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Title | Shapley value衡量的股權結構與資本支出之關聯 The relationship between equity structure as measured by Shapley value and capital expenditure |
Creator | 林盛冠 Lin, Sheng-Kuan |
Contributor | 蕭明福 Shaw, Ming-Fu 林盛冠 Lin, Sheng-Kuan |
Key Words | 大股東 追蹤資料 資本支出 Shapley value Tobin`s Q |
Date | 2020 |
Date Issued | 2-Sep-2020 12:45:51 (UTC+8) |
Summary | 本文將台灣上市公司大股東分成內部大股東及外部大股東兩類,並且為了減少股東股份所有權原始數據與其真實影響力之間的差距,於是將股份所有權轉化為Shapley value來衡量,發現內外部大股東與公司資本支出的相互關係為 : 內部大股東與公司資本支出的關係為負相關,外部大股東與公司資本資出的關係為正相關。而若比較股東股份所有權未轉化及轉化為Shapley value前後所得出迴歸結果之差異,可以發現到說,Shapley value可有效縮小股份原始數據與其真實影響力之間的差距,不會因其原始數據絕對數量的大小,造成迴歸結果出現矛盾。 此外,本文也依照Tobin’s Q的高低將公司分類,進一步進行股東股份所有權與公司資本支出變動率的分組迴歸。迴歸結果顯示,內部大股東與公司資本支出變動率的關係,會隨著公司Q值的提升而傾向更強烈的負相關,這可能與台灣擁有眾多家族企業有關;外部大股東則是與之相反,隨著公司Q值的提升,其與公司資本變動率的正相關關係會愈來愈強烈,推測是與投資人會依照公司前景來做選擇,在多承受相同的風險下,高成長公司會比低成長公司較受投資人的青睞。 除此之外,本文也將產業依主計處分類標準,個別分類進行迴歸,發現本文之模型較適合運用在衡量傳統行業,例如 : 紡織、食品製造、營建工程等;但在衡量另外一些產業可能就不是那麼合適,例如 : 航空運輸、資訊服務或批發業等,推測與產業興盛的先後有關。 另外在財務指標的方面,發現到說,槓桿比率在不同公司間的效用有相異的情形,在Q值小的公司,槓桿越高,資本變動率越低;相反的,Q值高的公司,槓桿越高,資本變動率越高,公司可能會比較積極的去做一些新的投資計劃。除此之外,在公司投資機會低時,也就是Q值不高的情況下,公司的資本支出會與公司規模大小呈顯著負相關,表示說小公司可能會因資訊相對的不透明,或者監督機制發揮的困難,而導致公司會有過度投資的情況。 |
參考文獻 | 一、中文參考文獻 王振寰、溫肇東 (2011), 《家族企業還重要嗎? 》,新北市:巨流圖書。 王育偉、鄭揚耀 (2013), 「公司治理、資本支出決策與公司價值」,《管理與系統》,20(4),665-695。 林嬋娟、張哲嘉 (2009), 「董監事異常變動、家族企業與企業舞弊之關聯」,《會計評論》,48(1),1-33。 林嬋娟、潘昭容、王大維 (2015), 「從家族企業論析自由現金流量與投資決策之關聯性」, 《臺大管理論叢》,26(1),95-123。 洪儒瑤、洪裕琨 (2007),「Tobin’s Q與內部人持股關係符合展望理論嗎?--行為財務觀點」,《中華技術學院院報》36(1), 213-228。 歐育誠 (2001), 「公司價值和系統風險關係之實證研究: 以台灣上市公司為例」,高雄 :中山大學企業管理研究所。 二、英文參考文獻 Alvarez, R., Jara, M. and Pombo, C. (2018) ‘’Do institutional blockholders influence corporate investment? Evidence from emerging markets, ’’ Journal of Corporate Finance, 53(6), 38-64. Andrei, D., Mann, W. and Moyen, N. (2019) ‘’Why did the q theory of investment start working? ’’ Journal of Financial Economics, 133(2), 251-272. Arslan, Ö. (2008), ‘’Overinvestment and investment inefficiency: A study on UK firms,’’ Journal of Economic & Management Perspectives, 2(3), 134. Basu, N., Paeglis, I. and Rahnamaei, M. (2016), ‘’Multiple blockholders, power, and firm value,’’ Journal of Banking & Finance, 66(5), 66-78. Bennedsen, M. and Wolfenzon, D. (2000), ‘’The balance of power in closely held corporations,’’ Journal of financial economics, 58(1-2), 113-139. Berle, A. and Means, G. (1932), The Modern Corporation and Private Property, New York:Mac-millan Blose, L. E. and Shieh, J. C. (1997), ‘’Tobin`s q‐Ratio and market reaction to capital investment announcements,’’ Financial Review, 32(3), 449-476. Cho, M. H. (1998), ‘’Ownership structure, investment, and the corporate value: an empirical analysis,’’ Journal of financial economics, 47(1), 103-121. Chung, I. Y., Koford, K. J. and Lee, I. (1993), ‘’Stock market views of corporate multinationalism: Some evidence from announcements of international joint ventures,’’ The Quarterly Review of Economics and Finance, 33(3), 275-293. Dalecky, A., Chauvet, S., Ringuet, S., Claessens, O., Judas, J., Larue, M. and Cosson, J. F. (2002), ‘’Large mammals on small islands: short term effects of forest fragmentation on the large mammal fauna in French Guiana,’’ Revue d`écologie Terra et la Vie, 54(1), 145-164 Eckbo, B. E. and Verma, S. (1994), ‘’Managerial shareownership, voting power, and cash dividend