| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.author (Authors) | 曾一平 | zh_TW |
| dc.creator (作者) | 曾一平 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:06:52 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:06:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:06:52 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090351025 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35081 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 90351025 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | AbstractIn this paper, we examine the relation among different information asymmetry measures in Taiwan Stock Exchange and exploit the ability of the microstructure measures to measure asymmetric information. We also investigate the role of information asymmetry measures in affecting stock returns. With a random sample of 180 firms, we find that the market microstructure measure is significantly correlated with most of the corporate finance measures that should shed lights on the level of information asymmetry in advance. We also find that the analysts’ forecast measures have no relation with the microstructure measure. One main result is that the adverse selection risk does affect the stock returns. For the whole sample period, the adverse selection component has a significant impact on the stock returns and dominates all other variables except for the number of analysts following. Other significant measures include the volatility, firm size, leverage, and market to book ratio of equity. Although these information asymmetry measures act as competent determinants in the whole- period regression, they do not have consistent performance across quarters. The inconsistent result suggests that these measures may have diverse performance with regard to different periods. | en_US |
| dc.description.tableofcontents | none | zh_TW |
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| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090351025 | en_US |
| dc.subject (關鍵詞) | 股票報酬 | zh_TW |
| dc.subject (關鍵詞) | 資訊不對稱 | zh_TW |
| dc.subject (關鍵詞) | 流動性 | zh_TW |
| dc.subject (關鍵詞) | 風險貼水 | zh_TW |
| dc.subject (關鍵詞) | 逆選擇 | zh_TW |
| dc.subject (關鍵詞) | information asymmetry | en_US |
| dc.subject (關鍵詞) | bid-ask spread | en_US |
| dc.subject (關鍵詞) | adverse selection component | en_US |
| dc.subject (關鍵詞) | stock return | en_US |
| dc.subject (關鍵詞) | risk premium | en_US |
| dc.title (題名) | 股票報酬與資訊不對稱 | zh_TW |
| dc.title (題名) | Information Asymmetry and Stock Return | en_US |
| dc.type (資料類型) | thesis | en |
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