臺灣博碩士論文加值系統

本研究是以1998年至2007年之2541個交易日為期間，採用704家上市公司為對象，以買賣單不平衡作為資訊不對稱之代理變數，並納入本益比、淨值市價比和公司規模三個特徵因子作為其控制變數，探討資訊不對稱下之股票報酬行為，以縱橫資料(panel data)迴歸模型進行實證分析。其實證結果如下：
一、 前期買賣單不平衡與當期股票報酬呈顯著之正向關係，此結果支持過去學者研究大多認為前期買賣單不平衡會與當期股票報酬呈正向關係，即若前期買單大於賣單則當期股票報酬會較大，反之亦然。
二、 前期本益比和前期公司規模與當期股票報酬呈顯著之負向關係。而前期淨值市價比會與當期股票報酬呈顯著之正向關係。
三、 將迴歸式加入買賣單不平衡之虛擬變數與公司特徵因子的交乘項後，其實證結果發現，買賣不平衡與公司規模之交乘項則顯著異於零，和當期股票報酬呈顯著之負向關係。買賣單不平衡與本益比和淨值市價比之交乘項則顯著異於零，且皆和當期股票報酬呈顯著之正向關係。
四、 本研究樣本採用兼具時間序列與橫斷面的縱橫資料(panel data)，其檢定結果顯示，固定效果模型較普通最小平方模型與隨機效果模型更具其解釋能力且較適合進行實證分析。

This study uses 2541 trading days from 1998 to 2007 for 704 listed companies. Adopting order imbalance as a proxy of information asymmetry, we employ panel model including three characteristic factors as control variables of P/E ratio, B/M ratio, and Size to observe the stock returns under information asymmetry. Empirical results are as follows：
1.Prior order imbalance has a significantly positive relationship with the stock return. Past scholars considered that prior period order imbalance has a positive relationship with current stock return. When prior buying trading orders are more than selling trading orders, the current stock returns exist, vice versa.
2.The prior P/E ratio and the prior Size have a significantly negative relationship with stock return. However, the prior B/M ratio have a significantly positive relationship with stock return.
3.Adding the interaction of order imbalance and company characteristics, empirical result shows that the coefficient of interaction of order imbalance and Size is negative significant. The coefficient of interaction of order imbalance and P/E ratio is positive significant. The coefficient of interaction of order imbalance and B/M ratio is positive significant, too.
4.The fixed effect model is more appropriate than ordinary least squares model and random effects model.

目　錄
中文摘要 i
英文摘要 ii
誌 謝 iii
目　錄 iv
表目錄 v
第壹章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 5
第三節　研究架構 6
第貳章　文獻探討 7
第一節　資訊不對稱、買賣單不平衡與股票報酬之相關文獻 7
第二節　本益比與股票報酬之相關文獻 14
第三節　淨值市價比與股票報酬之相關文獻 19
第四節　公司規模與股票報酬之相關文獻 24
第參章　研究設計 28
第一節　研究樣本與資料來源 28
第二節 研究變數之定義 30
第三節 研究方法 33
第肆章　實證結果與分析 41
第一節　變數之敍述性統計 41
第二節　縱橫資料之最適模型 43
第三節　股票報酬之實證結果 48
第伍章 結論與建議 53
第一節　結論 53
第二節　研究建議與研究限制 55
參考文獻 57

一、　中文部分
[1]汪子淵，2002，日本股票市場的因子探討，國立東華大學國際經濟研究所碩士論文。
[2]宋東威，2007，再檢視台灣股市之規模效應，逄甲大學企業管理所碩士論文。
[3]姚明慶，1996，普通股淨值市價比與預期報酬，國立中正大學會計學研究所碩士論文。
[4]洪榮耀，2005，資訊交易機率模型及其應用，國立中山大學財務管理研究所博士論文。
[5]胡玉雪，1994，益本比、淨值╱市價比及公司規模對股票報酬之影響─相似無關迴歸法之應用，國立台灣大學商學研究所碩士論文。
[6]許維真，1996，何種益本比資料有助於選股？--臺灣股市橫斷面報酬率影響因素之研究，國立台灣大學國際貿易研究所碩士論文。
[7]陳怡樺，2007，IPO個股之初始報酬，買賣單不平衡，與波動性之研究，國立台灣大學財務金融研究所碩士論文。
[8]郭柏欣，2007，最大跌幅投機型個股報酬率，波動性與買賣單不均衡之動態關係，國立台灣大學財務金融研究所碩士論文。
[9]郭逢春，1993，臺灣上市公司在不同投資區間下的淨值╱市價比效果，國立台灣大學財務金融研究所碩士論文。
[10]黃昭祥，1992，臺灣股市公司規模、本益比、殖利率與價格效應交互作用之實證研究，國立中正大學財務金融研究所碩士論文。
[11]黃國彰，2007，各項選股指標於台灣股票市場的實用性探討--應用對象與應用時機之研究，國立台灣大學國際企業學研究所碩士論文。
[12]黃漢青，2006，日內報酬與買賣單不對稱之動態關係，國立台灣大學財務金融研究所博士論文。
[13]劉美蘭，1991，台灣股票本益比與報酬率關係之研究，國立中興大學企業管理研究所碩士論文。
[14]劉緯宸，2005，台灣股票市場規模效應與外資效應實證，國立雲林科技大學企業管理所碩士論文。
[15]鄭燕茹，2004，盈餘、股利與股票預期報酬之橫斷面分析，國立中央大學企業管理研究所碩士論文。
[16]謝郁君，2008，淨值市價比效應與市值、破產風險、研發、動能效應、電子產業的關係，大葉大學會計資訊研究所碩士論文。
[17]顧廣平，1994，漲跌幅與公司規模對股票報酬之影響－台灣股票市場之實證研究，國立交通大學管理科學研究所碩士論文。
二、英文部分
[1]Alpert, M. and H. Raiffa, 1982, “A Progress Report on the Training of Probability Assessors,” Judgment under Uncertainty: Heuristics and Biases, Cambridge University Press, 294-305.
