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題名:財務危機模型之規模、淨值市價比及動能與報酬之關聯
書刊名:企業管理學報
作者:陳信憲呂羽茜
作者(外文):Chen, Bryan H.Lu, Yu-qian
出版日期:2010
卷期:84
頁次:頁107-141
主題關鍵詞:財務危機模型規模效應淨值市價比動能Financial distress modelsSize effectBook to market ratioMomentum
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:103
  • 點閱點閱:67
本研究主要探討以臺灣上市公司為樣本,研究樣本期間為2000年1月到2008年12月,在採用兩種不同財務危機模型建構下,區分出有高財務危機與低財務危機的公司,並且探討Z-score及O-score的規模、淨值市價比、動能與報酬的關聯。研究結果中發現無論在採用何種財務危機模型區分,且在控制規模或淨值市價比下,高財務危機公司的報酬皆小於低財務危機公司,表示市場對於高財務危機公司存在反應不足的現象。此外低財務危機或高財務危機皆會有動能的持續現象,而在迴歸分析中也可發現高財務危機公司會有持續較低的動能現象。顯示出臺灣股票市場對於壞消息存在反應不足的現象,導致股價無法反映真實價值,建議投資人應以低財務風險的投資組合較佳。
This study used the listed companies in Taiwan as samples. The research sample period was from January 2000 to December 2008. Two different models were used to detect the financial distress, including the Z-score and O-score models. We found that the Taiwan stock market is underreacted to bad news; therefore, it does not reflect the true value of the market. Consequestly, we recommend investors better construct investment portfolios of low financial risk.
期刊論文
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2.Agarwal, V.、Taffler, J.(2007)。Twenty-five Years of the Taffler Z-score Model: Does It Really Have Predictive Ability?。Accounting and Business Research,37(4),285-300。  new window
3.Vassalou, Maria、Xing, Yuhang(2004)。Default risk in equity returns。Journal of Finance,59(2),831-868。  new window
4.黃振豊、呂紹強(20001100)。企業財務危機預警模式之研究--以財務及非財務因素構建。當代會計,1(1),19-40。new window  延伸查詢new window
5.Dichev, I. D.(1998)。Is the risk of bankruptcy a systematic risk?。Journal of Finance,53(3),1131-1148。  new window
6.Lamont, Owen、Polk, Christopher、Saá-Requejo, Jesús(2001)。Financial Constraints and Stock Returns。The Review of Financial Studies,14(2),529-554。  new window
7.古永嘉、李鑑剛(19980300)。臺灣股票市場報酬率之橫斷面與縱斷面混合分析。輔仁管理評論,5(1),77-95。new window  延伸查詢new window
8.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
9.Daniel, Kent、Titman, Sheridan(1999)。Market Efficiency in an Irrational World。Financial Analysts Journal,55(6),28-40。  new window
10.Fama, Eugene F.、French, Kenneth R.(1995)。Size and Book-to-Market Factors in Earnings and Returns。The Journal of Finance,50(1),131-155。  new window
11.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
12.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
13.Kaplan, Steven N.、Zingales, Luigi(1997)。Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?。The Quarterly Journal of Economics,112(1),169-215。  new window
14.陳業寧、王衍智、許鴻英(20040700)。臺灣企業財務危機之預測:信用評分法與選擇權評價法孰優?。風險管理學報,6(2),155-179。new window  延伸查詢new window
15.李春旺、劉維琪、高孔廉(19890700)。股價行為與規模效應:臺灣股票市場實證研究。管理評論,8(1),99-121。new window  延伸查詢new window
16.Ohlson, James A.(1980)。Financial Ratios and the Probabilistic Prediction of Bankruptcy。Journal of Accounting Research,18(1),109-131。  new window
17.Avramov, Doron、Chordia, Tarun、Jostova, Gergana、Philipov, Alexander(2007)。Momentum and credit rating。Journal of Finance,62(5),2503-2520。  new window
18.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。  new window
19.Chan, Ka Keung Ceajer、Chen, Nai Fu(1991)。Structural and Return Characteristics of Small and Large Firms。Journal of Finance,46(4),1467-1484。  new window
20.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
21.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
22.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics,47(1),13-37。  new window
23.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance,19(3),425-442。  new window
24.Basu, Sanjoy(1983)。The Relationship between Earnings' Yield, Market Value and Return for NYSE Common Stocks: Further Evidence。Journal of Finance Economics,12(1),129-156。  new window
25.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
26.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
27.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
28.Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management,11(3),9-16。  new window
29.李春安、羅進水、蘇永裕(20060600)。動能策略報酬、投資人情緒與景氣循環之研究。財務金融學刊,14(2),73-109。new window  延伸查詢new window
30.Fama, Eugene F.、French, Kenneth R.(1998)。Value Versus Growth: The International Evidence。The Journal of Finance,53(6),1975-1999。  new window
31.Agarwal, V.、Taffler, R.(2008)。Does Financial Distress Risk Drive the Momentum Anomaly?。Financial Management,39,461-484。  new window
32.Taffler, R.J.(1983)。The Assessment Company Solvency and Performance Using a Statistical Modol。Journal of Accounting Research,18,109-131。  new window
研究報告
1.George, T.J.、Hwang, C.Y.(2007)。Leverage,Financial Distress and the Cross Section of Stock Returns。  new window
圖書
1.吳文清(1995)。財務報表分析之理論、運用與解釋。臺北。  延伸查詢new window
 
 
 
 
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