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題名 內部人持股與股票崩盤風險
Insider Holdings and Stock Price Crash Risk
作者 邱豐羿　
貢獻者 屠美亞
邱豐羿　
關鍵詞 內部人
崩盤風險
日期 2012
上傳時間 22-Jul-2013 11:12:51 (UTC+8)
摘要 在台灣的市場環境下，內部人持股占公司相當大的比重，因此我們研究內部人持股的高低，對於公司股票崩盤風險的影響，發現內部人與法人、政府機構持股一樣，對於股票崩盤風險皆有負向的影響。接著，探討內部人三個組成成分(董監事、大股東與經理人)的影響，在董監事與大股東持股的部分，兩者皆會扮演監督的角色，持股比例與崩盤風險呈現負相關；然而，關於經理人對於股票的崩盤風險影響，結果顯示，其持股比例與崩盤風險呈現正相關性，顯示經理人由於持股比率相對較少，所以與公司長期發展的目標會有所不一致，也較容易從事於短期利益之行為，例如：隱藏壞消息，使股價過度被高估，如此一來，當累積的壞消息爆發出來後，可能容易導致公司股票發生崩盤的情形。另外，本研究也發現，公司董監事席次、獨立董監事席次與股票崩盤風險間，亦呈現負相關性。
參考文獻 1. 王祝三、莊雅雪、郭勁甫，2009，公司治理、投資與公司價值之關聯性，東吳經濟商學學報，
     第66期，頁69-114。
     2. 馨蘋、莊宗憲，「公司治理機制與公司績效之實證研究－追蹤型資料二階段最小平方法之應用」，東吳經濟商學學報，第 57 期，民國 96 年，1-27 頁。
     3. Andres, P.D., Azofra, V. & Lopez, F. 2005. Corporate boards in OECD countries: Size, composition, functioning and effectiveness. Corporate Governance: An International Review, 13(2): 197–210
     4. Armstrong, C., Jagolinzer, A., Larcker, D., 2010. Chief executive officer equity incentives and accounting irregularities. Journal of Accounting Research 48, 225–271.
     5. Bacon, J. (1973),Corporate Directorship Practices: Membership and Committees of The Board, New York: The Conference Board.
     6. Baik, B., Kang, J.-K., Kim, J.-M., 2010. Local institutional investors, information asymmetries, and equity returns. J. Financ. Econ. 97, 81–106.
     7. Benmelech, E., Kandel, E., Veronesi, P., 2010. Stock-based compensation and CEO (dis) incentives. Quarterly Journal of Economics 125, 1769–1820.
     8. Bergstresser, D., Philippon, T., 2006. CEO incentives and earnings management. Journal of Financial Economics 80, 511–529.
     9. Bleck, A., Liu, X., 2007. Market Transparency and the Accounting Regime. Journal of Accounting Research 45, 229-256.
     10. Bolton, P., Scheinkman, J., Xiong, W., 2006. Executive compensation and short-termist behaviour in speculative markets. Review of Economic Studies 73, 577–610.
     11. Burns, N., Kedia, S., 2006. The impact of performance-based compensation on misreporting. Journal of Financial Economics 79, 35–67.
     12. Bushee, B. J., 1998, The Influence of Institutional Investors on Myopic R&D Investment Behavior, The Accounting Review 73, 305-333.
     13. Bushee, B. J., 2001, Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value? Contemporary Accounting Research 18, 207-246.
     14. Byrd, J. and K. Hickman. Do outside directors monitor managers? Evidence from tender offer bids. Journal of Financial Economics 32 (October 1992):195-221.
     15. Callen, J.L., Fang, X., 2011. Institutional investors and crash risk: monitoring or expropriation? Working Paper, University of Toronto, Georgia State University.
     16. Chava, S., Purnanandam, A., 2010. CEOs versus CFOs: incentives and corporate policies. Journal of Financial Economics 97, 263–278.
     17. Chen, X., Harford, J., and Li, K., 2007. “Monitoring: Which institutions matter?” Journal of Financial Economics 86, 279–305.
     18. Cheng, Q., Warfield, T.D., 2005. Equity incentives and earnings management. The Accounting Review 80, 441–476.
     19. Coffee, J.C., Jr. Liquidity Versus Control: The Institutional Investor as Corporate Monitor. Columbia Law Review (1991), 1277-1368.
