臺灣博碩士論文加值系統

本論文發現公司的組織資本與公司股價崩盤風險之間呈現顯著負向關係。這個結果在額外的分析底下如：加入更多控制變數至論文主要迴歸中、工具變數法估計、一般化動差法估計皆維持穩健性。此外，組織資本降低崩盤風險的邊際效果會隨著組織資本逐漸提高而遞減。組織資本的概念涵蓋的範圍很廣，進一步將其分解成品牌資本、人力資本、以及剩下的殘差部分用以捕捉公司特定的企業流程和系統後，本論文發現其中主要為品牌資本與捕捉公司特定的企業流程和系統的殘差部分與降低崩盤風險較為相關。最後，過去文獻提出經理人隱藏壞消息與公司過度投資皆是增加崩盤風險的可能原因，本論文發現組織資本降低崩盤風險的效果部分是透過減少公司過度投資而達成，而非透過減少經理人隱藏壞消息而達成。

This paper finds that there is a notably inverse association between firm-level organizational capital (OC) and firm-specific stock price crash risk. This discovery preserves its robustness in additional analyses, inclusive of considering additional control variables, instrumental variable estimation, and dynamic Generalized Method of Moments estimation. The lessening effect of OC on crash risk is decreasing in organizational capital. The decomposition of OC into brand capital, human capital, and the remaining component identifies that it is the brand capital and the remaining component capturing investment in business processes and systems that primarily decrease crash risk. Finally, OC does not manifest its mitigating effect on crash risk through restraining managerial bad-news hoarding but partially manifest that effect through curtailing over-investment.

Acknowledgements i
中文摘要 ii
Abstract iii
Table of Contents iv
List of Figures vi
List of Tables vii
1. Introduction 1
2. Literature Review and Hypotheses Development 6
2.1 Organizational capital 6
2.2 Stock price crash risk 7
2.3 The Relation between Organizational Capital and Stock Price Crash Risk 8
2.3.1 Positive association between organizational capital and crash risk 8
2.3.2 Negative association between organizational capital and crash risk 9
3. Data, Measurement, and Preliminary Analyses 11
3.1 Sample 11
3.2 Measuring organizational capital 11
3.3 Measuring stock price crash risk 12
3.4 Control variables 14
3.5 Descriptive statistics 15
4. Empirical Results 19
4.1 Univariate analysis 19
4.2 Baseline regression results 19
4.3 Nonlinear effects of OC 21
5. Robustness Tests and Further Analyses 23
5.1 Firm-fixed effect 23
5.2 Instrumental variable approach 23
5.3 Fama and Macbeth regression 24
5.4 Dynamic Generalized Method of Moments estimation 25
5.5 Additional control variables 27
5.5.1 Tax avoidance 27
5.5.2 Executive compensation 27
5.5.3 Internal control quality 28
5.5.4 External monitoring and internal governance variables 29
5.6 Individual components of organizational capital 31
5.7 Organizational capital, bad news hoarding, and over-investment 32
6. Conclusions 34
7. Tables and Figures 35
8. References 62
Appendix 66
Modification in the calculation approach for weekly returns 66
Variable definitions 67

