1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 股價影響因子與國內外重大事件之探討 -以台灣營建類股為例
A Study of Multiple Factors on Stock Price with Domestic and International Major Events- A Case for Taiwan Listed Stock of Construction Company
作者 黃智宏
Huang, Chih-Hung
貢獻者 陳明吉
Chen, Ming-Chi
黃智宏
Huang, Chih-Hung
關鍵詞 股價
償債能力
景氣指標
事件
Stock price
Solvency
Business indicators
Event
日期 2017
上傳時間 10-Aug-2017 09:44:36 (UTC+8)
摘要 本研究挑選54檔台灣上市營建類股之股價為研究標的，以季資料的頻率探討股價與財報資訊及總經因子的關係，並分析償債能力的優劣是否影響實證結果。蒐集近二十年國內不動產相關事件及國際重大金融事件，將樣本分類探討，並使用事件研究法討論國際事件對營建股的影響。實證結果顯示，屬於財報資訊的每股盈餘、存貨，屬於景氣領先指標的股價指數、半導體接單出貨比及外銷訂單指數皆對營建股股價有顯著影響。而償債能力較佳的投資組合，模型有較佳的解釋力，償債能力越高，模型的解釋力及與股價顯著相關的變數越多。國內正面及負面事件在實證結果上沒有太大差異，顯著的變數為每股盈餘、存貨、半導體出貨比及核發建照面積。但在各國際重大金融事件發生期間，營建類股普遍皆有顯著負向的累積異常報酬率(CAR)。
This study select the stock price of 54 Taiwan listed construction company as the subject of research. We investigate the relationship between stock price and the factors of financial statement and macroeconomic. We also investigate whether the solvency of each portfolio affect the original results. Collect nearly 20 years of domestic real estate-related events and major international financial events to classify samples and analyze it. Finally, we investigate the impact of international events on construction stocks by event study.
The empirical results show that EPS, inventory, stock index, semiconductor B/B ratio, and export order index have significant impact on stock price. The model has better explanatory power in solvency-high portfolio. The higher the solvency, the more explanatory power of the model and the more significant variables associate with the stock price. There is not much difference in the empirical results of domestic positive events and domestic negative events. EPS, inventory, stock index, semiconductor B/B ratio, and issued area have significant impact on stock price. During the period of major international financial events construction stock generally have significant negative CAR.
參考文獻 王琇嫚，(2003)。「土地增值稅減半徵收二年」政策對營建業股價影響之研究。逢甲大學，土地管理所，台中市。
王駿杰，(2009)。利率變動對台灣上市建築投資業股票報酬影響之研究。逢甲大學，土地管理所，台中市。
王壬輔，(2013)。不動產實價登錄對營建業股票報酬率之影響。國立臺灣大學，會計研究所，台北市。
沈中華、李建然，（2000）。事件研究法。臺北市：華泰文化事業股份有限公司。
汪瑞芝、陳明進、林世銘，(2005)。土地增值稅減半政策之事件研究。證券市場發展季刊，第17卷第1期，79-104。
林美華，(2012)。不動產交易實價登錄之實施對企業股價報酬之影響。中原大學，會計研究所，桃園市。
程于芳，(2009)。住宅市場從眾行為與總體經濟因素之研究。國立政治大學，地政研究所，台北市。
陳芬英、黃宸浩，(2012)。政策宣告與股價異常報酬率之研究：台灣股價的實證分析。台灣金融財務季刊，第13卷第1期，57-85。
陳佳如，(2011)。實施打房措施對上市櫃建築投資公司股價之影響。國立臺灣大學，會計研究所，台北市。
曾祥珉，(2002)。運用財務指標建立建設公司財務危機預警模式之研究。國立中央大學，土木工程研究所，桃園市。
楊凱傑，(2016)。台灣建設公司股價報酬率之相關因素研究。國立彰化師範大學，財務金融技術學系，彰化縣。
傅英芬、康信鴻，(2008)。通貨膨脹與台灣不動產相關類股動能現象之探討。住宅學報，第17卷第2期，35-62。
蔡怡純、江明珠、蔡惠丞，(2011)。房市景氣指標、股市投資人情緒與建設公司股價報酬之關聯。貨幣觀測與信用評等，第87期，64-81。
謝雅玲，(2014)。房地產影響因子對營建股報酬之關聯性分析。國立高雄第一科技大學，金融研究所，高雄市。
顏秀蓉，(2009)。新修訂之財務會計準則公報第十號對建築投資類股之影響。國立臺灣大學，會計研究所，台北市。
Ball, R. and Brown, P., (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.
