簡易檢索 / 詳目顯示

回結果列表
研究生： 簡日泰
Jian, Rih-tai
論文名稱： 成長股與價值股投資績效分析運用在馬來西亞及泰國上市櫃公司
The Analysis of Investment Performance between Value and Growth stocks in Malaysia and Thailand
指導教授： 李宏志
Li, Hung-chih
賴秀卿
Lai, Syou-ching
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 83
中文關鍵詞： 財務預警模型 、淨值市價比 、股票動能
外文關鍵詞： momentum, book-to-market, o-score, financial alarm model
相關次數： 點閱：103  下載：5 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本篇是引用Griffin and Lemmon(2002)與Ohlson(1980)財務預警之研究方法，首先找出馬來西亞與泰國之財務預警模型，本研究延伸Fama and French(1995)三因子模型，分別納入財務危機風險(Griffin and Lemmon,2002)與股票動能(Carhart,1997)建立四因子模型，試圖對馬來西亞及泰國股票市場報酬來源提出較具完整解釋能力的四因子模型。

    報酬來源之實證結果發現無論馬來西亞或泰國市場，本論文所建立的四因子模型(財務危機)較Fama and French三因子模型能提供較完整之解釋以及較Carhart四因子模型(股票動能)有較高的解釋能力，根據調整後的判定係數大於Fama and French三因子模型與Carhart四因子模型，而且截距項不顯著異於零。市場因素、淨值市價、規模因素，和財務危機風險因素對股票報酬有顯著正的影響。

    This study intends to build the four-factor model by adding the financial distress factor suggested by Griffin and Lemmon (2002) into three-factor model of Fama and French (1995). First, we build the financial alarm model of Malaysia and Thailand to calculate the probability of financial crisis of different companies. Then, momentum factor of Carhart (1997) is added into three-factor model of Fama and French (1995) to build another four-factor model. Through the comparison among three-factor model, Carhart’s four-factor model, and our four-factor model, this study tries to provide a better explanation for the sources of stock return

    According to the empirical results of the sources of return, in the market of Malaysia and Thailand market, the four-factor model including financial distress can provide a more complete explanation than the three-factor model of Fama and French and four-factor model including momentum, since our four factor model has higher adjusted R-square and their intercept of our model is insignificant different from zero. Each of factors, market factor (MTB), book-to-market (HML), size factor (SMB) and financial distress factor (OLMH), are positively related to the stock return.

    Chapter 1 Introduction-------------------------------- 1 1.1 Motivation and Background of the study---------- 1 1.2 Purpose of the study---------------------------- 3 1.3 Structure of study------------------------------ 4 Chapter 2 Literature Review--------------------------- 6 2.1 The style of stocks----------------------------- 6 2.2 Probabilistic model of bankruptcy--------------- 12 2.2.1 Uni-variable analysis------------------------ 12 2.2.2 Multi-variable discriminate Analysis--------- 13 2.2.3 Logit and probit analysis-------------------- 15 2.3 Three-factor model in the world----------------- 16 2.4 Stock return and economics variables------------ 19 2.5 Four-factor model------------------------------- 20 2.5.1 Momentum factor------------------------------ 20 2.5.2 Financial distress factor-------------------- 21 Chapter 3 Research Methodology------------------------ 24 3.1 Data collection and processing------------------ 24 3.1.1 Sources of data and time period of study----- 24 3.1.2 Sample selection----------------------------- 25 3.2 Research Model---------------------------------- 25 3.3 The Definition of Variables--------------------- 30 Chapter 4 Empirical Analysis-------------------------- 34 4.1 Summary Statistics of Firms Characteristic for portfolios-------------------------------------------- 35 4.1.1 O-score probability------------------------- 35 4.1.2 Book-to-Market Ratio------------------------ 38 4.2 Result of the Performance in Malaysia and Thailand--------------------------------------------------------- 40 4.3 Structure of the Return------------------------- 51 4.3.1 Three-factor model of Fama and French-------- 51 4.3.2 Our three-factor model----------------------- 56 4.4 Two four-factor models-------------------------- 59 4.4.1 Four-factor model of Financial distress------ 59 4.4.2 Four-factor model of Momentum---------------- 67 4.5 Summary Statistics of Sales and Investment Ratios for Portfolios---------------------------------------- 74 Chapter 5 Conclusion and Suggestions------------------ 77 5.1 Conclusion-------------------------------------- 77 5.2 Suggestion-------------------------------------- 79 5.2.1 Suggestions for further researchers---------- 79 5.2.2 Suggestions for the investors---------------- 79 Reference--------------------------------------------- 80

