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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\n(一)中文書目\n1.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。\n2.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。\n3.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。\n4.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。\n5.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。\n6.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。\n7.陳春山。"機構投資人與證券市場"，證券管理，4卷2期。頁35。\n8.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。\n9.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。\n\n\n(二)英文書目\n1. Baker, H. Kent and John A. Haslern. “ Information Needs of Individual Investors." The Journal of Accountancy, November 1973. PP.64-69.\n2. Ball, Ray and Philip Brown. "An Empirical Evaluation of Accounting Income Numbers." Journal of Accounting, Research, Autumn 1968. PP. 159-178.\n3. Beaver, William H. . " The Information Content of Annual Earnings Announcements." Journal of Accounting Research, Supplement to Vol.6 (1968), PP.67-92.\n4. Benston, George J., " Published Corporate Accounting Data and Stock Prices. " Journal of Accounting Research, Supplement to Vol.5 (1967). PP. 1-14.\n5. 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.\n6. 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.\n7. Copeland. Thomas E.. “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” The Journal of Finance, September 1976. PP. 1149-1168.\n8. Evans, John L. , " Diversification and Reduction of Dispersion : An Empirical Analysis.” Unpublished Ph. D. dissertation, University of Washington.\n9. Fama , Eugene F. and Arthur B. Laffer. " Information and Capital Markets." the Journal of Business, July 1971, PP. 289-298.\n10. Fama, Eugene F.. " Efficient Capital Market : A Review of Theory and Empirical Work." the Journal of Finance, May 1970. PP. 383-417.\n11. 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.\n12. Feltham, Gerald A. and Joel S. Demski. "The Use of Models in Information Evaluation." the Accounting Review, October 1970. PP. 623-640.\n13. Firth, Michael. "The Relative Information Content of the Release of Financial Results Data by Firms." Journal of Accounting Research, Autumn 1981. PP. 521-529.\n14. Foster, George." Accounting Earnings and Stock Prices of Insurance Companies." the Accounting Review, October 1975, PP, 686-698.\n15. Gonedes, Nicholas J., " Information Production and Capital Market Equilibrium." the Journal of Finance, June 1975. PP. 841-864.\n16. Gonedes, Nicholas J., " The Significance of Selected Accounting Drocedures : A Statistical Test." Journal of Accounting Research, Supplement to Vol.7 (1969). PP. 90-113.\n17. Grant, Edward B. , " Market Implications of Differential Amounts of Intermin Information." Journal of Accounting Research, Spring 1980. PP. 255-268.\n18. Heins, A. James and Stephen L. Allison. "Some Factors Affecting Stock Price Variablity." Journal of Business, January 1966. PP. 19-23.\n19. Jacob, Nancy L. and Richardson Pettit. Investment. Homewood, Illinois : Richard D. Irwin, Inc.. 台北市:天一書局,民74年。\n20. King, Benjamin F. . "Market and Industry Factors in Stock Price Behavior." the Journal of Business, January 1966. PP. 139-190.\n21. Markowitz, Harry M. .. " Portfolio Selection." the Journal of Finance, March 1952. PP. 77-91.\n22. 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.\n23. 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.\n24. 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.\n25. 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。\n26. Morse, Dale. "Wall Street Journal Announcements and the Securities Markets.” Financial Analyst Journal, March- April 1982. P. 80.\n27. 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.\n28. Otsuka. Munehara. “ Information Content of Accounting Information Announcement." Waseda Business & Economic Studies, No. 19 (1983). PP. 33-59.\n29. 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.\n30. Sharp, William F. "A Simplified Model for Portfolio Analysis." Management Science, 9.1. (1963). PP.277-293,\n31. Sharp, William F.. " Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk." the Journal of Finance, September 1964. PP. 425-442.\n32. Sharp, William F.. Investment. Englewood Cliffs, New Jersey : Prentice-Hall Inc., 1985. 台北市:開發圖書公司,民74年。\n33. Sharp, William F. and Guy Cooper." Risk-Return Classes of NYSE Common Stocks, 1931-1967." Financial Analysts Journal, March-April 1972.\n34. 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) 1988en_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) B2002006437en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=103146-
