公司治理於台灣與美國的相關研究---計量方法改進與新研究議題

Abstract

本計畫希望從計量研究方法改進與股東保護效果的其它影響層面為出發點，進一步分析外部公 司治理(Gomper, Ishii, and Metrick,2003, GIM) G-index 對公司理財與投資的影響性，也同時分 析台灣公司治理的相關問題。有鑑於傳統事件研究法在分析公司反購併措施宣告時影響之研 究，普遍都存在這類宣告也都同步出現公司現況的一些改變，同時也反應公司抗拒購併的一些 私有訊息這類問題，因此這類事件研究分析之結果解釋十分困難。Gomper, Ishii, and Metrick (2003)利用Investor Responsibility Research Center (IRRC) 的24 個公司反購併措施調查，編製 了反購併條款指標(Antitakeove provision, G-index)，且針對這些指標進行長時期之投資組合報 酬之研究，發現公司治理好 (G-index 低)的公司投資組合，長期有正的異常報酬，GIM 之研究 引起廣泛之討論，例如，Cremers and Nair (2005) 從GIM 之方法論觀點看內部公司治理與外部 公司治理之互補與替代關係;Core, Guay and Rusticus (2006) 討論GIM 研究結論於不同期間之 穩定性; Kadyrzhanova (2006) 討論產業競爭程序與反購併措施的使用; Klock, Mansi, and Maxwell (2005) 發現使用反購併措施較少的公司其債務資金成本較小；Masulis, Wang, and Xie (2006)討論公司治理影響主併公司購併時之異常報酬; Ferreira and Laux (2006) 則發現G-index 愈小，股票異質風險愈大，資訊流量愈大。 本研究延續上述之研究結果先進行相關文獻探討，並進而提出三個大研究主題，除了強化 GIM G-index 之其它層面之影響性外，也注意計量方法論中關於內生性問題之處理。同時亦考 量台灣市場對應於美國市場的一些特質，進行台灣市場的相關分析。 第一年度之子計畫將討論外部公司治理與資訊不對稱之關係，在方法論上將考慮外部公司治理 與資訊不對稱都為內生的變數，以GIM 樣本中美國1000 多家公司為樣本進行分析，同時也將 討論不同公司治理指標的重要性。同時考量公司資訊透明度因素對結果進行穩健度測試，並進 而分析個別證券外部公司治理與市場衝擊成本(market impact costs)、證券流動性的脆弱性 (vulnerability)。 第二年度之子計畫將討論二個Self-selection model 在公司治理研究之運用，，由於staggered board 是美國企業在反購併策略研究中被認為最有效的一種之一，但公司是否採取staggered board 是一個自我選擇的過程，將以Heckman』s Self-selection model 探討staggered board 對公 司價值的影響。本計畫也將以Heckman』s Self-selection model 探討台灣上市櫃公司中設定獨立 董事對公司價值的影響，由於國內關於 獨立董事設定非採強制性，分析獨立董事設定對公司 價值的影響時，如果公司價值本身可能影響獨立董事設定之決策制定，董事設定虛擬變數可能 是內生的，因此運用Self-selection model 探討，也同時可瞭解企業設立獨立董事的因素。 第三年度之子計畫將接續第一二年之分析結果，首先，將先以台灣股市為研究對象，討論 外資持股、公司治理機制與公司價值及資金成本之關聯性。隨著台灣資本市場的逐漸國際化， 2003 年取消QFII，外資投資與持股一直對台灣資本市場產生重要的衝擊。本計劃希望分析外 資持股、公司治理機制與公司價值及資金成本之關聯性，財務涵意上主要認為，外資持股比率 除了將反映公司外部融資的相對彈性效果外也是一個內部公司治理機制，Cremers and Nair (2005) 指出機構投資人持股是美國市場一個重要的內部公司治理機制，但相較於美國市場， 台灣資本市場中外國機構投資人持股比率將是另外一個值得驗證的公司治理指標。運用GIM 與Cremers and Nair (2005) 投資組合方法，討論外國機構投資人持股比率高的投資組合是否有 正的超額報酬。本研究將初步先分析在考量外部融資需要、是否為MSCI 成份股、是否為ADR 發行股票及其它等等公司財務特性變下數探討外資持股的決定性因子。進而就本計劃的主要研 究議題，在考量國內機構投資人、控制權相對現金流量求償權及其它等等公司財務特性變數變 數下，探討外資持股比率公司治理機制與公司價值、營運效率、營收成長及資金成本之關聯性， 在研究設計上將以聯立方程模式，運用3SLS 與GMM 估計方法進行模型的估計。

Corporate governance mechanisms that have been extensively studied can be broadly characterized as being either internal or external to the firm. The internal mechanisms of primary interest are the boards of directors and equity ownership of the firm; the primary external mechanisms generally relate to the market for corporate control, legal and regulatory rules, and investor monitoring. In the related research on the market for corporate control, the impact of anti-takeover provisions on firm value and shareholder wealth has been a subject of much study and debate for more than two decades. In an important and widely cited recent paper, Gompers, Ishii, and Metrick (2003, GIM) find for the period 1990 to 1999 that firms with strong shareholder rights have risk-adjusted returns that are 8.5% higher per year than those of firms with weak shareholder rights. The governance index (G-index) proposed by GIM has become widely used as a measure of the effectiveness of a firm』s corporate governance structure. Extending previous works, this research project will consider the analysis of corporate governance issues for Taiwan and US. In the first year, positing that there are several reasons why companies with higher levels of shareholder protection will incur higher adverse selection costs of liquidity, this research plans to investigate the effects of anti-takeover provision on information asymmetry costs of equity liquidity. Good shareholder rights (openness) can directly encourage uninformed ownership and trading, including open to sharing information with investors. Furthermore, strong investor protection, expressed by openness to takeovers, is associated with a reduced possibility of insiders (controlling shareholders and managers) expropriating outside investors. Poor external corporate governance is related to more severe problem of conflict of interest between managers and shareholders. The issue is explored using NYSE trade and quote (TAQ) database. We also aim to investigate whether firms poor shareholder protection suffer from serious net selling pressure (vulnerability in equity liquidity), or panic selling, during episodes of severe market distress, such as Enron crisis or internet bubble crash. The results could provide an understanding of the economic costs of managerial agency problems related to external governance mechanisms in periods of financial distress. In the second year we plan to investigate the adoption of staggered board on firm values using the self-selection model. Our hypothesis is that firms that choose to have classified board are not a random sample of firms. The association might be produced by the selection of staggered boards by low-value firms that seek to protect themselves from a takeover. If a firm』s decision to implement staggered board is correlated with the relative value of the firm, the explanatory variables will be correlated with the error term in the above regression model and the OLS estimator is inconsistent. The use of self-selection model can help to investigate the economic benefits of good corporate governance by simultaneously considering companies』 motives in the voluntarily adoption of corporate governance practices and understanding the potential private information reveal in their self-selection behaviors. We also consider the case of the voluntarily adoption of independent directors of firms in Taiwan using the self-selection model. In the third year this research relates to Taiwan stock market and will consider the impacts of foreign institutional ownership and corporate governance (control right vs cash flow right) on firm operating performance, growth, costs of capital and values. We posit that foreign institutional ownership not only signals the financial flexibility of the external finance needed of a company, but also provides an important internal governance mechanism. The study will first explore the potential factors that affect the percentage of foreign institutional ownership. We propose a simultaneous equation model to explore the effects of foreign institutional ownership and control right versus shareholder right on firm values. Furthermore, the analysis will also extend to the study of the effects of foreign institutional ownership and control right versus cashflow right on operating performance and costs of capital.