| 研究生: |
范懷文 Huan-Wei Fai |
|---|---|
| 論文名稱: |
事件研究法:母數、無母數與拔靴複製法之比較 |
| 指導教授: |
周賓凰
Pin-Huang Chou |
| 口試委員: | |
| 學位類別: |
碩士 Master |
| 系所名稱: |
管理學院 - 財務金融學系 Department of Finance |
| 畢業學年度: | 89 |
| 語文別: | 中文 |
| 論文頁數: | 44 |
| 中文關鍵詞: | 事件研究法 、拔靴複製法 、無母數方法 |
| 相關次數: | 點閱:7 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 |
本研究之結果顯示,使用日本股市資料進行事件研究法時,在無事件日變異數增大之下,母數方法在公司家數為50家時,檢定績效比家數為25家時來得較佳,無母數方法則不受公司家數影響。拔靴複製法除了檢定力較傳統母數方法好之外,其檢定績效沒有較佳。而符號檢定的檢定分配有左偏的現象;橫斷面獨立法和原始相關調整法則有右偏的現象。在事件日變異數增大時,模擬結果顯示,一般化符號檢定的檢定績效較佳,且母數方法在經過事件日變異數增大調整之後,其檢定績效明顯有改善。拔靴複製法的檢定力同樣都比傳統母數方法高出一些。
綜合以上分析,拔靴複製法在事件研究法上,沒有明顯的貢獻性。而日本股市資料在事件研究法上的檢定可使用傳統母數方法經過變異數增大調整和一般化符號檢定兩種檢定方法。
[1]Ashley, J. W., 1962, Stock prices and changes in earnings and dividends: Some empirical results, Journal of Political Economics 70, 82-85.
[2]Baker, C. A., 1956, Effective stock splits, Harvard Business Review 34, 101-106.
[3]Beaver, W. H., 1968, The information content of annual earnings announcements, Journal of Accounting Research (supplement) 66, 67-92.
[4]Boehmer. E., J. Musumeci and A. B. Poulsen, 1991, Event-study methodology under condition of event-induced variance, Journal of Financial Economics 30, 253-272.
[5]Brown, S.J. and J.B. Warner, 1980, Measuring security price performance, Journal of Financial Economics 8, 205-258.
[6]Brown, S.J. and J. B. Warner, 1985, Using daily stock return: The case of event studies, Journal of Financial Economics 14, 3-31.
[7]Burnett J. E., Carroll, C., Thistle P., 1995, Implications of multiple structural changes in event studies, The Quarterly Review of Economics and Finance, Vol. 35, No. 4,Fall, 467-480.
[8]Campbell, C.J. and C. E. Wasley, 1993, Measuring security price performance using daily NASDAQ returns, Journal of Financial Economics 33, 1993, 73-92.
[9]Chou, P. —H., 1999, Bootstrap Tests for Multivariate Event Studies, working paper, National Central University.
[10]Chou, P. —H., and Wang, H. —H., 1999, Alternative tests for event studies: A bootstrap approach, working paper, National Central University.
[11]Collins, D. W. and W. T. Dent, 1984, A comparison of alternative testing methodologies used in capital market research, Journal of Accounting Research 22, 48-84.
[12]Corhay, A., Rad, A. T., 1996, Conditional heteroskedasticity adjusted market model and an event study, The Quarterly Review of Economics and Finance, Vol. 36, No. 4, Winter, 529-538.
[13]Corrado, C.J., 1989, A nonparametric test for abnormal security-price performance in event study, Journal of Financial Economics 23, 385-395.
[14]Coutts, J. A., Mills T. C., Roberts, J., 1995, Misspecification of the market model: the implications for event studies, Applied Economics Letters, 2, 163-165.
[15]Cowan, A. R. and A.M.A. Sergeat, 1996, trading frequency and event study test specification, Journal of Banking & Finance 20, 1731-1757.
[16]Dann, L. Y. and W. H. Mikkelson, 1984, Convertible debt issuance, capital structure change and financing-related information, Journal of Financial Economics 13, 157-186.
[17]Dodd, P. and R. Leftwich, 1980, The market for corporate charter: Unhealthy competition versus federal regulation, Journal of Business 53, 259-283.
[18]Dyckman, T., D. Philbrick and J. Stephan, 1984, A comparison of event study methodologies using daily stock returns: A simulation approach, Journal of Accounting Research (supplement)22, 1-33.
[19]Fama E. F., L. Fisher, M. C. Jensen and R. Roll, 1969, The adjustment of stock prices to new information, International Economic Review 10,1-21.
[20]Jong F. D., Kemna A., Kloek T., 1992, A contribution to event study methodology with an application to the Dutch stock market, Journal of Banking and Finance 16 11-36.
[21]Kalaym, A. and U. Loewenstein, 1985, Predictable events and excess returns, Journal of Financial Economics 14, 423-450.
[22]Karafiath I., 1988, Using dummy variable in event methodology, The Financial review 23, 351-357.
[23]Karafiath I., 1994, On the Efficiency of Least Squares Regression with Security Abnormal Returns as the Dependent Variable, Journal of Financial and Quantitative Analysis 29, 279-300.
[24]Karathanassis, G., and Patsos, C., 1993, Evidence of heteroscedasticity and mis-specification issues in the market model: results from the Athens Stock Exchange, Applied Economics, 25, 1423-1438.
[25]Kramer, L., 1996, The bootstrap in event studies, working paper, Univesity of British Columbia.
[26]Patell, J. and M. Wolfson, 1979, Anticipated information releases reflected in call option prices, Journal of Accounting and Economics 1, 117-140.
[27]Mackinlay, A. C., 1997, Event studies in economics and finance, Journal of Economic Literature 24, 13-39.
[28]Mikkelson, W. H. and M. M. Partch, 1986, Valuation effects of security offerings and issuance process, Journal of Financial Economics 15, 31-60.
[29]Mills, T. C., Coutts J. A., Roberts, J., 1996, Misspecification testing and robust estimation of the market model and their implications for event studies, Applied Economics, 28, 559-566.
[30]Myers J. H. and A. J. Bakay, 1948, Influence of Stock Split-Ups on Market Price, Harvard Business Review 26, 251-255.
[31]Scholes, M. and J. Williams, 1977, Estimating betas form nonsynchronous data, Journal of Financial Economics 5, 309-328.
[32]周賓凰與蔡坤芳, 1996, 台灣股市日資料特性與事件研究法, 證券市場發展季刊第九卷第二期, 1-28.