跳到主要內容

臺灣博碩士論文加值系統

(44.201.99.222) 您好!臺灣時間:2022/12/09 13:14
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

我願授權國圖
: 
twitterline
研究生:湯智勝
研究生(外文):Tang, Chih-Sheng
論文名稱:盈餘宣告前之融券信用交易
指導教授:郭弘卿郭弘卿引用關係
學位類別:碩士
校院名稱:國立政治大學
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:71
中文關鍵詞:盈餘宣告信用交易融券事件研究法
外文關鍵詞:earnings announcementmargin tradingshort-sellingevent study
相關次數:
  • 被引用被引用:4
  • 點閱點閱:197
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本研究主要探討兩項關於融券交易的議題。首先,本研究發現巨量融券與續後的股價反應呈現顯著的負相關。再者,進一步探究盈餘宣告前的融券信用交易是否與非盈餘宣告的時間存有差異。本研究是採用在台灣證券交易所上市之股票並觀察其盈餘宣告前五日之融券交易行為。實證結果發現盈餘宣告前的融券與盈餘宣告後的股價反應存在負向關係,顯示可能有私有資訊的交易者在盈餘宣告前進行融券交易。接下來本研究進一步使用基本財務比率中的帳面價值對市價比將樣本區分成價值型與成長型之股票,發現擁有較低比率之公司較受融券交易者之青睞。本研究希望研究成果能對證券市場主管機關在制訂法律與提供更即時、更廣泛的信用交易資訊揭露給投資大眾參考。
This research examines two issues of short-selling transactions.First,we find a strong negative relationship between short interest and subsequent abnormal returns.The second is whether short-selling in the days leading up to an announcement differs from short-selling in times when no announcement is imminent.We examine short-selling behavior of investors in the five days prior to the earnings announcements of Taiwan Stock Exchange (TSE)listed firms.The tests provide evidence that there might exist informed trading in pre-announcement short-selling because they reveal that abnormal short-selling is significantly linked to post-announcement stock returns.A high level of unusual pre-announcement short-selling is an indicator of future stock returns at earnings announcement.Also,the tests indicate that short-sellers typically are more active in stocks with low book-to-market ratio valuation.We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short-selling to investors.
目錄I
圖目錄II
表目錄III
第一章 緒論1
第一節 研究動機1
第二節 研究問題4
第三節 論文架構5
第二章 文獻探討6
第一節 盈餘宣告6
第二節 融券信用交易11
第三節 融券信用交易制度17
第三章 研究方法22
第一節 研究假說22
第二節 研究模型25
第三節 變數衡量27
第四節 資料來源與處理34
第五節 分析方法36
第四章 實證分析結果38
第一節 事件研究法38
第二節 複迴歸分析46
第三節 基本財務比率與融券關係之分析56
第五章 結論、研究限制與建議58
第一節 研究結論58
第二節 研究限制60
第三節 後續研究建議61
參考文獻62

圖目錄
圖3-1 巨量融券事件分析圖30
圖4-1標準化之每日平均異常報酬率-相對融券指標39
圖4-2標準化之每日累計平均異常報酬率-相對融券指標41
圖4-3標準化之每日平均異常報酬率-絕對融券指標43
圖4-4標準化之每日累計平均異常報酬率-絕對融券指標45
圖4-5 平均每一千股流通在外股數之融券比率46
圖4-6 相對融券比率:每日融券股數除以當日股票交易量47

表目錄
表4-1 標準化之每日平均異常報酬率-相對融券指標39
表4-2 標準化每日累計平均異常報酬率-相對融券指標41
表4-3標準化之每日平均異常報酬率-絕對融券指標43
表4-4 標準化每日累計平均異常報酬率-絕對融券指標44
表4-5迴歸式(1)敘述性統計分析表49
表4-6 迴歸式(1)各變數相關係數表49
表4-7 迴歸式(1)估計係數表50
表4-8 迴歸式(2)敘述性統計分析表51
表4-9 迴歸式(2)各變數相關係數表52
表4-10 迴歸式(2)估計係數表52
表4-11 卡方考驗表55
表4-12 依帳面價值市價比分組57
表5-1 假說實證結果彙總58
一、中文部份

王慧雲,1998,年度盈餘宣告資訊效果的實證研究,國立中山大學財務管理系未出版碩士論文。

王麗真,2004,盈餘宣告資訊效果與公司股價行為之研究,銘傳大學財務金融學系未出版碩士論文。

王正翔,2002,盈餘宣告日前後未預期盈餘及股價報酬率之關聯性研究,東海大學管理碩士學程在職進修專班未出版碩士論文。

李釗芹,2000,台灣上市公司自行宣告盈餘資訊內涵之研究,東海大學管理研究所未出版碩士論文。

余尚武,1986,台灣證券交易市場股票上市公司盈餘宣告所含資訊內容之研究,國立台灣大學商學研究所未出版碩士論文。

周燕玲,2001,台灣股票市場融券行為之實證研究,東海大學經濟系未出版碩士論文。

姚復章,1996,融券餘額與超額報酬關係之研究,國立中正大學國際經濟所未出版碩士論文。

許哲源,2002,從季盈餘宣告觀察交易量之資訊內涵,東海大學企管研究所未出版碩士論文。

葉怡芬,2004,信用交易之資訊內涵及其投資策略獲利性之研究,國立成功大學財務金融研究所未出版碩士論文。

羅順傑,2001,現金增資期間融券行為之研究,國立政治大學會計系未出版碩士論文。

二、英文部份

Aitken, M., A. Frino, M. McCorry, and P. Swan. 1998. Short sales are almost instantaneously bad news: evidence from the Australian stock exchange. Journal of Finance 53: 2205–2223.

