員工分紅配股費用化實施對股票異常報酬之影響─以臺灣資訊科技指數成分股為例

Abstract

1986年聯華電子首開員工分紅先例，當時台灣資訊電子業之薪酬制度未趨完善，此制度之產生遂吸引了許多國外優秀人士回國，造就了今日台灣資訊電子業之榮景。然而，此種制度雖然對電子產業的發展有助益，卻也有其不爭的缺失存在。因此，政府決定於2008年實施員工分紅費用化與對員工分紅依市價八折來課稅的政策，因此促成了本篇論文的研究動機。 此論文利用事件研究法來探討當金管會在2008年1月1日實施員工分紅配股費用化制度時，市場投資人之反應為何，我們選定代表電子股的臺灣資訊科技指數成分股為樣本公司，以迴歸模式進行分析，累積異常報酬率為應變數，員工分紅配股費用化比例為自變數之外，再加入公司資本額及營收成長性兩項控制變數。實證結果發現在事件日前後的15個、10個、5個交易日，樣本公司的股價均產生統計上顯著的負向累積報酬，但是只有事件日前後5個交易日的累積異常報酬與員工分紅配股費用化比例為顯著負相關。因此，我們推論員工分紅配股比例會造成研究事件日產生累積異常報酬，由於市場投資人認為對於實施員工分紅配股比例較高的公司，相較於員工分紅配股比例較低之公司將不利於股東權益，並對股價報酬變動產生負面衝擊，但其影響可能是只有短期效果而已。

In 1986, when reward system in Taiwan Information Technology (IT) industries was not sound, United Microelectronics Corporation (UMC) was the first to carry out the stock bonus system. The introduction of this system has attracted many outstanding talents from abroad and then help achieved the prosperity of Taiwan IT Industries nowadays. However, despite of its benefits for the development of Electronics industry, it has many shortcomings. Therefore, Taiwanese government has decided to implement policies of expensing employee stock bonus and taxing employee stock bonus based on 80% of its fair value in 2008. This decision motivates the research of this thesis. This thesis uses event study methodology to understand what investors’ reactions are as Financial Supervisory Commission executes expensing employee stock bonus on January 1, 2008. We select TSEC Taiwan Technology Index constituents to be samples, then we analyze by implementing the regression model. The cumulative abnormal returns is the dependent variable, and the expense of employee stock bonus ratio is the independent variable. Besides, we add companies’ capitalization and sales growth rate yearly to be the control variables. According to the outcome, we discovered that 15, 10 and 5 days before and after the event day, the sample companies’ prices have negative cumulative abnormal returns significantly. However, only the 5 days before and after the event day, the expense of employee stock bonus ratio is inversely related to the cumulative abnormal returns significantly. Therefore, we deduce that the expense of employee stock bonus ratio would produce the negative cumulative abnormal returns on the event day. The reason is that investors consider when the expense of employee stock bonus ratio is higher, stockholders revenue will be decreased, and then the stock price will also get down. However, this effect may be short term based on our evidence.