100/6, pp. 1 35 127 161 1 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
2128 officer; CEO Holmstrom, 1979: 74 91; 2006: 69 94 CEO replacement Fama and Jensen, 1983: 301 325; Denis and Denis, 1995: 1029 1057; Huson, et al., 2004: 237 275; 2006: 23 45 Berry, Bizjak, Lemmon and Naveen 2006: 797 817 Clayton, Hartzell and Rosenberg 2005: 1779 1808 CEO turnover Beatty and Zajac, 1987: 305 317 event study 1 information content 2 Beatty and 1 Fama et al. (1969: 1 21) Binder, 1998: 111 137 Fama 2
129 3 Zajac 1987 Bonnier and Bruner 1989: 95 106 Powers 2005: 504 522 Jack Welch Berry et al., 2006 Denis and Denis, 1995; Huson et al., 2004 DeFond and Park, 1999: 35 56 Bain, 1956; Schmalensee, 1985: 341 351; Short, et al., 2007: 147 167
4130 一 國 國 一 3 國 中 一 3 灣 2 一
131 5 文 研究 Clayton et al. 2005 一 Beatty and Zajac, 1987; 2006 Denis and Denis, 1995 一 common-sense vicious-circle ritual-scapegotating Clayton et al., 2005 Huson et al. 2004 improved management Suchard, et al., 2001: 1 27 Khanna and Poulsen, 1995: 919 940 Huson et al. 2004 一 Bonnier and Bruner 1989 Bendeck and Waller 1999: 95
6132 105 Warner, Watts and Wruck 1988: 461 492 Farrell and Whidbee, 2003: 165 196 Denis and Denis, 1995 Engel, et al., 2003: 197 226 Mahajan and Lummer 1993: 393 410 Huson et al. 2004 1A Sunder 1997 Huson et al., 2004 Warner et al. (1988),
133 7 Weisbach (1988: 431 460), and Denis and Denis (1995) Mahajan and Lummer 1993 Denis and Denis 1995 Clayton et al. 2005 1B 1C 1A 1B 1C Cheng, 2005a: 5 31 Cheng 2005b: 85 112
8134 Krishnan 2005: 269 287 一 DeFond and Park 1999: 35 56 2003: 63 80 Karuna, 2007: 275 297 1A 1B 一 中 一 2 1C 一 3 2A 2B
1359 3 研究 民國 87 年 94 年 灣 灣 1998 2005 灣 1998 2005 3 一年 年 一 年 年 一 一 一 302 中 157 52% 22 六
136 10 Farrell and Whidbee (2003), Engel et al. (2003), Huson et al. (2004) 2006 4 4 Farrell and Whidbee (2003) Engel et al. (2003) Huson et al. (2004) Huson et al. (2004) 2006 2006
137 11 Warner et al. 1988 Weisbach 1988 1 1 105 34.77% 131 43.38% 66
138 12 表 1: 總經理異動類型統計表 1 29 2 34 3 13 4 27 5 2 105 6 41 7 27 8 61 9 2 131 51 6 7 2 66 1 中 國 1312 民國 92/11/03 2 中 9960 民國 93/09/24 3 1201 民國 88/03/25 4 中 2535 民國 89/10/27 5 1907 民國 88/11/08 6 1235 民國 93/06/18 7 3089 民國 94/06/27 8 1604 民國 90/11/06 9
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
140 3. 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
141 15 Reinganum 1985: 46 60 Lubatkin, Chung, Rogers, and Owers 1986: 36 40 Bonnier and Bruner 1989 2006 Lubatkin, Chung, Rogers, and Owers 1989: 47 68 Lubatkin et al. 1986 Huson et al. 2004 Stulz 1990: 3 27 Guenther and Rosman 1994: 115 128 ordinary least squares; OLS White 1980: 817 838 t variance inflation factor; VIF Durbin-Watson ㈠ CAR i, t ( l, k) 2, +2 2 2 2 2 1, 00, +10 30, +30
142 16 ㈡ Ty i, t DeFond and Park (1999), Huson et al. (2004), and Berry et al. 2006 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
143 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=0 2 2 2, +2 0.132% 2, +2 0.352% 0.575% 3 ROA 4.358% ROA 2.145% 6.955% 2 1.436 1.632 1.266 2 Pearson Spearman 1% VIF 10
