摘要 中國大陸與台灣雖然是屬於同文同種，但由於其處在共產體制下，有特殊的政經環境，目前已有研究探討台灣的公司治理與負債資金成本之關係，而本研究探討中國大陸公司治理與負債資金成本之關係，分析哪些公司治理的機制會影響到負債資金成本之高低，並將實證結果與台灣的情形作比較。 本研究樣本之選取期間為1999 年至2006 年間，共8 個年度，包含1610 個觀察值。使用多元迴歸分析，對各項變數進行分析，以了解公司治理之特性與負債資金成本的關聯性。 實證結果發現，機構法人持股比與負債資金成本呈顯著負相關，董事會規模則是與負債資金成本呈顯著正相關，與本研究預期方向相符。 關鍵詞：公司治理、負債資金成本 / Abstract Although Mainland China and Taiwan are homogeneous, Mainland China is under communist system and has particular political and economic environment. Some researches have conducted to evaluate the relationship between the quality of corporate governance and the cost of debt in Taiwan, and the thesis is to study the relationship between corporate governance and the cost of debt in Mainland China and to analyze whether corporate governance affects the cost of debt. The thesis also compares the result in Mainland China with what in Taiwan. Sample firms are selected from companies having interest expenses during 1999 to 2006, with a total of 1601 observations. The multiple regression is employed to carry out the analysis and to study the relationship between corporate governance and the cost of debt. The results indicate that the institutional investor’s shareholding and the size of board are significantly correlated with the cost of debt at anticipated direction, which support the hypothesis. Key words：corporate governance, the cost of debt.

企業之營運當中，其營運資金有部份需仰賴企業外部之投資者，大多數公司會以發債的方式進行籌措。債權人在投入資金前，其所能信賴的即企業對外之財務報表。但債權人對於管理階層所編製的財務報表可靠性會產生不信任感，此時便需要會計師的查核意見；然而在安隆案後，社會大眾對於會計師的獨立性信賴崩盤，Arthur Andersen為安隆公司提供簽證服務長達二十七年，此舉引發人們對於會計師任期長短所造成的獨立性疑慮；此外，安隆案的揭弊者Sherron Watkins，於2002年登上了時代雜誌的女性風雲人物，在一般認知中，女性的行事風格較男性保守也較有道德感，且女性較可能因為偏好道德上的判斷而勇於挑戰現實中的壓力。 / When it comes to managing an enterprise, most of the companies would rely on outside investors to supply them with operation funds. Companies would raise funds by issuing bonds. In order to win the trust from these investors, management team has to provide them with impressive financial statements. Financial statements represent the financial affairs and the state of management of enterprises in a period or the end of the year. Due to the distrust of the financial statement reliability may occurred by creditors, opinions from accountants become necessary. However, the scandal of Enron Corporation had inflicted the trust from the public. People started to concern about the independency of accountant because the engagement service that Arthur Anderson had provided for Enron was last for 27 years. Generally, people consider women are more conservative and full of moral sense than men. Women may prefer challenging the pressure of reality due to the judgement with moral sense. Moreover, Time Magazine named Sherron Watkins, the whistleblower of the Enron scandal, “Person of the Year” for 2002. Therefore, whether the gender difference may affect the final opinions that accountants provide, becomes another key point in my research. This study aims to examine the effect of debt cost with elements as follow: auditor’s gender and tenure. With a sample of ordinary corporate bonds published by listed and over-the-counter companies during 2000-2014. The results show that companies audited by female accountants has less debt cost and auditor’s tenure has a positive association with debt cost.

