المؤلفون: 林育辰, Lin, Yu-Chen

المساهمون: 徐政義, Shiu, Cheng-Yi

مصطلحات موضوعية: 槓桿比率, Fama-Macbeth模型, Fama-French五因子模型, 買入並持有策略, 股價報酬率, Leverage ratio, Fama-Macbeth model, Fama-French five factors model, Buy-and-hold returns, Stock returns

وصف الملف: 1225434 bytes; application/pdf

Relation: 第一節 中文文獻 俞洪昭、許崇源、洪盈斌、戚務君，2000，兩稅合一制度對公司屬性與股票報酬關聯性之影響，會計評論，第 32 期，頁 81-101 張漢君，1991，上市公司財務結構決定因素與融資順位理論之實證研究，私立淡江大學管理科學研究所碩士論文，頁 1-102 陳寶盛，2015，台灣企業低度財務槓桿決定因素研究，東吳大學企業管理學系研究所碩士學位論文，頁 1-60 劉維琪、李怡宗，1993，融資順位理論之調查研究，管理評論，第 12 卷，頁 119-143 Banz, R.W., 1981, The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18. Barclay, M.J., and Smith, C.W., 2005, The Capital Structure Puzzle: The Evidence Revisited, Journal of Applied Corporate Finance 17 (1), 8-17. Bessler, W., Drobetz, W., Haller, R. and Meier, I., 2013, The international zero leverage phenomenon, Journal of Corporate Finance 23, 196–221 Bhandari, L.C., 1988, Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, The Journal of Finance 43, 507-528 Binsbergen, V., Graham, J., and Yang, J., 2010, The Cost Of Debt, Journal of Finance 65, 2089-2136. Booth, L., Aivazian, V., Demirguc-Kunt, A., and Maksimovic, V., 2001, Capital Structures in Developing Countries, Journal of Finance 56, 87-130. Cui, W., 2020, Is Debt Conservatism the Solution to Financial Constraints? An Empirical Analysis of Japanese Firms, Applied Economics 52, 2526-2543. DeAngelo, H., DeAngelo, L., and Whited, T.M., 2011, Capital Structure Dynamics and Transitory Debt, Journal of Financial Economics 99, 235-261. DeAngelo, H., Gonçalves, A.S., Stulz, R.M., 2018, Corporate Deleveraging and Financial Flexibility, Review of Financial Studies 31, 3122–3174. Devos, E., Dhillon, U., Jagannathan, M. and Krishnamurthy, S., 2012, Why are firms unlevered? , Journal of Corporate Finance 18, 664-682. D'Mello, R. and Gruskin, M., 2014, Are the benefits of debt declining? The decreasing propensity of firms to be adequately levered, Journal of Corporate Finance 29, 327-350. Eckbo, B.E., and Kisser, M., 2021, The Leverage-Profitability Puzzle Resurrected, Review of Finance 25, 1089-1128. Fahlenbrach, R., Rageth, K., Stulz, R.M., 2021, How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis, Review of Financial Studies 34, 5474–5521. Fama, E. and French, K.R., 1992, The Cross-Section of Expected Stock Returns, The Journal of Finance 47, 427-465. Fama, E.F. and French, K.R., 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22 Fama, E.F. and MacBeth, J.D, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 81, 607–636 Giambona, E., Golec, J., and Lopez-de-Silanes, F, 2021, Do Firms Purposefully Change Capital Structure? Evidence from an Investment-Opportunity Shock to Drug Firms, Journal of Financial and Quantitative Analysis 56, 915-944. He, W., Hu, M.R., Mi, L., and Yu, J., 2021, How Stable Are Corporate Capital Structures? International Evidence, Journal of Banking and Finance 126, 106103. Hermuningsih, S., 2013, Profitability, Growth Opportunity, Capital Structure and The Firm Value, Bulletin of Monetary Economics and Banking 16, 1-22. Jensen, M.C. and Meckling, W.H., 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3, 305-360. Jiang, W., Kang J. and Kim, H.S., 2024, Is the zero-leverage policy value enhancing?, Quarterly Review of Economics and Finance 93, 176–189. Korteweg, A., 2010, The net benefits to leverage, Journal of Finance 65, 2137–2170. Kraus, A. and Litzenberger, R.H., 1973, A State-Preference Model of Optimal Financial Leverage, Journal of Finance 28, 911-922. Lai, K., Prasad, A., Wong, G., and Yusoff, I., 2020, Corporate Deleveraging and Financial Flexibility: A Chinese Case-Study, Pacific-Basin Finance Journal 61, 101299. Lam, F.Y.E.C., Ma, T., Wang, S., and Wei, K.C.J., 2015, On the Positive Relation between Cash Holdings and Stock Returns, Retrieved from https://www.deakin.edu.au/__data/assets/pdf_file/0003/438600/eric-lam-paper.pdf Lambrinoudakis, C., Skiadopoulos, G., and Gkionis, K., 2019, Capital Structure and Financial Flexibility: Expectations of Future Shocks, Journal of Banking and Finance 104, 1-18. Li, D., 2011, Financial Constraints, R&D Investment, and Stock Returns, The Review of Financial Studies 24, 2974-3007. Modigliani, F. and Miller, M. H., 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, The American Economic Review 48, 261–297. Modigliani, F. and Miller, M. H., 1963, Corporate Income Taxes and the Cost of Capital: A Correction, The American Economic Review 53, 433–443. Myers, S.C. and Majluf, N.S., 1984, Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have, Journal of Financial Economics 13, 187-221. Pinchuk, M., 2023, Zero-Leverage Puzzle, Papers 2302.00761, arXiv.org Rajan, R.G., and Zingales, L., 1995, What Do We Know about Capital Structure? Some Evidence from International Data, Journal of Finance 50, 1421-1460. Saona, P., Muro L. and Gregoriou, A., 2023, The phenomenon of zero-leverage policy: Literature review, Research in International Business and Finance 66. Smolyansky, M., 2023, End of an era: The coming long-run slowdown in corporate profit growth and stock returns, Finance and Economics Discussion Series 2023-041. Strebulaev, I.A. and Yang, B., 2013, The mystery of zero-leverage firms, Journal of Financial Economics 109, 1–23.; G0111351015; https://nccur.lib.nccu.edu.tw//handle/140.119/153580; https://nccur.lib.nccu.edu.tw/bitstream/140.119/153580/1/101501.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/153580
https://nccur.lib.nccu.edu.tw/bitstream/140.119/153580/1/101501.pdf