    Adam B. Ashcraft & Murillo Campello, 2002, "On the role of firm balance sheets in the transmission mechanism," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 261-281.
    Aharony, J. , C. Jones and I. Swary, 1980, “An Analysis of Risk and Return
    Characteristics of Corporate Bankruptcy Using Capital Market Data”, Journal of
    Finance, 35, 1001-1016.
    Altman, E.I. , 1968, “Financial Rations, Discriminate Analysis and the Prediction of
    Corporate Bankruptcy”, Journal of Finance, 23, 589-609.
    Altman, E. I. , G. Haldeman, and P. Narayanan, 1977, “Zeta Analysis: A New Model
    to Identify The Bankruptcy Risk of Corporations”, Journal of Banking and finance, 1, 29-54.
    Arshanapalli, B. , T. D. Coggin, and J. Doukas, 1998, Multifactor asset pricing analysis of international investment strategies, Journal of Portfolio Management, Summer, 10-23.
    Arshanapalli, B. , T. D. Coggin, J. Doukas, and H. S. David, 1998, The Dimension of International Equity Style, Journal of Investing, 15-30.
    Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3-18.
    Basu, S., 1983, “The Relationship Between Earning Yield , Market Value and Return for NYSE Common Stock ; Further Evidence”, Journal of Financial Economics, 12, 129-156.
    Barry, C. B. , and S. J. Brown, 1984, Differential information and the small firm effect, Journal of Financial Economics, 13, 283-294.
    Bauman, Robert E. Miller, 1997, “Investor Expectations and the Performance of Value Stocks versus Growth Stocks”, Journal of Portfolio Management, 57-68.
    Beaver, W. H. , 1966, Financial Ratio as predictors of Failure, Journal of Accounting Research, 4, 71-102.
    Bekaert, G. , Harvey,C.R., 1995, Time varying world market integration, J. Finance 50, 403-444.
    Blum, M. , 1974, Failing Company Discriminiant Analysis, Journal of Accounting Research, 12, 1-25.
    Capual, C. , I. Rowley, and W. F. Sharpe, 1993, International value and growth stock returns, Financial Analysts Journal, 320-332.
    Carhart, Mark M. , 1997, “On persistence in mutual fund performance”, Journal of Finance, 52, 57-82
    Chan, K. C. and N. F. Chen, 1991, “Structural and Return characteristics of small and large firms”, Journal of Finance, 46, 1467-1485.
    Chan, Louis K. C., N. Jegadeesh, and J. Lakonishok, 1995, “Evaluating the performance of value versus glamour stocks: The impact of selection bias”, Journal of Financial Economics, 38, 269-296.
    Chow and Heather M. Hulburt, 2000, “Value、Size and Portfolio Efficiency”, Journal of Portfolio Management, 78-89.
    Collins R. A. and Green R. D. , 1982, “Statistical methods for bankruptcy forecasting”, Journal of Economics and Business, 32, 349-354.
    Chen, Nai-Fu, and Feng Zhang, 1998, “Risk and return of value stocks”, Journal of Business 71, 501-555.
    Gaunt, Clive., 2004, “Size and book to market effects and the Fama French three actor asset pricing model: evidence from the Australian stock market”, Accounting and Finance, 27-44.
    Daniel, K. D. , and S. Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns”, Journal of Finance, 52, 1-33.
    Deakin, E. B., 1972, “A Discriminate Analysis of Predictor of Business Failure”, Journal of Accounting Research, 10, 167-179.
    Dichev, Ilia D., 1998, “Is the risk of bankruptcy a systematic risk?”, Journal of Finance, 53, 1131-1147.