文獻探討中有提到許多公司治理與公司治理衡量指標之關係，且也有人做有關資訊揭露(為公司治理衡量指標之一部分)與負債資金成本之研究，即公司治理之衡量指標可代表公司治理之好壞，那公司治理與負債資金成本有無直接相關呢？可否直接從公司治理之好壞看出其負債資金成本之高低呢？並無相關文獻探討有關內容。而在世界銀行公司治理架構中，債權人也是公司治理的一份子，因此本研究欲探討對債權人而言，公司治理的好壞會不會影響其對公司收取的利息，也就是公司之負債資金成本會否受公司治理好壞之影響，以補足公司治理架構之研究。 本研究樣本之選取期間為民國八十五年至民國九十一年間，共7 個年度。共167個觀察值。本研究使用複迴歸分析，對各項變數進行分析，以了解公司治理之特性與負債資金成本的關聯性，其結果如下： 　　解釋變數中，董監持股比、機構持股比及董事長兼任總經理方向不僅與預期相同，結果也顯著。公司之揭露程度方向雖與預期相同，但不顯著。 可能原因為，公司治理為近年來才開始重視的議題，且通常是股東比較會在意公司的公司治理好壞，債權人可能還未意識到公司之公司治理好壞影響該公司甚大，其在考慮是否將資金貸予公司時，可能還未將公司之公司治理好壞因素考慮在內。但一家公司能否永續經營，公司治理之好壞應該是很好的判斷標準，因此，預期未來債權人也會意識到這種情形，在考慮是否將資金貸予公司時，應會將公司之公司治理好壞考慮進去。所以，若公司想在現今競爭激烈的環境下生存，首要之務就是將公司的公司治理做好，既利人又利己，何樂而不為呢？ 關鍵字：公司治理、負債資金成本 / A survey of literature reveals that management performance is positively correlated with the quality of corporate governance and negatively correlated with the cost of debt. However, no research has been conducted to evaluate the relationship between the quality of corporate governance and the cost of debt. In the corporate governance framework formulated by the World Bank, creditor is one of the corporate governance factors. Therefore, it is hypothesized that the quality of corporate governance is negatively correlated with the cost of debt. Sample firms are selected from companies issuing bond during 1996 to 2002, with a total of 167 firm/year observations. The multi-variate linear regression model is employed to carry out the analysis. The results indicate that the director’s shareholdings, the institutional investor’s shareholdings and the dual position of board chairman and presidency are all significantly correlated with the cost of debt at anticipated direction, which support the hypothesis. The financial transparency is also negatively correlated with the cost of debt as anticipated but not at a significant level. Overall, it appears that the creditors take into consideration the quality of corporate governance in making their lending decisions. Key words：corporate governance, the cost of debt.

本研究主要在探討財務報表重編事件是否導致要求之資金成本提高。探究重編事件之經濟後果，除了彌補此議題之實證證據外，研究結果亦能提供警訊給予企業之管理當局，以抑減財務報表舞弊之發生，同時提供投資人投資決策參考。 本研究以民國86年7月至96年6月間曾重編財務報表之國內上市公司為重編研究樣本建構財務報表重編投資組合，與同期間之其他對應之上市公司投資組合，運用Fama-French三因子模型，加入財務報表重編因子，建構四因子模型，進行最小平方法(OLS)迴歸分析檢測假說。實證結果顯示，在控制市場、規模、淨值市價比因子之後，財務報表重編因子為風險因子，顯示財務報表重編，導致投資者要求之資金成本提高。此外，投資者對於財務報表重編次數之反應並無明顯的不同，而對重編變動之金額程度之反應則有顯著之差異。同時，投資者對於小規模公司發生財務報表重編之反應較大規模公司來的劇烈。最後，在事件影響存續期間研究結果顯示，財務報表重編事件對於公司之資金成本長期而言有明顯的影響，顯見財務報表重編對公司之價值影響重大。

歐盟於2006 年開始要求境內上市公司依照國際財務報導準則編製財務報 表。對於財報編制方式的改變對於公司經營層面的影響，學者看法分歧。本研究選擇英國、法國、德國、瑞士四個國家的壽險、產險與銀行業者做為研究對象，探討採用國際財務報導準則編製財務報表之後，公司資金成本有無顯著的上升或下降情形。研究結果顯示，在控制其他變數之後，公司的資金成本與採用國際財務報導準則與否，無顯著的相關性。公司本身的特性與總體經濟環境因素對於公司資金成本的影響，比是否採用國際財務報導準則更為重要。 / Beginning in 2006, compliance with the International Financial Reporting Standards(IFRS) has been required in the European Union. People have different opinion about the effects of adoption of IFRS. In this thesis, the author investigates the effect on cost of capital for financial industry after adopting IFRS. The implication of study result is: there is no evidence to proof that the cost of capital will be decreased or increased after adopting IFRS. Otherwise, the company specifics and macroeconomic environment are determinant factors in cost of capital.

本研究的目的在於探討企業的財務結構決策是否攸關市場價值。根據加權平均資金成本與企業評價模式相關文獻基礎，產生下列三個假設：(1)資本結構與平均資金成本存有關聯性；(2)最適資本結構必須存在，以使平均資金成本達到最低；(3)平均資金成本與企業價值也存有關聯性。故本研究之實證議題探討：(1)平均資金成本與資本結構的關聯性以及最佳資本結構是否存在(2)加權平均資金成本、權益資金成本與企業價值的關聯性(3)資本結構與平均資金成本之關聯性對企業價值的影響。 本研究使用民國80年至88年台灣證交所股票上市公司作為樣本資料，主要的實證結果如下。財務結構與平均資金成本具有顯著的負向關係，故實證結果並不支持M-M 的槓桿無關論。在十八個產業中，大約半數的產業存在最適資本結構。此外，相對於平均資金成本而言，權益資金成本與股價報酬呈現顯著的負向關係，且具有較高的解釋力；這個結果強調了權益資金成本在解釋股價報酬上的重要性。 本研究亦發現，企業經理人無法透過財務結構的調整來極大化企業的價值，經理人應該考量其他方式來極大化公司的價值。 / The purpose of this thesis is to investigate whether financial structure decisions of a firm are relevant to its market value. Three assumptions underlie the literature on weighted average cost of capital and firm valuation models. First, the linkage exists between the capital structure and the average cost of capital. Second, in order to minimize the average cost of capital, the presence of optimal capital structure is required. And third, the relationship exists between the average cost of capital and firm values. The empirical issues explored in this thesis therefore include: (1) The relationship between the average cost of capital and the capital structure and the presence of optimal capital structure; (2) The association between weighted average cost of capital, cost of equity capital and firm values; and (3) The influence of capital structure-average cost of capital relationship on firm values. Using the listed companies on Taiwan Stock Exchange over the period of 1991 to 1999 as the sample, major empirical findings are as follows. The empirical evidence indicates that financial structure is significantly negatively associated with the average cost of capital, which in turn may imply the M-M leverage irrelevance proposition is not supported by the sample firms examined. About half of the 18 industries examined in this study suggest the presence of optimal capital structure. Furthermore, compared to the average cost of capital, the cost of equity capital is found to be significantly and negatively associated with stock returns and has better explanatory power. This emphasizes the importance of the cost of equity capital in interpreting the behavior of stock returns. In addition, this thesis also finds that managers’ influence of maximizing firms’values through adjusting their firms’financial structures is limited. Managers may have to find avenues other than financial structure decisions to maximize the values of their firms.

我國庫藏股制度於民國八十九年開始實施，當上市櫃公司宣告買回庫藏股後，造成了公司資產的重分配，其股東、債權人等利害關係人會以預期心理來評估自身權益所受到的影響，並將其反應在所要求的必要報酬率上，因此公司對股東所負擔的權益資金成本及對債權人所負擔的負債資金成本都將產生變動。 當公司宣告買回庫藏股後，實證結果顯示：(1)其負債資金成本將上升，而權益資金成本將會下降。(2)預定買回股份佔資本比愈大時，其負債資金成本增加愈多。(3)買回前獲利能力之不同，並未發現其會對宣告買回公司之負債資金成本有顯著影響。(4)依目的三買回將使該公司負債資金成本增加數小於依目的一或目的二買回之負債資金成本增加數、並使權益資金成本減少數大於依目的一或目的二買回之權益資金成本減少數。(5)公司內部人持股比率於宣告前一年淨增加愈多則權益資金成本降低程度愈大。(6)資訊愈對稱的公司其權益資金成本下降的程度愈少。 / Share repurchase system was formally implemented in Taiwan in 2000 , when the TSEC & OTC listed companies announce that they will repurchase shares , it changes the composition of assets held by the firm , revising the ownership proportions of each of their shareholders and interests of each of their creditors. Thus, their cost of equity capital and debt capital may change . When companies announce to repurchase shares , results show that : (1)their cost of debt capital will increase and their cost of equity capital will decrease. (2)the more percentage of shares companies expect to repurchase , the more their cost of debt capital increase. (3)the different profitability before announcement has no significant effect to companies’ cost of debt capital. (4)repurchase in order to conserve companies’ credibility and shareholders’ equity will increase less cost of debt capital and decrease more cost of equity capital than that in order to reach other two purposes .(5) the more increase of percentage of shares companies’ insiders’ hold before announce, the more their cost of equity capital decrease. (6) the more symmetrical information companies obtain , the less their cost of equity capital decrease.

