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題名 台灣證券市場財務危機與異常報酬之關係-以總資產成長率投資策略為例
Anomalies and financial distress in Taiwan stocl market- Asset growth strategy作者 郭政翰 貢獻者 張興華,江彌修
郭政翰關鍵詞 總資產成長率
TCRI
異常報酬率
Asset growth rate
TCRI
Abnormal Return日期 2012 上傳時間 22-Jul-2013 11:16:48 (UTC+8) 摘要 本研究採用總資產成長率作為交易策略，而其較資本支出更能完整呈現公司經營活動的特性，近來更受到學者的重視。此外，我們更引進信用風險的概念，利用台灣經濟新報資料庫(TEJ)所發布的TCRI，作為我們分類樣本的依據，在不同信評指標與資產規模分類下，對單一群組，買進總資產成長率較低的投資組合，並同時賣出總資產成長率較高的投資組合。本研究實證後發現，從2000年到2009年不同信用風險與資產規模的分類群組，可藉由此交易策略得到顯著的異常報酬。主要的原因可推論為「過度投資」與「投資不足」的情形，而特定信用風險的分類，對於公司取得資金的難易也會有所影響，當資金取得容易且管理階層存在代理問題時，異常報酬就會顯著，譬如說低度風險中型公司，其容易取得資金進行過度投資，與公司未來的股價報酬呈現負向關係；又譬如說低度風險大型公司，資產規模龐大，可以視為各產業前幾大公司，雖然資金取得容易，但完善的內控制度使該分類下的交易策略，無法得到顯著的異常報酬。我們可以推論利用資產規模與信用風險進行分類，在某些特定群組下，總資產成長率的交易策略可以得到顯著的異常報酬。
The research use credit rating index and asset size to classify our sample and set up variety of investment portfolios. In each portfolio, we use asset growth rate to be our investment strategy. Asset growth rate could be known as a good indicator to measure the company growth in the future. By means of forming hedged portfolio, we want to exam the anomalies in credit rating category combined with asset size. We find statistical significance exist in different investment portfolios.參考文獻 1. Ahn, S. and Walker, M.D.,2007, Corporate Governance and the Spinoff Decision. Journal of Corporate Finance, 13, 76-93.2. Andrew Ang, Robert J. Hordick, Yuhang Xing, and Xiaoyan Zhang, 2006 ,The Cross-Section of Volatility and Expected Returns, The Journal of Finance, 51 , 259-299. 3. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2012, Anomalies and financial distress. Journal of Financial Economics. 108(1), 139-159.4. Ball,R.and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research. 6(2), 159-178.5. Banz, R.W., 1981, The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1), 3-18.6. Basu, S., 1983, The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics. 12(1), 129-156.7. Beaver, W. H., 1966, Financial Ratios as Predictors of Failure, Journal of Accounting Research, 4, 71-1118. Chu, Hsiang-Hui, Kuan-Cheng Ko, Shinn-Juh Lin and Hsiao-Wei Ho, 2013, Credit Rating Anomaly in Taiwan Stock Market,9. Asia-Pacific Journal of Financial Studies,42(3), 403-441.9. Cooper, M.J., H. Gulen,and M.J. Schill, 2008, Asset Growth and the Cross-Section of Stock Returns. The Journal of Finance. 63(4), 1609-1651.10. Dichev, I.D., 1998, Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance. 53(3), 1131-1147.11. Diether, K. B., Malloy, C. J., Scherbina, A., 2002. Difference of opinion and the crosssection of stock returns. The Journal of Finance 57(5), 2113-2141 .12. Doukas, John and Nickolaus G. Travlos.,1998. The Effect of Corporate Multinationalism on Shareholders’ Wealth: Evidence from International Acquisitions, The Journal of Finance43(5) 1161-1175.13. Fama, E.F. ,and K.R. French, 1992, The Cross-Section of Expected Stock Returns. The Journal of Finance. 47(2), 427-465.14. Fama, E.F. ,and K.R. French, 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33(1), 3-56.15. Fama, E.F, ,and Macbeth J.D., 1993 , Risk,Return,and Equlibrium：Empirical tests,The Journal of Political Economy, 81(3),607-636 16. Jegadeesh, N. ,and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. 48(1), 65-91.17. Jensen, M. C. and W. H. Meckling ,1976,Theory of the Firm: Managerial Behavior, Agency Cost and Ownership Structure.Journal of Financial Economics,3, 305-360.18. Jensen, M. C., 1986, Agency costs of free cash flow, corporate finance, and takeover.American Economic Review, 76: 323-329.19. Kisgen, D. J., 2007, The Influence of Credit Ratings on Corporate Capital Structure Decisions, Journal of Applied Corporate Finance,20. Lakonishok, J. and Shapiro, A. C., 1986, Systematic risk, total risk and size as determinants of stock market returns, ,Journal of Banking and Finance, 10, 115-132.21. Lang, L. and Litzenberger, R. 1989. Dividend announcements: Cash flow signalling vs.free cash flow hypothesis?. Journal of Financial Economics, 24,181-191.22. Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics. 47(1), 13-37.23. Rosenberg, B., K. Reid ,and R. Lanstein, 1985, Persuasive evidence of market inefficiency. The Journal of Portfolio Management. 11(3), 9-16.24. Ross, Stephen, 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3), 341–36025. Rozeff, M.S. ,and M.A. Zaman, 1998, Overreaction and Insider Trading: Evidence from Growth and Value Portfolios. The Journal of Finance. 53(2), 701-716.26. Sharpe, W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance. 19(3), 425-442.27. Sloan, R.G., 1996, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review. 71(3), 289-315.28. Titman, S., K.C.J. Wei ,and F. Xie, 2004, Capital Investments and Stock Returns. The Journal of Financial and Quantitative Analysis. 39(4), 677-700..29. 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.30. 陳安琳、李文智、葉仲康, 2000, 系統風險效果對股票報酬的影響, 中華管理評論, 3(4),1-14.31. 雷雅淇,2000, 公司規模、股價、益本比、淨值市價比與股價報酬率關係之研究, 國立中央大學企管所碩士論文.32. 張榮、陳銀忠、周勇,2006，上市公司資產規模對公司信用風險的影響，統計與決策,2,61-62 描述 碩士
國立政治大學
金融研究所
99352013
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099352013 資料類型 thesis dc.contributor.advisor 張興華,江彌修 zh_TW dc.contributor.author (Authors) 郭政翰 zh_TW dc.creator (作者) 郭政翰 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 22-Jul-2013 11:16:48 (UTC+8) - dc.date.available 22-Jul-2013 11:16:48 (UTC+8) - dc.date.issued (上傳時間) 22-Jul-2013 11:16:48 (UTC+8) - dc.identifier (Other Identifiers) G0099352013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58936 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 99352013 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本研究採用總資產成長率作為交易策略，而其較資本支出更能完整呈現公司經營活動的特性，近來更受到學者的重視。此外，我們更引進信用風險的概念，利用台灣經濟新報資料庫(TEJ)所發布的TCRI，作為我們分類樣本的依據，在不同信評指標與資產規模分類下，對單一群組，買進總資產成長率較低的投資組合，並同時賣出總資產成長率較高的投資組合。本研究實證後發現，從2000年到2009年不同信用風險與資產規模的分類群組，可藉由此交易策略得到顯著的異常報酬。主要的原因可推論為「過度投資」與「投資不足」的情形，而特定信用風險的分類，對於公司取得資金的難易也會有所影響，當資金取得容易且管理階層存在代理問題時，異常報酬就會顯著，譬如說低度風險中型公司，其容易取得資金進行過度投資，與公司未來的股價報酬呈現負向關係；又譬如說低度風險大型公司，資產規模龐大，可以視為各產業前幾大公司，雖然資金取得容易，但完善的內控制度使該分類下的交易策略，無法得到顯著的異常報酬。我們可以推論利用資產規模與信用風險進行分類，在某些特定群組下，總資產成長率的交易策略可以得到顯著的異常報酬。 zh_TW dc.description.abstract (摘要) The research use credit rating index and asset size to classify our sample and set up variety of investment portfolios. In each portfolio, we use asset growth rate to be our investment strategy. Asset growth rate could be known as a good indicator to measure the company growth in the future. By means of forming hedged portfolio, we want to exam the anomalies in credit rating category combined with asset size. We find statistical significance exist in different investment portfolios. en_US dc.description.tableofcontents 摘要...............................................I第一章 緒論.....................................1 第一節 研究背景.............................1 第二節 研究動機.............................2第三節 研究目的.............................4第二章 理論探討與文獻回顧.......................7 第一節 異常現象.............................7 第二節 總資產成長率.........................8 第三節 財務危機.............................10第三章 研究方法與研究資料描述...................12 第一節 研究區間與資料來源...................12 第二節 信用評等與TCRI......................13 第三節 研究分析方法.........................18第四章 實證結果.................................22 第一節 敘述統計分析.........................22 第二節 投資策略之實證分析...................24 第三節 信用評等調降之迴歸分析...............34第五章 結論與建議...............................37參考文獻...........................................40附錄一 持有期間為6個月之等權重投資組合...........44附錄二 持有期間為6個月之市值加權投資組合.........46附錄三 持有期間為9個月之等權重投資組合...........48附錄四 持有期間為9個月之市值加權投資組合.........50附錄五 持有期間為10個月之等權重投資組合..........52附錄六 持有期間為10個月之市值加權投資組合........54附錄七 持有期間為1年之等權重投資組合.............56附錄六 持有期間為1年之市值加權投資組合...........58 zh_TW dc.format.extent 1060247 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/#G0099352013 en_US dc.subject (關鍵詞) 總資產成長率 zh_TW dc.subject (關鍵詞) TCRI zh_TW dc.subject (關鍵詞) 異常報酬率 zh_TW dc.subject (關鍵詞) Asset growth rate en_US dc.subject (關鍵詞) TCRI en_US dc.subject (關鍵詞) Abnormal Return en_US dc.title (題名) 台灣證券市場財務危機與異常報酬之關係-以總資產成長率投資策略為例 zh_TW dc.title (題名) Anomalies and financial distress in Taiwan stocl market- Asset growth strategy en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Ahn, S. and Walker, M.D.,2007, Corporate Governance and the Spinoff Decision. Journal of Corporate Finance, 13, 76-93.2. Andrew Ang, Robert J. Hordick, Yuhang Xing, and Xiaoyan Zhang, 2006 ,The Cross-Section of Volatility and Expected Returns, The Journal of Finance, 51 , 259-299. 3. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2012, Anomalies and financial distress. Journal of Financial Economics. 108(1), 139-159.4. Ball,R.and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research. 6(2), 159-178.5. Banz, R.W., 1981, The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1), 3-18.6. Basu, S., 1983, The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics. 12(1), 129-156.7. Beaver, W. H., 1966, Financial Ratios as Predictors of Failure, Journal of Accounting Research, 4, 71-1118. Chu, Hsiang-Hui, Kuan-Cheng Ko, Shinn-Juh Lin and Hsiao-Wei Ho, 2013, Credit Rating Anomaly in Taiwan Stock Market,9. Asia-Pacific Journal of Financial Studies,42(3), 403-441.9. Cooper, M.J., H. Gulen,and M.J. Schill, 2008, Asset Growth and the Cross-Section of Stock Returns. The Journal of Finance. 63(4), 1609-1651.10. Dichev, I.D., 1998, Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance. 53(3), 1131-1147.11. Diether, K. B., Malloy, C. J., Scherbina, A., 2002. Difference of opinion and the crosssection of stock returns. The Journal of Finance 57(5), 2113-2141 .12. Doukas, John and Nickolaus G. Travlos.,1998. The Effect of Corporate Multinationalism on Shareholders’ Wealth: Evidence from International Acquisitions, The Journal of Finance43(5) 1161-1175.13. Fama, E.F. ,and K.R. French, 1992, The Cross-Section of Expected Stock Returns. The Journal of Finance. 47(2), 427-465.14. Fama, E.F. ,and K.R. French, 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33(1), 3-56.15. Fama, E.F, ,and Macbeth J.D., 1993 , Risk,Return,and Equlibrium：Empirical tests,The Journal of Political Economy, 81(3),607-636 16. Jegadeesh, N. ,and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. 48(1), 65-91.17. Jensen, M. C. and W. H. Meckling ,1976,Theory of the Firm: Managerial Behavior, Agency Cost and Ownership Structure.Journal of Financial Economics,3, 305-360.18. Jensen, M. C., 1986, Agency costs of free cash flow, corporate finance, and takeover.American Economic Review, 76: 323-329.19. Kisgen, D. J., 2007, The Influence of Credit Ratings on Corporate Capital Structure Decisions, Journal of Applied Corporate Finance,20. Lakonishok, J. and Shapiro, A. C., 1986, Systematic risk, total risk and size as determinants of stock market returns, ,Journal of Banking and Finance, 10, 115-132.21. Lang, L. and Litzenberger, R. 1989. Dividend announcements: Cash flow signalling vs.free cash flow hypothesis?. Journal of Financial Economics, 24,181-191.22. Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics. 47(1), 13-37.23. Rosenberg, B., K. Reid ,and R. Lanstein, 1985, Persuasive evidence of market inefficiency. The Journal of Portfolio Management. 11(3), 9-16.24. Ross, Stephen, 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3), 341–36025. Rozeff, M.S. ,and M.A. Zaman, 1998, Overreaction and Insider Trading: Evidence from Growth and Value Portfolios. The Journal of Finance. 53(2), 701-716.26. Sharpe, W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance. 19(3), 425-442.27. Sloan, R.G., 1996, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review. 71(3), 289-315.28. Titman, S., K.C.J. Wei ,and F. Xie, 2004, Capital Investments and Stock Returns. The Journal of Financial and Quantitative Analysis. 39(4), 677-700..29. 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.30. 陳安琳、李文智、葉仲康, 2000, 系統風險效果對股票報酬的影響, 中華管理評論, 3(4),1-14.31. 雷雅淇,2000, 公司規模、股價、益本比、淨值市價比與股價報酬率關係之研究, 國立中央大學企管所碩士論文.32. 張榮、陳銀忠、周勇,2006，上市公司資產規模對公司信用風險的影響，統計與決策,2,61-62 zh_TW
