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題名 上市公司出售資產事件之宣告效果:GARCH模型之應用
The Effect of Voluntary Sell-off Announcements
作者 張嘉宏
Zhang, Jia-Hong
貢獻者 林炯垚
Lin, Jiong-Yao
張嘉宏
Zhang, Jia-Hong
關鍵詞 出售資產
事件研究
異質變異數
Sell-off
Even study
GARCH
日期 1996
上傳時間 28-四月-2016 11:52:08 (UTC+8)
摘要 本文主要探討出售長期資產對公司股價的影響,由於金融性資產時間序列資料有異質變異數現象,傳統事研究以最小平方法無法正確描述殘差項之變異,故使用一般自我迴歸異質變異數(GARCH)模型.由實証發現,市場對公司出售資產的反應視其處分目的而定,對為了改善營運而出售資產的公司,一般相信公司營運能提升,有助於增進公司價值;對為了改善財務而出售資產的公司,由於公司本身財務狀況不佳,雖藉出售資產取得資金,但市場反應仍不佳.另外,由迴歸分析也發現處分目的為宣告期間累積異常報酬重要的解釋變數.
參考文獻 [中文部分]
l. 林炯垚，財務管理-理論與實務，華泰書局, 民國七十九年二月。
2. 林炯垚，半強勢效率資本市場檢定之實証方法，管理評論，民國七十七年七月，頁45 -68。
3. 顏錫銘，台灣企業國際財務管理，翰蘆出版社，民國八十五年一月。
4. 徐燕山， 投資學， 三民書局，民國八十四年十一月。
5. 徐燕山，台灣股票上市公司現金增資事件的另一種驗証，政治大學學報，民國八十三年九月，頁235-262 。
6. 沈中華、張大成，事件研究與移動貝他，台大管理論叢第四卷第一期，民國八十二年五月，頁1-35。
7. 沈中華，股價波動性與結構性轉變之探討不同漲跌幅限制下的分析，台大管理論叢第五卷第二期，民國八十一年，頁24-44 。
8. 陳隆麒，現代財務管理-理論與應用，華泰書局, 民國八十一年二月。
9. 石齊平、郭照榮，當代計量經濟學，三民書局，民國七十六年一月。
10. 顏月珠，實用統計方法-圖解與實例，三民書局，民國七十八年十月。
11. 傅英芬，投資機會與現金增之宣告效果一異質條件變異數分析法，政治大學財金所碩士論文，民國八十四年六月。
12. 徐偉傑，上市公司發行權益相關証券之融資效果資訊內涵異質條件變異數分析法，政治大學財金所碩士論文，民國八十四年六月。
13. 鍾淑玲，台灣股票市場風險性溢價與持續性波動之實証研究━序列相關及其質條件變異數分析法，台灣大學商學研究所碩士論文，民國七十九年六月。
14. 李道杰，一般化自身迴歸條件異質性變異數模型參數之選定、估計與檢定，成功大學工業管理研究所碩士論文，民國八十三年六月。
15. 管夢欣，長期性資產出售交易與盈餘操縱行為之關聯性實証研究，台灣大學會計研究所碩士論文，民國八十二年六月。
16. 周志隆，股票風險波動之研究-異質條件變異數分析法，台灣大學商學研究所碩士論文，民國八十年六月。
17. 李兆倫，調整股價漲跌限幅影響震盪幅度之實証研究，其質條件變異數分析法，中山大學企研所碩士論文，民國八十年六月。
18. 徐合成，台灣股市股票報酬率與交易量開之實証研究-GARCH模型之處用，台灣大學財務金融研究所碩士論文，民國八十三年六月。

[英文部分]
1.Berndt,E.K, B.H.HaU, R.E.Hall, & Hausman, 1974, "Estimation Inference in Nonliner Structural Models", Annuals of Economics and Social Measurement, No 4,p653-665.
2.Bollerslev,T., 1986," Generaled AutoRegression Conditional Helerskedasticitv",Journal of Economehics ,31 ,p307-327.