18 144 表 2: 迴歸變數之敘述性統計 CAR i, t ( 2, 2) 0.132 0.18 2.76 11.73 10.35 Ty i, t 0.416 0 0.49 0 1 Com i, t 1 0.268 0 0.44 0 1 Ms i, t 1 2.711 0.33 6.08 0.001 38.49 Ty i, t Com i,t 1 0.116 0 0.32 0 1 S i, t 1 15.209 15.05 1.37 12.71 19.65 G i, t 1 1.436 1.07 1.28 0.11 10.64 Lev i, t 1 43.869 43.58 15.54 6.07 90.66 ARoa i, t 1 4.358 2.48 11.93 64.28 35.25 Ind i, t 1 0.517 1 0.50 0 1 Ins i, t 0.755 1 0.43 0 1 Boa i, t 0.303 0 0.46 0 1 1 302 2 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 = 0 3 3 2, +2 t = 0 0.088% 2, +2 0.132% Warner et al. 1988 2, +2 0.279% 1%
145 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 2 1 0 1 2 0.042 ( 0.73) 0.053 (0.92) 0.088+ ( 1.54) 0.042 ( 0.73) 0.004 ( 0.06) 0.042 ( 0.73) 0.011 (0.13) 0.078 ( 0.78) 0.125 ( 1.04) 0.132 ( 0.96) 0.011 (0.11) 0.088 (0.90) 0.279*** (2.87) 0.011 ( 0.12) 0.014 ( 0.14) 0.011 (0.11) 0.099 (0.71) 0.376** (2.24) 0.365* (1.88) 0.352+ (1.62) 0.041 ( 0.47) 0.064 (0.74) 0.371*** ( 4.28) 0.191** ( 2.20) 0.021 ( 0.24) 0.041 ( 0.47) 0.023 (0.19) 0.348** ( 2.32) 0.539*** ( 3.11) 0.575*** ( 2.89) 0.162 ( 1.26) 0.052 (0.40) 0.106 ( 0.82) 0.229* (1.77) 0.006 (0.05) 0.162 ( 1.26) 0.110 ( 0.59) 0.214 ( 0.96) 0.018 (0.03) 0.024 (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) 0.352 + (1.62) 0.651** (2.02) 0.521 ( 0.55) 0.218 [56.6%] 0.132 [51.9%] 0.138 [53.8%] 1.385 [44.3%] 0.309** ( 2.52) 0.575*** ( 2.89) 0.650** ( 2.19) 1.339** ( 2.17) 0.456 [36.8%] 0.529 [39.9%] 0.665 [42.9%] 1.049 [40.6%] 0.676*** ( 3.00) 0.927*** ( 2.71) 1.302** ( 2.43) 0.819 ( 0.59) 1 t *** 1% ** 5% * 10% + 15% 2 302 105 131 66 V F 3 A 0 AR 1 AR 5 t ( 2, +2) 0
20 146 CAR AR AR AR B 4 Median % Pos 5 Jarque-Bera CAR CAR CAR (F V) t 1A Denis and Denis, 1995 2, +2 0.371% 1% 1B 1C 2, +2 0.0482% 10% 2, +20, +10 30, +30 0.083% 0.328% 1% 0.408% 5% 2, +2 0.009% 2, +20, +10 30, +30 0.075% 0.163% 0.222% 2, +2 0.095% 5% 2, +20, +10 30, +30
147 21 0.284% 1% 0.240% 0.165% 2, +2 0.658% 0.144% 0.109% 0.603% 2, +2 0.830% 5% 0.400% 0.344% 8 Mahajan and Lummer (1993), Denis and Denis (1995), and Huson et al. (2004) Mahajan and Lummer 1993 4 5 4 8
22 148 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 2 0.113 ( 1.39) 0.113 ( 1.39) 0.038 (0.47) 0.038 (0.47) 1 0.024 ( 0.30) 0.137 ( 1.19) 0.145* (1.78) 0.183 + (1.56) 0 0.151* ( 1.85) 0.287** ( 2.04) 0.008 (0.09) 0.187 (1.33) 1 0.078 ( 0.96) 0.371** ( 2.24) 0.009 ( 0.11) 0.174 (1.10) 2 0.047 (0.58) 0.324* ( 1.75) 0.037 ( 0.45) 0.133 (0.78) B H L CAR CAR CAR CAR (H L) ( 1, 0) 0.174 + ( 1.51) 0.149 (1.30) 0.323* ( 1.66) ( 2, 2) 0.324* ( 1.75) 0.133 (0.78) 0.457 + ( 1.49) (0, 10) 0.218 (0.81) 0.008 (0.15) 0.211 (0.46) ( 30, 30) 1.784*** ( 2.65) 0.796 (1.36) 2.579** ( 1.99) 1 t *** 1% ** 5% * 10% + 15% H 151 L 151 2 t 1 Ms i,t 1 Ms i,t 1 0.08% Ms i, t 1 5.09%
149 23 3 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, +2 0.151% 10% 2, +2 0.324% 10% 2, +2 0.008% 2, +2 0.133% 5 2, +2 0.272% 10% 2, +2 0.305% 5% 2A 2, +2 0.393% 1% 2, +2 0.290% 5%
