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題名 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貢獻者 黃嘉威
Huang, Chia-Wei
徐敏翔
Hsu, Min-Hsiang關鍵詞 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 上傳時間 6-Jul-2023 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 資料類型 thesis dc.contributor.advisor 黃嘉威 zh_TW dc.contributor.advisor Huang, Chia-Wei en_US dc.contributor.author (Authors) 徐敏翔 zh_TW dc.contributor.author (Authors) Hsu, Min-Hsiang en_US dc.creator (作者) 徐敏翔 zh_TW dc.creator (作者) Hsu, Min-Hsiang en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 17:01:14 (UTC+8) - dc.date.available 6-Jul-2023 17:01:14 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 17:01:14 (UTC+8) - dc.identifier (Other Identifiers) G0110357027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145925 - 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) 110357027 zh_TW dc.description.abstract (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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二章 文獻回顧 3第三章 研究方法 5第一節 董事會性別因子 5第二節 研究模型 6第三節 研究期間及資料來源 7第四節 因子及投資組合建構 8第四章 實證結果與分析 10第一節 敘述統計 10第二節 董事會性別因子DMN之四因子模型 13第三節 董事會性別因子DMN之新三因子模型 16第五章 結論 29參考文獻 30 zh_TW dc.format.extent 2025674 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357027 en_US dc.subject (關鍵詞) 性別多樣性 zh_TW dc.subject (關鍵詞) 董事會成員性別 zh_TW dc.subject (關鍵詞) 女性董事 zh_TW dc.subject (關鍵詞) 性別因子 zh_TW dc.subject (關鍵詞) 資產定價模型 zh_TW dc.subject (關鍵詞) Gender Diversity en_US dc.subject (關鍵詞) Gender of Board Members en_US dc.subject (關鍵詞) Female Directors en_US dc.subject (關鍵詞) Gender Factor en_US dc.subject (關鍵詞) Asset Pricing Model en_US dc.title (題名) 投資人是否關心性別多樣性－臺灣實證研究 zh_TW dc.title (題名) Do Investors Care About Gender Diversity? Evidence from Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (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. zh_TW
