| dc.contributor.advisor | 郭弘卿 | zh_TW |
| dc.contributor.author (Authors) | 湯智勝 | zh_TW |
| dc.contributor.author (Authors) | Tang, Chih-Sheng | en_US |
| dc.creator (作者) | 湯智勝 | zh_TW |
| dc.creator (作者) | Tang, Chih-Sheng | en_US |
| dc.date (日期) | 2005 | en_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) | G0093353021 | en_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) | 93353021 | zh_TW |
| dc.description (描述) | 94 | zh_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/#G0093353021 | en_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 announcement | en_US |
| dc.subject (關鍵詞) | margin trading | en_US |
| dc.subject (關鍵詞) | short-selling | en_US |
| dc.subject (關鍵詞) | event study | en_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) | thesis | en |
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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.tw | zh_TW |
| dc.relation.reference (參考文獻) | 證券暨期貨市場發展基金會：http://www.sfi.org.tw | zh_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.tw | zh_TW |
