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題名 由重大損失對股價影響之實證研究論企業之危險管理
作者 吳澔如
貢獻者 林炯垚
吳澔如
日期 1988
上傳時間 4-May-2016 14:25:49 (UTC+8)
參考文獻 參考書目
I 中文部分
1.Kailin Tuan and William P. Davis, "Fiancial Objective of Risk Management－the Circular Flow of Funds Approach. "Risk Management.(January.1977) 孫堂福譯，「風險管理的財務目標－基金循環流通的研究」 收入風險管理論文集，台北:保險事業發展中心，民國七十五年十二月，頁90-101
2.林煜宗，現代投資學－制度、理論與實証，台北:自印，民國七十二年增訂版。
3.林煜宗，「市場因素對台灣証券市場之股價變動影響」，証交資料月刊194期，民國六十七年六月，頁1-9。
4.袁宗蔚，保險學，台北:三民書局，民國七十一年增訂23版。
5.陽肇昌，「企業對純損危險的管理」，收入其所編，保險之運用經營與管理，民國七十五年。
6.宋明哲，風險管理，台北:中華企業管理發展中心，七十七年八月再版。
7.黃俊英，多變量分析，台北:中國經濟企業研究所，民國七十五年元月二版。
8.祁和福，應用迴歸分析，台北:自印，民國六十七年七月初版。
9.余尚武，台灣証券市場股票上市公司盈餘宣告所含資訊內容之研究，台北:國立台灣大學商學研究所未出版碩士論文，民國七十五年六月。
10.羅楨昌，現金增資公告對股價影響之實証研究，台北:國立政治大學企業管理研究所未出版碩士論文，民國七十六年六月。
11.陳文燦，利率變動對股票股價格影響之實証研究，台北:國立政治大學企業管理研究所未出版碩士論文，民國七十六年六月。


II、英文部分
1. Brenner, Menachem. "The Sensitivity of the Efficient Market Hypothesis to Alternative Specification of the Market Model," Journal of Finance 34 (September, 1979), PP. 915-929.
2. Bar-Yosef, Sasson and L. D. Brown. "A Reexamination of Stock Splits Using Moving Betas, " Journal of Finance 32 (September 1977). PP.1069-1080.
3. Ball, Ray. "Changes in Accounting Techniques and Stock Prices." Empirical Research in Accounting： Selected Studies (1972), PP.1-38.
4. Ball, Ray. "Risk, Return, and Disequilibrium : An Application to Changes in Accounting Technique," Journal of Finance 27 (May, 1972), PP.343-354.
5. Ball, Ray, and Phillips Brown. "An Empirical Investigation of Accounting Numbers," Journal of Accounting Research 6 (Autumn, 1968), PP. 159-178.
6. Brown, Stewart L. "Earnings Changes, Stock Prices and Market Efficiency," Journal of Finance 33 (March, 1978), PP.17-28.
7. Blume, Marshall E., "On the Assessment of Risk" Journal of Finance 26 (March, 1971), PP.1-10.
8. Cohen, Kalman J., Gabriel H. Hawawini, Steven F. Maier. Robert A. Schwartz, and David Whitcomb. "Implications of Microstructure Theory for Empirical Research on Stock Price Behavior." Journal of Finance 35 (May, 1980) , PP.249-267.
9. Collins, Danial W., and Warrent T. Dent. "A Comparison of Alternative Testing Models used in Capital Market Research." Journal of Accounting Research 22 (Spring 1984), PP.48-84.
10. Doherty, Neil A. Corporate Risk Management. McGraw-Hill Inc., 1985.
11. Fama, Eugene F... "Reply, " Journal of Finance 31 (March, 1976), PP. 143 -145.
12. Fama, Eugene F. "Efficient Capital Markets : A Review of Theory and Empirical Work, " Journal of Finance 25 (May, 1970 ) , PP. 363-417.
13. Fama, Eugene F. Foundation of Finance : Basic Book, New York, 1976.
14. Fama, Eugene F. , L. Fisher, M. C. Jenson and R. Roll. "The Adjustment of Stock Prices to New Information, "International Economic Review 10 (February, 1969), PP.1-26.
