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題名:
Does Board Structure Have Effect on Extreme Loss and Return? Evidence from Taiwan’s Stock Investments
書刊名:
東亞論壇
作者:
陳宜伶
/
陳尚武
作者(外文):
Chen, Yi-ling
/
Chen, Winfred Sun-wu
出版日期:
2013
卷期:
479
頁次:
頁15-32
主題關鍵詞:
董事會結構
;
風險值
;
極值理論
;
一般柏拉圖分配
;
Board structure
;
Value-at-risk
;
Extreme value theory
;
Generalized Pareto Distribution
原始連結:
連回原系統網址
相關次數:
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:0
共同引用:0
點閱:21
本研究旨在探討台灣上市公司的董監結構特性是否對其股票投資報酬的極端風險具有影響效 果。本研究採用各個門檻風險值來衡量股票的潛在極端損失(獲利),並進一步探討其和四項董監結構 特性的關係。該四項特性分別以董事會規模、外部董監比例、執行長與董事長是否同一人、及獨立董 監的專業性等變數加以衡量。本研究的結果可以提供不論作多或放空的投資人在面臨股市劇烈波動時 做為擬定及執行選股策略的參考。
以文找文
This study intends to explore whether board structures characteristics have effect on the magnitude of extreme loss and return of firms’ stocks traded on Taiwan Stock Exchange. We use value-at-risk (VaR) thresholds to quantify the potential extreme loss that a stock may incur, and then examine their relationship significance with four board structure variables, including board size, the percentage of outside directors, the duality of CEO and chairman of the board, and the expertise of independent directors. The empirical results show that board size, board independence, and independence expertise have significantly negative influence on the size of extreme loss, but less significantly similar effect on the size of extreme return. In addition, CEO power has positive effect on the size of extreme loss, but loses its significance of impact on the size of extreme return almost completely. The decline of impact significance on positive return side may imply that short-sell investors could feel freer than buy-long investors to monitoring board structure divergence for controlling their extreme losses.
以文找文
期刊論文
1.
Coles, J. L.、Daniel, N. D.、Naveen, L.(2007)。Boards: Does One Size Fit All ?。Journal of Financial Economics。
2.
Davidson, W. N.、Pilger, T. III、Szakmary, A.(1998)。Golden Parachutes, Doard and Committee。Composition, and Shareholder Wealth. Financial Review,33,17-32。
3.
Hols, M. C.、De Vries, C. G.(1991)。The Limiting Distribution of Extremal Exchange Rate Returns。Journal of Applied Econometrics,6(3),287-302。
4.
Koedijk, K.、Nissen, F.、Schotman, P.、Wolff, C.(1997)。The Dynamics of Short-term Interest Rate Volatility Reconsidered。European Finance Review,1,105-130。
5.
Kroner, Kenneth F.、Harjes, Richard H.、Brenner, Robin J.(1996)。Another Look at Models of the Short Term Interest Rate。Journal of Financial and Quantitative Analysis,31(1),85-107。
6.
Lund, Jesper、Andersen, Torben G.(1997)。Estimating Continuous-Time Stochastic Volatility Models of The Short-Term Interest Rate。Journal of Econometrics,77,343-377。
7.
Balkema, A. A.、De Haan, L.(1974)。Residual life time at great age。Annals of Probability,2(5),792-804。
8.
Cyert, Richard M.、Kang, Sok-Hyon、Kumar, Praveen(2002)。Corporate governance, takeovers, and top-management compensation: Theory and evidence。Management Science,48(4),453-469。
9.
Boothe, P.、Glassman, P. D.(1987)。The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Implication。Journal of International Economics,22(3),297-320。
10.
Cotter, J.、Shivdasani, A.、Zenner, M.(1997)。Do Outside Directors Enhance Target Shareholder Wealth During Tender Offer Contests ?。Journal of Financial Economics,43(2),195-218。
11.
Bhojraj, S.、Sengupta, P.(2003)。Effect of corporate governance on bond ratings and yields: The role of institutional investors and the outside directors。The Journal of Business,76(3),455-475。
12.
Imhoff, E. A.(2003)。Accounting Quality, Auditing, and Corporate Governance。Accounting Horizons Supplement,17,117-128。
13.
Pickands, J. III(1975)。Statistical Inference Using Extreme Order Statistics。Annals of Statistics,3(1),119-131。
14.
Saunders, Anthony、Strock, Elizabeth、Travlos, Nickolaos G.(1990)。Ownership Structure, Deregulation, and Bank Risk Taking。The Journal of Finance,45(2),643-654。
15.
Ashbaugh-Skaife, Hollis D.、Collins, Daniel W.、LaFond, Ryan(2006)。The Effects of Corporate Governance on Firms' Credit Ratings。Journal of Accounting and Economics,42(1/2),203-243。
16.
Lipton, Martin、Lorsch, Jay W.(1992)。A Modest Proposal for Improved Corporate Governance。The Business Lawyer,48(1),59-77。
17.
Fama, Eugene F.、Jensen, Michael C.(1983)。Separation of ownership and control。The Journal of Law & Economics,26(2),301-325。
18.
Grinstein, Y.、Hribar, P.(2004)。CEO Compensation and Incentives: Evidence from M&A Bonuses。Journal of Financial Economics,73(1),119-143。
19.
Yermack, David(1996)。Higher market valuation of companies with a small board of directors。Journal of Financial Economics,40(2),185-211。
20.
Klein, April(1998)。Firm Performance and Board Committee Structure。The Journal of Law and Economics,41(1),275-304。
21.
Zahra, S. A.、Pearce, J. A. II(1989)。Boards of directors and corporate financial performance: a review and integrative model。Journal of Management,15(2),291-334。
22.
Jensen, Michael C.(1993)。The modern industrial revolution, exit, and the failure of internal control systems。The Journal of Finance,48(3),831-880。
23.
Byard, D.、Li, Y.、Weintrop, J.(2006)。Corporate Governance and the Quality of Financial Analysts' Information。Journal of Accounting and Public Policy,25(5),609-625。
24.
Gadhoum, Yoser、Ayadi, Mohamed A.(2003)。Ownership Structure and Risk: A Canadian Empirical Analysis。Quarterly Journal of Business and Economics,42(1/2),19-39。
25.
Hosking, J. R. M.、Wallis, J. R.(1987)。Parameter and Quantile Estimation for the Generalized Pareto Distribution。Technometrics,29(3),339-349。
26.
Vilasuso, J.、Katz, D.(2000)。Estimation of the Likelihood of Extreme Returns in International Stock Markets。Journal of Applied Statistics,27,119-130。
研究報告
1.
Demsetz, S. R.、Saidenberg, R. M.、Strahan, E. P.(1997)。Agency Problems and Risk Taking at Banks。Federal Reserve Bank of New York。
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