請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34223完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽(Shing-Yang Hu) | |
| dc.contributor.author | Chih-Yuan Lin | en |
| dc.contributor.author | 林志遠 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:58:48Z | - |
| dc.date.available | 2006-07-10 | |
| dc.date.copyright | 2006-07-10 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-06-27 | |
| dc.identifier.citation | 英文文獻
1.Admati, Anat, and Paul Pfleiderer,1988, “A theory of intraday patterns: Volume and price variability”, Review of Financial Studies 1,3-40. 2.Alan Kraus and Han R.Stoll,1972,”Parallel trading by institutional investors”, Journal of Financial and Quantitative Analysis 7,2107-2138. 3.Beaver W. H. 1968,”The information content of annual earnings announcements”, Journal of Accounting Research, 67-92. 4.Close, N.,1975,”Price reaction to large transactions in the Canadian equity market”, Financial Analyst Journal 31,50-57. 5.Chordia, Tarun, Rocjard Roll and Avanidhar Subrahmanyam, 2001, “Market liquidity and trading activity “, Journal of Finance 56, 501-530. 6.Foster, F.Douglas , and S.Viswanathan, 1990, “A theory of the interday variations in volume, variance, and trading costs insecurities markets”, Review of Financial Studies 3,593-624. 7.George, Thomas J., Gautam K., and Mahendrarajah N., 1994, “Trading volume and transaction costs in specialist markets”, Journal of Finance 49, 1489-1505. 8.Gordon Potter, 1992, “Accounting Earnings announcements, institutional investor concentration, and common stock returns”, Journal of Accounting Research 30, 146-155. 9.Gervais Simon, Ron Kaniel, and Dan H. Mingelgrin,2001,” The high –volume return premium”, Journal of Finance 56, 877-919. 10.Joon Chae, 2005, “Trading volume, information asymmetry, and timing information”,Journal of Finance60(1), 413-442. 11.Jiang Wang ,1994,”A model of competitive stock trading volume”, Journal of Political Economy 102 (1),127-168. 12.Jonathan M. Karpoff ,1986,” A theory of trading volume”, Journal of Finance 41 ,1069-1087. 13.Jonathan M. Karpoff, 1987, “The relation between price changes and trading volume: A survey”, Journal of Financial and Quantitative Analysis 22,302-321. 14.John Y. Campbell, Sanford J. Grossman, Jiang Wang,1993, “Trading volume and serial correlation in stock returns”, Quarterly Journal of Economics,108, 905-939 15.Kim, W.2002, “Do foreign investor perform better than locals? Information asymmetry, investor sophistication, and market liquidity”, KDI School of Pub Policy &Management, Working Paper Series. 16.Kyle, Albert S ,1985, “Continuous auctions and insider trading”, Econometrica 53,1315-1336. 17.Kang, J. K., and Stulz, R. M., 1997,”Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan”, Journal of Financial Economics 46, 3-28. 18.Llorente,Guillermo,Roni Michaely, Gideon Saar, and Jiang Wang,2002,” Dynamic volume-return relation of individual stock”, Review of Financial Studies 15, 1005-1047. 19.Louis K.C. Chan and Josef Lakonishok,1993 ,”Institutional trades and intraday stock price behavior”, Journal of Financial Economics 33 ,173-199. 20.Milgrom, Paul, and Nancy Stokey, 1982, “Information, trade and common knowledge”, Journal of Economic Theory 26,17-27. 21.Potter, G.,1992, “Accounting earnings announcements, institutional investor concentration, and common stock returns”, Journal of Accounting Research 30(1),146-155. 22.Ray Ball and Philip Brown,1968,” “An empirical evaluation of accounting income numbers”, Journal of Accounting Research Vol.6, No.2,159-178. 