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標題: Can Capital Investment Effect and Asset Growth Effect Explain the cross-sectional Stock Returns in Taiwan
作者: 陳庭軒
Chen, Ting-Syuan
關鍵字: Fama and French Three-Factor Model;三因子模型;Four-Factor Model;Cross-section Analysis;四因子模型;橫斷面分析
出版社: 財務金融系所
引用: 參考文獻 Anderson , C. , and L. Garcia-Feijoo , 2006 , Empirical evidence on capital investment , growth options , and security returns , Journal of Finance 61 ,171-194. Berk, J., R. Green, and V. Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54,1153-1608. Broussard, J. P., D. Michayluk, and W. P. Neely, 2005, The role of growth in long term investment returns, The Journal of Applied Business Research 21,93-104. Carlson, M., A. Fisher, and R. Giammarino, 2004, Corporate investment and asset price dynamics: Implications for the cross section of returns, Journal of Finance 59,2577-2603. Cochrane, J., 1996, A Cross-Sectional Test of an Investment-Based Asset Pricing Model, Journal of Political Economy, 104, 572-621. DeBondt, W. F. M., and R. Thaler, 1985, Does the market overreact? Journal of Finance 40, 793-805. Eberhart, A. C., W. F. Maxwell, and A. R. Siddique, 2004, An examination of long-term abnormal stock returns and operating performance following R&D increases, Journal of Finance 59, 623-650. Fama, E. , and J. MacBeth, 1973, Risk, return, and equilibrium: empirical tests,Journal of Political Economy 81, 607-636. Fama, E. ,1991 , Efficient Capital Markets II , Journal of Finance 46:1575-1617. Fama, E. ,and K.French, 1992 ,The Cross Section of Expection Stock Returns, Journal of Finance 47, 427-465. Fama, E. , and K.French , 1993 , Common Risk Factors in Returns on Stocks and Bonds , Journal of Financial Economics 33 , 3-56. Fama, E. , and K.French , 1995 ,Size and book-to-market factors in earning and returns, Journal of Finance 50, 131-155. Ferson, W. E. and C. R. Harvey, 1999, Conditioning variables and the cross section of stock returns, Journal of Finance 54, 1325-1360. Jegadeesh, N. and S. Titman, 1993, Returns to buying winners and selling losers:Implications for stock market efficiency, Journal of Finance 48, 65-91. Jensen, M., 1986, The agency costs of free cash flow: Corporate finance and takeovers, American Economic Review 76, 323-329. Lamont , O., 2000, Investment plans and stock returns, Journal of Finance 55, 2719-2745. Michael J. C, H. Gulen and M. J. Schill, 2006, What best explains the cross-section of stock returns? Exploring the Asset Growth Effect,Working paper. Titman, S., K. Wei, and F. Xie, 2004, Capital Investments and Stock Returns, Journal of Finance and Quantitative Analysis, 39, 677-700. Zhang, X. F., 2006, Accruals, investment, and the accrual anomaly, Working paper, Yale University.
本研究主要以台灣股票市場上市公司股票為研究對象,探討1989年7月至2006年6月間,股票平均報酬與長期投資成長率因子、總資產成長率因子、Fama and French三因子(三因子加上動能因子為四因子)之間的橫斷面關係。研究結果發現長期投資成長率對台灣上市公司股票報酬有顯著的負向關係。且長期投資成長率因子的結果是穩定且具有韌性的,並不會受到改變樣本的影響。此項結果說明了在台灣的股票市場上,長期投資成長因子是有其特殊重要性的。
其他識別: U0005-2706200710493500
Appears in Collections:財務金融學系所

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