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研究生:陳寧君
研究生(外文):Chen, Ning-Chun
論文名稱:基於機器學習的台灣資訊科技產業企業價值分析及預測模型 - 企業社會責任的角色
論文名稱(外文):Firm Value Analysis and Forecasting Model of Taiwan Information Technology Industry Based on Machine Learning - The Role of Corporate Social Responsibility
指導教授:包曉天包曉天引用關係
指導教授(外文):Pao, Hsiao-Tien
口試委員:包曉天蔡璧徽姜齊虞孝成李易穎
口試委員(外文):Pao, Hsiao-TienTsai, Bi-HueiChiang, ChiYu, Hsiao-ChengLi, Yi-Ying
學位類別:碩士
校院名稱:國立交通大學
系所名稱:管理科學系所
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:2019
畢業學年度:107
語文別:中文
論文頁數:48
中文關鍵詞:企業社會責任公司治理機器學習演算法XGBOOST預測模型
外文關鍵詞:Corporate Society ResponsibilityCorporate GovernanceMachine learning algorithmXGBOOSTForecasting Model
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本研究以台灣上市資訊科技(IT)產業364家2013- 2017年之資料為基礎,創新採用線性面板迴歸模式、線性梯度下降法(Gradient Descent)及非線性極限梯度提升樹(eXtreme Gradient Boosting)機器學習演算法,探討企業社會責任(CSR)、公司治理(股權結構和董事會特性)、及資本結構三構面對公司價值(Tobin’s Q)之關聯,其中,CSR是以經濟、社會、和環境面分別探討。線性及非線性模型的配適能力分別為16.76%及0.13%的MAPE。XGBTREE之結果顯示Tobin’s Q之重要影響因子依序為:CSR的經濟面和社會面、法人持股比例、及經理人持股比例,CSR在線性模型中也顯著重要。XGBTREE建構的Tobin’s Q預測模型,其樣本外預測能力達到MAPE 16.8% 之良好評等。綜合上述結果,強化股權結構及推廣企業社會責任可以提升IT產業的企業價值。
Based on data from 364 2013-2017 data of Taiwan-listed information technology (IT) industry, this study uses linear panel regression model, linear gradient descent and eXtreme Gradient Boosting, a machine learning algorithm to explore Corporate Society Responsibility (CSR), corporate governance (equity structure and board characteristics), and capital structure are related to the company's value (Tobin's Q), which is discussed separately in economic, social, and environmental aspects. The linear and nonlinear models have a matching capacity of 16.76% and 0.13% of MAPE, respectively. The results of XGBTREE show that the important influence factors of Tobin’s Q are: CSR's economic and social aspects, legal person shareholding ratio, and manager's shareholding ratio. CSR is also significant in the linear model. The Tobin’s Q prediction model constructed by XGBTREE has a good external prediction ability of 16.8% of MAPE. Based on the above results, strengthening the shareholding structure and promoting CSR policies can enhance the company value of the IT industry.
摘 要---------I
ABSTRACT---------II
誌 謝----------III
目 錄----------IV
表目錄---------VI
圖目錄---------VII
壹、緒論---------1
一、研究背景與動機---------1
二、研究目的---------3
三、研究架構與流程---------4
貳、文獻探討---------5
一、企業社會責任(CSR)---------5
二、企業社會責任(CSR)與企業價值---------7
三、公司治理構面與企業價值---------10
(一)股權結構---------11
(二)董事會特性---------14
四、資本結構與企業價值---------16
參、研究方法---------17
一、研究架構---------17
二、資料及樣本來源---------18
三、變數之定義及衡量---------19
(一)經濟面(ECO)---------19
(二)社會面(SOC)---------20
(三)環境面(ENV)---------20
四、預測結果衡量指標---------22
五、統計方法---------23
(一)Panel Regression analysis---------23
(二)XGBOOST(eXtreme Gradient Boosting)---------25
肆、實證分析結果---------29
一、樣本之敘述統計分析結果---------29
二、線性模型中各變數因子對企業價值之影響性---------31
(一)Panel Data Regression---------31
(二)XGBLINEAR---------33
三、非線性方法模型中各變數因子對企業價值之影響性---------35
四、預測模型之實證結果---------37
(一)測試集數值預測結果 (MAPE)---------38
(二)預測模型下變數之重要性---------39
伍、結論與建議---------41
參考文獻---------43
附錄一 本研究之公司列表---------47
附錄二 PEARSON相關係數矩陣---------48
一、中文文獻
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黎鑑輝, & 葉銀華. (2012). 台灣紡織業之業外收益與獲利力對 Tobin's Q 之相關性研究 (Doctoral dissertation).

二、英文文獻
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三、其他參考資料及書籍
1.GRI G4報告原則與標準揭露(2013)
2.Bloomberg ESG report (https://www.bloomberg.com/impact/impact/esg-data/)
3.SA 14000 (https://e-info.org.tw/column/eccpda/2004/ec04061501.htm)
4.Milton Friedman, The Social Responsibility of Business Is to Increase Its Profits, The New York Times Magazine, September 13, 1970.
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