系統識別號 | U0002-2706201823283000 |
---|---|
DOI | 10.6846/TKU.2018.00881 |
論文名稱(中文) | 低價股的幻覺:以不同國家文化差異的證據為例 |
論文名稱(英文) | Illusion of Low-priced Stocks: Evidence from Culture Differences around the World |
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 | 106 |
學期 | 2 |
出版年 | 107 |
研究生(中文) | 林韋伶 |
研究生(英文) | Wei-Ling Lin |
學號 | 606530862 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2018-06-30 |
論文頁數 | 46頁 |
口試委員 |
指導教授
-
陳鴻崑
委員 - 胡星陽 委員 - 王衍智 委員 - 陳鴻崑 |
關鍵字(中) |
低價股溢酬 Hofstede文化維度理論 個人主義指數 不確定性規避指數 |
關鍵字(英) |
Low-priced premium Hofstede's Cultural Dimensions Theory Individualism index Uncertainty avoidance index |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本研究利用Hofstede (1980, 2010)文化維度理論作為衡量國家文化之指標,探討不同國家的文化差異是否能解釋股票市場低價股與高價股未來股票報酬率之間的差異。本文參考Chui, Titman, and Wei (2010)的研究方法,採用重複期間(overlapping)的方式來建構低價股、高價股投資組合,並且以1985年至2017年之間全球40個國家主要股票交易所中所有的普通股股票為研究對象,檢驗Hofstede個人主義指數與不確定性規避指數對低價股與高價股投資組合溢酬之影響。研究結果發現,在個人主義指數較高的國家或不確定性規避指數較低的國家,低價股與高價股投資組合的(負)溢酬差距較大,溢酬效果較明顯;反之,在個人主義指數較低的國家或在不確定性規避指數較高的國家,低價股與高價股投資組合的(負)溢酬差距較小,溢酬效果較不明顯。整體而言,低價股、高價股溢酬與個人主義指數呈現負向關係;低價股、高價股溢酬與不確定性規避指數呈現正向關係,唯後者在Fama and MacBeth (1973)橫斷面迴歸分析中並不顯著。 |
英文摘要 |
This study examines whether the differences in cultural dimensions such as individualism and uncertainty avoidance can explain the premium between low-priced stocks and high-priced stocks across countries. Using two cultural indices constructed by Hofstede (1980, 2010) and common stock returns in 40 countries over the period between 1985 and 2017, we find that the premium between low-priced stocks and high-priced stocks is higher for countries with high individualism index or countries with low uncertainty avoidance index. On the contrary, the premium between low-priced stocks and high-priced stocks is not that high for countries with low individualism index or countries with high uncertainty avoidance index. Overall, the evidence in this paper indicates that low-priced premium can be partially explained by different culture around the world. |
第三語言摘要 | |
論文目次 |
目錄 謝辭 I 中文摘要 II 英文摘要 III 表目錄 VI 第一章 緒論 1 第一節 研究動機與背景 1 第二節 研究目的 4 第三節 研究架構 6 第二章 文獻回顧與研究假說 8 第一節 投資人偏好低價股的原因 8 第二節 Hofstede的文化維度理論 11 第三節 文化維度的差異在財務上的應用 13 第四節 Hofstede文化維度理論如何影響低價股效應 16 第三章 研究樣本與研究方法 19 第一節 研究資料 19 第二節 研究方法 20 第四章 實證結果 23 第一節 各國樣本資料期間概況 23 第二節 全球股市低價股與高價股投資組合溢酬 26 第三節 Hofstede國家文化指數與低價股、高價股投資組合溢酬關聯性分析 30 第四節 Fama and MacBeth (1973)橫斷面迴歸分析 37 第五章 結論 40 參考文獻 42 表目錄 表 1樣本資料期間概況 24 表 2低價股與高價股投資組合溢酬 27 表 3 Hofstede個人主義指數與低價股、高價股投資組合溢酬關聯性分析 31 表 4 Hofstede不確定性規避指數與低價股、高價股投資組合溢酬關聯性分析 33 表 5穩健性測試-重新檢驗低價股與高價股投資組合溢酬 35 表 6 Fama-MacBeth橫斷面迴歸分析-Hofstede個人主義指數、不確定性規避指數與低價股、高價股投資組合溢酬之關聯性分析 38 表 7 Fama-MacBeth橫斷面迴歸分析-Hofstede個人主義指數、不確定性規避指數與低價股、高價股投資組合溢酬之關聯性再分析 39 |
參考文獻 |
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