從公司治理角度探討執行長涉險決策與個股私有資訊的關聯性

The Relationship between CEOs Risk-taking Decision and Stock Private Benefits: The Role of Corporate Governance

本文運用股價非同步性與資訊交易機率兩個變數代表私有資訊探討管理者涉險決策對私有資訊流量的影響，以及私有資訊對管理者涉險決策的影響。建立聯立方程組發現私有資訊流量與管理者學習效果是受到盈餘對執行長薪酬比例、公司治理分數與外生變數所共同決定的。而且占據效果與涉險決策的強弱程度，透過調節效果共同影響私有資訊流量，本文實證發現不同的調節作用對私有資訊流量的影響程度不盡相同，本文企圖釐清Chan and Chan (2014)、Ferreira and Laux(2007)與Durnev et al. (2004)的爭論。發現市場投資人或專業投資機構長期了解個股報酬變異的成因，經由交易頻率與監督效果反而對涉險決策有不同程度的影響，執行長基於私有利益與權益代理問題會進行涉險決策，進一步造成個股報酬變異與資訊為基礎的交易頻率提高，但是若執行長從專業機構投資人學習其交易頻率，則股價會快速吸收涉險決策的效果，個股報酬變異縮小。

This study employs two proxy variables for private information as a non-synchronized and unconditional probability of information-based trading in a discussion of the joint determinants between CEO risk-taking decisions and private information flows. We find that the determinants are CEO pay-performance sensitivities, corporate governance scores and exogenous variables while using of the simultaneous equation and a seemingly unrelated regression to prove the privation information flow and learning effect hypotheses. Nevertheless, in terms of the entrenchment effect and the extent of how risk-taking decisions lead to private information flows, the evidence suggests that there is moderating effect between corporate governance and risk-taking decisions associated with private information flow. This contributes to explaining the arguments and different insights of Chan and Chan (2014), Ferreira and Laux (2007) and Durnev et al. (2004). We find that market or institutional investors are inclined to monitor frequency of trading because of the influence on risk-taking decisions of the control of stock return variation. CEO risk-taking decisions are associated with private benefits and principal-principal agency problems which positively lead to idiosyncratic volatility and unconditional trading on the basis of corporate governance. The learning effect hypothesis is evidenced, indicating that CEO risk-taking decisions rapidly absorb stock return variation while learning of trading-frequency due to corporate governance.