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研究生:謝瀚賢
研究生(外文):Han-Hsien Hsieh
論文名稱:金融機構何時會買賣不動產?市場擇時與訊號發射理論的研究
論文名稱(外文):When Do Financial Institutions Tend to Buy or Sell Real Estate? The Market Timing and Signaling Effect
指導教授:沈仰斌沈仰斌引用關係
指導教授(外文):Yang-Pin Shen
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學程
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:英文
論文頁數:43
中文關鍵詞:市場擇時不動產訊號發射效果事件研究法
外文關鍵詞:Market timingreal estatesignaling effectevent study
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在台灣,直接不動產投資一直是壽險公司獲利的重要管道及方式之一。本研究除了探討台灣的壽險公司以外,也針對其他類型的金融機構的不動產買賣時機以及相關的股價反應進行研究。主要目的在檢驗是否台灣的金融機構會傾向在不動產景氣好時賣出,在不動產景氣差時買進。而當公司具有這個好的擇時能力是否會是一個訊號發射效果,造成股價的正向反應。其中,也針對金融公司的類型、買賣不動產的用途以及交易者是否為關係人等方面來探討是否會有不同的結論。實證結果符合本文的假說,對整體金融機構而言,在買賣不動產時有顯著的市場擇時能力,尤其對於商業銀行更是顯著。而在公司具有擇時能力的情況下,透過事件研究法,本文也驗證了的確會有訊號發射效果導致公司有正向且顯著的超額報酬,但大多只有在景氣低迷下買進才會發生。此外,事件研究法的結果顯示非關係人交易相較於關係人交易會有較佳的擇時能力及股價反應產生。然而,不同的交易用途對於金融機構的擇時能力所產生的影響與假說並不一致。

In Taiwan, real estate investment is a important way to make profit for insurance companies. This research investigates the trading behavior of all financial institutions in Taiwan which includes insurance firms and subsequent stock performance. In particular, the main purpose of this study is to examine whether Taiwanese financial institutions prefer to sell real estate during good time of real estate market, and buying real estate during bad time. If firms can timing the trading, whether this active release good news to investors so stock price response positively according to signal effect? In the meanwhile, I also examine the impact of the types of financial institutions, the purpose of trading real estate, and the relationship between buyer and seller, which will affect firms’ market-timing ability. The empirical result is consistent with the hypothesis. For financial institutions, especially for commercial banks, there are significant evidences to verify firms have good market-timing ability to trade properties. Further, through event study, the result shows that there are positive and significant signaling effects on stock price for those firms who can time the market successfully; however, it only happens when firms buy properties in the bad time. Besides, the result of event study shows that firms who trade with the non-related contract party will have better timing ability and stock performance than other firms who trade with the related one. Nevertheless, the results for firms who trade with different purposes are inconsistent with our hypothesis.

Content - 5 -
List of Table - 6 -
Ⅰ. Introduction - 7 -
Ⅱ. Literature Review - 10 -
Ⅲ. Data, Hypothesis, and Methodology - 13 -
Data and Sample Description - 13 -
Hypothesis and Theory - 18 -
Regression Analysis - 21 -
Event study - 25 -
IV. Empirical Results - 31 -
Probit regression - 31 -
Event study - 33 -
V. Conclusions - 41 -
References - 42 -



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