本文選題：CEO能力認知　切入點：CEO任期　出處：《復旦大學》2014年碩士論文

【摘要】：市場中的企業(yè)面臨系統(tǒng)風險及特質風險,上市公司股票波動率由多種因素決定,這些因素可能源自企業(yè)基本面,也可能源自市場投資者對企業(yè)高管的認知程度。當投資者對上市企業(yè)CEO能力認知不足時,有關上市企業(yè)CEO的新聞報道會從兩個層面引起其股價波動：其一,新聞報道本身將直接引起股價波動；其二,新聞報道將影響公眾對CEO能力的評估以及對其未來績效的預測,從而間接引起股價的波動。公眾對CEO能力的認知隨著時間的推移即CEO任期的延長而加深,因而股價波動隨著CEO任期的延長而降低。本文依據(jù)以上假設,使用中國滬深兩市二十年數(shù)據(jù),運用計量經濟學研究方法,對上市公司股票收益波動率及公眾對CEO能力認知的相關性進行了實證研究。本文在基于假設而設定的模型上,采取具有代表性的控制變量以及我國證券市場成立以來直至最新可獲得的經濟數(shù)據(jù),研究滬深兩市企業(yè)上市以來每個企業(yè)每次CEO更替后隨時間推移波動率的變化情況,整理使用了七萬多條樣本,得到的結論是：隨著CEO更替后時間的推移(三年內),企業(yè)股票收益波動率降低。CEO能力的認知程度與上市企業(yè)股票收益波動率在經濟學及統(tǒng)計意義上顯著線性負相關。該結論與新任CEO的任職來源以及前任CEO的離職原因相關,即當CEO來自內部提拔(內源CEO),公司股票收益波動率上升。另外,在弱統(tǒng)計顯著性下,當CEO離職由被動原因導致時,也將對公司股票收益波動率產生正向影響。綜上,對上市企業(yè)CEO能力的認知程度是影響股票收益波動率的重要因素。
[Abstract]:Enterprises in the market are faced with systemic risks and special risks. The volatility of listed companies is determined by a variety of factors, which may come from the fundamentals of enterprises. It may also stem from market investors' awareness of corporate executives. When investors do not know enough about the CEO capabilities of listed companies, news reports about listed companies' CEO can cause their share prices to fluctuate on two levels: first, News coverage itself will directly cause stock price volatility; second, news coverage will affect the public's assessment of CEO capabilities and its future performance forecasts. As a result, the public's understanding of the ability of CEO deepens with the passage of time, that is, the extension of the tenure of CEO, so the volatility of the stock price decreases with the extension of the term of CEO. Using 20 years data from Shanghai and Shenzhen stock markets in China and using econometric research methods, this paper makes an empirical study on the correlation between the volatility of stock returns of listed companies and the public perception of CEO capability. By using the representative control variables and the latest economic data since the establishment of the stock market in China, this paper studies the change of the volatility rate with time after each CEO turnover of each enterprise in Shanghai and Shenzhen stock markets. More than 70,000 samples were collected and used. The conclusion is: with the passage of time after the turnover of CEO (within three years), the cognitive degree of the ability of the CEO to reduce the volatility of stock returns and the volatility of stock returns of listed enterprises are significantly linear and negative in the economic and statistical sense. This conclusion is related to the source of the new CEO and the reasons for the departure of his predecessor, CEO. That is, when CEO comes from internal promotion (endogenous CEO), the volatility of stock returns increases. In addition, under the weak statistical significance, when CEO turnover is caused by passive causes, it will also have a positive impact on the volatility of stock returns. The cognition of CEO ability of listed enterprises is an important factor to affect the volatility of stock returns.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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相關期刊論文 前1條

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本文編號：1689346