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題名 認知風險.市場風險與會計資料所決定的風險之關連性研究
作者 徐仁滄
貢獻者 劉維淇
徐仁滄
日期 1986
上傳時間 5-May-2016 13:52:47 (UTC+8)
摘要 論文摘要
參考文獻 參考書目\n一、中文部份\n1.王淑芬:投資學、華泰書局，民國七十四年。\n2.林煜宗:現代投資學，三民書局，民國七十二年。\n3.翁淑緣:SPSS使用手冊，五南圖書出版公司，民國七十三年。\n4.陳長儀:證券投資與技術操作，自行發行，民國七十三年。\n5.黃俊英:多變量分析，華泰書局，民國七十四年。\n6.黃俊英:行銷研究－管理與技術，華泰書局，民國七十四年。\n7.謝安田:企業研究方法，水牛出版社，民國七十年。\n8.顏月珠:應用數理統計，三民書局，民國七十一年。\n9.臺灣證券交易所編印，「臺灣證券交易所，上市證券發行公司財務資料彙編，民國七十四年。\n\n二、英文部份\n10. Ball R. and P. Brown , “An Empirical Evaluation of Accounting Income Number” , Journal of Accounting Reserch , (Autumn 1969 ) pp. 300-323.\n11. Beaver W. P. Kettler, and M. Scholos , “The Association Botween Market Determined and Accounting Determined Risk Measures” , The Accounting Review. (October 1970 ) pp. 654-682.\n12. Beover W, and J. Managold, “The Association Between Market Determined and Accounting Determined Risk , Some Further Evidence” , Journal of Financial and Quantitative Analysis , ( June 1975 ) PP. 231-284.\n13. Bildersee , J.S. “ Market - Determined and Alternative Measures of Risk”, The Accounting Review (Jan 1975) pp. 81-98\n14.Bowman , E.H. “Risk Seeking by Troubled Firms”, Sloan Management Review (Summer 1982) pp. 33-42\n15.Bowman. R, “The Theretical Relationship Between Systematic Risk and Financial ( Accounting) Variables”, Journal of Finance (Jun 1979 ) PP. 617-30\n16.Dun and Broadstreet, Dan’s Review , Published Monthly.\n17.Elgers , P.T. “Accounting - Based Risk Predictions A Re-examination”. The Accounting Review (July 1980), pp. 389-408.\n18.Eskew, R.K. “ An Examination of the Association Between Accounting and Share Price Date in the Extractive Petroleum Industry” ,The Accourting Review ( April 1975 ) pp. 316-24\n19.Fama, E.F. Foundations of Finance , New york : Basic Books,1976. \n20.Fama, E.F.“ The Behavier of stock - Market Prices”, Journal of Business , xxxvii ( January1965 ) , pp. 34-105. \n21.Farrelly , G.E., R.K. Farris and WP. Reichenstein, “Perceived Risk, Market Risk and Accounting Determined Risk Measures”, The Accounting Review ( April 1985 ) PP. 278-80\n22.Farrelly. G. E. , and W.R. Reichenstein , “Risk Perception of Institutional Investors”, The Journal of Portfolio Management (Summer 1984-) pp. 5-12\n23.Green, P.E. Analyzing Multivariate Data, 華泰書局，民國六十八年。\n24.Gonedes ,N.J. “Evidence of the Information Contents of Accoanting Numbers : A Accounting - Based and Market - Based Estimates of Systematic Risk”, Journal of Financial and Quantitative Analysis (July 1973) pp. 407-44\n25.Hamada, R.S, “Portfolio Analysis, Market Equilibrium And Coporation Finance”, Jounnal of Finance ( March 1969 ), pp. 11-31\n26. Hamada,R.S. , “The Effect of the Firm`s Capital Structure on the Systematic Risk of Common Stocks”, Journal of finance ( May 1972) pp. 435-52\n27.Klemkosky , R.C. and J.D. Martin , “ The Adjustment of Beta Forcasts”, Journal of finance( Sep 1975 ) , pp. 1123-28\n28. Maier, S.F., D.W. Peterson and J.H. Vander Weide “A Practical Theory of B-Estimation” Paper Presented at the Estern Finance Association Meetings , Boston ,Massachusetts , April 1977.\n29.Markowitz H.M , “ Portfolio Selection”, Journal of Finance (March 1952 ), pp. 77-91.\n30. Morrison ,D.F. , Multivariate Statistical Methods, Mcgraw-Hill , 1976.\n31.Mittra s. and C. Gasson , Investment Analysis and Portfolio Mauagement ,. Harcourt Brace Jovanovich Inc , 1981.\n32.Lov , B. ,“ On the Association Between Operating Leverage and Risk” , Journal of Financial Quantitative Analysis ( Sep. 1974 )pp. 627-41\n33. Jacob, N.L. and R.R. Pettit, Investment , Richard D. IRWIN INC.,1985.\n34.Neter . J. W. Wasserman and N.H Kutner , Applied Liner Regression Models; Richard D. IRWIN INC., 1984.\n35. Rosenberg, B. and J. Guy “Prediction of Beta From Investment Fundaments : Part Two, Alternative Prediction Methods”.\nFinancial Analysts Journal (July , August 1976) pp. 62-70.\n36. B. Schoner and K. Uhl ,Marketing Reserch , 2nd ed. New York : John Wiley and Sons , 1975.\n37.Sharp, W.F., “A Simplitied Method for Portfolio Analysis”, Management Science (January 1963) pp. 277-93 \nB. Schoner , “Capital Assets Prices : A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finace , XIX ( September 1965 ) ’ PP. 425-42.\n38.Thompson , D.J., “ Source of Systematic Risk in Common Stocks”, Journal of Bussinoss (Apr. 1976) pp. 173-88.\n39.Vasical, O.A.,. “A Note of Using Cross- Sectional Information in Bayesion Estimation of Security Betas ”, Journal of Finance ( Dec. 1973 )pp. 1233-39.\n40.White ,R. “On the Measurement of Systematic Risk” Ph. D. Disseration , Massachusetts Institute of Techology 1972.
