Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/119902
|
| Title: | 標竿企業資訊內涵及投資價值之研究-以台灣上市公司為例
A Study of Information Content and Investment Value of Taiwan’s Most Admired Listed Firms |
| Authors: | 甘宸鍏
Gan, Chen-Wei |
| Contributors: | 周冠男
Chou, Robin K.
甘宸鍏
Gan, Chen-Wei |
| Keywords: | 天下雜誌
企業聲望
標竿企業
事件研究
資訊內涵
效率市場假說
行為財務學
異常報酬率
異常周轉率
超額報酬
過度反應
反應不足
投資價值
CommonWealth Magazine
Corporate reputation
Benchmark corporate
Event study
Information content
Efficient market hypothesis(EMH)
Behavioral finance
Abnormal returns
Abnormal turnover
Excess returns
Overreaction
Under-reaction
Investment value |
| Date: | 2018 |
| Issue Date: | 2018-09-03 15:50:32 (UTC+8) |
| Abstract: | 本研究以天下雜誌1994~2016年歷次所公佈「台灣最佳聲望標竿企業調查」結果，選取每年排名前十名的上市標竿企業作為樣本，實證分析這些不同的標竿企業獲獎訊息是否具有資訊內涵外；同時也進一步分析這些天下標竿企業所形成的投資組合報酬是否能打敗同時期的市場大盤，具有標竿企業投資組合之價值等。
本研究分別採取事件研究法(Event Study)、統計t檢定以及單變量變異數分析(OneWay ANOVA)等工具分別進行相關實證研究。此外，本研究進一步依照標竿企業在產業別、名次別、入榜次數別、累計入榜次數百分比別、名次順序變化、首次進榜與再次進榜等各項不同分類，並進一步以變異數分析(ANOVA)，實證各類累積平均超額報酬是否具有顯著差異。
有關標竿企業的資訊內涵方面，本研究發現全體標竿在事件日前，獲獎訊息可能已提前釋出，包括平均累計異常報酬率(Cumulative Abnormal Return rate；CAR)由上升轉為下降，呈現過度反應現象；至於平均異常周轉率(Cumulative Abnormal Turnover rate；CAT)也由下降轉為上升趨勢，代表交易開始出現活絡現象。電子業在事件日前先呈現過度反應；事件日之後，在投資人相對惜售下，則開始出現反應不足現象；傳產業及服務業在交易上則相對較為活絡。
排名1-3名，也在投資人相對較為惜售下，平均累計異常報酬率(CAR)開始持續上升，有反應不足現象；至於排名4-7名及8-10名等，則在買賣雙方的投資人均逐漸增加下，則呈現出過度反應的現象。入榜次數最高15-21次，在買方投資人增加及賣方相對惜售之下，其平均累計異常報酬率(CAR)由原本下降轉為上升，並開始有反應不足現象；至於入榜次數1-7次，其平均累計異常周轉率(CAT)持續降低，相對是較為泛人問津，並有過度反應現象。
新進榜的平均累計異常報酬率(CAR)則仍持續呈現下降，代表股價仍有過度反應現象。此外，包括排名持平及排名下降等，則均呈現平均累計異常報酬率(CAR)緩步上升趨勢，開始出現反應不足現象。在事件日之後，在投資人持續增加出脫下，新進榜的平均累計異常報酬率(CAR)仍持續呈現下降，代表股價仍有過度反應現象；而排名下降者，則因受到買方開始積極介入下，平均累計異常報酬率(CAR)由下降開始轉為上升，開始出現反應不足現象。至於排名上升的平均累計異常周轉率(CAT)大幅下降，推測原因之一可能是賣方惜售所致。
有關標竿企業的投資價值方面，本研究發現全體標竿投資組合報酬顯著優於大盤；且在產業、名次、累計入榜次數百分比、入榜次數8次以上、名次持平、下降、首次及再次進榜等，其累積平均報酬率也都優於市場大盤。此外，電子業、排名前三名、入榜次數15-21次、累計入榜次數百分比居中及名次變動持平等，都具有較高累積平均超額報酬。
最後，本研究也發現標竿企業全體投資組合價值(超額報酬率)，確實會受到投資期間的長短而有不同的績效表現；且當投資持有期間愈長者，則相對具有較佳的投資報酬。而在長期投資方面，則分別以電子業、名次1-3名、入榜次數15-21次、名次變動持平者等均具有較高的投資價值(超額報酬率)。此外，本研究也發現不論是全體企業標竿或是其它各類的標竿企業等，投資者均不宜過遲進行標竿企業投資組合。
綜合上述相關實證的研究結果，除代表標竿企業具有潛在投資價值外，也隱含效率市場假說未必存在於標竿企業的投資決策。
關鍵字：
天下雜誌、企業聲望、標竿企業、事件研究、資訊內涵、效率市場假說、行為財務學、異常報酬率、異常周轉率、超額報酬、過度反應、反應不足、投資價值
This study uses the results of 21 surveys of the "Taiwan`s Most Admired Listed Firms " published by CommonWealth Magazine(天下雜誌) from 1994 to 2016, and the study selects the top ten Taiwan`s most admired listed companies in these year as samples. This study empirically analyzes whether the Taiwan`s most admired listed firms have information content; and at the same time, the study also further analyzes whether the investment portfolio of the Taiwan`s most admired listed firms can defeat the stock market of the same period and has the investment portfolio value.
This study used the event study method, statistical t-test and one way ANOVA to conduct relevant empirical research. In addition, this study further follows the different categories of the Taiwan`s most admired listed firms. Including the industry, ranking, numbers of entries, accumulated percentage of entries, ranking changes, first entry and re-entry and the study uses oneway ANOVA method to test whether there is a significant difference in the cumulative average excess returns.
