系統識別號 | U0002-2006201413142600 |
---|---|
DOI | 10.6846/TKU.2014.00775 |
論文名稱(中文) | 公司特徵與獨特性風險對報酬的影響 |
論文名稱(英文) | The Effects of Firm Characteristics and Idiosyncratic Risk to Return |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 102 |
學期 | 2 |
出版年 | 103 |
研究生(中文) | 林哲煒 |
研究生(英文) | Je-Wei Lin |
學號 | 601530966 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2014-06-01 |
論文頁數 | 61頁 |
口試委員 |
指導教授
-
林蒼祥
共同指導教授 - 蔡蒔銓 委員 - 涂登才 委員 - 黃健銘 委員 - 林蒼祥 |
關鍵字(中) |
獨特性風險 股價報酬 公司特徵 |
關鍵字(英) |
Idiosyncratic risk stock returns firm characteristics |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
獨特性風險在預測報酬的能力,目前在財金研究中仍眾說紛紜。由於各學者在實證方面使用的方法或母體不同,模型的建構及變數的衡量亦有許多不同。故本文想深入探討台灣股票市場的公司特徵、獨特性風險與報酬的影響關係。 首先,本文主要檢驗個股獨特性風險與面股價報酬的關係,研究採取Fama and French (1993)三因子模型之直接分解法 (direct decomposition method) Xu and Malkiel (2003)與Goyal and Santa-Clara (2003)即以殘差之標準差作為獨特性風險的估計值。本研究採用月股價報酬資料做為樣本來估計獨特性風險變數,觀察獨特性風險是否對於股價報酬具有解釋能力。在使用Fama and MacBeth(1973)迴歸方法將獨特性風險與股票超額報酬做迴歸分析之後,發現其在解釋股票超額報酬上,具有顯著的正向關係。與Spiegel and Wang(2005)以及Fu(2009)的研究結果一致。本研究更進一步探討公司特徵和獨特性風險對報酬之間的關係,為尚未形成定論之議題增添新的研究結果。 |
英文摘要 |
Idiosyncratic risk ability to predict the socks return is currently still in the research of Finance opinions. Due to the different methods or maternal various scholars used in empirical construct and measure variables there are many different models. Therefore, this article would like to discuss the Taiwan stock market, the firm characteristics a unique impact on the relationship between idiosyncratic risk and expected return. First, this paper examine the relationship between idiosyncratic risk stocks and stock returns in the cross-sectional study to take Fama and French (1993) three-factor model of direct decomposition of (direct decomposition method) Xu and Malkiel (2003) and Goyal and Santa-Clara (2003) that is used as the standard deviation of the residuals of the estimated value of the idiosyncratic risk In this study, monthly stock return data as sample to estimate the idiosyncratic risk variables to observe whether the unique risks for stock returns have explanatory power. After using the Fama and MacBeth (1973) regression method to idiosyncratic risk and stock excess returns regression analysis found that its interpretation of the excess return on the stock, with a significant positive relationship. And consistent with Spiegel and Wang (2005) Fu (2009) findings. This study further explore the characteristics of the company of the relationship between the idiosyncratic risk and return. |
第三語言摘要 | |
論文目次 |
第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究架構 4 第四節 研究流程 5 第二章 文獻探討 6 第一節 獨特性風險估計方法相關文獻 6 第二節 獨特性波動之重要性與早期研究文獻 7 第三節 相關控制變數之文獻 8 第四節 相關公司特徵之文獻 13 第五節 相關公司治理之文獻 14 第三章 研究方法 16 第一節 資料說明 16 第二節 獨特性波動估計 18 第三節 FAMA AND FRENCH三因子模型及其變數 21 第四節 迴歸模型建立 28 第四章 實證結果與分析 29 第一節 敘述統計 30 第二節 橫斷面迴歸分析結果 31 第三節 不同公司特徵比例下之獨特性風險與報酬關係探討 36 結論 50 參考文獻 53 表目錄 表 1敘述統計量 30 表 2共線性 31 表 3迴歸結果_控制變數 33 表 4迴歸結果_槓桿 34 表 5迴歸結果_營業額 34 表 6迴歸結果_每股盈餘 35 表 7迴歸結果_董事會規模 35 表 8迴歸結果_經理人持股比例 36 表 9依槓桿分兩組的迴歸結果 40 表 10依營業額分兩組的迴歸結果 41 表 11依每股盈餘分兩組的迴歸結果 42 表 12依公司成立年份分兩組的迴歸結果 43 表 13依董事會規模分兩組的迴歸結果 44 表 14依經理人持有比例分兩組的迴歸結果 45 表 15各分組虛擬迴歸結果-槓桿 48 表 16各分組虛擬迴歸結果-營業額 48 表 17各分組虛擬迴歸結果-每股盈餘 49 表 18各分組虛擬迴歸結果-公司成立年份 49 表 19各分組虛擬迴歸結果-董事會規模 50 表 20各分組虛擬迴歸結果-經理人持股比例 50 圖目錄 圖 1研究流程圖 5 |
參考文獻 |
