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研究生:謝志憲
研究生(外文):Hsieh, Chih-hsien
論文名稱:流動性風險與股票市場績效之相關性研究
論文名稱(外文):The Relationship between Liquidity Risk and Stock Market Performance
指導教授:王淑芬王淑芬引用關係
指導教授(外文):Wang, Sue-Fung
學位類別:碩士
校院名稱:國立交通大學
系所名稱:管理學院財務金融學程
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:2011
畢業學年度:99
語文別:中文
論文頁數:32
中文關鍵詞:逐步迴歸P/B流動性風險
外文關鍵詞:Stepwise RegressionP/BLiquidity Risk
相關次數:
  • 被引用被引用:5
  • 點閱點閱:215
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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:0
本研究以1988年至2009年所有台灣上市櫃公司為樣本,採用Fabozzi &; Francis (1979)提出區分多空頭市場的方式,分別採用長期趨勢及月報酬二種方法,以實證方式探討季報酬及P/B兩種情況下,對所有樣本分類為多空頭及上市櫃,其獲利指標與流動性指標之間的差異;並且透過逐步迴歸去找出具有代表性的自變數,再使用多元迴歸分析衡量季報酬與P/B、多空頭及上市櫃間的關係。
本研究的實證結果發現:
在季報酬的情況下,在市場空頭時,流動性指標比獲利指標表現更為顯著,且在多頭時獲利指標較為顯著,另外以P/B與獲利性與流動性關係來看,也發現在多頭時獲利指標較為顯著,在空頭流動性指標較為顯著。

We collect the samples from the public listed companies ,and OTC companies of Taiwan for the period from 1988 to 2009. We refer the way that Fabozzi & Francis (1979) identify the bear or bull market to exploit both the long-term trend and the monthly return separately. All the samples are classified by two criteria: bear or bull; listed or OTC. Two indexes, Quarterly return P/B ratio, are used for investigating the differences between Liquidity risk and Profit risk.
Initially we take the Stepwisel regression to find the independent variables, then use the Multiple regression to analysis the relationship between the Quarterly return and P/B in bear/bull market or public Listed/OTC companies.

This conclusions are listed as following:
(1) In the view of Quarterly return, the liquidity risk are more pronounced than profit risk at Bear market. While at Bull market, it’s opposite.
(2) In the view of P/B, the liquidity risk are more pronounced than profit risk at Bear market.While at Bull market, it’s opposite.

一、 緒論…………………………………………………… 1
1.1 研究背景及研究動機………………………………… 1
1.2 研究目的……………………………………………… 2
1.3 研究架構及流程……………………………………… 3
二、 文獻探討……………………………………………… 5
2.1 企業現金持有………………………………………… 5
2.2 股市多空頭…………………………………………… 7
三、 研究方法……………………………………………… 9
3.1 研究樣本與資料選取………………………………… 9
3.2 變數的定義與衡量…………………………………… 14
3.3 研究假說與研究方法………………………………… 17
四、 實證結果……………………………………………… 20
4.1 逐步迴歸結果與分析………………………………… 20
4.2 敘述統計結果與分析………………………………… 21
4.3 多元迴歸結果與分析………………………………… 24
五、 結論…………………………………………………… 29
參考文獻 ………………………………………………………… 30

