公司治理資訊揭露與異常報酬之關聯性分析

The Correlation Between Corporate Governance Information Disclosure and Abnormal Returns

林昀璁(Yun-Tsong Lin)

指導教授 ： 林允永

共同指導教授 ： 李進生

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00620

摘要

本論文探討之公司資訊揭露與異常報酬之關聯性分析，係以證券暨期貨市場發展基金會於2002年至2006年公佈之資訊揭露評鑑指標為主，加上上市櫃公司公告之財務報表，檢視探討公司資訊揭露之相關內容與程度是否會產生異常之報酬。
依照效率市場假說，雖然台灣上市櫃現階段公開資訊揭露制度雖已日臻完備，但投資人從報表中所得到之資訊多為落後訊息，無法當成股價報酬率之先行指標，因此也希望透過從公司治理之角度來探討，是否因為訊息傳遞之速度而對股價產生異常報酬之關係。
為探討不同變數之間關連性，本研究利用複迴歸分析檢驗公開財務報表之相關數據；並研究公司資訊揭露與年報酬率之關連性。實證結果指出，公司資訊揭露對異常報酬之產生有顯著正向線性關係，符合本研究假設。
實證結果顯示：董事長與總經理是否為同一人、獨立董監比例上與異常報酬之間並無顯著關係。大股東質押比重在短期內確實與異常報酬存在某種程度之關連。大股東持股比例越高，雖無少數治理之狀況發生，但公司資訊揭露程度越低。外資持股比例越高，公司資訊揭露程度越高，就長期而言，對公司營運有正面之影響。公司董監之酬勞佔盈餘比例部份，比例越高則經營績效越好，更能增加董監事對公司事務之投入與參與。
不過在實務運用上，因為台灣產業特性多以中小企業為主，加上公開資訊揭露之法規存在灰色地帶，並無法有效規範特殊關係人交易部份；況且大股東往往會利用投資公司或透過私募基金方式避稅，因此也產生許多與國外企業不同之特殊現象。

關鍵字

公司治理 ； 資訊揭露 ； 異常報酬

並列摘要

This study revealed the corporate governance information associated with abnormal returns of the analysis of the securities and futures markets and Development Foundation in 2002 to 2006 to expose the information released mainly evaluation indicators, listed counters with the financial statements of corporate announcements, View of the company disclose information related to the content and extent of the anomaly would have paid.
In the efficient market hypothesis, although Taiwan listed counters at this stage open information system had been exposed getting complete, the investors received statements from the backward message for more information, not as shares of the leading indicators of return, and therefore hoped that through the corporate governance angle to explore, whether it is because of the speed messaging produce abnormal returns on the stock of relations.
To explore the link between the different variables of this study using multiple regression analysis of the financial statements of public inspection data, and research company information and expose the rate of return of a connected. Empirical results indicate that the company disclosed information of the abnormal returns generated significant positive linear relationship between the assumptions of the present study.
The empirical results show that: the chairman and general manager of the same person, the independent Dong supervisor ratio between the abnormal returns and no significant relationship. Major shareholders in the short term pledge proportion of abnormal returns and indeed there is some degree of connection. The higher the proportion of shareholding, and have no control of the situation of minorities, but the company information to expose the lower level. The higher the proportion of foreign shareholdings, the company revealed higher level of information, in the long term, the company has a positive influence trading. Dong supervisor of the company paid some of the surplus ratio, the higher the ratio the better the performance, the board of directors can increase the corporate affairs of the input and participation.
However, in practical use, because many of Taiwan's industries mainly to small and medium enterprises, and public information disclosure regulations of a grey area, and unable to effectively regulate transactions of the special relationship between people Moreover often major shareholders or through the use of investment companies private fund tax, and therefore many foreign enterprises have different special phenomenon.

並列關鍵字

corporate governance ； information disclosure ； abnormal return

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