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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
一、中文部份
1.王淑芬:投資學、華泰書局，民國七十四年。
2.林煜宗:現代投資學，三民書局，民國七十二年。
3.翁淑緣:SPSS使用手冊，五南圖書出版公司，民國七十三年。
4.陳長儀:證券投資與技術操作，自行發行，民國七十三年。
5.黃俊英:多變量分析，華泰書局，民國七十四年。
6.黃俊英:行銷研究－管理與技術，華泰書局，民國七十四年。
7.謝安田:企業研究方法，水牛出版社，民國七十年。
8.顏月珠:應用數理統計，三民書局，民國七十一年。
9.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。

二、英文部份
10. Ball R. and P. Brown , “An Empirical Evaluation of Accounting Income Number” , Journal of Accounting Reserch , (Autumn 1969 ) pp. 300-323.
11. 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.
12. 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.
13. Bildersee , J.S. “ Market - Determined and Alternative Measures of Risk”, The Accounting Review (Jan 1975) pp. 81-98
14.Bowman , E.H. “Risk Seeking by Troubled Firms”, Sloan Management Review (Summer 1982) pp. 33-42
15.Bowman. R, “The Theretical Relationship Between Systematic Risk and Financial ( Accounting) Variables”, Journal of Finance (Jun 1979 ) PP. 617-30
16.Dun and Broadstreet, Dan’s Review , Published Monthly.
17.Elgers , P.T. “Accounting - Based Risk Predictions A Re-examination”. The Accounting Review (July 1980), pp. 389-408.
18.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
19.Fama, E.F. Foundations of Finance , New york : Basic Books,1976.
20.Fama, E.F.“ The Behavier of stock - Market Prices”, Journal of Business , xxxvii ( January1965 ) , pp. 34-105.
21.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
22.Farrelly. G. E. , and W.R. Reichenstein , “Risk Perception of Institutional Investors”, The Journal of Portfolio Management (Summer 1984-) pp. 5-12
23.Green, P.E. Analyzing Multivariate Data, 華泰書局，民國六十八年。
24.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
25.Hamada, R.S, “Portfolio Analysis, Market Equilibrium And Coporation Finance”, Jounnal of Finance ( March 1969 ), pp. 11-31
26. 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
27.Klemkosky , R.C. and J.D. Martin , “ The Adjustment of Beta Forcasts”, Journal of finance( Sep 1975 ) , pp. 1123-28
28. 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.
29.Markowitz H.M , “ Portfolio Selection”, Journal of Finance (March 1952 ), pp. 77-91.
30. Morrison ,D.F. , Multivariate Statistical Methods, Mcgraw-Hill , 1976.
31.Mittra s. and C. Gasson , Investment Analysis and Portfolio Mauagement ,. Harcourt Brace Jovanovich Inc , 1981.
32.Lov , B. ,“ On the Association Between Operating Leverage and Risk” , Journal of Financial Quantitative Analysis ( Sep. 1974 )pp. 627-41
33. Jacob, N.L. and R.R. Pettit, Investment , Richard D. IRWIN INC.,1985.
34.Neter . J. W. Wasserman and N.H Kutner , Applied Liner Regression Models; Richard D. IRWIN INC., 1984.
35. Rosenberg, B. and J. Guy “Prediction of Beta From Investment Fundaments : Part Two, Alternative Prediction Methods”.
Financial Analysts Journal (July , August 1976) pp. 62-70.
36. B. Schoner and K. Uhl ,Marketing Reserch , 2nd ed. New York : John Wiley and Sons , 1975.
37.Sharp, W.F., “A Simplitied Method for Portfolio Analysis”, Management Science (January 1963) pp. 277-93
B. Schoner , “Capital Assets Prices : A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finace , XIX ( September 1965 ) ’ PP. 425-42.
38.Thompson , D.J., “ Source of Systematic Risk in Common Stocks”, Journal of Bussinoss (Apr. 1976) pp. 173-88.
39.Vasical, O.A.,. “A Note of Using Cross- Sectional Information in Bayesion Estimation of Security Betas ”, Journal of Finance ( Dec. 1973 )pp. 1233-39.
40.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) http://nccur.lib.nccu.edu.tw/handle/140.119/91208-
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
第一章 緒論………1
第一節 研究動機與目的………1
第二節 研究假設………2
第三節 研究限制………3
第二章 文獻與理論探討………6
第一節 市場模式說明………7
第二節 以會計資料衡量系統風險………12
第三節 認知風險的概念………42
第四節 本研究的架構………45
第三章 研究設計與資料………53
第一節 研究變數………53
第二節 資料收集方法………62
第三節 分析技術與步驟………68
第四章 實證研究………73
第一節 認知風險與會計變數之關連性………73
第二節 市場風險與會計變數之關連性………89
第三節 以認知風險代表系統風險衡量之分析………96
第五章 結論與建議………100
第一節 結論………100
第二節 建議………102