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\n圖表目錄\n第一章 緒論………1\n第一節 研究動機與目的………1\n第二節 研究方法與架構………2\n第三節 研究限制………6\n第二章 理論基礎………9\n第一節 個人理財………10\n第二節 報酬與風險………12\n第三節 投資組合理論………17\n第四節 市場情報與有效市場理論………20\n第三章 財務情報與投資者反應模式………35\n第一節 財務情報的需求與供給………35\n第二節 投資者對財務情報的反應模式………41\n第四章 國內外實證文獻探討………45\n第一節 概說………45\n第二節 國內外有關上市公司財務報告之實證研究………46\n第一節 國內外學者實證研究之比較………50\n第五章 研究方法………56\n第一節 概說………56\n第二節 畢佛的研究方法………57\n第三節 選樣原則………65\n第六章 實證結果與比較………68\n第一節 有關交易量變動的實證結果………68\n第二節 有關股價變動的實證結果………77\n第一節 畢佛、小塚與作者三研究結果之比較………89\n第七章 結論與建議………92\n第一節 結論………92\n第二節 建議………94\n參考書目………96\n\n圖目錄\n圖1-1 本研究進行之流程圖\n圖2-1 上市公司各種情報影響投資者決策的因果關係\n圖2-2 投資組合總風險、系統風險、非系統風險的關係\n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\n圖2-4 FFJR所做股票分割對股價影響之研究\n圖2-5 各種聲明對股價及交易量之影響\n圖4-1 公司情報和股價、交易量變動的關係\n圖5-1 情報對個人、市場之可能影響\n圖6-1 NYSE在財務報告公告期間交易量變動的情形\n圖6-2 TSE在財務報告公告期間交易量變動的情形\n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\n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\n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\n圖6-6 NYSE在財務報告公告期間股價變動的情形\n圖6-7 TSE在財務報告公告期間股價變動的情形\n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\n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\n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\n\n表目錄\n表2-1 序列相關係數表\n表3-1 貝克和海斯蘭以點數預定重要層次的差異\n表3-2 投資者所需的財務情報內容\n表3-3 上市發行公司公開財務業務資訊一覽表\n表4-1 國內外有關上市公司財務報告之實證研究\n表5-1 本研究之樣本公司與觀察單位公告期\n表6-1 公告期間各週交易量變動情形\n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\n表6-3 公告期間內各週股價變動情形\n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\n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/#B2002006437en_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) thesisen_US
dc.relation.reference (參考文獻) 參考書目\n(一)中文書目\n1.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。\n2.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。\n3.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。\n4.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。\n5.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。\n6.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。\n7.陳春山。"機構投資人與證券市場"，證券管理，4卷2期。頁35。\n8.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。\n9.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。\n\n\n(二)英文書目\n1. Baker, H. Kent and John A. Haslern. “ Information Needs of Individual Investors." The Journal of Accountancy, November 1973. PP.64-69.\n2. Ball, Ray and Philip Brown. "An Empirical Evaluation of Accounting Income Numbers." Journal of Accounting, Research, Autumn 1968. PP. 159-178.\n3. Beaver, William H. . " The Information Content of Annual Earnings Announcements." Journal of Accounting Research, Supplement to Vol.6 (1968), PP.67-92.\n4. Benston, George J., " Published Corporate Accounting Data and Stock Prices. " Journal of Accounting Research, Supplement to Vol.5 (1967). PP. 1-14.\n5. 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.\n6. 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.\n7. Copeland. Thomas E.. “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” The Journal of Finance, September 1976. PP. 1149-1168.\n8. Evans, John L. , " Diversification and Reduction of Dispersion : An Empirical Analysis.” Unpublished Ph. D. dissertation, University of Washington.\n9. Fama , Eugene F. and Arthur B. Laffer. " Information and Capital Markets." the Journal of Business, July 1971, PP. 289-298.\n10. Fama, Eugene F.. " Efficient Capital Market : A Review of Theory and Empirical Work." the Journal of Finance, May 1970. PP. 383-417.\n11. 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.\n12. Feltham, Gerald A. and Joel S. Demski. "The Use of Models in Information Evaluation." the Accounting Review, October 1970. PP. 623-640.\n13. Firth, Michael. "The Relative Information Content of the Release of Financial Results Data by Firms." Journal of Accounting Research, Autumn 1981. PP. 521-529.\n14. Foster, George." Accounting Earnings and Stock Prices of Insurance Companies." the Accounting Review, October 1975, PP, 686-698.\n15. Gonedes, Nicholas J., " Information Production and Capital Market Equilibrium." the Journal of Finance, June 1975. PP. 841-864.\n16. Gonedes, Nicholas J., " The Significance of Selected Accounting Drocedures : A Statistical Test." Journal of Accounting Research, Supplement to Vol.7 (1969). PP. 90-113.\n17. Grant, Edward B. , " Market Implications of Differential Amounts of Intermin Information." Journal of Accounting Research, Spring 1980. PP. 255-268.\n18. Heins, A. James and Stephen L. Allison. "Some Factors Affecting Stock Price Variablity." Journal of Business, January 1966. PP. 19-23.\n19. Jacob, Nancy L. and Richardson Pettit. Investment. Homewood, Illinois : Richard D. Irwin, Inc.. 台北市:天一書局,民74年。\n20. King, Benjamin F. . "Market and Industry Factors in Stock Price Behavior." the Journal of Business, January 1966. PP. 139-190.\n21. Markowitz, Harry M. .. " Portfolio Selection." the Journal of Finance, March 1952. PP. 77-91.\n22. 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.\n23. 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.\n24. 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.\n25. 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。\n26. Morse, Dale. "Wall Street Journal Announcements and the Securities Markets.” Financial Analyst Journal, March- April 1982. P. 80.\n27. 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.\n28. Otsuka. Munehara. “ Information Content of Accounting Information Announcement." Waseda Business & Economic Studies, No. 19 (1983). PP. 33-59.\n29. 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.\n30. Sharp, William F. "A Simplified Model for Portfolio Analysis." Management Science, 9.1. (1963). PP.277-293,\n31. Sharp, William F.. " Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk." the Journal of Finance, September 1964. PP. 425-442.\n32. Sharp, William F.. Investment. Englewood Cliffs, New Jersey : Prentice-Hall Inc., 1985. 台北市:開發圖書公司,民74年。\n33. Sharp, William F. and Guy Cooper." Risk-Return Classes of NYSE Common Stocks, 1931-1967." Financial Analysts Journal, March-April 1972.\n34. Staubus, George J.. " The Association of Financial Accounting Variables with Common Stock Values," the Accounting Review, January 1965, PP. 119-134.zh_TW