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題名 智慧型手機台灣供應鏈股價報酬率之預測性研究 作者 翁甄縈 貢獻者 顏錫銘
翁甄縈關鍵詞 智慧型手機
供應鏈
概念股
資訊移轉
Smartphone
Supply Chain
Concept Stock
Information Transfer日期 2011 上傳時間 10-二月-2014 14:48:08 (UTC+8) 摘要 近年來，各智慧型手機的概念股經常成為證券分析師以及投顧公司報告中建議的投資標的，一般的新聞媒體、報章雜誌以及其他和投資相關的財經節目也常以智慧型手機相關類股作為節目討論主題，但是投資智慧型手機相關類股是否真的可以讓投資人從中獲得異常報酬，是本研究想知道的，因此本研究利用事件研究法做實證研究，以確認智慧型手機品牌大廠和其供應鏈公司股價間，真的有一定程度的相關性，並且觀察其影響的速度及程度，進而推測是否可利用智慧型手機品牌大廠之公司股價，直接對該供應鏈公司股價報酬作預測。 實證結果發現，Apple Inc.供應鏈公司股價和Apple Inc.公司股價無論是正事件日或負事件日當天皆為正相關，兩者間之連結最為緊密。而HTC供應鏈和Nokia供應鏈之公司股價，只有於正事件日當天和其智慧型手機品牌大廠之公司股價為正相關，並且只有HTC供應鏈的公司股價，可利用HTC公司股價作預測，而其影響對於供應鏈中屬於大型股或中小型股之供應商公司股價並沒有顯著差異。RIM供應鏈和Samsung供應鏈的公司股價則是於正事件日和負事件日當天和其智慧型手機品牌大廠之公司股價皆沒有明顯的相關性。而觀察台灣的智慧型手機市場以及查詢聯合知識庫可發現，Apple Inc.、HTC和Nokia較多人使用且為新聞報導中較常被提及的，其供應鏈也較常成為投資標的之建議，RIM鮮少被大眾媒體報導，而Samsung大部分手機零組件皆由其國內子公司自行生產，而且其產品非常多樣化，因此投資人要將Samsung和其台灣供應商作連結，相對來說較不容易。另外，在負事件當中只有Apple Inc.供應鏈之公司股價和Apple Inc.公司股價有正相關，其他智慧型手機品牌大廠皆沒有明顯相關性，本研究試著觀察是否因負面新聞種類的不同，而造成此實證結果，但並未得到理想的結果及解答。
In recent years, concept stocks of various Smartphone makers have often been the investment targets suggested by the securities analysts and in the reports of investment companies. The media and other financial programs related to investment usually tackle the Smartphone related stocks as newsworthy topics. This study wonders whether the investors can really obtain abnormal returns by investing into these stocks. Therefore, by conducting an empirical study using an event study approach, it validates the correlation to a certain extent between the stock prices of big Smartphone brand manufacturers and their supply chain companies, and observes the influence speed and degree. Furthermore, it speculates whether the stock price of the big Smartphone brand manufacturers can be used to make a direct prediction of the stock returns of the supply chain companies. As shown in the empirical results, the stock prices of Apple Inc. and its supply chain companies are positively correlated whether on the positive event days or negative event days, indicating their close connection. However, the stock prices of HTC and Nokia supply chain companies only show a positive correlation with the corresponding Smartphone brand manufacturers in the positive event days. Moreover, only the stock price of HTC supply chain companies can be predicted by that of the HTC Company, while it doesn’t show any significant difference in terms of the influence on the stock prices of the large and small sized suppliers. As for the stock prices of RIM and Samsung companies, there is no significant correlation with the stock price of the Smartphone brand manufacturers with the positive and negative event days. By observing Taiwan’s Smartphone market and searching in UDN, it’s found that Apple Inc., HTC and Nokia are the most popular and frequently mentioned in the news reports, and their supply chains are often suggested as investment objects. RIM is rarely reported by mass media. When it comes to Samsung, most phone accessories are manufactured by its own subsidiaries in Korea, which manufacture diverse products. Therefore, it is not so easy for the investors to link Samsung with its suppliers in Taiwan. In addition, during the negative events, positive correlation only exists between the stock prices of Apple Inc. and its supply chain companies, which is not the case with other Smartphone brand manufacturers. This study attempts to observe whether the empirical result is derived from the difference among negative news types, but no desired results and answers are obtained.