Regarding the information content of the Taiwan`s most admired listed firms, this study finds that all of the most admired listed firms may have been released in advance before the event date, including the Cumulative Abnormal Returns Rate (CAR) from rising to falling, indicating that the reaction was overreaction, and the Cumulative Abnormal Turnover Rate (CAT) also changed from from falling to rising, indicating that the transaction began to appear active. The electronics industry showed an overreaction before the event day; after the event day, when investors were relatively reluctant to sell, indicating that the reaction was under-reaction. The traditional industry and service industry were both relatively active in trading.
The Ranking 1-3, these average cumulative abnormal returns rate (CAR) began to rise and the reaction was under-reaction. But the rankings of 4-7 and 8-10, the investors (buyers and sellers) gradually increases to trade and the reaction was overreaction. The 15-21 times of entries, under the increase of the buyer and the relative reluctance of the seller, the average cumulative abnormal returns rate (CAR) changed from falling to rising, and the reaction was under-reaction. As for the 1-7 times of entries, the average cumulative abnormal turnover rate (CAT) continues to decrease, which is relatively less popular and overreacted.
The average cumulative abnormal returns rate (CAR) of the first entry continues to decline, indicating that the reaction was overreaction. In addition, including the flat and declining of ranking changes, the average cumulative abnormal returns rate (CAR) continues to rise and the reaction was under-reaction. After the event day, as the investors continue to sell stocks, the average cumulative abnormal returns rate (CAR) of the first entry continues to decline, indicating that the reaction was overreaction. The declining of rankings changes, because the buyer began to actively buy stocks and the average cumulative abnormal return rate (CAR) from falling to rising, and the reaction was under-reaction. As for the average cumulative abnormal turnover rate (CAT) of the rising ranking changes has fallen sharply. One of the reasons may be that the seller is reluctant to sell.
Regarding the investment portfolio value of the Taiwan`s most admired listed firms, this study finds the overall investment portfolio value is significantly better than the stock market of the same period; and including the industry, rankings, accumulated percentage of entries, more than 8 times of entries, the flat and declining ranking changes, first entry and re-entry, the cumulative average rate of returns are also better than the stock market. In addition, including the electronics industry, the ranking 1-3, the 15-21 times of entries, the accumulated percentage of entries in the middle and the flat ranking changes, all of above have a higher cumulative average excess returns.
