跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 阮恩宇
En-Yu Juan
論文名稱： 企業ESG表現對現金股利改變的訊號效果
指導教授： 黃承祖
Cheng-Tsu Huang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 企業管理學系
Department of Business Administration
論文出版年： 2025
畢業學年度： 113
語文別： 中文
論文頁數： 66
中文關鍵詞： 現金股利支付 、分析師目標價 、分析師推薦 、ESG分數
外文關鍵詞： Analyst Recommendation
相關次數： 點閱：25  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本研究探討當企業降低其現金股利支付時，其 ESG 表現是否會具有隱含的訊號效果，使得現金股利支付降低不再是一個壓倒性的負面訊號，再透過分析師角色來驗證此訊號效果是否成立，本研究之樣本針對台灣 2016 至 2023 年間之上市上櫃公司之財報資訊與各券商所釋出之分析師預測，以及 TEJ 之「 TESG 永續發展指標主表」中之 TESG 分數。分析結果顯示，現金股利支付的減少的確會導致分析師預測調降，而加上 ESG 分數後並不會顯著改變分析師之預測結果，而本研究為了驗證分析師之預測是否能實際的被大眾所接受，因此以發布日作為事件日，抓取短期累計異常報酬為應變數，發現分析師發布資料後之股價變化有顯著改變，最後再驗證分析師是否具有價值攸關的特性，以長期累計異常報酬來驗證結果，發現長期而言分析師之預測報告對股價沒有顯著影響，顯示其長期價值相關性有限。

    This study investigates whether a company's ESG performance has an implicit signaling effect when it reduces its cash dividend policy, making the reduction of cash dividends not an
    overwhelmingly negative signal. This signaling effect is verified through the role of analysts. The sample for this study includes financial information from listed companies in Taiwan between 2016 and 2023, analyst forecasts released by various brokerage firms, and TESG scores from the "TESG Sustainable Development Indicator Main Table" in the TEJ database. The findings show that a reduction in cash dividend policy indeed leads to a downward adjustment in analyst forecasts. However, adding ESG scores does not significantly change the analysts' forecast results. To verify whether the analysts' forecasts are actually accepted by the public, the study uses the release date as the event date and takes the short-term cumulative abnormal return as the dependent variable. The results indicate that there is a significant change in stock prices following the release of analysts' reports. Finally, to verify whether analysts have value relevance characteristics, the study examines the long-term cumulative abnormal return. It finds that, in the long run, analysts' forecast reports do not have a significant impact on stock prices.

    一、 緒論 ................................................................................................................................................... 1 1-1 研究背景與動機 .................................................................................................................... 1 1-2 研究目的 ................................................................................................................................ 3 1-3 研究架構 ................................................................................................................................ 3 二、 文獻探討 ........................................................................................................................................... 5 2-1 現金股利增減 ........................................................................................................................ 5 2-2 財務分析師 ............................................................................................................................ 6 2-3 財務分析師目標價 ................................................................................................................ 8 2-4 財務分析師推薦 .................................................................................................................... 9 2-5 ESG ....................................................................................................................................... 10 2-6 研究假說建立 ...................................................................................................................... 13 三、 研究方法 ......................................................................................................................................... 17 3-1 資料來源與選樣方法 .......................................................................................................... 17 3-2 模型建立 .............................................................................................................................. 17 3-2-1 假說一模型建立 .............................................................................................................. 17 3-2-2 假說二模型建立 .............................................................................................................. 19 3-2-3 假說三模型建立 .............................................................................................................. 20 3-2-4 假說四模型建立 .............................................................................................................. 21 3-3 變數說明 .............................................................................................................................. 22 四、 研究結果 ......................................................................................................................................... 24 4-1 假說一之研究結果 .............................................................................................................. 24 4-1-1 假說一之敘述性統計 ...................................................................................................... 24 4-1-2 假說一之相關性分析 ...................................................................................................... 27 4-1-3 假說一之回歸分析 .......................................................................................................... 29 4-2 假說二之研究結果 .............................................................................................................. 31 4-2-1 假說二之敘述性統計 ...................................................................................................... 31 4-2-2 假說二之相關性分析 ...................................................................................................... 34 4-2-3 假說二之回歸分析 .......................................................................................................... 37 4-3 假說三之研究結果 .............................................................................................................. 39 4-3-1 假說三之敘述性統計 ...................................................................................................... 39 4-3-2 假說三之相關性分析 ...................................................................................................... 41 4-3-3 假說三之回歸分析 .......................................................................................................... 43 4-4 假說四之研究結果 .............................................................................................................. 45 4-4-1 假說四之敘述性統計 ...................................................................................................... 45 4-4-2 假說四之相關性分析 ...................................................................................................... 47 4-4-3 假說四之回歸分析 .......................................................................................................... 49 五、 研究結論與建議 ............................................................................................................................. 51 5-1 研究結論 .............................................................................................................................. 51 5-2 研究限制與建議 .................................................................................................................. 52

