2128 officer; CEO Holmstrom, 1979: 74 91; 2006: CEO replacement Fama and Jensen, 1983: ; Denis and Denis, 1995: ; Huson, et al.,

Transcription

1 100/6, pp C 中 中 * 王曉雯 國 中 吳明政 國 一 chief executive 98 年 9 月 7 99 年 5 月 28

2 2128 officer; CEO Holmstrom, 1979: 74 91; 2006: CEO replacement Fama and Jensen, 1983: ; Denis and Denis, 1995: ; Huson, et al., 2004: ; 2006: Berry, Bizjak, Lemmon and Naveen 2006: Clayton, Hartzell and Rosenberg 2005: CEO turnover Beatty and Zajac, 1987: event study 1 information content 2 Beatty and 1 Fama et al. (1969: 1 21) Binder, 1998: Fama 2

3 129 3 Zajac 1987 Bonnier and Bruner 1989: Powers 2005: Jack Welch Berry et al., 2006 Denis and Denis, 1995; Huson et al., 2004 DeFond and Park, 1999: Bain, 1956; Schmalensee, 1985: ; Short, et al., 2007:

4 4130 一 國 國 一 3 國 中 一 3 灣 2 一

5 131 5 文 研究 Clayton et al 一 Beatty and Zajac, 1987; 2006 Denis and Denis, 1995 一 common-sense vicious-circle ritual-scapegotating Clayton et al., 2005 Huson et al improved management Suchard, et al., 2001: 1 27 Khanna and Poulsen, 1995: Huson et al 一 Bonnier and Bruner 1989 Bendeck and Waller 1999: 95

6 Warner, Watts and Wruck 1988: Farrell and Whidbee, 2003: Denis and Denis, 1995 Engel, et al., 2003: Mahajan and Lummer 1993: Huson et al A Sunder 1997 Huson et al., 2004 Warner et al. (1988),

7 133 7 Weisbach (1988: ), and Denis and Denis (1995) Mahajan and Lummer 1993 Denis and Denis 1995 Clayton et al B 1C 1A 1B 1C Cheng, 2005a: 5 31 Cheng 2005b:

8 8134 Krishnan 2005: 一 DeFond and Park 1999: : Karuna, 2007: A 1B 一 中 一 2 1C 一 3 2A 2B

9 研究 民國 87 年 94 年 灣 灣 灣 一年 年 一 年 年 一 一 一 302 中 % 22 六

10 Farrell and Whidbee (2003), Engel et al. (2003), Huson et al. (2004) Farrell and Whidbee (2003) Engel et al. (2003) Huson et al. (2004) Huson et al. (2004)

11 Warner et al Weisbach % % 66

12 表 1: 總經理異動類型統計表 中 國 1312 民國 92/11/03 2 中 9960 民國 93/09/ 民國 88/03/25 4 中 2535 民國 89/10/ 民國 88/11/ 民國 93/06/ 民國 94/06/ 民國 90/11/06 9

13 139 ㈠ Fama market model 1. 以市場模式估計總經理異動宣告企業的預期報酬 R it = α i + β i R mt + ε it t t { 180, 179,..., k} t { l,..., 0,..., k} t=0 t { 180, 179,..., l 1} R it i t R mt t β i i ε it 2. 樣本公司 ( 累積 ) 異常報酬之估計 αˆ i βˆ i αˆ i βˆ i Rˆ it AR it CAR it ( l, k) Rˆ it =αˆ i+βˆ ir mt AR it = R it Rˆ it = R it αˆ i βˆ ir mt CAR it = k AR it t= l Rˆ it i t AR it i t CAR it i

14 樣本公司平均 ( 累積 ) 異常報酬之計算 AR t = CAR t = n i=1 AR it n n i=1 CAR it n AR t CAR t n 4. 樣本公司平均 ( 累積 ) 異常報酬之統計檢定 t ㈡ CAR i, t ( l, k) = α 0 + β 1 Ty i,t + β 2 Com i,t 1 + β 3 Ty i,t Com i,t 1 + β 4 S i,t 1 + β 5 G i,t 1 + β 6 Lev i,t 1 + β 7 ARoa i,t 1 + β 8 Ind i,t 1 + ε i,t CAR i,t ( l, k) i t l k Ty i,t i t Ty=1 Ty = 0 Com i,t 1 i t 1 Com = 1 Com = 0 Ty i,t Com i,t 1 S i,t 1 i G i, t 1 i Lev i,t 1 i ARoa i,t 1 i Ind i,t 1 i Ind = 1 Ind = 0 ε i,t