المؤلفون: 曲慧茹, Qu, Hui-Ru

المساهمون: 徐士勛

مصطلحات موضوعية: 稀疏因子模型, 共同因子, 貝氏估計, 股價報酬率, 波動性, Sparse Factor Model, Common Factors, Bayesian Estimation, Stock Price return, Volatility

وصف الملف: 9696416 bytes; application/pdf

Relation: 郭維裕, 李淯靖, 陳致綱, 林建秀 (2015)。台灣產業指數的外溢效果。經濟論文叢刊, 43(4), 407-442。 國家發展委員會。台灣景氣指標月刊, 第48卷第2期。 Bauwens, L., Lubrano, M., and Richard, J. F. (1999). Bayesian Inference in Dynamic Econometric Models. Oxford, UK: Oxford University Press. Bhattacharya, A., and Dunson, D. (2011). Sparse Bayesian infinite factor models. Biometrika, 98, 291-306. Boivin, J., and Ng, S. (2006). Are more data always better for factor analysis? Journal of Economics, 132, 169-194. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Fama, E.F. and French, K.R. (1993) Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E.F. and French, K.R. (2015) A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. Frhwirth-Schnatter, S., and Lopes, H. F. (2018). Parsimonious Bayesian factor analysis when the number of factors is unknown. Chicago, IL: University of Chicago Booth School of Business. Hanson, T., and McMillan, G. T. (2012). Schefftyle simultaneous credible bands for regression surfaces with application to Ache honey gathering. Journal of Data Science, 10, 175-193. Harvey, C. R., Liu, Y., and Zhu, H. (2015). and the cross-section of expected returns. Review of Financial Studies, 29(1), 5-68. Kaufmann,S. and Schumacher, C. (2017). Identifying relevant and irrelevant variables in sparse factor models. Journal of Applied Economics, 2017, 32, 1123-1144. Onatski, A. (2010). Determining the Number of Factors from Empirical Distribution of Eigenvalues. The Review of Economics and Statistics (2010), 92 (4), 1004-1016. West, M. (2003). Bayesian factor regression models in the “large p, small n” paradigm. Bayesian Statistics, 7, 723-732.; G0111258009; https://nccur.lib.nccu.edu.tw//handle/140.119/151994; https://nccur.lib.nccu.edu.tw/bitstream/140.119/151994/1/800901.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/151994
https://nccur.lib.nccu.edu.tw/bitstream/140.119/151994/1/800901.pdf

المؤلفون: 裘晏誠, Qiu, Yan-Cheng

المساهمون: 會計系, 楊維如, Young,Wei-Ju

مصطلحات موضوعية: 股權集中度, 股價報酬率, 航運業, equity concentration, stock price return, shipping industry

وصف الملف: 1367531 bytes; application/pdf

Relation: 111CYUT0385004; http://ir.lib.cyut.edu.tw:8080/handle/310901800/42510; http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/42510/1/111CYUT0385004-003.pdf

