Market and Investment: Is the Market a Sideshow?" Brookings Papers on Economic Activity 21, 157-216.
Myers, Stewart C. and Majluf, Nicholas S. (1984), "Corporate financing and investment decisions when firms have information that investors do not have." Journal of Financial Economics 13, 187-221.
Stein, J. C. (1996), "Rational capital budgeting in an irrational world." The Journal of Business 69, 429-455
Stein, J. C. (2003), "Agency, Information and Corporate Investment." Handbook of the Economics of Finance 1, 111-165.
中文部分
洪進朝 (2013)。資本支出宣告對股價的影響-以台灣半導體產業為例。管理資訊計算,2,187-198。
褚愛平 (2018)。ETF所有權對台灣股票市場品質之影響稱(107年淡江大學會計學系碩士論文)。2018第20屆科際整合管理研討會論文集,857-877。
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