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題名 現金增資公告對股票價格影響之實證研究
作者 羅禎昌
貢獻者 林炯垚
羅禎昌
日期 1987
上傳時間 4-May-2016 17:07:33 (UTC+8)
摘要 論文摘要
參考文獻 參考書目\n1.中文部分\n1.余尚武，台灣證券市場股票上市公司盈餘宣告所合資訊內容之研究，國立台灣大學商學研究所未出版碩士論文，民國六十八年六月。\n2.金柏西，台灣股票市場股票股利對股價影響之實證研究，大同工學院事業經營研究所未出版碩士論文，民國六十八年六月。\n3.林煜宗，"市場因素對台灣證券市場股價變動之影響" 證交資料，民國六十七年六月廿五日:頁1-9。\n4.林煜宗，現代投資學－制度、理論與實證－，初版，台北，自印，民國七十一年。\n5.林啟三，國內發行增資股問題之研究，國立政治大學企業管理研究所未出版碩士論文，民國六十三年六月。\n6.陳柏超，"除權行情的獲利分析"，財訊，民國七十三年六月一日:頁17-127。\n7.翁春風，資產重估增值轉資對股票價格之影響，國立交通大學管理科學研究所未出版碩士論文，民國七十四年六月。\n8.鄭玉波，公司法，初版，台北，三民書局，民國七十三年。\n9.顏月珠，應用數理統計學，初版，三民書局，民國七十一年。\n10.George Forster,(Financial Statement Analysis)，丁文拯譯，台北，聯經出版事業公司，民國七十二年。\n\n\n英文部分\n1. Asquith, Paul and David W. Mullins, Jr. (1986): "Equity Issues and offering Dilution," Journal of Financial Economics 15, pp. 61-89.\n2. Asquith, Paul and David W. Mullins, Jr. (1986): "Signalling with Dividends, Stock Repurchases, and Equity Issues," Financial Management, Autumn, pp. 27-44.\n3. Ball, Ray. (1972): "Risk, Return, and Disequilibrium : An Application to Changes in Accounting Techiniques ," Journal of finance 31, pp. 33–54.\n4. Bar-Yosef, Sasson and Lawrence D. Brown. (1977): "A Reexamination of Stock Splits Using Moving Betas," Journal of Finance 32, pp. 1069–1080.\n5. Beaver, W. H. (1981): "Econometric Properties of Journal of Alternative Security Return Methods,` Accounting Research 19, pp. 163-184.\n6. Bhagat, Sanjai. (1983): "The Effect of Preemptive Right Amendments on Shareholder Wealth," Journal of Financial Economics 12, pp. 289-310.\n7. Brealey, Richard and stewart Myers. (1981) : Principles of Corporate Finance, New York. McGraw-Hill, Inc., 2 edition.\n8. Brenner, Menachem. (1977): "The Effect of Model Misspecification on Tests of the Efficient Market Hypothesis," Journal of Finance 32, pp. 57–66.\n9. Brenner, Menachem. (1979): "The sensitivity of the Efficient Market Hypothesis to Alternative specifications of the Market Model," Journal of Finance 34, pp. 915-930.\n10. Brown, Stephen J. and Christopher B. Barry. (1984): "Anomalies in Security Returns and the Specification of the Market Model," Journal of Finance 39, pp. 807 -815.\n11. Brown, Stephen J. and Jerold B. Warner, (1980): "Measuring security Price Performance," Journal of Financial Economics 8, pp. 205–257.\n12. Brown, Stephen J. and Jerold B. Warner, (1985): " Using Daily stock Returns: The case of Event studies," Journal of Financial Economics 14, pp. 3-31.\n13. Collins, Danial W. and Warrent T. Dent. (1984): "A Comparison of Alternative Testing Models Used in Capital Market Research," Journal of Accounting Research 22, pp. 48-84.\n14. Copeland, Thomas E. and J. Fred Weston. (1986): Managerial Finance. New York: The Dryden Press. , 8 edition. Chapter 21.\n15. DeAngelo, Hang and Ronald Masulis. (1980): "optimal Capital Structure under Corporate and Personal Taxation," Journal of Financial Economics 8, pp. 3-29.\n16. Dimson, Elroy and Paul Marsh. (1986): "Event study Methodologies and Size Effect," Journal of Financial Economics 17, pp. 113-142.\n17. Dodd, Peter, Nicholas Dopuch, Robert W. Holthausen and Richard W. Leftwich. (1984) : "Qualified Audit Opinions and Stock Prices: Information Content, Announcement, Concurrent Disclosure," Journal of Accounting and Economics 6, pp. 18-38.\n18. Fama, Eugene F. , Lawrence Fisher, Michael C. Jensen, and Richard Roll. (1969) : "The Adjustment of stock Prices to New Information," International Economic Review 10, pp. 1-21.\n19. Fama, Eugene F. (1970): "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of - Finance 25, pp. 383-417.\n20. Fama, Eugene F. and Richard Roll... (1971) : "Paremeter Estimates for Symmetric Stable Distributions," Journal of American statistical Association 66, pp. 331-338.