The Relationship between CEO Power and Skewness of Stock Returns

[[abstract]]傳統投資組合理論大多假定股票報酬率服從常態分配，然而，許多研究發現股票報酬率呈現不對稱的分配型態。Chen et al (2001) 的裁量性資訊揭露假說主張，經理人偏好立即一次揭露好消息，但對於壞消息卻緩慢逐次揭露，此行為導致報酬率分配傾向正偏。本研究以台灣經濟新報資料庫的股票資料對該假說進行驗證，實證結果發現，專家權力越高，高階經理人有效管理企業外部環境的能力越強，經理人權力就越大；所有權權力越高，高階經理人之利害關係與股東越趨近，經理人權力也就越大。經理人權力是影響資訊揭露的自由裁量權大小有關之關鍵因素，因此，專家權力越高，或是所有權權力越高，經理人權力就越大，也會擁有較大的資訊揭露裁量權，遂使的股票報酬率正偏分配程度越高。[[abstract]]The normal distribution of stock returns is most commonly adopted in traditional portfolio theory However there is a growing body of evidence indicating the asymmetric skewness in stock returns The discretionary-disclosure hypothesis of Chen et al (2001) argues that the managers prefer to disclose good news right away while dribbling bad news out slowly This behavior tends to impart positive skewness to stock returns The paper tests this theory at firm level using the data from the Taiwan Economic Journal (TEJ) The empirical results show that when CEO expertise is higher CEO will have stronger ability to effectively manage the external environment In addition when CEO ownership is larger the interest of CEO and shareholders will become closer Thus the CEO power will be stronger Thus CEO power is a key factor affecting the discretion of information disclosure therefore CEO expertise or CEO ownership is higher CEO power is stronger Since CEO has greater power to retain discretion of information disclosure and then positive skewness is more pronounced in stock return