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研究生:徐福慶
研究生(外文):Fu-Ching Hsu
論文名稱:明星股與價值股之再檢視
論文名稱(外文):Revisit glamour and value stocks
指導教授:吳瑞萱吳瑞萱引用關係
指導教授(外文):Ruei-Shian Wu
學位類別:碩士
校院名稱:元智大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:46
中文關鍵詞:明星股累積報酬錯誤定價
外文關鍵詞:Average returnsGlamour stocksMispricing
相關次數:
  • 被引用被引用:1
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  • 收藏至我的研究室書目清單書目收藏:0
本研究探討明星股與價值股在資本市場之表現。本文利用規模與市價淨值比將研究樣本區分為六種投資組合。採用Fama and French(2007)之研究方法,檢測何種投資組合能獲取較高之累積報酬,並分析組成累積報酬要素的來源。本研究更進ㄧ步,採用Rhodes-Kropf, Robinson, and Viswanathan(2005)之模型,判別各類投資組合被市場錯誤定價之程度,藉以檢測明星股與價值股之投資組合與市場錯價之關連性。實證結果顯示,小公司之累積報酬比大公司佳,價值股之累積報酬比明星股佳。在錯誤定價方面,小公司與明星股被投資人錯誤定價的程度高於大公司與價值股。
This study investigates the performance of glamour stocks and value stocks in the financial market. This study uses size and book-to-market ratio to decompose our samples into six portfolios. Using the empirical method of Fama and French (2007), this study examines which portfolio gain higher average returns and analyzes the resources of the average returns. This study further uses Rhodes-Kropf, Robinson, and Viswanathan (2005) model to examine the level of mispricing for each portfolio. The empirical results show that there are higher average returns in small firms and value stocks than in big frims and glamour stocks. We also find that small firms and glamour stocks are higher mispriced than big firms and value stocks.
摘 要 I
ABSTRACT II
誌謝辭 III
目 錄 IV
圖目錄 V
表目錄 V
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 論文架構 5
第二章 文獻探討 7
第一節 風險溢酬(risk premium) 7
第二節 市場異常現象(anomalies) 9
一、規模效應(size effect) 9
二、淨值市價比效應(book-to-market ratio effect) 10
三、動能效應(momentum effect) 12
第三節 過度反應(overreaction)與反應不足(underreaction) 14
第三章 研究設計 16
第一節 累積報酬之來源 16
一、股利與資本利得 16
二、帳上權益淨值成長率與市價淨值比變動 17
第二節 錯誤定價與成長機會 18
第三節 資料來源與研究期間 20
第四節 投資組合型成規則與變數定義 21
一、投資組合型成規則 21
二、變數定義 21
第四章 實證結果與分析 25
第一節 敘述統計分析 25
第二節 各投資組合分析結果 28
第三節 錯誤定價之分析 31
第四節 錯價程度與累積報酬 33
第五章 結論與建議 41
第一節 結論 41
第二節 研究限制與建議 43
參考文獻 44
ㄧ、 中文部份
曾宛如,證券交易法原理,修訂五版,台北,元照出版社,民國九十八年。
謝劍平,財務管理:新觀念與本土化,修訂三版,台北,智勝文化事業有限公司,民國九十二年。
二、 英文部份
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