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研究生:黃信誠
研究生(外文):Cheng-chain Huang
論文名稱:規模效果成因之再探
論文名稱(外文):A Re-examination of the Size Effect.
指導教授:林哲鵬林哲鵬引用關係
指導教授(外文):Che-peng Lin
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財務金融學所
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:2004
畢業學年度:92
語文別:英文
論文頁數:45
中文關鍵詞:風險調整規模效果低價效果
外文關鍵詞:Risk adjustmentSize effectLow price effect
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現代財務理論試圖站在不同的角度,解析規模效果。所謂的規模效果,意
指市場中,公司規模較小的企業,其股票投資報酬率顯著優於大型企業。該現
象長期而穩定的存在,自Banz (1981)起即吸引了眾多學者投入研究的行列。
Fama 與French (1997)透過實證研究獲致明確結論,證明股票價格較低的股票
表現優於大型藍籌股。而這樣的低價股效應來自於低價股本身較高的風險。本
文延續Berk (1997)之研究成果,擷取自西元1985 年1 月到2002 年年底期間,
於紐約證券交易所(New York Security Exchange,簡稱NYSE)掛牌之股票,研
究規模效果於樣本期間內之表現及樣本公司股價、流通在外股數間是否具有任
何相關性?並試圖尋找造成規模效果之成因。實證結果發現,依樣本市值排序
後,市值最小的投資組合其累積報酬率高達160.28%,遠高於市值最大的投資
組合其96.91%之累積報酬。經過風險調整之後,低市值之投資組合其優異表現
不再顯著。本文之研究結果支持Berk (1997)於文獻中之推論—規模效果導源於
股票之投資風險。
Modern financial researches have pointed out that small firms usually offer higher
stock returns for investors than large ones. This study has extended the process of
Berk (1997) in order to look for the factor(s) that makes size matter. For the period
from January 1985 to December 2002, the empirical result of this article tends to
support the fact that the size effect still exists in the U.S. market. Fama & French
(1997) concluded that the ″low price effect″ is as the result of the higher discount rate
for low-price stocks. After adjusting the risk degree with the Sharp index, we found
that size would not affect the results of investing. Our conclusion supports Berk
(1997) in that the size effect results from the risk of stock prices, not from the market
value itself.
1. INTRODUCTION .................................................................................................1
2. LITERATURE REVIEW.......................................................................................4
3. DATA AND METHODOLOGY..........................................................................10
3.1. Checking the size effect for the sample period.............................................10
3.2. Are stock prices and the quantities of outstanding shares related to returns?
……………………………………………………………………………..12
3.3. Will low price stocks still perform better than high price stocks after
controlling for market value? ..............................................................................14
3.4. What will happen to the portfolios constructed by price / quantity of shares
if we were to control the other variance in the same quintile?............................15
3.5. The interaction of stock returns with price (P), number of outstanding
shares (Q) and market value (MV) in a specific year. .........................................19
3.6. Controlling market value and analyzing the interaction between the price
and the number of outstanding shares. ................................................................26
3.7. Will small firms still perform outstanding after risk adjusted? ...................34
4. CONCLUSION....................................................................................................36
REFERENCES ............................................................................................................37
Banz, R.W. 1981. ″The relationship between return and market value of common
stock. ″ Journal of Financial Economics, Vol. 9, No. 1:3-18
Berk, J. B. 1995. ″A critique of size-related anomalies.″ Review of Financial Studies,Vol. 8, No.2:275-286
— 1997. ″Does size really matter? 〃Financial Analysts Journal, Vol. 53, No.
5:12-18
Chan, K.C., N. Chen. 1991. ″Structural and return characteristics of small and large firms.″ Journal of Finance, Vol. 46, No. 4: 1467-1484
Dissanaike, G. 2002. ″Does the size effect explain the UK winner-loser effect? ″Journal of Business Finance & Accounting, Vol. 29: 139-154
Elfakhani, S., Larry J. L., and Tarek S. Z. 1998.″Small firm and value effects in the Canadian stock market. ″ The Journal of Financial Research, Vol. 21, No. 3:277-291
Elfakhani, S., Jason W. 2003. ″The survivorship bias, share price effect, and small firm effect in Canadian markets. ″ Review of Financial Economics, Vol. 12, No.4:397-414
Fama, E. F., Kenneth F. F. 1992. ″The cross-section of expected stock returns.″Journal of Finance, Vol. 47, No. 4: 427-465
— 1997. ″Value versus growth: the international evidence. ″ Yale School of
Management's Management Research Network
Fernholz, R. 1998. ″Crossovers, dividends, and the size effect. ″ Financial Analysts Journal, Vol. 54, No.3:73-78
— 2001. ″Equity portfolios generated by functions of ranked market weights. ″
Finance & Stochastics, Vol. 5 :469-488
Gaunt, C. 2004. ″Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stock market. ″ Accounting & finance, Vol. 44: 27-44
Gregory, Alan, Richard D. F. H., and Maria M. 2001. ″An analysis of contrarian
investment strategies in the UK. ″ Journal of Business Finance & Accounting, Vol.28 :1192-1230
Griffiths, M. D., D. Alasdair S. T., and Robert W. W. 1999. ″Re-examining the
small-cap myth: problems in portfolio formation and liquidation. ″ Global Finance Journal, Vol. 10, Issue 2:201-221
Haugen, R. 2001. ″Modern Investment Theory 4th.edition. ″: 600-601
Hirschey, M., Richard S. 1992. ″Size effects in the market valuation of fundamental factors. ″ Financial Analysts Journal, Vol. 48, Issue 2: 91-95
Jegadeesh, N., Sheridan T. 1993. ″Returns to buying winners and selling losers:
implications for stock market efficiency. ″ The Journal of Finance, No. 1:65-91
James, C., Robert O. E. 1983. ″The relation between common stock returns trading activity and market value.″ The journal of finance, Vol. 38, No. 4:1075-1086
Pinfold J. F., Willian R. W., and Qiuli Li 2001. ″Book-to-market and size as
determinants of returns in small illiquid markets: the New Zealand case. ″ Financial services review, Vol. 10: 291-302
Reinganum, Marc R. 1981. ″Abnormal returns in small firm portfolios. ″ Financial Analysts Journal :52-56
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Xavier Garza-Gómez, Jiro Hodoshima, and Michio Kunimura 1998. ″Does size
really matter in Japan? ″ Financial Analysts Journal, Vol. 54, No.6: 22-34
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