Finally, this study also finds that the investment portfolio value (excess rate of returns) of the Taiwan`s most admired listed firms does have different performances depending on the length of the investment period; and the longer of the investment period, the better of the returns on investment. In terms of long-term investment, including the electronics industry, rankings of 1-3, rankings of 15-21 times, and the flat ranking changes, all of above have higher investment value (excess rate of returns). In addition, this study also finds that investors should not delay to invest the portfolios, whether they are all or other categories of the Taiwan`s most admired listed firms.
The study shows not only the potential investment portfolio value of the Taiwan`s most admired listed firms, but also the above empirical results imply that the efficiency market hypothesis(EMH) does not necessarily exist in the investment decision of the Taiwan`s most admired listed firms.
Keywords：
CommonWealth Magazine、Corporate Reputation、Benchmark Corporate、Event Study、Information Content、Efficient Market Hypothesis(EMH)、Behavioral Finance、Abnormal Returns、Abnormal Turnover、Excess Returns、Overreaction、Under-reaction、Investment Value |
| Reference: | Anderson, J. and G. Smith, (2006). A Great Company Can Be a Great Investment. Financial Analysts Journal, 62, 86-93.
Anginer, Deniz and Meir Statman, (2010). Stocks of Admired and Spurned Companies. Journal of Portfolio Management, 36: 71-77.
Antunovich, P. and D. S. Laster, (1998). Do Investors Mistake a Good Company for a Good Investment. Federal Reserve Bank of New York.
Antunovich, P., D. Laster and S. Mitnick, (2000). Are High -Quality Firms also High-Quality Investments. Current Issues in Economics and Finance 6.
Bannister, B. B., (1990). In Search of Excellence: A portfolio Management Perspective, Technical notes. Financial Analysts Journal, 46: 68-71.
Barberis, N., A. Shleifer, and R. Vishny, (1998). A model of investor sentiment Journal of Financial Economics, 49(3): 307-343.
Bauman, W. S., C. M. Conover, and D. R. Cox, (2002). Are the Best Small Companies the Best Investments. The Journal of Financial Research, 25:169-186.
Brammer, S., C. Brooks and S. Pavelin, (2004). Corporate Reputation and Stock Returns: Are Good Firms Good for Investors. Working Paper.
Caves, R. E., & Porter, M. E., (1977). From Entry Barriers to Mobility Barriers: Conjectural Decisions and Contrived Deterrence to New Competition. Quarterly Journal of Economics, 91: 241-261.
Chung, S. Y., K. Eneroth and T. Schneeweis, (1999). Corporate Reputation and Investment Performance: The UK and US Experience. University of Massachusetts, Amherst.
Clayman, M., (1987). In Search of Excellence: The Investor’s Viewpoint. Financial Analysts Journal 43:54-63.
De Bondt and Thaler, (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3):793-805.
De Long, J. B., Shleifer, A., Summers, L. H., Waldmann, R. J., (1990a). Noise trader risk in financial markets. Journal of Political Economy, 98: 703–738.
DeBondt, W. F. M. and R. H. Thaler, (1987). Further Evidence on Investor Overreaction and Stock Market Seasonality. The Journal of Finance, 42:557-581.
Fama, (1965). The behavior of stock-market prices, Journal of Business, 38. 34-105.
Fombrum, C. & Shanley, M., (1990). What’s in a name? Reputation building and corporate strategy. Academy of Management Journal, 33(2): 233-258.
Froot, K., D. Scharfstein and J. Stein, (1992), Herd on the Street: Informational Inefficiencies in a Market with Short-term Speculation, Journal of Finance, 47. 1461-1484
G. Smith., (2016), Great Company, Great Investment Revisited. Financial Analysts Journal, 34-39.
Gray, Edmund R., & John MT Balmer., (1998). Managing corporate image and corporate reputation. Long range planning, 31(5): 695-702.