中文 1. 李春旺,1988,「股價行為與規模效應:台灣股票市場實證研究」,國立政治大學企業管理研究所博士論文。 2. 林天中,1997,「台灣股票市場三因子:系統風險、公司規模及淨值市價比實證研究」,國立清華大學經濟學研究所碩士論文。 3. 林佳蕙,2004,「獨特性風險與投資組合績效之研究─以摩根台指成份股為例」,樹德科技大學金融保險研究所碩士論文。 4. 林建廷,2001,「台灣股票市場因子探討」,國立東華大學國際經濟研究所未出版碩士論文。 5. 林秋炭,1991,「經濟因素、公司規模與股票報酬率關係之研究」,東海大學企業管理研究所碩士論文。 6. 胡星陽. "流動性對台灣股票報酬率的影響." Journal of Financial Studies Vol 5.4 (1998): 1. 7. 徐守德、侯怡如. ”放寬外資限制對股市結構之影響”台灣銀行季刊49(4) (1998):27-70。 8. 陳建良,1994,「我國股票市場異常現象之實證研究」,交通大學管理科學研究所碩士論文。 9. 陳海清,1998,「相對強勢投資組合策略在台灣股票市場的績效實證分析」,國立台灣大學財務金融研究所碩士論文。 10. 陳惠萍,1998,「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。 11. 陳榮昌,2002,「台灣股票報酬之結構分析」,國立中山大學財務管理研究所碩士論文。 12. 黃啟哲,2003,「獨特性風險的估計:以台灣上市股票為例」,國立高雄第一科技大學財務管理研究所碩士論文。 13. 蕭翠玥,1988,「台灣地區上市公司股票報酬率規模效應之研究」,國立中山大學企業管理研究所出版碩士論文。 英文 1. Adams, Renee B., Heitor Almeida, and Daniel Ferreira. "Powerful CEOs and their impact on corporate performance." Review of Financial Studies 18.4 (2005): 1403-1432. 2. Aslan, Hadiye, et al. "Firm characteristics and informed trading: Implications for asset pricing." Unpublished Working Paper (2007). 3. Bai, Chong-En, et al. "Corporate governance and market valuation in China."Journal of Comparative Economics 32.4 (2004): 599-616. 4. Brandt, Michael W., et al. "The idiosyncratic volatility puzzle: Time trend or speculative episodes?." Review of Financial Studies 23.2 (2010): 863-899. 5. Brown, Gregory, and Nishad Kapadia. "Firm-specific risk and equity market development." Journal of Financial Economics 84.2 (2007): 358-388. 6. Campbell, John Y., et al. "Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk." The Journal of Finance 56.1 (2001): 1-43. 7. Cao, Charles, Timothy Simin, and Jing Zhao. "Can growth options explain the trend in idiosyncratic risk?." Review of Financial Studies 21.6 (2008): 2599-2633. 8. Cheng, Shijun. "Board size and the variability of corporate performance."Journal of Financial Economics 87.1 (2008): 157-176. 9. Datta, Sudip, Mai Iskandar‐Datta, and Ajay Patel. "Some evidence on the uniqueness of initial public debt offerings." The journal of finance 55.2 (2000): 715-743. 10. Dennis, Patrick, and Deon Strickland. "The determinants of idiosyncratic volatility." Unpublished working paper, University of Virginia (2004). 11. Dimson, Elroy. "Risk measurement when shares are subject to infrequent trading." Journal of Financial Economics 7.2 (1979): 197-226. 12. Elston, Julie Ann, and Lawrence G. Goldberg. "Executive compensation and agency costs in Germany." Journal of Banking & Finance 27.7 (2003): 1391-1410. 13. Fama, Eugene F., and James D. MacBeth. "Risk, return, and equilibrium: Empirical tests." The Journal of Political Economy (1973): 607-636. 14. Fama, Eugene F., and Kenneth R. French. "Common risk factors in the returns on stocks and bonds." Journal of financial economics 33.1 (1993): 3-56. 15. Fink, J., Grullon, G., Fink, K., & Weston, J. (2004). Firm age and fluctuations in idiosyncratic risk. Available at SSRN 891173. 16. Fink, Jason, Kristin Fink, and Hui He. Idiosyncratic volatility measures and expected return. Working paper, 2011. 17. Fu, Fangjian. "Idiosyncratic risk and the cross-section of expected stock returns." Journal of Financial Economics 91.1 (2009): 24-37. 18. Goyal, Amit, and Pedro Santa‐Clara. "Idiosyncratic risk matters!." The Journal of Finance 58.3 (2003): 975-1008. Goyal, Amit, and Pedro Santa‐Clara. "Idiosyncratic risk matters!." The Journal of Finance 58.3 (2003): 975-1008. 19. Guo, Enyang, Nilanjan Sen, and Dilip K. Shome. "Analysts' Forecasts: Low‐Balling, Market Efficiency, and Insider Trading." Financial Review 30.3 (1995): 529-539. 