policy,’’ Journal of Corporate Finance, 1(1), 33-62. Edmans, A. and Manso, G. (2011), ‘’Governance through trading and intervention: A theory of multiple blockholders,’’ The Review of Financial Studies, 24(7), 2395-2428. Goergen, M. and Renneboog, L. (2001), ‘’Investment policy, internal financing and ownership concentration in the UK,’’ Journal of Corporate Finance, 7(3), 257-284. Jensen, M. and Meckling, W. (1976), ‘’Theory of the firm: Management behavior, agency costs and capital structure,’’ Journal of financial economics, 3(4), 305-60. Jensen, M. C. (1986), ‘’Agency costs of free cash flow, corporate finance, and takeovers,’’ The American economic review, 76(2), 323-329. Kao, M. F., Hodgkinson, L. and Jaafar, A. (2019), ‘’Ownership structure, board of directors and firm performance: evidence from Taiwan,’’ Corporate Governance: The International Journal of Business in Society, 19(1), 189-216 Kim, E. H. (1978), ‘’A mean‐variance theory of optimal capital structure and corporate debt capacity,’’ The journal of Finance, 33(1), 45-63. Konijn, S. J., Kräussl, R. and Lucas, A. (2011), ‘’Blockholder dispersion and firm value,’’ Journal of Corporate Finance, 17(5), 1330-1339. Laeven, L. and Levine, R. (2008), ‘’Complex ownership structures and corporate valuations,’’ The Review of Financial Studies, 21(2), 579-604. Lamont, O. A. (2000), ‘’Investment plans and stock returns’’ The Journal of Finance, 55(6), 2719-2745. La Porta, R., Lopez‐de‐Silanes, F., Shleifer, A. and Vishny, R. (2002), ‘’Investor protection and corporate valuation’’ The journal of finance, 57(3), 1147-1170. Levin, A., Lin, C. F. and Chu, C. S. J. (2002), ‘’Unit root tests in panel data: asymptotic and finite-sample properties,’’ Journal of econometrics, 108(1), 1-24. McConnell, J. J. and Muscarella, C. J. (1985), ‘’Corporate capital expenditure decisions and the market value of the firm,’’ Journal of financial economics, 14(3), 399-422. Milnor, J. W. and Shapley, L. S. (1978), ‘’Values of large games II: Oceanic games,’’ Mathematics of operations research, 3(4), 290-307. Morgado, A. and Pindado, J. (2003), ‘’The underinvestment and overinvestment hypotheses: an analysis using panel data,’’ European Financial Management, 9(2), 163-177. Morck, R., Stangeland, D. and Yeung, B. (2000), ‘’Inherited wealth, Corporate Governance, and Economic Growth: The Canadian Disease,’’ National Bureau of Economic Research, No. w6814 Miller, E. M. (1977), ‘’Risk, uncertainty, and divergence of opinion,’’ The Journal of finance, 32(4), 1151-1168. Majluf, N. S. and Myers, S. C. (1984), ‘’Corporate financing and investment decisions when firms have information that investors do not have," Journal of Financial Economics, 13(2), 187-221. Rajverma, A. K., Arrawatia, R., Misra, A. K. and Chandra, A. (2019) ‘’Ownership structure influencing the joint determination of dividend, leverage, and cost of capital,’’ Cogent Economics & Finance, 7(1), 1600462. Scott Jr, D. F. and Martin, J. D. (1975) ‘’Industry influence on financial structure,’’ Financial Management, 4(1), 67-73. Shleifer, A. and Vishny, R. W. (1986), ‘’Large shareholders and corporate control,’’ Journal of political economy, 94(3-1), 461-488. Oulton, N. (1981), ‘’Aggregate investment and Tobin`s Q: the evidence from Britain,’’ Oxford Economic Papers, 33(2), 177-202. Pindado, J. and