English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 89683/119504 (75%)
Visitors : 23940892      Online Users : 108
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/124634


    Title: 風險因子價格崩跌風險之探討 -以台灣股市為例
    Price crash risk of risk factors: Evidence from Taiwan stock markets
    Authors: 吳芝儀
    Wu, Chih-Yi
    Contributors: 郭維裕
    吳芝儀
    Wu, Chih-Yi
    Keywords: 股價崩跌風險
    偏態
    系統性風險因子
    Stock price crash risk
    Risk factors
    Skewness
    Date: 2019
    Issue Date: 2019-08-07 15:49:33 (UTC+8)
    Abstract: 全球金融海嘯發生,造成股價大幅下跌,投資人遭受巨大損失。本篇論文想要藉此探討,Chen et al. (2001)及Ak et al. (2016)等人所提出的三種計算偏態程度的公式中,從系統風險結構下,找出從五因子風險模型延伸至其他相關風險因子,預測台灣市場大盤股價崩跌風險,使投資人可以事先避免突如其來股價嚴重崩跌時,資產面臨大幅虧損的情況。
    Every time global financial crisis happens, it leads the stock price going down dramatically and the active investors face significant losses as well. In this study, we want to investigate that under the system risk, whether we can forecast the stock price crash risk of Taiwanese aggregate stock market. We mainly extend the five-factor risk factors model to other relative risk factors. Next, we put these factors into the formulas which are proposed by Chen et al. (2001) and Ak et al. (2016) to do the skewness measurement of stock price. In case of forecasting the future stock crashes risk, investors may avoid the stock price decline sharply in advance, and protect their assets.
    Reference: Ak, B. Korcan, Steven Rossi, Richard Sloan, and Scott Tracy, 2016, Navigating stock price crashes, Journal of Portfolio Management, 42(4), p.28(10) 3.
    An, Heng, and Ting Zhang, 2013, Stock price synchronicity, crash risk, and institutional investors, Journal of Corporate Finance, 21, 1-15.
    Andreou, Panayiotis, Christodoulos Louca, Andreas P. Petrou, 2017, CEO age and stock price crash risk, Review of Finance, 21, 1287-1325.
    Andreou, Panayiotis, Constantinos Antoniou, Joanne Horton, Christodoulos Louca, 2016, Corporate governance and firm-specific stock price crashes, European Financial Management, 22, 916-956.
    Banz, Rolf, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9(1), 3-18.
    Basu, Sanjoy, 1983, The Relationship Between Earnings Yield, Market Value and Return for NYSE Common Stocks, Journal of Financial Economics, 12, p.129-156.
    Callen, Jeffrey, and Xiaohua Fang, 2013, Institutional investor stability and crash risk:
    monitoring versus short-termism?, Journal of Banking & Finance, 37, 3047–3063.
    Callen, Jeffrey, and Xiaohua Fang, 2015, Religion and stock price crash risk, Journal of Financial and Quantitative Analysis, 50, 169-195.
    Callen, Jeffrey, and Xiaohua Fang, 2015, Short interest and stock price crash risk, Journal of Banking & Finance, 60, 181-194.
    Callen, Jeffrey, and Xiaohua Fang, 2017, Crash risk and the auditor-client relationship, Contemporary Accounting Research.34(3), 1715-1750.
    Cao, Chunfang, Changyuan Xia, and Kam C.Chan, 2016, Social trust and stock price crash risk: evidence from China, International Review of Economics & Finance, 46, 148-165.
    Carhart, Mark M.,1997, On Persistence in Mutual Fund Performance, Journal of Finance, 52,57-82.
    Chang, Xin, Yangyang Chen and Leon Zolotoy, 2017, Stock liquidity and stock price crash risk, Journal of Financial and Quantitative Analysis.
    Chen, Changling, Jeong-Bon Kim, and Li Yao, 2017, Earnings smoothing: does it exacerbate or constrain stock price crash risk?, Journal of Corporate Finance, 42, 36-54.
    Chen, Joseph, Harrison Hong, and Jeremy C Stein, 2001, Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics, 61(3), 345-381.
    De Bondt, Werner, and Richard Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance, 40,793-808.
    De Franco, Gus, S.P. Kothari, and Rodrigo S. Verdi, 2011, The benefits of financial statement comparability, Journal of Accounting Research, 49, 895-931.
    Ertugrul, Mine, Jin Lei, Jiaping Qiu, and Chi Wan, 2017, Annual report readability, tone ambiguity, and the cost of borrowing, Journal of Financial and Quantitative Analysis, 52(2), 811-836.
    Fama, Eugene, 1965,The Behavior of Stock-Market Prices, Journal of Business, 38, 34-105.
    Fama, Eugene, and Kenneth R. French 1992, The cross-section of expected stock returns, Journal of Finance, 2, 427-465.
    Fama, Eugene, and Kenneth R. French, 2006, Profitability, investment and average returns, Journal of Financial Economics, 82(3), 491-518.
