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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/58936


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58936


    Title: 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
    Authors: 郭政翰
    Contributors: 張興華,江彌修
    郭政翰
    Keywords: 總資產成長率
    TCRI
    異常報酬率
    Asset growth rate
    TCRI
    Abnormal Return
    Date: 2012
    Issue Date: 2013-07-22 11:16:48 (UTC+8)
    Abstract: 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.
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    Description: 碩士
    國立政治大學
    金融研究所
    99352013
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099352013
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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