跳到主要內容

臺灣博碩士論文加值系統

(18.204.48.64) 您好!臺灣時間:2021/08/01 09:54
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:吳秉昭
研究生(外文):Ping-Chao Wu
論文名稱:契約關係的存續期間與股票價量的動態分析
指導教授:陳其美陳其美引用關係
指導教授(外文):Chyi-Mei Chen
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:41
中文關鍵詞:契約買賣價差
外文關鍵詞:ContractBid-Ask Spread
相關次數:
  • 被引用被引用:1
  • 點閱點閱:126
  • 評分評分:
  • 下載下載:21
  • 收藏至我的研究室書目清單書目收藏:0
在研究契約設計的文獻中,公司被視為一連串契約關係的連鎖架構;與公司有契約關係的個體,如股東、債權人、經理人、原料供應商及下游零售商等,被認為比一般投資大眾具有與公司體質相關的情報優勢。本篇論文則以全新角度出發,探討契約關係存續期間的長短如何影響一家公司股票在市場上的價量表現。本文以經理人的聘任為例,分析長期與短期聘任關係的選擇對公司價值的影響。在本文中,職務之便可能使經理人擁有外界投資人所沒有的私有資訊。若公司選擇定期輪調制,則經理人一旦因職務關係得知情報,將全力利用情報在市場上實現獲利。反之,當公司選擇長期聘任制,則因職務而擁有情報優勢的經理人,會採取較不積極的交易策略以偽裝成無情報優勢者,使一般投資大眾誤以為該職務並未帶給經理人情報優勢,以便其在契約存續的後期利用優勢資訊從事股票買賣時能獲得更好的交易條件。我們發現經理人的交易策略將誘使可選擇交易時點的流動性交易者儘可能地提早進場交易,使得契約存續的後期股市交易更為熱絡。
此外,若公司選擇定期更換合作夥伴,契約關係是否帶給合作夥伴情報優勢將很快在市場上反映,因而早期契約夥伴的交易行為會減低了未來契約夥伴的利益,造成一負的外部性;相反的,如公司有長期契約夥伴,則後者在股市的交易方式將使市場較難推知該契約關係是否為該契約夥伴帶來情報優勢,從而降低市場效率性。因此當公司擁有長期契約夥伴,大眾投資人交易該公司股票之總損失較高,因而降低對該公司股票的評價。本文歸結,長期合作關係將使得市場效率性降低,逆選擇成本提高,並減低一家公司的市場價值。故公司應選擇定期更換合作對象以提昇價值。
Agency theorists consider a firm as a nexus of contractual relationships where contracting parties such as shareholders, debt holders, managers, input suppliers, advertising agencies and retailers may have information superior to outsiders concerning the firm’s quality.
In this paper, we show that the duration of contractual relationship within a firm has important implications on the dynamics of the price and trading volume of the firm’s stock. An insider who expects to enjoy a long-term information monopoly that arises from contractual relationship with the firm is shown to marginally prefer less aggressive trading strategies than a counterpart of hers with only a temporary access to superior information. Such behavior makes it more difficult for market makers to infer the existence of informed traders and thus will result in smaller bid-ask spreads, which in turn attract discretionary liquidity traders to speed up their trades.
With long —term relationships, uncertainty is resolved more slowly because the informed traders trade on their information advantages gradually. This raises the uninformed traders’ losses and discourages the latter from holding the firm’s stock. Our conclusion is that a firm’s choice between changing partners regularly and committing to a partner can influence the value of the firm: Regularly changing partners is always an optimal policy.
第一章 緒論-----------------------------------------1
第二章 模型----------------------------------------8
第三章 單期買賣價差下的均衡求解----------------------12
第四章 考慮契約存續下的均衡求解------------14
第一節、 短期契約存續期間─定期更換制-------------------15
第二節、 長期契約存續期間─長期聘任制-------------------17
第五章 推論----------------------------------23
第六章 結論--------------------------------------29
附錄--------------------------------------------------32
參考文獻-------------------------------------------39
1. Admati, A., - P. Pfleiderer, 1988, A Theory of Intraday Patterns: Volume - Price Variability, Review of Financial Studies, 1(1), 3-40.
