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題名 台灣證券交易所修正股價平均數之評價與預測
Pricing and Forecasting of Taiwan Adjusted Stock Average
作者 張智傑
Chang, Chih-Chieh
貢獻者 周行一<br>沈中華
Chow, Edward H.<br>Shen, Chung-Hua
張智傑
Chang, Chih-Chieh
關鍵詞 剩餘所得模型
修正股價平均數
台灣證券交易所
評價
預測
本益比
市價淨值比
residual income valuation model
Ohlson
Charles Lee
E/P ratio
B/P ratio
V/P ratio
日期 1998
上傳時間 22-Apr-2016 10:20:39 (UTC+8)
摘要 本研究以台灣證券交易所編製之修正股價平均數為研究對象，衡量股價平均數之理論隱含價值，並加以預測。文中假設股票市價與真實價值間靜態均衡無法成立，改以連續收斂型態的動態調整過程，才能對於此種現象加以描述，並假設股價平均數之市價與模型評估值為共整合關係，利用V/P比率來預測股價平均數報酬率，且將投資大眾經常使用之變數（例如E/P、B/P、利率等等）加以比較，所得出之結論如下：
參考文獻 英文部分
     1. Adler , Michael and Andrew Chun Yi , 1998 , "Has there been a fundamental change in the stock market ? " , The Journal of Investing , 71-76.
     2. Campbell , John Y., and Robert J. Shiller , 1988 , "Stock prices , earnings , and expected dividends" , Journal of Finance , 661-676.
     3. Danielson , Morris G. , May/June 1998 , "A simple valuation model and growth expectations" , Financial Analysts Journal , 50-57.
     4. Fairfield , Patrica M. , July-August 1994 , "P/E , P/B and the present value of future dividends" , Financial Analysts Journal , 23-31.
     5. Fama , Eugene F. , 1990 , "Stock returns , expected returns , and real activity" , Journal of Finance , 1089-1108.
     6. Fama , Eugene F. , and Kenneth R. French , 1992 , "The cross-section of expected stock returns" , Journal of Finance 47 , 427-465.
     7. Fama , Eugene F. , and Kenneth R. French , 1993 , "Common risk factors in the returns on stocks and bonds" , Journal of Financial Economics 33 , 3-56.
     8. Fama , Eugene F. , and Kenneth R. French , March 1995 , "Size and book-to-market factors in earnings and returns" , Journal of Finance , 131-155.
     9. Fama , Eugene F. , and Kenneth R. French , 1997 , "Industry costs of equity" , Journal of Financial Economics 43 , 153-193.
     10. Feltham , Gerald A. , and James A. Ohlson , 1995 , "Valuation and clean surplus accounting for operating and financial activities" , Contemporary Accounting Research 11 , 689-731.
     11. Frankel , Richard , and Charles M. C. Lee , 1998 , "Accounting valuation , market expection , and cross-sectional stock returns" , Journal of Accounting and Economics 25 , 283-319.
     12. French , Kenneth R. and James M. Poterba , 1991 , "Were Japanese stock prices too high? " , NBER working paper.
     13. Harris , Robert S. and Felicia C. Marston , September-October 1994 , "Value versus growth stocks : book to market , growth , and beta" , Financial Analysts Journal , 18-24.
     14. He , Jia , and Lilian K. Ng , 1994 , "Economic forces , fundamental variables , and equity returns" , Journal of Business , 599-609.
     15. Lee , Charles M.C. , James Myers , and Bhaskaran Swaminathan , 1998 , "What is the intrinsic value of the Dow？" , working paper.
     16. Ohlson , James A. , 1990 , "A synthesis of security valuation theory and the role of dividends, cash flows, and earnings" , Contemporary Accounting Research 6 , 648-676.
     17. Ohlson , James A. , 1995 , "Earnings , book values , and dividends in equity valuation" , Contemporary Accounting Research 11 , 661-687.
     18. Oyama Tsuyoshi , September 1997 , "Determinants of stock prices : the case of Ziambabwe" , IMF working paper.
     19. Patelis , Alex D. , 1997 , "Stock return predictability and the role of monetary policy" , Journal of Finance , 1951-1972.
     20. Wigmore , Barrie A. , January/February 1998 , "Revisiting the October 1987 Crash" , Financial Analysts Journal , 36-48.
