進階搜尋


下載電子全文  
系統識別號 U0026-0808202017250100
論文名稱(中文) 股價崩跌風險與權益資金成本
論文名稱(英文) Stock Price Crash Risk and Cost of Equity Capital
校院名稱 成功大學
系所名稱(中) 會計學系
系所名稱(英) Department of Accountancy
學年度 108
學期 2
出版年 109
研究生(中文) 蘇郁瑄
研究生(英文) Yu-Shiuan Su
學號 R16071098
學位類別 碩士
語文別 中文
論文頁數 36頁
口試委員 口試委員-王澤世
口試委員-廖麗凱
指導教授-李政勳
中文關鍵字 股價崩跌風險  權益資金成本 
英文關鍵字 Stock Price Crash Risk  Cost of Equity Capital 
學科別分類
中文摘要 本研究探究股價崩跌風險是否會影響公司權益資金成本,並以資本資產定價模型(CAPM)作為權益資金成本之衡量變數。本研究發現當股價崩跌風險越高時,會影響公司價值越低,使公司權益資金成本會越高。此外,本研究以公司大股東持股及外資持股越穩定度作為公司外部監督之衡量變數,實證結果發現當公司大股東持股越高或是外資持股越穩定時,可降低股價崩跌風險對權益資金成本的影響。最後在穩健性及額外測試中,為了避免在回歸中是否存有某些公司特性之遺漏變數,所以改以公司-年作為固定效果再次檢驗,檢驗結果依舊為正向顯著關係,且本研究也探討股價崩跌風險對權益資金成本影響的持續程度,實證結果發現其影響會持續至第二年。
英文摘要 This study explores whether the stock price crash risk affects the cost of equity capital and uses the capital asset pricing model to make it a proxy variable for the cost of equity capital. The results revealed that stock price crash risk reduces the value of company when the stock price crash risk is higher. Moreover, higher stock price crash risk increases the cost of equity capital. In addition, the stockholder shareholding ratio and the volatility of foreign investors’ shareholding were used as proxy variables of the company’s external supervision, and the results proved that a higher stockholder shareholding ratio or more stable foreign investors’ shareholding reduces the impact of stock price crash risk on the cost of equity capital. To ensure that the result was robust, the relation between stock price crash risk and cost of equity capital was retested with firm fixed effects controlled to avoid potential omitted variables of certain company characteristics in the regression. The result indicated that the relation between stock price crash risk and cost of equity capital remained highly significant. Finally, the result from additional tests confirmed that the impact of stock price crash risk on the cost of equity capital continues into the second year.
論文目次 第一章 緒論 ……………………………………………..01
第二章 文獻及假說 ……………………………………………..03
第三章 研究方法
第一節 樣本選取 ……………………………………………..06
第二節 實證模型 ……………………………………………..06
第三節 變數定義及衡量方法……………………………………………..08
第四章 實證結果
第一節 敘述性統計 ……………………………………………..16
第二節 相關係數 ……………………………………………..17
第三節 模型結果 ……………………………………………..18
第五章 穩健及額外測試 ……………………………………………..26
第六章 結論 ……………………………………………..30
參考文獻 ……………………………………………..31
參考文獻 中文參考文獻
王豐雅(1999)。股價淨值比小於一公司特性之研究。,(未出版碩士論文)國立成功 大學會計研究所,臺南市
王凱立、林嘉慧(2003)。條件高階動差於財務金融市場之應用。財務金融學刊 ; 11(2) , P1 – 42
沈榮芳(2006)。資訊揭露透明度對公司價值影響之研究-以台灣上市、上櫃公司為例。中華大學經營管理碩士論文,新竹市。
呂哲宇(2016)。企業社會責任與股價暴跌之關聯性研究。東吳大學會計學系碩士論文,臺北巿。
李建然、廖秀梅與張卉諭(2016)。審計委員會設置及其品質對公司價值的影響。中華會計學刊 ; 12(2), P231 - 265
吳幸蓁、廖蕙儀(2017)。自願性揭露企業社會責任資訊之決定因素與其資訊後果。中山管理評論 ; 25(1),P13 – 62
金成隆、林修葳、邱煒橫(2005)。研究發展支出與資本支出的價值攸關性:以企業生命週期論析。中山管理評論 ;13(3), P617 – 643
周建新、林宗得(2015)。資訊透明度對企業價值增額解釋能力之研究。會計與公司治理;200512 (2:2期) ,P25-46, 財團法人逢甲會計教育基金會。
林文玲、傅鍾仁(2011)。企業社會責任之揭露對會計資訊價值攸關性:以台灣資訊電子業上市公司為例。商管科技季刊,12(2),P 209-229。
施純玉(1997)。淨值市價比效果之探討。台灣大學財務金融碩士論文,臺北巿。
范心瑜(2018)。從代理人的角度探討管理者能力對股價崩跌風險之影響。臺北科技大學經營管理系碩士論文,臺北巿。
