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系統識別號 U0026-0812200914105117
論文名稱(中文) 共同基金之風險因子和投資行為與公司治理間關係之探討
論文名稱(英文) The Examination of the Importance of Corporate Governance: Evidence from Investment Behavior and Risks of Mutual Funds
校院名稱 成功大學
系所名稱(中) 企業管理學系碩博士班
系所名稱(英) Department of Business Administration
學年度 96
學期 2
出版年 97
研究生(中文) 楊政翰
研究生(英文) Cheng-Han Yang
學號 r4695124
學位類別 碩士
語文別 英文
論文頁數 56頁
口試委員 指導教授-莊雙喜
口試委員-蔡明田
口試委員-康信鴻
中文關鍵字 風險趨避  共同基金  風險  公司治理 
英文關鍵字 Mutual Fund  Risk Aversion  Risk  Corporate Governance 
學科別分類
中文摘要 近年來,在學術界中,公司治理逐漸地成為一門顯學。越來越多的學者們投入此一領域以釐清此一機制對於企業經營之影響。而在產業界,也有愈來愈多的企業對投資大眾宣告其對公司治理重視之程度。理論上,公司治理之所以存在,其原因乃是為了要解決經營權與所有權分立所產生之代理問題。然而,到目前為止,所有的研究似乎都還止於公司治理對企業之影響,尚未有學者深入探討投資人如何看待此一機制。有鑑於此,本研究之目的即為探討投資風險與公司治理兩者間之關係。為此,我們選擇里昂證券於2001年所發佈之公司治理研究報告中之46家台灣上市公司為樣本,並選擇48檔於2001年四月前成立之平衡型與股票型基金做為投資行為之研究對象,以此為基礎來進行此次研究。本研究利用三種研究方法:單變量之樣本平均數T檢定、股價異常報酬檢定以及多變量迴歸分析來探討此一議題。實證結果發現,無論基金之風險收益等級或風險程度為何,基金經理人於投資股票市場時似乎並未視公司治理為一值得列入考量之因素。而在股票異常報酬的實驗中,儘管一般投資人會因某事件之發生而做出異常反應,然而其行為並沒有因為公司治理的不同而產生顯著差異。然而,分析顯示,公司治理較佳之企業其風險亦或是股價隨大盤波動之程度明顯較低。此一系列的結果顯示出,儘管在某種程度上,公司治理可被視為一風險變數,然後投資人在進行投資決策時,依然未視此機制為一值得考慮之變數。
英文摘要 Recently, corporate governance has become a popular issue in academia. Scholars try to know how corporate governance influences operations of firms by examining the relationship between factors such as performance and corporate governance. Besides, in practice, companies have also claimed that they pay attention on this issue. Theoretically, since the purpose of the existence of corporate governance is to solve the agency problem, it’s reasonable to understand investors’ view on it. In this paper, we’re going to figure out whether investors think corporate governance is a considerable factor or not when they’re investing. The research examines the relationship between some risk factors and corporate governance. We used 46 companies studied by CLSA’s corporate governance report in 2001 as our sample firms. In addition, 48 balanced and stock funds were also selected as the proxy for investors’ risk preference condition. The methodologies used to test these samples are univariate analyses, T-tests which aim at testing if there’s different investment preference for corporate governance, abnormal stock return, aiming at knowing how investors react when something special happened, and regression analysis, an extension of univriate analysis and can be used to infer the degree of investors’ reactions. The empirical results show that fund managers, no matter how risky their funds were, did not prefer to invest according to corporate governance. Individual investors did not have a significant preference for firms that have higher or lower corporate governance scores, either. Nevertheless, we found that corporate governance can be one of the risk indices. It means that even though corporate governance is related to firm risk, investors still did not pay much attention on it when they were making their investment decisions.
論文目次 Chapter 1 Introduction 1
1.1 Research Background 1
1.2 Research Motivation 2
1.3 Research Purpose 3
Chapter 2 Literatures Review 5
2.1 Development of Corporate Governance 5
2.2 Corporate Governance and Firm Performance 7
2.3 Theories of Risk 9
2.4 Comparison and Possible Research Directions 10
Chapter 3 Sample Construction and Methodology 12
3.1 Sample Construction 12
3.1.1 Sample Companies of Corporate Governance 12
3.1.2 Fund Sample Construction 17
3.1.3 Characteristics of the Sample 21
3.2 Relationship between Risk and Corporate Governance 23
3.3 Multivariable Analysis 26
Chapter 4 Empirical Results 30
4.1 Results of Univariate Analysis 30
4.2 Abnormal Stock Return 34
4.3 Results of Multivariable Analysis 39
Chapter 5 Conclusion 51
5.1 Conclusion 51
5.2 Limitation of the Research and Directions for Further Development 53
Reference 55
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