[2]Amihud, Y., 2000, “The Liquidity Route to a Lower Cost of Capital,” Journal of Applied Corporate Finance, 12, 8-25.
[3]Amihud, Y. and H. Mendelson, 1986, “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics, 17, 223-249.
[4]Amihud, Y. and H. Mendelson, 1989, “The Effects of Beta, Bid-Ask Spread,Residual Risk, and Size on Stock Return,” Journal of Finance, 44, 479-486.
[5]Amihud,Y., H. Mendelson, and B. Lauterbach, 1997, “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange,” Journal of Financial Economics, 45, 365-390.
[6]Banz, R. W., 1981, “The Relationship between Return and Market Value of Common Stock,” Journal of Financial Economics, 9, 3-18.
[7]Basak, S. and D. Cuoco, 1998, “An Equilibrium Model with Restricted Stock Market Participation,” The Review of Financial Studies, 11, 309-341.
[8]Basu, S., 1977, “Investment Performance of Common Stocks in Relation to Their Price-earnings Ratios: A Test of the Efficient Market Hypothesis,” Journal of Finance, 32, 663-682.
[9]Basu, S., 1983, “The Relation between Earnings''yield, Market Value and Return for NYSE Common Stocks: Further Evidence,” Journal of Financial Economics, 12, 129-156.
[10]Bauman, W. S. and R. E. Miller, 1997, “Investor Expectations and the Performance of Value Stocks Versus Growth Stocks,” Journal of Portfolio Management, 23, 56-78.
[11]Beaver, W. H., 1989, “Financial Reporting: An Accounting Revolution, Prentice-Hall International Inc.”
[12]Bhandari, L., 1988, “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Vidence,” Journal of Finance, 43, 507-528.
[13]Black, M., F.Jenson, and M. Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests, Studied in the Theory of Capital Market,” Praeger Publishers, New York, 79-121.
[14]Bleiberg, S., 1989, “How Little We Know,” Journal of Portfolio Management, 15, 26-31.
[15]Blume, M., A. MacKinlay, and B. Terker, 1989, “Order Imbalances and Stock Price Movements on October 19 and 20, 1987,” Journal of Finance, 44, 827-848.
[16]Brennan, M. J., T. Chordia, and A. Subrahmanyam, 1998, “Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns,” Journal of Financial Economics, 49, 345-373.
[17]Breusch, T. S. and Pagan, A. R, 1980, “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics.” Review of Economic Studies, 47, 239-254.
[18]Brennan, M. J. and A. Subramanyam, 1996, “Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns,” Journal of Financial Economics, 41, 441-464.
[19]Chan, K. and W. Fong, 2000, “Trade Size, Order Imbalance, and the Volatility-volume Relation,” Journal of Financial Economics, 57, 247-273.
[20]Chan, K., C. and Nai-fu Chen, 1991, “Structural and Return Characteristics of Small and Large Firms,” Journal of Finance, 46, 1467-1484.
[21]Chan, L., Y. Hamao, and J. Lakonishok, 1991, “Fundamentals and Stock Returns in Japan,” Journal of Finance, 46, 1739-1789.
[22]Chan, L. K. C. and J. Lakonishok, 1993, “Institutional Trades and Intraday Stock Price Behavior,” Journal of Financial Economics, 33, 173-199.
