外部監理與空間相依性對股價報酬的影響：四因子PSTR模型之應用

本文以傳統的Fama-French (1993) 三因子模型為基礎，建立一個含股價報酬空間效果 (spatial effect) 的四因子縱橫平滑轉換迴歸 (PSTR) 模型，並以外資持股比率 (外部監理代理變數) 作為轉換變數，評估外資持股對半導體股價報酬的門檻效果，以及對市場、規模、價值等三種溢酬與空間相依性的非線性衝擊。實證上以27家台灣上市半導體公司為研究對象，樣本期間為2008年第一季至2017年第二季，共計1026筆資料。實證結果如下：一、傳統的線性四因子模型之估計結果發現，半導體公司股價報酬與半導體類股指數存在正向的連動；小規模公司較大規模公司更具有超額報酬；成長型公司較價值型公司具有較高的超額報酬，以及股價報酬存在正向的空間相依性效果。二、由四因子PSTR模型的估計結果發現，外資持股比率對半導體公司股價報酬造成非線性的衝擊，而其轉換的門檻值為外資持股比率在 (21.301%) 時。此外，四因子變數對股價報酬的影響，隨不同時間外資對個別公司持股比率的變動而改變，並非如傳統的線性三因子或四因子模型所主張為固定影響效果。三、在空間相依性效果方面，當外資持股比率低於門檻值 (21.301%) 時，空間相依性對股價報酬產生正向的效果；反之，當外資持股比率超越門檻值時，該空間效果轉為負值。四、隨著外資持股比率上升，正向的規模效果逐漸縮小，甚至轉為負向的效果，表示外資持股比率達到門檻值後，外資持股所代表的外部監理力量逐漸發酵，使大型半導體公司發揮藍籌績優股的優勢，進而有利於其股價報酬提升。五、成長型半導體公司的股價報酬均優於價值型半導體公司，惟該優勢並不明顯且隨外資持股比率增加而下降。六、市場溢酬顯著為正值，且隨外資持股比率增加而上升。此外，傳統的線性模型將會低估市場因子對股價報酬的正向貢獻。根據上述實證結果，本研究提出下列政策建議: 一、投資人、半導體業者與國內外法人應隨各半導體公司在各期的外資持股比率的變動，計算各種溢酬，進而調整最適的投資標的組合與購併行為。二、空間距離對股價報酬產生正向的空間外溢效果，顯示地理距離確實影響股價報酬。此外，外資持股比率所代表的外部監理力量，確實在四因子 PSTR模型中對股價報酬發揮作用。半導體業者、國內外法人與金融監管當局可以將其視為有用的外部監理指標，以評估半導體公司的公司治理情形。三、在低外資持股比率時，欲獲得超額報酬，宜持有小規模成長型半導體股票。四、以總溢酬效果觀之，以市場溢酬的規模為最大。因此，在各種外資持股比率水準下，仍持有大型半導體公司的股價報酬最為有利。

關鍵字

Fama-French three-factor模型；縱橫平滑轉換迴歸模型；外資持股比率；股價報酬率；空間相依性

並列摘要

This thesis rewrites the three-factor model, developed by Fama-French (1993), as a panel smooth transition regression (PSTR) model to evaluate stock returns. First, we add the term of spatial dependence into the three-factor model to form a linear four-factor model and then estimate stock returns. Second, we rewrite the linear four-factor model as a four-factor PSTR framework and use the shareholding of QFII as the transition variable to investigate the threshold effects of the QFII shareholdings on stock returns and three risk premiums. In empirical, we select 27 semiconductor companies listed on the Taiwan Security Exchange Corporation as the sample objects. The sample period spans from 2008:Q1 to 2017:Q2. Thus, there are 1026 observations. The empirical results can be summarized as follows: First, the traditional Fama-French three-factor model is estimated employing linear approaches. The empirical results show that the semiconductor stocks and semiconductor index are significant positive. Holding growth stocks can lead to higher returns than value stocks, and holding small size stocks can lead to excess returns than big size stocks. In addition, there is a significantly positive spatial dependence between stock returns. Second, the estimation results of the four-factor PSTR model reveal that three risk premiums vary with time and across stocks, depending on the shareholdings of QFII in different regimes, not constant obtained from the traditional three-factor model and four-factor model. Third, there has a positive spatial dependence as the QFII shareholding is lower than the threshold (21.301%). However, the dependence turns out to be negative as the QFII shareholding is larger than the threshold. Fourth, with the increase in the QFII shareholdings, the positive size effect weakens and even turns to a negative effect. That is, the function of external supervision begins fermenting, which is helpful for holding big size stocks (also the blue chip stocks) to earn excess return. Fifth, holding growth stocks has an excess return than value stocks; however, the effect is not significant and decreases with the increase in the QFII shareholdings. Sixth, the market premium of stock returns is significantly positive and increases with the increase in the QFII shareholdings. However, the traditional linear models underestimate the positive contribution of the market factor to stock returns. The associated policy suggestions include: First, investors, semiconductor companies, and institutional investors must revise their investment decisions period by period according to the change in the QFII shareholdings, and adjust the most proper investment targets and mergers and acquisitions (M&A) objects. Second, in the four-factor PSTR model, there exists a positive spatial spillover effect on the stock returns, indicating that geographical distance actually affects stock returns. In addition, QFII shareholdings represent external monitoring and affect the stock returns. Investors, semiconductor companies, and financial regulators can regard QFII shareholdings as useful external monitoring indicators to assess the corporate governance of the semiconductor companies. Third, holding small growth stocks can earn excess returns as the shareholding of QFII is low. Fourth, in the viewpoint of total premiums, the market premium is the biggest one. Thus, at any level of QFII shareholdings, holding big size stocks is still the best investment strategy.