| dc.contributor.advisor | 盧敬植 | zh_TW |
| dc.contributor.advisor | Lu, Ching Chih | en_US |
| dc.contributor.author (Authors) | 柯貞伃 | zh_TW |
| dc.creator (作者) | 柯貞伃 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 15:46:41 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 15:46:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 15:46:41 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097357026 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49647 | - |
| 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) | 97357026 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 規模效應是資本資產定價模型所無法解釋的報酬異常現象中，最常被討論的一個。本文首先將探討台灣股市是否具有規模效應情形，若有，再進一步檢視其型態為何。接下來，本文試圖了解是否公司發生財務危機的機率高低會與規模溢酬有所關連，亦即，小公司因為較容易發生財務危機事件，因此平均而言，較大公司有更高的報酬率。本研究將採用Shumway(2001)的羅吉斯迴歸模型來估算公司發生財務危機事件之機率，並且比較不同變數之預測能力如何。經由實證結果，發現1986年至2009年的台灣股市具有規模效應情形，此結果與之前幾位研究者之研究結果相符。而在財務危機事件機率的部份，亦可看出發生財務危機機率較高的投資組合享有較高的報酬率，此情形在小市值規模的公司身上尤其明顯。從以上發現，我們可以推論財務危機風險確實為構成規模效應的因素之一。 | zh_TW |
| dc.description.abstract (摘要) | Size effect is one of wildly-discussed pricing anomalies that cannot be explained by capital assets pricing model, we would like to exam whether it exists in Taiwan stock markets and how its pattern is. Furthermore, we assume the higher financial distress risk a company has, the higher expected return it will earn. That is, there is positive correlation between financial distress risk and return. Following the logistic model developed by Shumway(2001), we explore the list of variables which have greater explanatory power in prediction.Through empirical data with stocks listed and ever listed on Taiwan Stock Exchange and GreTai Securities Market, we find size effect does exist. The result is consistent with previous study. We also see firms with higher distress risk tend to have higher returns, this condition is especially obvious in small companies. So we can infer that having higher distress risk is one of the reasons why small companies can earn higher returns, they are consistent with our conjecture. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 2第三節 研究方法與架構 4第二章 文獻回顧 6第一節 規模效應 6第二節 危機預測模型 8第三節 Logistic Discrete Hazard Model 10第四節 財務危機發生機率與報酬率之關連 12第三章 研究方法 14第一節 資料來源與變數定義 14第二節 研究設計與估計模型 16第四章 實證結果與分析 21第一節 敘述統計分析 21第二節 羅吉斯迴歸模型分析 23第三節 財務危機發生機率與報酬率關連分析 31第五章 結論與建議 35第一節 結論 35第二節 研究限制與建議 36參考文獻 38附錄 42 | zh_TW |
| dc.format.extent | 1113663 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097357026 | en_US |
| dc.subject (關鍵詞) | 規模效應 | zh_TW |
| dc.subject (關鍵詞) | 財務危機風險 | zh_TW |
| dc.subject (關鍵詞) | 破產機率 | zh_TW |
| dc.subject (關鍵詞) | 羅吉斯回歸 | zh_TW |
| dc.subject (關鍵詞) | size effect | en_US |
| dc.subject (關鍵詞) | financial distress risk | en_US |
| dc.subject (關鍵詞) | bankruptcy risk | en_US |
| dc.subject (關鍵詞) | logistic regression | en_US |
| dc.title (題名) | 台灣股市規模效應與發生財務危機事件機率之關連 | zh_TW |
| dc.title (題名) | The relation between size effect and financial distress risk in taiwan stock market | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 古永嘉、李鑑剛，1998，台灣股票市場報酬率之橫斷面與縱斷面混合分析，輔仁管理評論，第五卷第一期，77-96 | zh_TW |
| dc.relation.reference (參考文獻) | 林天中，1999，台灣股票市場三因子：系統風險、公司規模及淨值市價比實證研究，國立清華大學經濟學研究所未出版碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 林立屹，2005，市場權益價值與股票報酬之實證研究，中正大學企業管理所碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 林建廷，2001，台灣股票市場因子探討，國立東華大學國際經濟研究所未出版碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 余招賢，1997，台灣股票市場風險、規模、淨值/市價比、成交量週轉率與報酬之關係國立交通大學管理科學研究所碩士論文. | zh_TW |
| dc.relation.reference (參考文獻) | 李春旺、劉維琪、高孔廉，1989，股價行為與規模效應：台灣股票市場實證研究，管理評論，99-121 | zh_TW |
| dc.relation.reference (參考文獻) | 沈素梅，1999，台灣地區股票市場規模效果之實證研究，淡江大學財務金融學系未出版碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 金傑敏，1996，公司規模、權益帳面價值對市價比、前期報酬及系統風險對股票報酬之影響，私立淡江大學金融研究所碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 洪榮華、張憶萍，1994，財務比率、公司規模與股票超常報酬關係之實證研究，邁向股票上市之路理論與實務研討會論文集，國立成功大學，229-320 | zh_TW |
| dc.relation.reference (參考文獻) | 陳安琳、李文智、葉仲康，2000，系統風險規模效果對股票報酬的影響，中華管理評論，1-14 | zh_TW |
| dc.relation.reference (參考文獻) | 陳麗玲，1994，台灣股票市場中股票報酬率之橫斷面分析，成功大學會計學研究所未出版之碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 張慧玲，1999，台灣股市規模效果與股票報酬關係之實證研究，淡江大學財務金融學系未出版碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 黃昭祥，1992，台灣股市公司規模效應、本益比之值利率與價格效應交互作用之實證研究，中正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) | 詹家昌、王冠婷，2006，財務限制會影響公司系統風險嗎？，台灣管理學刊，第6卷第1期，pp. 59-84 | zh_TW |
