過度自信經理人與融資行為之研究-以台灣上市公司為例

陳嬿如

指導教授 ： 余士迪

國立清華大學/科技管理學院/計量財務金融系/碩士(2010年)

摘要

社會心理學中提到「過度自信效果」(Better-than-average Effect)，個人認為自我能力高於一般人，有傾向於高估自己的才能的特性。如果經理人有「過度自信」的特性，認為自己的能力比一般人還要優秀，則會影響到經理人的決策行為可能產生偏差。Malmendier et al.(2007) 認為當公司存在外部資金缺口時，過度自信經理人相較於非過度自信經理人傾向於舉債；過度自信經理人會具有舉債保守性。本研究以Malmendier et al.(2007)為基礎，欲檢驗這個假說
本文和Malmendier et al.(2007)的主要差異有二：第一，Malmendier et al. (2007)是使用1980年到1994年美國上市公司，而本文樣本以2001年到2008年396間台灣上市公司，觀察台灣過度自信經理人的融資決策。第二，雖然Malmendier et al.(2007) 使用的資料型態為追蹤資料 (panel data)，但他們並沒有考慮追蹤資料的固定效果或隨機效果的計量模型，而僅以一般計量模型。於是本文加入追蹤資料的固定效果或隨機效果模型(Panel Data Model)，依應變數的資料特性分別使用了羅吉斯模型( Logit Model)、最小平方迴歸模型(Ordinary Least Squares Model)、雙邊設限杜賓模型(Two-limited Tobit Model)以提高估計的正確性。本文實證發現：(1) 過度自信經理人不傾向發股權益融資；(2) 在有外部融資缺口時，過度自信經理人相較於非過度自信經理人會傾向於舉債融資；(3) 過度自信經理人相較於非過度自信經理人不具有舉債保守性。

關鍵字

過度自信 ； 融資決策 ； 追蹤資料 ； 舉債保守性

並列摘要

Better-than-average effect, which had been mentioned by psychologist, means people tend to overstate their abilities when they access their skills. If CEOs thought that their abilities were better than average, their decisions will cause a bias.
Malmendier et al.(2007) suggested that if firms had external financing deficits, the overconfident CEOs would prefer debt financing than equity financing. Moreover, overconfident CEOs would raise debt conservatively. Referring to Malmendier et al.(2007), we examined their hypotheses by using Taiwanese data.
There are two differences between this study and the study of Malmendier et al. (2007). First, the samples used in the study of Malmendier et al. (2007) were 477 publicly-traded United State firms from 1980 to 1994, but our study consists of 396 companies from 2001 to 2008 listed on the Taiwan Stock Exchange (TSE). Second, the models built by Malmendier et al. (2007) did not consider the quality of panel data, which would make statistical errors. To improve the accuracy of estimation, we modified their model by adding the fixed effects and random effects of panel data to logit model, ordinary least squares model, and two-limit tobit model individually.
Our empirical results suggested that: (1) the overconfident CEOs were less likely to issue more equity than the non-overconfident CEOs were; (2) given the level of external financing deficit, overconfident CEOs preferred to issue more debt than non- overconfident CEOs did; (3) overconfident CEOs did not tend to debt more conservatively than non-overconfident CEOs did.

並列關鍵字

Overconfidence ； Financing policy ； Panel data ； Debt conversation

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