     20. Dechow, P.M., Ge, W., Schrand, C.M., 2010. Understanding earnings quality: a review of the proxies, their determinants and their consequences. Journal of Accounting and Economics 50, 344–401.
     21. Dobrzynski, J. 1993. Relationship Investing: A New Shareholder is Emerging--Patient and Involved. Business Week. March 15: 68-75
     22. Efendi, J., Srivastava, A., Swanson, E., 2007. Why do corporate managers misstate financial statements? The role of option compensation and other factors. Journal of Financial Economics 85, 667–708.
     23. Eisenberg, T., S. Sundgren, and M. Wells, 1998, Larger Board Size and Decreasing Firm Value in Small Firms, Journal of Financial Economics 48, 35-54.
     24. Erickson, M., Hanlon, M., Maydew, E., 2006. Is there a link between executive equity incentives and accounting fraud? Journal of Accounting Research 44, 113–143.
     25. Fama, E.F., 1980, "Agency Problems and the Theory of the Firm", Journal of Political Economy, (88), pp.288-307.
     26. Gaspar, J.M., Massa, M., Matos, P., 2005. Shareholder investment horizons and the market for corporate control. J. Financ. Econ. 76, 135–165.
     27. Gaspar, J.M., Massa, M., 2007. Local ownership as private information: evidence on the monitoring-liquidity trade-off. J. Financ. Econ. 83, 751–792.
     28. Graves, S.B., 1990. ‘Institutional ownership and corporate R&D investment: A multiindustry.’Technological Forecasting and Social Change, 37, 59–76.
     29. Habib, M., Ljungqvist, A., 2005. Firm value and managerial incentives: a stochastic frontier approach. The Journal of Business 78, 2053–2094.
     30. Heng An, Ting Zhang, 2013. Stock synchronicity, crash risk, and institutional investors. Journal of Corporate Finance 21, 1-15
     31. Hermalin B, Weisbach M, 2003, Board of directors as an endogenously-determined institution: a survey of the economics literature. Econ. Policy Rev., 9: 7-26.
     32. Himmelberg, C., Hubbard, R., Palia, D., 1999. Understanding the determinants of managerial ownership and the link between ownership and performance. Journal of Financial Economics 53, 353–384.
     33. Huson, M.R., Parrino, R. and Starks, L.T., 2001, Internal Monitoring Mechanisms and CEO Turnover: A Long-Term Perspective, Journal of Finance, (56), pp.2265-2297.
     34. Hutton, A.P., Marcus, A.J., Tehranian, H., 2009. Opaque financial reports, R2, and crash risk. J. Financ. Econ. 94, 67–86.
     35. Jacobs, M.T., 1991.Short Term America: The Causes and Cures of Our Business Myopia. Boston: Harvard Business School Press.
     36. Jiang, J., Petroni, K., Wang, I., 2010. CFOs and CEOs: who have the most influence on earnings management? Journal of Financial Economics 96, 513–526.
     37. Jin, L., Myers, S.C., 2006. R2 around the world: new theory and new tests. J. Financ. Econ. 79, 257–292.
     38. Kim, J.B., Li, Y., Zhang, L., 2011a. Corporate tax avoidance and stock price crash risk: firm-level analysis. J. Financ. Econ. 100, 639–662.
     39. Kim, J.B., Li, Y., Zhang, L., 2011b. CFOs versus CEOs: equity incentives and crashes. J. Financ. Econ. 101, 713–730.
     40. Kula, V, 2005, The Impact of the Roles, Structure and Process of Boards on Firm Performance : Evidence from Turkey. Corporate Governance, 13, No.2, pp.265-276
     41. Lang, Mark, and Maureen McNichols, 1997, Institutional trading and corporate performance. Stanford University working paper.
     42. Lipton, M. and J. Lorsch, 1992, A Modest Proposal for Improved Corporate Governance, Business Lawyer 48 (No. 1) 59-67.
     43. Mak, Y. T. & Li, Y. 2001, `Determinants of Corporate Ownership and Board Structure: Evidence from Singapore`, Journal of Corporate Finance, vol. 7, pp. 236-256.
     44. McConnell, J., Servaes, H., 1990. Additional evidence on equity ownership and corporate value. Journal of Financial Economics 27, 595–612.
     45. Mehran, H., 1995. Executive compensation structure, ownership, and firm performance. Journal of Financial Economics 38, 163–184.
