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題名：代理問題對公司風險報酬決策之干擾效果及對現金增減資公司績效之中介效果
作者：陳玉瓊
作者(外文)：Chen, Yu-Chiung
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：林婷鈴
劉錦添
學位類別：博士
出版日期：2020
主題關鍵詞：代理理論；管家理論；展望理論；現金增資；現金減資；自由現金流量；Agency Theory；Stewardship Theory；Prospect Theory；Seasoned Equity Offerings；Return of Capital
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本論文探討代理問題，包括代理問題於公司風險報酬決策之干擾效果，及代理問題於現金增減資公司績效之中介效果。
傳統經濟學主張風險與報酬為正向關係，惟展望理論指出個人之行為決策並非一致的風險趨避，而是採取追求風險及趨避風險之混合行為。上市公司股權由股東持有並委由專業經理人經營，存在委託人與代理人利益衝突之考量，與個人決策有別。本研究第一部分欲探討上市公司之風險報酬決策是否存在不一致情形，代理問題是否會影響上市公司風險與報酬之關係。實證數據使用臺灣經濟新報及彭博資料之上市公司1998~2017年資料，採用聯立公式估計風險及報酬兩變數的交互影響，公司風險模型包含客觀數據、外在環境變化及前瞻性因子。結果顯示參考點以上營運正常的公司，公司風險與報酬呈正相關，自由現金流量比率強化公司風險與報酬的正向關係，惟經理人持股比例不影響公司風險與報酬的關係；低於參考點營運不佳的公司，公司風險與報酬負相關，且較參考點以上公司陡峭，自由現金流量比率弱化公司風險與報酬的負向關係，經理人持股比例強化公司風險與報酬負向關係。本研究第一部分之研究貢獻為整合展望理論、代理理論及管家理論多重觀點，提出風險承擔之整合理論架構，以探討國內上市公司之風險報酬關係。
現金增資與現金減資為上市櫃公司於資本市場進行的活動，公司經理人進行現金增資或減資的決策，實為代理機制的範疇，本研究第二部分係探討現金增減資公司與一般公司之特徵是否有差異，及現金增減資是否會對公司績效造成影響，並研究代理問題是否 (部分) 中介現金增資及現金減資對公司績效之影響。實證數據使用金融監督管理委員會及臺灣經濟新報2000 ~ 2018年資料，以Logit模型探索現金增減資公司之特徵，並以Fama-French 三因子模型至階層迴歸分析以研究代理問題所扮演的中介角色。在現金增資部分，多屬擴張期、成長期企業，不管短期或長期績效，實證結果支持現金增資減少公司績效，考量自由現金流量後，現金增資對績效衰退影響幅度將下降；在現金減資部分，多屬衰退期企業，長期績效支持現金減資增加公司績效，惟自由現金流量不影響現金減資對績效的提升。本研究第二部分之研究貢獻為結合現金增資及減資研究，整理國內上市櫃公司之現金增資及減資資料，時間長且數據完整，並以代理問題觀點切入，俾瞭解其對公司營運績效的影響。
This dissertation attempts to analyze the impact of agency problem in risk-return decision of domestic listed companies and in seasoned equity offerings (SEOs) and return of capital (ROC) for company performance.
The prospect theory points out that individuals are not uniformly risk averse and adopt a mixture of risk seeking and risk averse behaviors. The shares of the listed company are held by the shareholders and it exists the conflict of interest between the principal and the agent. This dissertation attempts to explore whether the risk-return relationship of listed companies is inconsistent and whether the agency problem will influence the risk-return relationship of listed companies. I adopt simultaneous equations to estimate the interaction between two variables of risk and return. The results show that the risk-return relationship of the companies above the reference point is positive. The free cash flow ratio strengthens the positive relationship between the company’s risk and return and the share-holding ratio of the managers will not influence the relationship. The risk-return relationship of the companies below the reference point is negative and steeper than the companies above the reference point. The free cash flow ratio weakens the negative relationship and the share-holding ratio of the managers strengthens the negative relationship between the company’s risk and return.
SEOs and ROC are activities carried out by listed companies in the capital market. The decision of the company manager to engage in SEOs and ROC is actually in the scope of the agency mechanism. This dissertation explores the characteristics of SEOs and ROC companies and whether SEOs and ROC will affect the company's performance and whether the agency problem will (partially) mediate the impact of SEOs and ROC on company performance. I adopt Logit model to analyze the characteristics of SEOs and ROC companies and the Fama-French three-factor asset pricing model to hierarchical regression analysis to study the mediatory role of the agency problem. The empirical results support that SEOs companies are mostly in expansion or growth stage and SEOs reduce company performance, both in the short term and long term. After considering free cash flow, the effect of SEOs on performance declines. The results support that ROC companies are mostly in decline stage and ROC increases long-term company performance. However, free cash flow does not affect the performance of the companies engaging in ROC.
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