De La Torre, C. (2009), ‘’Effect of ownership structure on underinvestment and overinvestment: empirical evidence from Spain,’’ Accounting & Finance, 49(2), 363-383. Shapiro, N. Z. and Shapley, L. S. (1978), ‘’Values of large games, I: a limit theorem,’’ Mathematics of Operations Research, 3(1), 1-9. Shapley, L. S. and Shubik, M. (1954), ‘’A method for evaluating the distribution of power in a committee system,’’ The American Political Science Review, 48(3), 787-792. Stepanov, S. and Suvorov, A. (2017), ‘’Agency problem and ownership structure: Outside blockholder as a signal,’’ Journal of Economic Behavior & Organization, 133(1), 87-107. Titman, S., Wei, K. J. and Xie, F. (2013), ‘’Market development and the asset growth effect: International evidence,’’ Journal of Financial and Quantitative Analysis, 48(5), 1405-1432. Utama, C. A. and Utama, S. (2019), ‘’Board of commissioners in corporate governance, firm performance, and ownership structure,’’ International Research Journal Of Business Studies, 12(2), 111-136. Vogt, S. C. (1994), ‘’The cash flow/investment relationship: evidence from US manufacturing firms,’’ Financial management, 23(2), 3-20. |
Description | 碩士 國立政治大學 經濟學系 107258020 |
資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0107258020 |
Type | thesis |
dc.contributor.advisor | 蕭明福 | zh_TW |
dc.contributor.advisor | Shaw, Ming-Fu | en_US |
dc.contributor.author (Authors) | 林盛冠 | zh_TW |
dc.contributor.author (Authors) | Lin, Sheng-Kuan | en_US |
dc.creator (作者) | 林盛冠 | zh_TW |
dc.creator (作者) | Lin, Sheng-Kuan | en_US |
dc.date (日期) | 2020 | en_US |
dc.date.accessioned | 2-Sep-2020 12:45:51 (UTC+8) | - |
dc.date.available | 2-Sep-2020 12:45:51 (UTC+8) | - |
dc.date.issued (上傳時間) | 2-Sep-2020 12:45:51 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0107258020 | en_US |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/131785 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 經濟學系 | zh_TW |
dc.description (描述) | 107258020 | zh_TW |
dc.description.abstract (摘要) | 本文將台灣上市公司大股東分成內部大股東及外部大股東兩類,並且為了減少股東股份所有權原始數據與其真實影響力之間的差距,於是將股份所有權轉化為Shapley value來衡量,發現內外部大股東與公司資本支出的相互關係為 : 內部大股東與公司資本支出的關係為負相關,外部大股東與公司資本資出的關係為正相關。而若比較股東股份所有權未轉化及轉化為Shapley value前後所得出迴歸結果之差異,可以發現到說,Shapley value可有效縮小股份原始數據與其真實影響力之間的差距,不會因其原始數據絕對數量的大小,造成迴歸結果出現矛盾。 此外,本文也依照Tobin’s Q的高低將公司分類,進一步進行股東股份所有權與公司資本支出變動率的分組迴歸。迴歸結果顯示,內部大股東與公司資本支出變動率的關係,會隨著公司Q值的提升而傾向更強烈的負相關,這可能與台灣擁有眾多家族企業有關;外部大股東則是與之相反,隨著公司Q值的提升,其與公司資本變動率的正相關關係會愈來愈強烈,推測是與投資人會依照公司前景來做選擇,在多承受相同的風險下,高成長公司會比低成長公司較受投資人的青睞。 除此之外,本文也將產業依主計處分類標準,個別分類進行迴歸,發現本文之模型較適合運用在衡量傳統行業,例如 : 紡織、食品製造、營建工程等;但在衡量另外一些產業可能就不是那麼合適,例如 : 航空運輸、資訊服務或批發業等,推測與產業興盛的先後有關。 另外在財務指標的方面,發現到說,槓桿比率在不同公司間的效用有相異的情形,在Q值小的公司,槓桿越高,資本變動率越低;相反的,Q值高的公司,槓桿越高,資本變動率越高,公司可能會比較積極的去做一些新的投資計劃。除此之外,在公司投資機會低時,也就是Q值不高的情況下,公司的資本支出會與公司規模大小呈顯著負相關,表示說小公司可能會因資訊相對的不透明,或者監督機制發揮的困難,而導致公司會有過度投資的情況。 | zh_TW |
dc.description.tableofcontents | 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第二章 文獻回顧 4 第一節 股權結構與資本支出的關聯 4 第二節 資本支出決策與公司價值的關聯 5 第三節 股權結構與公司價值的關聯 7 第三章 研究方法 9 第一節 資料來源 9 第二節 追蹤資料單根檢定 9 第三節 追蹤資料模型 10 第四節 追蹤資料最適模型選擇 13 第五節 迴歸實證模型 15 第六節 Shapley value之計算 18 第四章 實證結果 22 第一節 敘述性統計 22 第二節 資料處理與檢定適合之模型 22 第三節 實證結果與分析 25 第五章 研究結論 37 第一節 實證結果 37 第二節 研究限制與建議 38 參考文獻 39 | zh_TW |
dc.format.extent | 1707875 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0107258020 | en_US |
dc.subject (關鍵詞) | 大股東 | zh_TW |
