中華民國國家品質獎與公司市場價值之實證研究

國家品質獎對獲獎公司市場價值的影響，此研究在國外一直有持續進行，相關論文更不勝繁數，我國的相關研究卻很少。本文為一實證研究，分析我國國家品質獎得獎公司在股價上的表現，進行三方面的研究。第一，設計我國國家品質獎指標 (National Quality Award Index) 以統計方法檢定各產業的獲獎公司之股票投資報酬率的表現。檢定結果顯示，整體而言，投資於我國國家品質獎的獲獎公司之投資報酬率與整個所屬類股的中位數相比，並沒有足夠的證據顯示較為出色。第二，利用「事件研究法」，分析我國國家品質獎的獲獎企業在獲獎消息宣布後，股票價格的「異常」改變，探討企業的市場價值在獲得品質獎時所造成的影響。研究結果顯示，股市對品質獎的宣布有正向反應，但在宣布日當天不顯著且為負。第三，延伸「事件研究法」，增加事件期日數並對個別國家品質獎得主進行微觀的分析。這些增加的資料可用以測試長期的平均異常報酬率，此與公司的生存風險有關。實證顯示，75%的獲獎者為正向的平均異常報酬，這可以說明實施有效的品質改善計畫帶給公司市場價值的長期收益。

關鍵字

國家品質獎；全面品質管理；股票市場反應；統計分析；事件研究法

並列摘要

The effects of National Quality Award on the market value of the award-winning firms is an ongoing study in foreign countries, but relevant studies are difficult to find in Taiwan. This study empirically examined three issues related to the market valuation of firms that undergo effective quality improvement programs (which sometimes are referred to as Total Quality Management or TQM) using Taiwan National Quality Award as the indicator that an effective quality improvement program has been implemented. First, comparing the NQA Index (which represents National Quality Award winners’ stock price performance) with the Sector Index (which represents public traded companies’ average stock price performance of the sector), no statistical evidence was found to support the assumption that the stock performance of the quality award winners is superior to the average rate of return on the Taiwan stock market. Second, we used the “event study” methodology to measure the stock price effects of quality award announcements. The component attributed to firm-specific events is typically referred to as the “abnormal” return. Our results show that the abnormal return reacted positively to quality award announcements, but did not occur on the announcement day. Third, we increased the number of event days and proceeded the microanalysis of the individual award winners. These additional days were available to examine whether or not the risk of the firm changed after winning a quality award. Our microanalysis revealed that 75% of the award winners experienced positive average abnormal returns, indicating that implementing an effective quality improvement program could provide a long-term return to the market value of firms.

並列關鍵字

National Quality Award ； Total Quality Management ； Stock Market Reaction ； Statistical Analysis ； Event Study

參考文獻

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中華民國國家品質獎與公司市場價值之實證研究

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