| dc.relation.reference (參考文獻) | 楊朝成、林容如，1993，規模效果、本益比效果與一月效應：台灣股市之實證研究」，社會科學論叢，161-184 | zh_TW |
| dc.relation.reference (參考文獻) | 雷雅淇，2000，公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究，國立中央大學企業管理研究所碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 戴敏雪，2001，規模、風險與市場權益價值之實證研究，國立中正大學企業管理研究所未出版碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 盧敬植，2007，台灣股票市場及各別產業風險貼水之初步研究，證券櫃買中心報告 | zh_TW |
| dc.relation.reference (參考文獻) | Altman E., I., 1968, Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, Journal of Finance, 22, 589-609. | zh_TW |
| dc.relation.reference (參考文獻) | Banz, R., 1981, The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics, 9, pp.33-56. | zh_TW |
| dc.relation.reference (參考文獻) | Beaver, W. H., 1966. Financial Ratios as Predictors of Failure. Journal of Accounting Research , 4: 71-102. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell J. Y., Hilscher J., and Szilagyi J., 2008, In Search of Distress Risk, Journal of Finance, 63, 6, 2899-2939 | zh_TW |
| dc.relation.reference (參考文獻) | Chan, L. K. C. and Chen, N. F., 1991, Structure and Return Characteristics of Small and Large Firms, Journal of Finance, 46, 1467-1484. | zh_TW |
| dc.relation.reference (參考文獻) | Chava S., and Jarrow R. A., 2004, Bankruptcy Prediction with Industry Effects, Review of Finance, 8, 537-569. | zh_TW |
| dc.relation.reference (參考文獻) | Crosbie, Peter J., and Jeffrey R. Bohn, 2001, Modeling Default Risk (KMV, LLC, San Francisco, CA) | zh_TW |
| dc.relation.reference (參考文獻) | Dichev I. D., 1998, Is the Risk of Bankruptcy a Systematic Risk?, Journal of Finance, 53, 3, 1131-1147 | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E.F. and K.R. French , 1992 , The Cross-Section of Expected Stock Returns, Journal of Finance, 47, pp.427-465. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E.F. and K.R. French , 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, pp.3-56. | zh_TW |
| dc.relation.reference (參考文獻) | Huang Yen-Sheng, 1997, The Size Anomaly on Taiwan Stock Exchange, Applied Economics Letters, 4, 7-12. | zh_TW |
| dc.relation.reference (參考文獻) | ______, 1997, An Empirical Test of the Risk-Return Relationship on Taiwan Stock Exchange, Applied Economics Letters, 7, 229-239. | zh_TW |
| dc.relation.reference (參考文獻) | Ibbotson Associates, Stocks, Bonds, Bills, and Inflation Valuation Edition 2003 Yearbook, Chicago: Morningstar, 2003 (updated annually) | zh_TW |
| dc.relation.reference (參考文獻) | Keim, Donald B., 1983, Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence, Journal of Financial Economics, 13-32. | zh_TW |
| dc.relation.reference (參考文獻) | Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budget, Review of Economics and Statistics, 47, 13-37. | zh_TW |
| dc.relation.reference (參考文獻) | Lo, A. W., 1986, Logit Versus Discriminant Analysis: A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics, March: 151-178. | zh_TW |
| dc.relation.reference (參考文獻) | Queen M. and Roll R., 1987, Firm Mortality: Using Market Indicators to Predict Survival, Financial Analysis Journal, May-June, 9-26. | zh_TW |
| dc.relation.reference (參考文獻) | Martin, D., 1977, Early Warning of Banking Failure, Journal of Banking and Finance, 249-276. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, Robert C., 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29, 449-470. | zh_TW |
| dc.relation.reference (參考文獻) | Ohlson, J. A., 1980, Financial Ratios and the Probability Prediction of Bankruptcy. Journal of Accounting Research, 18(1): 109-131. | zh_TW |
| dc.relation.reference (參考文獻) | Reinganum, Marc R., 1981, Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings’ Yield and Market Values, Journal of Financial Economics, 19-46. | zh_TW |
| dc.relation.reference (參考文獻) | Sharpe W. F., 1964, Capital Asset Prices: A Theory of Market Equlibrium under Conditions of Risk, Journal of Finance, September, pp.425-442. | zh_TW |
| dc.relation.reference (參考文獻) | Shumway, T., 2001, Forecasting Bankruptcy More Accurately: A Simple Hazard Model, Journal of Business, 74, 1, 101-124. | zh_TW |
| dc.relation.reference (參考文獻) | Stoll, Hans R.and E. Whaley Robert, 1983, Transaction Cost and Small Firm Effect, Journal of Financial Economics, June, 57-59. | zh_TW |
| dc.relation.reference (參考文獻) | Zmijewski, M. E., 1984, Methodological Issues Related to the Estimation of Financial Distress, Journal of Accounting Research, 22, pp. 59-82. | zh_TW |
