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題名:股東投票權-股價溢酬,交易量與委託書之研究
作者:黃一祥 引用關係
校院名稱:國立中央大學
系所名稱:財務管理研究所
指導教授:史綱
李志宏
學位類別:博士
出版日期:1999
主題關鍵詞:公司管理權代理成本股東投票權股票交易量
原始連結:連回原系統網址new window
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本文旨於探討投資者競爭管理權的交易動機(control-induced trade)對最後過戶日期間股價及交易量的影響,主要包括兩個部份,第一部份是建立分析的模式,第二個部份是基於本文模式與相關理論的預期,建立實証假說,並以臺灣民國83-86年上市公司為對象進行實証研究。分析模式主要擴展自Michaely與Vila(1995)的三期動態均衡模式,該模式原來是研究投資者稅負交易動機對除息日期間股價與交易量的影響。本文模式指出投票權除權日預期股價溢酬及異常交易量的決定因素,包括公司代理成本、管理權競爭程度、除權日交易風險、投資者交易結構、以及管理股東委託書的証券法規。
臺灣証期會在民國85年底增修股東委託書管理法規中,明訂自民國86年以後禁止委託書的價購行為,該增修委託書管理法規之經驗,適足以驗証本文模式及相關未實証理論之爭議,本研究不僅增進對臺灣証券市場的認識,亦有助於瞭解公司控制市場(the market for corporate control)。本文採用三種不同統計量進行顯著性的檢定,分別為傳統法[Brown與Warner(1980)]、異常報酬率標準化法[Patell(1976)及Dodd與Warner(1983)]、以及符號檢定法(Sign test)[Lummer與McConnell (1989)]。並以橫斷面迴歸分析競爭管理權的交易動機對股東投票權價值,及最後過戶日期間交易量的影響。
整體而言,實証結果與模式預期及現存相關研究一致。本文並探討股票流動性變數(週轉率與買賣價差)的可能影響,實証結果並不因控制流動變數後,而產生顯著的改變,主要結論有以下幾點:
1. 當股東委託書可以買賣時,預期股價溢酬為代理成本及管理權競爭程度的遞增函數,以及除權日交易風險的遞減函數。實証發現在民國83-85年期間,公司前一年股票市值、董監事持股比率、以及總資產報酬率對投票權價值有顯著解釋能力,而且,結果不因控制流動變數後有顯著改變。其次,除權日交易風險對異常週轉率的解釋能力雖低,但是其結果不受資產管理效率的影響。
2. 在禁止股東委託書買賣後,預期股價溢酬與異常交易量為代理成本的遞增函數,並為除權日交易風險的遞減函數,但是不受管理權競爭程度的影響。在民國86年委託書禁止買賣的期間,董監事持股比率及總資產報酬率對投票權價值有顯著解釋能力,迴歸係數符號並與模式預期一致,結果亦不因控制流動變數後有顯著改變。股票報酬標準差對異常週轉率有顯著解釋能力,迴歸係數符號與模式預期一致,結果亦不因控制資產管理效率後有明顯改變。
3. 本文實証發現臺灣上市公司的投票權價值,在民國86年禁止價購股東委託書後有顯著增加的現象,與Blair,Golbe與Gerard(1989)的理論預期一致。以董監事成員在民國83及86年,改選後均有異動董監事組合的結果來估計,投票權價值平均增加約1.37﹪。
4. 基於臺灣上市公司的實証結果,本文支持Manne(1962)提出的投票權價值假說。以董監事改選後,董監事成員有更換的組合為例,臺灣上市公司的平均投票權價值約為1.68﹪。
一、中文部份

汪青萍,委託書收購、經理人職位異動暨股東財富,中央大學財務管理研究所碩士論文,民國83年6月。

林青如,委託書收購決定因素之探討-相關文獻回顧與臺灣實証研究,中央大學財務管理研究所碩士論文,民國81 年6月。

林炯垚與沈中華,上市公司出售長期資產事件之宣告效果-GARCH模式之應用,證券市場發展季刊 8,民國85年10 月,頁1-22。

邱美惠,委託書收購對股東財富暨經理人職位安全之影響,中央大學財務管理研究所碩士論文,民國81年6月。

周賓凰與蔡坤芳,臺灣股市日資料特性與事件研究法,証券市場發展季刊,第9卷第2期,頁1-25。

劉玉珍與藍新仁,臺灣集中交易市場與櫃檯買賣市場之變現能力分析,證券市場發展季刊 21,民國83年1月,頁 79-101。

蔡金拋,高靜遠,及范明玲,現行公開發行公司股東會制度與相關法規探討,會計研究月刊 137,民國86年4月, 頁15-43。

蔡坤芳,臺灣股市日資料與事件研究法,中央大學財管所碩士論文,民國85年6月。new window

諸葛祺,我國委託書制度及其管理問題之探討與建議,證交資料 ,民國85年12月,頁1-11。

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