政府持股與公司價值之關聯性研究

本研究同時運用價格模式與報酬模式，探討政府持股對於公司價值是否具有解釋力，並深入分析政府持股中的營業基金持股、公營行庫持股與四大基金持股，相對於其他型態的政府持股而言，是否更能解釋公司價值。實證結果顯示，在價格模式下，政府持股價值對於股權價值皆具有顯著之正向關係；敏感性分析之實證結果指出，不論盈餘為正數或是負數、股市是多頭或空頭時期、產業類別是否有差異等情形下，政府持股與公司價值之間的關係，在統計上皆具有顯著的正向相關。在報酬模式方面，實證結果也發現政府持股比例與股票報酬間，存有顯著的正向關係，其結果與價格模式一致。因此，本文認為政府持股資訊對於公司價值是具有攸關性的，故除了過去所重視的外資與公司法人持股資訊外，政府持股也是從事投資決策時必須參考的重要指標。此外本文也發現政府持股中的營業基金持股、公營行庫持股與四大基金持股等，也都與公司價值存有顯著的正向關係。相對於其他型態的政府持股而言，實證結果顯示這三類資訊確實更能解釋公司價值，故營業基金、公營行庫與四大基金的持股資訊，是政府持股資訊中相對較為重要的資訊。

關鍵字

政府持股；公司價值；價格模式；報酬模式

並列摘要

Based on price and return model, we examine the relationship between governmental shareholding and firms' value. Relative to other type of governmental shareholdings, we also explore whether shares hold by the enterprise funds, the state-owned banks, and the big four funds, have more information about firms' value than other governmental shareholding. Under price model, the empirical results show that the value of governmental shareholding have significantly positive effect on firms' value. No matter earnings' positive or negative, in the bull or bear market, under the traditional, financial, or electrical industry, the results mentioned above are remain the same. Under the return model, the empirical results show that governmental shareholding percentage also has significantly positive effect on stock return. The results are consistent with those found in price model. We conclude that governmental shareholding information is one of the significant factors, which must be considered in the decision-making process. We also find that shares hold by the enterprise funds, the state-owned banks, and the big four funds, really have more information about firms' value than other governmental shareholding.