| Abstract: | 1. 研究動機與目的
公司購買資產是一項重要投資決策，其對股東財富之影響，有從效率觀點的「配適
假說」(fit hypothesis)(Maksimovic and Phillips, 2001; Warusawitharana, 2008)和從代理
問題出發的「自由現金流量假說」(free cash flow hypothesis)(Freund, Prezas, and Vasudevan,
2003)兩種解釋，在美國未有一致結論，可能有其他因素未被考慮；國內則尚無此研究，
有探討的必要。過去文獻依據行為財務理論已證實經理人常有過度樂觀或過度自信的心
理偏差，並導致不當的投資決策(Heaton, 2002; Malmendier and Tate, 2005, 2008; Lin, Hu,
and Chen, 2005)，但也有文獻認為可提升公司價值(Gervais, Heaton, and Odean, 2003)。是
以經理人過度樂觀對資產購買與股東財富之關係或許能提供額外解釋力，爰引起本文研
究動機。本研究目的即在檢視台灣上市上櫃公司過度樂觀的經理人是否會進行不利於公
司價值的資產購買活動。
2. 研究方法
採用三種事件研究法估計資產購買公司宣告期股票超額報酬(AR)：傳統法、Jensen’s
alpha法及虛擬變數迴歸；其中，虛擬變數法採panel data，係首先嘗試使用，其統計檢定
可不受同期事件報酬相關和事件間異質變異影響。其次分析經理人過度樂觀對公司累積
AR與成長機會、自由現金關係之影響。最後，檢視購買後長期營運績效與上述變數之
關係。計量方法包括分組差異檢定(t檢定與無母數)及迴歸分析。
3. 預期貢獻
這是首次對國內公司檢視資產購買與股東財富關係的研究，而考慮經理人心理偏差
可補充行為財務學的實證證據，及了解經理人行為偏差對投資決策的影響。預期結果：
經理人多有過度樂觀，其資產購買活動損害股東財富。結果可供經理人、投資人、分析
師及主管機關參考。
1. Motives and objectives
Asset purchase is an important investment decision of firms. The impact of the activity on
shareholder wealth can be explained by both “the fit hypothesis”from an efficiency viewpoint
(Maksimovic and Phillips, 2001; Warusawitharana, 2008) and “the free cash flow hypothesis”
from the agency problem viewpoint (Freund, Prezas, and Vasudevan, 2003); thus, the empirical results
are mixed, and there are likely other factors not considered. Additionally, there is not any study about
firm asset purchases in Taiwan. Thus, it is worthy of researching. Based on behavioral finance, past
literature has documented that firm managers are typically overoptimistic or overconfident. This
psychological bias will cause improper investment decisions (Heaton, 2002; Malmendier and Tate,
2005, 2008; Lin, Hu, and Chen, 2005); but, there is literature arguing that this bias can enhance firm
values (Gervais, Heaton, and Odean, 2003). These concepts, therefore, encourage this research to
examine whether managerial overoptimism offers an additional explanatory power to the relation
between asset purchase and shareholder wealth. The purpose of this research is to examine whether
managerial overoptimism in Taiwan’s stock-listed firms cause firms to perform asset purchases
unfavorable for firm values.
2. Methodology
This study uses three methods to estimate stock’s announcement-period abnormal returns (AR)
for asset purchases: the traditional approach, Jensen’s alpha, and dummy variable regression, where
the dummy variable regression is employed firstly by this study to increase statistic test power, using
the panel data to allow cross-sectional contemporaneous correlations and heteroskedasticity among
event returns. In turn, this study examines the effect of managerial overoptimism on the
cross-sectional relation between CAR and both growth opportunities and free cash flows. Finally, the
effect of managerial overoptimism on the cross-sectional relation between post-purchase of long-run
operating performance and both growth opportunities and free cash flows is investigated.
3. Expected contributions
This study is the first one in Taiwan that examines the relation between firm asset purchase and
shareholder wealth. Moreover, in this issue considering managerial psychological bias can fill a gap in
empirical evidence of behavioral finance and offer advanced knowledge about the impact of
managerial psychological bias on investment decision. This study expects that managers are typically
overoptimistic and the bias will cause asset purchase behaviors to harm shareholder wealth. The
study’s results should be useful for corporation managers, investors, securities analysts, and regulatory
agencies. |
