協議假說對資本投資宣告的影響

Abstract

本篇論文主要是討論當資訊對稱的情況下，Dittmar and Thakor (2007) 所提出的協議假說應用於投資決策的影響。研究結果顯示，對於資本投資宣告來說，協議效果對於投資人與經理人具有等同的影響效果；體現於市場反應上，協議效果高的公司其異常報酬顯著大於協議效果小的公司，其影響力在控制成長機會效果時，仍有顯著的解釋能力；體現於經理人行為上，協議效果高的公司其宣告金額顯著大於協議效果低的公司，其影響力在控制自由現金流量後，仍有顯著的解釋能力。 另外本文並以協議效果產生的異常報酬驗證經理人過度自信的行為，結果顯示，過度自信會使宣告後實際執行的資本支出增加，而就長期績效表現來說，本文發現過度自信所引發的過度投資在公司自由現金流量充裕時的確導致長期負的異常報酬，但是過度自信所引起的適度過度投資確也適時的減緩了在自由現金流量過低時經理人投資不足的問題。

I test agreement hypothesis influence to capital investment announcements. The empirical evidence support that the agreement effects show the same signal to both the manager and the investors. Therefore, the cumulative abnormal returns for high agreement firms are significantly larger than the cumulative abnormal returns for low agreement firms and the announced amounts for high agreement firms are significantly larger than the announced amounts for low agreement firms. Comparing to growth opportunities effects to market response for capital investment announcements, the agreement effects show additional explanatory power. Also comparing to free cash flow effects to capital expenditures, agreement effects show additional explanatory power too. I further identify the influence of cumulative abnormal returns resulted from different level of agreement for the manager’s degree of overconfidence. I find empirical evidence showing that overinvestment is the result of overconfidence. However, while the overconfidence decreases the long-run performance for high cash flow firms, it mitigates the underinvestment problem and increases values for low cash flow firms.