總體與公司治理因子對公司價值的影響 —台灣五十成分公司之縱橫資料分析

The effects of macroeconomic and corporate governance factors on firm value — The panel data analysis of Taiwan 50 index constituents

黃香琪(Hsiang-Chi Haung)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2011年)

https://doi.org/10.6840/cycu201100567

摘要

公司價值評估對投資者而言是相當重要的，而影響公司價值的因素眾多，大體而言，可區分為公司內部因素及整體經濟環境因素，兩者均不可忽略。依據S&P研究發現，透明度與公開揭露程度較高的公司，其市場風險較小，股價評價也較高，故健全公司治理很重要，對投資人亦有客觀的參考訊息。本研究採用部分台灣50成份股公司在2003年第4季至2010年第3季期間的panel data，評估公司治理因子與總體經濟指標是否對公司價值具有影響。實證上採用縱橫資料分析，估計方法為混合估計中的固定效果或隨機效果模型，並考慮各變數對於公司價值是否因公司別而有差異，即同時考量共同斜率與差異性斜率分析。
公司價值分別以股價報酬率、折現後淨現金流量和股價等三種指標加以衡量；公司治理因子區分為內部監理與外部監理因素，並以外資總持股率、信用風險指標(TCRI)作為外部監理的替代變數；以董監事持股率、負債比率及股東權益報酬率作為內部監理的替代變數；此外，以消費者物價指數、利率及遠期匯率作為總體經濟指標的替代變數。
　　實證結果發現：股價報酬率以固定效果模型進行估計其效果較佳，且負債比率、外資持股比率及董監事持投比率對股價報酬率都呈現顯著的正向影響，短期利率和消費者物價指數對股價報酬率則產生顯著的負向效果。公司折現後淨現金流量亦以固定效果模型作估計其效果較為佳，其中負債比率、外資持股率對折現後淨現金流量有顯著正向影響，股東權益報酬率、信用評等、董監事持股比率與總體經濟變數等影響力並不顯著。股價則以隨機效果模型進行估計其效果較佳，且股東權益報酬率、外資持股比率對股價具有顯著的正向影響， 信用評等與遠期匯率則產生負向的效果。

關鍵字

差異性斜率 ； 縱橫資料估計 ； 公司價值 ； 公司治理

並列摘要

Firm valuation is crucial for market investors. However, the factors influencing firm value are numerous. Generally speaking, these factors can be classified into internal factors of firm and macroeconomic factors, and both of them may not be neglected. According to the findings of S&P’s study, the firms with high transparency and public disclosure will face little market risks and high stock valuation. Therefore, robust corporate governance is important, since it can provide some useful referenced information. This study employs panel data to estimate firm value equations through fixed effects model and random effects model. In the irm value equations, explanatory variables include the proxies of corporate governance and macroeconomic variables. The sample objects are the constituent stocks of Taiwan 50 index, and the sample period spans from Q4, 2003 to Q3, 2010. Moreover, to evaluate whether each explanatory variable has differential effect on firm value among cross-sectional firms we consider the estimation with differential slopes via Wald test, which is ignored in the previous studies.
　　　In estimating firm value equations we apply three kinds of indices to measure firm value, i.e., stock price return rate, discounted net cash-flow of company and stock price. Corporate governance includes internal governance and external governance factors. Foreign shareholding ratio, Taiwan corporate credit risk index (TCRI) and corporate ownership are proxies of external governance; debt ratio and return on equity are the proxies of internal governance. In addition, we choose interest rate, consumer price index, and forward rate to represent macroeconomic conditions.
　　　The empirical results show that fixed effect model is optimal for the estimation of stock price return rates, and debt ratio, foreign shareholding ratio and corporate ownership have positive effect on stock price return rates. Short-term interest rate and consumer price index generate negative effect on stock price return rates. For the estimation of discounted net cash-flow of company fixed effect model is also proper. Debt ratio and foreign shareholding ratio have positive effect on discounted net cash-flow. However, the effects of return on equity, TCRI, corporate ownership and macroeconomic variables are insignificant. For the estimation of stock price random effect model is also optimal. Return on equity and foreign shareholding ratio have positive impact on the stock price; however, TCRI and forward rate have a negative effect on stock price.

並列關鍵字

Corporate governance ； differential slopes ； panel data estimation ； firm value

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