請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24305完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 楊朝成 | |
| dc.contributor.author | Yi-Jung Chen | en |
| dc.contributor.author | 陳怡蓉 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:21:23Z | - |
| dc.date.copyright | 2005-07-30 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-07-27 | |
| dc.identifier.citation | Banz, S., 1981, “The Relationship Between Securities’ Yield and Yield-Surrogates.” Journal of Financial Economics, Vol. 9, 3-18.
Basu, S., 1983, “The Relationship Between Earnings’ Yield, Market Value and Return for NYSE Common Stock.” Journal of Financial Economics, Vol. 12, 129-156. Bhandari, Laxmi Chand, 1988, “Debt/Equity ratio and expected common stock returns:Empirical evidence,” Journal of Finance, Vol. 43, 507-528. Black, Fisher, 1972, “Capital market equilibrium with restricted borrowing” Journal of Business,” Vol. 45, 444-455. Chan, Louis K., Yasushi Hamao and Josef Lakonishok, 1991, “Fundamentals and Stock Returns in Japan,” Journal of Finance, 1739-1764. Chang Ya Ting, 1998, “The Determinants of Returns on China-Concept Stocks Listed in Taiwan Stock Market,” Unpublished paper, National Taiwan University. Chen Yi Chung, 2001, “The analysis of China-concept stocks listed in Taiwan Stock Market and the related Stock indexes,” unpublished paper, National Cheng Kung University. De Bondt, W. F. M. and Thaler, R, 1985, “Does the Stock Market Overreact?” Journal of Finance, Vol. 40, 793-808. De Bondt, W. F. M. and Thaler, R. H., 1987, “Further Evidence on Investor Overreaction and Stock Market Seasonality,” Journal of Finance, Vol. 42, 557-582. Fama, E.F. and French, K.R. , 1992, “ The Cross-Section of Expected Stock Returns”, Journal of Finance, 427-465. Fama, E. F., and K. R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, 3-56. Hsu Meng Han, 2000, “A Study of Ownership Strategy and the Subsidiary Performance of Taiwan Firms Investing in Mainland China”, Unpublished paper, National Cheng Kung University. Huang Ching Hsiung, 2001, “The study of success or failure of investment in China of listed firm in Taiwan.”, Unpublished paper, National Chengchi University. Jegadeesh, N. and Titman, S., 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, 65-91. Lamont Owen, Christopher Polk, and Jesus Saa-Requejo, Summer 2001, “ Financial Constraints and Stock Returns “ The Review of Financial Studies, Vol. 14, No. 2, 529-554. Liao Fu Hsiang, 2001, “The factor of the investment strategy in China of listed firms in Taiwan.”, Unpublished paper, National Chengchi University. Lin Shu Hsien, 2001, “Analysis of Comovement and Variance Decomposition on China Concept Stock Index–Taiwan IT Industry.”, Unpublished paper, Soochow University. 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, Vol. 47, 13-37. Lo Kuan Ting, 2001, “The Wealth Effect When Listed Companies Invest in China.” , Unpublished paper, National Taiwan University. Markowitz, Harry, 1959, “ Portfolio Selection: Efficient Diversification of Investments” (Wiley, New York). Reinganum, Marc R., 1981, “Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings’ Yields and Market Values”, Journal of Financial Economics, Vol. 9, 19-46. Rosenberg, Barr, Kenneth Reid and Ronald Lanstein, Spring 1985, “Persuasive Evidence on Market Inefficiency”, Journal of Portfolio Management, 9-16. Rouwenhorst, K. G., 1998, “International Momentum Strategies,” Journal of Finance, Vol. 53, 267-284. Sharpe, William F., 1964, “ Capital asset prices: a theory of market equilibrium under conditions of risk,” Journal of Finance, Vol. 19, 425-442. Yang Ya Ching, 2001, “The Impact of Businesses Invest in China on Stock Returns in Taiwan”, Unpublished paper, Chinese Culture University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24305 | - |
| dc.description.abstract | 本論文之研究目的為探討赴大陸投資的上市公司其股票報酬是否有一致性的變動行為，我們根據上市公司在大陸投資金額的相關性質來組成投資組合，而樣本期間為1993-2003年。本研究發現赴大陸投資金額較高的上市公司其股票報酬1994-2004年這這段期間會一同變動。因此我們可以說在台灣的股票市場存在著中國概念股因子 。此外赴大陸投資金額愈高的公司其股票報酬亦較高。 | zh_TW |
| dc.description.abstract | We aim to investigate whether there is a common variation of stock returns in Taiwanese listed firms with investments in China. We formed portfolios of firms based on observable characteristics related to investments in China, using a sample of listed firms in Taiwan stock market for the period 1990-2003. We found that firms investing heavily in China have stock returns moving together over time, which suggests that firms investing in China are subject to common shocks. Therefore, there exists a China Concept factor for listed firms in Taiwan stock market. Firms investing highly in China have higher average stock returns. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:21:23Z (GMT). No. of bitstreams: 1 ntu-94-R92723032-1.pdf: 529093 bytes, checksum: a2dc7079bf71a63ad5c90e42b46acb87 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | Contents
1. INTRODUCTION 1 1.1 BACKGROUND 1 1.2 MOTIVATION AND PURPOSE 5 1.3 STUDY PROCESS 8 1.4 CONSTRAINTS 9 2. LITERATURE REVIEWS 9 3. RESEARCH METHODOLOGY 11 3.1 DATA SOURCES 11 3.1.1 Research sample 11 3.1.2 Research periods and data sources 12 3.2 FINANCIAL MODELS 12 3.2.1 Model 1: investigation of return pattern 12 3.2.2 Model 2: Investigation the covariance of China Concept Factor 13 3.2.3 Model 3: Investigation of covariance of China Concept Factor after controlling industry factor. 14 3.2.4 Model 4: Investigation of the explain ability for China Concept Factor by existing asset pricing model 15 4. EMPIRICAL RESULTS 15 4.1 FIRM CHARACTERISTICS 15 4.2 TESTING FOR COMMON VARIATION AND TIME-SERIES PROPERTIES 17 4.3 TESTING FOR COMMON VARIATION AND TIME-SERIES PROPERTIES AFTER CONTROLLING INDUSTRY FACTOR 19 4.4 THE CORRELATION BETWEEN CCF (CCFIND) AND OTHER RISK FACTORS 21 4.5 THE CCF AND CCFIND RETURNS AND EXISTING PRICING MODEL 22 4.6 TESTING FOR COMMON VARIATION AND TIME-SERIES PROPERTIES OF EXTREME PORTFOLIO 24 5. Conclusions 27 REFERENCES 28 | |
| dc.language.iso | en | |
| dc.subject | 中國概念股 | zh_TW |
| dc.subject | China Concept Stock | en |
| dc.title | CHINA CONCEPT FACTOR AND STOCK RETURNS IN TAIWAN | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃慶堂,陳聖賢 | |
| dc.subject.keyword | 中國概念股, | zh_TW |
| dc.subject.keyword | China Concept Stock, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2005-07-27 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-94-1.pdf 未授權公開取用 | 516.69 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。