本論文利用證券交易所提供的日內成交資料可以追蹤投資人的交易記錄，並研究1995-2003年208家初次發行上市公司(IPO)的新舊投資人基礎以及其變動對於資金成本的影響。研究結果發現，大部分IPO確實能增加投資人基礎，而且投資人偏好報酬率與報酬率波動較大的股票；另外，投資人基礎的變動可以解釋Merton(1987) investor recognition hypothesis，即投資人基礎增加可以降低資金成本。 由第二章的分析可知大部分IPO的確能吸引更多的投資人交易，平均而言，第二年新增14.2%的投資人交易，而且有43.8%的公司增加投資人交易；另外，61.5%的公司吸引更多的新投資人，只有39.4%的公司吸引更多的舊投資人。投資人增加的比率與持有期間超額報酬有關，這可以解釋為何上市公司以及交易所皆努力提升投資人基礎。另外，新投資人在市場較熱絡時增加較為顯著，而且較偏好報酬率波動較大的股票。 除了研究第二年投資人基礎增加的情形，本論文亦研究第一年的投資人在第二年的股票持有變化情形，如果投資人在第一年曾經持有該公司的股票，並於期末前賣掉，則第二年股票的持有期間超額報酬率愈高時，將吸引愈多的投資人繼續交易該股票；但是如果投資人在第一年期末持有該IPO股票，當股票的第二年持有期間超額報酬率愈高時，投資人會傾向賣掉手中持股。 第三章檢驗Merton (1987) ‘investor recognition hypothesis’，即公司增加愈多投資人基礎將降低因為資訊不完全所產生之資金成本，並增加公司的價值。相對於之前針對投資人基礎增加會降低資金成本的研究，本論文以交易該公司股票的投資人代表知道該股票的投資人基礎，此代理變數較先前研究更能代表“awareness of the firm”。利用市場模型，發現公司在第二年平均減少超額報酬率，若將樣本分成電子與非電子產業，仍然得到類似的結果。最後，本論文發現投資人變動的確能解釋異常報酬的變動，即符合Merton (1987) investor recognition hypothesis，此現象不論在產業分類或法人皆得到一致的結論。 / A unique dataset is analyzed in this study comprising of data obtained from the TSE transactions record database on trading activity for the 208 IPO firms. The investor’s identity can trace investor’s trading records. Thus, we can define new and old investors. Additionally, the identification of the type of investor (as either an individual or institutional investor) facilitates the examination of investor behavior for either type. From the analysis in the chapter 2, we can see that there is an increase over time in the number of investors which IPOs are able to attract. An increase of 14.2 percent is found in the mean number of investors per firm, while 43.8 percent of firms are found to experience increases in the overall number of investors from the first year to the second year after their initial listing. On average, the mean rate of increase for new investors is larger than that for old investors, with 61.5 percent of IPO firms experiencing increases in the total number of new investors, as compared to the 39.4 percent of firms which experience increases in old investors. The results reveal that the rate of increase in investors has a positive correlation with holding period excess returns (HPERs), which helps to explain why both firms and stock exchanges have such similar strong desires to see improvements in the overall number of investors. A significant increase in new investors is discernible in a ‘hot’ market, and in those firms with higher return volatility levels. Furthermore, all investors naturally prefer firms with higher returns. The analysis of the changes in the investor base suggests that if investors do not hold the stock in first year, then the higher the HPERs, the greater the overall increase in the total number of investors; however, where investors had previously held the relevant stocks, we find that they will tend to sell their winning stocks. Chapter 3 undertakes an examination of the Merton (1987) ‘investor recognition hypothesis’, in which he argues that an increase in the total number of investors with prior knowledge of a firm will ultimately lower the expected returns of investors by reducing the ‘shadow cost’ arising from the lack of knowledge on a particular security; the end result of this will invariably be an increase in the market value of the firm’s shares. In contrast to the prior studies, we employ the total number of traders to represent the awareness of any given firm among investors. We examine the reduction in the costs of equity capital associated with listing using the ‘market model’ to compute the abnormal returns, and find a decline in the average daily abnormal return in the second year. Similar patterns are discernible for firms in both the non-electronics and electronics industries. Finally, our test of the Merton (1987) investor recognition hypothesis is undertaken by regressing the firms’ average abnormal returns against the changes in the overall numbers of traders. The results confirm the association between investor recognition and the costs of capital.