Ai, C., & Norton, E. C. (2003). Interaction terms in logit and probit models. Economics Letters, 80(1), 123–129.
An, H., & Zhang, T. (2013). Stock price synchronicity, crash risk, and institutional investors. Journal of Corporate Finance, 21, 1–15.
Angrist, J. D., Imbens, G. W., & Krueger, A. B. (1999). Jackknife instrumental variables estimation. Journal of Applied Econometrics, 14(1), 57–67.
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277–297.
Atkeson, A., & Kehoe, P. J. (2005). Modeling and measuring organization capital. Journal of Political Economy, 113(5), 1026–1053.
Baltagi, B. H., Li, D., et al. (2002). Series estimation of partially linear panel data models with fixed effects. Annals of Economics and Finance, 3(1), 103–116.
Benmelech, E., Kandel, E., & Veronesi, P. (2010). Stock-based compensation and CEO (dis) incentives. The Quarterly Journal of Economics, 125(4), 1769–1820.
Blanchard, O. J., & Watson, M. W. (1982). Bubbles, rational expectations and financial markets. National Bureau of economic research Cambridge, Mass., USA.
Bleck, A., & Liu, X. (2007). Market transparency and the accounting regime. Journal of Accounting Research, 45(2), 229–256.
Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87 (1), 115–143.
Boguth, O., Newton, D., & Simutin, M. (2022). The fragility of organization capital. Journal of Financial and Quantitative Analysis, 57(3), 857–887.
Brown, E., & Kaufold, H. (1988). Human capital accumulation and the optimal level of unemployment insurance provision. Journal of Labor Economics, 6(4), 493–514.
Burns, N., Kedia, S., & Lipson, M. (2010). Institutional ownership and monitoring: Evidence from financial misreporting. Journal of Corporate Finance, 16(4), 443–455.
Carlin, B. I., Chowdhry, B., & Garmaise, M. J. (2012). Investment in organization capital. Journal of Financial Intermediation, 21(2), 268–286.
Chamberlain, G. (1980). Analysis of covariance with qualitative data. The Review of Economic Studies, 47 (1), 225–238.
Chang, X., Chen, Y., & Zolotoy, L. (2017). Stock liquidity and stock price crash risk. Journal of Financial and Quantitative Analysis, 52(4), 1605–1637.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61(3), 345–381.
Corrado, C., Hulten, C., & Sichel, D. (2009). Intangible capital and US economic growth. Review of Income and Wealth, 55(3), 661–685.
Danielova, A. N., Francis, B., Teng, H., & Wu, Q. (2022). The effect of organization capital on the cost of bank loans. Forthcoming, Journal of Financial and Quantitative Analysis.
Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting earnings management. Accounting review, 193–225.
Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7 (2), 197–226.
Eichenbaum, M. S., Hansen, L. P., & Singleton, K. J. (1988). A time series analysis of representative agent models of consumption and leisure choice under uncertainty. The Quarterly Journal of Economics, 103(1), 51–78.
Eisfeldt, A. L., & Papanikolaou, D. (2013). Organization capital and the cross-section of expected returns. The Journal of Finance, 68(4), 1365–1406.
Evenson, R. E., & Westphal, L. E. (1995). Technological change and technology strategy. Handbook of development economics, 3, 2209–2299.
Fernández-Val, I., & Weidner, M. (2016). Individual and time effects in nonlinear panel models with large N, T. Journal of Econometrics, 192(1), 291–312
Francis, B., Mani, S. B., Sharma, Z., & Wu, Q. (2021). The impact of organization capital on firm innovation. Journal of Financial Stability, 53, 100829.
Gao, M., Leung, H., & Qiu, B. (2021). Organization capital and executive performance incentives. Journal of Banking & Finance, 123, 106017.
Gompers, P., Ishii, J., & Metrick, A. (2003). Corporate governance and equity prices. The Quarterly Journal of Economics, 118(1), 107–156.
Hall, B. H., & Mairesse, J. (1995). Exploring the relationship between R&D and productivity in French manufacturing firms. Journal of Econometrics, 65(1), 263–293.
Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 1029–1054.
Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263–1295.
Hasan, M. M., Lobo, G. J., & Qiu, B. (2021). Organizational capital, corporate tax avoidance, and firm value. Journal of Corporate Finance, 70, 102050.
Hasan, M. M., et al. (2018). Organization capital and firm life cycle. Journal of Corporate Finance, 48, 556–578.
Hasan, M. M., Taylor, G., & Richardson, G. (2022). Brand capital and stock price crash risk. Management Science, 68(10), 7221–7247.
Hassler, J., Rodriguez Mora, J. V., Storesletten, K., & Zilibotti, F. (2005). A positive theory of geographic mobility and social insurance. International Economic Review, 46(1), 263–303.
Hong, H., & Stein, J. C. (1999). Differences of opinion, rational arbitrage and market crashes. National Bureau of Economic Research Cambridge, Mass., USA.
Hribar, P., & Collins, D. W. (2002). Errors in estimating accruals: Implications for empirical research. Journal of Accounting Research, 40(1), 105–134.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94(1), 67–86.
Israelsen, R. D., & Yonker, S. E. (2017). Key human capital. Journal of Financial and Quantitative analysis, 52(1), 175–214.
Jin, L., & Myers, S. C. (2006). R2 around the world: New theory and new tests. Journal of Financial Economics, 79(2), 257–292.
Kim, J.-B., Li, Y., & Zhang, L. (2011a). CFOs versus CEOs: Equity incentives and crashes. Journal of Financial Economics, 101(3), 713–730.
Kim, J.-B., Li, Y., & Zhang, L. (2011b). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, 100(3), 639–662.
Kim, J.-B., Yeung, I., & Zhou, J. (2019). Stock price crash risk and internal control weakness: presence vs. disclosure effect. Accounting & Finance, 59(2), 1197–1233.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1–13.
Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news? Journal of Accounting Research, 47(1), 241–276.
Lev, B. (2000). Intangibles: Management, measurement, and reporting. Brookings institution press.
Lev, B., & Radhakrishnan, S. (2005). The valuation of organization capital. In Measuring capital in the new economy (pp. 73–110). University of Chicago Press.
Lev, B., Radhakrishnan, S., & Evans, P. (2016). Organizational capital: A CEO’s guide to measuring and managing enterprise intangibles. The Center for Global Enterprise.
Lev, B., Radhakrishnan, S., & Zhang, W. (2009). Organization capital. Abacus, 45(3), 275–298.
Li, K., Qiu, B., & Shen, R. (2018). Organization capital and mergers and acquisitions. Journal of Financial and Quantitative Analysis, 53(4), 1871–1909.
Li, K., Qiu, B., & Shen, R. (2018). Organization capital and mergers and acquisitions. Journal of Financial and Quantitative Analysis, 53(4), 1871–1909.
Libois, F., & Verardi, V. (2013). Semiparametric fixed-effects estimator. The Stata Journal, 13(2), 329–336.
Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 777–787.
Neyman, J., & Scott, E. L. (1948). Consistent estimates based on partially consistent observations. Econometrica, 1–32.
Petersen, M. A. (2008). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435–480.
Pindyck, R. S. (1984). Risk, inflation, and the stock market. American Economic Review, 74, 334–351.
Prescott, E. C., & Visscher, M. (1980). Organization capital. Journal of Political Economy, 88(3), 446–461.
Sargan, J. D. (1958). The estimation of economic relationships using instrumental variables. Econometrica, 393–415.
Si, Y., & Xia, C. (2022). The effect of human capital on stock price crash risk. Journal of Business Ethics, 1–21.
Wintoki, M. B., Linck, J. S., & Netter, J. M. (2012). Endogeneity and the dynamics of internal corporate governance. Journal of Financial Economics, 105(3), 581–606.
Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data, Second edition. MIT press.
Wu, K., & Lai, S. (2020). Intangible intensity and stock price crash risk. Journal of Corporate Finance, 64, 101682.
Zhu, S., Zhu, W., Pei, X., & Cui, X. (2020). Hedging crash risk in optimal portfolio selection. Journal of Banking & Finance, 119, 105905.