15. Fama, Engene F., and R. Roll. "Parameter Estimates for Symmetric Distribution, "Journal of American Statistical Association 66 (1971 ) , PP.331-338.
16. Fama, Eugene F. "A Note on the Market Model and the Two-Paramete Model, "Journal of Finance 28 (1973), PP. 181-1185.
17. Fabozzi, Frank J., and Jack Clark Francis. "Beta as a Random Coefficient, " Journal of Financial and Quantitative Analysis 13 (March, 1978), PP.101-116.
18. Gooding, Arthur E., and Terence P. O`Malley. "Market Phase and the Stationarity of Beta, " Journal of Financial and Quantitative Analysis 12 (December, 1977) , PP. 833-857.
19. Hess, Alan C., and Peter A. Frost. "Tests for Price Effects of Issues of Seasoned Security." Journal of Fiance 37 (March, 1982), PP.11-25.
20. Jenson, Michael C. "Some Anomalous Evidence Regarding Market Efficiency," Journal of Financial Economics. 6 (June–September 1978) , PP. 95-101.
21. Kaplan, Robert S., and Richard Roll. "Investor Evaluation of Accounting Information: Some Empirical Evidence." Journal of Business 45 (April, 1972), PP.212-224.
22. Lauterbach, R.E., "Business Interruption." Insurance Series, 115. (New York : American Management Association), PP.43-44.
23. Lorie, Jame H., Peter Dodd, and Mary Hamilton Kimptom. The Stock Market: Theories and Evidence, 2nd ed Homewood, Illinois: Richard D. Irwin, 1985.
24. Mehr, Robert I. and Bob A. Hedges, Risk Management––Concepts –and Applications Homewood, Illinois : Richard D. Irwin, 1974.
25. Mehr, Robert I., E. Canmack and T. Rose, Principle of Insurance, 8th ed. , Homewood, Illinois: Richard D. Irwin, 1985.
26. Mandelker, Gershon. "Risk and Return : the Case of Merging Firms, " Journal of Financial Economics 1 (December, 1974) PP. 303-335.
27. Morse, Dale. "An Econometric Analysis of the Choice of Daily Versus Monthly Returns in Tests of Information," Journal of Accounting Research 22 (Autumn, 1984) , PP.605-623.
28. Neter, John, William Wasserman and Michael H. Kutner. Appiled Linear Regression Models, Homewood , Illinois : Richard D. Irwin, 1983.
29. Pettit, R. Richardson. "Dividend Announcements, Security Performance and Capital Market Efficiency," Journal of Finance 27 (December, 1972), PP. 993-1007.
30. Pettit, R. Richardson, and Randolph Westerfied. "Using the Capital Asset Pricing Model and the Market Model to Predict Security Return." Journal of Financial and Quantitative Analysis, 9 (September, 1974), PP. 579-605.
31. Roenfeldt, Rodney L., Gary L. Griepentrog, and Christopher C. Pflaum, "Further Evidence on the Stationarity of Beta Coefficients." Journal of Financial and Quantitative. Analysis, 13 (March 1978), PP.117-121.
32. Radcliffe, Robert C. Investment : Concepts. Analysis, and Strategy, 2nd ed., Glenview, Illinois : Scott, Foresman and Inc., 1987.
33. Sprecher, C. Ronald, and Mars A. Pertl. "Large Losses, Risk Management and Stock Prices, " The Journal of Risk and Insurance 50 (March , 1983), PP.107-117.
34. Sharpe, William F. "A Simplified Model of Portfolio Analysis, " Management Science 9 (January, 1963), PP.277–293.
35. Sharpe. William F. "Capital Asset Prices : A Theory of Market Equilibrium Under Conditions of Risk, " Journal of Finance 19 (September, 1964), PP.425-442.
36. Scholes, Myron S. "The Market for Security : Substitution Versus Price Pressur and the Effects of Information on Share Prices." Journal of Business 45 (1972), PP. 179-211.
