政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58727
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 51039845      在线人数 : 899
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/58727


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/58727


    题名: 台灣證券市場財務危機與異常報酬之關係-以價值型投資策略為例
    Financial distress and anomalies in Taiwan stock market- value-based strategy
    作者: 黃鈺家
    贡献者: 張興華
    黃鈺家
    关键词: 異常報酬
    信用風險
    財務危機
    價值型投資策略
    信用評等
    日期: 2012
    上传时间: 2013-07-01 17:52:04 (UTC+8)
    摘要: 市場上存在許多傳統資產模型無法解釋的異常現象，本論文將探討台灣證券
    市場異常報酬投資策略之獲利與財務危機間的關聯性，重點放在價值型投資策略，
    由買進高淨值市價比的公司股票，放空低淨值市價比的股票，建構出價值型投資
    組合。此投資策略的主要獲利來源出自投資組合的多頭部位，即高淨值市價比的
    公司。且信用風險作為財務危機的代理變數，在解釋異常報酬上扮演重要角色，
    價值型投資策略的異常報酬在高信用風險公司是較大的，表示財務危機的影響是
    有反映在股票報酬上的。而與美國市場的結果不同，信用評等降評對報酬的影響
    在台灣證券市場並不顯著。
    Anomalies exist in the markets that cannot be explained by traditional
    asset-pricing models. This paper assesses implications of financial distress for the
    profitability of anomaly-based trading strategies in Taiwan stock market. We focus on
    the value-based strategy which conditions on the BM ratio. It involves buying highest
    BM and selling lowest BM stocks. Financial distress, as proxied by rating downgrades,
    is likely to be a primary ex ante indicator of a company’s future performance.
    Anomaly returns of value-based strategy are bigger in high credit risk companies. But
    unlike the evidence in U.S market, rating downgrades only have limited impact on
    stock returns in Taiwan.
    參考文獻: 1. Amato, J.D. ,and E.M. Remolona, 2003, The Credit Spread Puzzle. BIS Quarterly Review.
    2. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2009, Credit ratings and the cross-section of stock returns. Journal of Financial Markets. 12(3), 469-499.
    3. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2013, 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. Bauman, W.S., C.M. Conover ,and R.E. Miller, 1998, Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets. Financial Analysts Journal. 54(2), 75-89.
    8. Campbell, J.Y., J. Hilscher ,and J.A.N. Szilagyi, 2008, In Search of Distress Risk. The Journal of Finance. 63(6), 2899-2939.
    9. Capaul, C., I. Rowley ,and W.F. Sharpe, 1993, International Value and Growth Stock Returns. Financial Analysts Journal. 49(1), 27-36.
    10. Chan, L.K.C., Y. Hamao ,and J. Lakonishok, 1991, Fundamentals and Stock Returns in Japan. The Journal of Finance. 46(5), 1739-1764.
    28
    11. Chu, H.-H., K.-C. Ko, S.-J. Lin ,and H.-W. Ho, 2013, Credit Rating Anomaly in Taiwan Stock Market. forthcoming in Asia-Pacific Journal of Financial Studies.
    12. 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.
    13. Dichev, I.D., 1998, Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance. 53(3), 1131-1147.
    14. Dichev, I.D. ,and J.D. Piotroski, 2001, The Long-Run Stock Returns following Bond Ratings Changes. The Journal of Finance. 56(1), 173-203.
    15. Fama, E.F. ,and K.R. French, 1992, The Cross-Section of Expected Stock Returns. The Journal of Finance. 47(2), 427-465.
    16. 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.
    17. Fama, E.F. ,and K.R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance. 50(1), 131-155.
    18. Fama, E.F. ,and K.R. French, 1998, Value versus Growth: The International Evidence. The Journal of Finance. 53(6), 1975-1999.
    19. Fama, E.F. ,and K.R. French, 2004, The Capital Asset Pricing Model: Theory and Evidence. The Journal of Economic Perspectives. 18(3), 25-46.
    20. Fama, E.F. ,and K.R. French, 2008, Average Returns, B/M, and Share Issues. The Journal of Finance. 63(6), 2971-2995.
    29
    21. Fama, E.F. ,and K.R. French, 2008, Dissecting Anomalies. The Journal of Finance. 63(4), 1653-1678.
    22. Graham, B. ,and D. Dodd, Security Analysis,1934. 1934: New York: Whittlesey House/ McGraw Hill.
    23. Griffin, J.M. ,and M.L. Lemmon, 2002, Book–to–Market Equity, Distress Risk, and Stock Returns. The Journal of Finance. 57(5), 2317-2336.
    24. Hand, J.R.M., R.W. Holthausen ,and R.W. Leftwich, 1992, The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. The Journal of Finance. 47(2), 733-752.
    25. Jagannathan, R. ,and Z. Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns. The Journal of Finance. 51(1), 3-53.
    26. 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.
    27. Lakonishok, J., A. Shleifer ,and R.W. Vishny, 1994, Contrarian Investment, Extrapolation, and Risk. The Journal of Finance. 49(5), 1541-1578.
    28. Laxmi Chand, B., 1988, Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. The Journal of Finance. 43(2), 507-528.
    29. Levy, H., 1978, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio. The American Economic Review. 68(4), 643-658.
    30
    30. 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.
    31. Markowitz, H., 1952, Portfolio Selection. The Journal of Finance. 7(1), 77-91.
    32. Merton, R.C., 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, in The Journal of Finance. p. 483-510.
    33. Porta, R.L., J. Lakonishok, A. Shleifer ,and R. Vishny, 1997, Good News for Value Stocks: Further Evidence on Market Efficiency. The Journal of Finance. 52(2), 859-874.
    34. Reinganum, M.R., 1981, Misspecification of capital asset pricing: Empirical anomalies based on earnings` yields and market values. Journal of Financial Economics. 9(1), 19-46.
    35. Roll, R., 1977, A critique of the asset pricing theory`s tests Part I: On past and potential testability of the theory. Journal of Financial Economics. 4(2), 129-176.
    36. Roll, R., 1980, Performance evaluation and benchmark errors (I). The Journal of Portfolio Management. 6(4), 5-12.
    37. Roll, R., 1981a, Performance Evaluation and Benchmark Errors (II). The Journal of Portfolio Management. 7(2), 17-22.
    38. Roll, R., 1981b, A Possible Explanation of the Small Firm Effect. The Journal of Finance. 36(4), 879-888.
    39. Rosenberg, B., K. Reid ,and R. Lanstein, 1985, Persuasive evidence of market inefficiency. The Journal of Portfolio Management. 11(3), 9-16.
    31
    40. 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.
    41. Sharpe, W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance. 19(3), 425-442.
    42. Sheu, H.-j. ,and K.-p. Ku, 1999, An empirical study of forecasting power of turnover and book-to-price for stock returns in Taiwan. Advances in Pacific Basin financial markets. 5, 325-336.
    43. 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.
    44. 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.
    45. 方智強、姚明慶, 1998, 台灣上市公司的淨值市價比現象. 管理學報. 15(3), 367-391.
    46. 陳家彬, 1999, 台灣地區股票報酬之橫斷面分析：三因子模式之實證. 興大人文社會學報. 8, 213-235.
    描述: 碩士
    國立政治大學
    金融研究所
    100352015
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100352015
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2289检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