Akerlof (1970) 肇端了資訊經濟學的發展，而 Leland & Pyle (1977)，Ross (1977) 和 Bhattacharya (1979) 等正式將資訊經濟學帶入財務研究的領域後，資訊不對稱的重要性日益受到重視，且已對傳統財務理論產生很大的衝擊，但是關於資訊不對稱的研究僅偏重於均衡條件的探討，對於如何影響風險性資產的價格以及影響程度則未見系統性研究．而且資訊不對稱的程度很難具體衡量，因此此一議題鮮見實證探討．本研究即將資訊不對稱正式納入風險性資產定價模式，並以銀行借款為實證對象，利用共變結構模型找出資訊不對稱的衡量變數，對資訊不對稱程度加以衡量．本研究在理論模式的建構，分別以一般競爭均衡，利率結構，選擇權定價，與銀行借款信用評等等四個定價模式，將資訊不對稱正式納入各模式中，推導其對價格的影響．四個不同模式均獲致相同結論：資訊不對稱使債權人的認知風險高於完全資訊時的實質風險，致使借款人資金成本上升．利用LISREL為資訊不對稱界定出一組配適良好的衡量模式，包括借款企業的年齡，規模，保證人人數，以及與銀行往來期間等四項變數．實證結果顯示，資訊不對稱對借款者的償債能力．理論模式與主要研究命題獲實證結果支持．

本研究探討盈餘品質、風險因子與權益資金成本之關係，主要研究盈餘品質是否會因為其他風險因子而降低對權益資金成本的影響。本研究之盈餘品質採用四種不同的衡量方式，先探討三種衡量盈餘品質的方式與風險因子對權益資金成本的影響，再將三種衡量盈餘品質的方式計算出一個綜合分數，探討綜合分數與風險因子對權益資金成本的影響，並將變數標準化來排序所有影響權益資金成本的因素。 實證結果顯示異常應計項目及盈餘品質綜合分數在其他風險因子納入模型後，仍然是權益資金成本的顯著影響因素。三種盈餘品質衡量方式與風險因子進行標準化後，對權益資金成本的影響順序，依序為淨值市值比、負債市值比、非系統風險、企業規模、股票週轉率、動能效果、系統性風險、異常應計項目及負債淨值比。而綜合分數與風險因子標準化之排序結果為負債市值比、非系統性風險、企業規模、股票週轉率、動能效果、淨值市值比、系統性風險、負債淨值比及綜合分數。統計上，即使考量了各種風險因子，盈餘品質仍是權益資金成本顯著的影響因子。 / This study investigates the relation among earnings quality, risk factors and cost of equity, especially, the existence of the effect of earnings quality on cost of equity while risk factors are considered, and the impact order of determinants of cost of equity. Fur measures of earnings quality are examined in the study of determinants of cost equity. We investigate how three individual measures of earnings quality and risk factors affect cost of equity. Then, we use the common factor score of these three individual measures of earnings quality as a composite of earnings quality to examine the impact of earnings quality and risk factors on cost of equity. Furthermore, we standardize variables to order the effects of determinants of cost of equity. The empirical result shows that both the absolute value of abnormal accruals and the composite factor score of earnings quality have positive effect on cost of equity. With three individual measures of earnings quality and risk factors as determinants of cost of equity, the effects in order the ratio of book value of equity to market value of equity, are the ratio of debt to market value of equity, unsystematic risk, firm size, shares turnover, momentum effect, systematic risk, absolute value of abnormal accruals and the ratio of debt to book value of equity. While with the composite common factor score and risk factors as determinants of cost of equity, the effect in order are the ratio of debt to market value of equity, unsystematic risk, firm size, shares turnover, momentum effect, the ratio of book value of equity to market value of equity, systematic risk, the ratio of debt to book value of equity and common factor. As a conclusion, the earnings quality is statistically a significant determinant of cost of equity after considering a variety of risk factors.