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研究生:王效鵬
論文名稱:公司規模大小之投資策略分析-以台灣中型100股票為例
論文名稱(外文):The Investment Strategy Based on Corporate Size on Mid-cap 100 in Taiwan
指導教授:江耕南江耕南引用關係
口試委員:呂瑞秋林昆立
口試日期:2016-06-17
學位類別:碩士
校院名稱:逢甲大學
系所名稱:金融碩士在職專班
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:2016
畢業學年度:104
語文別:中文
論文頁數:40
中文關鍵詞:台灣中型100成份股經市場調整的股票報酬率股票市值成長率每股盈餘變動股價淨值比縱橫平滑移轉迴歸模型
外文關鍵詞:Taiwan 100 component stocksPanel Smooth Transition Regression ModelMarket-adjusted returnequity market valueassets growth ratechange of EPSprice-to-book equity ratio
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  • 收藏至我的研究室書目清單書目收藏:1
2007年美國前五大的投資公司貝爾斯登 (The Bear Stearns Companies, Inc., BSC) 宣告破產,2008年雷曼兄弟(Lehman Brothers Holdings Inc., LEH) 也宣告破產,房地美(Freddie Mac)、房利美(Fannie Mae)也發生財務危機,若非美國政府出面金援,相信金融海嘯會造成更嚴重的損失。這幾家大企業無限制的擴張投資造成倒閉或財務危機,讓全世界無數股東蒙受損失,在台灣也引起許多民眾與銀行間的法律訴訟事件。因此,為了探討企業未來是否值得投資人去投資,本研究採用了González et al. (2005)提出的縱橫平滑移轉模型 (Panel Smooth Transition Regression model, PSTR) 檢測2004年12月31日至2014年12月31日73家在台灣中型100 ETF成分股的上市公司,當以企業落後一期市值為門檻變數,其總資產成長率、每股盈餘變動及落後一期的股價淨值比對企業經市場調整後的股票報酬率,彼此之間是否存在非線性關係,導致出現門檻效果。此外,我們依市值門檻值將樣本區分為小型股票及大型股票,並判定其市值在大到小(或小到大)公司轉變過程中對經市場調整後的股票報酬,是否有相關聯性。最後,我們在已觀察到的經市場調整後股票報酬率中探究模型的切適性及有效性,進而發展出一個成功有效的投資策略,期望實證結果能作為股票投資之行為規範。
In 2007, the top five US investment bank:The Bear Stearns Companies, Inc. declared bankruptcy. Then, Lehman Brothers declared bankruptcy also in 2008. Freddie Mac and Fannie Mae had also undergone a financial crisis, if not the United States government to financial aid, we totally believed that the financial crisis will cause more serious damages. These investment companies over expanded into capital market unlimitedly, which brought about bankruptcy and financial crisis. Not only harmed numerous shareholders suffered losses, but also caused a lot of lawsuit proceedings between the public and the banks in Taiwan. Therefore, in order to investigate whether the companys future worth investing for investors, Panel Smooth Transition Regression model (González et al., 2005, PSTR) will be utilized to analyze the data of 73 companies of Taiwan 100 component stocks (2004/12/31~2014/12/31). In this study, we would like to explore the non-linear relationship between market-adjusted stock returns and their equity market value growth rates, the change of EPS and one-year lagged P/B ratio based on the threshold variable of one-year lagged stock equity market value. Threshold effect will be discussed also in this research. Besides, we will divide these companies into two groups: big companies vs. small companies by the threshold value of equity market value. Then, the nonlinear relationship between MARs and their regressors will be detected by difference analysis. Finally, the empirical results of this study will be expected to be the principle of investment behavior.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 1
第三節 研究架構與流程 2
第貳章 文獻探討 4
第一節 企業價值與股權價值 4
第二節 股票市場投資參考指標與績效 4
第三節 台灣中型100指數股票型基金(ETF)及指數成分股 8
第參章 研究方法 10
第一節 研究樣本與資料來源 10
第二節 變數定義與衡量 10
一、 自變數 11
二、 應變數 11
三、 移轉變數 12
第三節 研究方法 12
一、 敘述性統計 12
二、 單根檢定 13
三、 縱橫平滑移轉迴歸模型 14
四、 模型估計與檢定 15
五、 參數估計 17
第肆章 實證結果分析 18
第一節 基本敘述性統計 18
第二節 縱橫單跟檢定之實證分析 18
第三節 縱橫平滑移轉模型之實證結果 19
第四節 企業市值轉換行為之差異分析實證結果 21
第五節 樣本外數據驗證 28
第伍章 結論與建議 29
第一節 研究結論 29
第二節 研究建議 30
參考文獻 31
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