:::

詳目顯示

回上一頁
題名:公司治理、資本預算與人力資源對企業股價波動度影響
作者:白維澤
作者(外文):PAI, WEI-TSE
校院名稱:國立彰化師範大學
系所名稱:財務金融技術學系
指導教授:謝企榮
學位類別:博士
出版日期:2023
主題關鍵詞:股價報酬率股價報酬率波動度總體經濟因子公司經營績效公司治理Stock Return RateVolatility of Stock Return RateMacroeconomic FactorsCorporate Operational PerformanceCorporate Governance
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:0
企業的獲利能力、股價報酬率、經營效率以及公司治理的品質一直以來都是學者研究以及投資人評估的指標;然而,風險控管對投資人來說也極為重要。因此,本研究針對總體經濟、產業特性、公司經營績效及公司治理等多方面因素如何影響股價報酬率及其波動度來做分析。
我們研究發現經濟成長率、失業率、EPS、ROA、ROE等因子與股價報酬率有正相關;而利率、躉售物價指數等因子則與股價報酬率成負相關。董監持股、負債比率等與股價報酬率波動度正相關,而資產總額與公司成立年份則與之負相關。對於追求高報酬的投資人,考量經濟成長率、失業率、EPS、ROA和ROE等因子可能是策略上的首選;而保守的投資者,選擇資產規模大或成立時間長的企業較佳。政府監管單位則可透過董監持股和負債比率這2個因子去判斷企業的風險程度。
The profitability, stock return rate, operational efficiency, and corporate governance quality of companies have long been indicators for scholars to study and investors to evaluate. However, risk management is also paramount to investors. Thus, this research focuses on how macroeconomic factors, industry characteristics, corporate performance, and corporate governance influence the stock return rate and its volatility.
We found that factors such as economic growth rate, unemployment rate, EPS, ROA, and ROE have a positive correlation with stock return rates. Conversely, interest rates and wholesale price indices are negatively correlated with stock return rates. Board ownership and debt ratio are positively related to stock return volatility, while total assets and company establishment years are negatively related. For investors seeking high returns, considering factors like economic growth rate, unemployment rate, EPS, ROA, and ROE may be the top strategic choices. Conservative investors might favor companies with larger asset sizes or longer establishment histories. Regulatory authorities can use board ownership and debt ratio as indicators to gauge the risk level of a company.
中文文獻
1.張慧娟(2023)。期貨價差,成交量和總體經濟因子之間的關係-以美國,台灣和日本為例。國立虎尾科技大學,財務金融碩士論文。
2.程企鎔(2022)。台灣銀行業資產品質之總體壓力測試:總體經濟因子之影響。國立臺北大學,企業管理碩士論文。
3.劉剛睿(2017)。重大資本支出對當年度股價報酬的影響。國立高雄大學,金融管理碩士論文。
4.張凱評(2016)。投資用途現金增資對股價的影響。國立高雄大學,金融管理碩士論文。
5.李耕年(2011)。景氣循環下資本支出對股價的影響 -以台灣半導體產業為例。長榮大學,經營管理碩士論文。
6.葉集賢(2009)。研發支出及資本支出對企業經營績效之影響--以臺灣半導體產業為例。國立成功大學,企業管理碩士論文。
7.林禎禧(2017)。營運資金及資本支出對企業經營績效之影響-以臺灣冷凍食品為例。東海大學,財務金融碩士論文。
8.武良政(2017)。公司治理評鑑系統對企業盈餘管理行為之影響。國立中正大學,會計與資訊科技碩士論文。
9.劉碧青(2022)。公司治理評鑑公布結果對股票報酬率之影響。銘傳大學,財務金融碩士論文。
10.洪玉珊(2016)。公司治理評鑑結果對股價之影響。輔仁大學,會計碩士論文。
11.劉玉聖(2021)。投資人反應與公司治理評鑑結果產業競爭程度之影響。銘傳大學,會計碩士論文。
12.李淑懷(2017)。我國公司治理評鑑結果與經營績效及企業價值之影響分析。國立臺北大學,國際財務金融碩士論文。
