樂透型股票之換月效應與公司治理的影響

樂透型股票具有樂透特徵，以低廉的價格就能買入股票，因此吸引了具有賭博動機的個人投資者，故本研究以台灣2009年至2018年的樂透型股票為研究對象，探討樂透型股票的換月效應，並分析農曆一月份與其他月份的差異。由於投資者通常會選擇公司治理良好的標的，因此進一步探討公司治理機制的好壞是否對樂透型股票之換月效應有所影響。研究結果顯示，樂透型股票的換月效應其農曆一月份比其他月份更為顯著。而且公司治理與樂透型股票之換月效應有關聯性，發現在每月的換月期間，十大股東持股比率與報酬率呈負向顯著關係，其餘五項公司治理變數：經理人持股比率、外資持股比率、獨立董事人數、董事兼任經理人席次、董監事平均每人報酬與報酬率則呈正向顯著關係；而農曆1月份的換月期間，十大股東持股比率與報酬率呈負向顯著關係，獨立董事人數、外資持股比率與報酬率則呈正向顯著關係，而其餘三項公司治理變數：經理人持股比率、董事兼任經理人席次、董監事平均每人報酬與報酬率與報酬率不具顯著關係。

關鍵字

樂透型股票；換月效應；公司治理

並列摘要

Lottery-type stocks have lottery-like features, you can buy stocks at a cheap price, so it attracts gambling motivated individual investors. This study investigate the turn-of-the-month effect on lottery-type stocks in the Taiwan stock market from 2009 to 2018, and explore the difference between the 1st lunar month and the other months. We further explore whether the quality of the corporate governance has an impact on the turn-of-the-month effect of lottery-type stocks. The results show that turn-of-the-month effect of lottery-type stocks has a significant difference between the 1st lunar month and the other months. And corporate governance is related to turn-of-the-month effect of lottery-type stocks. At the turn of the month period, blockholder ownership is negatively related with stock return. However, managerial ownership, foreign institutional shareholdings, the number of independent directors, the number of directors being managers and the average remuneration of directors and supervisors are positively related with stock return. At turn of the month period in the 1st lunar month, blockholder ownership is negatively related with stock return. The number of independent directors and foreign institutional shareholdings are positively related with stock return. Managerial ownership, the number of directors being managers and the average remuneration of directors and supervisors are nonsignificant related with stock return.

並列關鍵字

Lottery-type Stocks ； Turn-of-the-Month Effect ； Corporate Governance

參考文獻

Jensen, M. C., & Meckling, W. H. (1976). THEORY OF THE FIRM: MANAGERIAL BEHAVIOR, AGENCY COSTS AND OWNERSHIP STRUCTURE. Journal of Financial Economics, 3(4), 305-360.

王元章、陳振遠、張眾卓（2012）。公司治理與市場流動性。證券市場發展季刊，24（2），125-178。