3.Brown,SJ. and Warner, J.B. ,1985," Using daily Stock Returns: the Case of Event Studies", Journal of Financial Economics 14,p3-31.
4.Bera,A., E. Bubnys, and H.Park" 1988,"Conditionai heterosecdasticity in the market model and ejjicient estimates of beta`!, The Fina.i`1cial Revew 23, p201-214.
5.Bollersvel,T., 1987,"A conditionally heteroscedastic time series model for speculative prices and rates of return", Review of Economics and Statistics 69, p542-547.
6.Brown,K. ,L.Lockwood, and S.Lununer, 1985, "An examination of event dependency and structural change in security pricing model",Joumal of Financial and Quantitative Analysis 20,p315-334.
7.Bollerslev, T., R. Y.Chou, and K.Kroner, 1992, "ARCH madeling in finance: A review of the theory and empirical evidence ", Journal of Econometrics, 37,
8.Bougerol, P. ,and N. Picard,1992, "Stationarity QfGARCH p,.ocesses and of some non-negative time series ",Journal of Econometrics, 37,
9.Barone-Adesi,G. and P.Talwai, 1983,"Market models and heterroscedasticity ofresidual security returns",Journal of Business and Economic Statistics ,1,
p168-168.
10.Bey, R.,and G. Pinches, 1980,"Additional evidence of heterroscedasticity in
the market mode!", Journal of Financial and Quantitative Arutlysis, 15, p299-
322.
l1.BoIlerslev, T., R.Chou, and K.Kroner, 1992,"ARCH modeling infinance:A reviewafthe theory and empirical evidence", Journal of Econometrics, 52, p5- 59 .
12.Comment, and Jarrell, 1995,"Corporatefocus and stock returns”, Journal of Financial Economics 37,p67-87.
13.Nelson,D. B. and G. C.Charles, 1992," Inequality constraints in the univariate GARCH modelll, Journal of Business & Economic Statistics 10, p229-235.
14.Engle,F., 1982,UAlltoRegl`ession Conditional Heteroskedasticity with Estimates Q[the United Kingdom IrJIation", Econometrica, 50, p987-1007.
15.0fek,E. ,1994,IICapital structure andfinn response to poor performamce: An empirical analysis",Journal of Finarlcial Economics 34,p3-31.
16.Fisher,L., and J.Kamin" 1985, "Forecasting of "Raw" beta that take account of the tendency of beta to change and the heteroskedasticity of residual returns", Journal of Financial and Quantitative Analysis 20,p127-150.
17.Ghosh, A., I 992, "Market model corrects for generalized autoregressive conditional heteroscedasticity and the small firm effect". The Journal of Financial Research 15,p277-283.
18.Alexander ,G. J., P.G,Benson, and J . M.Kampmeyer, 1984,"Investigating the valuation effect of announcements of voluntary corporate selloffs” ,The Journal of Finance 39,p503-517.
19.Hite, G.L., J.E.Owers ,and R.e. Rogers,1987,"The marktfor interfirm asset sales: Partial sell-offs and totalliquidations", Journal of Financial Economics 18, p229-252.
20.Jain, P., 1985," The effect of voluntary sell-off announcements on shareholder wealth",Joumal of Finance 40,p209-224.
21.Rosenfeld, J. D. ,1984, "Additional evidence on the relation between divestiture announcements and sharehoder",The Joumal of Finance 39,
p1437-1447.
22. John ,K. and E. Ofek,,1995,"Asset sales and increase in focus", Journal of
Financial Economics 37,p105-126.
23.John, K. , L Lang, and J.Netter, 1992,"The voluntary restructuring of large
firms in response to performance decline",Jonrnal of Finance 47, p891 -918.
24.Kaplan, S. and M. S.Weisbach" 1992,`The success of acquisitions:Evidencs from divestitures", Journal of Finance,47,p1 07-139.
25.Lang ,L., A. Poulsen,and R.Stulz, ,1995,"Asset sales, firm performance, and he agency costs of managerial discretion", Journal of Financial Economics 37,p3-37.