參考文獻 一、中文文獻1.沈中華，李建然，「台灣經濟新報文化事業公司事件研究法暨β 模組使用者操作手冊」。2.范懷文，2001，「事件研究法：母數、無母數與拔靴複製法之比較」，國立中央大學財務管理研究所碩士論文。3.施純協，2005，「手機同心工程四部曲（2）進皆篇：手機產業分析」，文笙書局股份有限公司。4.徐雅君，1999，「電子業代工關係之股價反應研究」，國立中正大學財務金融研究所碩士論文。5.劉玉潔，2009，「機構投資人交易行為與股票報酬橫斷面預測之研究：以跨國供應鏈為例」，國立成功大學會計學研究所碩士論文。二、英文文獻1.Ball, Ray, and Philip Brown, 1968, “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, Vol. 6, No. 2, 159-178.2.Bernard, Victor L., and Jacob K. Thomas, 1989, “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?” Journal of Accounting Research, Vol. 27, 1-36.3.Bliemel, Friedhelm, 1973, “Theil`s Forecast Accuracy Coefficient: A Clarification,” Journal of Marketing Research,Vol. 10, 444-446.4.Boehme, Rodney D., and Sorin M. Sorescu, 2002, “The Long-run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance?” The Journal of Finance, Vol. 57, No. 2, 871-900.5.Bowman, Robert G., 1983, “Understanding and Conducting Event Studies,” Journal of Business Finance & Accounting, Vol. 10, No. 4, 561-584.6.Brown, S.J. and J.B. Warner, 1980, “Measuring Security Price Performance,” Journal of Financial Economics 8, 205-258.7.Brown, S.J. and J. B. Warner, 1985, “Using Daily Stock Return: The Case of Event Studies,” Journal of Financial Economics 14, 3-31.8.Cohen, Lauren, and Andrea Frazzini, 2008,“Economic Links and Predictable Returns,” The Journal of Finance, Vol. 63, No. 4 (August), 1977-2011.9.Dyckman, T., D. Philbrick and J. Stephan, 1984, “A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach, ” Journal of Accounting Research (supplement) Vol. 22, 1-33. 10.Fama E. F., L. Fisher, M. C. Jensen and R. Roll, 1969, “The Adjustment of Stock Prices to New Information,” International Economic Review 10, 1-21.11.Foster, G., 1981, “Intra-Industry Information Transfers Associated with Earnings Releases,” Journal of Accounting and Economics 3, 201-232.12.Funke, Christian, Timo Gebken, Lutz Johanning, and Gaston Michel, 2010, “Is It Really There? Limited Attention and Predictability of Supplier Returns After Large Customer Price Changes,” working paper.13.Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, “Market Underreaction to Open Market Share Repurchases,” Journal of Financial Economics 39, 181-208.14.Lindberg, Bertil C., 1982, “International Comparison of Growth in Demand for a New Durable Consumer Product,” Journal of Marketing Research, Vol. 19, 364-371.15.Loughran, Tim, and Jay R. Ritter, 1995, “The New Issues Puzzle,” The Journal of Finance, Vol. 50, Issue 1, 23-51.16.MacKinlay, A. Craig, 1997, “Event Studies in Economics and Finance,” Journal of Economic Literature, Vol. 35, No. 1, 13-39.17.Menzly, Lior, and Oguzhan Ozbas, 2010, “Market Segmentation and Cross-predictability of Returns,” The Journal of Finance, Vol. 65, No. 4 (August), 1555-1580.18.Olsen, C. and