Does Board Structure Have Effect on Extreme Loss and Return?-Evidence from Taiwan's Stock Investments

公司董監結構與股票投資極端風險分析－台股投資之實證

陳宜伶(Yi-Ling Chen) ； 陳尚武(Winfred Sun-Wu Chen)

《東亞論壇》 479期 (2013/03) Pp. 15-32

摘要

本研究旨在探討台灣上市公司的董監結構特性是否對其股票投資報酬的極端風險具有影響效果。本研究採用各個門檻風險值來衡量股票的潛在極端損失（獲利），並進一步探討其和四項董監結構特性的關係。該四項特性分別以董事會規模、外部董監比例、執行長與董事長是否同一人、及獨立董監的專業性等變數加以衡量。本研究的結果可以提供不論作多或放空的投資人在面臨股市劇烈波動時做為擬定及執行選股策略的參考。

關鍵字

董事會結構 ； 風險值 ； 極值理論 ； 一般柏拉圖分配

並列摘要

This study intends to explore whether board structures characteristics have effect on the magnitude of extreme loss and return of firms' stocks traded on Taiwan Stock Exchange. We use value-at-risk (VaR) thresholds to quantify the potential extreme loss that a stock may incur, and then examine their relationship significance with four board structure variables, including board size, the percentage of outside directors, the duality of CEO and chairman of the board, and the expertise of independent directors. The empirical results show that board size, board independence, and independence expertise have significantly negative influence on the size of extreme loss, but less significantly similar effect on the size of extreme return. In addition, CEO power has positive effect on the size of extreme loss, but loses its significance of impact on the size of extreme return almost completely. The decline of impact significance on positive return side may imply that short-sell investors could feel freer than buy-long investors to monitoring board structure divergence for controlling their extreme losses.

並列關鍵字

Board structure ； Value-at-risk ； Extreme value theory ； Generalized Pareto Distribution

參考文獻

Andersen, T. G.,Lund, J.(1997).Estimating Continuous Time Stochastic Volatility Models of the Short Term Interest Rate.Journal of Econometrics.77,34-377.

Ashbaugh-Skaife, H.,Collins, D.,LaFond, R.(2006).The Effects of Corporate Governance on Firms' Credit Ratings.Journal of Accounting and Economics.42,203-243.

Balkema, A. A.,de Haan, L.(1974).Residual Life Time at Great Age.Annals of Probability.2,792-804.

Bhojraj, S.,Sengupta, P.(2003).Effect of Corporate Governance on Bond Ratings and Yields: the Role of Institutional Investors and the Outside Directors.The Journal of Business.76,455-475.

Boothe, P.,Glassman, D.(1987).The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Implication.Journal of International Economics.22,297-320.