Chen, S.J., Hsieh, C., and Vines T., (1998). Macroeconomic variables, firm-specific variables and returns to REITs. Journal of Real Estate Research, 16(3), 269-278.
Ewing, B.T. and Payne, J.E., (2005). The response of real estate investment trust returns to macroeconomic shocks. Journal of Business Research, 58(3), 293-300.
Ginevičius, R. and Podvezko, V., (2006). Assessing the financial state of construction enterprises. Technological and Economic Development of Economy, 12(3), 188-194.
Glascock, J.L. and Davidson, W.N., (1995). Performance measures of real estate firm common stock returns. Boston: Real Estate Research Issues, 2, 143-156.
Graham, M., Nikkinen, J., and Sahlström, P., (2003). Relative importance of scheduled us macroeconomic news for stock market investors. Journal of Economics and Finance, 27(2), 153-165.
Holthausen, R. and Larcker, D., (1992). The prediction of stock returns using financial statement information. Journal of Accounting and Economics, 15(2), 373-411.
Karolyi, G.A. and Sanders, A.B., (1998). The variation of economic risk premiums in real estate returns. The Journal of Real Estate Finance and Economics, 17(3), 245-262.
Kumar, A. and Lee, C., (2006). Retail investor sentiment and return comovements. Journal of Finance, 61(5), 2451-2486.
Liow, K.H., (2010). Firm value, growth, profitability and capital structure of listed real estate companies: an international perspective. Journal of Property Research, 27(2), 119-146.
Liow, K.H. and Webb, J.R., (2009). Common factors in international securitized real estate markets, Review of Financial Economics, 18(2), 80-89.
Myers, J.N., (1999). Implementing residual income valuation with linear information dynamics. The Accounting Review, 74(1), 1-28.
Nikkinen, N. and Sahlström, P., (2015). Impact of scheduled us macroeconomic news on stock market uncertainty :a multinational perspective. Multinational Finance Journal, 5(2), 129-148.
Ou, J. and Penman, S., (1989). Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics, 11(4), 295-329.
Ohlson, A.J., (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(2), 661-687.
Pastor, L. and Veronesi, P., (2012). Uncertainty about government policy and stock prices. Journal of Finance, 67(4), 1219-1264.
Patelis, A.D., (1997). Stock return predictability and the role of monetary policy. Journal of Finance, 52(5), 1951-1972.
Xu, X.E. and Chen, T., (2012). The effect of monetary policy on real estate price growth in China. Pacific-Basin Finance Journal, 20(1), 62-77.
Yu, H., (2010). China’s house price: affected by economic fundamentals or real estate policy?. Frontiers of Economics in China, 5(1), 25-51.
