董監持股質押比例對Tobin-Q影響之實證研究---混合迴歸模型之應用

The Relationship between the Pledged Share of Directors and Supervisors on Tobin-Q --- An Empirical Application of Time-Series/Cross-Section Pooling Regression

胡家康(Hu, Chia Kang)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

本研究希望以電腦週邊產業之經營績效指標(董監持股質押比例、營收成長率、稅前純益率及總資產規模)對Tobin-Q值的影響來預測投資人對企業投資的關聯性。透過台灣經濟新報(TEJ)及公開資訊觀測站取得電腦週邊產業53家上市公司2003年到2007年共五年度之財務指標，再以橫斷面及時間序列之混合迴歸 (Time-Series/Cross-Section Pooling Regression)對所取得資料進行分析，其中以自我相關模式(Autocorrelation Model)所獲得之結果顯示，自變數(董監持股質押比例、營收成長率、稅前純益率及總資產規模)對於應變數(Tobin-Q值)具顯著影響，表示在相關假設條件下可針對Tobin-Q值進行合理預測。本研究結果彙整如下：
一、董監持股質押比例與Tobin-Q值呈負向關係。因此董監事持股質押比例愈高者，表示董監事不看好公司經營，或因個人理財行為而缺乏資金，這將降低投資人對企業之投資意願。
二、營收成長率與Tobin-Q值呈正向關係。營收成長率愈高者，表示企業未來具有高度成長性，投資者對於企業之投資意願愈高。
三、稅前純益率與Tobin-Q值呈正向關係。稅前純益率愈高者，表示企業獲利能力強，投資者可能獲得更大的利益，則投資意願愈高。
四、Log總資產金額與Tobin-Q值呈負向關係。當企業規模已發展到一定程度時，投資者可能考量企業的營運風險而投資意願較低。

關鍵字

董監持股質押比例 ； 營收成長率 ； Tobin-Q ； 混合迴歸

並列摘要

Our research apply the effect of operating performance indicators (stock pledge, the gross rate of sales, profit margin on sales before tax, and total assets ) of computer peripherals industry to explain Tobin-Q the result can predict the investors behavior.
Data come from TEJ and Market Observation Post System over 2003 to 2007, including 53 listed companies. We use time-series/cross-section pooling regression to analysis our data. Our results with autocorrelation model show that there is a significant effect from independent variables (stock pledge, the gross rate of sales, profit margin on sales before tax, and total assets ) to dependent variable. Under the hypothesis, we can predict reasonably the value of Tobin-Q. The results are as follows：
1. There is a negative relationship between stock pledge and the value of Tobin-Q. The stock pledge is higher, that means the board of directors and supervisors think the future of these firms is unpromising or they are short of capital. It will reduce the willingness of investors.
2. There is a positive relationship between the gross rate of sales and the value of Tobin-Q. Firms will have highly growth when they have higher gross rate of sales. And the willingness of investment of investors will be higher.
3. There is a positive relationship between profit margin on sales before taxes and the value of Tobin-Q. When investors may gain more profit, their willingness to invest will be higher.
4. There is a negative relationship between total assets (log) and the value of Tobin-Q. When the business scale expanded to a certain degree, investors will consider the operating risk and reduce the willingness of investment.

並列關鍵字

Stock pledge ； Gross Rate of Sales ； Tobin-Q ； Time Series/Cross sectional Pooling Regression

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