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系統識別號 U0026-0812200915400054
論文名稱(中文) 若破產風險被視為評價因子,公司治理是否對公司的績效仍有影響-以台灣和美國公司為例
論文名稱(英文) Does Corporate Governance Affect Firm's Performance if Distress Factor is Priced-Based on Taiwanese and American Companies?
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 97
學期 2
出版年 98
研究生(中文) 陳含容
研究生(英文) Han-Jung Chen
學號 r8696402
學位類別 碩士
語文別 英文
論文頁數 61頁
口試委員 口試委員-林昭賢
口試委員-賴秀卿
指導教授-李宏志
中文關鍵字 公司治理指標  股價報酬結構  淨值市價比  財務預警模型  財務破產風險  三因子模型  四因子模型 
英文關鍵字 Griffin and Lemmon  four-factor model  three-factor model  Gompers et al.  corporate governance index  O-score  Fama and French  book to market  financial distress risk  stock return structure 
學科別分類
中文摘要 本研究主要探討公司治理與股價之間的關係。要探討這個問題,我們必須先釐清公司治理是否為影響股價的重要因素,抑或是公司治理已經被傳統Fama-French三因子所捕捉。然而,Griffen和Lemmon (2002)兩位學者發現,在破產程度高的組別中,帳面價值比高和低的公司所存在顯著的報酬差異,無法被Fama-French三因子模型解釋。因此,本研究將破產風險因子納入Fama-French三因子模型中,建立新的四因子評價模型-新財務破產四因子模型。除此之外,Lee 和Yeh (2004) 發現公司治理變數對公司的破產風險有顯著的影響。因此,如果財務破產風險和公司治理有關,而且被用來作為評價因子,則將財務破產風險納入評價模型的新財務破產四因子模型,在此模型下,因公司治理與財務風險有顯著相關,當財務破產風險被評價於模型中,公司治理也被評價於其中。因此,我們預期在新財務破產風險四因子下,公司治理程度對公司股價應無顯著影響。Carhart (1997) 四因子評價模型也納入本研究中。透過這三個評價模型,我們可以釐清公司治理是否對公司績效有影響,或其影響是由於使用過於簡化的評價模型而得到的結果。
英文摘要 In this study, we explore the issue about the impact of corporate governance on firm performance. To answer this question, we need to identify whether corporate governance can still be an influential factor or has been largely captured by the traditional Fama-French three-factor model. In addition, Griffin and Lemmon (2002) find that among the highest risk of distress level, the large return difference between high book-to-market firms and low book-to-market firms cannot be explained by the three-factor model proposed by Fama and French (1993) when they use Ohlson (1980) O-score as a direct proxy of the financial distress risk. Therefore, in this study, financial distress factor will be added to Fama-French three-factor model to form a new four-factor pricing model (called “new financial distress four-factor model”). Lee and Yeh (2004) find that corporate governance variables have significant impacts on the risk of financial distress. Therefore, if financial distress is related to firm corporate governance and is used as a pricing factor, the new financial distress four-factor model might cause the phenomenon that corporate governance has no significant influence on performance since corporate governance has also been priced due to its relation to financial distress risk. Carhart (1997) four-factor model will also be used to estimate expected return in this study. In addition, traditional one factor Capital Asset Pricing Model (CAPM) is also used to estimate expected return. In other words, through the four pricing models we use in this study, we can reveal whether corporate governance truly has impact on firm value or is just an illusion due to using oversimplified pricing model, which can clarify the conflict results about the influence of corporate governance on firm value between two studies by Gompers et al. (2003) and Core et al. (2006).
論文目次 Chapter 1 Introduction 1
1.1 Research Background and Motivation 1
1.2 Contributions 4
Chapter 2 Literature Reviews 5
2.1 Scale Effect 5
2.2 Book-to-Market (BE/ME) Premium 6
2.3 Corporate Governance, Distress Risk and Firm
Performance 8
Chapter 3 Data and Methodology 12
3.1 Data and Period of Study 12
3.2 Methodology 13
3.2.1 The 15 Portfolios Sorted on Probability of Financial
Distress (O-score) and BE/ME 13
3.2.2 Asset Pricing Models 16
3.2.3 Corporate Governance Index Grouping 18
Chapter 4 Empirical Results 24
4.1 Finding the More Complete Pricing Model 24
4.1.1 Evidence from Taiwan 25
4.1.2 Evidence from U.S. Russell 1000 36
4.2 GRS Test 45
4.3 Impact of Corporate Governance towards Firm
Performance 46
4.3.1 Taiwan 48
4.3.2 U.S. Russell 1000 52
Chapter 5 Conclusions and Suggestions 55
5.1 Conclusions 55
5.2 Suggestions 56
References 57
Appendix Ι 61
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