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題名 良好之公司治理能否遏制股價崩跌風險?
Corporate Governance Rating and Stock Price Crash Risk作者 范東晏
Fan, Dong-Yan貢獻者 周冠男
Chou, Robin K.
范東晏
Fan, Dong-Yan關鍵詞 崩跌風險
公司治理
新冠肺炎
結構性改變
Crash risk
Corporate governance
COVID-19
Structural change日期 2022 上傳時間 1-Jul-2022 16:08:25 (UTC+8) 摘要 本研究探討了公司治理評級對未來股價崩跌風險的影響。以台灣上市上櫃公司自2014年至2019年期間的資料為樣本，本研究實證結果為，在控制前期各項變數後，公司治理評級較佳之公司確實在未來一年有較低之股價崩跌風險。此外，在高機構持股、電子產業和集中市場的子樣本中，公司治理評級對於未來一年股價崩跌風險之負向影響會更為強烈；然而，低機構持股、非電子產業和店頭市場的子樣本中，公司治理評級對於未來一年之股價崩跌風險並不存在統計上顯著之相關性。實證上亦發現，由於COVID-19之衝擊，公司治理評級與未來一年股價崩跌風險之間的關係出現了結構性改變，即在COVID-19之後的時期，公司治理評級對於未來一年股價崩跌風險有更為強烈之負向影響。
This study examines the link between corporate governance rating and stock price crash risk. Using the sample from 2014 to 2019 in Taiwan, this study documents that firms with better corporate governance rating do have lower stock price crash risk in the coming year. Furthermore, the negative relationship between corporate governance rating and one-year-ahead stock price crash risk is strengthened in the high-institutional-holding, electronic, and TSE-listed subsample; however, in the low-institutional-holding, non-electronic, and OTC-listed subsample, the relationship between corporate governance rating and one-year-ahead stock price crash risk is not statistically significant. Plus, the empirical results show that the impact of COVID-19 has contributed to a structural change in the relationship between corporate governance rating and one-year-ahead stock price crash risk. Specifically, a stronger negative relationship between corporate governance rating and one-year-ahead crash risk is found in the post-COVID-19 period.參考文獻 Aloui, M. & Jarboui, A. (2018). The effects of corporate governance on the stock return volatility: During the financial crisis, International Journal of Law and Management, 60(2), 478-495.Andreou, P. C., Louca, C., & Petrou, A. P. (2017). CEO age and stock price crash risk. Review of Finance, 21(3), 1287–1325.Bebchuk, L. A., Cohen, A., & Ferrell, A. (2009). What matters in corporate governance? The Review of Financial Studies, 22(2), 783–827.Bebchuk, L. A., Cohen, A., & Wang, Charles C. Y. (2013). Learning and the Disappearing Association Between Governance and Returns. Journal of Financial Economics, 108(2), 323-348.Callen, J., & Fang, X. (2015a). Religion and Stock Price Crash Risk. Journal of Financial and Quantitative Analysis, 50(1-2), 169-195.Callen, J., & Fang, X. (2015b). Short Interest and Stock Price Crash Risk. Journal of Banking and Finance, 60, 181-194.Chen, J., Hong, H., & Stein, J.C. (2001). Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61(3), 345-381.Chen, L.W., Johnson, S.A., Lin, J.C., & Liu, Y.J. (2009). Information, sophistication, and foreign versus domestic investors` performance, Journal of Banking & Finance, 33(9), 1636-1651.Dai, P., Xiong, X., Liu, Z., Huynh, T. L. D., & Sun, J. (2021). Preventing crash in stock market: The role of economic policy uncertainty during COVID‑19. Financial Innovation 7, 31, 1–15. https://doi.org/10.1186/s40854-021-00248-yDaines, R. M., Gow, I. D., & Larcker, D. F. (2010). Rating the ratings: How good are commercial governance ratings? Journal of Financial Economics, 98(3), 439–461.Dang, V. A., Lee, E., Liu, Y., & Zeng, C. (2018). Corporate Debt Maturity and Stock Price Crash Risk. European Financial Management, 24(3), 451-484.Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7(2), 197–226.Financial Supervisory Commission. (2013). Corporate Governance Roadmap, available at: https://www.sfb.gov.tw/en/index.jspGompers, P. A., Ishii, J. L., & Metrick, A. (2003). Corporate governance and equity prices. The Quarterly Journal of Economics, 118(1), 107–155.Hlavac, M. (2018). stargazer: Well-formatted regression and summary statistics tables. R package version 5.2.2. Central European Labour Studies Institute (CELSI), Bratislava, Slovakia.Hong, H., & Stein, J.C. (2003). Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies 16(2), 487-525.Huang, H. H., Chan, M. L., Huang, I.