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題名 盈餘宣告前之融券信用交易
作者 湯智勝
Tang, Chih-Sheng
貢獻者 郭弘卿
湯智勝
Tang, Chih-Sheng
關鍵詞 盈餘宣告
信用交易
融券
事件研究法
earnings announcement
margin trading
short-selling
event study
日期 2005
上傳時間 18-Sep-2009 19:02:58 (UTC+8)
摘要 本研究主要探討兩項關於融券交易的議題。首先,本研究發現巨量融券與續後的股價反應呈現顯著的負相關。再者,進一步探究盈餘宣告前的融券信用交易是否與非盈餘宣告的時間存有差異。本研究是採用在台灣證券交易所上市之股票並觀察其盈餘宣告前五日之融券交易行為。實證結果發現盈餘宣告前的融券與盈餘宣告後的股價反應存在負向關係,顯示可能有私有資訊的交易者在盈餘宣告前進行融券交易。接下來本研究進一步使用基本財務比率中的帳面價值對市價比將樣本區分成價值型與成長型之股票,發現擁有較低比率之公司較受融券交易者之青睞。本研究希望研究成果能對證券市場主管機關在制訂法律與提供更即時、更廣泛的信用交易資訊揭露給投資大眾參考。
This research examines two issues of short-selling transactions.First,we find a strong negative relationship between short interest and subsequent abnormal returns.The second is whether short-selling in the days leading up to an announcement differs from short-selling in times when no announcement is imminent.We examine short-selling behavior of investors in the five days prior to the earnings announcements of Taiwan Stock Exchange (TSE)listed firms.The tests provide evidence that there might exist informed trading in pre-announcement short-selling because they reveal that abnormal short-selling is significantly linked to post-announcement stock returns.A high level of unusual pre-announcement short-selling is an indicator of future stock returns at earnings announcement.Also,the tests indicate that short-sellers typically are more active in stocks with low book-to-market ratio valuation.We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short-selling to investors.
參考文獻 一、中文部份
王慧雲,1998,年度盈餘宣告資訊效果的實證研究,國立中山大學財務管理系未出版碩士論文。
王麗真,2004,盈餘宣告資訊效果與公司股價行為之研究,銘傳大學財務金融學系未出版碩士論文。
王正翔,2002,盈餘宣告日前後未預期盈餘及股價報酬率之關聯性研究,東海大學管理碩士學程在職進修專班未出版碩士論文。
李釗芹,2000,台灣上市公司自行宣告盈餘資訊內涵之研究,東海大學管理研究所未出版碩士論文。
余尚武,1986,台灣證券交易市場股票上市公司盈餘宣告所含資訊內容之研究,國立台灣大學商學研究所未出版碩士論文。
周燕玲,2001,台灣股票市場融券行為之實證研究,東海大學經濟系未出版碩士論文。
姚復章,1996,融券餘額與超額報酬關係之研究,國立中正大學國際經濟所未出版碩士論文。
許哲源,2002,從季盈餘宣告觀察交易量之資訊內涵,東海大學企管研究所未出版碩士論文。
葉怡芬,2004,信用交易之資訊內涵及其投資策略獲利性之研究,國立成功大學財務金融研究所未出版碩士論文。
羅順傑,2001,現金增資期間融券行為之研究,國立政治大學會計系未出版碩士論文。
二、英文部份
Aitken, M., A. Frino, M. McCorry, and P. Swan. 1998. Short sales are almost instantaneously bad news: evidence from the Australian stock exchange. Journal of Finance 53: 2205–2223.
Asquith, P., and L. Meulbroek. 1996. An empirical investigation of short interest.Working paper, Harvard Business School.
Ball, R., and P. Brown. 1968. An empirical evaluation of accounting numbers. Journal of Accounting Research 6: 159–178.
Bamber, L. 1987. Unexpected earnings, firm size, and trading volume around quarterly earnings announcements. The Accounting Review 62(July): 510–532.