Jegadeesh, Narasimhan and Sheridan Titman., (1993).Returns to buying winners and selling losers：Implications for stock market efficiency. Journal of Finance, 48, 2143-2184.
Kolodny, R., M. Laurence and A. Ghosh, (1989). In search of Excellenc….for whom? Journal of Portfolio Management 15: 56-60
Moskowitz, M., (1972). Choosing socially responsible stocks. Business and Society Review, 1(1): 71-75.
Roberts, P. W., & Dowling, G. R., (2002). Corporate reputation and sustained superior financial performance. Strategic management journa,. 23(12):1077-1093.
Shefrin, H. and Statman, M., (2000). Behavioral Portfolio Theory. Journal of Finance and Quantitative Analysis, 35(2): 127-151.
Shefrin, H., (2002). Beyond Greed and Fear- Understanding Behavioral Finance and the Psychology of Investing. Oxford University Press.
Solt, M. E. and M. Statman, (1989). Good Companies, Bad Stocks-The inverse relationship is familiar but why are good stocks such a bad buy? The Journal of Portfolio Management 15: 39-45.
Statman, Mier, Kenneth L. Fisher, and Deniz Anginer., (2008). Affect in a Behavioral Asset-Pricing Model. Financial Analysts Journal .64:20-29.
Vance, S., (1975). Are socially responsible firms good investments risks? Management Review 64(8):18-24.
天下雜誌編輯部(1998)。標竿企業聲望調查。天下雜誌，210，72-84。
王韻怡、池祥萱、周冠男，(2016)。行為財務學文獻回顧與展望:台灣市場之研究。經濟論文叢刊， 44:1 1–55。
甘家偉(1997)。會計盈餘與現金流量之資訊內涵-暫時性盈餘干擾下之探討。未出版之碩士論文，國防管理學院，資源管理研究所，新北市。
甘宸鍏(2014)。不同產業及持股週轉率對機構法人處分效果比較研究-以台灣上市公司為例。未出版之碩士論文，國立台北大學，企業管理學系碩士班，新北市。
余政樺(2007)。企業聲望、投資人特質以及投資人選股意願之分析。未出版之碩士論文，中國文化大學，國際企業管理研究所，台北市。
吳尚禹(2011)。企業聲望評比與產業標竿之構形。未出版之碩士論文，國立東華大學，企業管理學系碩士班，花蓮縣。
李吉仁、吳相勳，(2014)。從卓越到長青的關鍵決策：標竿龍頭企業屹立20年的制勝心法。台北市：天下雜誌編輯部。
李禎、李有容及蔡佳妤(2011)。天下雜誌標竿企業之股價表現。台灣大學金融機構與市場期末報告。
匡麗麗(2011)。股票報酬率動態過程與多因子預測模型。未出版之碩士論文，中華大學，資訊管理研究所，新竹市。
沈中華、李建然，(2000)。事件研究法-財務與會計實證研究必備。台北市：華泰文化事業。
事件研究法技術手冊，台北市：台灣經濟新報。
事件研究法操作手冊，台北市：台灣經濟新報。
第一次用TEJ就上手(簡易操作小冊)，(2018)。台北市：台灣經濟新報。
周芳儀(2007)。好公司是否為好股票？-以天下雜誌標竿企業進行研究。未出版之碩士論文，國立台灣大學，財務金融學研究所，台北市。
