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系統識別號 U0026-2606201316192100
論文名稱(中文) 探討基本面及技術面分析預測股票報酬之權重
論文名稱(英文) The Optimal Loadings on Fundamental and Technical Variables
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 101
學期 2
出版年 102
研究生(中文) 劉昱均
研究生(英文) Yu-Chun Liu
學號 R86001209
學位類別 碩士
語文別 英文
論文頁數 39頁
口試委員 指導教授-黎明淵
口試委員-王澤世
口試委員-林囿成
中文關鍵字 混合模型  公司規模  裁決性應計數  分析師分歧意見  股票報酬  最適權重 
英文關鍵字 hybrid model  firm size  discretionary accruals  analyst dispersion of forecast earnings  stock return  optimal loadings 
學科別分類
中文摘要 本研究主要目的為尋找在不同情形下投資人所應採取之最適權重,在過往研究股票報酬的文獻中主要採行基本面或是技術面分析,鮮少結合兩種分析方法,然而,透過文獻我們確實可以證實不論是基本面分析抑或是技術面分析兩者皆可以解釋股票報酬,因此,在本研究中為了獲得最多的資訊我們將採取混合模型。我們從COMPSTAT 和CRSP 資料庫中蒐集了10,460樣本,樣本期間涵蓋1993年至2009年。
本研究探討在三個控制變數(公司規模、裁決性應計數、分析師分歧意見)下,投資人應該採行之最適權重為何,研究結果顯示1.當公司規模越小時投資人應該增加基本面分析的權重2.當公司操弄盈餘使其增加時,技術面分析權重應該增加3. 當分析師對公司盈餘的分歧程度愈高時,投資人應該降低基本面分析的權重,最後,本研究亦針對股票市場趨勢進行分析,結果發現當股票市場為牛市時,投資人應增加技術面分析之權重。
英文摘要 The purpose of this study is to find the optimal loadings between fundamental and technical approach. Most previous researchers have only employed one kind of information to predict stock returns. However, in our study, we combine accounting-based and market-based information and collect data from COMPSTAT and CRSP databases. The sample period cover from 1993 to 2009. We also employ three determinant variables, which are firm size, discretionary accruals and analyst dispersion, to control optimal loadings. The empirical results indicate that first investors should put more loadings on the fundamental approach in the case of small firms. Second, when management inflates earnings, investors should place more emphasis on technical approaches. Third, a higher dispersion of analysts forecast earnings and investors lower loadings on the fundamental approach. Finally, we also consider the market tendency factor. It finds that when the economy is growing, investors should put more weight on the technical approach.
論文目次 摘 要 II
Abstract III
誌 謝 IV
Content V
1. Introduction 1
2. Literature Review 4
2.1 Fundamentals Approaches 4
2.2 Chartist Function 5
2.3 Hybrid prediction model 6
2.4 Determinants of loadings 6
2.4.1 Firm size 6
2.4.2 Earning management 7
2.4.3 Analyst dispersion 7
2.5 Research question and development of hypothesis 7
3. Econometric models 10
3.1 Model specifications 10
3.1.1 Fundamental approach (ModelⅠ) 10
3.1.2 Technical approach (Model Ⅱ) 11
3.1.3 Hybrid approach (Model Ⅲ) 12
3.2 Measure of the determinant variables 13
3.2.1 Firm size 13
3.2.2 Discretionary accruals 13
3.2.3 Dispersion 14
3.3 Validation methodology 14
4. Empirical results 16
4.1 Data 16
4.2 Highbred versus hybrid model 17
4.2.1 Result of model estimation 17
4.2.2 Measure of predictive power 18
4.3 Optimal loadings of various conditions 19
4.3.1 Optimal loadings of firm size 19
4.3.2 Optimal loadings of earning management 20
4.3.3 Optimal loadings of analyst dispersion 21
4.3.4 Optimal market loadings 21
5. Conclusions 23
References 34
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