臺灣博碩士論文加值系統

投資人於證券市場中獲取重要的資訊是相當重要的，尤其市場三大法人交易資訊更是倍受關注。本文採用的樣本期間為2004年1月~2011年12月自營商對上市公司交易紀錄的週資料，除採用市場超額報酬、資產規模及股價淨值比變數外，將原Fama and French (1993) 的三因子模型加入自營商交易網路密度變數去探討對股票報酬是否顯著正相關。若為正相關則代表自營商交易越頻繁，所以有較高的報酬，反之自營商交易數量越少代表交易不熱絡，所以報酬較低。

Obtaining effective information in the stock market is important, especially the trading information of the three major institutional investors. During the sample used from January 2004 to December 2011 of dealers week profile record of listed companies in this paper, in addition to used market excess returns、asset size and price book ratio variables, original Fama and Franch (1993) three factors model added network density variable of dealers trading to examine whether significant positive correlation on stock returns. If the transaction is a positive correlation represents dealers trading more frequently, therefore have higher reward, conversely less number of dealers trading on behalf of the transaction is not warm, therefore have lower reward.

中文摘要 i
Abstract ii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 2
第二章 文獻探討 4
第三章 資料 6
第一節 資料變數簡介 6
第二節 資料簡介 8
第三節 562家上市股 9
第四章 研究方法 13
第一節 自營商交易網路 13
第二節 股票報酬與網路密度資料分析 14
第三節 三因子迴歸模型 17
第四節 網路交易密度迴歸模型 17
第五節 假設結果 18
第五章 實證結果與分析 19
第一節 三因子模型 19
第二節 三因子＋網路密度迴歸模型 20
第三節 三因子與四因子迴歸模型比較 22
第六章 結論與建議 23
一、結論 23
二、未來研究與建議 23
參考文獻 24

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