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公司治理評鑑與證券報酬

Corporate Governance Evaluation and Stock Returns

Abstracts


本研究旨在探討於五因子模型中加入公司治理因子後,是否對我國公開交易公司證券報酬具增額解釋能力。以參與公司治理評鑑之台灣上市櫃公司為研究樣本,並採用台灣證券交易所公司治理中心之評鑑結果衡量公司治理因子。實證結果顯示,在三因子模型與五因子模型中加入公司治理因子後,對於模型的整體解釋力皆有提升,且公司治理因子與股票超額報酬間呈顯著正相關。此項發現一方面符合代理理論中公司治理佳的公司,股東對公司的監督成本較低,相對地降低了股東的預期報酬;另一方面也印證高風險、高報酬的概念。這些發現隱喻,公司治理因子似可成為五因子以外的風險因子。

Parallel abstracts


The purpose of this study is to test whether including a corporate governance factor (PMG) in the Fama-French five-factor model helps explain stock returns in Taiwan's stock market. We used the publicly traded companies in Taiwan as the sample and use the corporate governance (CG) evaluation results as the proxy of PMG variable. Our results suggest that the refined models better explain the differences in stock returns, given the governance factor as constructed. We also provide evidence that expected stock returns are positively related to firm-level CG. This result is consistent with intuition from agency theory that better CG reduces the expected return on equity to the extent that it reduces shareholders' monitoring and auditing cost. Overall, our results support that governance factor should be an important factor beyond the five factors used in Fama and French's model.

References


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.
Chang, Y. W.,Chang, R. D.,Wei, J. T.(2008).The effects of corporate governance mechanisms on investment decisions.Taiwan Academy of Management Journal.8(2),1-16.
鄭宗記,賴弘能,蔡佩芬(2006).兩階段估計Fama-French 三因子模型—台灣股市之研究.交大管理學報.26(2),21-48.
黃金生,游清芳,徐鼎欣(2014).為何高股利率等於高報酬率—以大中華市場為例.證券市場發展季刊.26(2),151-178.
顧廣平(2005).單因子、三因子或四因子模式?.證券市場發展季刊.17(2),101-146.

Read-around


  • 謝欣蕙、鄭伊婷(2015)。公司治理評鑑證券服務(639),115-116。https://www.airitilibrary.com/Article/Detail?DocID=P20150728001-201507-201507280017-201507280017-115-116
  • 謝欣蕙(2021)。公司治理評鑑證券服務(682),108-109。https://www.airitilibrary.com/Article/Detail?DocID=P20150728001-202104-202104290017-202104290017-108-109
  • 駱芷葳(2023)。公司治理評鑑證券服務(694),114-115。https://www.airitilibrary.com/Article/Detail?DocID=P20150728001-N202304180014-00025
  • 曾妙齡(2017)。The Impact of Corporate Governance on Announcement Effect of Stock Repurchase〔碩士論文,國立臺中科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0061-2306201700514300
  • 張舜傑(2018)。Corporate Governance and Firm Investments〔碩士論文,國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU201801074