臺灣博碩士論文加值系統

本研究之之目的在於利用事件研究法探討企業先經興櫃轉上櫃再轉上市股價之影響同時也利用各公司之財務槓桿比率及CAPM模型推估其預期股價，進而計算公開市場交易是否具有資訊揭露的效果。研究檢定樣本為台灣證券交易所上市之公司，此事件對相關企業總共29家，採用經二次交換交易市場的公司為本研究之樣本；其資料來源為：台灣經濟新報資料庫，分別設定轉換市場後的首次掛牌交易日為事件窗口。
分別利用市場指數調整模型計算有無顯著異常報酬，且運用事件分析法檢定轉換交易市場對於企業股價之影響，另外再運用企業所公布的財務報表計算公司各項項財務比率得後運用CAPM之市場模型預測股價，兩者進行交互比對。
實證結果顯示：在初上興櫃之時有正向異常報酬但並不顯著，所以可以判定這些公司在興櫃股票市場之規定建立之前便已經在市場上做了部分資訊流通。而當企業由新興股票市場轉為櫃檯買賣時；累積異常報酬持續顯著，而在首次櫃檯買賣當天；具有顯著的異常報酬及累積異常報酬。接著當公司再度轉換交易市場，在上市前一天即事件發生日當天跟之後一天皆具有顯著且正向的異常報酬及累積異常報酬，但在事件發生日後第三天便有顯著的負向異常報酬,接著運用公司財務比率計算預估價格和實際交易價格做比對，實證結果證實經2次轉換市場之企業可以在最短時間內藉由股價反應其企業的真實價值，有效縮短蜜月期。

This investigation is focus on event studies for stock price from the REG and OTC to TES eventually. At meanwhile, the Financial leverage ratio and CAPM model have been used to estimate the stock price and confirm the effect of the information revealed of the opening business transaction. There are 29 TSE corporation resource of the investigation is form the Taiwan Stock Exchange, and assume the corporation for secondary exchange market as the studied sample.
Form the result, it is not obvious for the positive abnormal return at the beginning of the REG. It can be determined that these companies in the emerging stock market before the establishment of the rules have been done in the market part of the information revealed. With the enterprise from the emerging stock market to TES trading; abnormal pay continued cumulating significantly. In the first day of the TES trading; there are existed abnormal compensation and accumulated abnormal compensation significantly. When the company re-converts to the TES trading market, there are existed the significantly and positively abnormal remuneration and accumulated abnormal compensation with the day before the day of the trading event is the day of the trading event. But in the trading event after the third day there will be a significantly negative abnormal reward. And then, the company's financial ratio is used to calculate the estimated price and the actual transaction price to be comparised. From the empirical results, it’s confirmed that the enterprises that have switched to the market twice can be responded to the real value of the business in the shortest time, effectively shortening the honeymoon period.
Keywords: Event Studies, Abnormal Return, Information Disclosure Effect, CAPM, Financial Ratio Analysis

目錄
中文摘要
英文摘要
第一章緒論與研究回顧 1
第一節研究動機與目的 1
第二節研究回顧 1
第二章研究方法 4
第一節研究樣本 4
第二節研究假設 4
第三節實證模型 4
第三章實證結果 8
第四章結論與建議 13
參考文獻 14
附錄一 樣本公司基本資料
附錄二 銀行存放央行準備金乙戶利率

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