     中文部分
     1. 王慶昌，「上市公司財務比率與股票報酬率關係之研究兼論本益比之應用分析」，國立台灣大學財務金融學系碩士論文，民國八十年。
     2. 何大龍，「台灣股市各主要產業股價指數可預測性之研究」，國立台灣大學財務金融學系碩士論文，民國八十一年。
     3. 沈博盛，「股票報酬率的決定因素：總體經濟變數與基本面因素之比較」，國立政治大學國際貿易學系碩士論文，民國八十六年。
     4. 邱仕敏，「總體經濟與財務指標於投資台灣股市之應用預測」，國立台灣大學財務金融學系碩士論文，民國八十五年。
     5. 胡玉雪，「益本比、淨值/市價比及公司規模對股票報酬之影響－相似無關迴歸法之應用」，國立台灣大學財務金融學系碩士論文，民國八十二年。
     6. 許崇源、彭火樹與劉正田，「Feltham and Ohlson會計基礎評價模式及線性資訊模式之辨正與測試」，ICCAI 1998。
     7. 陳協和，「台灣股市多因子模型的建構」，國立中山大學財務管理學系碩士論文，民國八十三年。
     8. 施純玉，「淨值市價比效果之探討」，國立台灣大學財務金融學系碩士論文，民國八十五年。
     9. 「臺灣證券交易所－上市證券概況」，臺灣證券交易所。
     10.「證交資料」，台灣證券交易所。
描述 碩士
國立政治大學
金融研究所
g86352012
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001433
資料類型 thesis
dc.contributor.advisor 周行一<br>沈中華zh_TW
dc.contributor.advisor Chow, Edward H.<br>Shen, Chung-Huaen_US
dc.contributor.author (Authors) 張智傑zh_TW
dc.contributor.author (Authors) Chang, Chih-Chiehen_US
dc.creator (作者) 張智傑zh_TW
dc.creator (作者) Chang, Chih-Chiehen_US
dc.date (日期) 1998en_US
dc.date.accessioned 22-Apr-2016 10:20:39 (UTC+8)-
dc.date.available 22-Apr-2016 10:20:39 (UTC+8)-
dc.date.issued (上傳時間) 22-Apr-2016 10:20:39 (UTC+8)-
dc.identifier (Other Identifiers) B2002001433en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85944-
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) g86352012zh_TW
dc.description.abstract (摘要) 本研究以台灣證券交易所編製之修正股價平均數為研究對象，衡量股價平均數之理論隱含價值，並加以預測。文中假設股票市價與真實價值間靜態均衡無法成立，改以連續收斂型態的動態調整過程，才能對於此種現象加以描述，並假設股價平均數之市價與模型評估值為共整合關係，利用V/P比率來預測股價平均數報酬率，且將投資大眾經常使用之變數（例如E/P、B/P、利率等等）加以比較，所得出之結論如下：zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001433en_US
dc.subject (關鍵詞) 剩餘所得模型zh_TW
dc.subject (關鍵詞) 修正股價平均數zh_TW
dc.subject (關鍵詞) 台灣證券交易所zh_TW
dc.subject (關鍵詞) 評價zh_TW
dc.subject (關鍵詞) 預測zh_TW
dc.subject (關鍵詞) 本益比zh_TW
dc.subject (關鍵詞) 市價淨值比zh_TW
dc.subject (關鍵詞) residual income valuation modelen_US
dc.subject (關鍵詞) Ohlsonen_US
dc.subject (關鍵詞) Charles Leeen_US
dc.subject (關鍵詞) E/P ratioen_US
dc.subject (關鍵詞) B/P ratioen_US
dc.subject (關鍵詞) V/P ratioen_US
dc.title (題名) 台灣證券交易所修正股價平均數之評價與預測zh_TW
dc.title (題名) Pricing and Forecasting of Taiwan Adjusted Stock Averageen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 英文部分
     1. Adler , Michael and Andrew Chun Yi , 1998 , "Has there been a fundamental change in the stock market ? " , The Journal of Investing , 71-76.
     2. Campbell , John Y., and Robert J. Shiller , 1988 , "Stock prices , earnings , and expected dividends" , Journal of Finance , 661-676.
