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題名 經理人自信程度對價值股與成長股投資績效的影響
The Effect of CEO Confidence Level on the Investment Performance of Value and Growth Stocks
作者 游詩婷
Yu, Shih Ting
貢獻者 周冠男
游詩婷
Yu, Shih Ting
關鍵詞 過度自信
適度自信
缺乏自信
經理人
價值溢酬
Excessively Overconfident
Moderately Overconfident
Excessively Diffident
CEOs
Value Premium
日期 2014
上傳時間 3-Feb-2015 10:17:57 (UTC+8)
摘要 過去文獻顯示，市場上長期存在價值溢酬，而最近的文獻也發現，只有適當過度自信的經理人可以做出最適的投資決策，並且增加公司價值，因此，本文將公司用價值型、成長型及不同自信程度的經理人變數交叉做分組，以研究價值溢酬是否只會出現某些特定自信程度的經理人身上。本文使用ExecuComp資料庫內1997-2013年的美國公司資料去做研究，最後我們發現，在成長型公司內，只有被極度過度自信的經理人所管理的公司會產生比較差的績效；相反的，在價值型公司內，被缺乏自信的經理人所管理公司產生所有分組裡最佳的績效。另外，並非所有成長型公司績效都偏低，被適當自信程度的經理人所管理的成長型公司也可以產生好的績效，因此本篇文章認為，公司應該要依照公司特性去挑選不同的經理人以提升公司價值。
Empirical literatures show that value stocks outperform growth stocks consistently. Recent researches also document that only the moderately overconfident CEOs make optimal investment decisions and increase the firm value. Thus, in this paper, we argue that value premium may not hold in some particular firm characteristic if value and growth firms are subdivided into firms managed with different CEO confidence level. Using a sample of U.S firms over 1997-2013 from ExecuComp, we find, in growth firms, only the firms managed by excessively overconfident CEOs results in poor performances. Besides, the value firms managed by excessively diffident CEOs earn the highest return; however, the growth firms earn a positive return when the CEOs are moderately overconfident. We show that firms should hire CEOs matched their specific characteristics to increase firm value.
參考文獻 Basu, S. 1977. `Investment performance of common-stocks in relation to their price-earning ratios - test of efficent market hyothesis.` Journal of Finance, 32:3, 663-82.
Campbell, T. C., Gallmeyer, M., Johnson, S. A., Rutherford, J. & Stanley, B. W. 2011. `CEO optimism and forced turnover.` Journal of Financial Economics, 101:3, 695-712.
Chan, L. K. C., Hamao, Y. & Lakonishok, J. 1991. `Fundamentals and Stock Returns in Japan.` Journal of Finance, 46:5, 1739-64.
Fama, E. F. & French, K. R. 1995. `Size and Book-to-Market Factors in Earnings and Returns.` Journal of Finance, 50:1, 131-55.
Goel, A. M. & Thakor, A. V. 2008. `Overconfidence, CEO Selection, and Corporate Governance.` Journal of Finance, 63:6, 2737-84.
Heaton, J. B. 2002. `Managerial Optimism and Corporate Finance.` Financial Management, 31:2.
Hueng, C. J., Pettengill, G. & Chang, G. 2013. `Comparing Value and Growth Mutual Performance: Bias from the Fama-French HML Factor.` Academy of Economics and Finance Journal:4, 75-86.
Lakonishok, J., Shleifer, A. & Vishny, R. W. 1994. `Contrarian Investment, Extrapolation, and Risk.` Journal of Finance, 49:5, 1541-78.
Lang, L. H. P. & Stulz, R. M. 1994. `Tobin`s q, Corporate Diversification, and Firm Performance.` Journal of Political Economy, 102:6, 1248-80.
Malmendier, U. & Tate, G. 2005. `CEO overconfidence and corporate investment.` Journal of Finance, 60:6, 2661-700.
Malmendier, U. & Tate, G. 2008. `Who makes acquisitions? CEO overconfidence and the market`s reaction.` Journal of Financial Economics, 89:1, 20-43.
Panayiotis C. Andreou, John A. Doukas & Louca*, C. 2011. `Corporate Diversification and Managerial Overconfidence.`
Rosenberg, B., Reid, K. & Lanstein, R. 1985. `Persuasive Evidencee of Market Inefficiency.` Journal of Portfolio Management, 11:3, 9-16.
Schrand, C. M. & Zechman, S. L. C. 2012. `Executive overconfidence and the slippery slope to financial misreporting.` Journal of Accounting and Economics, 53:1–2, 311-29.
Serfling, M. A. 2012. `CEO Age, Underinvestment, and Agency Costs.` Working paper.
Stambaugh, R. F., Yu, J. & Yuan, Y. 2012. `The short of it: Investor sentiment and anomalies.` Journal of Financial Economics, 104:2, 288-302.
Zhang, L. U. 2005. `The Value Premium.` The Journal of Finance, 60:1, 67-103.