高臻妤(2018)。CEO過度自信與股市價格崩盤之研究:企業現金流量的影響。國立成功大學財務金融碩士論文,臺南市。
張森河、王登仕、黃邵彥、邱安安(2013)。核心代理問題及盈餘管理對公司價值的影響。Soochow Journal of Accounting 會計學報,5(1),第61-96 頁
張淑清、呂欣樺(2015)。研發支出與管理團隊特性對公司績效之影響。Soochow Journal of Accounting會計學報,6(1),第 1-34 頁
曾國周(2015)。公司治理對權益成本之影響。 大葉大學管理學院碩士論文,新竹縣。
莊尚志(2003)。資訊揭露程度與資金成本關係之實證研究。東吳大學會計學系碩士論文,臺北巿。
羅翊華(2017)。公司治理與股價崩跌風險之關聯性。國立臺北科技大學經營管理系碩士論文,臺北市。
羅進水、吳政宏(2018)。崩盤風險、股票流動性。Commerce & Management Quarterly, Vol.19, No.2, pp.169~199
英文參考文獻
Breitzman A., and Thomas, P. (2002). Using Patent Citation to Target/Value M&A Candidates, Research Technology Management, Vol. 45, pp.28-36
Ball, R. (2009). Market and political/regulatory perspectives on the recent accounting scandals. Journal of Accounting Research 47, 277–323.
Brochet, F., Jagoliner, A.D., and Riedl, E.J. (2013). Mandatory IFRS Adoption and Financial Statement Comparability. Contemporary Accounting Research, Forthcoming Vol.30, Issue 4.
Chung, K.H., and Pruitt, S. W. (1994). A Simple Approximation of Tobin's Q. Financial Management, Vol. 23, No. 3
Chaney, P. K., and Lewis, C.M. (1995). Earnings management and firm valuation under asymmetric information. Journal of Corporate Finance Vol. 1, Issues 3–4, Pages 319-345
Corrado, C.J. and Su, T. (1996) . “S&P 500 Index Option Tests of Jarrow and Rudd's Approximate Option Valuation Formula”, The Journal of Futures Market, Vol. 16, No. 6, 611-629.
Chen, J., Hong, H., and Stein, J. C. (2001) . Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61:345–381
Cheng, C. S. A, Collins, D., and Huang, H. H. (2006) . Shareholder rights, financial disclosure and the cost of equity capital. Review of Quantitative Finance and Accounting Vol. 27, pages 175–204
Chen, K. C. W, Chen, Z, and Wei, J. K. C. (2009) . Legal protection of investors, corporate governance, and the cost of equity capital. Journal of Corporate Finance Vol. 15, Issue 3, Pages 273-289
Chao,C-F., Hsu, C-C., and Yeh, H-S.(2010) . The relationship between information transparency and firm value: evidence from Taiwan. Int. J. Business Excellence, Vol. 3, No. 2
Chen, K. C. W., Chen, Z. and Wei, J. K. C. (2011). Agency Costs of Free Cash Flow and the Effect of Shareholder Rights on the Implied Cost of Equity Capital. The Journal of Financial and Quantitative Analysis Vol. 46, No. 1, pp. 171-207
Callen, J. L., and Fang, X. (2013) . Institutional investor stability and crash risk: Monitoring versus short-termism? Journal of Banking & Finance, vol. 37, issue 8, 3047-3063
Dimson, E.(1979) . Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics Vol. 7, Issue 2, 197–226.
Diamond , D., and Verrecchia, R. E.(1991). Disclosure, Liquidity, and the Cost of Capital. Journal of Finance, Vol. 46, Issue 4, 1325-59
DeFond, M. L., Hung, M., Li, S., and Li, Y. (2015). Does Mandatory IFRS Adoption Affect Crash Risk? THE ACCOUNTING REVIEW Vol. 90, No. 1 pp. 265–299.
Ertugrul, M., Lei, J., Qiu, J., and Wan, C. (2017). Annual Report Readability, Tone Ambiguity, and the Cost of Borrowing. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 52, No. 2, pp. 811-836.