\n21. Fama, Eugene F. (1973): "A Note on the Market Model and the Two—Parameter Model," Journal of Finance 28, pp. 1181-1185.\n22. Fama, Eugene F. (1976a) : Foundation of Finance. New York: Basic Books.\n23. Fama, Eugene F. (1976b): "Reply," Journal of Finance 31 , pp. 143-145.\n24. Hess, Alan C. and Peter A. Frost. (1982): "Tests for Price Effects of Issues of Seasoned Securities," Journal of Finance 36, pp. 11–25.\n25. Jacob, Nancy L. and R. Richardson Pettit. (1985): Investments. Homewood, Illinois: Richard D. Irwin, Inc.\n26. Jain, Prem c. (1986): "Relation Between Market Model Prediction Errors and Omitted Variables: A - Methodological Note," Journal of Accounting Research 24 , pp. 187-191.\n27. Jensen, Michael c. (1978) : "some Anomalous Evidence Regarding Market Efficiency." Journal of Financial Economics 6, pp. 95-101.\n28. Lehmann, E. L. (1975): Nonparametrics : statistical Method Based on Ranks. Holden-Day, San Francisco, ??., p. 173.\n29. Leland, Hayne and David Pyle. (1977): "Information Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance 32, pp. 371– 387.\n30. LeRoy, Stephen F. (1976): "Efficient Capital Markets: Comment," Journal of Finance 31, pp. 139-141.\n31. Lev, Baruch and James Ohlson. (1982): "Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension," Journal of Accounting - Research 2o , pp. 249-322.\n32. Linn, Scott C. and John J. McConnell. (1983): " Antitakeover Charter Amendments," Journal of Financial Economics 11, pp. 361-379.\n33. Linter, John. (1965): "security Prices, Risk, and Maximal Gains from Diversification," Journal of Finance 2o, pp. 587-616.\n34. Lorie, James it. Peter Dodd, and Mary Hamilton Kimpton. (1985): The stock Market: Theories and Evidence. Homewood, Illinois: Richard D. Irwin.\n35. Mandelker, Gershon. (1974): "Risk and Return: The - Case of Merging Firms," Journal of Financial Economics 1 , pp. 303-335.\n36. Marsh, Paul. (1979): "Equity Rights Issues and the Efficiency of the U.K. Stock Market," Journal of Finance 34 , pp. 839-862.\n37. Masulis, Ronald. (1980): "The Effects of Capital Structure Change on Security Prices: A Study of Exchange offer," Journal of Financial Economics 8, pp. 139-178.\n38. Masulis, Ronald W. and Ashok N. Korwar. (1986): "Seasoned Equity offerings: An Empirical Study," Journal of Financial Economics 15, pp. 91-118.\n39. Miller, Merton H. and Kevin Rock. (1984): "Dividend Policy under Asymmetric Information," Unpublished Working Paper. University of Chicago, Chicago, IL.\n40. Neter, John and William Wasserman. (1975) : Applied Linear Statistical Models, Homewood, Illinois. Richard D. Irwin, pp. 358-366.\n41. Patell, James M. (1976): "Corporate Forecast of Earnings per Share and Stock Price Behavior: Empirical Tests," Journal of Accounting Research 14, pp. 246-276.\n42. Scholes, Myron and Joseph Williams. (1977) : "Estimating Betas from Non synchronous data, " Journal of Financial Economics 5, pp. 309-328.\n43. Scholes, Myron s. (1972): "The Market for securities: Substitution versus Price Pressure and the Effects of Information on Share Price," Journal of Business 45, pp. 179-211.\n44. Sharpe, William F. (1964): " Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks," Journal of Finance 19, pp. 425-442.\n45. Smith, clifford W., Jr. (1977): "Alternative Methods for Rasing Capital: Rights versus Underwritten Offerings," Journal of Financial Economics 5, 273-307.\n46. Smith, Clliford W., Jr. (1986): "Investment Banking and the Capital Acquisition Process." Journal of Financial Economics 15, pp. 3-29.\n47. Stickel, Scott E. (1985): "Value Line Ranking changes," Journal of Financial Economics 14, pp. 126-127.