描述 碩士
國立政治大學
財務管理研究所
101357024
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101357024
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 游詩婷zh_TW
dc.contributor.author (Authors) Yu, Shih Tingen_US
dc.creator (作者) 游詩婷zh_TW
dc.creator (作者) Yu, Shih Tingen_US
dc.date (日期) 2014en_US
dc.date.accessioned 3-Feb-2015 10:17:57 (UTC+8)-
dc.date.available 3-Feb-2015 10:17:57 (UTC+8)-
dc.date.issued (上傳時間) 3-Feb-2015 10:17:57 (UTC+8)-
dc.identifier (Other Identifiers) G0101357024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73237-
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) 101357024zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 過去文獻顯示，市場上長期存在價值溢酬，而最近的文獻也發現，只有適當過度自信的經理人可以做出最適的投資決策，並且增加公司價值，因此，本文將公司用價值型、成長型及不同自信程度的經理人變數交叉做分組，以研究價值溢酬是否只會出現某些特定自信程度的經理人身上。本文使用ExecuComp資料庫內1997-2013年的美國公司資料去做研究，最後我們發現，在成長型公司內，只有被極度過度自信的經理人所管理的公司會產生比較差的績效；相反的，在價值型公司內，被缺乏自信的經理人所管理公司產生所有分組裡最佳的績效。另外，並非所有成長型公司績效都偏低，被適當自信程度的經理人所管理的成長型公司也可以產生好的績效，因此本篇文章認為，公司應該要依照公司特性去挑選不同的經理人以提升公司價值。zh_TW
dc.description.abstract (摘要) Empirical literatures show that value stocks outperform growth stocks consistently. Recent researches also document that only the moderately overconfident CEOs make optimal investment decisions and increase the firm value. Thus, in this paper, we argue that value premium may not hold in some particular firm characteristic if value and growth firms are subdivided into firms managed with different CEO confidence level. Using a sample of U.S firms over 1997-2013 from ExecuComp, we find, in growth firms, only the firms managed by excessively overconfident CEOs results in poor performances. Besides, the value firms managed by excessively diffident CEOs earn the highest return; however, the growth firms earn a positive return when the CEOs are moderately overconfident. We show that firms should hire CEOs matched their specific characteristics to increase firm value.en_US
dc.description.tableofcontents List of Tables iii
I. Introduction 1
II. Literature Review and Hypotheses 5
III. Methodology 8
III.1 Value and Growth Stocks Measure 8
III.2 CEO Confidence Level Measure 8
III.3 Empirical Approach 10
IV. Sample and Summary Statistic 12
IV.1 Sample 12
IV.2 Summary Statistic 13
V. Empirical Result 21
VI. Conclusion 29
VII. Reference 31		zh_TW
dc.format.extent 642249 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101357024en_US
dc.subject (關鍵詞) 過度自信zh_TW
dc.subject (關鍵詞) 適度自信zh_TW
dc.subject (關鍵詞) 缺乏自信zh_TW
dc.subject (關鍵詞) 經理人zh_TW
dc.subject (關鍵詞) 價值溢酬zh_TW
dc.subject (關鍵詞) Excessively Overconfidenten_US
dc.subject (關鍵詞) Moderately Overconfidenten_US
dc.subject (關鍵詞) Excessively Diffidenten_US
dc.subject (關鍵詞) CEOsen_US
dc.subject (關鍵詞) Value Premiumen_US
dc.title (題名) 經理人自信程度對價值股與成長股投資績效的影響zh_TW
dc.title (題名) The Effect of CEO Confidence Level on the Investment Performance of Value and Growth Stocksen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Basu, S. 1977. `Investment performance of common-stocks in relation to their price-earning ratios - test of efficent market hyothesis.` Journal of Finance, 32:3, 663-82.
Campbell, T. C., Gallmeyer, M., Johnson, S. A., Rutherford, J. & Stanley, B. W. 2011. `CEO optimism and forced turnover.` Journal of Financial Economics, 101:3, 695-712.
Chan, L. K. C., Hamao, Y. & Lakonishok, J. 1991. `Fundamentals and Stock Returns in Japan.` Journal of Finance, 46:5, 1739-64.
Fama, E. F. & French, K. R. 1995. `Size and Book-to-Market Factors in Earnings and Returns.` Journal of Finance, 50:1, 131-55.
Goel, A. M. & Thakor, A. V. 2008. `Overconfidence, CEO Selection, and Corporate Governance.` Journal of Finance, 63:6, 2737-84.
Heaton, J. B. 2002. `Managerial Optimism and Corporate Finance.` Financial Management, 31:2.
Hueng, C. J., Pettengill, G. & Chang, G. 2013. `Comparing Value and Growth Mutual Performance: Bias from the Fama-French HML Factor.` Academy of Economics and Finance Journal:4, 75-86.
Lakonishok, J., Shleifer, A. & Vishny, R. W. 1994. `Contrarian Investment, Extrapolation, and Risk.` Journal of Finance, 49:5, 1541-78.
Lang, L. H. P. & Stulz, R. M. 1994. `Tobin`s q, Corporate Diversification, and Firm Performance.` Journal of Political Economy, 102:6, 1248-80.
Malmendier, U. & Tate, G. 2005. `CEO overconfidence and corporate investment.` Journal of Finance, 60:6, 2661-700.
Malmendier, U. & Tate, G. 2008. `Who makes acquisitions? CEO overconfidence and the market`s reaction.` Journal of Financial Economics, 89:1, 20-43.
Panayiotis C. Andreou, John A. Doukas & Louca*, C. 2011. `Corporate Diversification and Managerial Overconfidence.`
Rosenberg, B., Reid, K. & Lanstein, R. 1985. `Persuasive Evidencee of Market Inefficiency.` Journal of Portfolio Management, 11:3, 9-16.
Schrand, C. M. & Zechman, S. L. C. 2012. `Executive overconfidence and the slippery slope to financial misreporting.` Journal of Accounting and Economics, 53:1–2, 311-29.
Serfling, M. A. 2012. `CEO Age, Underinvestment, and Agency Costs.` Working paper.
Stambaugh, R. F., Yu, J. & Yuan, Y. 2012. `The short of it: Investor sentiment and anomalies.` Journal of Financial Economics, 104:2, 288-302.
Zhang, L. U. 2005. `The Value Premium.` The Journal of Finance, 60:1, 67-103.		zh_TW