[23]Chan, L. K. C. and J. Lakonishok, 1995, “The Behavior of Stock Prices around Institutional Trades,” Journal of Finance, 50, 1147-1174.
[24]Chiang, R. and P. C. Venkatesh, 1988, “Insider Holding and Perceptions of Information Asymmetry: A Note,” Journal of Finance, 43, 1041-1048.
[25]Chordia, T., R.Roll, and A.Subrahmanyam, 2002, “Order Imbalances, Liquidity, and Market Returns,” Journal of Financial Economics, 65, 111-130.
[26]Cook, T. J. and M. S. Rozeff, 1984, “Size and Earnings/price Ratio Anomalies: One Effect or Two?” Journal of Financial and Quantitative Analysis, 19, 449-466.
[27]Datar, V., Naik N.Y, and R. Radclffe, 1998, “Liquidity and Stock Returns:An Alternative Test,” Journal of Financial Markets, 1, 203-219.
[28]Easley, D., S. Hvidkjaer, and M. O’Hara, 2002, “Is Information Risk a Determinant of Asset Returns?” Journal of Finance, 57, 2185-2221.
[29]Easley, D. and M. O’Hara, 1987, “Price, Trade Size and Information in Securities Markets,” Journal of Financial Economics, 19, 69-90.
[30]Easley, D., N. M. Kiefer, and M. O’Hara, 1997, “The Information Content of the Trading Process,” Journal of Empirical Finance, 4, 159-186.
[31]Easley, D., N. M. Kiefer, M.O’Hara, and J.B.Paperman, 1996, “Liquidity, Information, and Infrequently Traded Stocks,” Journal of Finance, 51, 1405-1436.
[32]Easley, D. and M. O’Hara, 2000, “Information and the Cost of Capital,” Working Paper, Johnson Graduate School of Management, Cornell University.
[33]Eleswarapu, V. R., 1997, “Cost of Transacting and Expected Returns in the Nasdaq Market,” Journal of Finance, 52, 2113-2127.
[34]Fama F. Eugene, 1981, “Stock Returns, Real Activity, Inflation, and Money,” American Economic Review, 4, 545-565.
[35]Fama, E. and W. Schwert, 1977, “Asset Returns and Inflation,” Journal of Financial Economics, 5, 115-146.
[36]Fama, E. F. and K. R. French, 1992, “The Cross-section of Expected Stock Returns,” Journal of Finance, 47, 427-465.
[37]Fama, E. F. and K. R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, 3-56.
[38]Fama, E. F. and K. R. French, 1995, “Size and Book-to-market Factors in Earnings and Returns,” Journal of Financial Economics, 50, 131-155.
[39]Fama, E. F. and K. R. French, 1996, “Multifactor Explanation of Asset Pricing Anomalies,”Journal of Finance, 51, 55-84.
[40]Fama, E. F. and J. D. MacBeth, 1973, “Risk Return and Equilibrium: Empirical Test, Journal of Political Economy,” Journal of Political Economy, 81, 607-636.
[41]Fant, L. F. and D. R. Peterson, 1995, “The Effect of Size,book-to-market Equity, Prior Returns, and Beta on Stock Returns:January Versus the Remainder of the Year,” Journal of Finance Research, 18, 129-142.
[42]Figlewski, S., 1982, “Information Diversity and Market Behavior,” Journal of Finance, 37, 87-102.
[43]Foster, F. D. and S. Viswanathan, 1990, “A Theory Intraday Variations in Volume,Variance and Trading Costs in Securities Markets,” The Review of Financial Studies, 3, 593-624.
[44]Foster, F. D. and S. Viswanathan, 1993, “Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models,” Journal of Finance, 48, 187-211.
[45]French, K. R., William G. Schwert, and R. F. Stambaugh, 1987, “Expected Stock Returns and Volatility,” Journal of Financial Economics, 19, 3-29.
[46]Gemmill, G., 1996, “Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules,” Journal of Finance, 51, 1765-1790.
[47]Handa, P., R. Schwartz, and A. Tiwari, 2003, “Quote Setting and Price Formation in an Order Driven Market,” Journal of Financial Markets, 6, 461-489.
[48]Hasbrouck, J., 1988, “Trades, Quotes, Inventories, and Information,” Journal of Financial Economics, 22, 229-252.
[49]Hasbrouck, J., 1991a, “Measuring the Information Content of Stock Trades,” Journal of Finance, 46, 179-207.
[50]Hasbrouck, J., 1991b, “The Summary of Stock Trades: An Econometric Analysis,” Journal of Financial Studies, 46, 571-595.
[51]Hausman, J. A., 1978, “Specification Tests in Econometrics,” Econometrica, 46, 1251-1271.
[52]Holthausen, R. W., R.W. Leftwich, and D. Mayers, 1987, “The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis,” Journal of Financial Economics, 19, 237-267.
