公司治理與股價尾端風險管理：以台灣上市公司為例

Abstract

本研究旨在探討1980年至2021年間台灣上市公司的資訊透明度、董事會、持股、競爭力、薪酬等五大公司治理構面對股價尾端風險的影響。研究結果顯示，資訊透明度、持股、競爭力、薪酬等公司治理面向與股價尾端風險呈現正相關，即公司在這些方面表現越好，其股價尾端風險越低。然而，董事會的治理表現與股價尾端風險呈負相關，意味著董事會治理表現越好，股價尾端風險反而越高。此外，分年度分析顯示資訊透明度、董事會的係數逐年由正轉負，而持股、薪酬的係數逐年轉為正顯著。根據研究結果，台灣企業應更注重持股、薪酬等公司治理表現，以降低股票尾端風險，至於董事會治理表現，企業應審慎考慮其對股價尾端風險的影響，並探索可能的原因以制定合適的策略。

This study aims to explore the impact of five major corporate governance dimensions—Transparency, Director, Ownership, Competition, and Compensation—on the tail risk of stock prices of listed companies in Taiwan from 1980 to 2021. The results show that Transparency, Ownership, Competition, and Compensation are positively correlated with the tail risk of stock prices, indicating that better performance in these areas is associated with lower tail risks. However, Director is negatively correlated with the tail risk of stock prices, suggesting that better board governance is associated with higher tail risks. Additionally, the annual analysis reveals that the coefficients for Transparency and Director have shifted from positive to negative over the years, while those for Ownership and Compensation have become significantly positive. Based on these findings, Taiwanese enterprises should pay more attention to governance performance in Ownership and Compensation to reduce stock tail risks. As for Director, companies should carefully consider its impact on tail risk and explore potential reasons to develop appropriate strategies.