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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
1.中文部分
1.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。
2.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。
3.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。
4.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。
5.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。
6.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。
7.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。
8.鄭玉波，公司法，初版，台北，三民書局，民國七十三年。
9.顏月珠，應用數理統計學，初版，三民書局，民國七十一年。
10.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。


英文部分
1. Asquith, Paul and David W. Mullins, Jr. (1986): "Equity Issues and offering Dilution," Journal of Financial Economics 15, pp. 61-89.
2. Asquith, Paul and David W. Mullins, Jr. (1986): "Signalling with Dividends, Stock Repurchases, and Equity Issues," Financial Management, Autumn, pp. 27-44.
3. Ball, Ray. (1972): "Risk, Return, and Disequilibrium : An Application to Changes in Accounting Techiniques ," Journal of finance 31, pp. 33–54.
4. Bar-Yosef, Sasson and Lawrence D. Brown. (1977): "A Reexamination of Stock Splits Using Moving Betas," Journal of Finance 32, pp. 1069–1080.
5. Beaver, W. H. (1981): "Econometric Properties of Journal of Alternative Security Return Methods,` Accounting Research 19, pp. 163-184.
6. Bhagat, Sanjai. (1983): "The Effect of Preemptive Right Amendments on Shareholder Wealth," Journal of Financial Economics 12, pp. 289-310.
7. Brealey, Richard and stewart Myers. (1981) : Principles of Corporate Finance, New York. McGraw-Hill, Inc., 2 edition.
8. Brenner, Menachem. (1977): "The Effect of Model Misspecification on Tests of the Efficient Market Hypothesis," Journal of Finance 32, pp. 57–66.
9. Brenner, Menachem. (1979): "The sensitivity of the Efficient Market Hypothesis to Alternative specifications of the Market Model," Journal of Finance 34, pp. 915-930.
10. 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.
11. Brown, Stephen J. and Jerold B. Warner, (1980): "Measuring security Price Performance," Journal of Financial Economics 8, pp. 205–257.
12. 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.
13. 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.
14. Copeland, Thomas E. and J. Fred Weston. (1986): Managerial Finance. New York: The Dryden Press. , 8 edition. Chapter 21.
15. DeAngelo, Hang and Ronald Masulis. (1980): "optimal Capital Structure under Corporate and Personal Taxation," Journal of Financial Economics 8, pp. 3-29.
16. Dimson, Elroy and Paul Marsh. (1986): "Event study Methodologies and Size Effect," Journal of Financial Economics 17, pp. 113-142.
17. 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.
18. 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.
19. Fama, Eugene F. (1970): "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of - Finance 25, pp. 383-417.
20. Fama, Eugene F. and Richard Roll... (1971) : "Paremeter Estimates for Symmetric Stable Distributions," Journal of American statistical Association 66, pp. 331-338.
21. Fama, Eugene F. (1973): "A Note on the Market Model and the Two—Parameter Model," Journal of Finance 28, pp. 1181-1185.
22. Fama, Eugene F. (1976a) : Foundation of Finance. New York: Basic Books.
23. Fama, Eugene F. (1976b): "Reply," Journal of Finance 31 , pp. 143-145.
24. Hess, Alan C. and Peter A. Frost. (1982): "Tests for Price Effects of Issues of Seasoned Securities," Journal of Finance 36, pp. 11–25.
25. Jacob, Nancy L. and R. Richardson Pettit. (1985): Investments. Homewood, Illinois: Richard D. Irwin, Inc.
26. Jain, Prem c. (1986): "Relation Between Market Model Prediction Errors and Omitted Variables: A - Methodological Note," Journal of Accounting Research 24 , pp. 187-191.
27. Jensen, Michael c. (1978) : "some Anomalous Evidence Regarding Market Efficiency." Journal of Financial Economics 6, pp. 95-101.
28. Lehmann, E. L. (1975): Nonparametrics : statistical Method Based on Ranks. Holden-Day, San Francisco, ??., p. 173.
29. Leland, Hayne and David Pyle. (1977): "Information Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance 32, pp. 371– 387.
30. LeRoy, Stephen F. (1976): "Efficient Capital Markets: Comment," Journal of Finance 31, pp. 139-141.
31. 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.
32. Linn, Scott C. and John J. McConnell. (1983): " Antitakeover Charter Amendments," Journal of Financial Economics 11, pp. 361-379.
33. Linter, John. (1965): "security Prices, Risk, and Maximal Gains from Diversification," Journal of Finance 2o, pp. 587-616.
34. Lorie, James it. Peter Dodd, and Mary Hamilton Kimpton. (1985): The stock Market: Theories and Evidence. Homewood, Illinois: Richard D. Irwin.
35. Mandelker, Gershon. (1974): "Risk and Return: The - Case of Merging Firms," Journal of Financial Economics 1 , pp. 303-335.
36. Marsh, Paul. (1979): "Equity Rights Issues and the Efficiency of the U.K. Stock Market," Journal of Finance 34 , pp. 839-862.
37. 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.