[53]Holthausen, R. W., R.W. Leftwich, and D. Mayers, 1990, “Large Block Transactions, the Speed of Response, and Temporary and Permanent Stock-Price Effects,” Journal of Financial Economics, 26, 71-95.
[54]Jaffe, J., D. B. Keim, and R. Westerfield, 1989, “Earnings Yields, Market Values, and Stock Returns,” Journal of Finance, 44, 135-148.
[55]Jones, C. and S. Slezak, 1999, “The Theoretical Implications of Asymmetric Information on the Dynamic and Cross-sectional Characteristics of Asset Returns,” Working Paper, University of North Carolina, Chapel Hill.
[56]Jones, C. M., G. Kual, and M. L. Lipson, 1994, “Transactions, Volume and Volatility,” Review of Financial Studies, 7, 631-651.
[57]Kalton, G., D. Kasprzyk, and McMillen, D. B, 1989, “Nonsampling Errors in Panel Surveys,” Panel Surveys, New York: John Wiley and Sons, 249-270.
[58]Keim, D. B. and A. Madhavan, 1996, “The Upstairs Market for Large-Block Transactions: and Measurement of Price Effects,” Review of Financial Studies, 9, 1-36.
[59]Keim, D. B. and R. F. Stambaugh, 1986, “Predicting Returns in the Stock and Bond Markets,” Journal of Financial Economics, 17, 357-390.
[60]Linter, J., 1965, “The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budgets,” Review of Economics and Statistics, 47, 13-17.
[61]Loughran, T., 1997, “Book-to-market across Firm Size, Exchange and Seasonality: Is There an Effect,” Journal of Financial and Quantitative Analysis, 32, 249-268.
[62]Ma and Yang, 2003, “Measuring the Probability of Informed Trading in a Call Auction Market and A Comprehensive Analysis on the Determinants of Informed Trading,” Conference on Analysis of High-Frequency Financial Data and Market Microstructure.
[63]Ma, T., M. H. Hsieh, and J. H. Chen, 2000, “The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market,” The Paper of 9th Conference on the Theories and Practices of Securities and Financial Markets.
[64]Markowitz, H. M., 1952, “Portfolio Selection,” Journal of Finance, 7, 77-91.
[65]Mclnish, T. H. and R. A. Wood, 1992, “An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks,” Journal of Finance, 47, 753-764.
[66]Merton, R., 1987, “A Simple Model of Capatial Market Equilibrium with Incomplete Information,” Journal of Finance, 42, 483-510.
[67]Mossin, J., 1966, “Equilibrium in a Capital Asset Market,” Econometrica, 34, 768-783.
[68]Mundlak, 1978, “On the Pooling of Time Series and Cross-section Data,” Econometrica, 46, 69-85.
[69]Nyholm, K., 2003, “Inferring the Private Information Content of Trades: A Regime-Switching Approach,” Journal of Applied Econometrics, 18, 457-470.
[70]Philip Brown., D. W. and A. Yuen, 1997, “The Interaction between Order Imbalance and Stock Price,” Pacific-Basin Finance Journal, 5, 539-557.
[71]Pontiff, J. and L. D. Shall, 1998, “Book-to-market Ratios as Predictors of Market Returns,” Journal of Financial Economics, 49, 141-160.
[72]Reinganum, M., R. 1981, “A Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values,” Journal of Financial Economics, 9, 19-46.
[73]Reinganum, M., R. 1981, “Abnormal Returns in Small Firm Portfolio,” Financial Analyst Journal, 31, 313-321.
[74]Roll, R., 1981, “A Possible Explanation of Small Firm Effect,” Journal of Finance, 36, 879-888.
[75]Rosenberg, Barr, et al., 1985, “Persuasive Evidence of Market Inefficiency,” Journal of Portfolio Management, 11, 9-16.
[76]Ross, Stephen. A., 1976, “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory, 13, 341-360.
[77]Schwert, G. W., 1983, “Size and Stock Returns, and Other Empirical Regularities,” Journal of Financial Economics, 12, 3-12.
[78]Sharpe, W. F., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, 425-442.
[79]Stoll, H. R., 1989, “Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests,” Journal of Finance, 44, 115-134.
[80]Stoll, H. R. and R. E. Whaley, 1987, “Program Trading and Expiration-Day Effects,” Financial Analysts Journal, 43, 16-28.
[81]Tseng, K. C., 1988, “Low Price, Price-earnings Ratio, Market Value, and Abnormal Stock Returns,” The Financial Review, 23, 333-343.
[82]Wang, J., 1993, “A Model of Intertemporal Asset Prices Under Asymmetric Information,” Review of Economics Studies, 60, 249-282.