J. R. Dietrich, 1985, “Vertical Information Transfer：The Association Between Retailers’ Sales Announcements and Suppliers’ Security Returns,” Journal of Accounting Research, Vol. 23, 144-166.19.Pritamani, Mahesh, and Vijay Singal, 2001, “Return Predictability Following Large Price Changes and Information Releases,” Journal of Banking & Finance 25, 631-656.20.Ritter, Jay R., 1991, “The Long-Run Performance of Initial Public Offerings,” The Journal of Finance, Vol.46, No. 1, 3-27.21.Schipper, Katherine, 1990, “Information Transfers,” Accounting Horizons, 97-107.22.Shahrur,Husayn, Ying L. Becker, and Didier Rosenfeld, CFA, 2010, “Return Predictability along the Supply Chain: The International Evidence,” Financial Analysts Journal 25, 631-656.23.Tashman, Leonard J., 2000, “Out-of-Sample Tests of Forecasting Accuracy: an Analysis and Review,” International Journal of Forecasting 16, 437-450.24.Zhang, Hua, 2005, “Share Price Performance Following Actual Share Repurchases,” Journal of Banking & Finance 29, 1887-1901. 描述 碩士
國立政治大學
財務管理研究所
99357036
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357036 資料類型 thesis dc.contributor.advisor 顏錫銘 zh_TW dc.contributor.author (作者) 翁甄縈 zh_TW dc.creator (作者) 翁甄縈 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 10-二月-2014 14:48:08 (UTC+8) - dc.date.available 10-二月-2014 14:48:08 (UTC+8) - dc.date.issued (上傳時間) 10-二月-2014 14:48:08 (UTC+8) - dc.identifier (其他 識別碼) G0099357036 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63648 - 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) 99357036 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 近年來，各智慧型手機的概念股經常成為證券分析師以及投顧公司報告中建議的投資標的，一般的新聞媒體、報章雜誌以及其他和投資相關的財經節目也常以智慧型手機相關類股作為節目討論主題，但是投資智慧型手機相關類股是否真的可以讓投資人從中獲得異常報酬，是本研究想知道的，因此本研究利用事件研究法做實證研究，以確認智慧型手機品牌大廠和其供應鏈公司股價間，真的有一定程度的相關性，並且觀察其影響的速度及程度，進而推測是否可利用智慧型手機品牌大廠之公司股價，直接對該供應鏈公司股價報酬作預測。 實證結果發現，Apple Inc.供應鏈公司股價和Apple Inc.公司股價無論是正事件日或負事件日當天皆為正相關，兩者間之連結最為緊密。而HTC供應鏈和Nokia供應鏈之公司股價，只有於正事件日當天和其智慧型手機品牌大廠之公司股價為正相關，並且只有HTC供應鏈的公司股價，可利用HTC公司股價作預測，而其影響對於供應鏈中屬於大型股或中小型股之供應商公司股價並沒有顯著差異。RIM供應鏈和Samsung供應鏈的公司股價則是於正事件日和負事件日當天和其智慧型手機品牌大廠之公司股價皆沒有明顯的相關性。而觀察台灣的智慧型手機市場以及查詢聯合知識庫可發現，Apple Inc.、HTC和Nokia較多人使用且為新聞報導中較常被提及的，其供應鏈也較常成為投資標的之建議，RIM鮮少被大眾媒體報導，而Samsung大部分手機零組件皆由其國內子公司自行生產，而且其產品非常多樣化，因此投資人要將Samsung和其台灣供應商作連結，相對來說較不容易。另外，在負事件當中只有Apple Inc.供應鏈之公司股價和Apple Inc.公司股價有正相關，其他智慧型手機品牌大廠皆沒有明顯相關性，本研究試著觀察是否因負面新聞種類的不同，而造成此實證結果，但並未得到理想的結果及解答。 zh_TW dc.description.abstract (摘要) In recent years, concept stocks of various Smartphone makers have often been the investment targets suggested by the securities analysts and in the reports of investment companies. The media and other financial programs related to investment usually tackle the Smartphone related stocks as newsworthy topics. This study wonders whether the investors can really obtain abnormal returns by investing into these stocks. Therefore, by conducting an empirical study using an event study approach, it validates the correlation to a certain extent between the stock prices of big Smartphone brand manufacturers and their supply chain companies, and observes the influence speed and degree. Furthermore, it speculates whether the stock price of the big Smartphone brand