13.張伏見(2016)。公司治理評鑑與法人持股比例及公司績效之探討-以電子工業為例。國立臺北大學,會計碩士論文。
14.卓品儀(2022)。獨立董事的特徵對市場績效的影響。國立中正大學,會計與資訊科技碩士論文。
15.陳韋廷(2018)。公司治理評鑑與內部控制缺失之關聯。逢甲大學,會計碩士論文。
16.黃莊紋(2018)。公司治理評鑑結果與企業風險關聯性分析 -以台灣上市櫃公司為例。國立高雄應用科技大學,資訊管理碩士論文。
17.張又文(2018)。公司治理評鑑、信用風險控管與企業社會責任對財務績效之影響。朝陽科技大學,財務金融碩士論文。
18.陳瑞呈(2020)。人力資本、研發對企業經營績效之影響兼論 公司治理之干擾-以台灣電子業為例。中國文化大學,國際企業管理博士論文。
19.王芯儀(2021)。五因子模型於台灣股票市場報酬的實證研究。國立中央大學,財務金融碩士論文。
20.曾怡嘉(2021)。因子投資在不同景氣階段的表現。國立臺灣大學,財務金融碩士論文。
21.田翔宏(2020)。成長股之獲利能力溢酬。國立交通大學,財務金融碩士論文。
22.羅致遠(2021)。以台灣股票市場檢驗q5因子模型。國立臺灣大學,財務金融碩士論文。
23.陳冠名(2020)。q 因子模型在台灣股票市場有效性檢驗。國立清華大學,財務金融碩士論文。
24.劉翰儒(2022)。探討影響股價波動度因子之研究-以建設類股為例。國立彰化師範大學,財務金融技術碩士論文。
25.黃溢濠(2015)。資本支出與未來績效關聯性之研究。 國立雲林科技大學會計系碩士論文
26.汪瑞芝(2006)。會計與公司治理
27.王育偉(2013)。公司治理,資本支出決策與公司價值。管理與系統,20(4),665-695。
28.丁秀儀 & 翁天龍(2013)。忙碌獨立董事可以降低公司績效波動性嗎?證券市場發展季刊,25(2),161-194。

二、英文文獻
1.Adam, A. M., & Tweneboah, G. (2008). Macroeconomic factors and stock market movement: Evidence from Ghana. Available at SSRN 1289842.
2.Li, L. (2002). Macroeconomic factors and the correlation of stock and bond returns. Available at SSRN 363641.
3.Bonelli, M. I. (2023). Macroeconomic Factors and SENSEX Performance in India: Unveiling the Post-Liberalization Era (1980-2020). Indian Journal of Research in Capital Markets, Forthcoming.
4.Urom, C., Ndubuisi, G. O., & Guesmi, K. Global Macroeconomic Factors and the Connectedness Among Nfts And (Un) Conventional Assets. Available at SSRN 4503619.
5.Cho, C., Yang, J., & Jang, B. Spectrum of Influence: Heterogeneous Macroeconomic Factors' Effects on Stocks Based on Size, Style, and Sector in the South Korean Market. Available at SSRN 4524102.
6.Rabinovich, J. (2022). The evolving contribution of R&D, advertising and capital expenditures for US-listed firms’ growth in sales, 1979-2018. A quantile regression analysis. Available at SSRN 4014537.
7.Canace, T. G., Jackson, S. B., & Ma, T. (2018). R&D investments, capital expenditures, and earnings thresholds. Review of Accounting Studies, 23, 265-295.
8.Choi, J. K., Hann, R. N., Subasi, M., & Zheng, Y. (2020). An empirical analysis of analysts' capital expenditure forecasts: evidence from corporate investment efficiency. Contemporary Accounting Research, 37(4), 2615-2648.
9.Kim, S., Saha, A., & Bose, S. (2021). Do capital expenditures influence earnings performance: Evidence from loss‐making firms. Accounting & Finance, 61, 2539-2575.
10.Can, G., Günay, S., & Ocak, M. (2021). How does size affect capital expenditures? Evidence from Borsa Istanbul. SN Business & Economics, 1, 1-28.
