臺灣博碩士論文加值系統

過去的投資理論多假設股票報酬率偏態為常態分配，然許多實證研究指出，股票市場報酬呈不對稱型態。本研究以2011年至2013年台灣上市之股票，實證台灣公司股票偏態之情況；以負債比率、市價淨值比、年報酬率、週轉率、公司資產和信用評等六項公司特徵，來探討是否與公司股票偏態的關連性。
實證結果，台灣上市股票報酬率呈現右偏型態。而負債比率和年報酬率的增加，會使股票報酬率的右偏程度提高；而市價淨值比、週轉率和公司資產的增加，會使股票報酬率呈現左偏的情況。本研究使用TEJ信用評等指標，等級愈小表示其信用程度愈好；本研究發現，信用等級愈大，其右偏程度顯著愈高，代表公司的信用程度是造成台灣上市股票不對稱的原因之一。

The normal distribution of stock returns is most commonly adopted in traditional portfolio theory. However, it is well documented that stock returns are asymmetrically distributed. In this study, it is based on a sample of stock return among Taiwan market from 2011 to 2013 to show the difference of skewness of stock return. We adopt the leverage ratio, the P/B ratio, the cumulative return over the same 1 year, the turnover, the logarithm of companies assets, and the TCRI.
The empirical results show the stock return is positive skewness in Taiwan market. In addition, the higher leverage ratio and the cumulative return lead to more positively skewed. We also find that stock return that have higher turnover and larger companies assets have lower positive skewness. We use TCRI to measures the stock return distribution. And the lower score of TCRI is, the better credit rank will be. We find that companies with better credit rank also have greater negative skewness. Hence, we conclude credit rank is one of reasons to affect the stock return skewness in Taiwan market.

目次
中文摘要 ................................................. I
英文摘要 ................................................ II
誌謝 ....................................................III
目次 .................................................... IV
表次 ................................................... VI
圖次 ....................................................VII
第一章 緒論 .............................................. 1
第一節 前言 .............................................. 1
第二節 研究背景與動機 ....................................... 2
第三節 研究目的 ........................................... 4
第四節 研究流程 ........................................... 5
第二章 文獻分析 .............................................6
第一節 公司治理 ............................................6
第二節 信用評等 .......................................... 12
第三節 股票報酬偏態 ........................................ 14
第四節 公司治理與股票報酬偏態之相關性 ...................... 16
第三章 研究方法與步驟 ...................................... 17
第一節 研究假說與架構 ..................................... 17
第二節 資料來源 ...........................................22
第三節 研究變數設定與實證模型 .............................. 23
第四章 實證結果分析 ........................................ 27
第一節 敘述性統計 .......................................... 27
第二節 實證結果分析 ........................................ 30
第五章 研究結論與建議 ...................................... 34
第一節 研究結論 ........................................... 34
第二節 建議 .............................................. 36
參考文獻 ..................................................37

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