26.Morck, R., A.Shleifer, and R.Vishny, 1990, ”Do managerial objectives drive bad acquisitions? ",Journal of Finance 45,p31-48.
27.Nelsol1, D. B. ,1990, "Stationarity and persistence in the GARCH(1, 1) model", Econometric Theory, 6, p318-334.
28.Berger,P.G., and E.Ofek, 1995,"Diversification`s effect on firm value", Journal of Financial Economics 37,p39-65.
29.S1ovin, S., and Ferraro,1995,"A comparison of the information conveyed by equity carve-outs, spin-offs, and asset sell-offs",1ournal of Financial Economics 37,p89-104.
30.Stulz, R.M., 1990, "Managerial discretion and optimal financing policies", Journal of Financial Economics 26,p3-28.
31.Shleifer, A. and R. Vishny, 1992, "Liquidation values and debt capacity: A market equilibrium approach",Journal of Finance 47,p1343-1366.
32.Schwarz , G., 1978, "Estimating the dimension of a Model" , The Annals of Statistics, 6, p 461-464.
33.White, H., 1980,"A heteroskedasticity-consistent covariance matrix estimator and a direct testfor heteroskedasticity", Econometrica, p817-838.
描述 碩士
國立政治大學
財務管理研究所
83357007
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002992
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.advisor Lin, Jiong-Yaoen_US
dc.contributor.author (作者) 張嘉宏zh_TW
dc.contributor.author (作者) Zhang, Jia-Hongen_US
dc.creator (作者) 張嘉宏zh_TW
dc.creator (作者) Zhang, Jia-Hongen_US
dc.date (日期) 1996en_US
dc.date.accessioned 28-四月-2016 11:52:08 (UTC+8)-
dc.date.available 28-四月-2016 11:52:08 (UTC+8)-
dc.date.issued (上傳時間) 28-四月-2016 11:52:08 (UTC+8)-
dc.identifier (其他 識別碼) B2002002992en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87338-
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) 83357007zh_TW
dc.description.abstract (摘要) 本文主要探討出售長期資產對公司股價的影響,由於金融性資產時間序列資料有異質變異數現象,傳統事研究以最小平方法無法正確描述殘差項之變異,故使用一般自我迴歸異質變異數(GARCH)模型.由實証發現,市場對公司出售資產的反應視其處分目的而定,對為了改善營運而出售資產的公司,一般相信公司營運能提升,有助於增進公司價值;對為了改善財務而出售資產的公司,由於公司本身財務狀況不佳,雖藉出售資產取得資金,但市場反應仍不佳.另外,由迴歸分析也發現處分目的為宣告期間累積異常報酬重要的解釋變數.zh_TW
dc.description.tableofcontents 第一章緒論----------1
第一節研究動機與目的----------1
第二節本文架構----------2
第三節全文概述----------4
本章註釋----------5
第二章文獻探討----------6
第一節出售資會計處理----------6
第二節效率資本市場與資訊內涵----------6
第三節出售長期資產與股價的關係----------8
第三章研究方法----------14
第一節研究假說----------14
第二節研究範圍與研究設計----------15
第三節研究架構----------17
本章註釋----------24
第四章實証結果與分析----------25
第一節資料檢定與樣本係數估計----------25
第二節處分長期資產全體公司對股價的影響----------29
第三節處分資產目的不同對股價的影響----------33
第四節橫斷面避歸析----------41
第五節GARCH與OLS之比較----------42
本章註釋----------43
第五章結論與建議----------44
第一節研究結論----------44
第二節研究建議與限制----------45
參考文獻----------47		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002992en_US
