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研究生:葉正安
研究生(外文):Cheng-An Yeh
論文名稱:Covid-19疫情爆發下公司治理評鑑與股價反應之事件研究
論文名稱(外文):Event study on corporate governance evaluation and stock price reaction during the Covid-19 epidemic eruption
指導教授:羅德謙羅德謙引用關係
指導教授(外文):Te-Chien Lo
口試委員:陳鴻毅翁胤哲
口試委員(外文):Hong-Yi ChenYin-Che Weng
口試日期:2022-06-29
學位類別:碩士
校院名稱:國立東華大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2022
畢業學年度:110
語文別:中文
論文頁數:42
中文關鍵詞:公司治理評鑑異常報酬率累積異常報酬率
外文關鍵詞:COVID-19Corporate GovernanceAbnormal Return
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  • 點閱點閱:104
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本篇論文以台灣證券交易所105年至109年所公布之台灣上市櫃公司治理評鑑結果為依據,將其評鑑結果連續五屆評鑑位於前百分之二十的公司分類為「公司治理表現較佳」之組別,連續五屆皆位於後百分之二十的公司分類為「公司治理表現較差」之組別,探討兩群組在2020年COVID-19爆發初期,公司治理好壞,在本次事件中,是否影響股價的表現。本篇以2020/03/19由國家衛生指揮中心(NHCC)所發佈的「禁止外籍旅客來臺」為事件研究日,以事件研究法估計兩個群組在面對本次事件後的異常報酬率,採用評鑑結果衡量公司治理因子,再加入Fama-French的三因子模型以及Carhart的四因子模型作為風險因子考量。實證結果顯示,公司治理因子對於「公司治理評鑑表現較佳」之組別比「公司治理評鑑表現較差」之組別有顯著正向超額報酬,此研究結果顯示公司治理較佳的企業相對於公司治理不佳的企業,在發生COVID-19事件衝擊時,股價所受的影響較小。
This study investigates the corporate governance evaluation and stock price reaction during the COVID-19 outbreak. In this study, well-governed firms are in the top 20% rankings of the corporate governance evaluation, published by Taiwan Stock Exchange during 2016-2020, and poorly-governed firms are in the bottom 20% the corporate governance evaluation. This article takes the date of "Prohibition of Foreign Tourists to Taiwan" issued by the National Health Command Center (NHCC) on 2020/03/19 as the event research day, and attempts to estimate the abnormal return of the two groups after the event. The results show that the corporate governance factor has a significantly positive excess return for well-governed firms than poorly-governed firms. In conclusion, the stock prices of well-governed companies are less influenced by negative shocks such as COVID-19 event.
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究架構 4
第二章 文獻探討與設立假說 5
第一節 企業社會責任對之正面影響 5
第二節 企業社會責任對之負面影響 6
第三章 研究資料及方法 7
第一節 研究資料 7
第二節 事件研究法方法 8
第三節 其他研究法 9
第四章 研究結果及分析 13
第五章 結論 19
參考文獻 20
圖表 23
附錄 30
李顯儀(2013)。公司治理資訊對股價傳遞速度之研究。台灣管理學刊,13(1),95-120。
謝秉蓉、陳建志、王銀杏(2021)。台灣企業社會責任報告書揭露品質與企業價值之關聯性探討。管理與系統,28(1),61-87。
沈中華與張元 (2008),「企業社會責任行為可以改善財務績效嗎?-以英國FTSE 社會責任指數為例」,經濟論文,36(3): 339-385。
Aramburu, I. A. and Pescador, I. G., (2019) “The Effects of Corporate Social Responsibility on Customer Loyalty: The Mediating Effect of Reputation in Cooperative Banks Versus Commercial Banks in the Basque Country,” Journal of Business Ethics, Vol. 154, No. 3, pp. 701-719.
Bhagat, S.,Bolton, B. (2008). Corporate governance and firm performance. Journal of Corporate Finance,14,257-273.
Becchetti, L., R. Cicirettiand, and I. Hasan. (2007). "Corporate social responsibility and shareholder's value: An event study analysis ", Working Paper.
Chen, C. Y., Roger, Tang, H. W., and Hung, S. W. (2013). “Corporate Social Responsibility and FirmPerformance,” Journal of American Business Review, Cambridge, Vol. 2, No.1,181-188.
Carhart, M. (1997). On persistence in Mutual Fund Performance. Journal of Financial Economics, Vol. 52, No. 1, 57-82.
Carvalhal, A.,Nobili, C. (2011). Does corporate governance matter for stock returns? Estimating a four-factor asset pricing model including a governance index.Quantitative Finance,11(2),247-259.
Fama, E. & French, K. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, Vol. 47, No 2, 427-465.
Fama, E. and French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, Vol. 33, No. 1, 3-56.
Hillman, A. J., and G.D. Keim, 2001. Shareholder Value, Stakeholder Management, and Social Issues: What’s the Bottom Line? Strategic Management Journal, 22, 125-139.
Kouwenberg, R.,Salomons, R.,Thontirawong, P.(2014).Corporate governance and stock returns in Asia. Quantitative Finance,14(6),965-976.
Lantos, G. P., 2001. The Boundaries of Strategic Corporate Social Responsibility, Journal of Consumer Marketing, 18(7), 595-630.
Lins, K. V., Servaes, H., and Tamayo, A., “Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility During the Financial Crisis,” Journal of Finance, Vol. 72, No. 4, 2017, pp. 1785-1824.
McWilliams, A., and D. S. Siegel, 2001. Corporate Social Responsibility: A Theory of the Firm Perspective, Academy of Management Review, 26(1), 117-127.
McWilliams, A., D. S. Siegel, and P. M. Wright, 2006.Corporate Social Responsibility: Strategic Implications, Journal of Management Studies, 43, 1-18.
McGuire, J. B.(1988).Corporate social responsibility and firm financial performance. Academy of Management Journal,31(4),854-872.
Peters, R., and M. R. Mullen. (2009), "Some evidence of the cumulative effects of corporate social responsibility on financial performance", The Journal of Global Business Issue, 3:1-14.
Porter, M. E. and Kramer, M. R., “The Link between Competitive Advantage and Corporate Social Responsibility,” Harvard Business Review, Vol. 84, No. 12, 2006, pp. 78-93.
Servaes, H. and Tamayo, A., “The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness,” Management Science, Vol. 59, No. 5, 2013, pp. 1045-1061.
Tsoutsoura, M. (2004), "Corporate social responsibility and financial performance", Working paper.
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