一、 中文部分
1. 王元章,「內部人持股、風險、股利、負債、投資與公司價值」,證券市
場發展季刊,13(3),民國90 年10 月,pp. 29-69。
2. 王詠心、蕭巧玲,「淺析傳統產業在證券集中市場資金配置情形」,經濟情
勢暨評論,5(4),民國89 年,pp. 65-78。
3. 朱巧慧,「台灣股價與貨幣供給-股利的共整合關係」,淡江大學經濟所碩士
論文,2002。
4. 呂明珠,「利率變動對台灣上市銀行股票報酬及獲利之影響」,台灣大學財
務金融研究所碩士論文,1993。
5. 李碧林,「重貼現率變動對週轉率及股價之影響─台灣證券市場之實證研
究」,淡江大學管理科學研究所碩士論文,1990。
6. 杜美勳,「中央銀行貨幣政策與股價指數報酬相關性之研究」,臺灣大
學政治學研究所碩士論文,2004。
7. 邱建良、陳君達、曹俊傑,「貨幣政策之衝擊對股市多頭與空頭之影響效
果:以台灣股票市場為例」,貨幣市場,9:1,1-19,2005。
8. 留政鈺,「貨幣政策與股票報酬之關係-台灣實證研究」,淡江大學金融研究
所,1999。
9. 張大成、薛人瑞、黃建隆,「財務危機模型之變數選取研究」,貨幣觀測與
信用評等,39,民國92 年,pp. 96-105。
10. 郭素菱,機構投資人與財務報表攸關性之研究,國立成功大學會計學研究所
未出版碩士論文,民國91 年6 月。
11. 郭敏華,資訊不對稱對負債資金成本之影響 -以銀行借款為實證,政治大學
企業管理研究所未出版博士論文,民國85 年。
12. 陳君達、林恩詰、林福來,貨幣政策、公司規模與股票報酬,風險管理學
報,8:2,2006。
13. 楊俊中,股權結構與經營績效相關性之研究,國立台灣大學會計學研究所未
出版碩士論文,民國87 年。
二、英文部分
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3. Bernanke B. S.(2003), Monetary Policy and Stock Market:Some Empirical Results. Banking and Finance Lecture,Widener University,Chester,Pennsylvania.
4. Bernanke, B. S. and K. N. Kuttner (2005), What Explains the Stock Market's Reaction to Federal Reserve Policy. Journal of Finance.60:1221-1257.
5. Fabozzi, F. J. and J. C. Francis(1979), Mutual Fund Systematic Risk for Bull and Bear Month: An Empirical Examination. Journal of Finance. 34:1243-1250.
6. Fabozzi, F. J. and J. C. Francis (1997), Stability Tests for Alphas and Betasover Bull and Bear Market Conditions. Journal of Finance. 32:1093-1099.
7. Hardouvelis, G. A. (1987), "Macroeconomic Information and Stock Prices", Journal of Economics and Business, 39:131-140.
8. Jensen G. and J. Mercer (2002), Monetary Policy and the Cross-Section of Expected Stock Returns. Journal of Financial Research. 55:125–139.
9. Jensen G. and R. Johnson (1995), Discount Rate Changes and Security Return in the U.S., 1962–1991. Journal of Banking and Finance. 19:79–95.
10. Jensen G., J. Mercer and R. Johnson (1996), Business conditions, Monetary Policy and Expected Security Returns. Journal of Financial Economics. 40: 213–237.
11. Johnson R. and J. Mercer (2006),Security Markets and the Information Content of Monetary Policy Turning Points.The Quarterly Review of Economics and Finance.46:477-494
12. Jensen, M.C., 1986, “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,” American Economics Review, 76, pp. 323-329.
13. Jensen, M.C. and W.H. Meckling, 1976, “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure,” Journal of Financial Economics, 3, pp. 305-360. B…
14. John, T.A., 1993, “Accounting Measures of Corporate Liquidity, Leverage, and Costs of Financial Distress,” Financial Management, 22, pp. 91-100.
15. Kim, C., D. Mauer, and A. Sherman, 1998, “The Determinants of Corporate Liquidity:Theory and Evidence,” Journal of Financial and Quantitative Analysis, 33, pp. 335-359.
16. La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. W. Vishny, 1998, “Law and Finance,” Journal of Political Economy, 106, pp. 1131-1150.
17. Leland, H. and D. Pyle, 1977, “Informational Asymmetrics, Financial Structure, and Financial Intermediation,” Journal of Finance, Vol.32, pp. 371-398
18. Lobo, B. J. (2000), Asymmetric Effects of Interest Rate Changes on Stock Prices, Financial Review. 35(3): 125-144.
19. Lobo, B. J. (2002), Interest Rate Surprises and Stock Prices, Financial Review. 37(1): 73-92.
20. Mangel, R. and H. Singh, 1993, “Ownership Structure, Board Relationship and CEO Compensation in Large U.S. Corporations,” Accounting and Business Research, 23, pp. 339-350.
21. Mikkelson, W. and M. Partch, 1986, “Valuation Effects of Security Offering and the Issuance Process,” Journal of Financial Economics, 15, pp. 31-60.
22. Mikkelson, W. and M. Partch, 2003, “Do Persistent Large Cash Reserves Hinder Performance,” Journal of Financial and Quantiative Analysis, 38(2), pp. 275-294.
23. Myers, S.C., and N.S. Majluf, 1984, “Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have,” Journal of Financial Economics, 13, pp. 187-221.
24. Opler, T., L. Pinkowitz, R. Stulz, and R. Williamson, 1999, “The Determinants and Implications of Corporate Cash Holdings,” Journal of Financial Economics, 52, pp.3-44.
25. Patelis A. D.(1997), Stock Return Predictability and the Role of the Monetary Policy. Journal of Finance. 52:1951–1972.
26. Pearce , D. K. and V. V. Roley (1985), Stock Prices and Economic. Journal of Business. 58:.49-67.
27. Smith, C., 1977, “Alternative Methods for Raising Capital: Rights Versus under Written Offerings,” Journal of Financial Economics, 5, Dec, pp. 273-307.
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29. White, H., 1980, “A Heteroskedasticity Consistent Covariance Matrix Estimator and a Direct Test of Heteroskedasticity,” Econometrica, 48, pp. 817-838.
30. Wruck, K., 1990, “Financial Distress: Reorganization and Organization Efficiency,” Journal of Financial Economics, 27, pp. 419-444.

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