政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145925
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 110387/141319 (78%)
造访人次 : 46949607      在线人数 : 239
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/145925


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/145925


    题名: 投資人是否關心性別多樣性-臺灣實證研究
    Do Investors Care About Gender Diversity? Evidence from Taiwan
    作者: 徐敏翔
    Hsu, Min-Hsiang
    贡献者: 黃嘉威
    Huang, Chia-Wei
    徐敏翔
    Hsu, Min-Hsiang
    关键词: 性別多樣性
    董事會成員性別
    女性董事
    性別因子
    資產定價模型
    Gender Diversity
    Gender of Board Members
    Female Directors
    Gender Factor
    Asset Pricing Model
    日期: 2023
    上传时间: 2023-07-06 17:01:14 (UTC+8)
    摘要: 本文以董事會性別組成提出新的因子-董事會性別因子(DMN),在臺灣市場實證中發現DMN因子之重要性正在隨年份提升,2018年初時DMN並無法有效解釋市場報酬,而在2022年時DMN因子顯著性明顯提升;DMN新三因子模型相比於Fama-French三因子模型能消除更多的異常報酬(Alpha),更精確的解釋市場報酬,且在調整後判定係數的表現同樣逐年提升,2018年與Fama-French三因子模型相去甚遠,而2022年時DMN新三因子模型解釋力與Fama-French三因子模型近乎相同,說明董事會性別因子(DMN)影響力正隨著時間推移而不斷增加,DMN因子不僅能有效的捕捉並解釋股票報酬,其消除異常報酬的能力同樣更佳,為一有效之因子,DMN因子在臺灣市場中能有效捕捉大部分之系統性風險。
    In this paper, we propose a new factor, board gender factor (DMN), based on the gender composition of the board of directors, and find that the importance of the DMN factor is increasing with each year in the Taiwan market. In addition, the DMN new three-factor model can eliminate more abnormal returns (Alpha) and explain market returns more precisely than the Fama-French three-factor model, and the performance of the adjusted judgment coefficients also improves year by year, and is very different from the Fama-French three-factor model in 2018, while the explanatory power of the DMN new three-factor model is nearly the same as the Fama-French three-factor model in 2022. The DMN factor is not only effective in capturing and explaining stock returns, but also has a better ability to eliminate abnormal returns. The DMN factor is effective in capturing most of the systemic risk in the Taiwan market.
    參考文獻: 一、中文部分
    1.劉清標, 吳佩紋, & 林筱鳳. (2019). 企業創新效率之六因子資產定價模型. 商管科技季刊, 20(1), 69-108.

    二、英文部分
    1.Adhikari, B. K., Agrawal, A., & Malm, J. (2019). Do women managers keep firms out of trouble? Evidence from corporate litigation and policies. Journal of Accounting and Economics, 67(1), 202-225.

    2.Adams, R. B., & Ferreira, D. (2009). Women in the boardroom and their impact on governance and performance. Journal of financial economics, 94(2), 291-309.

    3.Arfken, D. E., Bellar, S. L., & Helms, M. M. (2004). The ultimate glass ceiling revisited: The presence of women on corporate boards. Journal of Business ethics, 50, 177-186.

    4.Barr Rosenberg, K. R., & Lanstein, R. (1998). Persuasive evidence of market inefficiency. Streetwise: The Best of the Journal of Portfolio Management, 48.

    5.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.

    6.Erhardt, N. L., Werbel, J. D., & Shrader, C. B. (2003). Board of director diversity and firm financial performance. Corporate governance: An international review, 11(2), 102-111.

    7.Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.

    8.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.

    9.Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of financial economics, 82(3), 491-518.

    10.Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22.

    11.Farrell, K. A., & Hersch, P. L. (2005). Additions to corporate boards: The effect of gender. Journal of Corporate finance, 11(1-2), 85-106.

    12.Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of financial economics, 41(3), 401-439.

    13.Lintner, J. (1975). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. In Stochastic optimization models in finance (pp. 131-155). Academic Press.

    14.Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.

    15.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.

    16.Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A journal of selected papers, 4(1), 25-45.

    17.Torchia, M., Calabrò, A., & Huse, M. (2011). Women directors on corporate boards: From tokenism to critical mass. Journal of business ethics, 102, 299-317.

    18.Watson, W. E., Kumar, K., & Michaelsen, L. K. (1993). Cultural diversity`s impact on interaction process and performance: Comparing homogeneous and diverse task groups. Academy of management journal, 36(3), 590-602.
    描述: 碩士
    國立政治大學
    財務管理學系
    110357027
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110357027
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    702701.pdf1978KbAdobe PDF20检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