2. Admati, A., - P. Pfleiderer, 1991, Sunshine Trading - Financial Market Equilibrium, Review of Financial Studies, 4(3), 443-482.
3. Amihud, Y., - H. Mendelson, 1980, Dealership Market: Market Making with Inventory, Journal of Economic Theory 26, 244-260.
4. Bolton, P., — Dewatricpont, M., 1994, The Firm As A Communication Network, The Quarterly Journal Of Economics 109, 809-840.
5. Cohen, K., S. Maier, R. Schwartz, - D. Whitcomb, 1981, Transaction Costs, Order Placement Strategy, - Existence of the Bid-Ask Spread, Journal of Political Economy 89, 287-305.
6. Copeland, T., - D. Galai, 1983, Information Effects - the Bid-Ask Spread, Journal of Finance 38, 1457-1469.
7. Diamond, D. W., 1985, Optimal Release of Information by Firms, Journal of Finance, 40, 1071-1094.
8. Diamond, D. W., - R. E. Verrecchia, 1981, Information Aggregation in a Noisy Rational Expectations Economy, Journal of Financial Economics, 9, 221-235.
9. Easley, D., - M.O’Hara, 1987a, Price, trade size, - information in securities markets, Journal of Financial Economics 19, 69-90.
10. Easley, D., - M. O’Hara, 1991, Order Form - Information in Securities Markets, Journal of Finance 46, 905-927.
11. Easley, D., - M. O’Hara, 1992a, Time - the Process of Security Price Adjustment, Journal of Finance 47, 577-606.
12. Easley, D., - M. O’Hara, 1992b, Adverse Selection - large trade Volume: The Implications for Market Efficiency, Journal of Financial - Quantitative Analysis 27, 185-208.
13. Glosten, L., 1989, Insider trading, Liquidity - the Role of the Monopolist Specialist, Journal of Business 62, 211-236.
14. Grossman, S., - J. E. Stiglitz, 1980, On the Impossibility of Informationally Efficient Markets, American Economic Review, 70, 393-408.
15. Grossman, S.J., - M.H. Miller, 1988, Liquidity - Market Structure, Journal of Finance 43, 617-633.
16. Grundy, B.D., - M. McNichols, 1989, trade - Revelation of Information Through Prices - Direct Disclosure, Review of Financial Studies 2, 495-526.
17. Hart, O. -Moore, J., 1988, Incomplete Contracts And Renegotiation, Econometrica 56, 755-785.
18. Hasbrouck, J., 1988, Trades, Quotes, Inventories, - Information, Journal of Financial Economics 22, 229-252.
19. Hellwig, M., 1980, On the Aggregation of Information in Competitive Markets,” Journal of Economic Example, Journal of Economic Theory, 26, 279-312.
20. Ho, T., - H. Stoll, 1981, Optimal dealer pricing Under Transactions - Return Uncertainty, Journal of Financial Economics 9, 47-73.
21. Jensen, M.-Meckling, W., Theory of the Firm: Managemerial Behavior, Agency Costs and Capital Structure, Journal of Financial Economics 33, 1976, 305-360.
22. Kyle, Albert S. Continuous Auctions - Insider trading, Econometrica 56(November 1985) : 1315-35
23. Madhavan, A., 1992, Trading Mechanisms in Securities Market, Journal of Finance 47, 607-642.
24. Rajan-Raghuram,G., 1992, Insiders and Outsiders: The Choice Between Informed and Arm’s-Length Debt, The Journal Of Finance 47,1367-1401.
25. Seppi, D., 1990, Equilibrium Block trading - Asymmetric Information, Journal of Finance 45, 73-94.
26. Seppi, D., 1992, Block Trading - Information Revelation Around Quarterly Earning Announcements, Review of Financial Studies 5, 281-306.
27. Spiegel, M., - A. Subrahmanyam, 1992, Informed Speculation - Hedging in a Noncompetitive Securities market, Review of Financial Studies 5, 307-330.
28. Villas-Boas, -J Miguel, 1994, Sleeping With The Enemy: Should Corporations
Share The Same Advertising Agency, Marketing Science 13, 190-203.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top