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研究生:許裕雄
研究生(外文):Hsu Yu Hsiung
論文名稱:個股報酬波動與公司特徵之關聯
論文名稱(外文):The Correlation Between Firm-level Characteristics and Stock Returns Volatilities
指導教授:賴靖宜賴靖宜引用關係
指導教授(外文):Jing-yi Lai
口試委員:林文昌崔可欣賴靖宜
口試委員(外文):Wen-Chang LinKeshin TsweiJing-yi Lai
口試日期:1010725
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
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:2012
畢業學年度:100
語文別:中文
論文頁數:42
中文關鍵詞:股票報酬率波動公司特徵序列相關股東權益報酬率
外文關鍵詞:volatility of stock returnsfirm-level characteristicsserial correlationreturn of equity
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基於過去實證研究顯示股票風險日益增加,本文嘗試透過公司特徵及股票報酬率波動的關聯性,了解股票報酬率波動是否可由基本面加以解釋,並同時檢驗股票報酬波動的增加是因為新上市的公司引起,抑或是原已上市公司所引起。
隨著產業的發展,電子業躍昇為國內股市的主流,本文以1996年1月至2001年12月集中市場上市電子類股為樣本,討論股東權益報酬率等公司特徵變數與股票報酬率波動的關聯性,研究結果顯示:
1.上市電子類股的股票報酬率波動在研究期間的確有增加的趨勢;而公司特徵變數的改變與股票報酬率的波動有關,其中股東權益報酬率及資產規模對股票報酬率波動呈現反向關係,而負債比例則與股票報酬率波動呈正向關係。
2.股票市場存在序列相關的現象,表示股票報酬率波動可由過去資料加以預測。新上市公司對股票報酬率波動有正面影響;小公司的股票報酬率波動也較高。
3.在簡單平均法下,股票報酬率波動的增加有三成來自原已上市的股票;而在市值加權平均法下則有二成來自原已上市的股票。顯示不論是新上市股票或已上市的股票,在研究期間股票報酬率的波動皆呈現增加的情形。


Empirical literature suggests that risk associated to stock investment has been increasing over time with the increases in volatility of returns. This study aims to investigate whether the fundamentals of firms are capable of explaining these increases in volatilities. The empirical work proceeds by examining the correlation between firm-level characteristics and stock price volatilities. We also investigate whether the incremental volatility of stock returns is caused by newly listed firms or by existing firms.
With the development in economy, the electronic industry has become the leading sector in the Taiwan stock market during the last two decades. The sample used in this study consists of all listed electronic companies in Taiwan from January 1996 to December 2001. The correlation between the corporate characteristics (e.g. ROE) and their stock volatilities are analyzed and the results are as follows:
1.The volatility of stock returns of the sample companies has a trend of increases during the sample period, suggesting that corporate characteristics are related to the volatility of stock returns. It is found that both ROE and the size of companies are negatively correlated to the volatility stock returns, while the D/E ratio is positively associated with the volatility of stock returns.
2.The results show that a serial correlation exists in stock volatilities, which implies that historical volatilities of stock returns may help in forecasting future values. Also, the newly listed firms have positive impacts on the volatility of stock returns. The volatility of stock returns for small firms is found to be higher than that for large firms.
3.Under the equally weighted method, it shows that 30% the incremental volatility of stock returns is contributed to existing listed firms. On the contrary, under the market value weighted method, 20% of the incremental volatility comes from existing listed firms. The aforementioned results show that the volatility of stock returns of newly listed and existing firms both increased during the sample period.





目 錄
摘要 …………………………………………………………………………i
Abstract …………………………………………………………………ii
目錄 ………………………………………………………………………iv
表目錄 ………………………………………………………………………v
圖目錄 ……………………………………………………………………vi
第一章 緒論…‥………………………………………………………‥1
第一節 前言 ……………………………………………………………1
第二節 研究動機與目的 ………………………………………………2
第三節 研究架構 ………………………………………………………4
第二章 文獻探討 …………………………………………………………5
第一節 股票報酬波動……………………………………………………5
第二節 獨特性風險 ……………………………………………………10
第三章 研究方法 …………………………………………………………17
第一節 資料來源與限制 ………………………………………………17
第二節 迴歸分析…………………………………………………………18
第三節 已上市股的報酬波動比例 ……………………………………21
第四章 實證結果與分析 …………………………………………………22
第一節 資料的蒐集與整理……………‥………………………………22
第二節 實證結果 ………………………………………………………25
第三節 報酬波動的增加來源 …………………………………………34
第五章 結論 ………………………………………………………………39
參考文獻 ……………………………………………………………………41







中文部分:
王甡,報酬衝擊對條件波動所造成之不對稱效果-台灣股票市場之實證分析,證券市場發展季刊,第7卷,第1期,1995,頁125-161。
李嘉芳,獨特性波動之研究-以台灣上市股票為例,中央大學產業經濟研究所碩士論文,2004。
林楚雄、黃啟哲,台灣上市股票獨特性風險之研究,第四屆全國實證經濟學論文研討會,國立東華大學,花蓮縣,2003,4月。
洪采微,法人持股比例與上市公司獨特性風險之探討,中正大學財務金融研究所碩士論文,2005。
黃德芬,台灣股票市場波動性研究,證券市場發展季刊,第7卷,第4期,1995,頁157-184。
詹世煌、許溪南、謝宗祐,股價波動性之影響因素,風險管理學報,第5卷,第2期,2003,頁167-193。
蔡麗茹、葉銀華,不對稱GARCH族模型預測能力之比較研究,輔仁管理評論,第7卷,第1期,2000,頁183-196。

英文部分:
Blake, F. 1976. Studies of Stock Price Volatility Changes, Journal of American Statistical Association, 177-181.
Campell , J. Y., and L. Hentschel 1992. No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Journal of Financial Economics 31, 281-318
Campell, J. Y., M. Lettau, B. G. Malkiel, and Y. Xu. 2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance 56:1-43.
Duffee, G. R. 1995. Stock Return and Volatility : A Firm-Level Analysis. Journal of Financial Economics 37:399-420.
Hamilton , J. D., and G. Lin 1996. Stock Market Volatility And The Business Cycle Journal of Applied Econometrics 11 : 573-593.
Malkiel, B. G., and Y. Xu 2003. Investigating the Behavior of Idiosyncratic Volatility. Journal of Business 76: 613-644.
Marsh. T.,and R.C. Merton. 1986. Dividend variability and variance bounds tests for the rationality of stock market prices. American Economics Review 76:483-498
Morck, R., B. Yeung, and W. Yu. 2000. The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements? Journal of Financial Economics 58:215-260.
Pastor, L., and P. Veronesi 2003. Stock Valuation and Learning about Profitability. Journal of Finance 58:1749-1789.
Schwert, G. W. 1989. Why Does Stock Market Volatility Change Over Time? Journal of Finance 44:1115-1153.
Vuolteenaho, T. 2002. What Drives Firm-Level Stock Returns? Journal of Finance 57 : 233-264.
Wei, S. X., and C. Zhang 2006. Why Did Individual Stocks Become More Volatile? Journal of Business 79:259-292.



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