15 Reinganum 1985: Lubatkin, Chung, Rogers, and Owers 1986: Bonnier and Bruner Lubatkin, Chung, Rogers, and Owers 1989: Lubatkin et al Huson et al Stulz 1990: 3 27 Guenther and Rosman 1994: ordinary least squares; OLS White 1980: t variance inflation factor; VIF Durbin-Watson ㈠ CAR i, t ( l, k) 2, , 00, , +30

16 ㈡ Ty i, t DeFond and Park (1999), Huson et al. (2004), and Berry et al Ty = 1 Ty=0 ㈢ Com i, t 1 Ms i,t 1 5 t 1 t 1 Com =1 Com = 0 6 ㈣ S i, t 1 ㈤ G i, t 1 7 ㈥ Lev i, t 1 5 Herfindahl Index Herfindahl Index Herfindahl t 1 Herfindahl Herfindahl 6 Herfindahl 7 Chung and Pruitt (1994: 70 74) Tobin s Q

17 ㈦ ARoa i, t 1 Denis and Denis (1995) and Huson et al. (2004) t 1 ROA ROA ROA ROA ㈧ Ind i, t 1 Ind = 1 Ind= , % 2, % 0.575% 3 ROA 4.358% ROA 2.145% 6.955% Pearson Spearman 1% VIF 10

18 表 2: 迴歸變數之敘述性統計 CAR i, t ( 2, 2) Ty i, t Com i, t Ms i, t Ty i, t Com i,t S i, t G i, t Lev i, t ARoa i, t Ind i, t Ins i, t Boa i, t CAR i,t( 2, 2) 2 2 % Ty i, t Ty = 1 Ty=0 Com i, t 1 Com = 1 Com=0 Ms i, t 1 % S i,t 1 G i, t 1 Lev i,t 1 % ARoa i,t 1 % Ind i,t 1 Ind = 1 Ind = 0 Ins i,t i t Ins = 1 Ins=0 Boa i, t Boa = 1 Boa = , +2 t = % 2, % Warner et al , % 1%

19 𤤳𤤳𤤳𤤳表 3: 總經理異動 ( 類型 ) 宣告之股價異常報酬 A ( 2, +2) % AR CAR AR CAR AR CAR AR CAR ( 0.73) (0.92) ( 1.54) ( 0.73) ( 0.06) ( 0.73) (0.13) ( 0.78) ( 1.04) ( 0.96) (0.11) (0.90) 0.279*** (2.87) ( 0.12) ( 0.14) (0.11) (0.71) 0.376** (2.24) 0.365* (1.88) (1.62) ( 0.47) (0.74) 0.371*** ( 4.28) 0.191** ( 2.20) ( 0.24) ( 0.47) (0.19) 0.348** ( 2.32) 0.539*** ( 3.11) 0.575*** ( 2.89) ( 1.26) (0.40) ( 0.82) 0.229* (1.77) (0.05) ( 1.26) ( 0.59) ( 0.96) (0.03) (0.04) B CAR V F CAR Median [% Pos] CAR Median [% Pos] CAR (F V) ( 1, 0) ( 2, 2) (0, 10) ( 30, 30) 0.367*** (2.67) (1.62) 0.651** (2.02) ( 0.55) [56.6%] [51.9%] [53.8%] [44.3%] 0.309** ( 2.52) 0.575*** ( 2.89) 0.650** ( 2.19) 1.339** ( 2.17) [36.8%] [39.9%] [42.9%] [40.6%] 0.676*** ( 3.00) 0.927*** ( 2.71) 1.302** ( 2.43) ( 0.59) 1 t *** 1% ** 5% * 10% + 15% V F 3 A 0 AR 1 AR 5 t ( 2, +2) 0

20 CAR AR AR AR B 4 Median % Pos 5 Jarque-Bera CAR CAR CAR (F V) t 1A Denis and Denis, , % 1% 1B 1C 2, % 10% 2, +20, , % 0.328% 1% 0.408% 5% 2, % 2, +20, , % 0.163% 0.222% 2, % 5% 2, +20, , +30

21 % 1% 0.240% 0.165% 2, % 0.144% 0.109% 0.603% 2, % 5% 0.400% 0.344% 8 Mahajan and Lummer (1993), Denis and Denis (1995), and Huson et al. (2004) Mahajan and Lummer

