臺灣博碩士論文加值系統

Conrad and Kaul(1993) and Loughran and Ritter (1996) 認為美國股市存在低價股效應(Low price effect),但它不能解釋文獻上的過度反應現象(Overreaction)。
而國內文獻,翁霓、劉維琪、陳隆麒(民國84年),他們將國內股票市場價格分為5群排列,結果發現,最低股價群的年度報酬率高於最高股價群的年度報酬率。
但以上國內外文獻並沒有真正對低價股效應作統計上檢定,同時也沒有說明低價股效應的原因。本文的目的就是要探討以上二個問題。我們以形成期末股價由高至低排列,選出最高價和最低價20檔,檢測其報酬率是否有差異。結果發現:低價股的平均報酬率明顯高於高價股的平均報酬率。進一步我們探討低價股效應發生的原因。由資料發現負債權益比、市值、前期報酬皆無法完全個別解釋低價股效應。

ABSTRACT
Conrad and Kaul(1993) and Loughran and Ritter (l996) considered that American stock market exists low-price effect which cannot explain the overreaction documentarily.。
Meanwhile, the documents written by ,翁霓、劉維琪、陳隆麒(1995) who rated the stock market price in Taiwan into five groups and they found out later the annual return of the lowest stocks is larger than that of the highest.
Accordingly, the documents no matter in Taiwan or America have not directly examined the low-price effect statistically. Furthermore, they have not explained why the low-price effect happens either. And the purpose of this essay is to discuss the two major problems mentioned above. 20 of both the highest and lowest priced stocks (rated from high to low) are chosen according to the stock price at the end of the forming period to be tested to see if there exists any differences in the returns. The result shows: the average return of the lower-priced stocks is obviously larger than that of the higher-priced stocks. To get further information of why lower-priced stock effect happens, we found that debt- equity ratio, market value, and prior return cannot totally and individually explain lower-priced stock effect.

目 錄
第一章 緒 論 ----------------------------------------------- 1
第一節 研究動機 ------------------------------------------- 1
第二節 研究架構 ------------------------------------------- 2
第二章 文 獻 探 討 -------------------------------------------- 4
第一節 負債權益比、公司規模、過去報酬率和低價股效應 之關係 ------------------------------------------------------ 4
第二節 股市低價股效應之文獻探討 ------------------------ 5
第三節 負債權益比效應 ---------------------------------- 7
第四節 規模效應 ------------------------------------------- 8
第三章 研 究 方 法 ------------------------------------------- 13
第一節 樣本選取與研究期間 ---------------------------- 15
第二節 變數的定義 --------------------------------------- 16
第三節 實證方法 --------------------------------------------- 17
第四章 實證結果與分析 ---------------------------------------- 21
第一節 低價股效應之實證結果 --------------------------- 21
第二節 低價股效應發生原因之探討 ---------------------- 22
一 、 控制負債權益比之實證結果 ------------------------ 22
二 、 控制市值之實證結果 ------------------------------- 22
三 、 控制前期報酬之實證結果 -------------------------- 22
第三節 低價股效應發生原因之檢定 ---------------------- 23
第五章 結 論 與 建 議 ----------------------------------------- 25
第一節 結 論 -------------------------------------------------- 25
第二節 建 議 -------------------------------------------------- 26
參 考 文 獻 ---------------------------------------------------------- 27
附 表2 國內有關過度反應相關文獻----------------------------- 34
附 表3 國外有關過度反應相關文獻----------------------------- 36
附 表6 高低20檔股票報酬率%之比較 ------------------------- 38
附 表7 高低20檔股票CAR實證元月報酬率%之比較--------- 39
附 表8 依收盤價格排序高低20檔組合於測試期之平均報酬率-- 40
附 表9 依負債比區分高低5檔股票CAR報酬率之比較 ------ 41
附 表10 依負債比區分高低5檔股票HPR報酬率之比較------- 42
附 表11 依市值比區分高低5檔股票CAR報酬率之比較-------- 43
附 表12 依市值比區分高低5檔股票HPR報酬率之比較------- 44
附 表13 依前期報酬區分高低5檔股票CAR報酬率之比較----- 45
附 表14 依前期報酬區分高低5檔股票HPR報酬率之比較----- 46
附 表15 依負債權益比排列分5組再依價格排列之高低5檔股票報酬率------------------------------------------------------- 47
附 表16 依市值排列分5組再依價格排列之高低5檔股票報酬率 48
附 表17 依前期報酬排列分5組再依價格排列之高低5檔股票報酬率 --------------

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【16】翁霓、劉維琪、陳隆麒 (1995)「投資績效分析:低價股效果及小股本效果之實證研究」,管理科學學報,頁335-359。
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