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/#B2002006469
資料類型 thesis
dc.contributor.advisor 劉維淇zh_TW
dc.contributor.author (Authors) 徐仁滄zh_TW
dc.creator (作者) 徐仁滄zh_TW
dc.date (日期) 1986en_US
dc.date.accessioned 5-May-2016 13:52:47 (UTC+8)-
dc.date.available 5-May-2016 13:52:47 (UTC+8)-
dc.date.issued (上傳時間) 5-May-2016 13:52:47 (UTC+8)-
dc.identifier (Other Identifiers) B2002006469en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=103176-
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第一章 緒論………1\n第一節 研究動機與目的………1\n第二節 研究假設………2\n第三節 研究限制………3\n第二章 文獻與理論探討………6\n第一節 市場模式說明………7\n第二節 以會計資料衡量系統風險………12\n第三節 認知風險的概念………42\n第四節 本研究的架構………45\n第三章 研究設計與資料………53\n第一節 研究變數………53\n第二節 資料收集方法………62\n第三節 分析技術與步驟………68\n第四章 實證研究………73\n第一節 認知風險與會計變數之關連性………73\n第二節 市場風險與會計變數之關連性………89\n第三節 以認知風險代表系統風險衡量之分析………96\n第五章 結論與建議………100\n第一節 結論………100\n第二節 建議………102\n\n表目錄\n表2-1 美國上市公司1946-1966年間市場貝它與會計貝它之相關。\n表2-2 市場風險與七個會計變數之史皮曼等級相關\n表2-3 1956-1966會計變數與市場貝它之相關\n表2-4 1 960-1969會計變數與市場貝它之相關\n表2-5 美國上市公司1951-1969年市場貝它與會計貝它之相關\n表2-6 平均變動成本與系統風險之迴歸估計\n表2-7 以市場資料為基礎的預測誤差－單一證券\n表2-8 以會計資料為基礎的預測誤差－單一證券\n表2-9 以市場資料為基礎的預測誤差－組群證券\n表2-10 以會計資料為基礎的預測誤差－組群證券\n表2-11 三種不同風險程度的預測效力\n表2-12 前人對會計變數與市場貝它相關之研究彙總\n表2-13 認知風險與會計變數的複迴歸結果\n表2-14 研究架構圖\n表3-1 25家上市公司之兩段貝它值\n表3-2 25家上市公司的七個會計變數\n表4-1 平均認知風險與七個會計變數之相關分析結果\n表4-2 平均認知風險與七個會計變數之複迴歸結果\n表4-3 會計變數的相關矩陣\n表4-4 逐步迴歸結果\n表4-5 Kenda11一致性檢定結果\n表4-6 個別受測者之複迴歸結果\n表4-7 市場風險與會計變數之相關分析\n表4-8 市場風險與七個會計變數之複迴歸結果\n表4-9 市場風險與會計變數之逐步迴歸結果\n表4-10 平均認知風險及市場貝它(?)與期望報酬率(ER)及未來市場風險(β_2)之相關分析結果zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006469en_US
dc.title (題名) 認知風險.市場風險與會計資料所決定的風險之關連性研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目\n一、中文部份\n1.王淑芬:投資學、華泰書局，民國七十四年。\n2.林煜宗:現代投資學，三民書局，民國七十二年。\n3.翁淑緣:SPSS使用手冊，五南圖書出版公司，民國七十三年。\n4.陳長儀:證券投資與技術操作，自行發行，民國七十三年。\n5.黃俊英:多變量分析，華泰書局，民國七十四年。\n6.黃俊英:行銷研究－管理與技術，華泰書局，民國七十四年。\n7.謝安田:企業研究方法，水牛出版社，民國七十年。\n8.顏月珠:應用數理統計，三民書局，民國七十一年。\n9.臺灣證券交易所編印，「臺灣證券交易所，上市證券發行公司財務資料彙編，民國七十四年。\n\n二、英文部份\n10. Ball R. and P. Brown , “An Empirical Evaluation of Accounting Income Number” , Journal of Accounting Reserch , (Autumn 1969 ) pp. 300-323.\n11. Beaver W. P. Kettler, and M. Scholos , “The Association Botween Market Determined and Accounting Determined Risk Measures” , The Accounting Review. (October 1970 ) pp. 654-682.\n12. Beover W, and J. Managold, “The Association Between Market Determined and Accounting Determined Risk , Some Further Evidence” , Journal of Financial and Quantitative Analysis , ( June 1975 ) PP. 231-284.\n13. Bildersee , J.S. “ Market - Determined and Alternative Measures of Risk”, The Accounting Review (Jan 1975) pp. 81-98\n14.Bowman , E.H. “Risk Seeking by Troubled Firms”, Sloan Management Review (Summer 1982) pp. 33-42\n15.Bowman. R, “The Theretical Relationship Between Systematic Risk and Financial ( Accounting) Variables”, Journal of Finance (Jun 1979 ) PP. 617-30\n16.Dun and Broadstreet, Dan’s Review , Published Monthly.\n17.Elgers , P.T. “Accounting - Based Risk Predictions A Re-examination”. The Accounting Review (July 1980), pp. 389-408.