政府機構持股比例與型態對公司價值影響之實證研究

An Empirical Research of the Impact of Government Shareholding on Firm Value

鄭菽萱(Shu-Hsuan Cheng)

指導教授 ： 林江亮

中原大學/商學院/會計研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300241

摘要

本研究運用Ohlson（1995）之模型來評估探討整體的政府持股對於公司價值是否具有解釋力，並將整體政府持股區分為狹義政府持股與廣義政府持股部份分別探討其與公司價值間的關係；再檢視個別政府持股型態對於公司價值之影響，並分別以價格與報酬模式來檢視政府持股比例及型態與公司價值間的關係。

在整體政府持股部份是運用1991年至2001年台灣上市公司股權結構中含有政府持股之上市公司共916家為樣本；不同型態之政府持股是由1994年至2001年上市公司之公開說明書前十大股東中，含有不同型態之政府持股部份共201家上市公司為樣本，進行實證，實證結果彙總如下：
一、狹義政府持股與廣義政府持股（含金融金機構）在價格與報酬模式下，分別對於股權價值與股票報酬皆具有正向關係，但報酬模式下是不具統計上之顯著性。
二、再區分不同型態之政府持股（非營業基金、營業基金、信託基金、公營銀行與四大基金）後，在價格模式中皆對股權價值有正向解釋力；而在報酬模式中，除了非營業基金外，其它型態政府持股之實證結果與價格模式不符。再細分四大基金（退撫、郵儲、勞退與勞保基金）後，由於樣本量不足，退撫、郵儲與勞保基金其價格模式與報酬模式之實證結果是不一致。
三、針對狹義與廣義政府持股之敏感性分析，價格模式下之各種情況（正負盈餘、多頭與空頭年度與不同產業）下，狹義與廣義之政府持股皆對股權價值有正向且顯著之關係（除了電子業外）；但在報酬模式下，狹義與廣義之持股比例皆對股票報酬不具統計上之顯著性（除金融保險業外）。
四、由於報酬模式部份與價格模式部份出現不一致之結果，故本研究也將報酬模式中之持股比例置換為持股比例變動數，實證結果發現狹義與廣義之持股在報酬模式下，對於股票報酬皆有顯著之正向關係，其結果與價格模式一致。但在不同型態之政府持股部份，資料取得不易無法計算持股變動數，因此無法以持股比例變動數來替代。
根據本研究之實證結果，政府持股對於公司價值是具攸關性，因此，除了外資與法人持股外，政府持股也可視為一項投資決策時之參考指標。

關鍵字

Ohlson模型 ； 政府持股 ； 公司價值

並列摘要

Based on the Ohlson（1995）model , the study is to examine the explanation of the overall government shareholding on firm value. First, we tend to separate the overall government shareholding into narrow and wide government shareholding. Second, we examine the impact of individual government shareholding on firm value and based on price and return model respectively to examine the relation of government shareholding and firm value.

In the part of the overall government shareholding, our results are tested on 916 firm samples over 1991-2001 list in TSE (Taiwan Stock Exchange) which equity structure include government shareholding. In the part of individual government shareholding are tested on 201 firm samples over 1994-2001 list in TSE (Taiwan Stock Exchange) which top ten shareholder include individual government shareholding in its public statement. The empirical results are follow:
1.Under price and return model, narrow and wide government shareholding which include financial institutions are positive to stock price and return, but under return model is not significant in statistics.
2.Under price model, individual government shareholding which include non-enterprise funds, enterprise funds, trust funds, government-owned banks and top four funds are all positive to stock price. Under return model, most of the empirical results are different from price model except non-enterprise funds. Further to separate top four funds into CSPF ”Civil Service Pension Fund”, post funds, pension funds and labor insurance funds, the empirical results of price model and return model are different.
3.In the sensitivity analysis of narrow and wide government shareholding, under different conditions which include positive and negative earnings, bull and bear market and different industries, are all significantly positive to stock prices except electronics industry. Under return model, narrow and wide government shareholding are all not significant in statistics except financing and insurance industry.
4.Because of the empirical results of price and return model are different, let shareholding ratio instead of change of shareholding ratio. Finally, under return model, narrow and wide government shareholding is significantly positive to stock return.

According to the empirical results, government shareholding is relevance of firm value, furthermore, it can be a factor when investors decide to invest a firm.

並列關鍵字

government shareholding ； ohlson model ； firm value

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