跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 古一斌
I-Pin Ku
論文名稱： 股票價格資訊內涵的實質產出影響效果
指導教授： 蔡明宏
Min-Hung Tsay
劉錦龍
Jin-long Liu
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 產業經濟研究所
Graduate Institute of Industrial Economics
論文出版年： 2021
畢業學年度： 109
語文別： 中文
論文頁數： 47
中文關鍵詞： 股價訊息性 、股價非同步性 、總要素生產力 、共同基金贖回壓力
外文關鍵詞： Stock price informativeness, Stock price nonsynchronicity, Total factor productivity, Mutual fund redemption pleasure
相關次數： 點閱：21  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本研究使用臺灣經濟新報（TEJ）資料庫，探討臺灣股票市場在 2008 年至2019 年期間，股價訊息性與公司總要素生產力的相關性。
    我們利用股價非同步性衡量股價訊息性，發現在臺灣股票市場中，股價訊息性對於公司總要素生產力呈現顯著負面影響。同時，我們亦發現當公司面臨共同基金贖回壓力時，股價訊息性的下降會使董事會更加重視 Tobin’s Q 衡量總經理績效，決定總經理續任或離職。

    In this paper, we investigate whether the stock price informativeness affect the total factor productivity by using the Taiwan listed companies’ data from 2008 to 2019.
    Use the stock price nonsynchronicity to measure stock price informativeness.
    We find that lower stock price informativeness is associated with higher total factor productivity. We use mutual fund flow pressure as an exogenous shock to price informativeness and find that a decrease in price informativeness leads to higher productivity.

    目 錄 頁次 第一章 緒論 ........................................................................................................ 1 1-1 研究背景與動機 ................................................................................... 1 1-2 研究目的與架構 ................................................................................... 4 第二章 文獻回顧 ................................................................................................ 6 2-1 公司管理者與股價訊息性之關聯......................................................... 6 2-2 總要素生產力與股價訊息性之關聯 ................................................... 8 第三章 資料來源與研究方法 ............................................................................ 9 3-1 樣本與資料來源 ................................................................................... 9 3-2 變數定義與說明 ................................................................................... 9 3-3 研究方法與模型 .................................................................................. 13 第四章 實證結果與分析 ................................................................................... 15 4-1 敘述統計量與相關係數表 .................................................................. 15 4-2 股價訊息性對總要素生產力之實證分析 .......................................... 18 4-3 內生性處理 .……………………………………………………...….. 22 4-4 股價訊息性影響總要素生產力之途徑 …………………………….. 26 4-5 穩健性測試 ………………………………………………………….. 31 第五章 結論與建議 ........................................................................................... 33 參考文獻 ............................................................................................................... 35

    參考文獻
    一、中文部分
    朱磊（2010），臺灣股票市場概況之一：發展歷程
    二、英文部分
    Ben-Nasr, H., Alshwer, A.A., 2016. Does stock price informativeness affect labor
    investment efficiency? Journal of Corporate Finance. 38, 249–271.
    Bennett, B., Stulz, R., Wang, Z., 2020. Does the stock market make firms more
    productive? Journal of Financial Economics. 136, 281–306.
    Chen, Q., Goldstein, I., Jiang, W., 2016. Price informativeness and investment
    sensitivity to stock price. Review of Financial Studies. 20, 619–650.
    Chen, S., Lin, S., Xiao, J., Zhang, P., 2020. Do managers learn from stock prices in
    emerging markets? Evidence from China. Forthcoming at European Journal of
    Finance.
    Coval, J., Stafford, E., 2007. Asset fire sales (and purchases) in equity markets.
    Journal of Financial Economics. 86, 479–512.
    Dessaint, O., Foucault, T., Frésard, L., Matray, A., 2019. Noisy stock prices and
    corporate investment. Review of Financial Studies. 32, 2625–2672.
    Durnev, A., Morck, R., Yeung, B., 2004. Value-enhancing capital budgeting and
    firm-specific stock return variation. Journal of Finance. 59, 65–105.
    Edmans, A., Goldstein, I., Jiang, W., 2012. The real effects of financial markets: The
    impact of prices on takeovers. Journal of Finance. 67, 933–971.
    Edmans, A., Jayaraman, S., Schneemeire, J., 2017. The source of information in
    prices and investment-price sensitivity. Journal of Financial Economics. 126,
    74–96.
    36
    Easley, D., Hvidkjaer, S., O'Hara, M., 2002. Is information risk a determinant of asset
    returns? Journal of Finance. 57, 2185–2221.
    Fama, E.F., 1970. Efficient capital markets: A review of theory and empirical work.
    Journal of Finance. 25, 383–417.
    Huson, M.R., Parrino, R., Starks L.T., 2001. Internal monitoring mechanisms and
    CEO turnover: A long‐term perspective. Journal of Finance. 56, 2265–2297.
    Lai, F., Wang, Q., Feng, Q., 2019. Does Chinese financial market information
    promote listed manufacturing firms’ productivity? Sustainability. 11, 329.
    Loderer, C., Stulz, R., Waelchli, U., 2017. Firm rigidities and the decline in growth
    opportunities. Management Science. 63, 3000–3020.
    Morck, R., Shleifer, A., 1988. Management ownership and market valuation: An
    empirical analysis. Journal of Financial Economics. 20, 293–315.
    Morck, R., Shleifer, A., Vishny, R.W., Shapiro, M., Poterba, J.M., 1990. The stock
    market and investment: Is the market a sideshow? Brookings Papers on
    Economic Activity. 1990, 157–215.
    Morck, R., Yeung, B., Yu, W., 2000. The information content of stock markets: Why
    do emerging markets have synchronous stock price movements? Journal of
    Finance. 58, 215–260.
    Roll, R., 1988. R2. Journal of Finance. 43, 541–566.
    Warner, J.B., Watts, R.L., Wruck, K.H., 1988. Stock prices and top management
    changes. Journal of Financial Economics. 20, 461–492.

    QR CODE
    :::