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002006135
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.author (Authors) 羅禎昌zh_TW
dc.creator (作者) 羅禎昌zh_TW
dc.date (日期) 1987en_US
dc.date.accessioned 4-May-2016 17:07:33 (UTC+8)-
dc.date.available 4-May-2016 17:07:33 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 17:07:33 (UTC+8)-
dc.identifier (Other Identifiers) B2002006135en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=102812-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 論文摘要zh_TW
dc.description.tableofcontents 目錄\n序言\n圖表目次\n第一章 緒論………1\n第一節 研究動機………1\n第二節 研究目的………2\n第三飾 文獻探討………3\n第四節 研究程序及全文概述………8\n第二章 效率市場假說及均衡預期報酬模式………11\n第一節 效率市場假說………11\n第二節 均衡預期報酬模式………15\n第三章 研究方法………22\n第一節 研究假設………22\n第二節 研究設計………23\n第三節 殘差分析………27\n第四節 統計檢定方法………29\n第五節 研究限制………38\n第四章 實證結果與分析………41\n第一節 均衡預期報酬模式的適切性………41\n第二節 現金增資公告對股價的影響………47\n第三節 現金增資除權日的股價行為………65\n第五章 結論與建議………74\n第一節 結論………74\n第二節 建議………76\n參考書目………79\n\n圖表目次\n圖目次\n圖1-1 研究程序圖………8\n圖3-1 觀察期、事件期、估計期及公告日的關係圖………26\n圖4-1 市場模式之AR散佈圖(全部樣本)………53\n圖4-2 移動β模式之AR散佈圖(全部樣本) ………53\n圖4-3 調整市場報酬模式之AR散佈圖(全部樣本) ………54\n圖4-4 市場模式、移動β模式、調整市場報酬模式之CAR趨勢圖(全部樣本) ………54\n圖4-5 市場模式之AR散佈圖(高認股率群) ……… 61\n圖4-6 市場模式之AR散佈園(低認股率群) ………61\n圖4-7 市場模式之CAR趨勢圖(高、低認股率群) ………62\n圖4-8 市場模式之AR散佈圖(全部樣本以除權日為事件日) ………69\n圖4-9 市場模式之CAR趨勢圖(全部樣本以除權日為事件日) ………69\n圖4-10 市場模式之CAR趨勢圖(高、低認股率群以除權日為事件日) ………70\n圖4-11 市場模式之AR散佈圖(高認股率群以除權日為事件日) ………71\n圖4-12 市場模式之AR散佈圖(低認股率群以除權日為事件日) ………72\n\n表目次\n表3-1 統計檢定方法彙總表………29\n表4-1 個別證券報酬率在估計期之描述統計值彙總表………43\n表4-2 市場報酬率在估計期之描述統計值彙總表………44\n表4-3 市場模式之迴歸統計值彙總表………45\n表4-4 移動β模式之迴歸統計值彙總表………46\n表4-5 市場模式之AR、CAR檢定表(全部樣本) ………55\n表4-6 移動β模式之AR、CAR檢定表(全部樣本) ………56\n表4-7 調整市場報酬模式之AR、CAR檢定表(全部樣本) ………57\n表4-8 現金增資公告日後以CAR表示的異常報酬表………58\n表4-9 模式間AR差異的檢定表………58\n表4-10 市場模式之AR、CAR檢定表(高認股率群) ………63\n表4-11 市場模式之AR、CAR檢定表(低認股率群) ………64\n表4-12 市場模式之AR、CAR檢定表(全部樣本以除權日為事件日) ………70\n表4-13 市場模式之AR、CAR檢定表(高認股率群以除權日為事件日) ………71\n表4-14 市場模式之AR、CAR檢定表(低認股率群以除權日為事件日) ………72\n附表1 樣本公司一覽表………78zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006135en_US
dc.title (題名) 現金增資公告對股票價格影響之實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目\n1.中文部分\n1.余尚武，台灣證券市場股票上市公司盈餘宣告所合資訊內容之研究，國立台灣大學商學研究所未出版碩士論文，民國六十八年六月。\n2.金柏西，台灣股票市場股票股利對股價影響之實證研究，大同工學院事業經營研究所未出版碩士論文，民國六十八年六月。\n3.林煜宗，"市場因素對台灣證券市場股價變動之影響" 證交資料，民國六十七年六月廿五日:頁1-9。\n4.林煜宗，現代投資學－制度、理論與實證－，初版，台北，自印，民國七十一年。\n5.林啟三，國內發行增資股問題之研究，國立政治大學企業管理研究所未出版碩士論文，民國六十三年六月。\n6.陳柏超，"除權行情的獲利分析"，財訊，民國七十三年六月一日:頁17-127。\n7.翁春風，資產重估增值轉資對股票價格之影響，國立交通大學管理科學研究所未出版碩士論文，民國七十四年六月。\n8.鄭玉波，公司法，初版，台北，三民書局，民國七十三年。\n9.顏月珠，應用數理統計學，初版，三民書局，民國七十一年。\n10.George Forster,(Financial Statement Analysis)，丁文拯譯，台北，聯經出版事業公司，民國七十二年。\n\n\n英文部分\n1. Asquith, Paul and David W. Mullins, Jr. (1986): "Equity Issues and offering Dilution," Journal of Financial Economics 15, pp. 61-89.\n2. Asquith, Paul and David W. Mullins, Jr. (1986): "Signalling with Dividends, Stock Repurchases, and Equity Issues," Financial Management, Autumn, pp. 27-44.\n3. Ball, Ray. (1972): "Risk, Return, and Disequilibrium : An Application to Changes in Accounting Techiniques ," Journal of finance 31, pp. 33–54.