| dc.contributor.advisor | 盧敬植 | zh_TW |
| dc.contributor.advisor | Lu, Ching Chih | en_US |
| dc.contributor.author (作者) | 柯貞伃 | zh_TW |
| dc.creator (作者) | 柯貞伃 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-十二月-2010 15:46:41 (UTC+8) | - |
| dc.date.available | 8-十二月-2010 15:46:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-十二月-2010 15:46:41 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 |
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