台灣上市櫃企業在高系統性風險事件下優於市場報酬的經營屬性與Tobin's Q關係之研究

Abstract

本研究觀察台灣上市櫃公司發生高系統性風險事件後，其企業經營屬性：產業類別、上市櫃別、股本規模、企業業齡、負債比率、獲利能力、營收成長、資金流動以及公司治理，對於企業評價指標Tobin's Q之關係。研究期間為2002年至2004年共三年。首先在未分類下觀察企業經營變數對於Tobin's Q之影響，再將樣本依據買進持有異常報酬（BHAR）作區分，分析在不同的長期股價表現績效下是否對市場評價造成差異。 實證結果顯示：一、在高系統性風險下，不論長期股價績效優劣，企業業齡與負債比率皆負向影響企業之評價；而高獲利能力，與較佳之資金流動率則有利於企業之評價；二、公司治理方面，經理人持股與法人持股正向影響Tobin's Q；三、「長期股價績效優於市場報酬」樣本之企業多屬非高科技產業，反之則多屬高科技產業；四、在高系統性風險下，高科技產業、董監持股及經理人持股比例對於「長期股價績效優於市場報酬」樣本之企業為正向影響Tobin's Q，反之則為負向影響。

This paper examines the relationship between Tobin’s Q and firm attributes following special events, namely, the “high systematic risk events”. We use data from TEJ in 2002 to 2004. The firm attributes that we used include industry type, whether the firm was listed or not, capital size, IPO ages, debt ratio, profitability, sales growth, liquidity and corporate governance. In addition, we classify the sample into two groups by BHAR (buy-and-hold abnormal returns) and analyze if there are any differences in market valuation by distinguished long-term performance of stock price. The results are as follows: 1. Under the high systematic risk events, without considering the BHAR groups, longer IPO ages and debt ratio are negatively related to market valuation, while higher profitability and higher liquidity are beneficial to market valuation. 2. In the aspect of corporate governance, manager and institution are positively related to Tobin’s Q, which are consistent with the convergence-of- interest hypothesis. 3. The firms in the category of “BHAR>0” are mostly belonging to traditional industry, and vice versa. 4. Under the high systematic risk, high-Tech industry, higher shareholding ratio of board and manager is positively related to market valuation in the “BHAR>0” group, and vise versa.