股票價格資訊內涵的實質產出影響效果

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古一斌(I-Pin Ku) 查詢紙本館藏

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產業經濟研究所

論文名稱

股票價格資訊內涵的實質產出影響效果

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★ 股票報酬率波動度之記憶性質及其定價效果

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摘要(中)

本研究使用臺灣經濟新報（TEJ）資料庫，探討臺灣股票市場在 2008 年至2019 年期間，股價訊息性與公司總要素生產力的相關性。
我們利用股價非同步性衡量股價訊息性，發現在臺灣股票市場中，股價訊息性對於公司總要素生產力呈現顯著負面影響。同時，我們亦發現當公司面臨共同基金贖回壓力時，股價訊息性的下降會使董事會更加重視 Tobin’s Q 衡量總經理績效，決定總經理續任或離職。

摘要(英)

In this paper, we investigate whether the stock price informativeness affect the total factor productivity by using the Taiwan listed companies’ data from 2008 to 2019.
Use the stock price nonsynchronicity to measure stock price informativeness.
We find that lower stock price informativeness is associated with higher total factor productivity. We use mutual fund flow pressure as an exogenous shock to price informativeness and find that a decrease in price informativeness leads to higher productivity.

關鍵字(中)

★ 股價訊息性
★ 股價非同步性
★ 總要素生產力
★ 共同基金贖回壓力

關鍵字(英)

★ Stock price informativeness
★ Stock price nonsynchronicity
★ Total factor productivity
★ Mutual fund redemption pleasure

論文目次

目錄
頁次
第一章緒論 ........................................................................................................ 1
1-1 研究背景與動機 ................................................................................... 1
1-2 研究目的與架構 ................................................................................... 4
第二章文獻回顧 ................................................................................................ 6
2-1 公司管理者與股價訊息性之關聯......................................................... 6
2-2 總要素生產力與股價訊息性之關聯 ................................................... 8
第三章資料來源與研究方法 ............................................................................ 9
3-1 樣本與資料來源 ................................................................................... 9
3-2 變數定義與說明 ................................................................................... 9
3-3 研究方法與模型 .................................................................................. 13
第四章實證結果與分析 ................................................................................... 15
4-1 敘述統計量與相關係數表 .................................................................. 15
4-2 股價訊息性對總要素生產力之實證分析 .......................................... 18
4-3 內生性處理 .……………………………………………………...….. 22
4-4 股價訊息性影響總要素生產力之途徑 …………………………….. 26
4-5 穩健性測試 ………………………………………………………….. 31
第五章結論與建議 ........................................................................................... 33
參考文獻 ............................................................................................................... 35

參考文獻

參考文獻
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朱磊（2010），臺灣股票市場概況之一：發展歷程
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指導教授

蔡明宏劉錦龍(Min-Hung Tsay Jin-long Liu)

審核日期

2021-7-6

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