標題: 公司治理與情緒性因子的價格敏感度
Corporate Governance and Price Sensitity of Sentiment Factor
作者: 李建佑
Jian-You Lee
鍾惠民
王淑芬
Hui-Min Chung
Sue-Fung Wang
財務金融研究所
關鍵字: 公司治理;併購條款;情緒;公司特徵;corporate governance;takeover provisions;sentiment;firm characteristics
公開日期: 2007
摘要: 公司治理一直是財務研究中的重要議題之ㄧ。公司治理較差的公司,其管理階層擁有相對較大的權力且不受制於董事會的控管,導致管理階層容易做出圖利自己傷害公司及股東的決策,進而影響到公司的營運績效,影響投資人的投資意願。本篇研究利用1990到2005年的美國資料,意圖探究公司治理和投資人情緒的價格敏感度的關係。也就是說當公司治理改變時,是否會使得投資人的情緒受到影響。我們發現具有以下特性的公司隨著公司治理變差較容易受到投資人情緒影響而改變報酬的公司:年輕的公司、市值較低的公司、低獲利能力的公司、不發股利的公司、具有成長機會及財務危機的公司。另外,我們也發現公司治理的差異會導致投資人情緒影響程度的不同。
The purpose of this paper tries to investigate the relationship between corporate governance and the sensitivity of the price of sentiment factor, i.e. sentiment beta. It is defined as a sensitivity of stock returns to sentiment change. We provide evidence that small stocks, young stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks and distressed stocks are easily affected by investor sentiment and the change of governance has effect on investor sentiment. In addition, we also find that the difference of corporate governance results in the difference of sentiment beta of the firms.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009539516
http://hdl.handle.net/11536/39362
Appears in Collections:Thesis


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