    De Groot, Caspar G.M., and Verschoor, Willen F.C. 2002, “Further evidence on Asian Stock return Behavior”, Emerging Market Review, 179-193
    Fama, E. F., and K. R. French, 1992, “The cross-section of expected stock returns”, Journal of Finance, 47, 427-465.
    Fama, E. F. , and K. R. French, 1993, “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, 33, 3-56.
    Fama, E. F., and K. R. French, 1995, “Size and book-to-market factors in earnings and returns”, Journal of Finance, 50, 131-155.
    Fama, E. F., and K. R. French, 1996, “Multifactor explanations of asset pricing anomalies”, Journal of Finance, 51, 55-84
    Fama, E. F. , and K. R. French, 1996, “The CAPM is wanted,dead or alive”, Journal of Finance, 51, 1947-1958.
    Fama, E. F., and K. R. French, 1998, “Value versus growth: The international evidence”, Journal of Finance, 53, 1975-1999.
    Fama, E. F., and K. R. French, 2004, The Capital Asset Pricing Model: Theory and Evidence, The Journal of Economic Perspectives, 18, 25-47.
    Griffin, J. M., M. L. Lemmon, 2002, “Book-to-Market Equity, Distress Risk, and Stock Returns”, Journal of Finance, 57, 2317-2336.
    Halliwell, J., J. Heaney and J. Sawicki, 1999, “Size and book-to-market effects in Australian share market: a time series analysis”, Accounting Research Journal, 12, 122-137.
    Kothari, S.P. and Warner, Jerold B., 2001, “Evaluating Mutual Fund Performance”, Journal of Financial, 56, 1985-2010.
    Jegadeesh, N., and S. Titman, 1993, “Returns to buying winers and selling losers: Implications for stock market efficiency”, Journal of Finance, 48, 65-91.
    Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics, 32, 23-43.
    Lakonishok, J., A. Shleifer, and R. W. Vishny, 1994, “Contrarian Investment, Extrapolation, and Risk”, Journal of Finance, 49, 1541-1578.
    Lau, S.T., Lee. Chee T., and Mcinish, T.H., 2002, “Stock Returns and beta, Firm size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia”, Journal of Multinational Financial Manager, 12, 207-222.
    Lee, C.F., 1993, Statistics for Business and Financial Economics, D.C. Health and Company, Lexington, Massachvsetts, Toronto.
    Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance, 7, 77-91.
    Ohlson, J. A., 1980, “Financial Ratios and the Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, 18, 109-131.
    Reinganum, M. R., 1981, “Misspecification of Capital Assets Pricing ; Empirical Anomalies Based on Earnings Yields and Market Values”, Journal of Financial Economics, 9, 19-46
    Rosenberg, B., K. Reid, and R. Lanstein, 1985, “Persuasive Evidence of Market Inefficiency”, Journal of Portfolio Management, 11, 9-16.
    Schwert, G. W., 1983, “Size and stock returns, and other empirical regularities”, Journal of Financial Economics, 12, 3-12.
    Sharpe, W. F., 1964, Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 425-442.
    Sharpe, W. F., 1992,“Asset allocation：Management style and performance measurement”, Journal of Portfolio Management, Winter 1992, 7-19.
    Satawiriya, and Sinthu., 2006, “The relationship between size, boot-to-market ratio, earnings-to-price ratio, and Common Stock Return in the Stock Exchange of Thailand”, Department of Economic, Faculty of Emory College of Emory University
    Vassalou, M., and Xing, Y., 2004, “Default Risk in Equity Returns”, Journal of Fiance, Volume 59, Issue 2: 831-868.

    下載圖示 校內：2010-07-09公開
    校外：2012-07-09公開
    QR CODE