22 表 4: 市場競爭程度對總經理異動宣告股東財富之影響 A ( 2, +2) % AR H CAR AR L CAR ( 1.39) ( 1.39) (0.47) (0.47) ( 0.30) ( 1.19) 0.145* (1.78) (1.56) * ( 1.85) 0.287** ( 2.04) (0.09) (1.33) ( 0.96) 0.371** ( 2.24) ( 0.11) (1.10) (0.58) 0.324* ( 1.75) ( 0.45) (0.78) B H L CAR CAR CAR CAR (H L) ( 1, 0) ( 1.51) (1.30) 0.323* ( 1.66) ( 2, 2) 0.324* ( 1.75) (0.78) ( 1.49) (0, 10) (0.81) (0.15) (0.46) ( 30, 30) 1.784*** ( 2.65) (1.36) 2.579** ( 1.99) 1 t *** 1% ** 5% * 10% + 15% H 151 L t 1 Ms i,t 1 Ms i,t % Ms i, t %

23 A 0 AR 1 AR 5 t ( 2, +2) 0 CAR AR AR AR B 4 Jarque-Bera CAR CAR CAR(H L) t 2, % 10% 2, % 10% 2, % 2, % 5 2, % 10% 2, % 5% 2A 2, % 1% 2, % 5%

24 表 5 : 市場競爭程度對自願性 強迫性總經理異動宣告股東財富之影響 A ( 2, +2) % H N = 151 L N=151 V N = 49 F N = 73 V N = 56 F N=58 AR CAR AR CAR AR CAR AR CAR ( 0.93) ( 0.93) ( 1.10) ( 1.10) (1.04) (1.04) (0.78) (0.78) (1.46) (0.38) ( 1.12) ( 1.56) ( 0.09) (0.66) 0.334** (2.55) 0.436** (2.31) * (1.91) (1.41) 0.393*** ( 3.36) 0.651*** ( 3.21) 0.305** (2.29) 0.431* (1.86) 0.290** ( 2.21) (0.61) (1.30) 0.534* (1.87) 0.196* ( 1.68) 0.847*** ( 3.62) ( 1.26) (0.98) ( 1.28) ( 0.11) ( 0.83) (1.30) (1.28) 0.697*** ( 2.66) (0.60) (1.14) ( 1.35) ( 0.69)

25 B H L V V F V F CAR CAR CAR (F V) CAR CAR CAR (F V) CAR (H L) F CAR (H L) ( 1, 0) 0.485** (2.40) 0.525*** ( 3.17) 1.010*** ( 3.20) (1.55) (0.20) ( 0.80) (0.57) 0.562* ( 1.85) ( 2, 2) (1.30) 0.697*** ( 2.66) 1.113** ( 2.16) (1.14) ( 0.69) ( 1.35) (0.16) ( 0.98) (0, 10) 1.489*** (3.14) ( 1.53) 2.084*** ( 2.73) ( 0.02) ( 0.74) ( 0.51) 1.497** (2.08) ( 0.32) 1 t *** 1% ** 5% * 10% + 15% N H L V F A 0 AR 5 t ( 2, 2) 0 CAR AR AR AR B 3 Jarque-Bera CAR CAR t 4 t ( 30, 30) B

26 B 1, 0 2, +20, % 10% 0.538% 1.732% 10% t % 1C t % 3

27 表 6: 總經理異動宣告股價累積異常報酬之決定因素 CAR i,t ( 2, +2) = α 0 + β 1 Ty i,t + β 2 Com i,t 1 + β 3 Ty i,t Com i,t 1 + β 4 S i,t 1 + β 5 G i,t 1 + β 6 Lev i,t 1 + β 7 ARoa i,t 1 + β 8 Ind i,t 1 + ε i,t Model 1 Model 2 Model 3 Model 4 Intercept 5.813*** ( 2.84) ( 1.18) 4.973** ( 2.42) ( 1.06) Ty i, t 0.709** ( 2.25) 0.761** ( 2.06) Com i, t *** ( 2.64) 1.522*** ( 2.64) Ty i, t Com i,t ** ( 1.98) (0.18) S i, t *** (2.93) (1.34) 0.334** (2.48) (1.35) G i, t ( 0.98) ( 1.33) ( 1.05) ( 1.48) Lev i, t (0.02) ( 0.16) ( 0.05) ( 0.19) ARoa i, t (0.70) (0.75) (0.59) (0.57) Ind i, t (1.40) 1.071** (2.26) 0.672* (1.75) 1.139** (2.45) Adjusted R % 5.02% 4.04% 6.05% D-W F 2.96*** 3.36*** 2.88*** 3.16*** 1 White (1980) t *** 1% ** 5% * 10% CAR i,t( 2, +2) 2 2 Ty i,t Ty = 1 Ty = 0 Com i,t 1 Com = 1 Com =0 S i, t 1 G i,t 1 Lev i, t 1 ARoa i,t 1