38. Masulis, Ronald W. and Ashok N. Korwar. (1986): "Seasoned Equity offerings: An Empirical Study," Journal of Financial Economics 15, pp. 91-118.
39. Miller, Merton H. and Kevin Rock. (1984): "Dividend Policy under Asymmetric Information," Unpublished Working Paper. University of Chicago, Chicago, IL.
40. Neter, John and William Wasserman. (1975) : Applied Linear Statistical Models, Homewood, Illinois. Richard D. Irwin, pp. 358-366.
41. Patell, James M. (1976): "Corporate Forecast of Earnings per Share and Stock Price Behavior: Empirical Tests," Journal of Accounting Research 14, pp. 246-276.
42. Scholes, Myron and Joseph Williams. (1977) : "Estimating Betas from Non synchronous data, " Journal of Financial Economics 5, pp. 309-328.
43. 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.
44. Sharpe, William F. (1964): " Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks," Journal of Finance 19, pp. 425-442.
45. Smith, clifford W., Jr. (1977): "Alternative Methods for Rasing Capital: Rights versus Underwritten Offerings," Journal of Financial Economics 5, 273-307.
46. Smith, Clliford W., Jr. (1986): "Investment Banking and the Capital Acquisition Process." Journal of Financial Economics 15, pp. 3-29.
47. 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) http://nccur.lib.nccu.edu.tw/handle/140.119/90849-
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
序言
圖表目次
第一章 緒論………1
第一節 研究動機………1
第二節 研究目的………2
第三飾 文獻探討………3
第四節 研究程序及全文概述………8
第二章 效率市場假說及均衡預期報酬模式………11
第一節 效率市場假說………11
第二節 均衡預期報酬模式………15
第三章 研究方法………22
第一節 研究假設………22
第二節 研究設計………23
第三節 殘差分析………27
第四節 統計檢定方法………29
第五節 研究限制………38
第四章 實證結果與分析………41
第一節 均衡預期報酬模式的適切性………41
第二節 現金增資公告對股價的影響………47
第三節 現金增資除權日的股價行為………65
第五章 結論與建議………74
第一節 結論………74
第二節 建議………76
參考書目………79

圖表目次
圖目次
圖1-1 研究程序圖………8
圖3-1 觀察期、事件期、估計期及公告日的關係圖………26
圖4-1 市場模式之AR散佈圖(全部樣本)………53
圖4-2 移動β模式之AR散佈圖(全部樣本) ………53
圖4-3 調整市場報酬模式之AR散佈圖(全部樣本) ………54
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
圖4-5 市場模式之AR散佈圖(高認股率群) ……… 61
圖4-6 市場模式之AR散佈園(低認股率群) ………61
圖4-7 市場模式之CAR趨勢圖(高、低認股率群) ………62
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
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
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
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
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

表目次
表3-1 統計檢定方法彙總表………29
表4-1 個別證券報酬率在估計期之描述統計值彙總表………43
表4-2 市場報酬率在估計期之描述統計值彙總表………44
表4-3 市場模式之迴歸統計值彙總表………45
表4-4 移動β模式之迴歸統計值彙總表………46
表4-5 市場模式之AR、CAR檢定表(全部樣本) ………55
表4-6 移動β模式之AR、CAR檢定表(全部樣本) ………56
表4-7 調整市場報酬模式之AR、CAR檢定表(全部樣本) ………57
表4-8 現金增資公告日後以CAR表示的異常報酬表………58
表4-9 模式間AR差異的檢定表………58
表4-10 市場模式之AR、CAR檢定表(高認股率群) ………63
表4-11 市場模式之AR、CAR檢定表(低認股率群) ………64
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
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
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
附表1 樣本公司一覽表………78		zh_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
1.中文部分
1.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。
2.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。
3.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。
4.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。
5.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。
6.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。
7.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。
8.鄭玉波，公司法，初版，台北，三民書局，民國七十三年。
9.顏月珠，應用數理統計學，初版，三民書局，民國七十一年。
10.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。


英文部分
1. Asquith, Paul and David W. Mullins, Jr. (1986): "Equity Issues and offering Dilution," Journal of Financial Economics 15, pp. 61-89.
2. Asquith, Paul and David W. Mullins, Jr. (1986): "Signalling with Dividends, Stock Repurchases, and Equity Issues," Financial Management, Autumn, pp. 27-44.
3. Ball, Ray. (1972): "Risk, Return, and Disequilibrium : An Application to Changes in Accounting Techiniques ," Journal of finance 31, pp. 33–54.
4. Bar-Yosef, Sasson and Lawrence D. Brown. (1977): "A Reexamination of Stock Splits Using Moving Betas," Journal of Finance 32, pp. 1069–1080.
5. Beaver, W. H. (1981): "Econometric Properties of Journal of Alternative Security Return Methods,` Accounting Research 19, pp. 163-184.
6. Bhagat, Sanjai. (1983): "The Effect of Preemptive Right Amendments on Shareholder Wealth," Journal of Financial Economics 12, pp. 289-310.