\n4. Bar-Yosef, Sasson and Lawrence D. Brown. (1977): "A Reexamination of Stock Splits Using Moving Betas," Journal of Finance 32, pp. 1069–1080.\n5. Beaver, W. H. (1981): "Econometric Properties of Journal of Alternative Security Return Methods,` Accounting Research 19, pp. 163-184.\n6. Bhagat, Sanjai. (1983): "The Effect of Preemptive Right Amendments on Shareholder Wealth," Journal of Financial Economics 12, pp. 289-310.\n7. Brealey, Richard and stewart Myers. (1981) : Principles of Corporate Finance, New York. McGraw-Hill, Inc., 2 edition.\n8. Brenner, Menachem. (1977): "The Effect of Model Misspecification on Tests of the Efficient Market Hypothesis," Journal of Finance 32, pp. 57–66.\n9. Brenner, Menachem. (1979): "The sensitivity of the Efficient Market Hypothesis to Alternative specifications of the Market Model," Journal of Finance 34, pp. 915-930.\n10. Brown, Stephen J. and Christopher B. Barry. (1984): "Anomalies in Security Returns and the Specification of the Market Model," Journal of Finance 39, pp. 807 -815.\n11. Brown, Stephen J. and Jerold B. Warner, (1980): "Measuring security Price Performance," Journal of Financial Economics 8, pp. 205–257.\n12. Brown, Stephen J. and Jerold B. Warner, (1985): " Using Daily stock Returns: The case of Event studies," Journal of Financial Economics 14, pp. 3-31.\n13. Collins, Danial W. and Warrent T. Dent. (1984): "A Comparison of Alternative Testing Models Used in Capital Market Research," Journal of Accounting Research 22, pp. 48-84.\n14. Copeland, Thomas E. and J. Fred Weston. (1986): Managerial Finance. New York: The Dryden Press. , 8 edition. Chapter 21.\n15. DeAngelo, Hang and Ronald Masulis. (1980): "optimal Capital Structure under Corporate and Personal Taxation," Journal of Financial Economics 8, pp. 3-29.\n16. Dimson, Elroy and Paul Marsh. (1986): "Event study Methodologies and Size Effect," Journal of Financial Economics 17, pp. 113-142.\n17. Dodd, Peter, Nicholas Dopuch, Robert W. Holthausen and Richard W. Leftwich. (1984) : "Qualified Audit Opinions and Stock Prices: Information Content, Announcement, Concurrent Disclosure," Journal of Accounting and Economics 6, pp. 18-38.\n18. Fama, Eugene F. , Lawrence Fisher, Michael C. Jensen, and Richard Roll. (1969) : "The Adjustment of stock Prices to New Information," International Economic Review 10, pp. 1-21.\n19. Fama, Eugene F. (1970): "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of - Finance 25, pp. 383-417.\n20. Fama, Eugene F. and Richard Roll... (1971) : "Paremeter Estimates for Symmetric Stable Distributions," Journal of American statistical Association 66, pp. 331-338.\n21. Fama, Eugene F. (1973): "A Note on the Market Model and the Two—Parameter Model," Journal of Finance 28, pp. 1181-1185.\n22. Fama, Eugene F. (1976a) : Foundation of Finance. New York: Basic Books.\n23. Fama, Eugene F. (1976b): "Reply," Journal of Finance 31 , pp. 143-145.\n24. Hess, Alan C. and Peter A. Frost. (1982): "Tests for Price Effects of Issues of Seasoned Securities," Journal of Finance 36, pp. 11–25.\n25. Jacob, Nancy L. and R. Richardson Pettit. (1985): Investments. Homewood, Illinois: Richard D. Irwin, Inc.