Fama, E. F., and French, K. R.(1992). The Cross‐Section of Expected Stock Returns. JOURNAL OF FINANCIAL Volume 47, Issue 2 Pages: 427-830
Fang, H., and Lai, T. Y. (1997). Co-Kurtosis and Capital Asset Pricing. The Financial Review, Vol.32 No.2, pp.293-307.
Gordon, M. J. (1959). Dividends, Earnings, and Stock Prices. The Review of Economics and Statistics, Vol. 41, No. 2, Part 1, pp. 99-105
Gordon, J. R., and Gordon, M. J. (1997). The Finite Horizon Expected Return Model.
Financial Analysts Journal Vol.53, Issue 3
Gebhardt, W. R., Lee, C. M., and Swaminathan, Bhaskaran. (2001). Toward an Implied Cost of Capital. Journal of Accounting Research Vol. 39, Issue 1 Pages: 1-200
Hansen, B. E.(1994). Autoregressive conditional density estimation. International Economic Review, Vol.35, No. 3 pp. 705-730.
Healy, P. M., and Palepu, K. (2001). Information Asymmetry, Corporate Disclosure and the Capital Market: A Review of the Empirical Disclosure Literature. Journal of Accounting and Economics , Vol.31, .No. 1, 71-93.
Habib, A., and Hasan, M. (2017). Managerial Ability, Investment Efficiency and Stock Price Crash Risk. Research in International Business and Finance, 42, 262–274
Hutton, A. P., A. J. Marcus, and H. Tehranian. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics. 94:67–86.
Hong, H. A., Kim, J-B. and Welker, M. (2017). Divergence of Cash Flow and Voting Rights, Opacity, and Stock Price Crash Risk: International Evidence. Journal of Accounting Research Vol. 55 No. 5.
Jin, L. and Myers, C.S. (2006). R2 around the world : new theory and new tests. Journal of Financial Economics79, 257–292.
Kim, J-B., Li, Y., and Zhang, L. (2016). Corporate tax avoidance and stock price crash risk : Firm-level analysis. JournalofFinancialEconomics 100 639–662
Kim, Y., Li, H., and Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance Vol. 43, Pages 1-13
Kim, J-B., Li, L., Lu, L.Y., and Yu, Y. (2016). Financial statement comparability and expected crash risk. Journal of Accounting and Economics 61 :294–312
Kim, J-B., Wang, Z., and Zhang, L. (2016). CEO Overconfidence and Stock Price Crash Risk. Contemporary Accounting Research, Vol. 33, Issue 4, Pages 1720-1749
Kim, C., Wang, K., and Zhang, L. (2018). Readability of 10‐K Reports and Stock Price Crash Risk. Contemporary Accounting Research, ForthcomingVol.36,Issue 2.
Kothari, S.P., Shu, S., and Wysocki, P. D. (2009). Do managers withhold bad news? Journal of Accounting Research 47,241–276.
Lindenberg, E. B., and Ross, S. A. (1981). Tobin's q Ratio and Industrial Organization. Vol. 54, No. 1, pp. 1-32
Li, L., Francis, B. B. and Hasan, I. (2011). Firms’ real earnings management and subsequent stock price crash risk. Paper read at CAAA Annual Conference.
Ohlson, J. A., and Juettner-Nauroth, B. E. (2005). Expected EPS and EPS Growth as Determinants of Value. Review of Accounting Studies vol. 10, pages 349–365
Pham, P. K., Suchard, J-A., and Zein, J. (2012). Corporate Governance and the Cost of Capital: Evidence from Australian Companies. Journal of Applied Corporate Finance Vol. 24, Issue 3 Pages: 2-107
Park, S. Y., and Jung, H. (2017). The Effect of Managerial Ability on Future Stock Price Crash Risk: Evidence from Korea. Sustainability vol. 9, issue 12, 1-17
Ross, S. A.(1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory Vol. 13, Issue 3, Pages 341-360
Riasi, A. (2015). Competitive advantages of shadow banking industry : An analysis using Porter diamond model. Business Management and Strategy Vol. 6, No. 2
Tan, Hongping., Wang, Shiheng., and Welker, Michael.(2011). Analyst Following and Forecast Accuracy After Mandated IFRS Adoptions. Journal of Accounting Research.
Zhou, J., Kim, J-B., and Yeung, I. (2013). Material Weakness in Internal Control and Stock Price Crash Risk: Evidence from SOX Section 404 Disclosure.
論文全文使用權限
  • 同意授權校內瀏覽/列印電子全文服務,於2020-08-25起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2020-08-25起公開。


  • 如您有疑問,請聯絡圖書館
    聯絡電話:(06)2757575#65773
    聯絡E-mail:etds@email.ncku.edu.tw