代理問題、無形資訊與資訊揭露-臺灣市場實證研究

Agency Problem、Intangible Information and Information Disclosure─Empirical Study from Taiwan Market

許琮琛(Tsung-Chen Hsu)

指導教授 ： 盧嘉梧

國立臺北大學/商學院/金融與合作經營學系/碩士(2015年)

摘要

近幾年來全球許多著名企業接續發生重大財務弊案，由於這一連串的財務弊案，使得全球更意識到公司治理的重要性，其中關於企業能否永續經營、公司價值能否提升，代理問題更成為一重要因素，以代理理論為基礎下，可以將代理問題區分為傳統性代理問題及核心代理問題。在效率市場假說下，主張所有投資人在市場上皆無法獲得超額報酬。但Daniel 和 Titman(2006)在研究結果中指出無形資訊報酬是造成市場過度反應現象的主因。
因為過去許多財務弊案都因代理問題而加深嚴重性，因此本研究欲驗證淨值市價效應是否會隨著代理問題的嚴重程度高低而受影響。另外，由於在Daniel和Titman(2006)的研究中發現和公司未來報酬具有顯著性相關的為無形資訊報酬，因此本研究進一步探討，在只考量無形資訊報酬的情況下，代理問題的嚴重性與投資人的過度反應程度間的關係。更進一步討論，在台灣實施資訊揭露評鑑系統後，公司的資訊透明度是否能夠降低資訊不對稱之嚴重性程度。
本研究結果顯示，在台灣的上市櫃公司中，核心代理問題對於投資人過度反應程度具有顯著正向關係；於2003年至2009年的樣本群中，核心代理問題及傳統性代理問題之公司中，投資人容易對於無形資訊而產生過度反應，具有顯著正向關係；另外，在納入資訊揭露評鑑系統的情況下，增加公司資訊透明度確實能夠降低傳統性代理問題及核心代理問題之嚴重性，並降低投資人的過度反應程度。

關鍵字

無形資訊報酬 ； 傳統性代理問題 ； 核心代理問題 ； 資訊透明度

並列摘要

Recently, there are some financial scandals happened in many famous enterprises all around the world. Because of these financial scandals, every corporation found the importance about corporate governance. Whether corporation can be sustainable growth and firm value upgraded, agency problem becoming one of the important reasons. We can distinguish agency problem into traditional agency problem and core agency problem based on corporate agency problem. Based on efficiency market hypothesis, the past empirical result mentioned investors cannot get abnormal return from financial market. But intangible return is the key reason of overreaction in market which is mentioned by Daniel and Titman (2006).
Agency problem got more serious because of these past financial scandals, our empirical work would like to provide evidences about agency problem gets more serious, and book-to-market effect will be larger. Besides, firm’s future return has significant relationship with intangible return. So, our study wants to test further about the relationship between agency problem and investors’ overreaction, when only considering intangible return. Beginning with 2003, Information Disclosure and Transparence Ranking System (IDTRS) was implemented in Taiwan. Because of that, we want to discuss further about reduction of information asymmetry when considering corporates’ transparence scored by IDTRS.
The major findings can be depicted as follows:
1.Core agency problem has a significant positively relationship with investors’ overreaction in Taiwan market.
2.Corporations with traditional agency problem or core agency problem, investors make easily overreaction when they find out intangible information in sample 2003 to 2009.
3.When we considering IDTRS, increases of corporates’ transparence will be helpful for reduction of traditional problem and core agency problem, and further lower investors’ overreaction.

參考文獻

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