     3. Danielson , Morris G. , May/June 1998 , "A simple valuation model and growth expectations" , Financial Analysts Journal , 50-57.
     4. Fairfield , Patrica M. , July-August 1994 , "P/E , P/B and the present value of future dividends" , Financial Analysts Journal , 23-31.
     5. Fama , Eugene F. , 1990 , "Stock returns , expected returns , and real activity" , Journal of Finance , 1089-1108.
     6. Fama , Eugene F. , and Kenneth R. French , 1992 , "The cross-section of expected stock returns" , Journal of Finance 47 , 427-465.
     7. Fama , Eugene F. , and Kenneth R. French , 1993 , "Common risk factors in the returns on stocks and bonds" , Journal of Financial Economics 33 , 3-56.
     8. Fama , Eugene F. , and Kenneth R. French , March 1995 , "Size and book-to-market factors in earnings and returns" , Journal of Finance , 131-155.
     9. Fama , Eugene F. , and Kenneth R. French , 1997 , "Industry costs of equity" , Journal of Financial Economics 43 , 153-193.
     10. Feltham , Gerald A. , and James A. Ohlson , 1995 , "Valuation and clean surplus accounting for operating and financial activities" , Contemporary Accounting Research 11 , 689-731.
     11. Frankel , Richard , and Charles M. C. Lee , 1998 , "Accounting valuation , market expection , and cross-sectional stock returns" , Journal of Accounting and Economics 25 , 283-319.
     12. French , Kenneth R. and James M. Poterba , 1991 , "Were Japanese stock prices too high? " , NBER working paper.
     13. Harris , Robert S. and Felicia C. Marston , September-October 1994 , "Value versus growth stocks : book to market , growth , and beta" , Financial Analysts Journal , 18-24.
     14. He , Jia , and Lilian K. Ng , 1994 , "Economic forces , fundamental variables , and equity returns" , Journal of Business , 599-609.
     15. Lee , Charles M.C. , James Myers , and Bhaskaran Swaminathan , 1998 , "What is the intrinsic value of the Dow？" , working paper.
     16. Ohlson , James A. , 1990 , "A synthesis of security valuation theory and the role of dividends, cash flows, and earnings" , Contemporary Accounting Research 6 , 648-676.
     17. Ohlson , James A. , 1995 , "Earnings , book values , and dividends in equity valuation" , Contemporary Accounting Research 11 , 661-687.
     18. Oyama Tsuyoshi , September 1997 , "Determinants of stock prices : the case of Ziambabwe" , IMF working paper.
     19. Patelis , Alex D. , 1997 , "Stock return predictability and the role of monetary policy" , Journal of Finance , 1951-1972.
     20. Wigmore , Barrie A. , January/February 1998 , "Revisiting the October 1987 Crash" , Financial Analysts Journal , 36-48.
     中文部分
     1. 王慶昌，「上市公司財務比率與股票報酬率關係之研究兼論本益比之應用分析」，國立台灣大學財務金融學系碩士論文，民國八十年。
     2. 何大龍，「台灣股市各主要產業股價指數可預測性之研究」，國立台灣大學財務金融學系碩士論文，民國八十一年。
     3. 沈博盛，「股票報酬率的決定因素：總體經濟變數與基本面因素之比較」，國立政治大學國際貿易學系碩士論文，民國八十六年。
     4. 邱仕敏，「總體經濟與財務指標於投資台灣股市之應用預測」，國立台灣大學財務金融學系碩士論文，民國八十五年。
     5. 胡玉雪，「益本比、淨值/市價比及公司規模對股票報酬之影響－相似無關迴歸法之應用」，國立台灣大學財務金融學系碩士論文，民國八十二年。
     6. 許崇源、彭火樹與劉正田，「Feltham and Ohlson會計基礎評價模式及線性資訊模式之辨正與測試」，ICCAI 1998。
     7. 陳協和，「台灣股市多因子模型的建構」，國立中山大學財務管理學系碩士論文，民國八十三年。
     8. 施純玉，「淨值市價比效果之探討」，國立台灣大學財務金融學系碩士論文，民國八十五年。
     9. 「臺灣證券交易所－上市證券概況」，臺灣證券交易所。
     10.「證交資料」，台灣證券交易所。		zh_TW