The Performance of Fat Cat Portfolios with Companies Announced by the TWSE and the TPEx: A Stochastic Dominance Analysis

評估台灣上市櫃公司之肥貓投資組合績效－運用隨機優勢分析

林庭宇(Ting-Yu Lin) ； 王登仕(Teng-Shih Wang) ； 徐川皓(Chuan-Hao Hsu)

《證券市場發展季刊》 27卷4期 (2015/12) Pp. 119-142

https://doi.org/10.6529/RSFM.2015.27(4).4

摘要

本文利用隨機優勢方法檢驗「肥貓」投資組合績效。肥貓是指公司財報數據不佳依舊提高董監事薪酬，因而被台灣證券交易所與證券櫃檯買賣中心列為警示的個股。透過與不同標竿投資組合的比較，檢定肥貓投資組合的表現是否優於或劣於標竿投資組合。研究結果發現，在一階隨機優勢檢定下，除了與價值股的績效表現有顯著差異外，肥貓投資組合與眾多標竿組合並無明顯差異；但在二階隨機優勢檢定下，肥貓投資組合的股價表現皆顯著優於其他標竿組合。最後，此研究結果，無論是在投資組合的不同加權方式、不同長度的持有期、不同隨機優勢檢定、經濟繁榮期、排除極端值與不同的子樣本，均呈現一致性的結果。

關鍵字

董監事薪酬 ； 長期績效 ； 隨機優勢 ； 肥貓公司

並列摘要

This study uses stochastic dominance analysis to examine the announcement effect by the Taiwan Stock Exchange (TWSE) and the Taipei Exchange (TPEx) on the performance of fat cat companies that perform poorly, but nevertheless continue to increase compensation for directors and supervisors. We compare the market performance of the fat cat portfolio relative to each of the many benchmark portfolios. Except for the case of the fat cat portfolio versus the value stocks, we find that there is no FSD relation between the fat cat portfolio and the benchmark portfolio. However, the fat cat portfolio second-order stochastically dominates all benchmark portfolios. Our conclusions are robust across the weighted methods of a portfolio, holding periods, test methods of stochastic dominance, strong economics, excluding outliers, and some sub-portfolios.

並列關鍵字

Directors and Supervisors' Compensation ； Long-Term Performance ； Stochastic Dominance ； Fat Cat

參考文獻

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