37. Vaughan, Emmett J. Eundamentals of Risk and Insurance, 3rd ed. John Wiley & Sons Inc., 1982.
38. Willians, C.A., G.L. Head, R.C. Horn, and G.W. Glendenming. Principle of Risk Management and Insurance, 2nd ed., 2 vols. Pennsylvania: American Institute for Property and Liability Under writers, 1981.
39. Williams, C. Arthur and Richard M. Heins. Risk management and Insurance, 4th ed. McGraw-Hill Inc., 1981.
描述 碩士
國立政治大學
風險管理與保險研究所
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005649
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.author (Authors) 吳澔如zh_TW
dc.creator (作者) 吳澔如zh_TW
dc.date (日期) 1988en_US
dc.date.accessioned 4-May-2016 14:25:49 (UTC+8)-
dc.date.available 4-May-2016 14:25:49 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 14:25:49 (UTC+8)-
dc.identifier (Other Identifiers) B2002005649en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90526-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description.tableofcontents 目錄
圖表目次
序言………壹
目錄………貳
圖表目次………肆
第壹章 緒論
第一節 研究動機………1
第二節 研究目的………3
第三節 文獻探討………4
第四節 研究架構………8
第五節 全文概述………9
第貳章 理論基礎
第一節 效率市場假說………11
第二節 均衡預期報酬模式………14
第三節 企業危險管理理論………18
第參章 研究設計
第一節 研究假設………25
第二節 研究方法………26
第三節 殘差分析………36
第四節 統計檢定方法………39
第五節 研究限制………42
第肆章 實証結果之檢定、分析與比較
第一節 報酬率的常態分配檢定………46
第二節 迴歸統計值與自我相關檢定………47
第三節 異常報酬實證結果分析………56
第四節 中美實證結果比較分析與危險管理應優先採用之對策………69
第伍章 結論與後續研究
第一節 結論………74
第二節 後續研究………76
參考書目………77

圖表目次
圖目次
1-1 美國GPU之股價波動情形………1
1-2 文獻探討之研究期、估計期、預測期及宣佈日關係圖………4
1-3 Sprecher與Pertl之實証研究、CAR圖型………6
1-4 Sprecher與Pertl之實証研究、PPI圖型………6
1-5 Sprecher與Pertl之實証研究、API圖型………7
1-6 研究架構圖………8
3-1 市場模式之研究期、估計期、預測期及宣佈日關係圖………34
3-2 移動β模式之研究期、估計期、預測期及宣佈日關係圖………35
4-1 市場模式下，CAR圖型………64
4-2 市場模式下，PP1圖型………64
4-3 市場模式下，API圖型………65
4-4 移動β模式下，CAR圖型………66
4-5 移動β模式下，PPI圖型………66
4-6 移動β模式下，AP1圖型………67

表目次
1-1 Sprecher與Pertl之實証研究，CAR、PPI、AP1資料………5
4-1 市場模式個別証券報酬率在估計期之敘述統計值彙總表………49
4-2 市場模式市場報酬率在估計期之敘述統計值彙總表………49
4-3 移動β模式個別証券報酬率在估計期之敘述統計值彙總表………50
4-4 移動β模式市場報酬率在估計期之敘述統計值彙總表………52
4-5 市場模式迴歸參數值………54
4-6 移動β模式迴歸參數值………54
4-7 市場模式下CAR、PPI興API資料………59
4-8 市場模式下，CAR、PPI-1與API-1資料………60
4-9 市場模式下，AR興CAR之統計檢定值………61
4-10 移動β模式下，CAR、PPI與API資料………62
4-11 移動β模式下，CAR、PPI-1與API-1資料………63
4-12 移動β模式下，AR與CAR之統計檢定值………68		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005649en_US
dc.title (題名) 由重大損失對股價影響之實證研究論企業之危險管理zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目
I 中文部分
1.Kailin Tuan and William P. Davis, "Fiancial Objective of Risk Management－the Circular Flow of Funds Approach. "Risk Management.(January.1977) 孫堂福譯，「風險管理的財務目標－基金循環流通的研究」 收入風險管理論文集，台北:保險事業發展中心，民國七十五年十二月，頁90-101
2.林煜宗，現代投資學－制度、理論與實証，台北:自印，民國七十二年增訂版。
3.林煜宗，「市場因素對台灣証券市場之股價變動影響」，証交資料月刊194期，民國六十七年六月，頁1-9。
4.袁宗蔚，保險學，台北:三民書局，民國七十一年增訂23版。
5.陽肇昌，「企業對純損危險的管理」，收入其所編，保險之運用經營與管理，民國七十五年。