الاتاحة: http://ir.lib.cyut.edu.tw:8080/handle/310901800/42510
http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/42510/1/111CYUT0385004-003.pdf

المؤلفون: 吳柏緯, Wu, Po-Wei

المساهمون: 賴慧文, 何宗武, Christine W. Lai, Ho, Tsung-Wu

مصطلحات موضوعية: 盈餘管理, 基金經理人的選股能力, 股價報酬率, 機器學習, earnings management, fund managers' selective abilities, stock return, machine learning

Relation: 60856001O-39614; https://etds.lib.ntnu.edu.tw/thesis/detail/7ac2bd9db386fdabc09a79e736010cac/; http://rportal.lib.ntnu.edu.tw/handle/20.500.12235/118586

الاتاحة: http://rportal.lib.ntnu.edu.tw/handle/20.500.12235/118586
https://hdl.handle.net/20.500.12235/118586
https://etds.lib.ntnu.edu.tw/thesis/detail/7ac2bd9db386fdabc09a79e736010cac/

المؤلفون: 楊馥如, 蔡珮蓉

المساهمون: 財金系

مصطلحات موضوعية: 員工分紅費用化, 董監酬勞, 股東權益報酬率, 資產報酬率, 股價報酬率, 複迴歸模型, Expensing employee bonus, Director bonus, Return on equity, Return on assets, Stock rate of return, Multiple regression model

وصف الملف: 475 bytes; text/html

Relation: 東海管理評論 14:1 2012.07[民101.07] 頁1-27; http://ir.lib.pccu.edu.tw//handle/987654321/37707; http://ir.lib.pccu.edu.tw/bitstream/987654321/37707/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/37707
http://ir.lib.pccu.edu.tw/bitstream/987654321/37707/2/index.html

المؤلفون: 王依婷, WANG, YI-TING

المساهمون: 會計系, 楊維如, YOUNG,WEI-JU

مصطلحات موضوعية: 股權集中度, 股價報酬率, Equity Concentration, Stock Returns

وصف الملف: 1117732 bytes; application/pdf

Relation: 109CYUT0385008; http://ir.lib.cyut.edu.tw:8080/handle/310901800/39441; http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/39441/1/109CYUT0385008-003.pdf

الاتاحة: http://ir.lib.cyut.edu.tw:8080/handle/310901800/39441
http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/39441/1/109CYUT0385008-003.pdf

المؤلفون: 顏妤珊, Yen, Yu-Shan

المساهمون: 會計學系, 周庭楷, Chou, Ting-Kai

مصطلحات موضوعية: 原油價格, 產業股價報酬率, 投入產出表, 匯率, oil price, industry stock price return, Input-Output Table, exchange rate, manag, eco

Relation: http://ir.lib.ncku.edu.tw/handle/987654321/201783

الاتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/201783

المؤلفون: 郭庭如

مصطلحات موضوعية: 企業生命週期, 財務報表, 財報比率, 股價報酬率, business life cycle, financial statements, financial ratio, stock return

وصف الملف: 169 bytes; text/html

Relation: http://ir.lib.ntust.edu.tw/handle/987654321/80054; http://ir.lib.ntust.edu.tw/bitstream/987654321/80054/1/index.html

الاتاحة: http://ir.lib.ntust.edu.tw/handle/987654321/80054
http://ir.lib.ntust.edu.tw/bitstream/987654321/80054/1/index.html

المؤلفون: 陳乃慈, Chen, Nai-Tzu

المساهمون: 張元晨

مصطلحات موضوعية: 外匯準備金制度, 海外投資限制, IFRS9, 海外投資比率, 傳統避險比率加計外幣保單比率, 一籃子貨幣避險比率, 股價報酬率, Hedging strategy, Foreign Exchange Reserve, Foreign investment ratio, Traditional hedging plus FX policy hedging ratio, Currency basket hedging ratio, Stock return rate