     46. Monks, R., and N. Minow. 1995. Corporate Governance. Cambridge, MA: Blackwell, 1995.
     47. Morck, R., Shleifer, A., Vishny, R., 1988. Management ownership and market valuation: An empirical analysis. Journal of Financial Economics 20, 293–315.
     48. Pearce, J. and Zahra, S, 1991, The Relative Power of CEOs and Boards of Directors: Associations with Corporate Performance, Strategic Management Journal, 12(2), 135–153.
     49. Peng, L., Roell, A., 2008. Manipulation and equity-based compensation. The American Economic Review 98, 285–290.
     50. Porter, M.E., 1992, Capital Disadvantage: America’s Failing Capital Investment System. Harvard Business Review , 65-82.
     51. R.G. Sloan.,1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71, . 289–315
     52. Rosenstein, S. and J. G. Wyatt, 1997, Inside directors, board effectiveness, and shareholder wealth, Journal of Financial Economics, Vol. 44(2): 229-250
     53. Shleifer, A., Vishny, R.W., 1986. Large shareholders and corporate control. J. Polit. Econ. 461–488.
     54. Weisbach, M. 1988. “Outside Directors and CEO Turnover.” Journal
     of Financial Economics 20: 431-60.
     55. Yan, X.S., Zhang, Z., 2009. Institutional investors and equity returns: are short-term institutions better informed? Rev. Financ. Stud. 22, 893–924.
     56. Yermack, D. 1996, Higher Market Valuation of Companies with a Small Board of Directors, Journal of Financial Economics, vol. 40, no. 2, pp. 185-211.
描述 碩士
國立政治大學
財務管理研究所
100357023
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357023
資料類型 thesis
dc.contributor.advisor 屠美亞zh_TW
dc.contributor.author (Authors) 邱豐羿　zh_TW
dc.creator (作者) 邱豐羿　zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 22-Jul-2013 11:12:51 (UTC+8)-
dc.date.available 22-Jul-2013 11:12:51 (UTC+8)-
dc.date.issued (上傳時間) 22-Jul-2013 11:12:51 (UTC+8)-
dc.identifier (Other Identifiers) G0100357023en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58930-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 100357023zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 在台灣的市場環境下，內部人持股占公司相當大的比重，因此我們研究內部人持股的高低，對於公司股票崩盤風險的影響，發現內部人與法人、政府機構持股一樣，對於股票崩盤風險皆有負向的影響。接著，探討內部人三個組成成分(董監事、大股東與經理人)的影響，在董監事與大股東持股的部分，兩者皆會扮演監督的角色，持股比例與崩盤風險呈現負相關；然而，關於經理人對於股票的崩盤風險影響，結果顯示，其持股比例與崩盤風險呈現正相關性，顯示經理人由於持股比率相對較少，所以與公司長期發展的目標會有所不一致，也較容易從事於短期利益之行為，例如：隱藏壞消息，使股價過度被高估，如此一來，當累積的壞消息爆發出來後，可能容易導致公司股票發生崩盤的情形。另外，本研究也發現，公司董監事席次、獨立董監事席次與股票崩盤風險間，亦呈現負相關性。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 研究目的與問題 2
     第三節 研究架構與流程 2
     第二章 文獻探討與假說 4
     第一節 文獻回顧 4
     第二節 研究假說 10
     第三章 研究方法 13
     第一節 研究資料 13
     第二節 研究變數選擇與定義 13
     第三節 實證方法 16
     第四章 實證結果與分析 18
     第一節 敘述統計 18
     第二節 迴歸模型結果 21
     第五章 結論與建議 35
     參考文獻 37		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357023en_US
dc.subject (關鍵詞) 內部人zh_TW
dc.subject (關鍵詞) 崩盤風險zh_TW
dc.title (題名) 內部人持股與股票崩盤風險zh_TW
dc.title (題名) Insider Holdings and Stock Price Crash Risken_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. 王祝三、莊雅雪、郭勁甫，2009，公司治理、投資與公司價值之關聯性，東吳經濟商學學報，
     第66期，頁69-114。
     2. 馨蘋、莊宗憲，「公司治理機制與公司績效之實證研究－追蹤型資料二階段最小平方法之應用」，東吳經濟商學學報，第 57 期，民國 96 年，1-27 頁。
     3. Andres, P.D., Azofra, V. & Lopez, F. 2005. Corporate boards in OECD countries: Size, composition, functioning and effectiveness. Corporate Governance: An International Review, 13(2): 197–210
     4. Armstrong, C., Jagolinzer, A., Larcker, D., 2010. Chief executive officer equity incentives and accounting irregularities. Journal of Accounting Research 48, 225–271.
