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題名 上市公司財務報告之發布對股價及交易量之影響 : 我國證券市場實證研究 作者 葉介玉 貢獻者 高孔廉
葉介玉日期 1988 上傳時間 5-May-2016 13:51:47 (UTC+8) 參考文獻 參考書目(一)中文書目1.何豫霖。"台灣區股票上市公司盈餘與股價關係之研究"。碩士論文。私立文化大學，民72年。2.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67年6月。頁5。3.林鎮邦。"台灣地區股票上市公司之財務報表所含情報量之研究"。碩士論文。國立台灣大學，民68年。4.吳琮璠。"台灣地區股票上市公司會計情報實證－市場系統風險與會計系統風臉之關聯"。碩士論文。國立台灣大學，民70年。5.胡瓊林。"組群理論應用於證券投資之研究"。碩士論文。國立政治大學，民66年。6.徐世豪。"台灣證券有效性之研究－過濾法投資效益之評估"。碩士論文。國立政治大學，民68年。7.陳春山。"機構投資人與證券市場"，證券管理，4卷2期。頁35。8.蕭立圳。"財務資料與投資者決策關係之研究"。碩士論文。國立政治大學，民67年。9.證交資料編輯委員會，"台灣證券交易所二十年歷史"，證交資料，民71年6月。頁18。(二)英文書目1. Baker, H. Kent and John A. Haslern. “ Information Needs of Individual Investors." The Journal of Accountancy, November 1973. PP.64-69.2. Ball, Ray and Philip Brown. "An Empirical Evaluation of Accounting Income Numbers." Journal of Accounting, Research, Autumn 1968. PP. 159-178.3. Beaver, William H. . " The Information Content of Annual Earnings Announcements." Journal of Accounting Research, Supplement to Vol.6 (1968), PP.67-92.4. Benston, George J., " Published Corporate Accounting Data and Stock Prices. " Journal of Accounting Research, Supplement to Vol.5 (1967). PP. 1-14.5. Bird, Ronald G. and Stuard M. Locke. "Financial Accounting Reports: A Market Model of Disclosure." Journal of Business Finance & Accounting, 8,1, (1981). PP.27-44.6. Brown, Philip and John W. Kennelly. "The Information Content of Quarterly Earnings: An Extension and Some Further Evidence." Journal of Business. July 1972. PP.403-415.7. Copeland. Thomas E.. “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” The Journal of Finance, September 1976. PP. 1149-1168.8. Evans, John L. , " Diversification and Reduction of Dispersion : An Empirical Analysis.” Unpublished Ph. D. dissertation, University of Washington.9. Fama , Eugene F. and Arthur B. Laffer. " Information and Capital Markets." the Journal of Business, July 1971, PP. 289-298.10. Fama, Eugene F.. " Efficient Capital Market : A Review of Theory and Empirical Work." the Journal of Finance, May 1970. PP. 383-417.11. Fama, Euqene F., Lawrance Fisher, Michael C. Jenson and Richard Roll. "The Adjustment of Stock Prices to New Information.” International Economic Review. February 1969. PP.1-21.12. Feltham, Gerald A. and Joel S. Demski. "The Use of Models in Information Evaluation." the Accounting Review, October 1970. PP. 623-640.13. Firth, Michael. "The Relative Information Content of the Release of Financial Results Data by Firms." Journal of Accounting Research, Autumn 1981. PP. 521-529.14. Foster, George." Accounting Earnings and Stock Prices of Insurance Companies." the Accounting Review, October 1975, PP, 686-698.15. Gonedes, Nicholas J., " Information Production and Capital Market Equilibrium." the Journal of Finance, June 1975. PP. 841-864.16. Gonedes, Nicholas J., " The Significance of Selected Accounting Drocedures : A Statistical Test." Journal of Accounting Research, Supplement to Vol.7 (1969). PP. 90-113.17. Grant, Edward B. , " Market Implications of Differential Amounts of Intermin Information." Journal of Accounting Research, Spring 1980. PP. 255-268.18. Heins, A. James and Stephen L. Allison. "Some Factors Affecting Stock Price Variablity." Journal of Business, January 1966. PP. 19-23.19. Jacob, Nancy L. and Richardson Pettit. Investment. Homewood, Illinois : Richard D. Irwin, Inc.. 