財務比例、公司治理與總體經濟對財務危機公司股價之關聯性—運用Ohlson模型

Abstract

本研究應用Ohlson(1995)股價評價模型，對財務危機公司進行實證，在模型中的非會計資訊加入公司治理與總體經濟變數，並以財務比率替代異常盈餘，整合並建立運用於財務危機公司的股價評價模型。其研究結果如下： 第一、原始Ohlson評價模型在正常公司實證結果中，帳面價值與異常盈餘對股價皆有顯著正向關係；在危機公司的結果中，只有帳面價值呈現顯著正向關係。第二、在危機公司的實證結果中，帳面價值、流動比率、資產週轉率、董監事持股率與股價加權平均對股價呈現顯著正向關係；而負債比率、經理人持股率與物價指數呈現顯著負向關係。第三、在實質財務危機公司的實證結果中，流動比率、資產週轉率、董監事持股率與股價加權平均對股價呈現顯著正向關係；而負債比率、經理人持股率與物價指數呈現顯著負向關係。第四、在準財務危機公司的實證結果中，帳面價值、董監事持股率與股價加權平均對股價呈現顯著正向關係；而負債比率呈現顯著負向關係。第五、在原始Ohlson評價模型加入財務比例、公司治理與總體經濟變數後，對財務危機公司的股價皆具有增額解釋能力。

This study is based on Ohlson (1995) equity valuation model to evaluate financially distressed company by incorporating several factors including corporate governance variables and macro-variables. In addition, financial ratios are used to replace the abnormal profit variable for integrating and constructing the model. The empirical results include five parts: First, book value and abnormal profit have significant and positive effects on stock price of normal company in original Ohlson model, but only book value affects the stock price of the crisis company. Second, book value, current ratio, asset turnover ratio, percentage of board holdings, and average stock price index all show significant positive effects on stock price of crisis company, while debt ratio, percentage of management holdings, and price index display significant negative effects on stock price. Third, Current ratio, asset turnover ratio, percentage of board holdings, and average stock price index have significant positive effects on stock price of real financial crisis company, while debt ratio, percentage of management holdings, and price index have significant negative effects on stock price. Forth, book value, percentage of board holdings, and average stock price index have significant positive effects on stock price of prospective financial crisis company while debt ratio has significant negative effects on stock price. Lastly, after considering financial ratios, corporate governance and macro-variables, the stock price of financial crisis company can be explained reasonably well by using adjusted model than the original Ohlson model.