Beaver, W., R. Clarke, and W. Wright. 1979. The association between unsystematic security returns and the magnitude of earnings forecast errors. Journal of Accounting Research: 316–340.
Beaver, W., R. Lambert, and D. Morse. 1980. The information content of security prices. Journal of Accounting and Economics 2: 3–28.
Bernard, V., and J. Thomas. 1989. Post-earnings-announcement drift: Delayed price response or risk premium. Journal of Accounting Research 27(supplement): 1–36.
Bhattacharya, A., and G. Gallinger. 1991. Causality tests of short sales on the New York Stock Exchange. Journal of Financial Research 14: 277–286.
Brent, A., D. Morse, and E. Stice. 1990. Short interest: Explanations and tests. Journal of Financial and Quantitative Analysis 25: 273–289.
Chambers, A., and P. Stephen. 1984. Timeliness of reporting and the stock price reaction to earnings announcements. Journal of Accounting Research 22:21–47.
Chen, H., and V. Singal. 2003. Role of speculative short sales in price formation: theCase of the weekend effect. Journal of Finance 58: 685–705.
Choie, K., and J. Hwang. 1994. Profitability of short-selling and exploitability of short information. Journal of Portfolio Management 20: 33–38.
Conrad, J. 1986. The price effect of short sales restrictions: some empirical evidence.Ph. D. dissertation, University of Chicago.
Dechow, P., A. Hutton, L. Meulbroek, and R. Sloan. 2001. Short sellers, fundamental analysis and stock returns. Journal of Financial Economics 61: 77–106.
Diamond, W., and R. Verrecchia. 1987. Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics 18: 277–311.
Easton, P., and T. Harris. 1991. Earnings as an explanatory variable for return. Journal of Accounting Research 29: 19–36.
Figlewski, S. 1981. The informational effect of restrictions of short sales: some empirical evidence. Journal of Financial and Quantitative Analysis 16: 463–476.
Figlewski, S., and G. Webb. 1993. Options, short sales, and market completeness. Journal of Finance 48: 761–777.
Fama, F., and K. French. 1992. The cross-section of expected stock returns. Journal of Finance 47: 427–465.
Fama, F., and K. French. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50: 131–155.
Judge, G., R. Hill, W. Griffiths, and T. Lee. 1985. The theory and practice of econometrics, New York, NY: John Wiley &Sons.
Hemang, D., K. Ramesh, S. Thiagarajan, and B. Balachandran. 2002. An investigation of the informational role of short interest in Nasdaq market. Journal of Finance 57: 2263–2287.
Lakonishok, J., S. Andrei, and V. Robert. 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49: 1541–1578.
Latane, H., and C. Jones. 1977. Standardized unexpected earnings—A progress report. Journal of Finance 32: 1457–1465.
Lev, B., and J. Patell. 1989. On the usefulness of earnings research: lessons and directions from two decades of empirical research. Journal of Accounting Research 27: 153–201.
Litzenberger, R., and M. Richard. 1977. The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings. Journal of Accounting Research 15: 207–230.
Rendleman, R., C. Jones, and H. Latane. 1982. Empirical anomalies based on earnings’ yields and market values. Journal of Financial Economics 10: 269–287.
Safieddine, A., and W. Wilhelm Jr. 1996. An empirical investigation of short-selling activity prior to seasoned equity offerings. Journal of Finance 51: 729–749.
Senchack, A., and L. Starks. 1993. Short-sale restrictions and market reaction to short-interest announcements. Journal of Financial and Quantitative Analysis 28: 177–194.
Skinner, D., and R. Sloan. 2002. Earnings surprises, growth expectations, and stock returns or don’t let an earnings torpedo sink your portfolio. Review of Accounting Studies 7: 289–312.
Strong, N., and M. Walker. 1993. The explanatory power of earnings for stock returns. The Accounting Review 68: 385–399.
Vu, J., and P. Caster. 1987. Why all the interest in short interest ? Financial Analysts Journal 43: 76–79.