\n26. Jain, Prem c. (1986): "Relation Between Market Model Prediction Errors and Omitted Variables: A - Methodological Note," Journal of Accounting Research 24 , pp. 187-191.\n27. Jensen, Michael c. (1978) : "some Anomalous Evidence Regarding Market Efficiency." Journal of Financial Economics 6, pp. 95-101.\n28. Lehmann, E. L. (1975): Nonparametrics : statistical Method Based on Ranks. Holden-Day, San Francisco, ??., p. 173.\n29. Leland, Hayne and David Pyle. (1977): "Information Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance 32, pp. 371– 387.\n30. LeRoy, Stephen F. (1976): "Efficient Capital Markets: Comment," Journal of Finance 31, pp. 139-141.\n31. Lev, Baruch and James Ohlson. (1982): "Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension," Journal of Accounting - Research 2o , pp. 249-322.\n32. Linn, Scott C. and John J. McConnell. (1983): " Antitakeover Charter Amendments," Journal of Financial Economics 11, pp. 361-379.\n33. Linter, John. (1965): "security Prices, Risk, and Maximal Gains from Diversification," Journal of Finance 2o, pp. 587-616.\n34. Lorie, James it. Peter Dodd, and Mary Hamilton Kimpton. (1985): The stock Market: Theories and Evidence. Homewood, Illinois: Richard D. Irwin.\n35. Mandelker, Gershon. (1974): "Risk and Return: The - Case of Merging Firms," Journal of Financial Economics 1 , pp. 303-335.\n36. Marsh, Paul. (1979): "Equity Rights Issues and the Efficiency of the U.K. Stock Market," Journal of Finance 34 , pp. 839-862.\n37. Masulis, Ronald. (1980): "The Effects of Capital Structure Change on Security Prices: A Study of Exchange offer," Journal of Financial Economics 8, pp. 139-178.\n38. Masulis, Ronald W. and Ashok N. Korwar. (1986): "Seasoned Equity offerings: An Empirical Study," Journal of Financial Economics 15, pp. 91-118.\n39. Miller, Merton H. and Kevin Rock. (1984): "Dividend Policy under Asymmetric Information," Unpublished Working Paper. University of Chicago, Chicago, IL.\n40. Neter, John and William Wasserman. (1975) : Applied Linear Statistical Models, Homewood, Illinois. Richard D. Irwin, pp. 358-366.\n41. Patell, James M. (1976): "Corporate Forecast of Earnings per Share and Stock Price Behavior: Empirical Tests," Journal of Accounting Research 14, pp. 246-276.\n42. Scholes, Myron and Joseph Williams. (1977) : "Estimating Betas from Non synchronous data, " Journal of Financial Economics 5, pp. 309-328.\n43. Scholes, Myron s. (1972): "The Market for securities: Substitution versus Price Pressure and the Effects of Information on Share Price," Journal of Business 45, pp. 179-211.\n44. Sharpe, William F. (1964): " Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks," Journal of Finance 19, pp. 425-442.\n45. Smith, clifford W., Jr. (1977): "Alternative Methods for Rasing Capital: Rights versus Underwritten Offerings," Journal of Financial Economics 5, 273-307.\n46. Smith, Clliford W., Jr. (1986): "Investment Banking and the Capital Acquisition Process." Journal of Financial Economics 15, pp. 3-29.\n47. Stickel, Scott E. (1985): "Value Line Ranking changes," Journal of Financial Economics 14, pp. 126-127.zh_TW