24 150 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 2 0.133 ( 0.93) 0.133 ( 0.93) 0.129 ( 1.10) 0.129 ( 1.10) 0.139 (1.04) 0.139 (1.04) 0.102 (0.78) 0.102 (0.78) 1 0.209 (1.46) 0.076 (0.38) 0.131 ( 1.12) 0.258+ ( 1.56) 0.012 ( 0.09) 0.127 (0.66) 0.334** (2.55) 0.436** (2.31) 0 0.272* (1.91) 0.348 (1.41) 0.393*** ( 3.36) 0.651*** ( 3.21) 0.305** (2.29) 0.431* (1.86) 0.290** ( 2.21) 0.139 (0.61) 1 0.186 (1.30) 0.534* (1.87) 0.196* ( 1.68) 0.847*** ( 3.62) 0.169 ( 1.26) 0.262 (0.98) 0.168 ( 1.28) 0.029 ( 0.11) 2 0.119 ( 0.83) 0.415 (1.30) 0.150 (1.28) 0.697*** ( 2.66) 0.080 (0.60) 0.341 (1.14) 0.177 ( 1.35) 0.234 ( 0.69)
151 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) 0.294 + (1.55) 0.037 (0.20) 0.257 ( 0.80) 0.191 (0.57) 0.562* ( 1.85) ( 2, 2) 0.415 (1.30) 0.697*** ( 2.66) 1.113** ( 2.16) 0.341 (1.14) 0.234 ( 0.69) 0.575 ( 1.35) 0.074 (0.16) 0.463 ( 0.98) (0, 10) 1.489*** (3.14) 0.595 + ( 1.53) 2.084*** ( 2.73) 0.008 ( 0.02) 0.361 ( 0.74) 0.352 ( 0.51) 1.497** (2.08) 0.234 ( 0.32) 1 t *** 1% ** 5% * 10% + 15% N H L V F 29 37 2 A 0 AR 5 t ( 2, 2) 0 CAR AR AR AR B 3 Jarque-Bera CAR CAR t 4 t ( 30, 30) B
152 26 2B 1, 0 2, +20, +10 0.753% 10% 0.538% 1.732% 10% 3 6 1 0.709 t 2.25 5% 1C 2 1.439 t 2.64 1% 3
153 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) 2.666 ( 1.18) 4.973** ( 2.42) 2.401 ( 1.06) Ty i, t 0.709** ( 2.25) 0.761** ( 2.06) Com i, t 1 1.439*** ( 2.64) 1.522*** ( 2.64) Ty i, t Com i,t 1 1.177** ( 1.98) 0.129 (0.18) S i, t 1 0.401*** (2.93) 0.194 (1.34) 0.334** (2.48) 0.197 (1.35) G i, t 1 0.145 ( 0.98) 0.213 ( 1.33) 0.167 ( 1.05) 0.233 ( 1.48) Lev i, t 1 0.0002 (0.02) 0.002 ( 0.16) 0.001 ( 0.05) 0.002 ( 0.19) ARoa i, t 1 0.015 (0.70) 0.017 (0.75) 0.013 (0.59) 0.013 (0.57) Ind i, t 1 0.491 (1.40) 1.071** (2.26) 0.672* (1.75) 1.139** (2.45) Adjusted R 2 4.19% 5.02% 4.04% 6.05% D-W 2.10 2.09 2.06 2.11 F 2.96*** 3.36*** 2.88*** 3.16*** 1 White (1980) t *** 1% ** 5% * 10% 302 2 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
154 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) 1.177 t 1.98 5% 3 4 Bonnier and Bruner 1989 Lubatkin et al. 1986 Bonnier and Bruner, 1989 2, +2 0.069% 2, +2 0.134% 9 2, +2 0.031% 0.606% 5% 10 9 2, +2 0.220% 10% 0.360% 1% 2, +2 0.431% 0.416% 10 2, +2 0.499% 10% 0.144% 2, +2 0.387% 0.2760%
155 29 7 2 Ins = 1 0.913 5% Warner et al. 1988 John and Senbet 1998: 371 403 2, +2 0.381% 10% 0.144% 2, +2 0.197% 10% 0.349% 7 2 Boa=1 0.707 5% 6 6
156 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) 3.503 ( 1.55) 6.080*** ( 2.90) 3.059 ( 1.34) Ty i, t 0.565 ( 1.61) 0.672* ( 1.68) Com i, t 1 1.509*** ( 2.71) 1.648*** (2.80) Ty i, t Com i,t 1 1.082* ( 1.69) 0.185 (0.24) S i, t 1 0.394*** (2.75) 0.182 (1.23) 0.340** (2.44) 0.183 (1.23) G i, t 1 0.072 ( 0.51) 0.133 ( 0.88) 0.087 ( 0.57) 0.147 ( 0.99) Lev i, t 1 0.005 (0.36) 0.003 (0.20) 0.004 (0.33) 0.001 (0.06) ARoa i, t 1 0.005 ( 0.24) 0.007 ( 0.33) 0.009 ( 0.42) 0.012 ( 0.56) Ind i, t 1 0.705* (1.86) 1.371*** (2.81) 0.911** (2.32) 1.382*** (2.84) Ins i, t 0.765 (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 2 4.49% 6.38% 4.77% 6.89% D-W 1.99 2.01 1.98 2.00 F 2.42** 3.05*** 2.50** 2.78*** 1 White (1980) t *** 1% ** 5% * 10% 302 2 Ins i,t Ins = 1
157 31 Ins=0 Boa i, t Boa = 1 Boa = 0 2 6 3 VIF 1.072~3.049 D-W 2 4 t ( 1, 0) t ( 0, +10) t ( 30, +30) t ( 2, +2)
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161 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