Woolridge, J., and A. Dickinson. 1994. Short selling and common stock prices. Financial Analysts Journal 50: 30–38.
三、網站資料
台灣證券交易所網站:http://www.tse.com.tw
證券暨期貨市場發展基金會:http://www.sfi.org.tw
證券暨期貨法令判解查詢系統:http://www.selaw.com.tw
描述 碩士
國立政治大學
會計研究所
93353021
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093353021
資料類型 thesis
dc.contributor.advisor 郭弘卿zh_TW
dc.contributor.author (Authors) 湯智勝zh_TW
dc.contributor.author (Authors) Tang, Chih-Shengen_US
dc.creator (作者) 湯智勝zh_TW
dc.creator (作者) Tang, Chih-Shengen_US
dc.date (日期) 2005en_US
dc.date.accessioned 18-Sep-2009 19:02:58 (UTC+8)-
dc.date.available 18-Sep-2009 19:02:58 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 19:02:58 (UTC+8)-
dc.identifier (Other Identifiers) G0093353021en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36635-
dc.description (描述) 碩士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) 93353021zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) 本研究主要探討兩項關於融券交易的議題。首先,本研究發現巨量融券與續後的股價反應呈現顯著的負相關。再者,進一步探究盈餘宣告前的融券信用交易是否與非盈餘宣告的時間存有差異。本研究是採用在台灣證券交易所上市之股票並觀察其盈餘宣告前五日之融券交易行為。實證結果發現盈餘宣告前的融券與盈餘宣告後的股價反應存在負向關係,顯示可能有私有資訊的交易者在盈餘宣告前進行融券交易。接下來本研究進一步使用基本財務比率中的帳面價值對市價比將樣本區分成價值型與成長型之股票,發現擁有較低比率之公司較受融券交易者之青睞。本研究希望研究成果能對證券市場主管機關在制訂法律與提供更即時、更廣泛的信用交易資訊揭露給投資大眾參考。zh_TW
dc.description.abstract (摘要) This research examines two issues of short-selling transactions.First,we find a strong negative relationship between short interest and subsequent abnormal returns.The second is whether short-selling in the days leading up to an announcement differs from short-selling in times when no announcement is imminent.We examine short-selling behavior of investors in the five days prior to the earnings announcements of Taiwan Stock Exchange (TSE)listed firms.The tests provide evidence that there might exist informed trading in pre-announcement short-selling because they reveal that abnormal short-selling is significantly linked to post-announcement stock returns.A high level of unusual pre-announcement short-selling is an indicator of future stock returns at earnings announcement.Also,the tests indicate that short-sellers typically are more active in stocks with low book-to-market ratio valuation.We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short-selling to investors.en_US
dc.description.tableofcontents 目錄I
圖目錄II
表目錄III
第一章 緒論1
第一節 研究動機1
第二節 研究問題4
第三節 論文架構5
第二章 文獻探討6
第一節 盈餘宣告6
第二節 融券信用交易11
第三節 融券信用交易制度17
第三章 研究方法22
第一節 研究假說22
第二節 研究模型25
第三節 變數衡量27
第四節 資料來源與處理34
第五節 分析方法36
第四章 實證分析結果38
第一節 事件研究法38
第二節 複迴歸分析46
第三節 基本財務比率與融券關係之分析56
第五章 結論、研究限制與建議58
第一節 研究結論58
第二節 研究限制60
第三節 後續研究建議61
參考文獻62

圖目錄
圖3-1 巨量融券事件分析圖30
圖4-1標準化之每日平均異常報酬率-相對融券指標39
圖4-2標準化之每日累計平均異常報酬率-相對融券指標41
圖4-3標準化之每日平均異常報酬率-絕對融券指標43
圖4-4標準化之每日累計平均異常報酬率-絕對融券指標45
圖4-5 平均每一千股流通在外股數之融券比率46
圖4-6 相對融券比率:每日融券股數除以當日股票交易量47

表目錄
表4-1 標準化之每日平均異常報酬率-相對融券指標39
表4-2 標準化每日累計平均異常報酬率-相對融券指標41
表4-3標準化之每日平均異常報酬率-絕對融券指標43
表4-4 標準化每日累計平均異常報酬率-絕對融券指標44
表4-5迴歸式(1)敘述性統計分析表49
表4-6 迴歸式(1)各變數相關係數表49
表4-7 迴歸式(1)估計係數表50
表4-8 迴歸式(2)敘述性統計分析表51
表4-9 迴歸式(2)各變數相關係數表52
表4-10 迴歸式(2)估計係數表52
表4-11 卡方考驗表55
表4-12 依帳面價值市價比分組57
表5-1 假說實證結果彙總58
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093353021en_US
dc.subject (關鍵詞) 盈餘宣告zh_TW
