[[alternative]]Long-Horizon Event Studies: The Taiwan Evidence

計畫編號：NSC92-2416-H032-012研究期間：200308~200407研究經費：381,000[[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。[[abstract]]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.[[sponsorship]]行政院國家科學委員會[[notice]]補正完

[[alternative]]The Long-Run Performance Following New Equity Issues: The Taiwan Evidence

計畫編號：NSC91-2416-H032-013研究期間：200208~200307研究經費：381,000[[abstract]]本研究以1989 至1999 年間，291 家初次在台灣證券交易所公開發行之普通股股票為研究樣本，利用各種衡量模式再次探討其上市後短期與長期之報酬績效。發現股票上市之初具有正的異常投資績效，且發現這短期異常報酬逐年下滑。但是，在短期異常現象結束之後，並沒有出現異常的長期績效。這些證據支持短期異常報酬是由於新上市股票承銷價格被低估所致。 This study applies various measurement models to reinvestigate the short-run and long-run performance of 291 initial public offerings (IPOs) of common stock on Taiwan Stock Exchange for the period from 1989 to 1999. I find positive abnormal stock performance subsequent to listing and find these short-run abnormal returns to drop year by year. But, after at end of this short-run abnormal phenomenon, there is not abnormal long-run performance. This evidence supports that the short-run abnormal returns are due to underpricing of IPOs.[[sponsorship]]行政院國家科學委員會[[notice]]補正完

[[alternative]]Contrarian and Momentum Investment Strategies : Evidence from the Taiwan Stock Market

計畫編號：NSC89-2416-H032-027研究期間：200008~200107研究經費：243,000[[abstract]]近年來，很多研究發現過去的股票報酬能預測未來的股價，即投資者可利用過去的股價資訊， 發展出一套投資策略(Investment strategy) 以獲取異常報酬(Abnormal return)。這些投資策略可分成兩類： 第一類是逆勢策略(Contrarianstrategy)，即「買入過去的輸家(Loser)，賣出過去的贏家(Winner)」，該策略是依賴價格逆轉(Price reversal)。第二類是順勢策略(Momentum strategy)，即「買入過去的贏家，賣出過去的輸家」，這策略是根據價格延續(Price continuation)。本研究則是探討台灣股市從1978 年1月到2000 年6 月間是否出現價格逆轉與價格延續的現象。結果顯示產業順勢策略較個股順勢策略有利可圖。特別是，產業順勢投資策略（即買入過去的贏家產業組合，賣出過去的輸家產業組合）的高獲利從第1 個月一直延續至第36 個月，並且該策略在剔除上櫃公司與只考慮一半的子期間之下仍可獲利，顯示出該策略的穩定性。相反的，個股順勢策略(即買入過去的贏家股票，賣出過去的輸家股票)則是顯示出貧乏的績效與顯著較差的利潤。進一步，我們發現投資策略的高報酬不可能完全以風險補償和買賣偏誤來解釋。顯見尚有其他原因，這也許可能是來自於投資人對資訊反應不足、或是過度反應。 In recent years, many papers have documented that stock past returns can be used to predict stock future prices. Investors can develop some investment strategies based on past returns to achieve abnormal returns. These investment strategies can be grouped into two families---contrarian strategies (buying past losers and selling past winners) and momentum strategies (buying past winner and selling past losers). The contrarian strategy relies on price reversals and the momentum strategy bases on price continuations. This study is to explore whether exist price reversal and price continuation, on the Taiwan stock market form January 1978 to June 2000. Our results show that industry momentum strategies are more profitable than individual stock momentum strategies. Specifically, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable over 1 to 36 months. Industry momentum strategies are robust to various specifications and methodologies, and they appear to be profitable even if the tests are applied to sample to disregard ROSE-listed stocks, and if only half of the sample period is considered. By contrast, individual stock momentum strategies, which buy past winning stocks and sell past losing stocks, are poor performance and significantly less profitable. Moreover, we find that high profitability of investment strategies cannot be fully explained by risk compensation and bid-ask bias. Obviously, there are also other reasons, possibly from investor overreaction and/or under-reaction to information.[[sponsorship]]行政院國家科學委員會[[notice]]補正完

[[alternative]]Stock Returns and Trading Volume - Liquidity Premium, Inefficient Market, and Information Content

計畫編號：NSC90-2416-H032-011研究期間：200108~200207研究經費：261,000[[sponsorship]]行政院國家科學委員會[[notice]]補正完

