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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/4921


    Title: 長期事件研究法:以台灣股市為例
    Other Titles: Long-Horizon Event Studies: The Taiwan Evidence
    Authors: 顧廣平;楊馥如
    Contributors: 淡江大學財務金融學系
    Keywords: 事件研究;長期績效;異常報酬;Event studies;Long-run performance;Abnormal returns
    Date: 2003
    Issue Date: 2009-03-16 11:26:55 (UTC+8)
    Abstract: 本研究試圖以 1985 年1 月至1999 年12 月,台灣股票市場上市(櫃)月資料,模擬出不同情境的樣本(隨機、非隨機樣本、樣本橫斷面的相依性),探討四種計算長期異常報酬的方法(累積異常報酬法、買進持有異常報酬法、平均每月日曆時間異常報酬法、因子模式日曆時間投資組合法)、二種檢定方法(母數檢定、無母數檢定)以及二種求算基準的方法(對照投資組合法、控制公司法),針對台灣股票市場在事件日後3 年內之平均長期異常績效,尋找適當的長期異常報酬計算方法、長期異常報酬檢定方法與求算基準報酬的方法。
    結果發現,平均每月日曆時間異常報酬法的拒絕率多較累積異常報酬法、買進持有異常報酬法接近理論顯著水準;而傳統T檢定方法的拒絕率也較無母數的檢定方法接近理論值。結果建議,不論何種情境的樣本,以平均每月日曆時間異常報酬法搭配控制公司法的基準,對台灣股票市場會得到較適切的衡量結果。
    It is intended to detect the average long-run abnormal returns after the one to three years of the event day, and also to discover the suitable long-run abnormal return computational method, the test and the benchmark.
    This research period was from January 1985 to December 1999. The monthly data are used to simulate the different sample group, including random sample, non-random sample, cross-sectional dependence of sample observations. Four kinds of computational methods of long-run stock abnormal returns were discussed including accumulation abnormal returns, buy-and-hold abnormal returns, mean monthly calendar-time abnormal returns, the factor model and calendar-time portfolios. Two test, conventional t-statistic and Wilcoxon signed-rank test and two benchmark, reference portfolios, and control firm are used to study.
    It is found that mean monthly calendar-time abnormal returns will be well specified. The use of the Wilcoxon signed-rank test was found to yield more empirical rejection levels exceeding theoretical rejection levels. It is suggested that mean monthly calendar-time abnormal returns matched with control firm will reduce most of the misspecification in test statistic.
    Appears in Collections:[財務金融學系暨研究所] 研究報告

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