獨特性波動、預期報酬與公司治理
學年 101
學期 1
出版（發表）日期 2012-08-01
作品名稱 獨特性波動、預期報酬與公司治理
作品名稱（其他語言） Idiosyncratic Volatility, Expected Returns and Corporate Governance
著者 鄭婉秀
單位 淡江大學財務金融學系
描述 計畫編號：NSC101-2410-H032-035
 研究期間：201208~201307
 研究經費：416,000
委託單位 行政院國家科學委員會
摘要 This paper analyzes the idiosyncratic risk-return relationship respect to corporate governance from the developed markets, further to the emerging markets. The idiosyncratic volatility related to the expected return are proved by considerable quantities literatures, however, what kind of relationship becomes a puzzle recently. In theory, Merton (1987) predicts a positive relation between idiosyncratic risk and expected return when investors have limited access to information and do not diversify their portfolio. But Ang, Hodrick, Xing and Zhang (2006, 2009) find the exact opposite relation in developed markets. Several contributions are listed: firstly, investigating the relationship between idiosyncratic volatility and expected return in emerging markets. Next, we want to explain the puzzle from the viewpoint of the information content behind the idiosyncratic volatility. Corporate governance undoubtedly is one of the information content to firm-specific risk. Our expected results are higher idiosyncratic volatility in a firm with better (worse) corporate governance has positive (negative) information effects to the expected stock returns. Finally, we further combine with various methods to measure idiosyncratic risk, and also extent the sample period through the financial crisis periods for investigating whether it is any different relationship in a serious bear market periods. We believe these findings are valuable to market participations. 本研究將由公司治理的觀點分析獨特性風險與報酬的關係，並將樣本由已開發市 場擴展至新興市場。獨特性風險與報酬有關的議題過去已有大量的文獻認同，但兩者 間的關係近期卻變得難以解釋。理論上，Merton (1987) 提出當投資人擁有未完全分散 風險的投資組合時，獨特性風險與預期報酬間存在有正向關係，但Ang, Hodrick, Xing and Zhang (2006, 2009)卻提出完全相反的結論。本文主要的論述特點如下：首先，將獨 特性風險與預期報酬的關連性探討擴展至新興市場。再者，我們希望由獨特性風險的 資訊內涵觀點來解釋獨特性風險與報酬間的關係，而公司治理無疑地是影響公司特定 風險的重要因素之一。我們預期擁有好的公司治理機制的公司若伴隨著高獨特性風險 的情形，其釋放出來的訊息為正面消息，獨特性風險與預期報酬間將為正向關係，反 之，兩者間將出現負向關係。最後，我們使用多種衡量獨特性風險的方法進行檢測， 並將樣本期間拉長至金融風暴期間，盼進一步分析當市場嚴重重創時，其關係是否會 產生變化。我們相信研究結果對市場參與者將有很大的價值。
關鍵字 獨特性風險; 預期報酬; 公司治理; idiosyncratic risk; expected return; corporate governance
語言 zh_TW
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