وصف الملف: 2711572 bytes; application/pdf

Relation: 一、中文資料\n林惠芳、張邦茹、葉寧欣，2012年，壽險公司使用衍生性金融商品決定因素之研究，風險管理學報，第十四卷第一期，25-47。\n陳振桐、梁正德，2010年。一籃子避險策略之實證研究，風險管理學報，12(1)，p.133-154。\n張士傑，2019年。匯率風險對我國壽險業經營之短中長期影響，財團法人台北外匯市場發展基金會專題研究計畫。\n李冠杰，2018年，「匯率避險策略對壽險業之影響–以利率變動型壽險商品為例」，國立政治大學風險管理與保險學系碩士論文。\n陳淑盈，1999 年，「上市公司運用衍生性金融商品避險之研究」，國立中興大學財務管理研究所碩士論文。\n\n二、英文資料\nAllayannis, G., and E. Ofek. 2001. Exchange rate exposure, hedging, and the foreign currency derivatives. Journal of International Money and Finance Vol.20 No.2: 273-296.\nAggarwal R, JT Harper, 2010. Foreign exchange exposure of “domestic” corporations. Journal of International Money and Finance 29 (2010) 1619–1636\nBoulland, R., GJ Lobo, GJ., and Paugam, L. 2019. Do investors pay sufficient attention to banks’ unrealized gains and losses on available-for-sale securities?. European Accounting Review 28 (5), 819-848\nBodnar, G.M., Gentry, G.M., 1993. Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA. Journal of International Money and Finance 12 (1), 29–46.\nBartram SM, GW Brown, BA Minton, 2010. Resolving the exposure puzzle: The many facets of exchange rate exposure. Journal of Financial Economics 95 (2010) 148–173\nBodnar, G. M., and M. H. F. Wong. 2003. Estimating exchange rate exposures: Issues in model structure. Financial Management Vol.32 (Spring): 35-68.\nBartov Eli and Gordon M. Bodnar, 1994. Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect. The Journal of Finance, Vol. 49, No. 5 (Dec., 1994), pp. 1755-1785\nGeczy Christopher, Bernadette A. Minton, Catherine Schrand, 1997. Why Firms Use Currency Derivatives. The Journal of Finance, Vol. 52, No. 4 (Sep., 1997), pp. 1323-1354\nHe, J., and Ng, L. K., 1998. The Foreign Exchange Exposure of Japanese Multinational Corporations. Journal of Finance, Vol. 53, pp. 733-753.\nJorion, P. 1990. The exchange-rate exposure of U.S multinationals. Journal of Business Vol.63 No.3 : 331-345.\nJJ Choi, E Elyasiani, KJ Kopecky, 1992. The sensitivity of bank stock returns to market, interest and exchange rate risks. Journal of Banking and Finance 16 (1992) 983–1004. North-Holland\nShapiro, A.C., 1975. Exchange-rate changes, inflation, and the value of the multinational corporation. Journal of Finance 30 (2), 485–502.\nSchrand, C. M. 1997. The association between stock-price interest rate sensitivity and disclosure about derivative instruments. The Accounting Review Vol.72 No.1 (Jan):87-109.\nVenkatachalam, M. 1996. Value-relevance of banks’ derivatives disclosures. Journal of Accounting and Economics Vol. 22 : 327-355.\nWilliamson R, 2001. Exchange rate exposure and competition: evidence from the automotive industry. Journal of Financial Economics 59 (2001) 441– 475; G0107357020; https://nccur.lib.nccu.edu.tw//handle/140.119/130531; https://nccur.lib.nccu.edu.tw/bitstream/140.119/130531/1/702001.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/130531
https://doi.org/10.6814/NCCU202000604
https://nccur.lib.nccu.edu.tw/bitstream/140.119/130531/1/702001.pdf

المؤلفون: 劉芳維, LIU, FANG-WEI

المساهمون: 財務金融系, 林益倍, 張阜民, LIN, YIH-BEY, CHANG, FU-MIN

مصطلحات موضوعية: 企業社會責任, 食品安全事件, 負面事件, 股價報酬率, Corporate Social Responsibility, Food Safety, Negative Event, Stock Returns

وصف الملف: 1104334 bytes; application/pdf

Relation: 107CYUT0304015; http://ir.lib.cyut.edu.tw:8080/handle/310901800/37053; http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/37053/1/107CYUT0304015-003.pdf

الاتاحة: http://ir.lib.cyut.edu.tw:8080/handle/310901800/37053
http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/37053/1/107CYUT0304015-003.pdf

المؤلفون: 蔡佩真, TsaiI, Pei-Chen

المساهمون: 財務金融研究所碩士在職專班, 顏盟峯, Yen, Meng-Feng, 蔡佩真, TsaiI, Pei-Chen

مصطلحات موضوعية: 聯合訂價行為, 反托拉斯法, 企業社會責任, 經營績效, 股價報酬率, joint pricing behavior, Antitrust law, corporate social responsibility, business performance, stock price return, eco, droit

Relation: http://ir.lib.ncku.edu.tw/handle/987654321/182149

الاتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/182149

المؤلفون: 余宗穎, Yu, Tsung Ying

المساهمون: 周冠男

مصطلحات موضوعية: 股東人數, 股價報酬率, 股權分散, 集保人數, Number of shareholders, Return, Stock dispersion, eco, manag

Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/110793/1/701801.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/110793

الاتاحة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/110793/1/701801.pdf
http://nccur.lib.nccu.edu.tw//handle/140.119/110793