23.Shiller, R. J. , and Pound,1989,” Survey evidence on diffusion of interest and information among investor”, Journal of Economic Behavior and Organization12, 47-66. 24.Shleifer, A., 1986. “Do demand curves for stocks slope down?” Journal of Finance 41, 579590. 25.Stephen E. Christophe, Michael G. Ferri, and James J. Angel, 2004, “Short-selling prior to earnings announcements”, Journal of Finance 59 1845-1875 中文部分 1.黃子芬,1993,「季盈餘宣告對交易量影響之研究」，國立台灣大學會計學研究所碩士論文。 2.田慧琦,1996,「外資買賣短期市場衝突與長期績效之研究」，國立政治大學國際貿易所碩士論文。 3.黃于珍,1998,「外資交易行為對台灣股市的影響」，國立輔仁大學金融研究所碩士論文。 4.林文忠,2002,「具方向性之高交易量溢酬之研究」，國立中正大學財務金融所碩士論文。 5.林芳綺,2002,「台灣股票市場資訊不對稱下成交量與報酬率動態關係」，國立高雄第一科技大學金融營運所碩士論文 6.王月玲,2003,「外資對台灣股市的影響」，國立政治大學金融研究碩士論文。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34223 | - |
| dc.description.abstract | 本文探討在盈餘宣告前，當市場存在有資訊和無資訊兩種投資人時，其交易行為所造成的價、量行為，其中盈餘宣告是取自台灣經濟新報，盈餘概估月份為六、十二月，研究期間為1991年至2005年。首先，在以盈餘宣告前十一天至前五十天，四十個交易日的平均交易量作為一般交易量，則在盈餘宣告前第二週，相較於一般交易量會有減少的情形，盈餘宣告前一週及盈餘宣告後，則會增加。其次，探討盈餘宣告前，不同成交量下，對隔日股價報酬的影響，實證發現，量愈大下，對隔日股票報酬會有較大的影響。最後，以外資視為有資訊投資人。實證上，外資在盈餘宣告前的累積淨買、賣超，對盈餘宣告日的股票報酬並無顯著的解釋能力。 | zh_TW |
| dc.description.abstract | Given information asymmetry, we discuss the behavior of stock market price and volume prior to the earnings announcement of Taiwan Stock Market listed firms. The tests provide that two weeks prior to the earnings announcement, the daily trade volume is smaller compared to the 40-day average trade volume. The volume is rising one week prior to or after the earnings announcement. As to the relationship between price and volume, the evidence shows that the higher trade volume will have stronger positive influence on the next day stock price. We regard the foreign institutional investors as the proxy of informed traders. From the empirical evidence, we can’t conclude that the behavior of foreign institutional investors will affect the price around the earnings announcement. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:58:48Z (GMT). No. of bitstreams: 1 ntu-95-R93723080-1.pdf: 648474 bytes, checksum: 0b7ff49366e6c376adb5600cbc2a388d (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 第一章 緒論 I
第一節 研究動機 1 第二節 研究目的 3 第三節 研究流程 5 第二章 文獻回顧 6 第一節 資訊不對稱下的交易量 6 第二節 價量關係 9 第三節 機構投資人交易對股價影響 12 第三章 研究設計 16 第一節 研究假說 16 第二節 研究方法 18 第三節 研究期間及樣本取得 23 第四章 實證結果 25 第一節 盈餘宣告前的交易量 25 第二節 盈宣告前，異常交易量下的價量關係 34 第三節 盈餘宣告前外資累積淨買賣對股價影響 39 第五章 結論與建議 48 第一節 研究結論 48 第二節 研究限制與建議 49 附錄 參考文獻 51 | |
| dc.language.iso | zh-TW | |
| dc.subject | 盈餘宣告 | zh_TW |
| dc.subject | 資訊不對稱 | zh_TW |
| dc.subject | 交易量 | zh_TW |
| dc.subject | 價量關係 | zh_TW |
| dc.subject | 外資 | zh_TW |
| dc.subject | the relationship between price and volume | en |
| dc.subject | information asymmetry | en |
| dc.subject | earnings announcement | en |
| dc.subject | QFII | en |
| dc.subject | trade volume | en |
| dc.title | 資訊不對稱下-盈餘宣告前股票市場之價量行為 | zh_TW |
| dc.title | Under information asymmetry-the behavior of stock market price and volume prior to the earnings announcement | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳建宏,詹場(Chan Chang) | |
| dc.subject.keyword | 資訊不對稱,交易量,價量關係,外資,盈餘宣告, | zh_TW |
| dc.subject.keyword | information asymmetry,trade volume,the relationship between price and volume,QFII,earnings announcement, | en |
| dc.relation.page | 54 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-06-28 | |
| 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-95-1.pdf 未授權公開取用 | 633.28 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。