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題名:事件研究法與移動
書刊名:臺大管理論叢
作者:沈中華 引用關係張大成 引用關係
作者(外文):Shen, Chung-HuaChang, Da-Chen
出版日期:1993
卷期:4:1
頁次:頁1-35
主題關鍵詞:事件研究移動betaEvent studyMoving beta
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(4) 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:4
  • 共同引用共同引用:19
  • 點閱點閱:37
事件研究之所以可以被用來探討事件是否對股票報酬有影響,其中一個基本原則是所計算的CAR的平均值應為零。本文指出當母體參數有改變而使用文獻上所建議的移動β法:領先法和對稱法,有可能違反比原則。使用Monte-Carlo試驗法,本文發現在母體參數有改變的情況下,領先法和對稱法均有可能誤估情形,而本文提出的正確法則可完全掌握事件的影響,如因為樣本不足而不能使用正確法,領先法亦勉強可用,至於對稱法和固定係數法都會產生極大的誤估。
The use of CAR to study how an event affects the stock price IS well known as the event study. The underlying assumption behind the event study is that the expected value of CAR should be zero. This assumption holds when the parameters are fixed. When the pa-rameters are changing over time, the assumption is violated either leading or symmetric methods, two popular methods suggested in the literature, is employed. An appropriate method is discussed in this paper when the parameters are not constant. A Monte-Carlo experiment is conducted to compare their performance.
期刊論文
1.Brown, S. J.、Warner, J. B.(1985)。Using Daily Stock Return: The Case of Event Studies。Journal of Financial Economics,14(1),3-31。  new window
2.Blume, Marshall E.(1971)。On the Assessment of Risk。Journal of Finance,26(1),1-10。  new window
3.Sunder S.(1973)。Relationship between Accounting Changes and Stock Prices: Problems of Measurement and Some Empirical Evidence。Empirical Research in Accounting; Selected Studies,11,1-45。  new window
4.Mandelker, R. G.(1974)。Risk and Return: The Case of Merging Firms。Journal of Financial Economics,1(4),305-335。  new window
5.Ball, R.(1972)。Risk, Return and Disequilibrium: An Application to Changes in Accounting Techniques。Journal of Finance,27(2),343-354。  new window
6.Bar-Yosef, S.、Brown, L. D.(1977)。A Reexamination of Stock Splits Using Moving Betas。Journal of Finance,32(4),1069-1080。  new window
7.Bey, P.(1983)。Market Model Stationarity of Individual Public Utilities。Journal of Financial and Quantitative Analysis,18(1),67-85。  new window
8.Fabozzi, J. F.、Francis, J. C.(1978)。Beta as a Random Cofficient。Journal of Financial Quantitative Analysis,13(1),101-116。  new window
9.Hay, A. P.、Upton, D. E.(1986)。A Shifting Regimes Approach to the Stationarity of the Market Model Parameters of Individual Securities。Journal of Financial and Quantitative Analysis,21(3),307-321。  new window
10.Hong, H.、Kaplan, R. S.、Mandelker, G.(1978)。Pooling vs Purchase; The effects of Accounting for Mergers on Stock Price。Accounting Review,53(1),31-47。  new window
11.McDonald, B.、Nichols, W. D.(1984)。Nonstationarity of Beta and Test of Market Efficiency。The Journal of Financial Research,12(4),315-322。  new window
12.Miller, T. W.、Gressis, N.(1980)。Nonstationarity and evaluation of Mutual Fund Performance。Journal of Financial Quantitative Analysis,15(3),639-654。  new window
13.Roenfoldt, L. R.、Griepentrog, G. L.、Pflanm, C. C.(1978)。Further Evidence on the Stationarity of Beta Coefficients。Journal of Financial and Quantitative Analysis,117-121。  new window
14.Simonds, R. R.、LaMotte, L. R.、McWhorter, A. J.(1986)。Testing for Nontationarity of Market Risk: An Exact Test and Power Consideration。Journal of Financial and Quantitative Analysis,21(2),209-220。  new window
15.Unal, H.(1989)。Impact of Deposit Rate Ceiling Changes on Bank Stock Returns。Journal of Money, Credit and Banking,21(2),206-220。  new window
16.李存修(19910500)。股票股利及現金增資之除權與股價行為:理論與實證。臺大管理論叢,2(1),1-40。new window  延伸查詢new window
17.Fama, Eugene F.、Fisher, Lawrence、Jensen, Michael C.、Roll, Richard J.(1969)。The adjustment of stock prices to new information。International Economic Review,10(1),1-21。  new window
學位論文
1.張文武(198906)。公司重整與股東財富--台灣地區個案的再探討(碩士論文)。國立中央大學。  延伸查詢new window
2.胡星陽(198606)。公司重整與股票財富--台灣上市公司研究(碩士論文)。國立臺灣大學。  延伸查詢new window
3.張大成(1992)。公司重整與股東財富--移動β法下之實証結果(碩士論文)。國立中央大學。  延伸查詢new window
4.王明傳(1990)。臺灣股票市場風險穩定性之實證研究(碩士論文)。國立臺灣科技大學。  延伸查詢new window
5.林玉樹(1990)。上市公司股票系統風險之研究--製造業之實證(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Hackl, P.、Westlund, A.(1991)。Econornetic Structural Change。New York:Springer-Verlag。  new window
2.Kramer, W.(1989)。Econometrics of Structural Change。Heidelberg:Physica-Verlag。  new window
 
 
 
 
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