28 Ind i, t 1 Ind = 1 Ind = 0 3 VIF 1.047~3.125 D-W D-W 2 4 t ( 1, 0) t ( 0, +10) t ( 30, +30) t ( 2, +2) t ( 2, +2) t % 3 4 Bonnier and Bruner 1989 Lubatkin et al Bonnier and Bruner, , % 2, % 9 2, % 0.606% 5% , % 10% 0.360% 1% 2, % 0.416% 10 2, % 10% 0.144% 2, % %

29 Ins = % Warner et al John and Senbet 1998: , % 10% 0.144% 2, % 10% 0.349% 7 2 Boa= % 6 6

30 表 7: 繼任總經理特性對原任總經理異動宣告股價累積異常報酬之影響 CAR i,t ( 2, +2) = α 0 +β 1 Ty i,t +β 2 Com i,t 1 +β 3 Ty i,t Com i,t 1 +β 4 S i,t 1 +β 5 G i,t 1 +β 6 Lev i,t 1 +β 7 ARoa i,t 1 +β 8 Ind i,t 1 +β 9 Ins i,t +β 10 Boa i,t +ε i,t Model 1 Model 2 Model 3 Model 4 Intercept 6.627*** ( 3.16) ( 1.55) 6.080*** ( 2.90) ( 1.34) Ty i, t ( 1.61) 0.672* ( 1.68) Com i, t *** ( 2.71) 1.648*** (2.80) Ty i, t Com i,t * ( 1.69) (0.24) S i, t *** (2.75) (1.23) 0.340** (2.44) (1.23) G i, t ( 0.51) ( 0.88) ( 0.57) ( 0.99) Lev i, t (0.36) (0.20) (0.33) (0.06) ARoa i, t ( 0.24) ( 0.33) ( 0.42) ( 0.56) Ind i, t * (1.86) 1.371*** (2.81) 0.911** (2.32) 1.382*** (2.84) Ins i, t (1.57) 0.913** (1.93) 0.862* (1.82) 0.812* (1.69) Boa i, t 0.678* ( 1.88) 0.707** ( 1.97) 0.661* ( 1.85) 0.743** ( 2.08) Adjusted R % 6.38% 4.77% 6.89% D-W F 2.42** 3.05*** 2.50** 2.78*** 1 White (1980) t *** 1% ** 5% * 10% Ins i,t Ins = 1

31 Ins=0 Boa i, t Boa = 1 Boa = VIF 1.072~3.049 D-W 2 4 t ( 1, 0) t ( 0, +10) t ( 30, +30) t ( 2, +2)

32 A (1): (1): (1): B. Bain, Joe Staten 1956 Barriers to New Competition. Cambridge, MA: Harvard University Press. Beatty, Randolph P. and Edward J. Zajac 1987 CEO Change and Firm Performance in Large Corporations: Succession Effects and Manager Effects, Strategic Management Journal 8(4): Bendeck, Yvette M. and Edward R. Waller 1999 The Wealth Effects of Non-Senior Management Departures from Investment Banks, Journal of Business Research 46(1): Berry, Tammy K., John M. Bizjak, Michael L. Lemmon, and Lalitha Naveen 2006 Organizational Complexity and CEO Labor Markets: Evidence from Diversified Firms, Journal of Corporate Finance 12(4): Binder, John J The Event Study Methodology since 1969, Review of Quantitative Finance and Accounting 11(2): Bonnier, Karl-Adam and Robert F. Bruner 1989 An Analysis of Stock Price Reaction to Management Change in Distressed Firms, Journal of Accounting and Economics 11(1): Cheng, Qiang 2005a The Role of Analysts Forecasts in Accounting-Based Valuation: A Critical Evaluation, Review of Accounting Studies 10(1): b What Determines Residual Income? The Accounting Review 80(1): Chung, Kee H. and Stephen W. Pruitt 1994 A Simple Approximation of Tobin s Q, Financial Management 23(3):

