公司治理對基本財務資訊與股票報酬關係的影響：內生性轉換模型之應用


The Impact of Corporate Governance on the Relations among Fundamental Financial Information and Stock Returns: An Endogenous Switching Model Approach

本研究主要檢視公司治理是否影響基本財務資訊與股票報酬的關係。 我們使用Hu andSchiantarelli (1998) 內生性轉換模型 (endogenous switching model, ESM) 的方法，而將樣本區分為好的公司治理與不好的公司治理二個區域。我們資料為台灣上市的 183 家製造業公司。當使用傳統線性模型時，我們發現存貨、銷貨毛利、備抵壞帳費用以及負債比率變化率的係數，出現符合預期的負向符號。但是研發費、管銷費用與員工生產力比率的係數，卻出現違反直覺的正向符號。而每股盈餘變化率、應收帳款、有效稅率以及會計師意見，則是對股票報酬沒有任何顯著的效果。然而，當我使用內生性轉換模型時，先前違反直覺的係數，已轉變成與我們的預期相符合。 This paper investigates whether corporate governance affects the relations among fundamental financial information and stock returns using Taiwan data. We employ the endogenous switching model (ESM) of Hu and Schiantarelli (1998) and divide the sample into strong and weak governance regimes. Employing the linear model, we find that the coefficients of Inventory, Gross Margin, Provision for Doubtful Receivables and Change in Leverage Ratio show the expected negative signs, whereas Research and Development Expenditures, Sales and Administrative Expenses and Labor Force show counter-intuitive results as the coefficients are positive. Annual change in Earnings Per Share (EPS), Accounts Receivable, Effective Tax Rate and Audit Qualification do not have any significant impact on stock returns. Employing our ESM model, the previous counter-intuitive coefficients become consistent with our expectations.