股權結構與公司價值關聯性之實證研究-價格模式與報酬模式之應用

An Empirical Study on Relationship between Ownership Structure and Firm Value-The Application of Price Model and Return Model

彭玉怡(YU-YI PENG)

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/cycu200300216

摘要

論文提要
隨著所有權與經營權日益分離因而引發代理問題，由於所有者與經營者之間存在著資訊不對稱(Information Asymmetry)，而引發監督等代理成本，如何抒緩代理問題，一直是個值得研究的課題。本研究自代理理論出發，藉由探討我國股權結構與公司價值之間的關係，究竟是支持「利益收斂假說」或是「利益掠奪假說」，並探討董、監事、機構法人是否能發揮監督功效，而提升公司價值，反應在股價及股價報酬是否為正相關。
傳統文獻多以報酬模式探討關於股權結構與公司價值關聯性，根據Kothari and Zimmerman (1995)認為價格模式或報酬模式在推論及計量上各有優缺，而並用價格及報酬模式是較佳的選擇，因此本研究同時採用Ohlson 的價格模式及Easton 的報酬模式來探討關於股權結構與公司價值關聯性，分別以股價及股價報酬為公司價值之代理變數，並將股權結構視為其他資訊之代理變數，來探討股權結構對於股價及股價報酬是否具有顯著解釋力，本研究以經理人、董、監事、機構法人、金融機構、公司法人、信託基金及其他機構法人之持股價值為股權結構之代理變數。
本研究是以1992-2001年臺灣上市之一般產業公司為對象。價格模式(報酬模式)實證結果指出，經理人持股價值(變動數)、董監事持股價值(變動數)、機構法人持股價值(變動數)、金融機構持股價值(變動數)、公司法人持股價值(變動數)、信託基金持股價值(變動數)及其他機構法人持股價值(變動數)對於公司股價(股價報酬)具有正向的增額解釋力。而董、監事之持股價值(變動數)相較於經理人持股價值(變動數)對於公司之影響更大，可能與我國經理人持股比例一向不高，影響程度有限，而董、監事若能適當監督產生正面效益，能使公司價值提升，因此與董、監事能發揮監理機制之利益收斂假說相符。而機構法人為理性投資者，由於有專業團隊蒐集資訊進行投資分析，因此機構法人持股比例的高低具參考價值，對於公司股價(股價報酬)具有增額解釋力，故機構法人持股可視為另一股監督力量。另外分別考量不同時點之股價及股價報酬、多頭及空頭、不同產業及盈餘變動數後之實證結果與之前實證結果相符，因此實證結果應稱穩健。
綜上所述，各項股權結構變數確實能解釋股價及股價報酬，希望本研究能對我國股權結構與公司價值之間的關聯作明確的研究。

關鍵字

價格模式 ； 股權結構 ； 公司價值 ； 報酬模式 ； Ohlson 模式

並列摘要

Abstract

As the operating of business expands, the separating degree of the ownership and management becomes more violent. This behavior causes the agent problem. Because the information asymmetry between ownership and management, how to relax the agent problem is an interesting problem. The main purpose of the study is to examine the relation between ownership structure and firm value. Does the result support 「Convergence of Interest」or 「Entrenchment Hypothesis」？This study also examine board of director’s ownership and institutional ownership can take effective measures to supervise managers to avoid the conflict between managers and stockholders and promote the value of firm.
Previous research usually used the return model. Kothari and Zimmerman (1995) indicate the combined use of both price and return models may be useful. According to this, this study uses both price model and return model to examine the relation between ownership structure and firm value. We take stock price and stock return that treated as proxy of firm value and take ownership structure as the proxy of other information. To Test whether ownership structure can explain stock price and stock return.
There are totally 2,580 samples collected during 1992 to 2001.The empirical results indicate that managerial shareholding’s value (change)、board of director’s shareholding’s value (change)、institutional shareholding’s value (change)、financial institutional shareholding’s value (change)、corporate investor shareholding’s value (change)、mutual funds shareholding’s value (change) and other institutional investor shareholding’s value (change) have positive and incremental explanatory power with respect to stock price and stock return. Board of director’s shareholding’s value (change)、institutional shareholding’s value (change) have more effects than managerial shareholding’s value (change). For the sensitivity test, we use stock price and stock return at different point、bull-market-group and bear-market-group、different industry and earnings positive or negative change .The sensitivity test results are similar to previous.
In summary, each ownership structure variable has significantly positive explanatory power with respect to stock price and stock return and hope can provide empirical evidence to understand the relationship between ownership structure and firm value more.

並列關鍵字

return model ； price model ； Ohlson model ； firm value ； ownership structure

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