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系統識別號 U0026-0812200914133192
論文名稱(中文) 預測股票報酬與辨識價值錯訂股票:台灣股市效率性驗證
論文名稱(英文) Predicting Stock Returns And Identifying Mispriced Securities: Market Efficiency Test On Taiwan Data
校院名稱 成功大學
系所名稱(中) 統計學系碩博士班
系所名稱(英) Department of Statistics
學年度 96
學期 2
出版年 97
研究生(中文) 徐任民
研究生(英文) Jen-min Hsu
電子信箱 R2694115@mail.ncku.edu.tw
學號 R2694115
學位類別 碩士
語文別 英文
論文頁數 54頁
口試委員 指導教授-黃銘欽
口試委員-蘇永在
口試委員-梁雪富
中文關鍵字 每股盈餘  決策樹  區別分析  財務比  邏輯斯迴歸  效率市場假說 
英文關鍵字 financial ratio  EPS  efficient market hypothesis  decision tree  discriminant analysis  logistic regression 
學科別分類
中文摘要 效率市場假說主張,市場價格已經充份反應所有可用的訊息。
這個分別由 Paul A. Samuelson 和 Eugene F. Fama 各自獨立發展的理論,
已經大量廣泛應用在有關證券價格的理論模型和實證研究上,
並且引起廣泛的討論。
同時在價格發現過程中,也提供十分重要的論點。

由於台灣股市的快速發展,
台灣股市的市場效率已成為熱門的研究主題。的市場效率性,
並希望找出價格相關的財務比,能夠藉此預測股價報酬。

實證結果顯示,
台灣股市效率性在關於每股盈餘的驗證,
確為一效率市場,
投資人無法藉由每股盈餘的資訊揭露來獲取超額報酬。
再者,藉由分析公司的財務比,來預測未來每股盈餘的變化,
本論文嘗試驗證台灣股市在反應每股盈餘及其他財務比資訊
也無法替投資人帶來異常報酬。
英文摘要 The efficient markets hypothesis (EMH) maintains that market prices fully reflect all available information.
Developed independently by Paul A. Samuelson and Eugene F. Fama in the 1960s, this idea has been applied
extensively to theoretical models and empirical studies of financial securities prices,
generating considerable controversy as well as fundamental insights into the price-discovery process.
Due to the rapid development of stock market in Taiwan, the efficiency of the Taiwan stock market also has
been one of the hot topics. The thesis tries to test the efficient market hypothesis (EMH)
for the Taiwan stock market with respect to earnings per share and other publicly available financial
statement information, and studies whether financial ratios can predict aggregate stock returns.
The results show that there is no significant evidence to reject the hypothesis that Taiwan market is
efficient, and it is hardly possible to form a portfolio that earns excess returns persistently.
論文目次 1 Introduction 1
2 Literature Review 3
2.1 Efficient Market 3
2.1.1 Random Walk Theory 3
2.1.2 Efficient Market Hypothesis 4
2.2 Tests and Results of Semistong-form Hypothesis 5
2.2.1 Event Studies 6
2.2.2 Return Prediction Studies 7
2.3 Financial Statement Analysis 8
2.3.1 Financial Ratios 8
2.3.2 Use of Financial Ratios in EMH 9
3 Model and Methodologies 16
3.1 Model 16
3.1.1 Response Variable 16
3.1.2 Abnormal Performance Index 17
3.2 Logistic Regression 18
3.2.1 Introduction 18
3.2.2 Model 18
3.2.3 Stepwise Procedure 20
3.3 Discriminant Analysis 21
3.3.1 Introduction 21
3.3.2 Assumptions 22
3.3.3 Fisher’s Approach 22
3.3.4 Classification Rules 23
3.3.5 Stepwise Procedures 24
3.4 Decision Tree 25
3.4.1 Basic idea 25
3.4.2 Design Tree 26
3.4.3 Missing Values 27
3.4.4 Model Overfitting 28
3.4.5 Right-Sized Tree 29
4 Empirical Data And Results 32
4.1 Data 32
4.1.1 EPS 35
4.1.2 Financial Ratios 35
4.1.3 Prices 35
4.1.4 Announcement Dates 36
4.1.5 Inclusion Criteria 36
4.2 API of Multivariate Models 36
4.2.1 Perfect Foreknowledge Strategy 37
4.2.2 Logistic Regression 38
4.2.3 Discriminant Analysis 43
4.2.4 Decision Tree 44
4.3 Classification Results and Performance of Portfolios 47
4.3.1 Classification Results 47
4.3.2 Performance of Investment Portfolios 48
4.4 Concluding Remarks 51
References 52
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