11.Dumitrescu, A., & Zakriya, M. (2022). Governance, information flow, and stock returns. Journal of Corporate Finance, 72, 102168.
12.Kurniati, S. (2019). Stock returns and financial performance as mediation variables in the influence of good corporate governance on corporate value. Corporate Governance: The International Journal of Business in Society, 19(6), 1289-1309.
13.Alanazi, A. S., & Alhoqail, S. A. (2019). CORPORATE GOVERNANCE AND FIRMS STOCK RETURNS IN THE EMERGING MARKET. Risk Governance & Control: Financial Markets & Institutions, 9(3).
14.Rostami, S., Rostami, Z., & Kohansal, S. (2016). The effect of corporate governance components on return on assets and stock return of companies listed in Tehran stock exchange. Procedia Economics and Finance, 36, 137-146.
15.Satt, H., Chetioui, Y., Ouahidi, O., Bodolica, V., & Lamiri, D. (2022). Capital expenditure and firm value in the MENA region: the role of market competition and information asymmetry. Macroeconomics and Finance in Emerging Market Economies, 1-20.
16.Salimah, Y. H., & Herliansyah, Y. (2019). The effect of capital expenditure, company growth and company size on firm value through financial performance moderated by capital structure. Corporate Ownership & Control, 17(1), 236-244.
17.Ullah, S., Irfan, M., Kim, J. R., & Ullah, F. (2021). Capital expenditures, corporate hedging and firm value. The Quarterly Review of Economics and Finance.
18.Engle, R. F., & Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The review of financial studies, 21(3), 1187-1222.
19.Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The review of financial studies, 3(2), 281-307.
20.Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: why do emerging markets have synchronous stock price movements?. Journal of financial economics, 58(1-2), 215-260.
21.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
22.Minton, B. A., & Schrand, C. (1999). The impact of cash flow volatility on discretionary investment and the costs of debt and equity financing. Journal of financial economics, 54(3), 423-460.
23.Schwert, G. W. (1990). Stock returns and real activity: A century of evidence. The Journal of Finance, 45(4), 1237-1257.
24.Hahn, S., Momtaz, P. P., & Wieandt, A. (2023). The economics of banking regulation in Europe: does the post-GFC bail-in regime effectively eliminate implicit government guarantees?. The European Journal of Finance, 29(7), 700-725.
25.Pandey, D. K., Hassan, M. K., Kumari, V., & Hasan, R. (2023). Repercussions of the Silicon Valley Bank collapse on global stock markets. Finance Research Letters, 55, 104013.
26.Białkowski, J., Gottschalk, K., & Wisniewski, T. P. (2008). Stock market volatility around national elections. Journal of Banking & Finance, 32(9), 1941-1953.
27.Schneider, G., & Troeger, V. E. (2006). War and the world economy: Stock market reactions to international conflicts. Journal of conflict resolution, 50(5), 623-645.
28.Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of financial economics, 43(2), 153-193.
29.Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum stragegies in the international equity markets. Journal of financial and quantitative analysis, 35(2), 153-172.
30.Prices, C. A. (1964). A theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425-444.
31.Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The journal of finance, 20(4), 587-615.
32.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
33.Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22.
34.Hou, K., Mo, H., Xue, C., & Zhang, L. (2021). An augmented q-factor model with expected growth. Review of Finance, 25(1), 1-41.
35.Stambaugh, R. F., & Yuan, Y. (2017). Mispricing factors. The review of financial studies, 30(4), 1270-1315.
36.Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of financial economics, 128(2), 234-252.
37.Campbell, J. Y. (1996). Understanding risk and return. Journal of Political economy, 104(2), 298-345.
38.Lin, P., Ma, S. H., & Robert, F. The Extra Value of Online Investor Sentiment Measures on Forecasting Stock Return Volatility: A Large-Scale Longitudinal Evaluation Based on Chinese Stock Market. Available at SSRN 4460034.
39.Senthilnathan, S. (2020). Capital Budgeting–The Tools for Project Evaluation. Available at SSRN 3748067.