-H. & Chang, C. H. (2011). Stock price volatility and overreaction in a political crisis: the effects of corporate governance and performance, Journal of Pacific-Basin Finance, 19(1), 1-20.Huang, S., & Liu, H. (2021). Impact of COVID-19 on stock price crash risk: Evidence from Chinese energy firms. Energy economics, 101, 105431. https://doi.org/10.1016/j.eneco.2021.105431Hutton, A. P., Marcus, A.J., & Tehranian, H. (2009). Opaque financial reports, R2 , and crash risk. Journal of Financial Economics, 94(1), 67-86.Jin, L., & Myers, S.C. (2006). R2 around the world: new theory and new tests. Journal of Financial Economics, 79(2), 257-292.Johnson, S. A., Moorman, T. C., & Sorescu, S. (2009). A reexamination of corporate governance and equity prices. Review of Financial Studies, 22(11), 4753–4786.Jordan, S. J., Lee, J.-H. & Bui, E.A. (2012). Outside directors and stock return volatility: the foreign investor connection, Electronic Copy, available at: http://ssrn.com/abstract=2180360Karamanou, I., & Vafeas, N. (2005). The association between corporate boards, audit committees, and management earnings forecasts: An empirical analysis. Journal of Accounting Research, 43(3), 453-486.Kim, J. B., Li, Y., & Zhang, L. (2011a). Corporate tax avoidance and stock price crash risk: firm-level analysis. Journal of Financial Economics, 100(3), 639-662.Kim, J. B., Li, Y., & Zhang, L. (2011b). CFO vs. CEO: equity incentives and crashes. Journal of Financial Economics, 101(3), 713-730.Kim, J. B., & Zhang, L. (2016). Accounting Conservatism and Stock Price Crash Risk: Firm-Level Evidence. Contemporary Accounting Research, 33(1), 412-441.Kim, J. B., Lu, L. Y., & Yu, Y. (2019). Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage. The Accounting Review 94 (4), 345–364.Kim, J. B., Liao, S., & Liu, Y. (2021). Married CEOs and Stock Price Crash Risk. European Financial Management, Forthcoming, available at SSRN: https://ssrn.com/abstract=3958224Kim, Y., Li, H., & Li, S. (2014). Corporate Social Responsibility and Stock Price Crash Risk. Journal of Banking and Finance, 43, 1-13.Liu, B., (2021) Institutional Investor Attention, Compensation Incentive and Corporate Performance. Financial Engineering and Risk Management, 4, 48-52.Liu, Z., Huynh, T., & Dai, P. F. (2021). The impact of COVID-19 on the stock market crash risk in China. Research in international business and finance, 57, 101419. https://doi.org/10.1016/j.ribaf.2021.101419Organisation for Economic Co-operation and Development. (1999). OECD principles of corporate governance. Paris: OECD.Piotroski, J. D., & Roulstone, D. T. (2004). The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm specific information into stock prices. The Accounting Review 79, 1119-1151.Securities and Futures Institute. (2015). 2014 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2016). 2015 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2017). 2016 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2018). 2017 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2019). 2018 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2020). 2019 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlTaipei Exchange Rules Governing the Review of Securities for Trading on the TPEx, available at: http://eng.selaw.com.twTaiwan Stock Exchange Corporation Rules Governing Review of Securities Listing, available at: http://eng.selaw.com.twXie, B., Davidson, W. N., & DaDalt, P. J. (2003). Earnings management and corporate governance: The role of the board and the audit committee. Journal of Corporate Finance, 9(3), 295-316. 描述 碩士
國立政治大學
財務管理學系
109357033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357033 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (Authors) 范東晏 zh_TW dc.contributor.author (Authors) Fan, Dong-Yan en_US dc.creator (作者) 范東晏 zh_TW dc.creator (作者) Fan, Dong-Yan en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:08:25 (UTC+8) - dc.date.available 1-Jul-2022 16:08:25 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:08:25 (UTC+8) - dc.identifier (Other Identifiers) G0109357033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140594 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 109357033 zh_TW dc.description.abstract (摘要) 本研究探討了公司治理評級對未來股價崩跌風險的影響。以台灣上市上櫃公司自2014年至2019年期間的資料為樣本，本研究實證結果為，在控制前期各項變數後，公司治理評級較佳之公司確實在未來一年有較低之股價崩跌風險。此外，在高機構持股、電子產業和集中市場的子樣本中，公司治理評級對於未來一年股價崩跌風險之負向影響會更為強烈；然而，低機構持股、非電子產業和店頭市場的子樣本中，公司治理評級對於未來一年之股價崩跌風險並不存在統計上顯著之相關性。