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題名：獨特性風險、報酬偏態與公司治理
作者：陳賢名
作者(外文)：Hsien-Ming Chen
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：林楚雄
學位類別：博士
出版日期：2008
主題關鍵詞：Panel Data Model；風險管理；公司治理；Risk Management；Corporate Governance；Panel Data Model
原始連結：連回原系統網址new window
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過去文獻對於公司治理之研究多著重於治理機制能否降低代理問題以提昇公司經營績效與股東財富，鮮少探討公司治理品質良窳能否降低公司之風險。因此，本研究以台灣股票市場為研究對象，探討內外部公司治理機制對於獨特性風險、股票報酬偏態之影響，期望找出降低公司風險之關鍵治理機制。
本研究主要考慮GARCH效果修正Xu & Malkiel (2003)直接分解法來估計獨特性風險；參考Bae, et al. (2006)對於報酬分配估計之方法，再考慮所有權結構、董事會特性、資訊透明度、經理人薪酬制度、產品市場競爭與法律制度規範等內、外部公司治理機制，並運用Panel Data Model以驗證公司治理機制之品質對於公司獨特性風險、報酬偏態以之影響。
本研究之貢獻在：第一、藉由內外部公司治理機制對於公司獨特性風險、報酬分配之探討，找出降低公司風險、提昇公司風險管理能力之重要治理機制；第二、拓展公司治理與風險管理之研究領域，並提供學術界與實務界有關公司治理對於降低公司風險之實證證據。
本研究發現較佳的公司治理品質，尤其內部公司治理機制愈好，公司獨特性風險愈低，股票報酬分配愈不易負偏。因此，建議台灣上市櫃公司應重視公司治理以降低股價波動與防止負的極端報酬出現的可能。
Most of prior studies mainly focus on whether the corporate governance mechanisms can reduce agency problems for improving firms’ performance and shareholders’ wealth. However, they pay less attention on how the quality of corporate governances impact on reducing firms’ risk. This study investigates how both internal and external corporate governance mechanisms impact firms’ idiosyncratic risk, return skewness based on the Taiwanese data. We expect to find out the key corporate governance mechanisms which can reduce firms’ related risk.
This study takes the GARCH effects into consideration and further modifies the measurement of idiosyncratic risk proposed by Xu & Malkiel (2003); estimates the return skewness based on the methodologies of Bae, et al. (2006). By the way, this study considers the internal and external corporate governances, such like ownership structure, board composition, managerial incentive, information transparency, legal infrastructure, and product market competition, will be used to evidence how they impact on firms’ idiosyncratic risk and return skewness through our panel data model.
The contributions of this study are, first, find out the key corporate governance mechanisms that can reduce firms’ risk and improve firms’ risk management through investigating how the internal and external corporate governance mechanisms influence firms’ idiosyncratic risk and return skewness. Second, this study extends the studies in corporate governance and risk management, and provides empirical evidences to the literature and suggestions to the market participants.
This study indicates that higher quality of internal corporate governance can decrease firms’ idiosyncratic risk, make return distribution less negative skewed. Hence, we propose the corporate governance should be respected by Taiwan listed firm for reducing stock price volatility and avoiding the occurrence of negative extreme return.
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