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研究生:張旭玲
研究生(外文):Hsu-ling Chang
論文名稱:台灣股票市場不同資本結構下股價與盈餘關係之實證研究-縱橫資料平滑移轉迴歸
論文名稱(外文):An Empirical Study of Relationship between Stock Prices and Earnings under Different Capital Structure in Taiwan Stock Market: Application of Panel Smooth Transition Regression
指導教授:張倉耀張倉耀引用關係陳燕錫陳燕錫引用關係
指導教授(外文):Tsang-yao ChangYahn-shir Cheng
學位類別:博士
校院名稱:國立雲林科技大學
系所名稱:管理研究所博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:96
語文別:英文
論文頁數:95
中文關鍵詞:資本結構縱橫資料共整合縱橫資料平滑移轉迴歸模型盈餘反應係數
外文關鍵詞:Capital StructureEarnings Response Coefficient (ERC)Panel Smooth Transition Regression ModelsPanel Cointegration
相關次數:
  • 被引用被引用:3
  • 點閱點閱:237
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
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
Reference
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