manufacturers can be used to make a direct prediction of the stock returns of the supply chain companies. As shown in the empirical results, the stock prices of Apple Inc. and its supply chain companies are positively correlated whether on the positive event days or negative event days, indicating their close connection. However, the stock prices of HTC and Nokia supply chain companies only show a positive correlation with the corresponding Smartphone brand manufacturers in the positive event days. Moreover, only the stock price of HTC supply chain companies can be predicted by that of the HTC Company, while it doesn’t show any significant difference in terms of the influence on the stock prices of the large and small sized suppliers. As for the stock prices of RIM and Samsung companies, there is no significant correlation with the stock price of the Smartphone brand manufacturers with the positive and negative event days. By observing Taiwan’s Smartphone market and searching in UDN, it’s found that Apple Inc., HTC and Nokia are the most popular and frequently mentioned in the news reports, and their supply chains are often suggested as investment objects. RIM is rarely reported by mass media. When it comes to Samsung, most phone accessories are manufactured by its own subsidiaries in Korea, which manufacture diverse products. Therefore, it is not so easy for the investors to link Samsung with its suppliers in Taiwan. In addition, during the negative events, positive correlation only exists between the stock prices of Apple Inc. and its supply chain companies, which is not the case with other Smartphone brand manufacturers. This study attempts to observe whether the empirical result is derived from the difference among negative news types, but no desired results and answers are obtained. en_US dc.description.tableofcontents 第一章 緒 論 1第一節 研究動機與目的 1第二節 研究架構 3第二章 文獻探討 4第一節 事件研究法 4第二節 垂直資訊移轉效果與供應鏈股價報酬率之可預測性 8第三章 研究設計 12第一節 研究假說 12第二節 研究對象 14第三節 研究期間與資料來源 23第四節 研究設計 24第四章 實證結果與分析 36第一節 供應鏈股價報酬之可預測性 37第二節 股本大小與供應鏈股價報酬之可預測性 49第三節 樣本外測試 61第四節 樣本外交易策略 63第五章 結論與限制 66第一節 研究結論 66第二節 研究限制 69參考文獻 70 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357036 en_US dc.subject (關鍵詞) 智慧型手機 zh_TW dc.subject (關鍵詞) 供應鏈 zh_TW dc.subject (關鍵詞) 概念股 zh_TW dc.subject (關鍵詞) 資訊移轉 zh_TW dc.subject (關鍵詞) Smartphone en_US dc.subject (關鍵詞) Supply Chain en_US dc.subject (關鍵詞) Concept Stock en_US dc.subject (關鍵詞) Information Transfer en_US dc.title (題名) 智慧型手機台灣供應鏈股價報酬率之預測性研究 zh_TW dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、中文文獻1.沈中華，李建然，「台灣經濟新報文化事業公司事件研究法暨β 模組使用者操作手冊」。2.范懷文，2001，「事件研究法：母數、無母數與拔靴複製法之比較」，國立中央大學財務管理研究所碩士論文。3.施純協，2005，「手機同心工程四部曲（2）進皆篇：手機產業分析」，文笙書局股份有限公司。4.徐雅君，1999，「電子業代工關係之股價反應研究」，國立中正大學財務金融研究所碩士論文。5.劉玉潔，2009，「機構投資人交易行為與股票報酬橫斷面預測之研究：以跨國供應鏈為例」，國立成功大學會計學研究所碩士論文。