40.Ali Shah, S. Z., & Akbar, S. (2008). Value relevance of advertising expenditure: A review of the literature. International Journal of Management Reviews, 10(4), 301-325.
41.Sharma, S. K., Gupta, V., Kadhiravan, T., Banga, A., Seith, A., Kumar, A., ... & Kavimandan, A. A. (2009). A prospective study of risk factor profile & incidence of deep venous thrombosis among medically-ill hospitalized patients at a tertiary care hospital in northern India. Indian Journal of Medical Research, 130(6), 726-730.
42.Wirth, C., Chi, J., & Young, M. (2013). The economic impact of capital expenditures: Environmental regulatory delay as a source of competitive advantage?. Journal of Business Finance & Accounting, 40(1-2), 115-141.
43.Cordis, A. S., & Kirby, C. (2017). Capital expenditures and firm performance: evidence from a cross‐sectional analysis of stock returns. Accounting & Finance, 57(4), 1019-1042.
44.Hovakimian, G., & Titman, S. (2003). Corporate investment with financial constraints: Sensitivity of investment to funds from voluntary asset sales.
45.Kim, S., Saha, A., & Bose, S. (2021). Do capital expenditures influence earnings performance: Evidence from loss‐making firms. Accounting & Finance, 61, 2539-2575.
46.Pinkowitz, L., Stulz, R., & Williamson, R. (2006). Does the contribution of corporate cash holdings and dividends to firm value depend on governance? A cross‐country analysis. The Journal of Finance, 61(6), 2725-2751.
47.Belo, F., Li, J., Lin, X., & Zhao, X. (2017). Labor-force heterogeneity and asset prices: The importance of skilled labor. The Review of Financial Studies, 30(10), 3669-3709.
48.Kuehn, L. A., Simutin, M., & Wang, J. J. (2017). A labor capital asset pricing model. The Journal of Finance, 72(5), 2131-2178.
49.Shijin, S., Gopalaswamy, A. K., & Acharya, D. (2012). Dynamic risk‐return relation with human capital: a study on Indian markets. International Journal of Emerging Markets, 7(2), 146-159.
50.Roy, R., & Shijin, S. (2018). A six-factor asset pricing model. Borsa Istanbul Review, 18(3), 205-217.
51.Racicot, F. E., & Rentz, W. F. (2017). A panel data robust instrumental variable approach: A test of the new Fama-French five-factor model. Applied Economics Letters, 24(6), 410-416.
52.Khan, M., Kayani, U. N., Khan, M., Mughal, K. S., & Haseeb, M. (2023). COVID-19 Pandemic & Financial Market Volatility; Evidence from GARCH Models. Journal of Risk and Financial Management, 16(1), 50.
53.Baker, H. K., & Jabbouri, I. (2016). How Moroccan managers view dividend policy. Managerial Finance, 42(3), 270-288.
54.Alti, A. (2003). How sensitive is investment to cash flow when financing is frictionless?. The journal of finance, 58(2), 707-722.
55.Tole, T., McCord, S. O., & Pugh, W. N. (1992). How Cash Flow Pays Dividends. Public Utilities Fortnightly, 130, 21-21.
56.Claessens, S., & Fan, J. P. (2002). Corporate governance in Asia: A survey. International Review of finance, 3(2), 71-103.
57.Farinha, J. (2003). Dividend policy, corporate governance and the managerial entrenchment hypothesis: an empirical analysis. Journal of Business Finance & Accounting, 30(9‐10), 1173-1209.
58.Al‐Najjar, B., & Hussainey, K. (2009). The association between dividend payout and outside directorships. Journal of Applied Accounting Research, 10(1), 4-19.
59.Mielcarz, P., Osiichuk, D., & Wnuczak, P. (2018). Working capital management through the business cycle: Evidence from the corporate sector in Poland. Contemporary EcoOnomics, 12(2), 223-236.
60.Chen, Y. R. (2008). Corporate governance and cash holdings: Listed new economy versus old economy firms. Corporate Governance: An International Review, 16(5), 430-442.

 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE