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研究生:張雅雯
研究生(外文):Ya-wen Chang
論文名稱:台灣電子業在不同營收成長下股價與每股盈餘之關連性‏
論文名稱(外文):The Relationship between Stock Price and EPS under the Different Level of Growth Rate of Operating Revenue: An Empirical Study of Electrical Industry in Taiwan
指導教授:蘇志偉蘇志偉引用關係
指導教授(外文):Chi-Wei Su
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融研究所
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:2008/06/
畢業學年度:96
語文別:英文
論文頁數:31
中文關鍵詞:縱橫資料共整合盈餘反應係數
外文關鍵詞:Panel CointegrationEarnings Response Coefficient (ERC)
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本研究使用縱橫資料共整合方法探討股價及每股盈餘之關係,更進一步研究公司在營收成長率不同下,股價反應每股盈餘之程度是否有差異。實證結果指出,長期而言,股價和每股盈餘存在共整合關係。除此之外,更發現當公司成長率越高,每股盈餘對股價之解釋能力越低;當公司成長率愈低,每股盈餘對股價之解釋能力愈高。
In this study, we use panel cointegration method to investigate the relationship between stock prices and earnings-per-share (EPS). Furthermore, we consider whether stock prices respond to EPS under the different level of growth rate of operating revenue. The empirical result indicated that the cointegration relationship existed between stock prices and EPS in the long-run. Furthermore, we found that for the firm with the high level of growth rate, EPS has less power in explaining the stock prices; however, for the firm with the low level of growth rate, EPS has a strong impact in stock prices.
ABSTRACT II
CONTENTS III
LIST OF TABLES IV
CHAPTER 1 INTRODUCTION 1

CHAPTER 2 MODELS 5

CHAPTER 3 METHODOLOGY 6
3.1 Panel Unit Root Tests 6
3.1.1 Levin, Lin and Chu (L-L-C, 2002) Panel Unit Root Test 7
3.1.2 Im, pesaran and Shin (IPS, 2003) Panel Unit Root Test 8
3.1.3 Maddala and Wu (MW, 1999) Panel Unit root Test 9
3.1.4 Hadri Panel Unit Root Test 10
3.2 Panel Cointegration test 11
3.3 The ERCs Estimation of Panel Cointegrated Regression 13

CHAPTER 4 EMPIRICAL ANALYSIS 15
4.1 Results from the individual analyses 15
4.2 Results from the panel data 16
4.3 ERC Estimation of Panel Cointegrated Regression 17

CHAPTER 5 CONCLUSIONS 18

REFERENCES 19
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Maddala, G.S., & Wu, S. (1999), A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test, Oxford Bulletin of Economics and Statistics, 61, 631-652.
Pedroni, P. (1995), Panel cointegration, asymptotic and finite sample properties of pooled time series tests, with an application to the PPP hypothesis. Indiana University, Working Paper in Economics, No. 95-031, June.

Pedroni, Peter (1999), Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors, Oxford Bulletin of Economics and Statistics, 61, 653-670.
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Sing, T. F., Liow, K. H., & Chiang W.-J. (2002) Mean reversion of Singapore property stock prices towards their fundamental values, Journal of Property Investment and Finance, 20, 374-387.
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