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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31789


    Title: 股票報酬的異象分析
    Other Titles: The effect of expectation dispersion on stock returns
    Authors: 高楷翔;Kao, Kai-hsiang
    Contributors: 淡江大學產業經濟學系碩士班
    萬哲鈺;Wan, Jer-yuh
    Date: 2005
    Issue Date: 2010-01-11 01:16:07 (UTC+8)
    Abstract: 在眾多分析股票報酬的文獻中,甚少處理到「異質預期」的問題。當市場上存在著不同的預期時,代表著投資者的看法分歧,而看法的分歧程度將會影響股價的變化。因此本研究參考Baik及Park(2003)處理「預期差異程度」所設計的模型,以民國83年至民國92年在台灣證劵市場的上市公司為樣本,來分析「預期差異程度」對股票報酬的影響。研究發現「預期差異程度」對於解釋長期的股票報酬是有顯著的幫助,但是對於短期的股票報酬並無顯著的解釋力;公司規模則是對於短期的股票報酬是有顯著的解釋力,但是對於長期的股票報酬並無顯著的解釋能力;淨價市值比則對於長短期的股票報酬皆有顯著的影響。
    In this study, we employ the model in Baik and Park(2003) to analyze the effect of dispersion of analysts’expectations on the cross-sectional stock returns.Empirical evidence is presented to show that the dispersion in analysts’ forecasts can explain part of the differences in cross-sectional stock returns. Generally, high dispersion stocks show relatively higher future returns than low dispersion stocks and the difference in performance is statistically significant in the long-term. There is significant positively relations between the size and stock returns in the short term.
    There is significant negatively relations between the book-to-market ratio and stock returns in the short term, but significant positively in the long term.
    Appears in Collections:[產業經濟學系暨研究所] 學位論文

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