臺灣博碩士論文加值系統

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，更進一步探討不同產業下盈餘反應係數之程度。實證結果指出，長期而言股價和每股盈餘存在長期共整合關係。接著，我們使用縱橫資料平滑移轉迴歸模型探討資本結構之特徵，該模型之特點當樣本存在異質性時，應用於隨時間相依資料下能夠有效估計迴歸係數，結果發現股價與資本結構存在非線性之關係，應用該模型在資本市場不完全下可描述公司之融資行為。

In this study, we use panel cointegration methods to investigate the relationship between stock prices and earnings-per-share (EPS). Moreover, we consider the degree of Earnings Response Coefficient (ERC) under different industries. The empirical result indicated that the cointegration relationship existed between stock prices and EPS in the long-run. Furthermore, we apply the panel smooth transition regression to explore the characteristics of capital structure. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Our results confirm the nonlinearity of the link between stock price and capital structure. The new model is applied to describe firm’s financing behaviors in the presence of capital market imperfections.

Contents
Abstract…………………………………………………………………i
Contents…………………………………………………………………iii
Chapter 1 Introduction……………………………………………………1
Chapter 2 Literatures Review…………………………………………10
Chapter 3 The Empirical model…………………………………….…...23
3.1 Relationship between Stock Prices and Earnings………………...23
3.2 Panel Smooth Transition Regression Model Construction……….25
Chapter 4 Methodology………………...……………………………….28
4.1 Panel Unit Root Tests……………………….……………………28
4.1.1 Levin, Lin and Chu (L-L-C, 2002) Panel Unit Root Test…28
4.1.2 Im, Pesaran and Shin (IPS, 2003) Panel Unit Root Test…30
4.1.3 Maddala and Wu (MW, 1999) Panel Unit Root Test……31
4.1.4 Hadri (2001) Panel Unit Root Test………………………32
4.2 Panel Cointegration Test…. ...……………………….….……….33
4.2.1 Kao (1999) Homogeneous Panel Cointegration Tests with the null of non-cointegration………………………..……34
4.2.2 Pedroni (1997, 1999) Heterogeneity Panel Cointegration Tests for the null of non-cointegration with multiple variables………………………………….………………35
4.3 The Estimation of ERCs………………………………………….39
4.3.1 The Traditional Panel Estimators…………………………39
4.3.1.1 Pooled OLS Estimator…………..……………………39
4.3.1.2 Fixed-Effected Estimator……..………………………40
4.3.1.3 Between-Group Estimator……………………………40
4.3.2 The ERCs Estimation of Panel Cointegrated Regression..41
4.4 Panel Granger Causality Test…………………………….43
4.5 Panel Smooth Transition Regression……………………………44
Chapter 5 Empirical Results…………………………………………….50
5.1 Data……………………………………….………………………50
5.2 Panel Unit Root Tests…………………………………………….50
5.3 Panel Cointegration Test………………………………………….52
5.4 ERCs from traditional panel analysis……………………………52
5.5 ERCs from panel cointergration analysis…….…………………53
5.6 Panel Granger Causality test results……………………………54
5.7 Panel Smooth Transition Regression results……………………54
Chapter 6 Conclusions…………………………………………...……...61
Reference………………………………………………..………………63
Statistical Tables…………………………………………………...……73
Figure…………………………………………………..………………84

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