7. Brealey, Richard and stewart Myers. (1981) : Principles of Corporate Finance, New York. McGraw-Hill, Inc., 2 edition.
8. Brenner, Menachem. (1977): "The Effect of Model Misspecification on Tests of the Efficient Market Hypothesis," Journal of Finance 32, pp. 57–66.
9. Brenner, Menachem. (1979): "The sensitivity of the Efficient Market Hypothesis to Alternative specifications of the Market Model," Journal of Finance 34, pp. 915-930.
10. 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.
11. Brown, Stephen J. and Jerold B. Warner, (1980): "Measuring security Price Performance," Journal of Financial Economics 8, pp. 205–257.
12. 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.
13. 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.
14. Copeland, Thomas E. and J. Fred Weston. (1986): Managerial Finance. New York: The Dryden Press. , 8 edition. Chapter 21.
15. DeAngelo, Hang and Ronald Masulis. (1980): "optimal Capital Structure under Corporate and Personal Taxation," Journal of Financial Economics 8, pp. 3-29.
16. Dimson, Elroy and Paul Marsh. (1986): "Event study Methodologies and Size Effect," Journal of Financial Economics 17, pp. 113-142.
17. 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.
18. 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.
19. Fama, Eugene F. (1970): "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of - Finance 25, pp. 383-417.
20. Fama, Eugene F. and Richard Roll... (1971) : "Paremeter Estimates for Symmetric Stable Distributions," Journal of American statistical Association 66, pp. 331-338.
21. Fama, Eugene F. (1973): "A Note on the Market Model and the Two—Parameter Model," Journal of Finance 28, pp. 1181-1185.
22. Fama, Eugene F. (1976a) : Foundation of Finance. New York: Basic Books.
23. Fama, Eugene F. (1976b): "Reply," Journal of Finance 31 , pp. 143-145.
24. Hess, Alan C. and Peter A. Frost. (1982): "Tests for Price Effects of Issues of Seasoned Securities," Journal of Finance 36, pp. 11–25.
25. Jacob, Nancy L. and R. Richardson Pettit. (1985): Investments. Homewood, Illinois: Richard D. Irwin, Inc.
26. Jain, Prem c. (1986): "Relation Between Market Model Prediction Errors and Omitted Variables: A - Methodological Note," Journal of Accounting Research 24 , pp. 187-191.
27. Jensen, Michael c. (1978) : "some Anomalous Evidence Regarding Market Efficiency." Journal of Financial Economics 6, pp. 95-101.
28. Lehmann, E. L. (1975): Nonparametrics : statistical Method Based on Ranks. Holden-Day, San Francisco, ??., p. 173.
29. Leland, Hayne and David Pyle. (1977): "Information Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance 32, pp. 371– 387.
30. LeRoy, Stephen F. (1976): "Efficient Capital Markets: Comment," Journal of Finance 31, pp. 139-141.
31. 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.
32. Linn, Scott C. and John J. McConnell. (1983): " Antitakeover Charter Amendments," Journal of Financial Economics 11, pp. 361-379.
33. Linter, John. (1965): "security Prices, Risk, and Maximal Gains from Diversification," Journal of Finance 2o, pp. 587-616.
34. Lorie, James it. Peter Dodd, and Mary Hamilton Kimpton. (1985): The stock Market: Theories and Evidence. Homewood, Illinois: Richard D. Irwin.
35. Mandelker, Gershon. (1974): "Risk and Return: The - Case of Merging Firms," Journal of Financial Economics 1 , pp. 303-335.
36. Marsh, Paul. (1979): "Equity Rights Issues and the Efficiency of the U.K. Stock Market," Journal of Finance 34 , pp. 839-862.
37. 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.
38. Masulis, Ronald W. and Ashok N. Korwar. (1986): "Seasoned Equity offerings: An Empirical Study," Journal of Financial Economics 15, pp. 91-118.
39. Miller, Merton H. and Kevin Rock. (1984): "Dividend Policy under Asymmetric Information," Unpublished Working Paper. University of Chicago, Chicago, IL.
40. Neter, John and William Wasserman. (1975) : Applied Linear Statistical Models, Homewood, Illinois. Richard D. Irwin, pp. 358-366.
41. Patell, James M. (1976): "Corporate Forecast of Earnings per Share and Stock Price Behavior: Empirical Tests," Journal of Accounting Research 14, pp. 246-276.
42. Scholes, Myron and Joseph Williams. (1977) : "Estimating Betas from Non synchronous data, " Journal of Financial Economics 5, pp. 309-328.
43. 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.
44. Sharpe, William F. (1964): " Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks," Journal of Finance 19, pp. 425-442.
45. Smith, clifford W., Jr. (1977): "Alternative Methods for Rasing Capital: Rights versus Underwritten Offerings," Journal of Financial Economics 5, 273-307.
46. Smith, Clliford W., Jr. (1986): "Investment Banking and the Capital Acquisition Process." Journal of Financial Economics 15, pp. 3-29.
47. Stickel, Scott E. (1985): "Value Line Ranking changes," Journal of Financial Economics 14, pp. 126-127.		zh_TW