臺灣博碩士論文加值系統

本文使用Eckel et al. (2007)的方法對台灣做實測，分析台灣上市櫃公司之剩餘報酬是否會受公司間之空間距離影響。本研究希望能對股票的空間現象提供一些參考，看出台灣股市是否會有不同於其他國家的空間現象。
本文的剩餘報酬來自於Fama and French (1993)的三因子。並利用總公司的登記地址資料，與無風險利率，以及週報酬率，計算出距離虛擬變數與剩餘報酬的相關係數。最後以一般迴歸的方法作為分析手段，並以拔靴法來重複實驗多次，比較兩者之結果。
樣本期間為2000年07月至2012年05月之所有上市櫃公司與其週報酬率。研究發現在250公里的距離之內，剩餘報酬會與距離呈現正相關；但距離於250公里以上時，空間距離並不能對剩餘報酬有好的解釋能力。

This article follows the method in Eckel et al. (2007) to analyze the impact of Taiwan-listed companies’ geographic on stock residual returns. This article focus on Taiwan. This study may provides for reference to other studies of the spatial effect to stocks.
The residual return is estimated by Fama-French (1993) three factors. This study use the registered addresses of the firms and risk-free returns and weekly rate of returns to compute the distance dummy variables and the correlations of residual returns. This article uses the ordinary least squared regression analysis and repeats bootstrap many times in order to compare the results.
The samples of this study are all Taiwan-listed companies weekly stock returns from July 2000 to May 2012. This study found that the residual returns are proportional to the distances of the firms when the distance is lower than 250km, and the residual returns can not be explained by the distances of the firms when the distance is higher than 250km.

中文摘要..................................................i
Abstract................................................ii
目錄...................................................iii
第一章 緒論............................................1
第一節 研究背景與動機..................................1
第二節 研究目的與架構..................................2
第二章 文獻探討........................................4
第三章 資料變數簡介.....................................5
第一節 公司登記地址...................................5
第二節 報酬率(週)....................................5
第三節 Fama and French 三因子........................6
第四節 無風險利率....................................6
第四章 研究方法........................................7
第一節 兩總公司登記地址間距離之計算....................7
第二節 剩餘報酬......................................8
第三節 計算公司間之剩餘報酬相關係數....................9
第四節 剩餘報酬與距離組別的迴歸.......................10
第五節 拔靴法.......................................11
第五章 實證結果與分析..................................13
第一節 股票剩餘報酬相關係數與距離虛擬變數向量之迴歸結果..13
第二節 迴歸係數與距離關係圖........................21
第六章 結論與建議.....................................26
第一節 結論.........................................26
第二節 未來研究與建議................................26
參考文獻.................................................27
附錄....................................................29

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