    1. Alsayegh, M. F., Abdul Rahman, R., & Homayoun, S. (2020). Corporate economic, environmental, and social sustainability performance transformation through ESG disclosure. Sustainability, 12(9), 3910.
    2. Baker, H. K., & Weigand, R. (2015). Corporate dividend policy revisited. Managerial Finance, 41(2), 141-170.
    3. Barber, B., Lehavy, R., McNichols, M., & Trueman, B. (2001). Can investors profit from the prophets? Security analyst recommendations and stock returns. The Journal of Finance, 56(2), 531–563.
    4. Beaver, W. H. (2002). Perspectives on recent capital market research. The Accounting Review, 77(2), 453–474.
    5. Bhattacharya, D., Chang, C.-W., & Li, W.-H. (2020). Stages of firm life cycle, transition, and dividend policy. Finance Research Letters, 33, 101226.
    6. Bhushan, R. (1989). Firm characteristics and analyst following. Journal of Accounting and Economics, 11(2–3), 255–274.
    7. Bradshaw, M. T., Brown, L. D., & Huang, K. (2013). Do sell-side analysts exhibit differential target price forecasting ability? Review of Accounting Studies, 18(4), 930–955.
    8. Brauer, M., & Wiersema, M. (2017). Analyzing analyst research: A review of past coverage and recommendations for future research. Journal of Management, 44(1), 377-410.
    9. Brav, A., & Lehavy, R. (2003). An empirical analysis of analysts' target prices: Short-term informativeness and long-term dynamics. The Journal of Finance, 58(5), 1933–1967.
    10. Brennan, M. J., & Hughes, P. J. (1991). Stock prices and the supply of information. The Journal of Finance, 46(5), 1665–1691.
    11. Brown, L. D., Hagerman, R. L., Griffin, P. A., & Zmijewski, M. E. (1987). Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings. Journal of Accounting and Economics, 9(1), 61–87.
    12. Brown, L. D., & Kim, K.-J. (1991). Timely aggregate analyst forecasts as better proxies for market earnings expectations. Journal of Accounting Research, 29(2), 382–385.
    13. Brown, R., Chan, H. W. H., & Ho, Y. K. (2009). Analysts’ recommendations: From which signal does the market take its lead? Review of Quantitative Finance and Accounting, 33, 91–111.
    14. Bushman, R. M., Piotroski, J. D., & Smith, A. J. (2004). What determines corporate transparency? Journal of Accounting Research, 42(2), 207–252.
    15. Campbell, J. Y., & Shiller, R. J. (1988). Stock prices, earnings, and expected dividends. The Journal of Finance, 43(3), 661–676.
    16. Dechow, P., & You, H. (2019). Understanding the determinants of analyst target price forecasts. USC Marshall School of Business; Hong Kong University of Science & Technology.
    17. Denis, D. J., & Sarin, A. (1999). Ownership and board structures in publicly traded corporations. Journal of Financial Economics, 52(2), 187–223.
    18. Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, 60(11), 2835–2857.
    19. Egorova, A., Pitenko, K., & Karminsly, A. (2024). Analysis of the industry-specific characteristics of ESG components in company ratings. Procedia Computer Science, 242, 1206–1217.
    20. Fama, E. F., & French, K. R. (1998). Taxes, financing decisions, and firm value. The Journal of Finance, 53(3), 819–843.
    21. Freitas Netto, S. V. de, Sobral, M. F. F., Bezerra, A. R., Ribeiro, G., & Soares, G. R. da L. (2020). Concepts and forms of greenwashing: A systematic review. Environmental Sciences Europe, 32(19), 223-276
    22. Fried, D., & Givoly, D. (1982). Financial analysts' forecasts of earnings: A better surrogate for market expectations. Journal of Accounting and Economics, 4(2), 85–107.
    23. Givoly, D., & Lakonishok, J. (1979). The information content of financial analysts' forecasts of earnings: Some evidence on semi-strong inefficiency. Journal of Accounting and Economics, 1(3), 165–185.
    24. Jegadeesh, N., & Kim, W. (2006). Value of analyst recommendations: International evidence. Journal of Financial Markets, 9(3), 274–309.
    25. Jiraporn, P., & Ning, Y. (2006). Dividend policy, shareholder rights, and corporate governance. Pennsylvania State University & University of Houston - Victoria.
    26. John, K., & Williams, J. (1985). Dividends, dilution, and taxes: A signalling equilibrium. The Journal of Finance, 40(4), 1053–1070.
    27. Kross, W., Ro, B., & Schroeder, D. (1990). Earnings expectations: The analysts' information advantage. The Accounting Review, 65(2), 461–476.
    28. Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. The Journal of Finance, 72(4), 1785–1824.
    29. Lobo, G. J. (1991). Alternative methods of combining security analysts' and statistical forecasts of annual corporate earnings. International Journal of Forecasting, 7(1), 57–63.
    30. Loh, R. K., & Stulz, R. M. (2011). When are analyst recommendation changes influential? The Review of Financial Studies, 24(2), 593–627.
    31. Michaely, R., & Womack, K. L. (1999). Conflict of interest and the credibility of underwriter analyst recommendations. The Review of Financial Studies, 12(4), 653–686.
    32. Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031–1051.
    33. O'Brien, P. C. (1988). Analysts' forecasts as earnings expectations. Journal of Accounting and Economics, 10(1), 53–83.
    34. Przychodzen, J., & Przychodzen, W. (2012). Corporate sustainability and shareholder wealth. Journal of Environmental Planning and Management, 55(4), 474–493.
    35. Ramnath, S., Rock, S., & Shane, P. (2008). The financial analyst forecasting literature: A taxonomy with suggestions for further research. International Journal of Forecasting, 24(1), 34–75.
    36. Sorescu, S., & Subrahmanyam, A. (2009). The cross section of analyst recommendations. Journal of Financial and Quantitative Analysis, 41(1), 139–168.
    37. Stephen A. Ross, Randolph W. Westerfield & Bradford D. Jordan(2021), Fundamentals of Corporate Finance (13 Ed.), McGraw-Hill Education
    38. Womack, K. L. (1996). Do brokerage analysts' recommendations have investment value? The Journal of Finance, 51(1), 137–167.

    QR CODE
    :::