經理人資訊揭露裁量與股票報酬率偏態關係

Managerial Discretion in Information Disclosure and Skewness of Stock Returns

傳統投資組合理論大多假定股票報酬率服從常態分配，然而，許多研究發現股票報酬率呈現不對稱的偏態分配。Chen, Hong and Stein (2001)的資訊揭露裁量假說主張，經理人偏好立即一次揭露好消息，但對於壞消息卻緩慢逐次揭露，此行為導致報酬率分配傾向正偏。本研究以台灣證券交易所的股票資料對該假說進行驗證，實證結果發現，台灣上市公司的股票報酬率分配平均為正偏型態。獨立董事比例和外資持股比例越低的公司，其股票報酬率越呈現正偏分配。推論其原因為，外部監督越少的公司，經理人有較大的資訊揭露裁量權，遂使得報酬率分配呈現正偏型態。 The normal distribution of stock returns is most commonly adopted in traditional portfolio theory. However, there is a growing body of evidence indicating the asymmetric skewness in stock returns. The discretionary-disclosure hypothesis of Chen, Hong and Stein (2001) argues that the managers prefer to disclose good news right away, while dribbling bad news out slowly. This behavior tends to impart positive skewness to stock returns. The paper tests this theory at firm level by using data from the Taiwan Stock Exchange (TSEC). The result shows that the individual stocks are positively skewed. The positive skewness is more pronounced in stocks with low fraction of independent directors and low foreign ownership. We infer that managers possess more discretion in information disclosure under less external monitoring and this managerial discretion drives the stock returns to positive skewness.