周賓凰、池祥萱、周冠男與龔怡霖，(2002)。行為財務學: 文獻回顧與展望。證券市場發展季刊，12(2)，1-48。
林昱豪(2010)。盈餘平穩化，企業聲望，與股票報酬。未出版之碩士論文，中國文化大學，會計學研究所，台北市。
林美珍，(2012)。行為財務學。台北市：華泰文化。
林堂馨(2000)。企業聲望、機構投資者與股票報酬波動。未出版之碩士論文，國立彰化師範大學，商業教育學研究所，彰化市。
林惠玲(2006)。企業聲望對於組織經營績效之影響探討。未出版之碩士論文，國國立中央大學，人力資源管理研究所，桃園市。
洪湘鈺(2014)。企業聲望價值攸關性之探討。未出版之碩士論文，逢甲大學，會計學系碩士班，台中市。
洪來發，(2004)。行為財務學-財務管理之心理學取向。新北市：華立圖書。
張鳳真(2011)。企業社會責任事件宣告與股票異常報酬之關連性。未出版之碩士論文，亞州大學，會計與資訊學系碩士班，台中市。
許瑜芳(2013)。企業聲望與股票報酬之關聯性研究。未出版之碩士論文，長庚大學，工業管理系碩士班，桃園市。
郭迺鋒、陳一如、王嘉齡，(2002)。好公司的股票是好股票-認知偏誤的實證研究。貨幣觀測與信用評等，37，29-33。
郭敏華，(2004)。代表性偏誤與經驗效應之探討。貨幣觀測與信用評等，66-75。
郭敏華、江念潔，(2004)。市場能否洞悉內部人申讓持股至資訊框架？。中華管理評論國際學報，7：30-45。
郭敏華譯，Robert A.Haugan著，(2001)。新財務-打破效率市場迷思。台北市：智勝文化事業有限公司。
郭敏華譯，John R. Nofsinger著，(2002)。投資心理學。新北市：培生教育出版。
郭敏華譯，James Montier著，(2004)。行為財務學。台北市：智勝文化事業。
郭敏華譯，Hersh Shefrin著，(2008)。公司行為財務。台北市：雙葉書廊公司。
郭敏華，(2009)。行為財務學-當財務學遇上心理學。台北市：智勝文化事業。
陳一如，(2005)。好公司的股票是好股票-認知偏誤假說的驗證。商管科技季刊，6：313-333。
黃杏綜(2008)。大公司會是好投資嗎？以台灣上市公司為例。未出版之碩士論文，國立中興大學，高階經理人碩士在職專班，台中市。
黃炳達(2004)。股權結構、董事會特性、研究發展、企業聲望、信用評等與經營績效相關性研究-以台灣上市櫃電子業為例。未出版之碩士論文，銘傳大學，管理科學研究所，台北市。
黃家齊，(2000)。人力資源管理系統內部契合與組織績效之關聯性研究：全形理論觀點。中山管理評論，8(3)：511-536。
黃瓊瑤、王癸元、張鳳真，(2013)。企業社會責任事件宣告與股價異常報酬之研究。當代會計，14(2)：173-203。
葉日武(2006)。企業聲望與財務績效之研究。未出版之博士論文，國立東華大學，企業管理學系碩士班，花蓮縣。
楊慧伶，楊國樑，翁鶯娟，楊一峰，劉瀚榆，蕭淑華，戴安茹，邱京君等合著，(2007)。行為財務學。台北市：五南圖書出版股份有限公司。
劉德一(2012)。好公司是好投資嗎?。未出版之碩士論文，東海大學，管理學碩士專班，台中市。
盧育明，(2005)。行為財務學。新北市：商鼎文化出版社。
謝幼齡(2000)。企業聲望與財務績效跨期相關性研究。未出版之碩士論文，國立中央大學，企業管理研究所，桃園市。
謝惠慈(2014)。公司印象、過度自信與處分效果：臺灣實證。未出版之碩士論文，樹德科技大學，金融系碩士班，高雄市。
顏志龍，(2016)。傻瓜也會寫論文-社會科學學位論文寫作指南(量化+質化增訂版)。台北市：五南圖書出版股份有限公司。
顏志龍，鄭中平，(2016)。給論文寫作者的統計指南-傻瓜也會跑統計。台北市：五南圖書出版股份有限公司。
龔怡霖(2000)。行為財務學文獻回顧與未來發展。未出版之碩士論文，國立中央大學，財務管理研究所，桃園市。 |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
97932205 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0979322051 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.EMBA.092.2018.F08 |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 205101.pdf | 3543Kb | Adobe PDF2 | 101 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
