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    题名: 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
    贡献者: 林炯垚
    Lin, Jiong-Yao
    張嘉宏
    Zhang, Jia-Hong
    关键词: 出售資產
    事件研究
    異質變異數
    Sell-off
    Even study
    GARCH
    日期: 1996
    上传时间: 2016-04-28 11:50:53 (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.
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    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
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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