dc.subject (關鍵詞) 出售資產zh_TW
dc.subject (關鍵詞) 事件研究zh_TW
dc.subject (關鍵詞) 異質變異數zh_TW
dc.subject (關鍵詞) Sell-offen_US
dc.subject (關鍵詞) Even studyen_US
dc.subject (關鍵詞) GARCHen_US
dc.title (題名) 上市公司出售資產事件之宣告效果:GARCH模型之應用zh_TW
dc.title (題名) The Effect of Voluntary Sell-off Announcementsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [中文部分]
l. 林炯垚，財務管理-理論與實務，華泰書局, 民國七十九年二月。
2. 林炯垚，半強勢效率資本市場檢定之實証方法，管理評論，民國七十七年七月，頁45 -68。
3. 顏錫銘，台灣企業國際財務管理，翰蘆出版社，民國八十五年一月。
4. 徐燕山， 投資學， 三民書局，民國八十四年十一月。
5. 徐燕山，台灣股票上市公司現金增資事件的另一種驗証，政治大學學報，民國八十三年九月，頁235-262 。
6. 沈中華、張大成，事件研究與移動貝他，台大管理論叢第四卷第一期，民國八十二年五月，頁1-35。
7. 沈中華，股價波動性與結構性轉變之探討不同漲跌幅限制下的分析，台大管理論叢第五卷第二期，民國八十一年，頁24-44 。
8. 陳隆麒，現代財務管理-理論與應用，華泰書局, 民國八十一年二月。
9. 石齊平、郭照榮，當代計量經濟學，三民書局，民國七十六年一月。
10. 顏月珠，實用統計方法-圖解與實例，三民書局，民國七十八年十月。
11. 傅英芬，投資機會與現金增之宣告效果一異質條件變異數分析法，政治大學財金所碩士論文，民國八十四年六月。
12. 徐偉傑，上市公司發行權益相關証券之融資效果資訊內涵異質條件變異數分析法，政治大學財金所碩士論文，民國八十四年六月。
13. 鍾淑玲，台灣股票市場風險性溢價與持續性波動之實証研究━序列相關及其質條件變異數分析法，台灣大學商學研究所碩士論文，民國七十九年六月。
14. 李道杰，一般化自身迴歸條件異質性變異數模型參數之選定、估計與檢定，成功大學工業管理研究所碩士論文，民國八十三年六月。
15. 管夢欣，長期性資產出售交易與盈餘操縱行為之關聯性實証研究，台灣大學會計研究所碩士論文，民國八十二年六月。
16. 周志隆，股票風險波動之研究-異質條件變異數分析法，台灣大學商學研究所碩士論文，民國八十年六月。
17. 李兆倫，調整股價漲跌限幅影響震盪幅度之實証研究，其質條件變異數分析法，中山大學企研所碩士論文，民國八十年六月。
18. 徐合成，台灣股市股票報酬率與交易量開之實証研究-GARCH模型之處用，台灣大學財務金融研究所碩士論文，民國八十三年六月。

[英文部分]
1.Berndt,E.K, B.H.HaU, R.E.Hall, & Hausman, 1974, "Estimation Inference in Nonliner Structural Models", Annuals of Economics and Social Measurement, No 4,p653-665.
2.Bollerslev,T., 1986," Generaled AutoRegression Conditional Helerskedasticitv",Journal of Economehics ,31 ,p307-327.
3.Brown,SJ. and Warner, J.B. ,1985," Using daily Stock Returns: the Case of Event Studies", Journal of Financial Economics 14,p3-31.
4.Bera,A., E. Bubnys, and H.Park" 1988,"Conditionai heterosecdasticity in the market model and ejjicient estimates of beta`!, The Fina.i`1cial Revew 23, p201-214.
5.Bollersvel,T., 1987,"A conditionally heteroscedastic time series model for speculative prices and rates of return", Review of Economics and Statistics 69, p542-547.
6.Brown,K. ,L.Lockwood, and S.Lununer, 1985, "An examination of event dependency and structural change in security pricing model",Joumal of Financial and Quantitative Analysis 20,p315-334.
7.Bollerslev, T., R. Y.Chou, and K.Kroner, 1992, "ARCH madeling in finance: A review of the theory and empirical evidence ", Journal of Econometrics, 37,
8.Bougerol, P. ,and N. Picard,1992, "Stationarity QfGARCH p,.ocesses and of some non-negative time series ",Journal of Econometrics, 37,
9.Barone-Adesi,G. and P.Talwai, 1983,"Market models and heterroscedasticity ofresidual security returns",Journal of Business and Economic Statistics ,1,
p168-168.
