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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/90048
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/90048


    Title: 臺灣股市明牌對股價波動影響的實證研究
    Authors: 林子貞
    Contributors: 林炯垚
    林子貞
    Date: 1989
    1988
    Issue Date: 2016-05-03 14:11:50 (UTC+8)
    Abstract: 論文摘要
    本研究以情報效果為理論基礎,探討台灣股市明牌公佈如何影響股票價格,並達成檢定市場效率性,探討「推薦買」、「推薦賣」明牌的公佈對股價有何不同的影響,最後,並針對不同資本額大小的公司與明牌公佈間是否有相關性提出實證。
    吾人以民國76年1月~民國77年12月為研究期間,經蒐集相關資料,選取94個「推薦買」樣本,43個「推薦賣」樣本,分別以Waud Model,Mean Adjusted Returns Model及估計期等於30天和60天進行實證,並以平均異常報酬及累積平均異酬解釋所得結果;四方法所得結果相符合,經分析後可得到下列數項結論:
    一、「推薦買」訊息的公佈對股價確有影響,符合情報效果假說,但「推薦賣」訊息的公佈對股價則無影響,這顯示台灣股市投資人在閱讀投資專業報章雜誌時,有選擇性的偏好。
    二、就兩個組合反應開始時間而言,兩者均在公佈日前即開始反應,並且「賣組合」反應時間更早。
    三、不論「買組合」或「賣組合」,兩者在推薦後皆必須建過一段時日後才能達到均衡價位,這符合了當股市中有一訊息公佈時,必須有足夠的投資人知道並採取行動,才能使股價達到均衡價位的「遞次情報到達模式」所要闡述的意義。同時,這也否定了台灣股市為半強式效率市場的假說。
    四、「推薦買」及「推薦賣」組合,在公佈日後均有股價反彈的時點。
    五、就「推薦買」及「推薦賣」兩群股票而言,專業分析師的推薦均具有指引投資人買賣的價值,但如果投資人能夠在公佈日前獲知此資訊,他所賺取的異常報酬會高出許多。
    六、資本額大小會影響「推薦買」組合的價格型態,但不會影響「推薦賣」組合的價格型態。
    Reference: 參考文獻
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    [19] Stephen J. Brown and Jerold B. Warner, "Using Daily Stock Returns", Journal of Financial Economics, Vol 14,1985, PP 3-31.
    [20] Stickel. S ., "The Effect of Value Line Investment Survey Rank Changes on Common Stock Prices", Journal of Financial Economics, March 1985, PP 121-144.
    [21] Thomas E. Copeland & J. Fred Weston. "Financial Theory and Corporate Policy". Massachusettes. 2nd Edition,1983, PP 317-358.
    [22] Thomas R. Dyckman. David H. Downes and Robert P. Magee ,"Efficient Capital Markets & Accounting: A Critical Analysis", Englewood Cliffs, N.J. Prentice-Hall, 1975.
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    [26]林泉源,「證券投資顧問事業績效及投資者投資行為特性之研究」,中華民國證券市場發展基金會出版,民國七十七年八月,頁188~184 。
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    [29]林鎮邦,「台灣地區股票上市公司公佈之財務報表所含情報量之研究」,台灣大學商學研究所未出版碩士論文,民國六十九年六月。
    [30]黃俊英:「多變量分析」,台北:中國經濟企業研究所,民國七十五年元月二版,頁65~67。
    [31]陳文燦,「利率變動對股價的影響」,政治大學企管研究所未出版碩士論文,民國七十六年六月。
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    [33]羅禎昌,「現金增資公告對股票價格影響之實證研究」,政治大學企業管理研究所未出版碩士論文,民國七十六年六月。
    Description: 碩士
    國立政治大學
    企業管理學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002005557
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

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