المؤلفون: 梁美玲, Liang, Mei-Ling

المساهمون: 淡江大學管理科學學系企業經營碩士在職專班, 莊忠柱, Chuang, Chung-Chu

مصطلحات موضوعية: 匯率, 非預期衝擊, 股價報酬率, 股價報酬率波動性, EGARCH模型, Exchange rate, unexpected shocks, stock returns, volatility of stock returns, EGARCH model

Relation: 參考文獻 一、中文部分 1.李婉瑜（2001），「金融風暴前後亞洲各國股匯市波動性之相關研究」，東吳大學經濟學系碩士班碩士論文。 2.章志銘（2005），「以構建誤差修正模型分析台灣股價指數與匯率及利率之長短期互動關係」，淡江大學財務金融學系碩士在職專班碩士論文。 3.彭淮南（2005），「新台幣匯率持續升值對產業之生存與發展造成衝擊，應如何因應」，中央銀行季刊第二十七卷第一期，頁1-8。 二、英文部分 1.Akaike, H. (1973), “Information theory and an extension of the maximum likelihood principle,” Procedings of 2nd. International symposium on information theory, Akademiai Kiado, pp. 267-281. 2.Black, F. (1976), “The pricing of commodity contracts,” Journal of Financial Economics, 3 , pp.167-179. 3.Bollerslev, T. (1986),“Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31, pp.307-327. 4.Box, G. E. P. and G. M. Jenkins (1976). Time series analysis: Forecasting and control. San Francisco: Holden Day. 5.Engle, R. F. (1982), “Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation,” Econometrica, 50, pp.987-1008. 6.Fama, E. F. (1965), “The behavior of stock-market prices,” Journal of Business, 38, pp.34-105. 7.Jarque, C.M. and A.K. Bera (1980), “Efficient tests for normality homoskedasticity and serial independence of regression residuals,” Economics Letters, 6, pp.255-259. 8.Lenza, A., M. Manera and M. McAleerd（2006), “Modeling dynamic conditional correlations in WTI oil forward and futurs returns,” Finance Research Letters, 3, 2, pp.114-132. 9.Ljung, G. M. and G. E. P. Box (1978), “On a measure of lack of fit in time series models,” Biometrica, 65, pp.297-303. 10.Lunde, A., O. E. B., Nielsen, P. R. Hansen and N. Shephard（2011), “Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise andnon-synchronous trading,” Journal of Econometrics, 162(2), pp.149-169. 11.Nelson, D. B. (1991), “Conditional heteroskedasticity in asset returns: A new approach,” Econometrica, 59, pp.347-370. 12.Tiao, G. C. and R. S. Tsay (1984), “Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models,” 79, pp. 84-96. 三、網站部分 1.中央銀行﹐103年2月份台北外匯市場概況,網址：http：//www.cbc.gov.tw, 103年 3月24日發布 （103）新聞發布第063號; U0002-0107201413434500; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102180; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/102180/-1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102180
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/102180/-1/index.html

المؤلفون: 陳婉真, Chen, Wen-Chen

المساهمون: 淡江大學財務金融學系碩士在職專班, 顧廣平, Ku, Kuang-Ping

مصطلحات موضوعية: 股票期貨, 首次掛牌, 股價報酬率, 事件研究法, Single stock futures, First time listed, Price return, Event Study

