經理人過度樂觀、資產購買與股東財富

ASIAIR > College of Management > Department of Finance > Ministry of Science and Technology Research Project > Item 310904400/9655

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Title:	經理人過度樂觀、資產購買與股東財富
Authors:	劉永欽
Contributors:	管理學院財務金融學系
Keywords:	行為財務學;過度樂觀;資產購買;事件研究法;配適假說;自由現金流量假說 behavior finance;overoptimism;asset purchase;event study method;fit hypothesis;free cash flow hypothesis
Date:	2009
Issue Date:	2010-05-14 06:53:03 (UTC+0)
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.
Appears in Collections:	[Department of Finance] Ministry of Science and Technology Research Project

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