6.宋明哲，風險管理，台北:中華企業管理發展中心，七十七年八月再版。
7.黃俊英，多變量分析，台北:中國經濟企業研究所，民國七十五年元月二版。
8.祁和福，應用迴歸分析，台北:自印，民國六十七年七月初版。
9.余尚武，台灣証券市場股票上市公司盈餘宣告所含資訊內容之研究，台北:國立台灣大學商學研究所未出版碩士論文，民國七十五年六月。
10.羅楨昌，現金增資公告對股價影響之實証研究，台北:國立政治大學企業管理研究所未出版碩士論文，民國七十六年六月。
11.陳文燦，利率變動對股票股價格影響之實証研究，台北:國立政治大學企業管理研究所未出版碩士論文，民國七十六年六月。


II、英文部分
1. Brenner, Menachem. "The Sensitivity of the Efficient Market Hypothesis to Alternative Specification of the Market Model," Journal of Finance 34 (September, 1979), PP. 915-929.
2. Bar-Yosef, Sasson and L. D. Brown. "A Reexamination of Stock Splits Using Moving Betas, " Journal of Finance 32 (September 1977). PP.1069-1080.
3. Ball, Ray. "Changes in Accounting Techniques and Stock Prices." Empirical Research in Accounting： Selected Studies (1972), PP.1-38.
4. Ball, Ray. "Risk, Return, and Disequilibrium : An Application to Changes in Accounting Technique," Journal of Finance 27 (May, 1972), PP.343-354.
5. Ball, Ray, and Phillips Brown. "An Empirical Investigation of Accounting Numbers," Journal of Accounting Research 6 (Autumn, 1968), PP. 159-178.
6. Brown, Stewart L. "Earnings Changes, Stock Prices and Market Efficiency," Journal of Finance 33 (March, 1978), PP.17-28.
7. Blume, Marshall E., "On the Assessment of Risk" Journal of Finance 26 (March, 1971), PP.1-10.
8. Cohen, Kalman J., Gabriel H. Hawawini, Steven F. Maier. Robert A. Schwartz, and David Whitcomb. "Implications of Microstructure Theory for Empirical Research on Stock Price Behavior." Journal of Finance 35 (May, 1980) , PP.249-267.
9. Collins, Danial W., and Warrent T. Dent. "A Comparison of Alternative Testing Models used in Capital Market Research." Journal of Accounting Research 22 (Spring 1984), PP.48-84.
10. Doherty, Neil A. Corporate Risk Management. McGraw-Hill Inc., 1985.
11. Fama, Eugene F... "Reply, " Journal of Finance 31 (March, 1976), PP. 143 -145.
12. Fama, Eugene F. "Efficient Capital Markets : A Review of Theory and Empirical Work, " Journal of Finance 25 (May, 1970 ) , PP. 363-417.
13. Fama, Eugene F. Foundation of Finance : Basic Book, New York, 1976.
14. Fama, Eugene F. , L. Fisher, M. C. Jenson and R. Roll. "The Adjustment of Stock Prices to New Information, "International Economic Review 10 (February, 1969), PP.1-26.
15. Fama, Engene F., and R. Roll. "Parameter Estimates for Symmetric Distribution, "Journal of American Statistical Association 66 (1971 ) , PP.331-338.
16. Fama, Eugene F. "A Note on the Market Model and the Two-Paramete Model, "Journal of Finance 28 (1973), PP. 181-1185.
17. Fabozzi, Frank J., and Jack Clark Francis. "Beta as a Random Coefficient, " Journal of Financial and Quantitative Analysis 13 (March, 1978), PP.101-116.
