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標題: 財務困難指標、公司治理與股價表現
Financial Distress Score, Corporate Governance and Stock Price Performance
作者: 王戊昌
Wang, Wu-Chang
出版社: 高階經理人碩士在職專班
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摘要: 本文以 Logit (Ohlson (1980)) 模式估計公司的破產風險,作財務危機的代理變數,並於研究中加入公司治理變數,以檢驗破產風險、公司治理與未來股價報酬三者間的關聯性,實證結果顯示,未來股價報酬與破產風險呈負相關,隱含破產風險應歸屬於公司個別風險,而非系統性風險;另外,公司治理機制愈完善,股票未來報酬愈高。本文也發現投資人可透過破產風險及公司治理機制來預測短期股價報酬率。
This paper employs Ohlson's (1980) logit model to estimate bankruptcy risk for financial distress proxy. I then examine the impacts of bankruptcy risk and corporate governance on subsequent realized returns. The results show that bankruptcy risk being negatively related to subsequent realized returns, implying that bankruptcy risk is mainly comes from idiosyncratic factors, rather than systematic risk. In addition, firms with better corporate governance exhibit higher subsequent returns. I also demonstrate that investors can use bankruptcy risk and corporate governance mechanism to predict returns in a few months.
其他識別: U0005-2108200616072200
Appears in Collections:高階經理人碩士在職專班



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