وصف الملف: 144 bytes; text/html

Relation: 參考文獻 壹、中文文獻 1.王信琮，(1999)，股價指數期貨上市對現貨市場股價指數報酬率及成交量之影響~以SIMEX發行之摩根台指期貨為例，朝陽大學財務金融系碩士論文。 2.吳珮渝，(2000)，股價指數期貨交易對其現貨的影響，國立交通大學經營管理研究所碩士論文。 3.李忠穎，(2002)，台灣現貨與期貨市場價格行為∼小型台指期貨創立之影響，國立臺北大學合作經濟學系碩士論文。 4.李奕璋，(2013)，摩根台指期貨到期效應及結算制度改變對現貨市場之影響，國立臺灣大學財務金融學系碩士論文。 5.林世釗，(2003)，臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究，國立臺北大學企業管理學系碩士論文。 6.張以中，(2002)，指數期貨上市對現貨市場波動性與資訊傳遞的影響，國立台北大學企業管理學系碩士論文。 7.張剛瑋，(2005)，衍生性商品上市對標的個股之波動性及系統性之影響，逢甲大學財務金融學研究所碩士論文 8.張惠芬，(2013)，股票期貨對現貨市場的衝擊性研究，銘傳大學財務金融學系碩士在職專班論文。 9.許丹齡，(2011)，期貨市場真的能改善現貨市場的效率？--台灣股票期貨之啟示，靜宜大學財務金融系碩士論文。 10.陳瑄，(2008)，台灣股票市場期貨到期日效應之研究－以台灣加權股價指數期貨及摩根台指期貨為例，實踐大學財務金融與保險學系碩士論文。 11.黃菡筠，(2011)，股票期貨上市對現貨市場之影響－以臺灣期貨交易所股票期貨契約為例，中正大學財務金融研究所碩士論文。 12.鄭宇勝，(2012)，股票期貨對現貨股票所造成的影響及價格發現功能之研究 :以臺灣為例，國立臺北大學企業管理學研究所碩士論文。 貳、英文文獻 1.Alkeback, P. and Hagelin, N., (2004), “Expiration Day Effects of Index Futures and Options: Evidence from a Market with a Long Settlement Period,” Applied Financial Economics, Vol. 14, p.385-396. 2.Antoniou, A., and Holmes, P., (1995), “Futures trading information and spot price volatility: Evidence for the FTSE-100 stock index futures contract using GARCH,” Journal of Banking and Finance, Vol. 19, p.117-129. 3.Ashley, J. W., (1962), “Stock Prices and Changes in Earnings and Dividends: Some Empirical Results,” Journal of Political Economics, Vol. 70, p.82-85. 4.Ball, R. and Brown, P., (1968), “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, Vol. 6, p.159-178. 5.Brav, A., Geczy, C., and Gompers, P. A., (2000), “Is the abnormal return following equity issuances anomalous?” Journal of Financial Economics, Vol. 56, p. 209-249. 6.Brown, S. J. and Warner, J. B., (1985), “Using Daily Stock Return: The Case of Event Studies,” Journal of Financial Economics, Vol. 14, p.3-31. 7.Brown, S. J. and Warner. J. B., (1980), “Measuring Security Price Performance,” Journal of Financial Economics, Vol. 8, p.205-258. 8.Campbell, J. Y., Lo, A. W., and MacKinlay, A. C., (1997), The Econometrics of Financial Markets, Working Paper, Princeton University Press, New Jersey. 9.Chou, H. C., Chen, W. N., and Chen, D. H., (2006), “The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange,” Emerging Markets Finance and Trade, 42, p.81-102. 10.Danielsen, B. R., Van Ness, R. A., and Warr, R. S., (2009), “Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data,” Journal of Business Finance & Accounting, 36, p.1273-1293. 11.Dennis, S. A., and Sim, A. B., (1999), “Share Price Volatility with the Introduction of Individual Share Futures on the Sydney Futures Exchange,” International Review of Financial Analysis, Vol. 8, p.153-163. 12.Dolly, J. C., (1933), “Common Stock Split-Ups Motives and Effects,” Harvard Business Review, Vol. 12, p.70-81. 13.Ellueca, E. J. and Lafuente, A., (2003), “The Effect of Spot and Futures Trading on Stock Index Market Volatility: A Nonparametric Approach,” Journal of Futures Markets, Vol. 23, p.841-858. 14.Eun, C. S., and Sabherwal. S., (2003), “Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks.” Journal of Finance, Vol.58, p. 549-576. 15.Fama, E. F. (1991), “Efficient Capital Markets: II,” The journal of finance, Vol. 46, p.1575-1617. 16.Fama, E. F., Fisher, L., Jensen, M. C., and Roll, R., (1969). “The Adjustment of Stock Prices to News Information,” International Economic Review, Vol. 10, No. 1, p. 1-21. 17.Gonedes, N. J., (1973), “Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk,” Journal of Financial and Quantitative Analysis, Vol. 8, p. 407-443. 18.Harris, L., (1989), “S&P 500 cash stock price volatilities,” Journal of Financial, Vol. 44, p. 1155-1176. 19.Henker, T., (2008), Migration of trading and the introduction of single stock futures on the underlying US stocks, 2009 Financial Management Association (FMA) Annual Meeting. 20.Khan, S. U., and Hijazi, S. T., (2009), “Single Stock Futures Trading and Stock Price Volatility: Empirical Analysis,” The Pakistan Development Review, Vol. 48, p.553-563. 21.Khotari, S., Warner, J.B., (2006), “Econometrics of Event Studies,” In B. Esoen Eckbo (ed.), Handbook of Coporate Finance: Empirical Finance, Elsevier , North Holland Publishing Co., p. 3-35. 22.Lee, C. I., and Tong, H. C., (1998), “Stock Futures: The Effects of Their Trading on the Underlying Stocks in Australia,” Journal of Multinational Financial Management, Vol. 8, p.285-301. 23.MacKinlay, A. C., (1997), “Event Studies in Economics and Finance,” Journal of Economic Literature, Vol. 35, 13-39. 24.McKenzie, M. D., Brailsford, T. J., and Faff, R. W., (2001), “New Insights into the Impact of the Introduction of Futures Trading on Stock Price Volatility,” Journal of Futures Markets, Vol. 21, No. 3, p.237-255. 25.Mutlu, E. and Arik, E., (2015), “Interaction between Single-Stock Futures and the Underlying Securities: A Cross-Country Analysis,” Emerging Markets Finance and Trade, Vol. 51, p.647-657. 26.Myers, J. H. and Bakay, A. J., (1948), “Influence of Stock Split-Ups on Market Price,” Harvard Business Review, Vol. 26, p.251-255. 27.Pandey, S., (2015), “The Expiration Effects of Stock Futures on The Price of Underlying Stocks with Special Reference to Indian Stock Market,” International Journal of Management and Social Science Research Review, Vol.1, p.71-79. 28.Premalata, S., (2003), Do Futures and Options Trading Increase Stock Market Volatility? Working Paper, Clemson University, Clemson, USA. 29.Sadat, A. and Kamaiah, B., (2011), “Expiration Effects of Stock Futures on the Price and Volume of Underlying Stocks: Evidence from India,” The IUP Journal of Applied Economics, Vol. 10, p.25-38. 30.Scholes, Myron S., (1972), “The Market for Securities: Substitution versus Price Pressure and the Effects of Information and the Share Prices,” Journal of Business, Vol.45, p.179-211. 31.Schroeder, T. C., Ward, C. E., Mintert, J., and Peel, D. S. (1997), “Beef Industry Price Discovery: A Look Ahead, ” Research Bulletin, 1, 98. 32.Shastri, K., Thirumalai, R. S., and Zutter, C. J., (2008), “Information Revelation in the Futures Market: Evidence from the Single Stock Futures Market,” Journal of Futures Markets, Vol. 28, p.335-353. 33.Umesh, K., and Yiuman, T., (2009), “Single-Stock Futures: Evidence from the Indian Securities Market,” Global Finance Journal, Vol.20, p.220-234. 34.Westerholm, P. J. and Ahmed, M.D. M., (2013), “Price Discovery and Success Factors for Individual Stock Futures,” International Journal of Bonds and Derivatives, Vol. 1, No. 1, p.3-18. 35.Zakoian, J.-M. (1994), “Threshold Heteroskedastic Models.” Journal of Economic Dynamics and Control, Vol.18, p.931-995.; U0002-2206201620553300; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110703; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/110703/1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110703
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/110703/1/index.html

