公司治理資訊對股價傳遞速度之研究

The Information of Corporate Governance on the Speed of Information Transmission of the Stocks

10.6295/TAMJ.2013.1301.05

李顯儀(Hsien-Yi Lee)

公司治理 ； 資訊內涵 ； 訊息傳遞速度 ； corporate governance ； information content ； the speed of information transmission

台灣管理學刊

13卷1期（2013 / 02 / 01）

95 - 120

繁體中文

本文的研究目的在於公司治理評分的資訊揭露，是否會因投資人所投入的關切程度差異，進而造成訊息傳遞速度上的差異？實證結果有二點發現：（1）在多頭市場下，公司治理較好與較差的公司股價報酬之間並無明顯的動態因果關係。（2）在空頭市場下，公司治理較好的公司股價報酬反應比較差得領先。此結果顯示：多頭市場中，投資人大都處於獲利的情形，此時投資人投資股票的參考重點為公司的未來成長性與題材性，故對揭露公司管理能力的公司治理指標之重要性較為漠視；但在空頭市場中，投資人大都處於虧損的情形，這時投資人會較著重在公司管理能力與基本面的價值，所以對公司治理資訊內涵之重要性較為關心。

The objective of this paper is to examine that whether the investors have differential concern and decision on their investment regarding the information disclosure of corporate governance or not. That is, will the differences of the speed of the information transmission for different portfolio among the investors? Several Studies have examined the relationship between corporate governance and the investment. There are two empirical findings as follows: (1) In bull market, there is no significantly dynamic cause relationship between the stock return of the companies with better corporate governance and the companies with worse corporate governance. (2) In bear market, the stock returns of companies with the better corporate governance is faster than those with worse corporate governance for information transmission. The results show the most investors get a return on their investment in the bull market, and the investors regard the growth of the future and the creation of company as the references when they make their investment decision. They may ignore the importance of the corporate governance index in bull market. However, the most investors usually get loss in the bear market, and the investors focus on the ability of the companies' management and the fundamental value of company finance. Therefore the importance of information content of the corporate governance will be concerned as the crucial index for making investment decision.

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