公司治理與獨特性風險異象

Corporate Governance and Idiosyncratic Volatility Anomaly

陳宜群(Yi-Chun Chen) ； 林煜恩(Yu-En Lin) ； 池祥萱(Hsiang-Hsuan Chih) ； 江彌修(Mi-Hsiu Chiang)

《證券市場發展季刊》 31卷1期 (2019/03) Pp. 141-170

https://doi.org/10.6529/RSFM.201903_31(1).0004

摘要

本文探討公司治理與股票績效關聯性消失的原因，提出投資人信任假說以及定價效率假說，檢驗獨特性風險以及定價效率是否為公司治理以及股票績效的中介變量。研究結果公司治理越好的公司，公司未來獨特性風險越高，支持投資人信任假說；而公司治理越好的公司，其價格修正速度也較佳，也支持定價效率假說。進一步發現，獨特性風險為公司治理與公司績效的中介變量，亦即公司治理越好，公司未來績效雖然較佳，但同時獨特性風險異象也較強。本研究結果說明獨特性風險異象是公司治理與股票績效關聯性消失的主要原因。

關鍵字

獨特性風險 ； 公司治理 ； 投資人信任 ； 定價效率

並列摘要

This paper explores the reasons for the disappearance of the relationship between corporate governance and stock performance, and puts forward the investor trust hypothesis and the pricing efficiency hypothesis to examine idiosyncratic risk and pricing efficiency is an intermediary variable between corporate governance and stock performance. The results show if company have better corporate governance, then will have high idiosyncratic risk in then future, to support the investor trust hypothesis; and the better corporate governance company will have high pricing efficiency that also show to support the pricing efficiency hypothesis. It is further found that idiosyncratic risk is an intermediary variable between corporate governance and stock performance, that is, the better corporate governance company will not only have good performance in the future, but also idiosyncratic risk will more strong. The results show that idiosyncratic risk is the main reason for the disappearance of the relationship between corporate governance and stock performance.

並列關鍵字

Idiosyncratic Volatility ； Corporate Governance ； Investor Trust ； Pricing Efficiency

參考文獻

Aggarwal, R., Rao, R.P. (1990), “Institutional ownership and distribution of equity returns,” Financial Review, 25(2): 211-229.

Ali, Ashiq, Lee-Seok Hwang and Mark Trombley (2003), “Arbitrage Risk and the Book-to-Market Anomaly,” Journal of Financial Economics, 69(2), 355-373.

Ammann, M., Oesch, D., and Schmid, M. (2011), “Corporate governance and firm value: International evidence,” Journal of Empirical Finance, 18(1): 36-55.

Ang, A., Hodrick, R., Xing, Y., and Zhang, X., (2006), “The cross-section of volatility and expected returns,” Journal of Finance, 61(1): 259-299.

Ang, A., Hodrick, R., Xing, Y., and Zhang, X., (2008), “High idiosyncratic volatility and low returns: International and further U.S. evidence,” Journal of Financial Economics, 91(1): 1-23.