المؤلفون: 陳奕昌, Chen, Yi-Chang

المساهمون: 淡江大學財務金融學系碩士班, 顧廣平

مصطلحات موضوعية: 股票, 現金股利, 股價報酬率, 事件研究法, Stock, cash dividend, Rate of Return, Event Study

وصف الملف: 144 bytes; text/html

Relation: 國內文獻 1.許育菁(2000)，台灣及日本上市公司投資決策、融資決策、現金股利及盈餘關聯性之實證研究，國立成功大學會計學研究所未出版之碩士論文。 2.張銘輝(2001)，新上市初次股利宣告與股價關連性研究，國立政治大學企業管理研究所未出版之碩士論文。 3.張舜鑫(2002)，「現金股利變動與盈餘關係之研究」，政治大學財務管理研究所論文。 4.陳欣伶(2003)，台灣股利發放形式之價格效果與其影響因素，國立中正大學企業管理研究所未出版之碩士論文。 5.詹忠衛(2002)，「公司品質與股利及融資政策之關係」，成功大學財務金融研究所碩士論文。 6.闕河士(1996)，「股票股利訊號發射模式與宣告效果之研究」，政治大學企業管理研究所博士論文。 外國文獻 1.Aharony, J. and I. Swary (1980), Quarterly dividend and earnings announcements and stockholders’returns: An empirical analysis, Journal of Finance, 35, 1-12. 2.Boehme, R. D. and S. M.Sorescu (2002). The long-run performance following dividend initiations and resumptions: Underreaction or product of chance. Journal of Finance, 57, 871-900. 3.Charitou, A. and N. Vafeas (1998), The association between operating cash flows and dividend changes: An empirical investigation, Journal of Business Finance & Accounting, 25, 225-249. 4.Grinblatt, S., W. Masulis, andS. Titman (1984). The valuation effects of stock splits and stock dividends. Journal of Financial Economics, 13, 461-490. 5.Kane, A., Y. Lee and A. Marcus(1984), Earnings and dividend announcements: Is there a corroboration effect? Journal of Finance, 39: 1092-1099. 6.Miller, M and F. Modigliani (1961), Dividend policy, growth, and the valuation of shares, Journal of Business, 34, 411-433.; U0002-2006201615573900; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110694; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/110694/1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110694
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/110694/1/index.html

