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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王泰昌(Tay-Chang Wang),劉嘉雯(Chia-Wen Liu) | |
| dc.contributor.author | Shen-Hua Hung | en |
| dc.contributor.author | 洪申樺 | zh_TW |
| dc.date.accessioned | 2021-06-16T09:56:44Z | - |
| dc.date.available | 2022-02-16 | |
| dc.date.copyright | 2017-02-16 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-12-24 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/60110 | - |
| dc.description.abstract | 本文嘗試藉由上市櫃與興櫃公司資料，推估股票流動性與股價之關係，並使用財務資料估計股票流動性，欲藉以估算未上市櫃未興櫃公司股票之流動性，並進一步推估未上市櫃未興櫃公司股票價格。本文以Ohlson（1995）模型為基礎，加入報價價差、成交值比重以及Amihud（2002）等三種流動性指標，實證結果顯示此等流動性指標對股價具有一定程度解釋能力。而本文所建立估計流動性之模型約有3%~20%之誤差，估計股價之模型則約有13%~16%之誤差，結合兩模型以估計未上市櫃未興櫃公司股票之最大誤差期望值約為15.6%~19.2%。 | zh_TW |
| dc.description.abstract | The goal of this paper is twofold. First, I add three liquidity measures into Ohlson (2005) model trying to find out how liquidity affects stock price. The three liquidity measures I add are quoted spread, individual dollar volume normalized by aggregate market dollar volume and Amihud (2002) liquidity measure. Second, I try using financial data that private companies can easily obtain to estimate the three liquidity measures of there own. Then anyone can use the estimated liquidity of private companies to estimate the stock price of private companies. Models used to estimate liquidity in this paper have mean absolute percentage error (MAPE) range from 3% to 20%. Models used to estimate stock price in this paper have MAPE range from 13% to 16%. Using two models together has a expected maximum MAPE range from 15.6% to 19.2%. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T09:56:44Z (GMT). No. of bitstreams: 1 ntu-105-R03722017-1.pdf: 4790434 bytes, checksum: 8fba5c51a257272e6948538816cc682f (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 目錄
致謝 i 摘要 ii ABSTRACT iii 目錄 iv 表目錄 v 表目錄 vi 圖目錄 vii 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 2 第二章 文獻回顧 3 第一節 傳統資產定價模型 3 第二節 流動性之衡量指標與股票報酬率 7 第三節 Ohlson評價模型 10 第三章 研究方法 11 第一節 樣本選取 11 第二節 模型尋找與設定 14 第四章 實證結果 19 第一節 敘述性統計 19 第二節 被解釋變數為股價：式(0)、式(1)a、式(2)a 23 第三節 被解釋變數為流動性指標：式(4)、式(5)、式(6) 35 第五章 結論與限制 43 第一節 研究結論 43 第二節 研究限制 44 附件 45 參考文獻 107 表目錄 表1、初步樣本篩選 11 表2、各模型實際使用之樣本數 12 表3、各年各產業樣本分佈情形 13 表4、敘述性統計－式(1)a、式(2)a 20 表5、敘述性統計－式(4)、式(5)、式(6) 20 表6、相關係數－式(1)a、式(2)a 21 表7、相關係數－式(4)、式(5)、式(6) 22 表8、式(0)－1994年至2014年、產業虛擬變數 23 表9、式(0)－不篩選股價、1994年至2014年、產業虛擬變數 24 表10、式(1)a－無財務資料、1994年至2014年、產業虛擬變數 25 表11、式(2)a－無財務資料、1994年至2014年、產業虛擬變數 25 表12、式(1)a－1994年至2014年、產業虛擬變數 27 表13、式(2)a－1994年至2014年、產業虛擬變數 29 表14、式(1)a與式(2)a－殘差佔比彙總 30 表15、式(0)－1995年至2014年、產業虛擬變數、加前一年資料 30 表16、式(1)a－1995年至2014年、產業虛擬變數、加前一年資料 31 表17、式(2)a－1995年至2014年、產業虛擬變數、加前一年資料 32 表18、式(1)a與式(2)a－殘差佔比彙總（加前一年資料） 33 表19、式(1)a與式(2)a－殘差佔比彙總（加前一年資料與產業交乘項） 33 表20、式(4)－1994年至2014年、產業虛擬變數 36 表21、式(5)－1994年至2014年、產業虛擬變數 38 表22、式(6)－1994年至2014年、產業虛擬變數 40 表23、式(4)、式(5)與式(6)－殘差佔比彙總 41 表24、式(4)、式(5)與式(6)－殘差佔比彙總、刪1%極端值 42 表25、式(4)、式(5)與式(6)－殘差佔比彙總、刪3%極端值 42 表26、式(4)、式(5)與式(6)－殘差佔比彙總、刪5%極端值 42 表27、解釋變數測試範圍 45 表28、測試範圍解釋變數之說明 49 表29、測試範圍解釋變數原始值之敘述性統計 59 表30、式(0)－其他樣本期間與虛擬變數搭配組合 63 表31、式(1)a與式(2)a－單一流動性指標、無財務資料、1994年至2014年、產業虛擬變數 64 表32、式(1)a－其他樣本期間與虛擬變數搭配組合 65 表33、式(2)a－其他樣本期間與虛擬變數搭配組合 67 表34、式(1)a－其他樣本期間與虛擬變數搭配組合、加前一年資料 69 表35、式(2)a－其他樣本期間與虛擬變數搭配組合、加前一年資料 73 表36、式(1)a－2014年、產業虛擬變數、加前一年資料、電子業交乘項 77 表37、式(1)a－全期間、產業虛擬變數、加前一年資料、電子業交乘項 78 表38、式(1)a－全期間、產業虛擬變數、加前一年資料、全產業交乘項 79 表39、式(2)a－2014年、產業虛擬變數、加前一年資料、電子業交乘項 88 表40、式(2)a－全期間、產業虛擬變數、加前一年資料、電子業交乘項 89 表41、式(2)a－全期間、產業虛擬變數、加前一年資料、全產業交乘項 90 表42、式(4)－其他樣本期間、產業虛擬變數 100 表43、式(5)－其他樣本期間、產業虛擬變數 101 表44、式(6)－其他樣本期間、產業虛擬變數 102 圖目錄 圖2、散佈圖－式(1)a未篩選股價 103 圖1、散佈圖－LIQ_Amih與LIQ_W 103 圖3、散佈圖－P/BV與FIN_Ints 104 圖4、散佈圖－P與FIN_Ints 104 圖5、散佈圖－被解釋變數與殘差佔比 105 | |
| dc.language.iso | zh-TW | |
| dc.subject | 評價 | zh_TW |
| dc.subject | 股價 | zh_TW |
| dc.subject | 流動性 | zh_TW |
| dc.subject | Stock Price | en |
| dc.subject | Liquidity | en |
| dc.subject | Valuation | en |
| dc.title | 未上市櫃未興櫃公司股票評價：Ohlson模型之延伸應用 | zh_TW |
| dc.title | Valuation of Private Company Stock: an Extended Application of
Ohlson Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 林瑞青(Lin) | |
| dc.subject.keyword | 股價,流動性,評價, | zh_TW |
| dc.subject.keyword | Stock Price,Liquidity,Valuation, | en |
| dc.relation.page | 112 | |
| dc.identifier.doi | 10.6342/NTU201603823 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-12-25 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 會計學研究所 | zh_TW |
| 顯示於系所單位： | 會計學系 | |
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