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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 吳儀玲(Yi-Lin Wu) | |
| dc.contributor.author | Hsiao-Wei Liu | en |
| dc.contributor.author | 劉曉薇 | zh_TW |
| dc.date.accessioned | 2021-06-17T00:14:56Z | - |
| dc.date.available | 2017-07-17 | |
| dc.date.copyright | 2012-07-17 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-05 | |
| dc.identifier.citation | Armstrong, C. S. and R. Vashishtha (2012). 'Executive stock options, differential risk-taking incentives, and firm value.' Journal of Financial Economics 104(1): 70-88.
BERTRAND, M. and A. SCHOAR (2003). 'Managing With Style: The Effect of Managers on Firm Policies.' The Quarterly Journal of Economics Vol. CXVIII(4). BLOOM, N., S. BOND, et al. (2007). 'Uncertainty and investment dynamics.' Review of Economic Studies 74(2): 391-415. Campello, M., J. R. Graham, et al. (2010). 'The real effects of financial constraints: Evidence from a financial crisis.' Journal of Financial Economics 97(3): 470-487. Chen, H., J. Miao, et al. (2010). 'Entrepreneurial Finance and Nondiversifiable Risk.' Review of Financial Studies 23(12): 4348-4388. Duchin, R., O. Ozbas, et al. (2010). 'Costly external finance, corporate investment, and the subprime mortgage credit crisis.' Journal of Financial Economics 97(3): 418-435. Fazzari, S., R. G. Hubbard, et al. (1988). 'Financing Constraints and Corporate Investment.' Brookings Papers on Economic Activity 19(1998-1): 141-206. Graham, J. R. and C. R. Harvey (2001). 'The theory and practice of corporate finance: evidence from the field.' Journal of Financial Economics 60(2–3): 187-243. Himmelberg, C. P., R. G. Hubbard, et al. (2002). 'Investment, Protection, Ownership, and The Cost Of Capital.' Working Papers - Research Series. Jensen, M. C. and W. H. Meckling (1976). 'Theory of The Firm: Managerial Behavior,Agency Costs and Ownership Structure.' Journal of Financial Economics 3: 305-360. Malmendier, U. and G. Tate (2005). 'CEO Overconfidence and Corporate Investment.' The Journal of Finance LX, NO. 6. Mitchell, M. L. and J. M. Netter (1989). 'Triggering The 1987 Stock Market Crash Antitakeover Provisions in The Proposed House Ways and Means Tax BHI?' Journal of Financial Economics 24: 37-68. Moskowitz, T. J., and A. Vissing-Jorgensen.(2002). 'The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? ' American Economic Review 92:745–78. Myers, S. C. (1977). 'Determinants of Corporate Borrowing.' Journal of Financial Economics 5: 147-175. Myers, S. C. and N. S. Majluf (1984). 'Corporate financing and investment decisions when firms have information that investors do not have.' Journal of Financial Economics 13(2): 187-221. Panousi, V. and D. Papanikolaou (2012). 'Investment, Idiosyncratic Risk, and Ownership.' The Journal of Finance 67(3): 1113-1148. Pastor, L. and P. Veronesi (2006). 'Was there a Nasdaq bubble in the late 1990s?☆.' Journal of Financial Economics 81(1): 61-100. Perez-Quiros, G. and A. Timmermann (2000). 'Firm Size and Cyclical Variations in Stock Returns.' The Journal of Finance LV, NO. 3. Salinger, M. A. and L. H. Summers, Eds. (1983). ' Tax Reform and Corporate Investment: A Microeconometric Simulation Study'. Behavioral Simulation Methods in Tax Policy Analysis, University of Chicago Press. Schwert, G. (1990). 'Stock volatility and the crash of '87.' Review of Financial Studies 3(1): 77-102. V.Leahy, J. and T. M. Whited (1996). 'The effect of uncertainty on investment: Some stylized facts.' Journal of Money,Credit and Banking 28(1): 64-83. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65903 | - |
| dc.description.abstract | 公司個別風險是公司特有的風險，可以利用分散投資來完全規避掉。本研究使用股票報酬和二因子市場模式得到公司個別風險的估計值，以最小平方虛擬變數模型(LSDV)分析追蹤資料，研究在NYSE、NASDAQ、AMEX上市的公司在1980年至2010年之間公司個別風險和投資支出之間的關係，且將該研究應用在市場出現衝擊(股市泡沫)時對兩者關係的影響。
研究結果發現：(1)公司個別風險對公司投資支出有顯著的負向影響。(2)股市泡沫發生之後，投資支出對公司個別風險的敏感性有顯著增加的現象。 | zh_TW |
| dc.description.abstract | This paper uses stock return and two-factor market model to get the estimates of idiosycratic risk. Our sample includes publicly traded firms listed on NYSE、NASDAQ、AMEX. We use the Least Squares Dummy Variable Model(LSDV) to examines the relation between idiosyncratic risk and investment during 1980-2010. Furthermore,we investigate whether there are significant changes in coefficient of idiosyncratic risk due to financial shock in 1987 and 2000.
The results are as follows：(1) There is a significantly negative relation between idiosyncratic risk and investment. (2) The sensitivity of invesment to idiosyncratic risk increases after the stock bubble burst. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T00:14:56Z (GMT). No. of bitstreams: 1 ntu-101-R99323031-1.pdf: 915880 bytes, checksum: 9df7f9187994644988df111338a04c5a (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii Abstract iv 目錄 v 圖目錄 vi 表目錄 vii 第一章 緒論 1 1.1 研究動機與目的 1 1.2 本文架構 3 第二章 相關文獻 4 2.1 經理人影響投資支出的相關文獻 4 2.2 不確定性影響投資的相關文獻 5 第三章 資料和實證模型 7 3.1 資料來源 7 3.2 變數說明 7 3.2.1 風險估計 7 3.2.2 其他變數說明 9 3.3 實證模型 13 3.3.1 追蹤資料模型(Panel Data Model) 13 3.3.2 投資回歸式 16 3.3.3 股市泡沫前後時點的檢定 17 第四章 實證結果 18 4.1 1980年至2010年研究期間之實證結果 18 4.2 股市泡沫前後時點之實證結果 22 4.2.1 1987年10月19日泡沫破裂前後的實證結果 22 4.2.2 2000年3月10日泡沫破裂前後的實證結果 25 第五章 結論 30 參考文獻 31 附錄 33 | |
| dc.language.iso | zh-TW | |
| dc.subject | 股市泡沫 | zh_TW |
| dc.subject | 公司個別風險 | zh_TW |
| dc.subject | 投資支出 | zh_TW |
| dc.subject | idiosyncratic risk | en |
| dc.subject | capital outlays | en |
| dc.subject | stock market bubble | en |
| dc.title | 公司個別風險和投資支出 | zh_TW |
| dc.title | Idiosyncratic Risk and Capital Outlays | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳業寧(Yeh-Ning Chen),黃景沂(Ching-I Huang) | |
| dc.subject.keyword | 公司個別風險,投資支出,股市泡沫, | zh_TW |
| dc.subject.keyword | idiosyncratic risk,capital outlays,stock market bubble, | en |
| dc.relation.page | 34 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-07-05 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| Appears in Collections: | 經濟學系 | |
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| File | Size | Format | |
|---|---|---|---|
| ntu-101-1.pdf Restricted Access | 894.41 kB | Adobe PDF |
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