Title page for 87421013


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Student Number 87421013
Author Kai-Lin Xe(史凱琳)
Author's Email Address No Public.
Statistics This thesis had been viewed 2103 times. Download 1796 times.
Department Business Administration
Year 1999
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title 過度反應假說在台灣股票市場之實證研究
Date of Defense 2000-07-05
Page Count 68
Keyword
  • 一月效應
  • 不確定資訊假說
  • 規模效應
  • 過度反應
  • 風險
  • Abstract none
    Table of Content 第壹章 緒論............................................1
    第一節 研究背景與動機..................................1
    第二節 研究目的........................................3
    第三節 研究範圍........................................4
    第四節 研究限制........................................5
    第五節 研究程序與結構..................................6
    第貳章 文獻回顧........................................8
    第一節 長期過度反應假說................................8
    第二節 短期過度反應與不確定資訊假說...................15
    第參章 研究方法.......................................19
    第一節 長期過度反應之研究假說.........................19
    第二節 短期過度反應與不確定資訊假說之研究.............23
    第三節 操作性定義.....................................26
    第四節 統計分析方法...................................30
    第肆章 實證結果以及分析...............................35
    第一節 長期過度反應...................................35
    第二節 短期過度反應與不確定資訊假說...................48
    第伍章 結論與建議.....................................60
    第一節 結論...........................................60
    第二節 未來研究方向...................................62
    參考文獻..............................................63
    附 錄..............................................66
    Reference 吳麗瑩,七十六年台灣股價變動之過度反應檢定,;企銀季刊;,民77年12月: 38-53。
    林煜宗、洪祥文,台灣股票市場投資者過度反應之研究,;證券管理雜誌;,民77年8月:2-10,民77年9月:2-13。
    劉玉珍、劉維琪、謝政能,台灣股票過度反應之實證研究,:臺大管理論叢:,民82:105-146。
    楊朝成、林容如,規模效果、本益比效果與一月效應─台灣股市之實證研究,;社會科學論叢;,民82年11月:161-184。
    李春旺、劉維琪、高孔廉,股價行為與規模效應:台灣股票市場實證研究,;管理評論;,民78年7月:99-121。
    吳學基,限制漲跌停幅度影響後續股價之實證研究,國立政治大學企業管理研究所,碩士論文,民75。

    鄭耕如,台灣股票市場過度反應與不確定資訊假說的實證研究,國立交通大學資訊管理研究所,碩士論文,民85。

    Ajayi, R. A. and S. Medhdian, 1994, “Rational Investors’ Reaction to Uncertainty: Evidence form the World’s Major Markets.” Journal of Business Finance, pp.533-545.
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    Fama. E. F. and K. R. French, 1995, “Size and Book-to-Market Factors in Earnings and Retruns” Journal of Finance 50, pp.131-155.
    Liang, Y. and D. Mullineaux, 1994, “Overreaction and reverse anticipation: two related puzzles?”, Journal of Financial Research Vol.17, No 1(Spring), pp.31-43.
    Tinic, S. and R. West, 1984, “Risk and return: January vs. the rest of the year”, Journal of Financial Economics 13, pp.561-574.
    Zarowin, P., 1990, “Size, Seasonality and Stock Market Overreaction.” Journal of Financial and Quantitative Analysis, Vol.25, No 1(March), pp.11-25.
    Advisor
  • Jung-Hua Hung(洪榮華)
  • Files
  • 87421013.pdf
  • approve immediately
    Date of Submission 2000-07-05

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