台北市:天一書局,民74年。20. King, Benjamin F. . "Market and Industry Factors in Stock Price Behavior." the Journal of Business, January 1966. PP. 139-190.21. Markowitz, Harry M. .. " Portfolio Selection." the Journal of Finance, March 1952. PP. 77-91.22. Martin, Alvin. "An Empirical Test of the Relevance of Accounting Information for Investment Decisions." Journal of Accounting Research, Supplement to Vol.9 (1971). PP. 1-49.23. Joy. O. Maurice, Robert H. Litzenberger, and Richard W. McErally. "The Adjustment of Stock Prices to Announcement of Unanticipated Change in Quarterly Earnings." Journal of Accounting Research, Vol.15 (1977). PP. 207-225.24. May, Robert G.. " The Influence of Quarterly Earnings Announcements on Investor Decisions as Reflected in Common Stock Price Changes." Journal of Accounting Research, Supplement to Vol.9 (1971). PP. 119-163.25. Mittra, Sid and Chris Gassen. Investment Analysis and Portfolio Management. New York : Harcourt Brace Jovanorich, Inc., 1981. 台北市:華泰書局，民70年。26. Morse, Dale. "Wall Street Journal Announcements and the Securities Markets.” Financial Analyst Journal, March- April 1982. P. 80.27. Nerlove, Mars.. " Factors Affecting Difference Among Rates of Return in Investments in Individual Common Stocks." the Review of Economics and Statistics, 1968. PP. 312-331.28. Otsuka. Munehara. “ Information Content of Accounting Information Announcement." Waseda Business & Economic Studies, No. 19 (1983). PP. 33-59.29. Pearce, Douglas K. and Sara A. Reiter. “Regression Strategies When Multicol linearity Is a Problem : A Methodological Note." Journal of Accounting Research, Spring 1985. PP. 405-407.30. Sharp, William F. "A Simplified Model for Portfolio Analysis." Management Science, 9.1. (1963). PP.277-293,31. Sharp, William F.. " Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk." the Journal of Finance, September 1964. PP. 425-442.32. Sharp, William F.. Investment. Englewood Cliffs, New Jersey : Prentice-Hall Inc., 1985. 台北市:開發圖書公司,民74年。33. Sharp, William F. and Guy Cooper." Risk-Return Classes of NYSE Common Stocks, 1931-1967." Financial Analysts Journal, March-April 1972.34. Staubus, George J.. " The Association of Financial Accounting Variables with Common Stock Values," the Accounting Review, January 1965, PP. 119-134. 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/#B2002006437 資料類型 thesis dc.contributor.advisor 高孔廉 zh_TW dc.contributor.author (Authors) 葉介玉 zh_TW dc.creator (作者) 葉介玉 zh_TW dc.date (日期) 1988 en_US dc.date.accessioned 5-May-2016 13:51:47 (UTC+8) - dc.date.available 5-May-2016 13:51:47 (UTC+8) - dc.date.issued (上傳時間) 5-May-2016 13:51:47 (UTC+8) - dc.identifier (Other Identifiers) B2002006437 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/91183 - 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.tableofcontents 目錄圖表目錄第一章 緒論………1第一節 研究動機與目的………1第二節 研究方法與架構………2第三節 研究限制………6第二章 理論基礎………9第一節 個人理財………10第二節 報酬與風險………12第三節 投資組合理論………17第四節 市場情報與有效市場理論………20第三章 財務情報與投資者反應模式………35第一節 財務情報的需求與供給………35第二節 投資者對財務情報的反應模式………41第四章 國內外實證文獻探討………45第一節 概說………45第二節 國內外有關上市公司財務報告之實證研究………46第一節 國內外學者實證研究之比較………50第五章 研究方法………56第一節 概說………56第二節 畢佛的研究方法………57第三節 