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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/16950

Title: 財務危機模型之規模、淨值市價比及動能與報酬之關聯
The Relationship between Size, Book to Market Ratio, Momentum and Return on Financial Distress Models
Authors: 陳信憲;呂羽茜
Contributors: 商業教育學系
Keywords: 財務危機模型;規模效應;淨值市價比;動能
Financial Distress Models;Size Effect;Book to Market Ratio;Momentum
Date: 2010-03
Issue Date: 2013-07-11T03:15:39Z
Publisher: 臺北大學企業管理學系
Abstract: 本研究主要探討以臺灣上市公司為樣本,研究樣本期間為2000年1月到2008年12月,在採用兩種不同財務危機模型建構下,區分出有高財務危機與低財務危機的公司,並且探討Z-score及O-score的規模、淨值市價比、動能與報酬的關聯。研究結果中發現無論在採用何種財務危機模型區分,且在控制規模或淨值市價比下,高財務危機公司的報酬皆小於低財務危機公司,表示市場對於高財務危機公司存在反應不足的現象。此外低財務危機或高財務危機皆會有動能的持續現象,而在迴歸分析中也可發現高財務危機公司會有持續較低的動能現象。顯示出臺灣股票市場對於壞消息存在反應不足的現象,導致股價無法反映真實價值,建議投資人應以低財務風險的投資組合較佳。
This study used the listed companies in Taiwan as samples. The research sample period was from January 2000 to December 2008. Two different models were used to detect the financial distress, including the Z-score and O-score models. We found that the Taiwan stock market is underreacted to bad news; therefore, it does not reflect the true value of the market. Consequestly, we recommend investors better construct investment portfolios of low financial risk.
Relation: 企業管理學報, 84: 107-141
Appears in Collections:[商業教育學系] 期刊論文

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