李存修臺灣大學：財務金融學研究所陳筱君Chen, Hsiao-ChunHsiao-ChunChen2007-11-282018-07-092007-11-282018-07-092007http://ntur.lib.ntu.edu.tw//handle/246246/60637本文首先利用過去年度的員工分紅資料來建立分紅預期模型，並用事件研究法來討論股價對未預期分紅之反應；接著利用OLS模型及固定效果模型來探討異常報酬與未預期分紅之關聯。結果顯示發放超過預期員工分紅之公司會有較差之異常報酬；同時，員工股票分紅對於負異常報酬的影響甚於員工現金分紅；最後也發現員工分紅的稀釋效果強於激勵效果，尤其在近年的數據中更為明顯。We first form an employee bonus expectation model by the previous bonus data and examine market reactions to unexpected employee bonuses by event study. We then utilize OLS Model and Fixed Effect Model to explore the relationship between unexpected employee bonuses and abnormal returns. The results show that firms which grant more employee bonuses than expected have lower abnormal returns. Also, employee stock bonuses contribute more to negative returns than employee cash bonuses. Furthermore, the negative effects of employee bonuses have seemed to dominate over the incentive effect, particularly in latest years.1. Introduction 1 2. Theoretical Framework 7 2.1 The Relation between Profit Sharing Plans and Firms’ Performance 7 2.2 Relation between Profit Sharing Plans and a Firm’s Market Value 9 2.3 The Expectation of Employee Bonus Grant 12 2.4 How Unexpected Bonuses Influence Stock Prices 13 3. Methodology 15 3.1 Sample Selection 15 3.2 Definition of Unexpected Employee Cash and Stock Bonuses 16 3.3 Event Study 17 3.3.1 Determination of Event Date 17 3.3.2 Measurement of Abnormal Returns 17 3.3.3 Significant Tests of Event Study 19 3.4 Regression Model 20 3.4.1 Measurement 21 3.4.2 Model Specification 23 4. Empirical Result 25 4.1 Descriptive Statistics 25 4.2 Event Study Result 28 4.3 Regression Analysis 37 5. Additional Analysis 43 6. Conclusion 48 References 50994892 bytesapplication/pdfen-US員工分紅股價反應事件研究Employee BonusStock Price ReactionEvent Studythesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60637/1/ntu-96-R94723041-1.pdf