表目錄
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。
表2-2 市場風險與七個會計變數之史皮曼等級相關
表2-3 1956-1966會計變數與市場貝它之相關
表2-4 1 960-1969會計變數與市場貝它之相關
表2-5 美國上市公司1951-1969年市場貝它與會計貝它之相關
表2-6 平均變動成本與系統風險之迴歸估計
表2-7 以市場資料為基礎的預測誤差－單一證券
表2-8 以會計資料為基礎的預測誤差－單一證券
表2-9 以市場資料為基礎的預測誤差－組群證券
表2-10 以會計資料為基礎的預測誤差－組群證券
表2-11 三種不同風險程度的預測效力
表2-12 前人對會計變數與市場貝它相關之研究彙總
表2-13 認知風險與會計變數的複迴歸結果
表2-14 研究架構圖
表3-1 25家上市公司之兩段貝它值
表3-2 25家上市公司的七個會計變數
表4-1 平均認知風險與七個會計變數之相關分析結果
表4-2 平均認知風險與七個會計變數之複迴歸結果
表4-3 會計變數的相關矩陣
表4-4 逐步迴歸結果
表4-5 Kenda11一致性檢定結果
表4-6 個別受測者之複迴歸結果
表4-7 市場風險與會計變數之相關分析
表4-8 市場風險與七個會計變數之複迴歸結果
表4-9 市場風險與會計變數之逐步迴歸結果
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
一、中文部份
1.王淑芬:投資學、華泰書局，民國七十四年。
2.林煜宗:現代投資學，三民書局，民國七十二年。
3.翁淑緣:SPSS使用手冊，五南圖書出版公司，民國七十三年。
4.陳長儀:證券投資與技術操作，自行發行，民國七十三年。
5.黃俊英:多變量分析，華泰書局，民國七十四年。
6.黃俊英:行銷研究－管理與技術，華泰書局，民國七十四年。
7.謝安田:企業研究方法，水牛出版社，民國七十年。
8.顏月珠:應用數理統計，三民書局，民國七十一年。
9.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。

二、英文部份
10. Ball R. and P. Brown , “An Empirical Evaluation of Accounting Income Number” , Journal of Accounting Reserch , (Autumn 1969 ) pp. 300-323.
11. 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.
12. 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.
13. Bildersee , J.S. “ Market - Determined and Alternative Measures of Risk”, The Accounting Review (Jan 1975) pp. 81-98
14.Bowman , E.H. “Risk Seeking by Troubled Firms”, Sloan Management Review (Summer 1982) pp. 33-42
15.Bowman. R, “The Theretical Relationship Between Systematic Risk and Financial ( Accounting) Variables”, Journal of Finance (Jun 1979 ) PP. 617-30
16.Dun and Broadstreet, Dan’s Review , Published Monthly.
17.Elgers , P.T. “Accounting - Based Risk Predictions A Re-examination”. The Accounting Review (July 1980), pp. 389-408.
18.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
19.Fama, E.F. Foundations of Finance , New york : Basic Books,1976.
20.Fama, E.F.“ The Behavier of stock - Market Prices”, Journal of Business , xxxvii ( January1965 ) , pp. 34-105.
21.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
22.Farrelly. G. E. , and W.R. Reichenstein , “Risk Perception of Institutional Investors”, The Journal of Portfolio Management (Summer 1984-) pp. 5-12
23.Green, P.E. Analyzing Multivariate Data, 華泰書局，民國六十八年。
24.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
25.Hamada, R.S, “Portfolio Analysis, Market Equilibrium And Coporation Finance”, Jounnal of Finance ( March 1969 ), pp. 11-31
26. 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
27.Klemkosky , R.C. and J.D. Martin , “ The Adjustment of Beta Forcasts”, Journal of finance( Sep 1975 ) , pp. 1123-28
28. 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.
29.Markowitz H.M , “ Portfolio Selection”, Journal of Finance (March 1952 ), pp. 77-91.
30. Morrison ,D.F. , Multivariate Statistical Methods, Mcgraw-Hill , 1976.
31.Mittra s. and C. Gasson , Investment Analysis and Portfolio Mauagement ,. Harcourt Brace Jovanovich Inc , 1981.
32.Lov , B. ,“ On the Association Between Operating Leverage and Risk” , Journal of Financial Quantitative Analysis ( Sep. 1974 )pp. 627-41
33. Jacob, N.L. and R.R. Pettit, Investment , Richard D. IRWIN INC.,1985.
34.Neter . J. W. Wasserman and N.H Kutner , Applied Liner Regression Models; Richard D. IRWIN INC., 1984.
35. Rosenberg, B. and J. Guy “Prediction of Beta From Investment Fundaments : Part Two, Alternative Prediction Methods”.
Financial Analysts Journal (July , August 1976) pp. 62-70.
36. B. Schoner and K. Uhl ,Marketing Reserch , 2nd ed. New York : John Wiley and Sons , 1975.
37.Sharp, W.F., “A Simplitied Method for Portfolio Analysis”, Management Science (January 1963) pp. 277-93
B. Schoner , “Capital Assets Prices : A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finace , XIX ( September 1965 ) ’ PP. 425-42.
38.Thompson , D.J., “ Source of Systematic Risk in Common Stocks”, Journal of Bussinoss (Apr. 1976) pp. 173-88.
39.Vasical, O.A.,. “A Note of Using Cross- Sectional Information in Bayesion Estimation of Security Betas ”, Journal of Finance ( Dec. 1973 )pp. 1233-39.
40.White ,R. “On the Measurement of Systematic Risk” Ph. D. Disseration , Massachusetts Institute of Techology 1972.		zh_TW