臺灣博碩士論文加值系統

本研究使用Hansen縱橫門檻迴歸（Hansen panel threshold regression）模型重新驗證台灣股市所存在之異常報酬（unusual return）現象，檢視是否存在規模效應（size effect）、益本比效應（E/P effect）、淨值市價比效應（BV/MV effect），以及彼此之間是否存在交互效應，並進一步探討異常報酬是否受公司規模及淨值市價比之影響而呈現上下不對稱之關係，以期瞭解在不同區塊下之公司對於異常報酬的影響程度及波動情況。實證結果發現公司規模、益本比分別與報酬間存在一負向、正向之關係，證實台灣股市確實存在規模效應及益本比效應，而淨值市價比與異常報酬間存有雙重門檻效果（double threshold effect），依門檻值大小分成三個上下不對稱的區塊，其影響方向依序分別為負向、正向、正向，且大多公司主要落於後兩個區塊中，即淨值市價比愈高的區塊，其平均異常報酬率就愈高，因此就整體解釋而言與報酬間呈現正向影響，顯示淨值市價比效應的存在。另外關於公司規模、益本比、淨值市價比彼此之間的交互效應驗證的部分，發現公司規模與淨值市價比存在交互效應，其餘兩兩之間則皆不存在交互效應。

The researcher use Hansen Panel Threshold Regression model to verify Taiwan stock market have phenomenon of unusual return. To verify size effect, E/P effect and BV/MV effect related with unusual return of Taiwan stock market. We would further to explore that unusual return is effected by company size and BV/MV to perform unsymmetrical relationship. Therefore, we need to understand level and fluctuation based on different companies.We found that company size have negative relationship with return and E/P have positive relationship with return from tests. The Taiwan stock market have size effect and E/P effect. BV/MV and unusual return have double threshold effect. Depending on threshold areas to divide three unsymmetrical areas have negative, positive and positive performances. Most companies are belonged to last two areas. The higher BV/MV is, the higher the average rate of unusual return is. Therefore, BV/MV effect have direct proportion with unusual return. With company size, E/P and BV/MV, we found that company size is reacted with BV/MV and others is not related.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究範圍與期間 3
第四節 研究流程 3
第二章 文獻探討與理論基礎 5
第一節 規模效應之相關研究 5
第二節 規模效應與益本比效應之關係 11
第三節 規模效應與淨值市價比效應之關係 13
第三章 研究設計 17
第一節 樣本期間與選樣標準 17
第二節 操作型變數定義與衡量 20
第三節 研究方法 23
第四章 實證結果與分析 33
第一節 基本變數分析 33
第二節 縱橫門檻迴歸之實證分析結果-檢測規模效應 39
第三節 縱橫門檻迴歸之實證分析結果-檢測淨值市價比效應 45
第四節 規模效應、淨值市價比效應與益本比效應之比較 50
第五章 結論與建議 51
第一節 研究結論 51
第二節 研究限制與後續建議 52
參考文獻 54
附錄一 58
附錄二 59

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