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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/58709


    Title: 股票報酬與財務比率的關係-修正迴歸係數偏誤法的應用
    Authors: 李洸慶
    Contributors: 饒秀華
    徐士勛

    李洸慶
    Keywords: 股票報酬
    財務比率
    修正迴歸係數偏誤
    Date: 2012
    Issue Date: 2013-07-01 17:38:26 (UTC+8)
    Abstract: 在有限樣本條件下,利用普通最小平方法(OLS)估計迴歸係數時會產生偏誤,原因在於被解釋變數股票報酬率迴歸式中的殘差項會與服從AR(1)下的解釋變數財務比率中的殘差項具有相關性,違反了古典迴歸模型的假設。本研究根據Amihud and Hurvich(2008)所探討的研究方法,在單一變數預測模型(single predictive models)和多重變數預測模型(multiple predictive models)-with a diagonal covariance matrix情況下,計算出經過偏誤修正後的迴歸係數以及其標準差,嘗試驗證在台灣的股票報酬市場,並比較與美國股票報酬市場結論之相同處和差異處,最後再對估計出的係數結果做探討。


    本文主要研究結論為,在單一變數預測模型之下,用來預測台灣股票報酬率的三個財務比率係數 ,只有益本比在10%顯著水準下具有解釋能力,係數 經過偏誤修正後的解釋能力存在明顯下滑現象,跟美國的實證結果相同。多重變數預測模型假設 為diagonal之型態下,在10%顯著水準下,整條迴歸式對台灣股票報酬市場會具有解釋能力的為益本比與淨值市價比,經過偏誤修正後,益本比的解釋能力不降反增,淨值市價比則不具有解釋能力。
    Reference: 英文文獻

    [1] Amihud and hurvich ”Predictive Regression: A Reduced-Bias Estimation Method” Journal of Financial and Quantitive Analysis (2008)
    [2] Amihud, Y. ”Illiquidity and Stock Returns: Cross-Sectional and Time-Series Effects.”Journal of Financial Economics, 5 (2002), 31–56.
    [3] Baker, M. and J. C. Stein. ”Market Liquidity as a Sentiment Indicator.” Working paper, Harvard Business School (2002).
    [4] Fama, E.F. ”Stock Returns, Expected Returns, and Real Activity.” Journal of Finance, 45 (1990), 1089–1108.
    [5] Fama, E.F. and K.R. French. ”Dividend Yields and Expected Stock Returns.” Journal of Financial Economics,22 (1988), 3–25.
    [6] Fama, E.F. and K.R. French. ”Business Conditions and Expected Returns on Stocks and Bonds.” Journal of Financial Economics, 25 (1989), 23–49.
    [7] French, K.R., G.W. Schwert and R.F. Stambaugh. ”Expected Stock Returns and Volatility.” Journal of Financial Economics, 19 (1987), 3–29.
    [8] Jones, C. M. ”A Century of Stock Market Liqidity and Trading Costs.” Working Paper, Columbia Business School (2002).
    [9] Keim, D.B., and R.F. Stambaugh. ”Predicting Returns in the Stock and Bond Market.” Journal of Financial Economics, 17 (1986), 357–396.
    [10] Kendall, M.G. ”Note on Bias in the Estimation of Autocorrelation.” Biometrika , 41 (1954), 403–404.
    [11] Kothari, S.P., and J. Shanken. ”Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis.” Journal of Financial Economics , (1997), 169-203.
    [12] Lewellen, J. ”Predicting Returns with Financial Ratios.” Journal of Financial Economics , forthcoming (2003).
    [13] Mankiw, N.G., and M. Shapiro. ”Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models.” Economic Letters 20 (1986), 139–145.
    [14] Nelson, C.R., and M.J. Kim. ”Predictable Stock Returns: The Role of Small Sample Bias.” Journal of Finance, 48 (1993), 641–661.
    [15] Stambaugh, R.F. ”Bias in Regressions with Lagged Stochastic Regressors.” Working paper, University of Chicago (1986).
    [16] Stambaugh, R.F. ”Predictive Regressions.” Journal of Financial Economics, 54 (1999), 375–421.


    中文文獻

    [16] 郭逢春(1993),「台灣上市公司在不同投資區間下的淨值/市價比效果」, 國立台灣大學財務金融研究所未出版碩士論文。
    [17] 胡玉雪(1994) ,「益本比、淨值市價比及公司規模對股票報酬率之影響-像似無關迴歸法之應用」,台灣大學商學研究所碩士論文。
    [18] 陳惠萍(1988),股票橫斷面之橫斷面分析-以台灣與上海股票市場為例,逢
    甲大學企業管理研究所碩士論文。
    Description: 碩士
    國立政治大學
    經濟學系
    100258016
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1002580161
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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