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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 3-二月-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 (作者) 游詩婷 zh_TW dc.contributor.author (作者) Yu, Shih Ting en_US dc.creator (作者) 游詩婷 zh_TW dc.creator (作者) Yu, Shih Ting en_US dc.date (日期) 2014 en_US dc.date.accessioned 3-二月-2015 10:17:57 (UTC+8) - dc.date.available 3-二月-2015 10:17:57 (UTC+8) - dc.date.issued (上傳時間) 3-二月-2015 10:17:57 (UTC+8) - dc.identifier (其他 識別碼) G0101357024 en_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) 101357024 zh_TW dc.description (描述) 103 zh_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 iiiI. Introduction 1II. Literature Review and Hypotheses 5III. Methodology 8III.1 Value and Growth Stocks Measure 8III.2 CEO Confidence Level Measure 8III.3 Empirical Approach 10IV. Sample and Summary Statistic 12IV.1 Sample 12IV.2 Summary Statistic 13V. Empirical Result 21VI. Conclusion 29VII. 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/#G0101357024 en_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 Overconfident en_US dc.subject (關鍵詞) Moderately Overconfident en_US dc.subject (關鍵詞) Excessively Diffident en_US dc.subject (關鍵詞) CEOs en_US dc.subject (關鍵詞) Value Premium en_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 Stocks en_US dc.type (資料類型) thesis en 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