20. Himmelberg, Charles P., R. Glenn Hubbard, and Darius Palia. "Understanding the determinants of managerial ownership and the link between ownership and performance." Journal of financial economics 53.3 (1999): 353-384. 21. Irvine, Paul J., and Jeffrey Pontiff. "Idiosyncratic return volatility, cash flows, and product market competition." Review of Financial Studies 22.3 (2009): 1149-1177. 22. Jensen, Michael C. "The modern industrial revolution, exit, and the failure of internal control systems." the Journal of Finance 48.3 (1993): 831-880. 23. Jensen, Michael C., and William H. Meckling. "Theory of the firm: Managerial behavior, agency costs and ownership structure." Journal of Financial Economics 3.4 (1976): 305-360. 24. Jiang, George J., Danielle Xu, and Tong Yao. "The information content of idiosyncratic volatility." Journal of Financial and Quantitative Analysis 44.01 (2009): 1-28. 25. Kiel, Geoffrey C., and Gavin J. Nicholson. "Board composition and corporate performance: how the Australian experience informs contrasting theories of corporate governance." Corporate Governance: An International Review 11.3 (2003): 189-205. 26. Lipton, Martin, and Jay W. Lorsch. "A modest proposal for improved corporate governance." The Business Lawyer (1992): 59-77. 27. Lustgarten, Steven, and Vivek Mande. "Financial analysts' earnings forecasts and insider trading." Journal of Accounting and Public Policy 14.3 (1995): 233-261. 28. Moskowitz, Tobias J., and Mark Grinblatt. "Do industries explain momentum?."The Journal of Finance 54.4 (1999): 1249-1290. 29. Pastor, Ľuboš, and Veronesi Pietro. "Stock valuation and learning about profitability." The Journal of Finance 58.5 (2003): 1749-1790. 30. Penman, Stephen H. "A comparison of the information content of insider trading and management earnings forecasts." Journal of Financial and Quantitative Analysis 20.01 (1985): 1-17. 31. Penman, Stephen H. "Insider trading and the dissemination of firms' forecast information." The Journal of Business 55.4 (1982): 479-503. 32. Sah, Raaj K., and Joseph E. Stiglitz. "The quality of managers in centralized versus decentralized organizations." The Quarterly Journal of Economics(1991): 289-295. 33. Singh, Manohar, and Wallace N. Davidson III. "Agency costs, ownership structure and corporate governance mechanisms." Journal of Banking & Finance 27.5 (2003): 793-816. 34. Sivakumar, Kumar, and Jayaraman Vijayakumar. "Insider trading, analysts' forecast revisions, and earnings changes." Journal of Accounting, Auditing & Finance 16.2 (2001): 167-187. 35. Spiegel, Matthew, and Xiaotong Wang. "Cross-sectional variation in stock returns: Liquidity and idiosyncratic risk." (2005). 36. Stoll, Hans R. "The pricing of security dealer services: An empirical study of NASDAQ stocks." The Journal of Finance 33.4 (1978): 1153-1172. 37. Wei, Steven X., and Chu Zhang. "Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities." Journal of Banking & Finance 29.3 (2005): 603-621. 38. Xu, Yexiao, and Burton G. Malkiel. "Investigating the Behavior of Idiosyncratic Volatility*." The Journal of Business 76.4 (2003): 613-645. 39. Yermack, David. "Higher market valuation of companies with a small board of directors." Journal of financial economics 40.2 (1996): 185-211. 40. Zahra, Shaker A., and John A. Pearce. "Boards of directors and corporate financial performance: A review and integrative model." Journal of management15.2 (1989): 291-334. |
論文全文使用權限 |
如有問題,歡迎洽詢!
圖書館數位資訊組 (02)2621-5656 轉 2487 或 來信