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研究生:蔡麗雀
研究生(外文):TSAI, LI-CHUEH
論文名稱:歐洲股票市場價值溢酬之研究:另類檢驗法
論文名稱(外文):Value Premium in the European Stock Markets: An Alternative Test
指導教授:廖東亮
指導教授(外文):LIAO, TUNG-LIANG
口試委員:楊明晶江怡蒨蕭慧玲蔡穗馥周建新 Jian-Hsin Chou
口試委員(外文):YANG, MING-JINGCHIANG, YI-CHEINSHIAU, HUEY-LINGTSAI, SUI-FUCHOU, JIAN-HSIN
口試日期:2017-05-05
學位類別:博士
校院名稱:逢甲大學
系所名稱:金融博士學位學程
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:2017
畢業學年度:105
語文別:英文
論文頁數:56
中文關鍵詞:價值溢酬隨機優勢價值溢酬反轉
外文關鍵詞:Value PremiumStochastic DominanceReversal
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本文使用隨機優勢方法,探討歐洲14個國家的股票市場價值溢酬之現象。再搭配4個財務指標,分別是帳面市價比(B/M),益本比(E/P),現金盈餘市價比(CE/P)和股利市價比(D/P),因此形成了總共56個市場指標觀察值。在2008年金融危機之前的研究結果發現56個觀察值中有12個價值溢酬、42個消失、2個反轉,分別佔21.4%、75%和3.6%。 此次研究結果發現與Fama and French (1998),Abhyankar et al. (2009),和Li et al. (2009) 有一致性的結果。然而,在2008年金融海嘯之後,本文發現價值溢酬的結果有很大差異,在兩個時期2008前和2008後的比較結果顯示,價值溢酬的存在從21.4%急劇下降到3.6%,而價值溢酬反轉從3.6%急劇增加到30.3%,這是在歐洲市場文獻中是首次發現。因此,歐洲股票市場的價值溢酬現象是否是規律且持續性應值得持續關注的。
This study uses an alternative method, stochastic dominance (SD) test, to examine the value premium on the basis of book-to-market (B/M), earnings-to-price (E/P), cash earnings-to-price (CE/P), and dividend-to-price (D/P) indicators for the 14 major European markets, so a total of 56 market-indicator observations are formed. The results show that 12, 42, and 2 of 56 observations, 21.4%, 75%, and 3.6%, are found to be the existence, disappearance and reversal of the value premium, respectively, before 2008 financial crisis, which is consistent with the previous studies for European markets, like Fama and French (1998), Abhyankar et al. (2009), and Li et al. (2009) for European stock markets. However, the percentages of the three counterparts are 3.6%, 66.1%, and 30.3%, respectively, after 2008. Comparing results for two periods show that the existence of the value premium sharply decreases from 21.4% to 3.6%, while the reversal of the value premium dramatically increases from 3.6% to 30.3% after 2008, which is first documented for the European markets in the literature. Whether this regularity persists in European markets is worth continual concern.
1. Introduction 1
2. Literature Review 4
2.1 Value Premium 4
2.2 Stochastic Dominance 7
3. Data and Methodology 8
4. Empirical Results 18
4.1 Empirical Results for the Full Sample Period 18
4.2 Empirical Results before and after 2008 27
4.3 Discussion 34
5. Conclusions 40
References 41
Appendix 48

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