實證上亦發現，由於COVID-19之衝擊，公司治理評級與未來一年股價崩跌風險之間的關係出現了結構性改變，即在COVID-19之後的時期，公司治理評級對於未來一年股價崩跌風險有更為強烈之負向影響。 zh_TW dc.description.abstract (摘要) This study examines the link between corporate governance rating and stock price crash risk. Using the sample from 2014 to 2019 in Taiwan, this study documents that firms with better corporate governance rating do have lower stock price crash risk in the coming year. Furthermore, the negative relationship between corporate governance rating and one-year-ahead stock price crash risk is strengthened in the high-institutional-holding, electronic, and TSE-listed subsample; however, in the low-institutional-holding, non-electronic, and OTC-listed subsample, the relationship between corporate governance rating and one-year-ahead stock price crash risk is not statistically significant. Plus, the empirical results show that the impact of COVID-19 has contributed to a structural change in the relationship between corporate governance rating and one-year-ahead stock price crash risk. Specifically, a stronger negative relationship between corporate governance rating and one-year-ahead crash risk is found in the post-COVID-19 period. en_US dc.description.tableofcontents 1. Introduction 12. Literature review 32.1. Corporate governance 32.2. Crash risk 33. Data and measurement of variables 53.1. Data 53.2. Measuring corporate governance 53.3. Measuring firm-specific crash risk 63.4. Regression models 74. Empirical results 84.1. Descriptive statistics 84.2. Results 104.2.1. The effect of corporate governance rating on crash risk 104.2.2. Institutional ownership and corporate governance 114.2.3. Electronic industry and corporate governance 124.2.4. Listing market and corporate governance 124.2.5. COVID-19 and corporate governance 135. Conclusions 15References 25Appendix 29 zh_TW dc.format.extent 1795867 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357033 en_US dc.subject (關鍵詞) 崩跌風險 zh_TW dc.subject (關鍵詞) 公司治理 zh_TW dc.subject (關鍵詞) 新冠肺炎 zh_TW dc.subject (關鍵詞) 結構性改變 zh_TW dc.subject (關鍵詞) Crash risk en_US dc.subject (關鍵詞) Corporate governance en_US dc.subject (關鍵詞) COVID-19 en_US dc.subject (關鍵詞) Structural change en_US dc.title (題名) 良好之公司治理能否遏制股價崩跌風險? zh_TW dc.title (題名) Corporate Governance Rating and Stock Price Crash Risk en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aloui, M. & Jarboui, A. (2018). The effects of corporate governance on the stock return volatility: During the financial crisis, International Journal of Law and Management, 60(2), 478-495.Andreou, P. C., Louca, C., & Petrou, A. P. (2017). CEO age and stock price crash risk. Review of Finance, 21(3), 1287–1325.Bebchuk, L. A., Cohen, A., & Ferrell, A. (2009). What matters in corporate governance? The Review of Financial Studies, 22(2), 783–827.Bebchuk, L. A., Cohen, A., & Wang, Charles C. Y. (2013). Learning and the Disappearing Association Between Governance and Returns. Journal of Financial Economics, 108(2), 323-348.Callen, J., & Fang, X. (2015a). Religion and Stock Price Crash Risk. Journal of Financial and Quantitative Analysis, 50(1-2), 169-195.Callen, J., & Fang, X. (2015b). Short Interest and Stock Price Crash Risk. Journal of Banking and Finance, 60, 181-194.Chen, J., Hong, H., & Stein, J.C. (2001). Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61(3), 345-381.Chen, L.W., Johnson, S.A., Lin, J.C., & Liu, Y.J. (2009). Information, sophistication, and foreign versus domestic investors` performance, Journal of Banking & Finance, 33(9), 1636-1651.Dai, P., Xiong, X., Liu, Z., Huynh, T. L. D., & Sun, J. (2021). Preventing crash in stock market: The role of economic policy uncertainty during COVID‑19. Financial Innovation 7, 31, 1–15. https://doi.org/10.1186/s40854-021-00248-yDaines, R. M., Gow, I. D., & Larcker, D. F. (2010). Rating the ratings: How good are commercial governance ratings? Journal of Financial Economics, 98(3), 439–461.Dang, V. A., Lee, E., Liu, Y., & Zeng, C. (2018). Corporate Debt Maturity and Stock Price Crash Risk. European Financial Management, 24(3), 451-484.Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7(2), 197–226.Financial Supervisory Commission. (2013). Corporate Governance Roadmap, available at: https://www.sfb.gov.tw/en/index.jspGompers, P. A., Ishii, J. L., & Metrick, A. (2003). Corporate governance and equity prices. The Quarterly Journal of Economics, 118(1), 107–155.Hlavac, M. (2018). stargazer: Well-formatted regression and summary statistics tables. R package version 5.2.2. Central European Labour Studies Institute (CELSI), Bratislava, Slovakia.Hong, H., & Stein, J.C. (2003). Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies 16(2), 487-525.Huang, H. H., Chan, M. L., Huang, I.-H. & Chang, C. H. (2011). Stock price volatility and overreaction in a political crisis: the effects of corporate governance and performance, Journal of Pacific-Basin Finance, 19(1), 1-20.Huang, S., & Liu, H. (2021). Impact of COVID-19 on stock price crash risk: Evidence from Chinese energy firms. Energy economics, 101, 105431. https://doi.org/10.1016/j.eneco.2021.105431Hutton, A. P., Marcus, A.J., & Tehranian, H. (2009). Opaque financial reports, R2 , and crash risk. Journal of Financial Economics, 94(1), 67-86.Jin, L., & Myers, S.C. (2006). R2 around the world: new theory and new tests. Journal of Financial Economics, 79(2), 257-292.Johnson, S. A., Moorman, T. C., & Sorescu, S. (2009). A reexamination of corporate governance and equity prices. Review of Financial Studies, 22(11), 4753–4786.Jordan, S. J., Lee, J.-H. & Bui, E.A. (2012). Outside directors and stock return volatility: the foreign investor connection, Electronic Copy, available at: http://ssrn.com/abstract=2180360Karamanou, I., & Vafeas, N. (2005). The association between corporate boards, audit committees, and management earnings forecasts: An empirical analysis. Journal of Accounting Research, 43(3), 453-486.Kim, J. B., Li, Y., & Zhang, L. (2011a). Corporate tax avoidance and stock price crash risk: firm-level analysis. Journal of Financial Economics, 100(3), 639-662.Kim, J. B., Li, Y., & Zhang, L. (2011b). CFO vs. CEO: equity incentives and crashes. Journal of Financial Economics, 101(3), 713-730.Kim, J. B., & Zhang, L. (2016). Accounting Conservatism and Stock Price Crash Risk: Firm-Level Evidence. Contemporary Accounting Research, 33(1), 412-441.Kim, J. B., Lu, L. Y., & Yu, Y. (2019). Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage. The Accounting Review 94 (4), 345–364.Kim, J. B., Liao, S., & Liu, Y. (2021). Married CEOs and Stock Price Crash Risk. European Financial Management, Forthcoming, available at SSRN: https://ssrn.com/abstract=3958224Kim, Y., Li, H., & Li, S. (2014). Corporate Social Responsibility and Stock Price Crash Risk. Journal of Banking and Finance, 43, 1-13.Liu, B., (2021) Institutional Investor Attention, Compensation Incentive and Corporate Performance. Financial Engineering and Risk Management, 4, 48-52.Liu, Z., Huynh, T., & Dai, P. F. (2021). The impact of COVID-19 on the stock market crash risk in China. Research in international business and finance, 57, 101419. https://doi.org/10.1016/j.ribaf.2021.101419Organisation for Economic Co-operation and Development. (1999). OECD principles of corporate governance. Paris: OECD.Piotroski, J. D., & Roulstone, D. T. (2004). The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm specific information into stock prices. The Accounting Review 79, 1119-1151.Securities and Futures Institute. (2015). 2014 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2016). 2015 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2017). 2016 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2018). 2017 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2019). 2018 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlSecurities and Futures Institute. (2020). 2019 Corporate Governance Evaluation Results in Taiwan, available at: https://www.sfi.org.tw/en/download.htmlTaipei Exchange Rules Governing the Review of Securities for Trading on the TPEx, available at: http://eng.selaw.com.twTaiwan Stock Exchange Corporation Rules Governing Review of Securities Listing, available at: http://eng.selaw.com.twXie, B., Davidson, W. N., & DaDalt, P. J. (2003). Earnings management and corporate governance: The role of the board and the audit committee. Journal of Corporate Finance, 9(3), 295-316. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200554 en_US