    Fama, Eugene, and Kenneth R. French,1988, Dividend yields and expected stock returns, Journal of Financial Economics, Vol.22(1), pp.3-25.
    Habib, Ahsan, Mostafa Monzur Hasan, and Haiyan Jiang, 2018, Stock price crash risk: review of the empirical literature, Accounting & Finance, 58, 211-251.
    He, Guanming, 2015, The effect of CEO inside debt holdings on financial reporting quality, Review of Accounting Studies, 20, 501-536.
    He, Jie (Jack), and Xuan Tian, 2013, The dark side of analyst coverage: the case of innovation, Journal of Financial Economics, 109, 856-878.
    Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting Anomalies: An Investment Approach, The Review of Financial Studies, 28(3), 650-705.
    Hutton, Amy, Alan J.Marcus, and Hassan Tehranian, 2009, Opaque Financial Reports, R2 and Crash Risk, Journal of Financial Economics, 94 , 67-86.
    Irani, Rustom and David Oesch, 2016, Analyst coverage and real earnings management: quasi-experimental evidence, Journal of Financial and Quantitative Analysis, 51, 589-627.
    Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance, 45(3), 881-898.
    Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Return to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65-91.
    Kim, Jeong‐Bon, and Liandong Zhang, 2015, Accounting conservatism and stock price crash risk: firm-level evidence, Contemporary Accounting Research, 33, 412-441.
    Kim, Jeong-Bon, Leye Li, Louise Yi Lu, and Yangxin Yu, 2016, Financial statement comparability and expected crash risk, Journal of Accounting and Economics, 61, 294-312.
    Kim, Jeong-Bon, Yinghua Li, and Liandong Zhang, 2011, Corporate tax avoidance and stock price crash risk: firm-level analysis, Journal of Financial Economics, 100, 639-662.
    Kim, Jeong‐Bon, Zheng Wang, and Liandong Zhang, 2016, CEO overconfidence and stock price crash risk, Contemporary Accounting Research, 33, 1720-1749.
    Kim, Yongtae, Haidan Li, and Siqi Li, 2014, Corporate social responsibility and stock price crash risk, Journal of Banking and Finance,43, 1-13.
    Kothari, S.P., Susan Shu, and Peter D. Wysocki, 2009, Do managers withhold bad news?, Journal of Accounting Research, 47, 241-276.
    Lee, Ming-Te, 2016, Corporate social responsibility and stock price crash risk: evidence from an Asian emerging market, Managerial Finance ,42, 963-979.
    Lee, Wei, and Lihong Wang, 2017, Do political connections affect stock price crash risk? Firm-level evidence from China, Review of Quantitative Finance and Accounting, 48, 643-676.
    Lehmann, Bruce,1990, Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics,105,1-28.
    Li Xiaorong, Wang Steven Shuye, and Wang Xue, 2017, Trust and stock price crash risk: evidence from China, Journal of Banking and Finance, 76, 74-91.
    Luo, Jin-hui, Manning Gong, Yilong Lin, and Qifeng Fang, 2016, Political connections and stock price crash risk: evidence from China, Economics Letters, 147, 90-92.
    Markowitz, Harry, 1952, Portfolio Selection, Journal of Finance, 7(1), 77-91.
    Mitra, Santanu, and William M. Cready, 2005, Institutional stock ownership, accrual management, and information environment, Journal of Accounting, Auditing and Finance, 20, 257-286.
    Ni, Xiaoran, and Weikang Zhu, 2016, Short-sales and stock price crash risk: evidence from an emerging market, Economics Letters, 144, 22-24.
    Piotroski, Joseph D., T.J. Wong, and Tianyu Zhang, 2015, Political incentives to suppress negative information: evidence from Chinese listed firms, Journal of Accounting Research, 53, 405-459.
    Sharpe, William, 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance,19(3),425-442.
    Velury, Uma, and David S.Jenkins, 2006, Institutional ownership and the quality of earnings, Journal of Business Research, 59, 1043-1051.
    Xu, Nianhang, Kam C. Chan, Xuanyu Jiang, and Zhihong Yi, 2013, Do star analysts know more firmspecific information? Evidence from China, Journal of Banking and Finance, 37, 89-102.
    Xu, Nianhang, Xiaorong Li, Qingbo Yuan, and Kam C. Chan, 2014, Excess perks and stock price crash risk: evidence from China, Journal of Corporate Finance, 25, 419-434.
    Xu, Nianhang, Xuanyu Jiang, Kam C. Chan, and Zhihong Yi, 2013, Analyst coverage, optimism, and stock price crash risk: evidence from China, Pacific-Basin Finance Journal, 25, 217-239.
    Zhang, Min, Lu Xie, and Haoran Xu, 2016, Corporate philanthropy and stock price crash risk: evidence from China, Journal of Business Ethics, 139, 595-617.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    106351020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106351020
    Data Type: thesis
    DOI: 10.6814/NCCU201900308
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    102001.pdf1039KbAdobe PDF0View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback