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題名 不同資本市場氣候下資訊內涵差異之研究
作者 陳重光
Chen, Chung-Kuang
貢獻者 鄭丁旺<br>歐進士
<br>
陳重光
Chen, Chung-Kuang
關鍵詞 市場氣候
風險溢酬
盈餘反應係數
股利政策
資訊內涵
日期 2003
上傳時間 2009-09-18
摘要 本研究檢視不同市場氣候如何影響資訊內涵。我們透過分析性模式建立理論基礎，並發展可驗證的假說。實證假說如下：
1.市場氣候會影響投資組合的系統風險係數值；
2.多頭市場氣候下的盈餘反應係數大於空頭市場氣候下的盈餘反應係數；
3.股利決策受到市場氣候影響且具有不同的資訊內涵。
實證結果支持上述假說。首先，我們發現投資組合系統的風險係數受到市場氣候的影響，且空頭市場氣候下的 值大於多頭市場氣候下的 。其次，實證結果亦顯示，多頭市場氣候下的盈餘反應係數大於空頭市場氣候下的盈餘反應係數。最後，我們亦發現，在多頭市場氣候下提高股票股利且降低現金股利的公司與在空頭市場氣候下降低股票股利且提高現金股利的公司，在事件期中皆能獲得正向超額報酬。
This study reports the results that how differential market climates affect information content. We theoretically derive analytical models and empirically develop testable hypotheses.
The hypotheses are as follows：
a.Market climates will affect the systematic risk of the
portfolios.
b.The earnings response coefficients in bull markets will be
larger than in bear markets.
c.The dividend policy will be affected by market climates and
will signal differential information content.
The empirical evidence provides support for the above hypotheses. First, we find the systematic risk coefficient （beta） will be smaller in bull markets than in bear markets. Second, the earnings response coefficients in bull markets will be larger than in bear markets. Finally, both of those companies that increase stock dividends and decrease cash dividends in bull markets and those companies that increase cash dividends and decrease stock dividends in bear markets will obtain positive abcdrmal return in event periods. These empirical results indicate that the decision-making of dividend policy should consider the effect of market climates.
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描述 博士
國立政治大學
會計研究所
86353501
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0086353501
資料類型 thesis
dc.contributor.advisor 鄭丁旺<br>歐進士zh_TW
dc.contributor.advisor <br>en_US
dc.contributor.author (作者) 陳重光zh_TW
dc.contributor.author (作者) Chen, Chung-Kuangen_US
dc.creator (作者) 陳重光zh_TW
dc.creator (作者) Chen, Chung-Kuangen_US
dc.date (日期) 2003en_US
dc.date.accessioned 2009-09-18-
dc.date.available 2009-09-18-
dc.date.issued (上傳時間) 2009-09-18-
dc.identifier (其他 識別碼) G0086353501en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34179-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 86353501zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) 本研究檢視不同市場氣候如何影響資訊內涵。我們透過分析性模式建立理論基礎，並發展可驗證的假說。實證假說如下：
1.市場氣候會影響投資組合的系統風險係數值；
2.多頭市場氣候下的盈餘反應係數大於空頭市場氣候下的盈餘反應係數；
3.股利決策受到市場氣候影響且具有不同的資訊內涵。
實證結果支持上述假說。首先，我們發現投資組合系統的風險係數受到市場氣候的影響，且空頭市場氣候下的 值大於多頭市場氣候下的 。其次，實證結果亦顯示，多頭市場氣候下的盈餘反應係數大於空頭市場氣候下的盈餘反應係數。最後，我們亦發現，在多頭市場氣候下提高股票股利且降低現金股利的公司與在空頭市場氣候下降低股票股利且提高現金股利的公司，在事件期中皆能獲得正向超額報酬。		zh_TW
dc.description.abstract (摘要) This study reports the results that how differential market climates affect information content. We theoretically derive analytical models and empirically develop testable hypotheses.
The hypotheses are as follows：
a.Market climates will affect the systematic risk of the
portfolios.
b.The earnings response coefficients in bull markets will be
larger than in bear markets.
c.The dividend policy will be affected by market climates and
will signal differential information content.
The empirical evidence provides support for the above hypotheses. First, we find the systematic risk coefficient （beta） will be smaller in bull markets than in bear markets. Second, the earnings response coefficients in bull markets will be larger than in bear markets. Finally, both of those companies that increase stock dividends and decrease cash dividends in bull markets and those companies that increase cash dividends and decrease stock dividends in bear markets will obtain positive abcdrmal return in event periods. These empirical results indicate that the decision-making of dividend policy should consider the effect of market climates.		en_US
dc.description.tableofcontents 目 錄

1. 緒論 1
1.1 研究動機 1
1.2 研究問題與觀念性架構 2
1.3 研究目的與預期貢獻 3
1.4 論文架構 4
2. 不同資本市場氣候下系統風險係數差異之研究 5
2.1 前言 5
2.2 相關文獻探討 6
2.3 分析模型與實證假說 9
2.3.1 絕對風險規避係數與財富間關係的假設 9
2.3.2建立絕對風險規避係數與風險溢酬間的關係 11
2.3.3建立市場氣候與風險溢酬間的關係 12
2.4 樣本資料與實證模式 17
2.4.1 樣本資料 18
2.4.2 多頭市場與空頭市場的區分方法 19
2.4.3 實證模式與變數衡量 21
2.5 實證結果 21
2.6 敏感性分析 23
2.6.1 其他區分市場氣候的方法 23
2.6.1.1 以市場趨勢來作為區分標準 23
2.6.1.2 以市場月報酬率的正負值作為區分標準 24
2.6.1.3 將樣本依市場月報酬率大小區分為多頭期間 25
、空頭期間以及盤整期間 25
2.6.1.4 將樣本依 區分為多頭期間、空頭
期間以及盤整期間 25
2.6.2 不同期間 27
2.7 本章結論 29
3. 不同資本市場氣候下盈餘反應係數差異之研究 31
3.1 前言 31
3.2 盈餘反應係數影響因素相關文獻 31
3.3 分析性模式與實證假說 34
3.4 研究設計 38
3.4.1 ERCs實證方法相關文獻探討 38
3.4.1.1 未預期盈餘衡量誤差 38
3.4.1.2 反迴歸模式 40
3.4.1.3 聯立迴歸模式 42
3.4.2 研究期間 43
3.4.3 資料來源與樣本篩選標準 44
3.4.4 實證模式 45
3.5 實證結果 48
3.6 本章研究結論 50
4. 不同資本市場氣候下股利政策資訊內涵差異之研究 53
4.1 前言 53
4.2 相關文獻 53
4.3 分析模型與實證假說 58
4.3.1 模型設定 58
4.3.2 建立研究命題與實證假說 60
4.4 研究設計 62
4.4.1 研究期間 62
4.4.2 資料來源與樣本篩選標準 62
4.4.3 樣本分群 63
4.4.4 實證研究設計 65
4.4.4.1 檢定實證假說4.1 65
4.4.4.2 檢定實證假說4.2 66
4.5 實證結果 66
4.6 本章研究結論 72
5. 結論與建議 75
5.1 本研究結論 75
5.2 對後續研究的建議 78
本研究附圖 80
本研究附表 88
本研究附錄 129
參考文獻 133

圖目錄

圖1.1 觀念性架構 80
圖2.1 臺灣證券市場加權股價指數月K線圖
(1996年1月到2001年10月) 81
圖2.2 CAPM特性線 81
圖3.1 分析模型之時間線（time line） 82
圖4.1 單期模型廠商決策程序時間線 83
圖4.2 第一個多頭期間（1996年1月∼1997年8月）實驗組與
對照組事件期樣本平均累計異常報酬（ ）圖 84
圖4.3 第二個多頭期間（1999年3月∼2000年4月）實驗組與
對照組事件期樣本平均累計異常報酬（ ）圖 85
圖4.4 第一個空頭期間（1997年9月∼1999年2月）實驗組與
對照組事件期樣本平均累計異常報酬（ ）圖 86
圖4.5 第二個空頭期間（2000年5月∼2001年10月）實驗組與
對照組事件期樣本平均累計異常報酬（ ）圖 87


表目錄

表2.1 產業群組所包含樣本公司及樣本公司數彚總表 88
表2.2 多頭市場與空頭市場區分方法 90
表2.3 敘述統計 91
表2.4 變數間Pearson相關矩陣 92
表2.5 產業群組投資組合實證結果彙總表 94
表2.6 1996年1月到2001年10月月K線轉折點彙總表 95
表2.7在不同市場氣候區分方式下產業群組投資組合實證結果彙總表 96
表2.8 敏感性分析新研究公司樣本與所屬產業群組彙總表 100
表2.9 在不同市場氣候區分方式下敏感性分析實證期間月份數與交易
日數彙總表 104
表2.10 在不同市場氣候區分方式下產業群組投資組合實證結果彙總表 105
表3.1 產業群組內所包含公司代碼以及樣本公司數目彙總表 110
表3.2 產業群組每股未預期盈餘變異數敘述統計表 111
表3.3 實證模式變數定義與衡量彙總表 112
表3.4 敘述統計 113
表3.5 變數相關分析 115
表3.6 實證模式係數估計表 117
表3.7 實證模式係數估計表 118
表4.1 不同市場氣候下實驗組與對照組的操作性定義 119
表4.2 研究期間內不同市場氣候下各階段所包含樣本的產業分佈彙總表 120
表4.3 不同市場氣候期間實驗組與對照組所包含樣本的產業分佈彙總表 121
表4.4 不同市場氣候期間實驗組與對照組所包含樣本的現金股利差異與
股票股利差異的敘述統計 123
表4.5 第一個多頭期間（1996年1月∼1997年8月）實驗組與對照組事
件期樣本平均累計異常報酬（ ）實證結果 125
表4.6第二個多頭期間（1999年3月∼2000年4月）實驗組與對照組事
件期樣本平均累計異常報酬（ ）實證結果 126
表4.7第一個空頭期間（1997年9月∼1999年2月）實驗組與對照組事
件期樣本平均累計異常報酬（ ）實證結果 127
表4.8第二個空頭期間（2000年5月∼2001年10月）實驗組與對照組事
件期樣本平均累計異常報酬（ ）實證結果 128		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0086353501en_US
dc.subject (關鍵詞) 市場氣候zh_TW
dc.subject (關鍵詞) 風險溢酬zh_TW
dc.subject (關鍵詞) 盈餘反應係數zh_TW
dc.subject (關鍵詞) 股利政策zh_TW
dc.subject (關鍵詞) 資訊內涵zh_TW
dc.title (題名) 不同資本市場氣候下資訊內涵差異之研究zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 參考文獻zh_TW
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