     5. Bacon, J. (1973),Corporate Directorship Practices: Membership and Committees of The Board, New York: The Conference Board.
     6. Baik, B., Kang, J.-K., Kim, J.-M., 2010. Local institutional investors, information asymmetries, and equity returns. J. Financ. Econ. 97, 81–106.
     7. Benmelech, E., Kandel, E., Veronesi, P., 2010. Stock-based compensation and CEO (dis) incentives. Quarterly Journal of Economics 125, 1769–1820.
     8. Bergstresser, D., Philippon, T., 2006. CEO incentives and earnings management. Journal of Financial Economics 80, 511–529.
     9. Bleck, A., Liu, X., 2007. Market Transparency and the Accounting Regime. Journal of Accounting Research 45, 229-256.
     10. Bolton, P., Scheinkman, J., Xiong, W., 2006. Executive compensation and short-termist behaviour in speculative markets. Review of Economic Studies 73, 577–610.
     11. Burns, N., Kedia, S., 2006. The impact of performance-based compensation on misreporting. Journal of Financial Economics 79, 35–67.
     12. Bushee, B. J., 1998, The Influence of Institutional Investors on Myopic R&D Investment Behavior, The Accounting Review 73, 305-333.
     13. Bushee, B. J., 2001, Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value? Contemporary Accounting Research 18, 207-246.
     14. Byrd, J. and K. Hickman. Do outside directors monitor managers? Evidence from tender offer bids. Journal of Financial Economics 32 (October 1992):195-221.
     15. Callen, J.L., Fang, X., 2011. Institutional investors and crash risk: monitoring or expropriation? Working Paper, University of Toronto, Georgia State University.
     16. Chava, S., Purnanandam, A., 2010. CEOs versus CFOs: incentives and corporate policies. Journal of Financial Economics 97, 263–278.
     17. Chen, X., Harford, J., and Li, K., 2007. “Monitoring: Which institutions matter?” Journal of Financial Economics 86, 279–305.
     18. Cheng, Q., Warfield, T.D., 2005. Equity incentives and earnings management. The Accounting Review 80, 441–476.
     19. Coffee, J.C., Jr. Liquidity Versus Control: The Institutional Investor as Corporate Monitor. Columbia Law Review (1991), 1277-1368.
     20. Dechow, P.M., Ge, W., Schrand, C.M., 2010. Understanding earnings quality: a review of the proxies, their determinants and their consequences. Journal of Accounting and Economics 50, 344–401.
     21. Dobrzynski, J. 1993. Relationship Investing: A New Shareholder is Emerging--Patient and Involved. Business Week. March 15: 68-75
     22. Efendi, J., Srivastava, A., Swanson, E., 2007. Why do corporate managers misstate financial statements? The role of option compensation and other factors. Journal of Financial Economics 85, 667–708.
     23. Eisenberg, T., S. Sundgren, and M. Wells, 1998, Larger Board Size and Decreasing Firm Value in Small Firms, Journal of Financial Economics 48, 35-54.
     24. Erickson, M., Hanlon, M., Maydew, E., 2006. Is there a link between executive equity incentives and accounting fraud? Journal of Accounting Research 44, 113–143.
     25. Fama, E.F., 1980, "Agency Problems and the Theory of the Firm", Journal of Political Economy, (88), pp.288-307.
     26. Gaspar, J.M., Massa, M., Matos, P., 2005. Shareholder investment horizons and the market for corporate control. J. Financ. Econ. 76, 135–165.
     27. Gaspar, J.M., Massa, M., 2007. Local ownership as private information: evidence on the monitoring-liquidity trade-off. J. Financ. Econ. 83, 751–792.
     28. Graves, S.B., 1990. ‘Institutional ownership and corporate R&D investment: A multiindustry.’Technological Forecasting and Social Change, 37, 59–76.
     29. Habib, M., Ljungqvist, A., 2005. Firm value and managerial incentives: a stochastic frontier approach. The Journal of Business 78, 2053–2094.