全國型品質獎宣告對股價與企業風險的影響

[[abstract]]本文探討台灣地區上市公司在獲得全國型品質獎得獎宣告後，是否能產生股價立即推升之外部效益，使得獎公司股票出現異常報酬，以及企業財務風險降低之內在效應。首先，以事件研究法檢定得獎宣告對股票短期異常報酬的影響，利用1979-2003年股市資料進行實證研究發現，得獎宣告日及其前後各一日之股票異常報酬與零無顯著差異，表示得獎宣告對短期股價未具有顯著正向的資訊內涵。其次，以年為基準依獲獎企業宣告發生執行期與執行期後，並進行年序中企業股價行為之比較，結果發現得獎企業的股價反應可能有長期外溢效果，連帶也使同產業的企業股價受益而有長期異常報酬。最後，檢定得獎宣告對企業財務風險之衝擊，結果得知企業風險並未因得獎而有所改變，亦即無顯著降低之現象。因此多數台灣投資人對全國型品質得獎企業的獲獎資訊反應較慢，短期並不會解讀為影響其股票投資決策之正向訊息，但長期有正面效果。此實證結果可供投資人及公司管理當局參考。 In this paper, the effect caused by winning the National Quality Award (NQA) to enterprises in Taiwan is discussed. The outer effect of up swinging stock price to bring prodigious remuneration is an issue, and the inner effect that lowers down business risk of the company is another. Firstly, the event study method was used to compute the bouncing remunerations caused by the award announcement. The stock market information from 1979 to 2003 was analyzed in this empirical research to come out that the stock prices on a day before and after the award-announcing day showed no significant fluctuations. This indicates that the award announcement makes no dominant benefit to the short-term stock price. Second, the yearly performance of the certain stock behavior is observed. The stock prices of the entire year just before and after the point of award-announcement showed no significant differences with those of other years. There were bouncing remunerations through buying and holding the stocks. It turns out that there may be a spillover effect. on the reaction of the NQA winner's stock price, which benefits the enterprises of the same industry with a long term abnormal return in the stock market as well. At last, the impact of the Award on the firm's business risk is screened. It came out that no significant change of business risk arose due to the award announcement, namely that there was no phenomenon of lowering down business risk by getting awarded. Thus the NQA announcement makes an influence on the stock market rather slowly and may be not recognized a piece of positive message for investors' decision to the stock investment in the short term; however it has a positive effect indeed in the long term. The empirical result is provided for the investors' and enterprises' references

[[alternative]]The Value-Relevance of Intangible Assets in Taiwan - The Effect of Stock Cylce, Industry, and Firm Type

計畫編號：NSC90-2416-H032-005研究期間：200108~200207研究經費：173,000[[sponsorship]]行政院國家科學委員

由行為財務學角度探討債信評等之資訊

[[abstract]]以往許多文獻皆發現在債信評等降等後，股票報酬會有顯著的異常負報酬出 現，但當債信評等升等後，卻未有類似的異常報酬產生，亦即投資人對評等變動 宣告產生不對稱反應的現象。先前研究對於債信評等變動宣告的觀察，多側重在 投資人對受評公司的股價反應上，且對於異常報酬的解釋也多數由投資人過度反 應(overreaction)或反應不足(underreaction)的角度切入，然而，此種方式對於宣告效果反應之不對稱性現象，並無法提供十分嚴謹的論述。 首先，有別於以往文獻對於先進國家信評成熟市場所進行之實證，本研究計 劃針對規模較小型且信評經驗較不足的台灣市場，探究債信評等宣告是否能提供 給投資人額外的資訊內涵。其次，鑒於以往實證結果所顯示的，信評降等宣告之 異常負報酬表現，本計劃嘗試透過投資人心理因素著手，特別是檢視處分效果在 債信評等宣告日附近之影響性，期能更加了解投資人在面臨債信變動宣告時之反 應。 Several studies suggest that abnormal equity returns following bond downgrades are negative, whereas there is no significant abnormal equity return reaction subsequent to upgrades. There is no a priori reason why equity returns should react to upgrades and downgrades in an asymmetric fashion. The explanation that previous studies provide for those results is that they are due to investors’ underreaction or overreaction to the information content of rating changes, and such doings are unable to offer a very rigorous argumentation. First, unlike previous studies that are largely based on large stock markets this research examines whether credit rating announcements convey more valuable information to investors in a relative small market, the Taiwan stock market, than to investors in a large market. Second, this research tries to report the puzzling results regarding negative abnormal returns following downgrades are largely due to investors’ sentiment. Moreover, this project proposes to examine whether the “disposition effect” will affect investors’ trading behavior around the credit action announcement