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研究生:劉德一
研究生(外文):Liu, Te-Yi
論文名稱:好公司是好投資嗎?
論文名稱(外文):Are Good Companies Good Investments?
指導教授:徐啟升徐啟升引用關係
指導教授(外文):Hsu, Chisheng
口試委員:詹家昌鄭揚耀
口試委員(外文):Chan, Chia-ChungCheng, Lee-Young
口試日期:2012-07-11
學位類別:碩士
校院名稱:東海大學
系所名稱:管理碩士在職專班
學門:商業及管理學門
學類:其他商業及管理學類
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:30
中文關鍵詞:好公司框架效應情感效應
外文關鍵詞:good companyframingaffect
相關次數:
  • 被引用被引用:2
  • 點閱點閱:616
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  • 下載下載:5
  • 收藏至我的研究室書目清單書目收藏:1
為求驗證好公司是好價格還是好投資,本文以華爾街日報於1997年至2010年間公布之Asia 200標竿企業中之台灣企業為樣本,並以每年之公布月份為基準,於下一月份之首日交易日買入樣本公司,形成投資組合,持有至下一年度新的名單公布之月份;同時,每年重組,共計形成14個年度投資組合,並據以計算投資組合之月平均報酬率,直至2011年1月止。
實證結果顯示,樣本公司傾向為大型公司、具高獲利能力、且大多屬於成熟型公司;就買進持有報酬率分析來看,樣本公司之買進持有年平均報酬率僅3%,而市場投資組合之買進持有年平均報酬率高達18%,顯見好公司並非好投資,只是好價格;CAPM、Fama-French三因子、及Fama-French-Carhart四因子模型之分析結果亦皆顯示樣本公司承受顯著之負向異常報酬,再度證實好公司只是好價格,但非好投資。
With a view to verify if a so-called good company is good only in terms of price rather than investment, this thesis takes as the sample Taiwan enterprises out of 200 Asian trademark companies the Wall Street Journal, or WSJ, announced during 1997 to 2010. The sampled Taiwan companies bought on the first day of the next month after WSJ announced the list constitute the investment portfolio, which is held until the next year when new list of trademark enterprises is pronounced. In the meantime, this study re-shuffles the portfolio every year into 14 different investment portfolios, whose average monthly return are being computed until January 2011.
The empirical results show that the sampled corporations tend to be large, highly-profitable, and mostly mature companies. As the analysis of buy-and-hold return shows, the annual buy-and-hold return rate of the sampled companies collects only 3%, whereas that of the market investment portfolio soars to 18%; obviously, the so-called good companies are more those with good stock prices than good investment targets. Results from CAPM, Fama-French three-factor, and Fama-French-Carhart four-factor models also reveal that sampled enterprises suffer significant negative abnormal return, proving again that good companies are good only in terms of stock prices rather than investment potentials.
第壹章 緒論………………………………………………………………………….. 1
第貳章 資料與研究方法…………………………………………………………….. 6
一、樣本選取……………………………………………………………………… 6
二、研究方法……………………………………………………………………… 7
第參章 實證結果與分析…………………………………………………………… 12
一、買進持有異常報酬分析…………………………………………………….. 12
二、CAPM模型迴歸分析………………………………………………………... 15
三、Fama-French三因子模型迴歸分析…………………………………………. 15
四、Fama-French-Carhart四因子模型迴歸分析………………………………... 16
第肆章 結論與建議………………………………………………………………… 19
參考文獻…………………………………………………………………………….. 21
附錄………………………………………………………………………………….. 22
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2.Anginer, Deniz and Meir Statman (2010), “Stocks of Admired and Spurned Companies,” Journal of Portfolio Management, Vol.36, 71-77.
3.Barber, Brad M. and John D. Lyon (1997), “Detecting long-run abnormal stock returns: The empirical power and specification of test statistics,” Journal of Financial Economics, Vol.43, 341-372.
4.Byun, Jinho and Michael S. Rozeff (2003), “Long-run Performance after Stock Splits: 1927 to 1996,” Journal of Finance, Vol.58, 1063-1086.
5.Carhart, Mark M. (1997), “On Persistence in Mutual Fund Performance,” Journal of Finance, Vol.52, 57-82.
6.Cooper, Michael J., Ajay Khorana, Igor Osobov, Ajay Patel, and P. Raghavendra Rau (2005), “Managerial Actions in Response to Market Downturn; Valuation Effects of Name Changes in the dot.com Decline,” Journal of Corporate Finance, Vol.11, 319-335.
7.Cooper, Michael J., Orlin Dimitrov and P. Raghavendra Rau (2001), “A Rose.com by Any Other Name,” Journal of Finance, Vol.56, 2371-2388.
8.Fama, Eugene F. (1998), “Market efficiency, long-term returns, and behavioral finance,” Journal of Financial Economics, Vol.49, 283-306.
9.Fama, Eegene F. and Kenneth R. French (1993), “Common Risk Factors and Behavioral Finance,” Journal of Financial Economics, Vol.33, 3-56.
10.Glaser, Markus, Thomas Langer, Jens Reynders and Martin Weber (2007), “Framing effects in stock market forecasts: The difference between asking for prices and asking for returns,” Review of Finance, Vol.11, 325-357.
11. Graham, Benjamin (1949), “The Intelligent Investor,” 1E. Harper&Brothers, New York.
12.Hong, Harrison and Marcin Kacperczyk (2009), “The price of sin: The effects of social norms on markets,” Journal of Financial Economics, Vol.93, 15-36.
13.Hsee, C. K. (1998), “Less is better: When low-value options are judged more highly than high-value options,” Journal of Behavioral Decision Making, Vol.11, 107-121.
14.Hsu, Chi-Sheng, Lee-Young Cheng and Shiou-Ling Lee (2012), “Valuation and Motivation of Equity Carve-outs,” Journal of Financial Studies, forthcoming.
15.Jegadeesh, Narasimhan and Sheridan Titman (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol.48, 65-91.
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17.Kaustia, Markku, Heidi Laukkanen and Vesa Puttonen (2009), “Should Good Stocks Have High Prices or High Returns?” Financial Analysts Journal, Vol.65, 55-62.
18.Loughran, Tim and Jay R. Ritter (2000), “Uniformly least powerful tests of market efficiency,” Journal of Financial Economics, Vol.55, 361-389.
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20.Mitchell, Mark L. and Erik Stafford (2000), “Managerial Decisions and Long-Term Stock Price Performance,” Journal of Business, Vol.73, 287-329.
21.Slovic, Paul, Melissa Finucane, Ellen Peters, and Donald G. MacGregor (2002), “The Affect Heuristic,” In Heuristics and Biases: The Psychology of Intuitive Judgment. Edit by Thomas Gilovich, Dale Griffin, and Daniel Kahneman. New York: Cambridge University Press.
22.Spiess, D. Katherine and John Affleck-Graves (1999), “The Long-Run Performance of Common Stock Following Debt Offerings,” Journal of Financial Economics, Vol.54, 45-73.
23.Statman, Meir and Denys Glushkov (2009), “The Wages of Social Responsibility,” Financial Analysts Journal, Vol.65, 33-46.
24.Statman, Mier, Kenneth L. Fisher, and Deniz Anginer (2008), “Affect in a Behavioral Asset-Pricing Model,” Financial Analysts Journal, Vol.64, 20-29.
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