Asquith, P., and L. Meulbroek. 1996. An empirical investigation of short interest.Working paper, Harvard Business School.

Ball, R., and P. Brown. 1968. An empirical evaluation of accounting numbers. Journal of Accounting Research 6: 159–178.

Bamber, L. 1987. Unexpected earnings, firm size, and trading volume around quarterly earnings announcements. The Accounting Review 62(July): 510–532.

Beaver, W., R. Clarke, and W. Wright. 1979. The association between unsystematic security returns and the magnitude of earnings forecast errors. Journal of Accounting Research: 316–340.

Beaver, W., R. Lambert, and D. Morse. 1980. The information content of security prices. Journal of Accounting and Economics 2: 3–28.

Bernard, V., and J. Thomas. 1989. Post-earnings-announcement drift: Delayed price response or risk premium. Journal of Accounting Research 27(supplement): 1–36.

Bhattacharya, A., and G. Gallinger. 1991. Causality tests of short sales on the New York Stock Exchange. Journal of Financial Research 14: 277–286.

Brent, A., D. Morse, and E. Stice. 1990. Short interest: Explanations and tests. Journal of Financial and Quantitative Analysis 25: 273–289.

Chambers, A., and P. Stephen. 1984. Timeliness of reporting and the stock price reaction to earnings announcements. Journal of Accounting Research 22:21–47.

Chen, H., and V. Singal. 2003. Role of speculative short sales in price formation: theCase of the weekend effect. Journal of Finance 58: 685–705.

Choie, K., and J. Hwang. 1994. Profitability of short-selling and exploitability of short information. Journal of Portfolio Management 20: 33–38.

Conrad, J. 1986. The price effect of short sales restrictions: some empirical evidence.Ph. D. dissertation, University of Chicago.

Dechow, P., A. Hutton, L. Meulbroek, and R. Sloan. 2001. Short sellers, fundamental analysis and stock returns. Journal of Financial Economics 61: 77–106.

Diamond, W., and R. Verrecchia. 1987. Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics 18: 277–311.

Easton, P., and T. Harris. 1991. Earnings as an explanatory variable for return. Journal of Accounting Research 29: 19–36.

Figlewski, S. 1981. The informational effect of restrictions of short sales: some empirical evidence. Journal of Financial and Quantitative Analysis 16: 463–476.

Figlewski, S., and G. Webb. 1993. Options, short sales, and market completeness. Journal of Finance 48: 761–777.

Fama, F., and K. French. 1992. The cross-section of expected stock returns. Journal of Finance 47: 427–465.

Fama, F., and K. French. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50: 131–155.

Judge, G., R. Hill, W. Griffiths, and T. Lee. 1985. The theory and practice of econometrics, New York, NY: John Wiley &Sons.

Hemang, D., K. Ramesh, S. Thiagarajan, and B. Balachandran. 2002. An investigation of the informational role of short interest in Nasdaq market. Journal of Finance 57: 2263–2287.

Lakonishok, J., S. Andrei, and V. Robert. 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49: 1541–1578.

Latane, H., and C. Jones. 1977. Standardized unexpected earnings—A progress report. Journal of Finance 32: 1457–1465.

Lev, B., and J. Patell. 1989. On the usefulness of earnings research: lessons and directions from two decades of empirical research. Journal of Accounting Research 27: 153–201.

Litzenberger, R., and M. Richard. 1977. The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings. Journal of Accounting Research 15: 207–230.

Rendleman, R., C. Jones, and H. Latane. 1982. Empirical anomalies based on earnings’ yields and market values. Journal of Financial Economics 10: 269–287.

Safieddine, A., and W. Wilhelm Jr. 1996. An empirical investigation of short-selling activity prior to seasoned equity offerings. Journal of Finance 51: 729–749.

Senchack, A., and L. Starks. 1993. Short-sale restrictions and market reaction to short-interest announcements. Journal of Financial and Quantitative Analysis 28: 177–194.

Skinner, D., and R. Sloan. 2002. Earnings surprises, growth expectations, and stock returns or don’t let an earnings torpedo sink your portfolio. Review of Accounting Studies 7: 289–312.

Strong, N., and M. Walker. 1993. The explanatory power of earnings for stock returns. The Accounting Review 68: 385–399.

Vu, J., and P. Caster. 1987. Why all the interest in short interest ? Financial Analysts Journal 43: 76–79.

Woolridge, J., and A. Dickinson. 1994. Short selling and common stock prices. Financial Analysts Journal 50: 30–38.

三、網站資料

台灣證券交易所網站:http://www.tse.com.tw
證券暨期貨市場發展基金會:http://www.sfi.org.tw
證券暨期貨法令判解查詢系統:http://www.selaw.com.tw
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