المؤلفون: 李智清, Lee, Chih-Ching

المساهمون: 淡江大學財務金融學系碩士在職專班, 顧廣平, Ku, Kuang- Ping

مصطلحات موضوعية: 臺灣50指數, Taiwan 50 Index, 臺灣中型100指數, Taiwan mid-cap 100 index, 股價報酬率, Returns on stock value, 事件研究法, Event Study

وصف الملف: 144 bytes; text/html

Relation: 參考文獻 壹、 中文博碩士論文 1. 林淑娟，(2002)，摩根台指成份股調整宣告對現貨市場之影響，國立成功大學國際企業研究所碩博士論文。 2. 伍偉榮，(2005)，摩根成分股調整對現股價量的影響，國立中山大學財務管理學系研究所碩士論文。 3. 黃雨溱，(2002)，MSCI指數台灣成分股變動之價量效果與流動性，輔仁大學管理學研究所碩士論文。 4. 陸姿樺，(2007)，成分股調整之股價效應：以摩根台指與台灣50指數作比較，國立政治大學財務管理研究所碩士論文。 5. 賴姵岑，(2005)，調整摩根指數成分股訊息反應，國立中正大學財務金融研究所碩士論文。 貳、 英文文獻 1. Harris, L. and E. Gurel（1986）,“Price and Volume Effects associated with Changes in the S&P 500 list: New Evidence for the Existence of Price Pressures.” Journal of Finance , Vol.41, pp.815-829. 2. Shleifer, A.（1986）, “Do Demand Curves for Stocks Slope Down?” Journal of Finance, Vol.41, pp.579-590. 3. Woolridge, .R.and C.Ghosh(1986), “ Institutional Trading an Security Prices:The Case of Changes in The Composition of The S&P500 Index.” Journal of Financial Research, Vol.9, pp.13-24. 4. Lynch A., nd R.Mendenhall(1997), “ New Evidence on Stock Price Effects Associated With Changes in The S&P500 index.” Journal of Business, Vol.79, p.351-383. 5. Honghui Chen, Gregory Noronha and Vijay Singal (2004), “The Price Response to S&P 500 Index Additions and Deletions : Evidence of Asymmetry and a New Explanation” The Journal of Finance, Vol.LIX, No.4, pp1901-1929. 6. Denis, Diane K., ohn J.McConnell, lexei V.Ovtchinnikov and Yun Yu (2003), “S&P Additions and Earnings Expectations.” Journal of Finance, Vol.58, p.1821-1840.; U0002-0107201617054000; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110678; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/110678/1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110678
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/110678/1/index.html

المؤلفون: 劉昱廷, Liou, Yu-Ting

المساهمون: 管理學院: 財務金融學研究所, 指導教授: 王衍智, 劉昱廷, Liou, Yu-Ting

مصطلحات موضوعية: Fama-MacBeth, 資本支出, 股價報酬率, 產業分析, cross-sectional stock return, capital expenditure, capital investment, industry analysis, eco, manag

Time: 61

Relation: http://ntur.lib.ntu.edu.tw/bitstream/246246/274178/1/ntu-105-R03723012-1.pdf; http://ntur.lib.ntu.edu.tw/handle/246246/274178

الاتاحة: http://ntur.lib.ntu.edu.tw/bitstream/246246/274178/1/ntu-105-R03723012-1.pdf
http://ntur.lib.ntu.edu.tw/handle/246246/274178

المؤلفون: 黃郁嵐, Huang, Yu-Lan

المساهمون: 蘇明俊, 中興大學, 吳中書

مصطلحات موضوعية: intraday return, 當日股價報酬率, overnight return, GARCH model, 隔夜股價報酬率, GARCH模型

Relation: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2806201022323900; U0005-2806201022323900; http://hdl.handle.net/11455/21023

الاتاحة: http://hdl.handle.net/11455/21023

المؤلفون: 蘇昱文, Su, I-Wen

المساهمون: 財務金融研究所碩士在職專班, 林軒竹, Lin, Hsuan-Chu

مصطلحات موضوعية: 收入多元化, 營運績效, 總資產報酬率, 股東權益報酬率, 股價報酬率, income diversification, operational performance, total return on assets, return on equity, return on the stock, eco, manag

Relation: http://ir.lib.ncku.edu.tw/handle/987654321/156826

الاتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/156826

المؤلفون: 林麗芳

المساهمون: 經濟學系, 蔡群立, Tsai, Chun-Li

مصطلحات موضوعية: 總統選舉, 股價報酬率, 波動率, 台灣, presidential election, stock returns, volatilities, eco, manag

Relation: http://ir.lib.ncku.edu.tw/handle/987654321/157079

الاتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/157079