dc.subject (關鍵詞) | 追蹤資料 | zh_TW |
dc.subject (關鍵詞) | 資本支出 | zh_TW |
dc.subject (關鍵詞) | Shapley value | en_US |
dc.subject (關鍵詞) | Tobin`s Q | en_US |
dc.title (題名) | Shapley value衡量的股權結構與資本支出之關聯 | zh_TW |
dc.title (題名) | The relationship between equity structure as measured by Shapley value and capital expenditure | en_US |
dc.type (資料類型) | thesis | en_US |
dc.relation.reference (參考文獻) | 一、中文參考文獻 王振寰、溫肇東 (2011), 《家族企業還重要嗎? 》,新北市:巨流圖書。 王育偉、鄭揚耀 (2013), 「公司治理、資本支出決策與公司價值」,《管理與系統》,20(4),665-695。 林嬋娟、張哲嘉 (2009), 「董監事異常變動、家族企業與企業舞弊之關聯」,《會計評論》,48(1),1-33。 林嬋娟、潘昭容、王大維 (2015), 「從家族企業論析自由現金流量與投資決策之關聯性」, 《臺大管理論叢》,26(1),95-123。 洪儒瑤、洪裕琨 (2007),「Tobin’s Q與內部人持股關係符合展望理論嗎?--行為財務觀點」,《中華技術學院院報》36(1), 213-228。 歐育誠 (2001), 「公司價值和系統風險關係之實證研究: 以台灣上市公司為例」,高雄 :中山大學企業管理研究所。 二、英文參考文獻 Alvarez, R., Jara, M. and Pombo, C. (2018) ‘’Do institutional blockholders influence corporate investment? Evidence from emerging markets, ’’ Journal of Corporate Finance, 53(6), 38-64. Andrei, D., Mann, W. and Moyen, N. (2019) ‘’Why did the q theory of investment start working? ’’ Journal of Financial Economics, 133(2), 251-272. Arslan, Ö. (2008), ‘’Overinvestment and investment inefficiency: A study on UK firms,’’ Journal of Economic & Management Perspectives, 2(3), 134. Basu, N., Paeglis, I. and Rahnamaei, M. (2016), ‘’Multiple blockholders, power, and firm value,’’ Journal of Banking & Finance, 66(5), 66-78. Bennedsen, M. and Wolfenzon, D. (2000), ‘’The balance of power in closely held corporations,’’ Journal of financial economics, 58(1-2), 113-139. Berle, A. and Means, G. (1932), The Modern Corporation and Private Property, New York:Mac-millan Blose, L. E. and Shieh, J. C. (1997), ‘’Tobin`s q‐Ratio and market reaction to capital investment announcements,’’ Financial Review, 32(3), 449-476. Cho, M. H. (1998), ‘’Ownership structure, investment, and the corporate value: an empirical analysis,’’ Journal of financial economics, 47(1), 103-121. Chung, I. Y., Koford, K. J. and Lee, I. (1993), ‘’Stock market views of corporate multinationalism: Some evidence from announcements of international joint ventures,’’ The Quarterly Review of Economics and Finance, 33(3), 275-293. Dalecky, A., Chauvet, S., Ringuet, S., Claessens, O., Judas, J., Larue, M. and Cosson, J. F. (2002), ‘’Large mammals on small islands: short term effects of forest fragmentation on the large mammal fauna in French Guiana,’’ Revue d`écologie Terra et la Vie, 54(1), 145-164 Eckbo, B. E. and Verma, S. (1994), ‘’Managerial shareownership, voting power, and cash dividend policy,’’ Journal of Corporate Finance, 1(1), 33-62. Edmans, A. and Manso, G. (2011), ‘’Governance through trading and intervention: A theory of multiple blockholders,’’ The Review of Financial Studies, 24(7), 2395-2428. Goergen, M. and Renneboog, L. (2001), ‘’Investment policy, internal financing and ownership concentration in the UK,’’ Journal of Corporate Finance, 7(3), 257-284. Jensen, M. and Meckling, W. (1976), ‘’Theory of the firm: Management behavior, agency costs and capital structure,’’ Journal of financial economics, 3(4), 305-60. Jensen, M. C. (1986), ‘’Agency costs of free cash flow, corporate finance, and takeovers,’’ The American economic review, 76(2), 323-329. Kao, M. 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dc.identifier.doi (DOI) | 10.6814/NCCU202001411 | en_US |