18. Gooding, Arthur E., and Terence P. O`Malley. "Market Phase and the Stationarity of Beta, " Journal of Financial and Quantitative Analysis 12 (December, 1977) , PP. 833-857.
19. Hess, Alan C., and Peter A. Frost. "Tests for Price Effects of Issues of Seasoned Security." Journal of Fiance 37 (March, 1982), PP.11-25.
20. Jenson, Michael C. "Some Anomalous Evidence Regarding Market Efficiency," Journal of Financial Economics. 6 (June–September 1978) , PP. 95-101.
21. Kaplan, Robert S., and Richard Roll. "Investor Evaluation of Accounting Information: Some Empirical Evidence." Journal of Business 45 (April, 1972), PP.212-224.
22. Lauterbach, R.E., "Business Interruption." Insurance Series, 115. (New York : American Management Association), PP.43-44.
23. Lorie, Jame H., Peter Dodd, and Mary Hamilton Kimptom. The Stock Market: Theories and Evidence, 2nd ed Homewood, Illinois: Richard D. Irwin, 1985.
24. Mehr, Robert I. and Bob A. Hedges, Risk Management––Concepts –and Applications Homewood, Illinois : Richard D. Irwin, 1974.
25. Mehr, Robert I., E. Canmack and T. Rose, Principle of Insurance, 8th ed. , Homewood, Illinois: Richard D. Irwin, 1985.
26. Mandelker, Gershon. "Risk and Return : the Case of Merging Firms, " Journal of Financial Economics 1 (December, 1974) PP. 303-335.
27. Morse, Dale. "An Econometric Analysis of the Choice of Daily Versus Monthly Returns in Tests of Information," Journal of Accounting Research 22 (Autumn, 1984) , PP.605-623.
28. Neter, John, William Wasserman and Michael H. Kutner. Appiled Linear Regression Models, Homewood , Illinois : Richard D. Irwin, 1983.
29. Pettit, R. Richardson. "Dividend Announcements, Security Performance and Capital Market Efficiency," Journal of Finance 27 (December, 1972), PP. 993-1007.
30. Pettit, R. Richardson, and Randolph Westerfied. "Using the Capital Asset Pricing Model and the Market Model to Predict Security Return." Journal of Financial and Quantitative Analysis, 9 (September, 1974), PP. 579-605.
31. Roenfeldt, Rodney L., Gary L. Griepentrog, and Christopher C. Pflaum, "Further Evidence on the Stationarity of Beta Coefficients." Journal of Financial and Quantitative. Analysis, 13 (March 1978), PP.117-121.
32. Radcliffe, Robert C. Investment : Concepts. Analysis, and Strategy, 2nd ed., Glenview, Illinois : Scott, Foresman and Inc., 1987.
33. Sprecher, C. Ronald, and Mars A. Pertl. "Large Losses, Risk Management and Stock Prices, " The Journal of Risk and Insurance 50 (March , 1983), PP.107-117.
34. Sharpe, William F. "A Simplified Model of Portfolio Analysis, " Management Science 9 (January, 1963), PP.277–293.
35. Sharpe. William F. "Capital Asset Prices : A Theory of Market Equilibrium Under Conditions of Risk, " Journal of Finance 19 (September, 1964), PP.425-442.
36. Scholes, Myron S. "The Market for Security : Substitution Versus Price Pressur and the Effects of Information on Share Prices." Journal of Business 45 (1972), PP. 179-211.
37. Vaughan, Emmett J. Eundamentals of Risk and Insurance, 3rd ed. John Wiley & Sons Inc., 1982.
38. Willians, C.A., G.L. Head, R.C. Horn, and G.W. Glendenming. Principle of Risk Management and Insurance, 2nd ed., 2 vols. Pennsylvania: American Institute for Property and Liability Under writers, 1981.
39. Williams, C. Arthur and Richard M. Heins. Risk management and Insurance, 4th ed. McGraw-Hill Inc., 1981.		zh_TW