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股票流動性與企業價值之關聯性研究 / Stock liquidity and firm performance劉以萱 Unknown Date (has links)
本研究目的為透過實證分析研究2005年至2008年台灣上市櫃公司股票流動性與企業價值兩者之關係,企圖瞭解當考慮其他已證實會影響企業價值之因素,如:公司治理、資訊揭露程度、公司特有風險等因素後,股票流動性是否依然對企業價值存在影響力,即本研究將在控制公司治理程度、資訊揭露程度及公司特有風險等因素下,以周轉率作為股票流動性之代理變數、以Tobin’s Q作為企業價值之代理變數,分別使用普通最小平方法與兩階段最小平方法,檢視股票流動性是否依然影響企業價值。除此之外,亦參考Vivian W. Fang, Thomas H. Noe, Sheri Tice[2009]的研究方法,將代表企業價值之Tobin’s Q拆解成其他三個變數:營業利益對股價比、權益佔資產比及資產報酬率,取代企業價值成為應變數,再以相同研究模型對股票流動性進行實證分析,以求瞭解股票流動性影響企業價值之背後原因。最後,將研究樣本分別依照不同程度之公司治理、不同程度之資訊透明度、不同程度之公司特有風險分成低、中、高三組,以普通最小平方法分析在不同程度之控制變數下,股票流動性對企業價值之影響是否不同。本研究結果如下:第一、股票流動性越高之企業,其企業價值亦越高。第二、股票流動性高的企業,擁有較低之負債比與較高之資產報酬率,是企業價值高的中間影響因子。第三、在不同的董監持股比率、董監質押比率、法人持股比率、獨立董監比率、資訊揭露程度及公司特有風險下,流動性對企業價值的影響力是不同的。公司治理越差、資訊揭露程度越低、公司特有風險越高的公司,其流動性對企業價值越具顯著影響力。 / This paper investigates the relationship between stock liquidity and firm performance in Taiwan by using both of Ordinary Least Squares method and two-stage least squares method. To access whether stock liquidity improves, harms, or has no effect on firm performance, a proxy for Tobin’s Q is regressed on the liquidity measure, stock turnover, and several control variables, for example, corporate governance, information transparency, idiosyncratic risk, etc. Next, In order to gain further insight into the source of higher firm performance for stocks with high liquidity, based on Vivian W. Fang, Thomas H. Noe, Sheri Tice (2009), I break Tobin’s Q into three components: price-to-operating earnings, financial leverage, and operating profitability and then use these three variables as dependent variables to be regressed respectively on the liquidity measure in the same regression model. Besides, I also examine whether the effect of high liquidity on firm performance is different for firms with different level of each control variable. At last, this study shows that liquidity positively affects firm performance and proves that stocks with high liquidity not only have better firm performance, but also have more equity in their capital structure and higher operating profitability levels. This study also finds that the effect of stock liquidity on firm performance is significantly different for firms with different level of control variables.
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我國生醫產業初次上市櫃公開說明書之資訊揭露程度對初級市場承銷定價效率暨次級市場投資人信念異質性之影響 / The effects of disclosure level of IPO Prospectus on pricing efficiency and divergence of opinion for biotechnology companies in Taiwan陳韻涵, Chen, Fabienne Y. Unknown Date (has links)
本研究旨在探討我國生醫產業公開說明書之資訊揭露程度對初次公開發行 (IPO, initial public offering)定價效率及次級市場投資人信念異質性程度之影響。當初級市場認購人間資訊不對稱程度越大時,IPO價值之事前不確定性越高。為均衡各交易參與者之利益,發行人與承銷商將主動提升公開說明書之資訊揭露程度,以制定適當的IPO折價幅度、維持承銷商合理的承銷風險與報酬,並協助認購人適切評定IPO之價值。異質信念觀點強調次級市場投資人對企業價值看法之歧異程度越大,將導致IPO蜜月期報酬之異常現象。本研究預期若無形資產密集度越高,IPO事前不確定性越大,則IPO折價幅度越大,並預期公開說明書之資訊揭露程度將改變無形資產密集度對折價幅度之影響程度。此外,本研究預期,生醫產業IPO案件之無形資產密集度、公開說明書之資訊揭露程度及者配售情形均可能影響投資人信念異質性,進而影響掛牌初期之成交價量表現。
本研究參考國外證券主管機關之無形資產資訊揭露規範,自行建立資訊揭露指標,系統性地衡量我國生醫產業公開說明書之資訊揭露程度,並以多元迴歸分析檢測假說。實證結果顯示,我國生醫產業IPO案件之無形資產密集度對IPO折價幅度存在顯著正向影響;公開說明書之資訊揭露程度改變無形資產密集度對折價幅度之影響程度;發行人之無形資產密集度、公開說明書資訊揭露程度及初級市場配售情形皆影響掛牌初期之投資人信念異質性及價格震盪幅度。研究結果證實公開說明書之資訊揭露提供預期效益,及初級與次級市場間之資訊相互流通、交易行為相互連動之關聯性。 / This research examines how the disclosure level of prospectus influences the efficiency of IPO (initial public offering) pricing in the primary market and the degree of divergence of opinions in the secondary market. The literature of IPO underpricing suggests that ex ante uncertainty due to information asymmetry has a positive impact on IPO discount and voluntary disclosure of prospectuses may reduce the uncertainty level. This research hypothesizes that, for biotechnology companies, a greater disclosure level of prospectuses would lower the impact of intensity of intangibles on IPO discount. Further, this research hypothesizes a relation between the pricing efficiency in primary market and the level of divergence of opinions in secondary market.
The empirical results from regression analyses of hand-collected data show that, for biotechnology IPOs, the disclosure level of prospectuses reduces the impact of the intensity of intangibles on IPO discount. In addition, the intensity of intangibles, disclosure level of prospectuses, and trading behaviors in the primary market have an effect on the degree of divergence of opinions in the secondary market. In sum, this research evidences the expected benefits of the increased level of voluntary disclosure of prospectuses for biotechnology IPOs.
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