臺灣博碩士論文加值系統

本文以 Logit (Ohlson (1980)) 模式估計公司的破產風險，作財務危機的代理變數，並於研究中加入公司治理變數，以檢驗破產風險、公司治理與未來股價報酬三者間的關聯性，實證結果顯示，未來股價報酬與破產風險呈負相關，隱含破產風險應歸屬於公司個別風險，而非系統性風險；另外，公司治理機制愈完善，股票未來報酬愈高。本文也發現投資人可透過破產風險及公司治理機制來預測短期股價報酬率。

This paper employs Ohlson’s (1980) logit model to estimate bankruptcy risk for financial distress proxy. I then examine the impacts of bankruptcy risk and corporate governance on subsequent realized returns. The results show that bankruptcy risk being negatively related to subsequent realized returns, implying that bankruptcy risk is mainly comes from idiosyncratic factors, rather than systematic risk. In addition, firms with better corporate governance exhibit higher subsequent returns. I also demonstrate that investors can use bankruptcy risk and corporate governance mechanism to predict returns in a few months.

目　次


目次 …………………………………………………………………………... i
表目次 ………………………………………………………………………... iii
圖目次 ………………………………………………………………………... iv
第一章 緒論 ……………………………………………………………… 1
1.1　研究背景與動機 …………………………………………………. 1
1.2　研究目的 …………………………………………………………. 2
第二章 文獻探討 ………………………………………………………….. 4
2.1 預測破產之數量方法 ………………………………...……………... 4
2.2 預測破產之變數 ………………………………..…..………………. 5
2.3 預測報酬率 ……...…………………………………………………... 7
第三章 研究方法 ……...…………………………………………………… 10
3.1 公司特質之衡量 …....………………………… ……………………. 10
3.1.1 財務變數與邏輯斯迴歸 ..………………..……….…...………... 10
3.1.2. 公司治理之相關變數 …………………………………..……… 12
3.2 報酬率預測模式…...…...……………….. ………………………….. 14
3.2.1 報酬率迴歸模式 ..………………..……….…...………............... 14
3.2.2 財務資料之時點 ..………………..……….…...………............... 15
3.3 資料來源 ……...……………...………………..…………………...... 15
第四章 實證研究結果分析 …………………..………………………......... 18
4.1 破產風險與股價報酬率 ………..………………………….…..……. 18
4.2 報酬率迴歸式 …...………………………………………...……… 20
第五章 結論與建議 …………………...……………………….......………. 23
5.1 結論與建議 ……………………….………...………….….………... 23
5.2 研究限制與預期貢獻 ..………..……………………….………….. 24
5.2.1 研究限制 …...……………………………………………….. 24
5.2.2 研究貢獻 ………...………………………………………….. 24
參考文獻 ……………………………...………………………...….…...……… 26

表目次


表一 樣本基本資料量 ………………………………………………………… 30
表二 破產風險與股價表現………………………………..…….. ….………… 31
表三 各年度之破產風險與股價表現………………………………………….. 32
表四 公司變數之相關係數 ….. ………………………………………………... 33
表五 迴歸分析 ...…………….……………………...... ………………………… 34
表六 迴歸分析 ...…………….……………………...... ………………………… 35

圖目次


圖一 報酬率預測之時間點…..…………………………………...…..………… 15

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