dc.subject (關鍵詞) 信用交易zh_TW
dc.subject (關鍵詞) 融券zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) earnings announcementen_US
dc.subject (關鍵詞) margin tradingen_US
dc.subject (關鍵詞) short-sellingen_US
dc.subject (關鍵詞) event studyen_US
dc.title (題名) 盈餘宣告前之融券信用交易zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文部份zh_TW
dc.relation.reference (參考文獻) 王慧雲,1998,年度盈餘宣告資訊效果的實證研究,國立中山大學財務管理系未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 王麗真,2004,盈餘宣告資訊效果與公司股價行為之研究,銘傳大學財務金融學系未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 王正翔,2002,盈餘宣告日前後未預期盈餘及股價報酬率之關聯性研究,東海大學管理碩士學程在職進修專班未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 李釗芹,2000,台灣上市公司自行宣告盈餘資訊內涵之研究,東海大學管理研究所未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 余尚武,1986,台灣證券交易市場股票上市公司盈餘宣告所含資訊內容之研究,國立台灣大學商學研究所未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 周燕玲,2001,台灣股票市場融券行為之實證研究,東海大學經濟系未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 姚復章,1996,融券餘額與超額報酬關係之研究,國立中正大學國際經濟所未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 許哲源,2002,從季盈餘宣告觀察交易量之資訊內涵,東海大學企管研究所未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 葉怡芬,2004,信用交易之資訊內涵及其投資策略獲利性之研究,國立成功大學財務金融研究所未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 羅順傑,2001,現金增資期間融券行為之研究,國立政治大學會計系未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 二、英文部份zh_TW
dc.relation.reference (參考文獻) Aitken, M., A. Frino, M. McCorry, and P. Swan. 1998. Short sales are almost instantaneously bad news: evidence from the Australian stock exchange. Journal of Finance 53: 2205–2223.zh_TW
dc.relation.reference (參考文獻) Asquith, P., and L. Meulbroek. 1996. An empirical investigation of short interest.Working paper, Harvard Business School.zh_TW
dc.relation.reference (參考文獻) Ball, R., and P. Brown. 1968. An empirical evaluation of accounting numbers. Journal of Accounting Research 6: 159–178.zh_TW
dc.relation.reference (參考文獻) Bamber, L. 1987. Unexpected earnings, firm size, and trading volume around quarterly earnings announcements. The Accounting Review 62(July): 510–532.zh_TW
dc.relation.reference (參考文獻) Beaver, W., R. Clarke, and W. Wright. 1979. The association between unsystematic security returns and the magnitude of earnings forecast errors. Journal of Accounting Research: 316–340.zh_TW
dc.relation.reference (參考文獻) Beaver, W., R. Lambert, and D. Morse. 1980. The information content of security prices. Journal of Accounting and Economics 2: 3–28.zh_TW
dc.relation.reference (參考文獻) Bernard, V., and J. Thomas. 1989. Post-earnings-announcement drift: Delayed price response or risk premium. Journal of Accounting Research 27(supplement): 1–36.zh_TW
dc.relation.reference (參考文獻) Bhattacharya, A., and G. Gallinger. 1991. Causality tests of short sales on the New York Stock Exchange. Journal of Financial Research 14: 277–286.zh_TW
dc.relation.reference (參考文獻) Brent, A., D. Morse, and E. Stice. 1990. Short interest: Explanations and tests. Journal of Financial and Quantitative Analysis 25: 273–289.zh_TW
dc.relation.reference (參考文獻) Chambers, A., and P. Stephen. 1984. Timeliness of reporting and the stock price reaction to earnings announcements. Journal of Accounting Research 22:21–47.zh_TW