     30. Heng An, Ting Zhang, 2013. Stock synchronicity, crash risk, and institutional investors. Journal of Corporate Finance 21, 1-15
     31. Hermalin B, Weisbach M, 2003, Board of directors as an endogenously-determined institution: a survey of the economics literature. Econ. Policy Rev., 9: 7-26.
     32. Himmelberg, C., Hubbard, R., Palia, D., 1999. Understanding the determinants of managerial ownership and the link between ownership and performance. Journal of Financial Economics 53, 353–384.
     33. Huson, M.R., Parrino, R. and Starks, L.T., 2001, Internal Monitoring Mechanisms and CEO Turnover: A Long-Term Perspective, Journal of Finance, (56), pp.2265-2297.
     34. Hutton, A.P., Marcus, A.J., Tehranian, H., 2009. Opaque financial reports, R2, and crash risk. J. Financ. Econ. 94, 67–86.
     35. Jacobs, M.T., 1991.Short Term America: The Causes and Cures of Our Business Myopia. Boston: Harvard Business School Press.
     36. Jiang, J., Petroni, K., Wang, I., 2010. CFOs and CEOs: who have the most influence on earnings management? Journal of Financial Economics 96, 513–526.
     37. Jin, L., Myers, S.C., 2006. R2 around the world: new theory and new tests. J. Financ. Econ. 79, 257–292.
     38. Kim, J.B., Li, Y., Zhang, L., 2011a. Corporate tax avoidance and stock price crash risk: firm-level analysis. J. Financ. Econ. 100, 639–662.
     39. Kim, J.B., Li, Y., Zhang, L., 2011b. CFOs versus CEOs: equity incentives and crashes. J. Financ. Econ. 101, 713–730.
     40. Kula, V, 2005, The Impact of the Roles, Structure and Process of Boards on Firm Performance : Evidence from Turkey. Corporate Governance, 13, No.2, pp.265-276
     41. Lang, Mark, and Maureen McNichols, 1997, Institutional trading and corporate performance. Stanford University working paper.
     42. Lipton, M. and J. Lorsch, 1992, A Modest Proposal for Improved Corporate Governance, Business Lawyer 48 (No. 1) 59-67.
     43. Mak, Y. T. & Li, Y. 2001, `Determinants of Corporate Ownership and Board Structure: Evidence from Singapore`, Journal of Corporate Finance, vol. 7, pp. 236-256.
     44. McConnell, J., Servaes, H., 1990. Additional evidence on equity ownership and corporate value. Journal of Financial Economics 27, 595–612.
     45. Mehran, H., 1995. Executive compensation structure, ownership, and firm performance. Journal of Financial Economics 38, 163–184.
     46. Monks, R., and N. Minow. 1995. Corporate Governance. Cambridge, MA: Blackwell, 1995.
     47. Morck, R., Shleifer, A., Vishny, R., 1988. Management ownership and market valuation: An empirical analysis. Journal of Financial Economics 20, 293–315.
     48. Pearce, J. and Zahra, S, 1991, The Relative Power of CEOs and Boards of Directors: Associations with Corporate Performance, Strategic Management Journal, 12(2), 135–153.
     49. Peng, L., Roell, A., 2008. Manipulation and equity-based compensation. The American Economic Review 98, 285–290.
     50. Porter, M.E., 1992, Capital Disadvantage: America’s Failing Capital Investment System. Harvard Business Review , 65-82.
     51. R.G. Sloan.,1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71, . 289–315
     52. Rosenstein, S. and J. G. Wyatt, 1997, Inside directors, board effectiveness, and shareholder wealth, Journal of Financial Economics, Vol. 44(2): 229-250
     53. Shleifer, A., Vishny, R.W., 1986. Large shareholders and corporate control. J. Polit. Econ. 461–488.
     54. Weisbach, M. 1988. “Outside Directors and CEO Turnover.” Journal
     of Financial Economics 20: 431-60.
     55. Yan, X.S., Zhang, Z., 2009. Institutional investors and equity returns: are short-term institutions better informed? Rev. Financ. Stud. 22, 893–924.
     56. Yermack, D. 1996, Higher Market Valuation of Companies with a Small Board of Directors, Journal of Financial Economics, vol. 40, no. 2, pp. 185-211.		zh_TW