描述 碩士
國立政治大學
財務管理研究所
104357005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357005
資料類型 thesis
dc.contributor.advisor 陳明吉zh_TW
dc.contributor.advisor Chen, Ming-Chien_US
dc.contributor.author (Authors) 黃智宏zh_TW
dc.contributor.author (Authors) Huang, Chih-Hungen_US
dc.creator (作者) 黃智宏zh_TW
dc.creator (作者) Huang, Chih-Hungen_US
dc.date (日期) 2017en_US
dc.date.accessioned 10-Aug-2017 09:44:36 (UTC+8)-
dc.date.available 10-Aug-2017 09:44:36 (UTC+8)-
dc.date.issued (上傳時間) 10-Aug-2017 09:44:36 (UTC+8)-
dc.identifier (Other Identifiers) G0104357005en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111735-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 104357005zh_TW
dc.description.abstract (摘要) 本研究挑選54檔台灣上市營建類股之股價為研究標的，以季資料的頻率探討股價與財報資訊及總經因子的關係，並分析償債能力的優劣是否影響實證結果。蒐集近二十年國內不動產相關事件及國際重大金融事件，將樣本分類探討，並使用事件研究法討論國際事件對營建股的影響。實證結果顯示，屬於財報資訊的每股盈餘、存貨，屬於景氣領先指標的股價指數、半導體接單出貨比及外銷訂單指數皆對營建股股價有顯著影響。而償債能力較佳的投資組合，模型有較佳的解釋力，償債能力越高，模型的解釋力及與股價顯著相關的變數越多。國內正面及負面事件在實證結果上沒有太大差異，顯著的變數為每股盈餘、存貨、半導體出貨比及核發建照面積。但在各國際重大金融事件發生期間，營建類股普遍皆有顯著負向的累積異常報酬率(CAR)。zh_TW
dc.description.abstract (摘要) This study select the stock price of 54 Taiwan listed construction company as the subject of research. We investigate the relationship between stock price and the factors of financial statement and macroeconomic. We also investigate whether the solvency of each portfolio affect the original results. Collect nearly 20 years of domestic real estate-related events and major international financial events to classify samples and analyze it. Finally, we investigate the impact of international events on construction stocks by event study.
The empirical results show that EPS, inventory, stock index, semiconductor B/B ratio, and export order index have significant impact on stock price. The model has better explanatory power in solvency-high portfolio. The higher the solvency, the more explanatory power of the model and the more significant variables associate with the stock price. There is not much difference in the empirical results of domestic positive events and domestic negative events. EPS, inventory, stock index, semiconductor B/B ratio, and issued area have significant impact on stock price. During the period of major international financial events construction stock generally have significant negative CAR.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第二章 文獻探討 5
第一節 營建類股股價的影響因素 5
第二節 營建類股與政策的關係 9
第三章 研究方法 13
第一節 研究架構 13
第二節 建立迴歸模型 13
第三節 事件研究法 18
第四節 樣本選擇與資料描述 21
第四章 實證結果與分析 22
第一節 敘述性統計分析 22
第二節 營建股股價影響因子分析 25
第三節 償債能力分析 27
第四節 各類型事件分析 32
第五節 事件研究法分析 38
第五章 結論與建議 43
參考文獻 45		zh_TW
dc.format.extent 1204198 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357005en_US
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) 償債能力zh_TW
dc.subject (關鍵詞) 景氣指標zh_TW
dc.subject (關鍵詞) 事件zh_TW
dc.subject (關鍵詞) Stock priceen_US
dc.subject (關鍵詞) Solvencyen_US
dc.subject (關鍵詞) Business indicatorsen_US
dc.subject (關鍵詞) Eventen_US
dc.title (題名) 股價影響因子與國內外重大事件之探討 -以台灣營建類股為例zh_TW
dc.title (題名) A Study of Multiple Factors on Stock Price with Domestic and International Major Events- A Case for Taiwan Listed Stock of Construction Companyen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 王琇嫚，(2003)。「土地增值稅減半徵收二年」政策對營建業股價影響之研究。逢甲大學，土地管理所，台中市。
王駿杰，(2009)。利率變動對台灣上市建築投資業股票報酬影響之研究。逢甲大學，土地管理所，台中市。
王壬輔，(2013)。不動產實價登錄對營建業股票報酬率之影響。國立臺灣大學，會計研究所，台北市。
沈中華、李建然，（2000）。事件研究法。臺北市：華泰文化事業股份有限公司。
