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研究生:賴秀燕
研究生(外文):Show-Yen Lai
論文名稱:資訊揭露評鑑變動與股票報酬攸關性之研究
論文名稱(外文):The Relationship between the Changes of Information Disclosure and Transparency Ranking and Stock Returns
指導教授:胥愛琦胥愛琦引用關係
指導教授(外文):Ai-Chi Hsu
口試委員:李春安楊踐為黃金生陳家彬許溪南
口試日期:2014-07-04
學位類別:博士
校院名稱:國立雲林科技大學
系所名稱:財務金融系
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:2014
畢業學年度:102
語文別:中文
論文頁數:89
中文關鍵詞:資訊揭露評鑑動能投資策略行為財務
外文關鍵詞:Information disclosure and transparency rankingsmomentum investment strategybehavioral finance
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為提升企業資訊揭露的透明度、落實公司治理,以促進資本市場建全發展,台灣證券交易所及證券櫃檯買賣中心於2003年,委託證券暨期貨市場發展基金會建置「資訊揭露評鑑系統」。諸多學者研究發現,系統實施後,企業已顯著降低盈餘管理行為,評鑑結果對機構投資人存在顯著的正面影響,公司特有資訊愈充分愈容易吸引機構投資人持股,但無法辨識資訊揭露評鑑結果的變動是否影響股票報酬。本研究以2006至2012年公布之資訊揭露評鑑結果為樣本,結果發現,評鑑結果等級與持續1至12月持有期之個股平均累積報酬率成正向關係。進一步將評鑑等級比前一期提高者,定義為等級調升,評鑑等級比前一期降低者,定義為等級調降,建構以買進調升股票同時賣出調降股票的變動動能策略投資組合,並觀察於持有期是否存在動能現象。結果發現,台灣股市存在資訊揭露評鑑變動的動能持續現象,投資人對於資訊揭露評鑑公布結果調升或調降的反應程度也不同。
In order to enhance the transparency of information disclosure, implement the corporate governance and promote the full development of the capital market, the Securities and Futures Institute, entrusted by the Taiwan Stock Exchange Corporation and the Gre Tai Securities Market, launched the Information Disclosure and Transparency Rankings System to evaluate the level of transparency for all listed companies in Taiwan since 2003. Prior studies suggested that the full-year ranking results from Information Disclosure and Transparency Rankings System existed positive impact on institutional investors. The more firm-specific stock returns, the more attractive to the institutional investors. The earnings management has decreased after the implementation of the system but unable to recognize the momentum-based trading strategies. This study investigates whether the changes of Information Disclosure and Transparency Rankings are able to provide the investment strategies for the listed companies of Taiwan Stock Exchange Corporation during 2006 to 2012. We first find that the higher ranking the higher cumulative returns over the year of holding periods. We then construct a changing information transparency investment strategy of buying an upgraded portfolios and selling a downgraded portfolios. As expected, the evidence suggests that the self-financed investment strategy possess a momentum effect that obtained significantly positive cumulative returns over 1 to 12 month holding periods. The investors may have different reactions from the changes of ranking when the level of information disclosure and transparency released.
中文摘要…………………………………………………………………………………………………i
英文摘要………………………………………………………………………………………………ii
誌謝……………………………………………………………………………………………………iii
目錄………………………………………………………………………………………………………iv
圖表目錄………………………………………………………………………………………………vi
第一章、緒論…………………………………………………………………………………………1
第一節 研究背景與動機……………………………………………………………………1
第二節 研究目的…………………………………………………………………………………7
第三節 研究架構…………………………………………………………………………………9
第二章、文獻探討………………………………………………………………………………11
第一節 資訊揭露文獻探討………………………………………………………………11
第二節 動能投資策略文獻探討………………………………………………………14
第三章、資訊揭露評鑑系統說明……………………………………………………18
第一節 資訊揭露評鑑系統建置背景……………………………………………18
第二節 資訊揭露評鑑系統評鑑方式及對象…………………………………19
第三節 資訊揭露評鑑結果公布………………………………………………………21
第四節 資訊揭露評鑑系統的特色與限制……………………………………22
第四章、研究設計………………………………………………………………………………24
第一節 研究資料說明………………………………………………………………………24
第二節 實證方法………………………………………………………………………………27
第三節 投資組合績效衡量………………………………………………………………29
第四節 動能效應關聯性驗證…………………………………………………………31
第五節 調升/調降的交易特性及其與股市同期報酬之驗證……33
第六節 動能策略投資組合迴歸分析………………………………………………34
第七節 穩定性測試……………………………………………………………………………35
第五章、實證結果與分析…………………………………………………………………37
第一節 基本統計量……………………………………………………………………………37
第二節 動能效應之驗證……………………………………………………………………40
第三節 動能效應關聯性之驗證………………………………………………………42
第四節 調升/調降與股市同期報酬關聯性之驗證………………………46
第五節 穩定性分析……………………………………………………………………………48
第六章、結論與建議……………………………………………………………………………54
第一節 研究結論…………………………………………………………………………………54
第二節 研究建議…………………………………………………………………………………56
參考文獻…………………………………………………………………………………………………58
附錄…………………………………………………………………………………………………………67

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1. 2. 王蘭芬、薛敏正和曾乾豪,2010,“資訊透明度的更動與盈餘管理間之關聯”,會計審計論叢,第1 卷第1 期,頁101-131。
2. 2. 王蘭芬、薛敏正和曾乾豪,2010,“資訊透明度的更動與盈餘管理間之關聯”,會計審計論叢,第1 卷第1 期,頁101-131。
3. 3. 李春安、羅進水和蘇永裕,2006,“動能投資策略報酬、投資人情緒與景氣循環之研究”,財務金融學刊,第14卷第2期,頁73-109。
4. 3. 李春安、羅進水和蘇永裕,2006,“動能投資策略報酬、投資人情緒與景氣循環之研究”,財務金融學刊,第14卷第2期,頁73-109。
5. 5. 周建宏,2007,“迎接全球化資本市場時代之來臨-從提昇資訊透明度及會計準則整合之趨勢談起”,證券櫃檯月刊,第130卷第8 期,頁58-68。
6. 5. 周建宏,2007,“迎接全球化資本市場時代之來臨-從提昇資訊透明度及會計準則整合之趨勢談起”,證券櫃檯月刊,第130卷第8 期,頁58-68。
7. 8. 洪茂蔚、林宜勉和劉志諒,2007,“動能投資策略之獲利性與影響因素”,中山管理評論,第15卷第3期,頁515-546。
8. 8. 洪茂蔚、林宜勉和劉志諒,2007,“動能投資策略之獲利性與影響因素”,中山管理評論,第15卷第3期,頁515-546。
9. 9. 陳冠宙、陳育成和陳雪如,2005,“影響上市公司網站資訊透明度因子之實證”,會計與公司治理,第2 卷第1 期,頁33-59。
10. 9. 陳冠宙、陳育成和陳雪如,2005,“影響上市公司網站資訊透明度因子之實證”,會計與公司治理,第2 卷第1 期,頁33-59。
11. 12. 顧廣平,2010,“營收動能策略”,管理學報,第27 卷第3 期,頁267-289。
12. 12. 顧廣平,2010,“營收動能策略”,管理學報,第27 卷第3 期,頁267-289。
 
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