| Summary: | 碩士 === 國立交通大學 === 管理學院財務金融學程 === 99 === Based on the Berger & Ofek (1995) definition, we estimate and measure the excess value and imputed premium of firms listed on the Taiwan Stock Exchange (TSE) and Taiwan’s over-the-counter market (known as GreTai Securities Market) from 2003 to 2009 using PE, PB and PS ratios in calculation of imputed firm value. This study applies the panel data regression model to investigate the relationship between firm size and excess value and imputed premium, respectively.
We found the calculation results of excess value are mostly positive among each firm size group and price multiples, which indicates that most of Taiwan listed companies might be overpriced. Moreover, the regression results show the negative relationship between firm size and excess value, which means the smaller the firm size, the larger discrepancies between actual market value and imputed value due to the information asymmetric problem.
Being the proxy of intellectual capital, the imputed premium has a positive relationship to firm size in the regression results. The larger the firm size, the more likely that R&D, human capital and brand assets are not recognized in the balance sheet of financial statements and the larger the imputed premium.
Furthermore, a direct comparison of empirical data shows that the excess values of electronic industries are larger than non-electronic industries since Electronic industries are subject to greater information asymmetry between the market and firms and larger growth opportunities.
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