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研究生:陳柔安
研究生(外文):Jou-An Chen
論文名稱:資訊透明度.流動性與資訊內涵關係之研究
論文名稱(外文):A STUDY ON THE RELATIONSHIP BETWEEN INFORMATION TRANSPARENCY、LIQUIDITY AND INFORMATION CONTENT
指導教授:劉立倫劉立倫引用關係
指導教授(外文):LIU, LI-LUN
學位類別:碩士
校院名稱:中原大學
系所名稱:會計研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:79
中文關鍵詞:流動性異常報酬資訊透明度
外文關鍵詞:information transparencyliquidityabnormal return
相關次數:
  • 被引用被引用:16
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  • 收藏至我的研究室書目清單書目收藏:3
證券市場長久以來一直存在著資訊不對稱的特色,為了健全與活絡證券市場,各國無不致力於健全證券市場中資訊揭露法制,希望藉由資訊之透明化與公平取得,來弭平資訊不對稱的問題。本研究藉由證基會所發展之資訊揭露評鑑系統所公佈透明度前1/3公司的資料以及考慮流動性因子來驗證不同透明度的公司其異常報酬率是否有所不同?不同流動性的公司其異常報酬率是否有所不同?兩者變數的交互作用下,對於異常報酬率的影響又是如何?旨在於驗證公佈資訊透明度的結果對於投資人行為之探討。
實證結果發現:(1)資訊透明度低的公司其異常報酬率是顯著高於資訊透明度高的公司,符合先前的預期結果並達到顯著效果,並且在敏感性測試中發現資訊揭露評鑑系統的公佈結果對於投資人而言是顯著具有資訊內涵。(2)發現流動性低的公司其異常報酬率是顯著高於流動性高的公司,此和先前文獻探討中的學者主張一致,亦符合先前的預期結果並達到顯著效果。(3)我們觀察事件日後五天呈現透明度、流動性、以及兩者交互作用後的結果皆和異常報酬呈現顯著負相關,意即當透明度高時流動性和異常報酬率係呈現顯著負相關。這說明了若公司透明度越高,流動性和異常報酬間的負向關係越顯著。
There is a characteristic of information asymmetry for a long time in the security market, for being sound and activate the security market, various countries are devoted to perfecting the information transparency in the security market and revealing legal system invariably , hope the information transparence to be fair, to remove the problem of asymmetric information. This research use the system which is developed by Securities&Futures Institute,which announce the first 1/3 company with transparency and and test the relationship with abnormal return,and also concern about the liquidity to test the relationship with abnormal return,and finally observe the influence on cross interaction of the transparency and liquidity with abnormal return, and discuss about influence of investor’s behavior.
The result is found: (1)Its abnormal returns of the lower information transparency company is higher than the higher information transparency company, accord with the previous anticipated result. (2) Its abnormal returns of the lower liguidity company is higher than the higher liguidity company, accord with the previous anticipated result. (3)We observe that the transparency ,liquidity, and cross interaction of the transparency and liquidity all present the negative correlation at the the fifth day after the event day. This has provided if the company with higher transparency , the relationship between liquidity and abnormal returns is more significant.
目 錄
第一章 緒論……………………………………………………..1
第一節 研究源起與動機………………………………………………1
第二節 研究目的………………………………………………………7
第三節 論文架構………………………………………………………8
第二章 文獻探討………………………………………………..10
第一節代理理論與訊息放射理論……………………………………10
第二節資訊透明度的資訊內涵………………………………………14
第三節流動性…………………………………………………………22
第三章 研究假說與設計……………………………………..…32
第一節 研究假說……………………………………………..………32
第二節 研究設計……………………………………………..………34
第三節 研究期間與樣本資料……………………………………..…42
第四章 實證結果………………………………………………..44
第一節 資料描述與敘述性統計…………………………………..…44
第二節 各假說實證結果分析……………………………………..…45
第三節 敏感性測試……………………………………………..……58
第五章 結論與限制……………………………………………..61
第一節 結論………………………………………………………..…61
第二節 建議及未來研究方向…………………………………..……62

參考文獻…………………………………………………………64
中文文獻………………………………………………………………64
英文文獻………………………………………………………………65
附錄………………………………………………………………70
附表一、第一屆上市櫃公司資訊揭露評鑑結果……………………70
附錄二、第二屆上市櫃公司資訊揭露評鑑結果……………………72


表目錄
【表4-1】 敘述性統計………………………………………………..……44
【表4-2】 皮爾森相關係數…………………………………………..……45
【表4-3】 第一屆非透明度高的公司………………………………..……46
【表4-4】 第一屆透明度高的公司…………………………………..……46
【表4-5】 第二屆非透明度高的公司………………………………..……46
【表4-6】 第二屆透明度高的公司………………………………..………46
【表4-7】 假說一(第一屆)Group Statistics………………………………..47
【表4-8】 假說一(第二屆)Group Statistics………………………………..48
【表4-9】 Independent Samples Test-第一屆………………………..…….49
【表4-10】 Independent Samples Test-第二屆………………………...…….49
【表4-11】 假說二(第一屆)Group Statistics………………………….….…50
【表4-12】 假說二(第二屆)Group Statistics………………………….….…51
【表4-13】 Independent Samples Test-第一屆………………………..….….52
【表4-14】 Independent Samples Test-第二屆………………………..….….52
【表4-15~表4-24】 Descriptive Statistics-前2天~後7天………..……..…53
【表4-25】 假說三實證結果(總表)……………………………..….…….…55
【表4-26】 假說三顯著性彙總整理(表4-27至表4-36)…………..……….56
【表4-27~表4-36】 假說三實證結果-前2天~後7天……………..…...…57
【表4-37】 產業分布圖(第一屆及第二屆)…………………………..……...59
【表4-38】 假說三 結果彙總整理-電子業...……………………………….59
【表4-39】 假說三 結果彙總整理-非電子業……………………...……….60


圖目錄

【圖1-1】 論文架構圖………………………………………………………9
【圖2-1】 企業資訊流………………………………………………………15
【圖2-3】 研究架構圖………………………………………………………31
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