汪瑞芝、陳明進、林世銘，(2005)。土地增值稅減半政策之事件研究。證券市場發展季刊，第17卷第1期，79-104。
林美華，(2012)。不動產交易實價登錄之實施對企業股價報酬之影響。中原大學，會計研究所，桃園市。
程于芳，(2009)。住宅市場從眾行為與總體經濟因素之研究。國立政治大學，地政研究所，台北市。
陳芬英、黃宸浩，(2012)。政策宣告與股價異常報酬率之研究：台灣股價的實證分析。台灣金融財務季刊，第13卷第1期，57-85。
陳佳如，(2011)。實施打房措施對上市櫃建築投資公司股價之影響。國立臺灣大學，會計研究所，台北市。
曾祥珉，(2002)。運用財務指標建立建設公司財務危機預警模式之研究。國立中央大學，土木工程研究所，桃園市。
楊凱傑，(2016)。台灣建設公司股價報酬率之相關因素研究。國立彰化師範大學，財務金融技術學系，彰化縣。
傅英芬、康信鴻，(2008)。通貨膨脹與台灣不動產相關類股動能現象之探討。住宅學報，第17卷第2期，35-62。
蔡怡純、江明珠、蔡惠丞，(2011)。房市景氣指標、股市投資人情緒與建設公司股價報酬之關聯。貨幣觀測與信用評等，第87期，64-81。
謝雅玲，(2014)。房地產影響因子對營建股報酬之關聯性分析。國立高雄第一科技大學，金融研究所，高雄市。
顏秀蓉，(2009)。新修訂之財務會計準則公報第十號對建築投資類股之影響。國立臺灣大學，會計研究所，台北市。
Ball, R. and Brown, P., (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.
Chen, S.J., Hsieh, C., and Vines T., (1998). Macroeconomic variables, firm-specific variables and returns to REITs. Journal of Real Estate Research, 16(3), 269-278.
Ewing, B.T. and Payne, J.E., (2005). The response of real estate investment trust returns to macroeconomic shocks. Journal of Business Research, 58(3), 293-300.
Ginevičius, R. and Podvezko, V., (2006). Assessing the financial state of construction enterprises. Technological and Economic Development of Economy, 12(3), 188-194.
Glascock, J.L. and Davidson, W.N., (1995). Performance measures of real estate firm common stock returns. Boston: Real Estate Research Issues, 2, 143-156.
Graham, M., Nikkinen, J., and Sahlström, P., (2003). Relative importance of scheduled us macroeconomic news for stock market investors. Journal of Economics and Finance, 27(2), 153-165.
Holthausen, R. and Larcker, D., (1992). The prediction of stock returns using financial statement information. Journal of Accounting and Economics, 15(2), 373-411.
Karolyi, G.A. and Sanders, A.B., (1998). The variation of economic risk premiums in real estate returns. The Journal of Real Estate Finance and Economics, 17(3), 245-262.
Kumar, A. and Lee, C., (2006). Retail investor sentiment and return comovements. Journal of Finance, 61(5), 2451-2486.
Liow, K.H., (2010). Firm value, growth, profitability and capital structure of listed real estate companies: an international perspective. Journal of Property Research, 27(2), 119-146.
Liow, K.H. and Webb, J.R., (2009). Common factors in international securitized real estate markets, Review of Financial Economics, 18(2), 80-89.
Myers, J.N., (1999). Implementing residual income valuation with linear information dynamics. The Accounting Review, 74(1), 1-28.
Nikkinen, N. and Sahlström, P., (2015). Impact of scheduled us macroeconomic news on stock market uncertainty :a multinational perspective. Multinational Finance Journal, 5(2), 129-148.
Ou, J. and Penman, S., (1989). Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics, 11(4), 295-329.
Ohlson, A.J., (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(2), 661-687.
Pastor, L. and Veronesi, P., (2012). Uncertainty about government policy and stock prices. Journal of Finance, 67(4), 1219-1264.
Patelis, A.D., (1997). Stock return predictability and the role of monetary policy. Journal of Finance, 52(5), 1951-1972.
Xu, X.E. and Chen, T., (2012). The effect of monetary policy on real estate price growth in China. Pacific-Basin Finance Journal, 20(1), 62-77.
Yu, H., (2010). China’s house price: affected by economic fundamentals or real estate policy?. Frontiers of Economics in China, 5(1), 25-51.		zh_TW