dc.relation.reference (參考文獻) Chen, H., and V. Singal. 2003. Role of speculative short sales in price formation: theCase of the weekend effect. Journal of Finance 58: 685–705.zh_TW
dc.relation.reference (參考文獻) Choie, K., and J. Hwang. 1994. Profitability of short-selling and exploitability of short information. Journal of Portfolio Management 20: 33–38.zh_TW
dc.relation.reference (參考文獻) Conrad, J. 1986. The price effect of short sales restrictions: some empirical evidence.Ph. D. dissertation, University of Chicago.zh_TW
dc.relation.reference (參考文獻) Dechow, P., A. Hutton, L. Meulbroek, and R. Sloan. 2001. Short sellers, fundamental analysis and stock returns. Journal of Financial Economics 61: 77–106.zh_TW
dc.relation.reference (參考文獻) Diamond, W., and R. Verrecchia. 1987. Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics 18: 277–311.zh_TW
dc.relation.reference (參考文獻) Easton, P., and T. Harris. 1991. Earnings as an explanatory variable for return. Journal of Accounting Research 29: 19–36.zh_TW
dc.relation.reference (參考文獻) Figlewski, S. 1981. The informational effect of restrictions of short sales: some empirical evidence. Journal of Financial and Quantitative Analysis 16: 463–476.zh_TW
dc.relation.reference (參考文獻) Figlewski, S., and G. Webb. 1993. Options, short sales, and market completeness. Journal of Finance 48: 761–777.zh_TW
dc.relation.reference (參考文獻) Fama, F., and K. French. 1992. The cross-section of expected stock returns. Journal of Finance 47: 427–465.zh_TW
dc.relation.reference (參考文獻) Fama, F., and K. French. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50: 131–155.zh_TW
dc.relation.reference (參考文獻) Judge, G., R. Hill, W. Griffiths, and T. Lee. 1985. The theory and practice of econometrics, New York, NY: John Wiley &Sons.zh_TW
dc.relation.reference (參考文獻) Hemang, D., K. Ramesh, S. Thiagarajan, and B. Balachandran. 2002. An investigation of the informational role of short interest in Nasdaq market. Journal of Finance 57: 2263–2287.zh_TW
dc.relation.reference (參考文獻) Lakonishok, J., S. Andrei, and V. Robert. 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49: 1541–1578.zh_TW
dc.relation.reference (參考文獻) Latane, H., and C. Jones. 1977. Standardized unexpected earnings—A progress report. Journal of Finance 32: 1457–1465.zh_TW
dc.relation.reference (參考文獻) Lev, B., and J. Patell. 1989. On the usefulness of earnings research: lessons and directions from two decades of empirical research. Journal of Accounting Research 27: 153–201.zh_TW
dc.relation.reference (參考文獻) Litzenberger, R., and M. Richard. 1977. The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings. Journal of Accounting Research 15: 207–230.zh_TW
dc.relation.reference (參考文獻) Rendleman, R., C. Jones, and H. Latane. 1982. Empirical anomalies based on earnings’ yields and market values. Journal of Financial Economics 10: 269–287.zh_TW
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dc.relation.reference (參考文獻) 三、網站資料zh_TW
dc.relation.reference (參考文獻) 台灣證券交易所網站:http://www.tse.com.twzh_TW
dc.relation.reference (參考文獻) 證券暨期貨市場發展基金會:http://www.sfi.org.twzh_TW
dc.relation.reference (參考文獻) 證券暨期貨法令判解查詢系統:http://www.selaw.com.twzh_TW