選樣原則………65第六章 實證結果與比較………68第一節 有關交易量變動的實證結果………68第二節 有關股價變動的實證結果………77第一節 畢佛、小塚與作者三研究結果之比較………89第七章 結論與建議………92第一節 結論………92第二節 建議………94參考書目………96圖目錄圖1-1 本研究進行之流程圖圖2-1 上市公司各種情報影響投資者決策的因果關係圖2-2 投資組合總風險、系統風險、非系統風險的關係圖2-3 包含兩種股票的投資組合在不同相關係數下的期望報酬率與風險圖2-4 FFJR所做股票分割對股價影響之研究圖2-5 各種聲明對股價及交易量之影響圖4-1 公司情報和股價、交易量變動的關係圖5-1 情報對個人、市場之可能影響圖6-1 NYSE在財務報告公告期間交易量變動的情形圖6-2 TSE在財務報告公告期間交易量變動的情形圖6-3 我國證券市場在財務報告公告期間交易量變動的情形圖6-4 TSE投資年度報告與年中報告公告期間交易量變動的比較圖6-5 我國證券市場投資者在年度報告與年中報告公告期間交易量變動的比較圖6-6 NYSE在財務報告公告期間股價變動的情形圖6-7 TSE在財務報告公告期間股價變動的情形圖6-8 我國證券市場在財務報告公告期間股價變動之比較圖6-9 TSE在年度報告與年中報告公告期間股價變動之比較圖6-1 我國證券市場在年度報告與年中報告公告期間股價變動之比較表目錄表2-1 序列相關係數表表3-1 貝克和海斯蘭以點數預定重要層次的差異表3-2 投資者所需的財務情報內容表3-3 上市發行公司公開財務業務資訊一覽表表4-1 國內外有關上市公司財務報告之實證研究表5-1 本研究之樣本公司與觀察單位公告期表6-1 公告期間各週交易量變動情形表6-2 年度報告與年中報告公告期間各週交易量變動情形之比較表6-3 公告期間內各週股價變動情形表6-4 年度報告與年中報告公告期間各週股價變動情形之比較表6-5 畢佛、小塚與作者三研究結果之比較 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006437 en_US dc.title (題名) 上市公司財務報告之發布對股價及交易量之影響 : 我國證券市場實證研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考書目(一)中文書目1.何豫霖。"台灣區股票上市公司盈餘與股價關係之研究"。碩士論文。私立文化大學，民72年。2.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67年6月。頁5。3.林鎮邦。"台灣地區股票上市公司之財務報表所含情報量之研究"。碩士論文。國立台灣大學，民68年。4.吳琮璠。"台灣地區股票上市公司會計情報實證－市場系統風險與會計系統風臉之關聯"。碩士論文。國立台灣大學，民70年。5.胡瓊林。"組群理論應用於證券投資之研究"。碩士論文。國立政治大學，民66年。6.徐世豪。"台灣證券有效性之研究－過濾法投資效益之評估"。碩士論文。國立政治大學，民68年。7.陳春山。"機構投資人與證券市場"，證券管理，4卷2期。頁35。8.蕭立圳。"財務資料與投資者決策關係之研究"。碩士論文。國立政治大學，民67年。9.證交資料編輯委員會，"台灣證券交易所二十年歷史"，證交資料，民71年6月。頁18。(二)英文書目1. Baker, H. Kent and John A. Haslern. “ Information Needs of Individual Investors." The Journal of Accountancy, November 1973. PP.64-69.2. Ball, Ray and Philip Brown. "An Empirical Evaluation of Accounting Income Numbers." Journal of Accounting, Research, Autumn 1968. PP. 159-178.3. Beaver, William H. . " The Information Content of Annual Earnings Announcements." Journal of Accounting Research, Supplement to Vol.6 (1968), PP.67-92.4. Benston, George J., " Published Corporate Accounting Data and Stock Prices. " Journal of Accounting Research, Supplement to Vol.5 (1967). PP. 1-14.5. Bird, Ronald G. and Stuard M. Locke. "Financial Accounting Reports: A Market Model of Disclosure." Journal of Business Finance & Accounting, 8,1, (1981). PP.27-44.6. Brown, Philip and John W. Kennelly. "The Information Content of Quarterly Earnings: An Extension and Some Further Evidence." Journal of Business. July 1972. PP.403-415.7. Copeland. Thomas E.. “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” The Journal of Finance, September 1976. PP. 1149-1168.8. Evans, John L. , " Diversification and Reduction of Dispersion : An Empirical Analysis.” Unpublished Ph. D. dissertation, University of Washington.9. Fama , Eugene F. and Arthur B. Laffer. " Information and Capital Markets." the Journal of Business, July 1971, PP. 289-298.10. Fama, Eugene F.. " Efficient Capital Market : A Review of Theory and Empirical Work." the Journal of Finance, May 1970. PP. 383-417.11. Fama, Euqene F., Lawrance Fisher, Michael C. Jenson and Richard Roll. "The Adjustment of Stock Prices to New Information.” International Economic Review. February 1969. PP.1-21.12. Feltham, Gerald A. and Joel S. Demski. "The Use of Models in Information Evaluation." the Accounting Review, October 1970. PP. 623-640.13. Firth, Michael. "The