臺灣博碩士論文加值系統

本研究主在探討列名最佳小公司的市場效果，以Forbes雜誌2005年的200家小公司為基礎樣本，並往前回朔其個別在2002年、2003年及2004年的市場效果。再者，依樣本特性分為服務業、製造業、電子業，以及其他產業，以探討不同產業的異常報酬差異。採用Brown and Warner(1985)的市場模型來估計異常報酬與累積異常報酬。結果顯示，除了2004年的事件日當天無異常報酬外，2002年、2003年2005年事件日當天購買股票確實可獲的異常報酬。也就是說，被列名為最佳小公司可視為一投資推薦資訊，投資人可根據此訊號做一短期投資，獲取小額的報酬。此外，本研究顯示產業不同並不會影響事件日當天的報酬。

The study examines the market effect for the listing of the Forbes Best Small Companies in 2002, 2003, 2004, and 2005 of the Service, Manufacture, Electronics and others industries. This paper uses the market model to estimate the abnormal returns and cumulative abnormal returns. The results report that the abnormal returns on the event day are positive in 2002, 2003 and 2005, except in the year of 2004, which demonstrate that listing on the Forbes Best Small Companies does have the recommendation value. In another words, investors can get a few exceed returns by buying those on-list companies’ stocks on the event day for a very short-term investment. The paper also assumes that no matter which industries that the stock it belongs to would not affect the abnormal returns, and contributes an investment signal of a secondary information that is yearly available on the Forbes magazines but has not been investigated.

Table of Content
CHINESE ABSTRACT I
ENGLISH ABSTRACT II
LIST OF TABLES III
LIST OF FIGURES IV
TABLE OF CONTENT V
CHAPTER 1 INTRODUCTION 1
1.1 BACKGROUND AND MOTIVATION 1
1.2 RESEARCH PURPOSE 3
1.3 RESEARCH CONTENT 4
CHAPTER 2 LITERATURE REVIEW 6
2.1 THE EFFICIENT MARKETS HYPOTHESIS 6
2.2 THE RELATIONSHIP OF THE PUBLIC MEDIA AND THE STOCK PRICE 7
CHAPTER 3 RESEARCH DESIGN 17
3.1 IDENTIFICATION AND DESCRIPTION OF THE SAMPLE 17
3.2 METHODOLOGY 20
3.2.1 Event Day 20
3.2.2 Event Period 20
3.2.3 Estimation Period 21
3.3 TEST-METHODS 22
3.3.1 Market Model 22
3.3.2 T-Test 25
CHAPTER 4 EMPIRICAL RESULTS 26
4.1 RECOMMENDATION VALUE 27
4.1.1 Test Statistics of Year 2002 27
4.1.2 Test Statistics of Year 2003 30
4.1.3 Test Statistics of Year 2004 33
4.1.4 Test Statistics of Year 2005 36
4.2 REACTION IN VARIOUS INDUSTRIES 39
4.2.1 Test Statistics of Service Industry 39
4.2.2 Test Statistics of Manufacture Industry 42
4.2.3 Test Statistics of Electronics Industry 45
4.2.4 Test Statistics of Other Industries 48
CHAPTER 5 CONCLUSIONS 51
5.1 CONCLUSIONS 51
5.2 RESEARCH LIMITATION AND FURTHER RESEARCH 54
REFERENCES 55
BOOKS 56
INTERNET 56
APPENDIX A: YEAR 2005 FORBES 200 BEST SMALL COMPANIES 57

Bauman, W. S. (1995), “Investment Analyst Recommendations: A Test of ‘The Announcement Effect’ and ‘The Valuable Information Effect’”, Journal of Business Finance & Accounting, Vol. 22(5), p.659-670
Branson, B. G., and Daryl (1998), “Information Conveyed in Announcements of Analyst Coverage”,Contemporary Accounting Research Vol.15(2), p.119-143
Brody, R. G. and Rees, L. (1996), “The Performance of Popular Investment Magazine Stock Analysts”, Journal of Applied Business Research, Vol. 12(1), p. 42-46
Brown, S.J. and Warner, J.B. (1980), “Measuring Security Price Performance”, Journal of Financial Economics, Vol. 8(3), p.205-258
Chang, A. S., Suk, D. Y. (1998), “Stock Prices and the Secondary Dissemination of Information: The Wall Street Journal''s ‘Insider Trading Spotlight’ Column”, Financial Review, Vol. 33(3), p. 115-128
Fama, E. F., and French, K. R. (2005), “The Capital Asset Pricing Model: Theory and Evidence.”, Journal of CFA Digest, Vol. 35(2), p49-51
Ferreira, E. J., and Smith, S. D. (1999), “Stock Price Reactions to Recommendations in the Wall Street Journal ‘Small Stock Focus’ Column", Quarterly Review of Economics and Finance, Vol. 39(3), p. 379-389
Julie Sloane (2005). “FSB: Fortune Small Business”, New York Publisher, Vol.15(6), p. 53-60
Liu, P., Smith, S. D., and Syed, A. A. (1992), “The Impact of the Insider Trading Scandal on the Information Content of the Wall Street Journal''s ‘Heard on the Street’ Column”, Journal of Financial Research, Vol. 15(2), p.181-88
Morris, R., and G. Brennan (2000), “Greating a Seamless Local Government and Small Business Interface for Better Regional Economic Development Outcomes,” ICSB World Conference 2000, Brisbane, Australia, June.
Morrison, B. S. (2003), “Small Business Growth: Invention, Ability, and Opportunity”, Journal of Small Business Management, Vol. Vol. 41(4), p.417-425
Peterson, D. R.(1995), “The Informative Role of the Value Line Investment Survey: Evidence from Stock Highlights”, Journal of Financial and Quantitative Analysis, Vol. 30(4), p. 607-18
Wong, Michael C. S.(1995), “Market Reactions to Several Popular Trend-Chasing Technical Signals”, Applied Economics Letters, Vol. 2(11), p.449-456

Books
Thomas, Wing Yan (2001), “Entrepreneurial Competencies and the Performance of Small and Medium Enterprises in the Hong Kong Services Sector”, p. 360-364
Witzel, and Morgen (2002). “ Small Business Services in Asian Countries: Market Development and Performance Measurement (Book)”, Asia Pacific Business Review, Vol. 9 (1), p.104-105
Zgarrick, D. P. (1993), “Use of Financial, Operational and Environmental Information to Predict the Financial Performance of Independent Pharmacies”, p. 243-254

Internet
http://www.fores.com
http://finance.yahoo.com