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系統識別號 U0002-2407201415202000
中文論文名稱 投資機會、波動度與外資持股對報酬之研究
英文論文名稱 Volatility and Foreign Investment Impact Stock Returns with Investment Opportunities
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 102
學期 2
出版年 103
研究生中文姓名 林鈺珊
研究生英文姓名 Yu-Shan Lin
學號 601530875
學位類別 碩士
語文別 中文
口試日期 2014-06-25
論文頁數 37頁
口試委員 指導教授-邱建良
共同指導教授-李彥賢
委員-陳達欣
委員-黃博怡
委員-邱建良
中文關鍵字 實質選擇權法  外資持股  波動度  報酬 
英文關鍵字 Real Options Hypothesis  Foreign Holding Shares  Volatility  Return 
學科別分類
中文摘要 本篇假設投資機會影響波動度(外資持股)對股票報酬的關係等同擁有實質選擇權之公司對波動度(外資持股)的敏感度。先用Fama-MacBeth橫斷面分析法找出波動度及報酬的關係(不含投資機會),第二步假設公司規模、年齡、R&D及未來銷售成長代表公司的投資機會,加入探討台灣股票市場中這些具投資機會的公司報酬是否受公司波動度(外資持股)影響。資料期間為1990年1月4日至2013年10月31日,股票日報酬資料樣本數約2百多萬筆,外資持股月資料樣本數約14萬筆,投資機會變數與無風險利率為月資料共約17萬筆。
實證結果發現台灣股票市場單一公司波動度與報酬呈正相關。加入投資機會變數發現,公司規模、公司年齡及未來銷售成長會使波動度對報酬的敏感度變化大。另外,結果也指出台灣市場受外資影響程度大且外資持股與報酬同樣呈正相關。公司規模、研發強度、未來銷售成長及盈餘彈性會使外資持股對報酬的敏感度變化大。簡言之,投資機會的確會讓波動度或外資持股對報酬的關係改變。
英文摘要 This study examines that volatility and foreign holding shares affect stock returns with investment opportunities (Book assets, age, R&D expenditures and future sales growth) in Taiwan stock market from 1990/01/04 to 2013/10/31. The results point out the volatility-return relation (foreign holding shares-return relation) in Taiwan stock market is highly positive. Adding proxies for investment opportunities represent the firm value, it shows that the volatility-return (foreign holding shares-return) relation is sensitive to firm size, firm age and future sales growth (firm size, R&D intensity, future sales growth and earnings flexibility). That is, a firm with large investment opportunities is highly sensitive to volatility and foreign holding shares.
論文目次 目錄
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 研究流程圖 5
第二章 文獻回顧 6
第一節 波動度與報酬 6
第二節 外資持股與報酬 7
第三章 研究方法 9
第一節 研究樣本與資料來源 9
第二節 研究步驟 10
第四章 實證分析 17
第一節 敘述統計量 17
第二節 波動度或外資持股對報酬的關係 19
第三節 實質選擇權與資本資產訂價 27
第五章 結論 32
參考文獻 33

表目錄
表 1 原始資料 9
表 2:三因子分組 16
表 3:敘述統計量 18
表 4:變數相關係數表 19
表 5:波動度對報酬的影響 20
表 6:代理變數對波動度與報酬的關係之影響 22
表 7:外資持股對報酬的影響 23
表 8:代理變數對外資持股與報酬的關係之影響 25
表 9:波動度或外資持股對報酬的影響–電子業 26
表 10:資本資產訂價–波動度 28
表 11:資本資產訂價–外資持股 30

圖目錄
圖 1:研究流程圖 5
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