Relative Information Content of the Release of Financial Results Data by Firms." Journal of Accounting Research, Autumn 1981. PP. 521-529.14. Foster, George." Accounting Earnings and Stock Prices of Insurance Companies." the Accounting Review, October 1975, PP, 686-698.15. Gonedes, Nicholas J., " Information Production and Capital Market Equilibrium." the Journal of Finance, June 1975. PP. 841-864.16. Gonedes, Nicholas J., " The Significance of Selected Accounting Drocedures : A Statistical Test." Journal of Accounting Research, Supplement to Vol.7 (1969). PP. 90-113.17. Grant, Edward B. , " Market Implications of Differential Amounts of Intermin Information." Journal of Accounting Research, Spring 1980. PP. 255-268.18. Heins, A. James and Stephen L. Allison. "Some Factors Affecting Stock Price Variablity." Journal of Business, January 1966. PP. 19-23.19. Jacob, Nancy L. and Richardson Pettit. Investment. Homewood, Illinois : Richard D. Irwin, Inc.. 台北市:天一書局,民74年。20. King, Benjamin F. . "Market and Industry Factors in Stock Price Behavior." the Journal of Business, January 1966. PP. 139-190.21. Markowitz, Harry M. .. " Portfolio Selection." the Journal of Finance, March 1952. PP. 77-91.22. Martin, Alvin. "An Empirical Test of the Relevance of Accounting Information for Investment Decisions." Journal of Accounting Research, Supplement to Vol.9 (1971). PP. 1-49.23. Joy. O. Maurice, Robert H. Litzenberger, and Richard W. McErally. "The Adjustment of Stock Prices to Announcement of Unanticipated Change in Quarterly Earnings." Journal of Accounting Research, Vol.15 (1977). PP. 207-225.24. May, Robert G.. " The Influence of Quarterly Earnings Announcements on Investor Decisions as Reflected in Common Stock Price Changes." Journal of Accounting Research, Supplement to Vol.9 (1971). PP. 119-163.25. Mittra, Sid and Chris Gassen. Investment Analysis and Portfolio Management. New York : Harcourt Brace Jovanorich, Inc., 1981. 台北市:華泰書局，民70年。26. Morse, Dale. "Wall Street Journal Announcements and the Securities Markets.” Financial Analyst Journal, March- April 1982. P. 80.27. Nerlove, Mars.. " Factors Affecting Difference Among Rates of Return in Investments in Individual Common Stocks." the Review of Economics and Statistics, 1968. PP. 312-331.28. Otsuka. Munehara. “ Information Content of Accounting Information Announcement." Waseda Business & Economic Studies, No. 19 (1983). PP. 33-59.29. Pearce, Douglas K. and Sara A. Reiter. “Regression Strategies When Multicol linearity Is a Problem : A Methodological Note." Journal of Accounting Research, Spring 1985. PP. 405-407.30. Sharp, William F. "A Simplified Model for Portfolio Analysis." Management Science, 9.1. (1963). PP.277-293,31. Sharp, William F.. " Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk." the Journal of Finance, September 1964. PP. 425-442.32. Sharp, William F.. Investment. Englewood Cliffs, New Jersey : Prentice-Hall Inc., 1985. 台北市:開發圖書公司,民74年。33. Sharp, William F. and Guy Cooper." Risk-Return Classes of NYSE Common Stocks, 1931-1967." Financial Analysts Journal, March-April 1972.34. Staubus, George J.. " The Association of Financial Accounting Variables with Common Stock Values," the Accounting Review, January 1965, PP. 119-134. zh_TW
