最適質押比率、公司績效與Granger因果性

過去數年，在股權結構與公司績效關係的討論上已經有相當多的研究，然而在該領域中，對董監事股票質押角色則著墨不多。在台灣董監事股票質押相當普遍，因此本研究探討董監事質押比例與公司績效的Granger因果關係；再者，如果適度的質押有助於提升公司績效，則最適質押比率將會是存在的，因此公司績效與質押比率將呈現Concave型式，本文將以分段線性迴歸檢視是否存在最適質押比例。研究結果顯示：控制使結果混淆的相關變數後，由因果關係分析發現質押比例是公司績效的Granger因，但是公司績效是質押比例的Granger因則不具顯著性。最後，由分段線性迴歸提高了模型配適程度，但是迴歸係數並無由正轉向負，因此在樣本期間中，無證據顯示最適質押比率的存在。

關鍵字

質押；分段線性迴歸；公司績效

並列摘要

Over the past few years, a considerable number of studies have been made on the relationship between the ownership structure and firm performance. What seems to be lacking, however, is to argue the role of collateralized shares in this area. The collateralized shares of board of directors are fairly common in Taiwan. For this reason, this paper probes into the relation of director collateralized shares and firm performance by Granger Causality Test. Moreover, if optimal collateralized share ratio exists, the relationship between the collateralized share ratio and firm performance will appear concave pattern. We employ piecewise linear regression to this test. The empirical results show that the previous-period performance does not cause directors' share collateralization, yet previous-period directors' collateralized shares are highly related to current firm performance. Moreover, piecewise linear regression has a better fit to the data, yet there is no evidence that the optimal collateralized share ratio exists.