以公司治理機制建構投資組合之研究

Building a Protfolio by Corporate Govenance

陳莉玲(Li-Ling Chen)

指導教授 ： 鄭瑞昌

共同指導教授 ： 張千雲(Chien Yun Chang)

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2020年)

摘要

良好的公司治理成為各家企業強化管理結構、提升經營效率之經營手段，屢次的經營危機讓各方了解到企業根基乃自於自身公司內部控制成果的展現，故海內外投資機構或是各國政府退休基金之投資組合開始有所轉化，藉以施壓企業改變公司經營方針。
本研究欲幫助投資人解決選股問題，故首先檢視公司治理因子與企業獲利能力財務指標間的關聯性，研究結果發現，董事會規模、獨立董事席次及董監事持股比例均對於公司績效無顯著影響，而機構投資人持股比例、經理人持股比例以及董事兼任經理人比率均同時對ROA及ROE呈正向顯著影響，然而，董監事持股質押比則對ROA及ROE均呈顯著之負向關係。
最後，本文進一步以兩步驟建立投資組合，首先將天下企業公民TOP100之個股即列為下年度選股之範圍，進一步利用上述有顯著影響之變數作為擇股標準，實證發現經過該兩階段之股票條件篩選後，其投資組合績效遠優於台灣加權股價指數之報酬。

關鍵字

董事會規模 ； 獨立董事席次 ； 股權結構

並列摘要

Good corporate governance has become a management tool for companies to strengthen their management structure and improve operating efficiency. Repeated business crises have allowed all parties to understand that the foundation of the company is their own internal control. As a result, the investment portfolios of investment institutions at home and abroad or the retirement funds of governments of various countries have begun to transform, so as to pressure enterprises to change the company's operating policies.
This research aims to help investors solve the stock selection problem. Therefore, first of all, examine the correlation between corporate governance factors and financial indicators of corporate profitability. The results of the study found that the size of the board of directors, the number of independent directors and the shareholding ratio of directors and supervisors have no significant impact on the company’s performance, while the shareholding ratio of institutional investors, the shareholding ratio of managers and the ratio of directors and concurrent managers all affect ROA and ROE has a positive and significant impact. However, the pledge ratio of shares held by directors and supervisors has a significant negative relationship for both ROA and ROE.
Finally, this article further establishes a two-step investment portfolio. First, the TOP100 stocks of the world's corporate citizens are listed as the scope of stock selection for the next year. The above-mentioned variables with significant influence are used as stock selection criteria. The stocks after these two stages are empirically found After conditional screening, the performance of its portfolio is far superior to the compensation of the Taiwan Weighted Stock Price Index.

並列關鍵字

Board of Directors ； Independent Directors ； Shareholding Structure

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