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題名:Tobin'sQ與內部人持股關係研究-以台灣電子業為例
作者:洪儒瑤
作者(外文):Ju-yao Hung
校院名稱:國立臺北大學
系所名稱:企業管理學系
指導教授:古永嘉
學位類別:博士
出版日期:2006
主題關鍵詞:Tobin’s Q公司價值內部人持股代理理論鞏固地位假說行為財務展望理論價值函數Tobin’s QCorporate valueInternal shareholderAgency theoryEntrenchment hypothesisBehavioral financeProspect theory
原始連結:連回原系統網址new window
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本研究以台灣電子業上市上櫃公司為研究對象,從台灣經濟新報社 (TEJ) 資料庫中選取1999年至2004年共計六年之年資料,計189家公司之財務報表數據資料、董事、監察人、經理人、大股東等持股比率,以三階段最小平方法 (3SLS) 及近似不相關迴歸分析 (SUR) 驗證Tobin’s Q與內部人持股比率雙向關係;在Tobin’s Q與內部人持股比率三段轉折關係上,以三次複迴歸模式進行探討;而對於Tobin’s Q是否具有門檻值,則引用Burgstahler and Dichev (1997) z檢定模式加以驗證;而Tobin’s Q是否符合展望理論價值函數特性,則配適二次複迴歸模式並依據展望理論中價值函數三項特性進行比較。研究結果如下:
1.Tobin’s Q與董事持股比率呈負相關,亦與大股東持股比率變動呈負相關,顯示鞏固地位假說存在於台灣電子業董事與大股東。而公司規模與Tobin’s Q呈負向關係。
2.台灣電子業Tobin’s Q與內部人持股比率之關係非三段轉折關係,而是倒U型曲線,且其
轉折點約在持股比率47%至54%間。
3.前期Tobin’s Q值正向影響董事、監察人持股比率以及大股東持股比率之變動,符合賭資效果、過度自信等Kahneman and Tversky (1972) 所謂的捷思傾向之詮釋,且持股比率變動的解釋力高於持股比率。
4.Tobin’s Q有門檻值,且其值為1。
5.Tobin’s Q與內部人持股比率關係並不完全符合展望理論價值函數特性,但近似。
This paper examines the reciprocal relationships between the ratio of Tobin’s Q and internal shareholders using the Taiwanese electronic industry as the sample. The yearly data are drawn from the database of TEJ from 1999 to 2004 for a total sample size of 189 companies. The internal shareholders are further distinguished into three categories: board member, management team, and large shareholder. And the primary analytic methods are the three stage least square (3 SLS) and seemingly unrelated regression (SUR) for the reciprocal relationships. Then use the multiple regression of the third degree to investigate the three-phased-switching relationships between the Tobin’s Q and internal shareholders, the z-test model by Burgstahler and Dichev (1997) to examine if there are any thresholds for Tobin’s Q. Finally, apply the three features of value function to test if the ratio of Tobin’s Q matches the prospect theory value function. The results are as follows:
1.Negative relations exist between the ratio of Tobin’s Q and the shares of board members and the shares of large shareholders. This supports the hypothesis of managerial entrenchment in the Taiwanese electronic industry. The relationship between Tobin’s Q and the firm size is also negative.
2.The relationship between Tobin’s Q and internal shareholder is not a three- phased-switching figure but displays an inverted U-shape with the turning point between 47% and 54%.
3.The ratio of Tobin’s Q of previous period has a positive effect on the changes of the shares held by board members and large shareholders, showing the heuristics bias: the house money effect and over-confidence suggested by Kahneman and Tversky (1972). Yet the explaining power of the change of the shares is greater than the shares itself.
4.The ratio of Tobin’s Q does have a threshold, of which the value is 1.
5.Though the relationship between Tobin’s Q and internal shareholders does not exactly match the prospect theory value function, the result is close enough yet.
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