二、英文文獻1.Ball, Ray, and Philip Brown, 1968, “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, Vol. 6, No. 2, 159-178.2.Bernard, Victor L., and Jacob K. Thomas, 1989, “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?” Journal of Accounting Research, Vol. 27, 1-36.3.Bliemel, Friedhelm, 1973, “Theil`s Forecast Accuracy Coefficient: A Clarification,” Journal of Marketing Research,Vol. 10, 444-446.4.Boehme, Rodney D., and Sorin M. Sorescu, 2002, “The Long-run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance?” The Journal of Finance, Vol. 57, No. 2, 871-900.5.Bowman, Robert G., 1983, “Understanding and Conducting Event Studies,” Journal of Business Finance & Accounting, Vol. 10, No. 4, 561-584.6.Brown, S.J. and J.B. Warner, 1980, “Measuring Security Price Performance,” Journal of Financial Economics 8, 205-258.7.Brown, S.J. and J. B. Warner, 1985, “Using Daily Stock Return: The Case of Event Studies,” Journal of Financial Economics 14, 3-31.8.Cohen, Lauren, and Andrea Frazzini, 2008,“Economic Links and Predictable Returns,” The Journal of Finance, Vol. 63, No. 4 (August), 1977-2011.9.Dyckman, T., D. Philbrick and J. Stephan, 1984, “A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach, ” Journal of Accounting Research (supplement) Vol. 22, 1-33. 10.Fama E. F., L. Fisher, M. C. Jensen and R. Roll, 1969, “The Adjustment of Stock Prices to New Information,” International Economic Review 10, 1-21.11.Foster, G., 1981, “Intra-Industry Information Transfers Associated with Earnings Releases,” Journal of Accounting and Economics 3, 201-232.12.Funke, Christian, Timo Gebken, Lutz Johanning, and Gaston Michel, 2010, “Is It Really There? Limited Attention and Predictability of Supplier Returns After Large Customer Price Changes,” working paper.13.Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, “Market Underreaction to Open Market Share Repurchases,” Journal of Financial Economics 39, 181-208.14.Lindberg, Bertil C., 1982, “International Comparison of Growth in Demand for a New Durable Consumer Product,” Journal of Marketing Research, Vol. 19, 364-371.15.Loughran, Tim, and Jay R. Ritter, 1995, “The New Issues Puzzle,” The Journal of Finance, Vol. 50, Issue 1, 23-51.16.MacKinlay, A. Craig, 1997, “Event Studies in Economics and Finance,” Journal of Economic Literature, Vol. 35, No. 1, 13-39.17.Menzly, Lior, and Oguzhan Ozbas, 2010, “Market Segmentation and Cross-predictability of Returns,” The Journal of Finance, Vol. 65, No. 4 (August), 1555-1580.18.Olsen, C. and J. R. Dietrich, 1985, “Vertical Information Transfer：The Association Between Retailers’ Sales Announcements and Suppliers’ Security Returns,” Journal of Accounting Research, Vol. 23, 144-166.19.Pritamani, Mahesh, and Vijay Singal, 2001, “Return Predictability Following Large Price Changes and Information Releases,” Journal of Banking & Finance 25, 631-656.20.Ritter, Jay R., 1991, “The Long-Run Performance of Initial Public Offerings,” The Journal of Finance, Vol.46, No. 1, 3-27.21.Schipper, Katherine, 1990, “Information Transfers,” Accounting Horizons, 97-107.22.Shahrur,Husayn, Ying L. Becker, and Didier Rosenfeld, CFA, 2010, “Return Predictability along the Supply Chain: The International Evidence,” Financial Analysts Journal 25, 631-656.23.Tashman, Leonard J., 2000, “Out-of-Sample Tests of Forecasting Accuracy: an Analysis and Review,” International Journal of Forecasting 16, 437-450.24.Zhang, Hua, 2005, “Share Price Performance Following Actual Share Repurchases,” Journal of Banking & Finance 29, 1887-1901. zh_TW