33 Clayton, Matthew C., Jay C. Hartzell, and Joshua Rosenberg 2005 The Impact of CEO Turnover on Equity Volatility, Journal of Business 78(5): DeFond, Mark L. and Chul W. Park 1999 The Effect of Competition on CEO Turnover, Journal of Accounting and Economics 27(1): Denis, David J. and Diane K. Denis 1995 Performance Changes Following Top Management Dismissals, The Journal of Finance 50(4): Engel, Ellen, Rachel M. Hayes, and Xue Wang 2003 CEO Turnover and Properties of Accounting Information, Journal of Accounting and Economics 36(1 3): Fama, Eugene F., Lawrence Fisher, Michael C. Jensen, and Richard Roll 1969 The Adjustment of Stock Prices to New Information, International Economic Review 10(1): Fama, Eugene F. and Michael C. Jensen 1983 Separation of Ownership and Control, Journal of Law and Economics 26(2): Farrell, Kathleen A. and David A. Whidbee 2003 Impact of Firm Performance Expectations on CEO Turnover and Replacement Decisions, Journal of Accounting and Economics 36(1 3): Guenther, David A. and Andrew J. Rosman 1994 Differences between COMPUSTAT and CRSP SIC Codes and Related Effects on Research, Journal of Accounting and Economics 18(1): Holmstrom, Bengt 1979 Moral Hazard and Observability, Bell Journal of Economics 10(1): Huson, Mark R., Paul H. Malatesta, and Robert Parrino 2004 Managerial Succession and Firm Performance, Journal of Financial Economics 74(2): John, Kose and Lemma W. Senbet 1998 Corporate Governance and Board Effectiveness, Journal of Banking and Finance 22(4): Karuna, Christo 2007 Industry Product Market Competition and Managerial Incentives, Journal of Accounting and Economics 43(2 3): Khanna, Naveen and Annette B. Poulsen 1995 Managers of Financially Distressed Firms: Villains or Scapegoats? Journal of Finance 50(3): Krishnan, Ranjani 2005 The Effect of Changes in Regulation and Competition on Firms Demand for Accounting Information, Accounting Review 80(1):

34 Lubatkin, Michael H., Kae H. Chung, Ronald C. Rogers, and James E. Owers 1986 The Effects of Executive Succession on Stockholder Wealth of Large Corporations, Academy of Management Best Paper Proceedings: Stockholder Reaction to CEO Changes in Large Corporations, Academy of Management Journal 32(1): Mahajan, Arvind and Scott Lummer 1993 Shareholder Wealth Effects of Management Changes, Journal of Business Finance and Accounting 20(3): Powers, Eric A Interpreting Logit Regressions with Interaction Terms: An Application to the Management Turnover Literature, Journal of Corporate Finance 11(3): Reinganum, Marc R The Effect of Executive Succession on Stockholder Wealth, Administrative Science Quarterly 30(1): Schmalensee, Richard 1985 Do Markets Differ Much? American Economic Review 75(3): Short, Jeremy C., David J. Ketchen, Timothy B. Palmer, and G. Tomas M. Hult 2007 Firm, Strategic Group, and Industry Influences on Performance, Strategic Management Journal 28(2): Stulz, Rene M Managerial Discretion and Optimal Financing Policies, Journal of Financial Economics 26(1): Suchard, Jo-Ann, Manohar Singh, and Robert Barr 2001 The Market Effects of CEO Turnover in Australian Firms, Pacific-Basin Finance Journal 9(1): Sunder, Shyam 1997 Theory of Accounting and Control. Cincinnati: South-Western College Publishing. Warner, Jerold B., Ross L. Watts, and Karen H. Wruck 1988 Stock Prices and Top Management Changes, Journal of Financial Economics 20: Weisbach, Michael S Outside Directors and CEO Turnover, Journal of Financial Economics 20: White, Halbert 1980 A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity, Econometrica 48(4):

35 The Effect of Replacement Type and Market Competition on Investors Reactions to CEO Turnover Announcements Hsiao-wen Wang Associate Professor of Graduate Institute of Accounting National Central University Ming-cheng Wu Chairman and Professor of Department of Business Education National Changhua University of Education ABSTRACT This study investigates how replacement type and intensity of market competition affect the stockholder wealth resulting from a firm s CEO turnover announcement. How the interaction between the announcement of CEO replacement type and a firm s industry competition position influences the information content effect is another focus of the study. This study finds that compared with firms replacing CEOs voluntarily, investors will have larger negative price reactions to firms with forced CEO turnover announcements. Compared with firms in less competitive sectors, investors are more sensitive to CEO turnover announcements in firms of highly competitive nature, and tend to have larger negative reactions in terms of their share prices. Investors will have larger negative reactions to firms in more competitive sectors with forced CEO turnover announcements than those firms with voluntary CEO turnover announcements. CEO turnover type will result in higher abnormal returns in highly competitive industries than in less competitive sectors. Finally, the board chairman serving concurrently as the successor CEO (after predecessor CEO turnover) will have a significantly negative impact on abnormal returns. This finding is consistent with the spirit of corporate governance. Key Words: CEO turnover, replacement type, competition, stockholder wealth

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