10.Bey, R.,and G. Pinches, 1980,"Additional evidence of heterroscedasticity in
the market mode!", Journal of Financial and Quantitative Arutlysis, 15, p299-
322.
l1.BoIlerslev, T., R.Chou, and K.Kroner, 1992,"ARCH modeling infinance:A reviewafthe theory and empirical evidence", Journal of Econometrics, 52, p5- 59 .
12.Comment, and Jarrell, 1995,"Corporatefocus and stock returns”, Journal of Financial Economics 37,p67-87.
13.Nelson,D. B. and G. C.Charles, 1992," Inequality constraints in the univariate GARCH modelll, Journal of Business & Economic Statistics 10, p229-235.
14.Engle,F., 1982,UAlltoRegl`ession Conditional Heteroskedasticity with Estimates Q[the United Kingdom IrJIation", Econometrica, 50, p987-1007.
15.0fek,E. ,1994,IICapital structure andfinn response to poor performamce: An empirical analysis",Journal of Finarlcial Economics 34,p3-31.
16.Fisher,L., and J.Kamin" 1985, "Forecasting of "Raw" beta that take account of the tendency of beta to change and the heteroskedasticity of residual returns", Journal of Financial and Quantitative Analysis 20,p127-150.
17.Ghosh, A., I 992, "Market model corrects for generalized autoregressive conditional heteroscedasticity and the small firm effect". The Journal of Financial Research 15,p277-283.
18.Alexander ,G. J., P.G,Benson, and J . M.Kampmeyer, 1984,"Investigating the valuation effect of announcements of voluntary corporate selloffs” ,The Journal of Finance 39,p503-517.
19.Hite, G.L., J.E.Owers ,and R.e. Rogers,1987,"The marktfor interfirm asset sales: Partial sell-offs and totalliquidations", Journal of Financial Economics 18, p229-252.
20.Jain, P., 1985," The effect of voluntary sell-off announcements on shareholder wealth",Joumal of Finance 40,p209-224.
21.Rosenfeld, J. D. ,1984, "Additional evidence on the relation between divestiture announcements and sharehoder",The Joumal of Finance 39,
p1437-1447.
22. John ,K. and E. Ofek,,1995,"Asset sales and increase in focus", Journal of
Financial Economics 37,p105-126.
23.John, K. , L Lang, and J.Netter, 1992,"The voluntary restructuring of large
firms in response to performance decline",Jonrnal of Finance 47, p891 -918.
24.Kaplan, S. and M. S.Weisbach" 1992,`The success of acquisitions:Evidencs from divestitures", Journal of Finance,47,p1 07-139.
25.Lang ,L., A. Poulsen,and R.Stulz, ,1995,"Asset sales, firm performance, and he agency costs of managerial discretion", Journal of Financial Economics 37,p3-37.
26.Morck, R., A.Shleifer, and R.Vishny, 1990, ”Do managerial objectives drive bad acquisitions? ",Journal of Finance 45,p31-48.
27.Nelsol1, D. B. ,1990, "Stationarity and persistence in the GARCH(1, 1) model", Econometric Theory, 6, p318-334.
28.Berger,P.G., and E.Ofek, 1995,"Diversification`s effect on firm value", Journal of Financial Economics 37,p39-65.
29.S1ovin, S., and Ferraro,1995,"A comparison of the information conveyed by equity carve-outs, spin-offs, and asset sell-offs",1ournal of Financial Economics 37,p89-104.
30.Stulz, R.M., 1990, "Managerial discretion and optimal financing policies", Journal of Financial Economics 26,p3-28.
31.Shleifer, A. and R. Vishny, 1992, "Liquidation values and debt capacity: A market equilibrium approach",Journal of Finance 47,p1343-1366.
32.Schwarz , G., 1978, "Estimating the dimension of a Model" , The Annals of Statistics, 6, p 461-464.
33.White, H., 1980,"A heteroskedasticity-consistent covariance matrix estimator and a direct testfor heteroskedasticity", Econometrica, p817-838.		zh_TW