Ohlson-Juettner模型在台灣適用性之研究

Abstract

本研究依據Ohlson and Juettner(2005)所提出新的衡量權益資金成本方式，異常盈餘成長評價模型(Abnormal Earnings Growth Valuation Model)，探討其是否適合台灣企業作為有效衡量權益資金成本方式之一。並進一步研究已實現報酬與OJ模型估計之權益資金成本關聯性，OJ模型估計之權益資金成本可否作為投資人選擇投資標的時之參考資訊，所得之結論可作為企業管理者與投資人之重要參考依據。最後本研究將OJ模型估計之權益資金成本應用於公司治理之角度，探討權益資金成本與董事會特性關聯性。\r\n實證發現，蒐集台灣企業資料，推算OJ模型估計之權益資金成本與過去研究認為影響權益資金成本的重要風險因子，皆有顯著相關性存在。因此認為OJ模型適用於台灣企業權益資金成本之估計，亦為有效的估計權益資金成本之方式一。另外，利用三因子模型進行複迴歸分析發現，已實現報酬與OJ模型估計之權益資金成本呈顯著正相關，顯示OJ模型估計之權益資金成本愈大的公司，其股票報酬愈高。且以迴歸之局部判定係數分析，於加入ROJ解釋變數後，模型的解釋力增加了，顯示OJ模型估計之權益資金成本對已實現報酬率具有增額之解釋能力，故OJ模型估計之權益資金成本具有解釋股票報酬波動之能力。最後，在權益資金成本與董事會特性之關聯性方面，實證發現權益資金成本與董監事股票質押比率、控制股東掌握之董監事席次比率和現金流量權比率的偏離程度呈顯著正相關。

In this study, we use Ohlson-Juettner model to generate a market implied cost of capital. We then examine the correlation of cost of capital and risk factors, and the correlation of cost of capital and ex post returns. Additionally, we would like to discuss the relationship between the cost of capital and characteristics of the board of directors and supervisors.\r\nOur empirical results show that cost of capital has expected correlation with risk factors, so the cost of capital estimated through Ohlson-Juettner model can be a effective method to estimate cost of capital in Taiwan. The cost of capital also has expected an economically significant association with ex post returns. Additionally, we find that the percentage of shareholding pledged by board members and supervisors is significantly positively associated with cost of capital. The deviation between the percentage of directors and supervisors controlled by controlled stockholder and cash flow rights owned by controlled stockholder is also significantly positively associated with cost of capital.