完整後設資料紀錄
DC 欄位語言
dc.contributor.author陳建良en_US
dc.contributor.authorChern Jiann Liangen_US
dc.contributor.author曾正權en_US
dc.contributor.authorTzeng Jeng chuanen_US
dc.date.accessioned2014-12-12T02:12:31Z-
dc.date.available2014-12-12T02:12:31Z-
dc.date.issued1993en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#NT820457075en_US
dc.identifier.urihttp://hdl.handle.net/11536/58274-
dc.description.abstract本文以市場模型為出發點,探討臺灣股市的股票報酬,除了被市場投資組 合報酬率所解釋外,是否能被其他因子所解釋。基於國外學者對公司規模 、淨值市價比、負債權益比、益本比及價格等效應之研究,故本文選取這 五個因子當解釋變數,以驗證臺灣股票市場是否存在上述各效應。本文之 研究目的如下: 1.驗證我國股票市場是否存在公司規模、益本比、淨值市 價比、負債權益比及價格等效應。 2.探討各效應的穩定性。在研究方法 ,本文對變數的衡量都採用次級資料,資料來源為EPS臺灣地區股票市場 統計資料庫及上市公司財務報表資料庫。研究期間為民國七十二年四月起 至民國八十二年底。實證方法為SUR 模式及FM模式。實證結果顯示,無論 是以SUR 模式或FM模式來驗證,就整個研究期間而言,我國股票市場並不 存在公司規模、淨值市價比、負債權益比、益本比及價格等效應。進一步 以七十六年為界,將研究期間區隔為前後期,發現所有效應都不顯著。最 後驗證季節性現象,結果同樣是一月份與非一月份都不存在各效應,即各 效應並無季節性現象。綜上所述,本文無法找到充份證據支持我國股票市 場存在公司規模、淨值市價比、負債權益比、益本比及價格等效應,這表 示臺灣股票市場的證券價格能充份反應這五項已經公開的資訊,投資人利 用這幾項已公開的資訊來買賣股票時,僅能獲得正常報酬,而不會有超額 之報酬。 After finding " Efficient Market Hypothesis " and " Capital Asset Pricing Model " each other, these two important theories became the most attractive research field and affect the foll- owing theories very much. But after being discovered anomalies embedded in stock mark- et by empiricists , these two important theories encountered severe critique . if there is any anomalies existed in stock market , We cannot help suspecting the market efficiency . The principal objective of this paper is whether the various anom- alies exist in Taiwan's stock market or not. this paper empirically studies the various anomalies in Tai- wan's stock market and finds two conclusions as follows: 1.The various anomalies do not exist in Taiwan's stock market 2.Different estimation methodologies can't lead to different conclusions about the various anomalies.zh_TW
dc.language.isozh_TWen_US
dc.subject異常現象;股票市場;規模效應;益本比效應zh_TW
dc.subjectAnomalies;SUR;FM;Stock Market;Size Effect;E/P Effecten_US
dc.title我國股票市場異常現象之實證研究zh_TW
dc.titleThe Empirical Study of Various Anomalies in Taiwan's Stock Marketen_US
dc.typeThesisen_US
dc.contributor.department管理科學系所zh_TW
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