\n18.Eskew, R.K. “ An Examination of the Association Between Accounting and Share Price Date in the Extractive Petroleum Industry” ,The Accourting Review ( April 1975 ) pp. 316-24\n19.Fama, E.F. Foundations of Finance , New york : Basic Books,1976. \n20.Fama, E.F.“ The Behavier of stock - Market Prices”, Journal of Business , xxxvii ( January1965 ) , pp. 34-105. \n21.Farrelly , G.E., R.K. Farris and WP. Reichenstein, “Perceived Risk, Market Risk and Accounting Determined Risk Measures”, The Accounting Review ( April 1985 ) PP. 278-80\n22.Farrelly. G. E. , and W.R. Reichenstein , “Risk Perception of Institutional Investors”, The Journal of Portfolio Management (Summer 1984-) pp. 5-12\n23.Green, P.E. Analyzing Multivariate Data, 華泰書局，民國六十八年。\n24.Gonedes ,N.J. “Evidence of the Information Contents of Accoanting Numbers : A Accounting - Based and Market - Based Estimates of Systematic Risk”, Journal of Financial and Quantitative Analysis (July 1973) pp. 407-44\n25.Hamada, R.S, “Portfolio Analysis, Market Equilibrium And Coporation Finance”, Jounnal of Finance ( March 1969 ), pp. 11-31\n26. Hamada,R.S. , “The Effect of the Firm`s Capital Structure on the Systematic Risk of Common Stocks”, Journal of finance ( May 1972) pp. 435-52\n27.Klemkosky , R.C. and J.D. Martin , “ The Adjustment of Beta Forcasts”, Journal of finance( Sep 1975 ) , pp. 1123-28\n28. Maier, S.F., D.W. Peterson and J.H. Vander Weide “A Practical Theory of B-Estimation” Paper Presented at the Estern Finance Association Meetings , Boston ,Massachusetts , April 1977.\n29.Markowitz H.M , “ Portfolio Selection”, Journal of Finance (March 1952 ), pp. 77-91.\n30. Morrison ,D.F. , Multivariate Statistical Methods, Mcgraw-Hill , 1976.\n31.Mittra s. and C. Gasson , Investment Analysis and Portfolio Mauagement ,. Harcourt Brace Jovanovich Inc , 1981.\n32.Lov , B. ,“ On the Association Between Operating Leverage and Risk” , Journal of Financial Quantitative Analysis ( Sep. 1974 )pp. 627-41\n33. Jacob, N.L. and R.R. Pettit, Investment , Richard D. IRWIN INC.,1985.\n34.Neter . J. W. Wasserman and N.H Kutner , Applied Liner Regression Models; Richard D. IRWIN INC., 1984.\n35. Rosenberg, B. and J. Guy “Prediction of Beta From Investment Fundaments : Part Two, Alternative Prediction Methods”.\nFinancial Analysts Journal (July , August 1976) pp. 62-70.\n36. B. Schoner and K. Uhl ,Marketing Reserch , 2nd ed. New York : John Wiley and Sons , 1975.\n37.Sharp, W.F., “A Simplitied Method for Portfolio Analysis”, Management Science (January 1963) pp. 277-93 \nB. Schoner , “Capital Assets Prices : A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finace , XIX ( September 1965 ) ’ PP. 425-42.\n38.Thompson , D.J., “ Source of Systematic Risk in Common Stocks”, Journal of Bussinoss (Apr. 1976) pp. 173-88.\n39.Vasical, O.A.,. “A Note of Using Cross- Sectional Information in Bayesion Estimation of Security Betas ”, Journal of Finance ( Dec. 1973 )pp. 1233-39.\n40.White ,R. “On the Measurement of Systematic Risk” Ph. D. Disseration , Massachusetts Institute of Techology 1972.zh_TW