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系統識別號 U0026-2106201811451900
論文名稱(中文) CEO過度自信與股市價格崩盤之研究:企業現金流量的影響
論文名稱(英文) CEO Overconfidence and Stock Price Crash Risk: The Impact of Firm’s Cash Flows
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
學年度 106
學期 2
出版年 107
研究生(中文) 高臻妤
研究生(英文) Chen-Yu Kao
學號 R86054016
學位類別 碩士
語文別 英文
論文頁數 44頁
口試委員 指導教授-顏盟峯
口試委員-周庭楷
口試委員-黃裕培
口試委員-林嘉慧
中文關鍵字 CEO過度自信  股價崩盤風險  現金流量  代理問題  過度投資 
英文關鍵字 CEO Overconfidence  Stock Price Crash Risk  Cash Flows  Agency Problem  Over-investment 
學科別分類
中文摘要 本研究以台灣上市公司進行研究,並以2004年至2017年作為研究期間,探討公司CEO的過度自信與股價崩盤風險之間的關係。過度自信的CEO傾向高估投資案的現金流入,並且認為自身的能力可以為公司帶來良好獲利,常將淨現值為負的投資案誤判為好的(淨現值為正)投資案。過度自信的CEO對於投資案的負面消息會傾向給予解釋、延遲或是忽略。這種壞消息不斷累積的行為將導致無利可圖的投資案持有時間過長,而隨著時間的推移,負面消息達到一個臨界點時將導致股價崩盤。本研究實證結果顯示,過度自信的CEO相對於不具過度自信的CEO,企業未來有較高的股價崩盤風險。另外,我們也發現,現金流量越高的企業,將增加過度自信對股價崩盤的負面影響。這結果顯示,企業的高現金流量將會促使CEO具有過度自信的特徵,增加過度投資、忽略及掩蓋負面消息等行為,進而提高股價崩盤的風險。
英文摘要 This study investigates the relation between the chief executive officer (CEO) overconfidence and future stock price crash risk. Overconfident CEOs tend to overestimate and be optimistic about the future performance of their investment projects, and their capability to bring the good operating profit for firms. Thus, they tend to misidentification the negative NPV projects as positive NPV projects. Overconfident managers also tend to explain negative feedback or ignore such information when they disclose firm performance. As the result, these hoarding bad news behaviors lead to unprofitable projects are kept alive too long and their bad performance accumulates over time which can lead to stock price crashes in the future. Using a large sample of Taiwan's firms for the period 2004–2017, our results show that firms managed by CEOs of overconfident characteristic tend to have a higher stock price crash risk in the future. Moreover, we also show that the positive relation between overconfidence and stock price crash risk will be enhanced when firms have higher cash flows. This finding implies that higher cash flows might make managers more optimistic about their firm’s future performance, and thus more inclined to over-investment.
論文目次 中文摘要 i
Abstract ii
誌謝 iii
Contents iv
List of Tables vi
List of Figures vii
Chapter 1 Introduction 1
Chapter 2 Literature Review and Hypothesis Development 6
2.1 Stock Price Crash Risk: Theory and Measurement 6
2.2 The Determinants of Crash Risk 7
2.2.1 Financial Reporting and Corporate Disclosures 7
2.2.2 Capital Market Transactions 11
2.2.3 Corporate Governance Mechanisms 11
2.2.4 Managerial Incentives and Managerial Characteristics 12
2.3 Hypotheses Development 12
Chapter 3 Sample Development, Variable Measurement, and Research Design 14
3.1 Sample and Data Source 14
3.2 Measuring Firm-Specific Crash Risk 14
3.3 Main explanatory variables 15
3.4 Control Variables 18
3.5 Research Design 20
Chapter 4 Empirical Results 21
4.1 Descriptive Statistics 21
4.2 Multivariate Test of Hypothesis 1 27
4.3 Multivariate Test of Hypothesis 2 29
4.4 Additional Tests and Robustness Checks 30
Chapter 5 Conclusion 33
References 36
Appendix A. Dependent Variables: Crash Risk Measures 40
Appendix B. The Impact of the Main Explanatory Variables on NCSKEW 42
Appendix C. The Impact of the Main Explanatory Variables on DUVOL 43
Appendix D. The Sign of the Variable Coefficients 44

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