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研究生： 鄭曉峰
Cheng, Hsiao-Feng
論文名稱： Are the Stocks for Changing List between Exchange Market and OTC Market Systematic Risk: Evidence from the Taiwan Stock Market
Are the Stocks for Changing List between Exchange Market and OTC Market Systematic Risk: Evidence from the Taiwan Stock Market
指導教授： 許溪南
Hsu, Hsinan
學位類別： 碩士
Master
系所名稱： 管理學院 - 企業管理學系
Department of Business Administration
論文出版年： 2005
畢業學年度： 93
語文別： 英文
論文頁數： 58
外文關鍵詞： Systematic Risk, Bankruptcy, Discriminant Model, Logit Model, Stock Listings
相關次數： 點閱：109  下載：3 
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    　　This study is conducted for two main purposes. The first purpose is to construct predictive models that can be used in predicting changes in the listings exclusively for Taiwanese stock listings. The second purpose is to serve as a follow-up study for Dichev (1998) in clarifying whether a change in the listings is a systematic risk. The study uses Taiwanese samples to present a different but supplementary view from the previous studies conducted with U.S. samples.
    　　The research methods used for constructing predictive models are Logit model and Discriminant model. The accuracies of the prediction models constructed are very effective, reaching 75% or above. Companies upgraded in their listings share the same characteristic of pursuing after growth as the downgraded. The result shows that it is the ability to meet short-term debt, and to maintain long-term profitability that differentiates upgraded companies from the downgraded.
    　　Concerning the risk of change in the listings, for downgrading changes the risk is unsystematic, consistent with Dichev (1998). For upgrading changes the risk appears to be systematic, however a closer look at the attributes of the returns for the upgrading changes is needed. The study suggests that only those investors making the correct choice be rewarded with a higher return. In another word, a higher return may not be due to taking more risk for changes, but a reward for a right choice.

    ABSTRACT IV TABLE OF CONTENTS V LIST OF TABLES VII CHAPTER ONE INTRODUCTION 1 1.1 Research Background and Motivations 1 1.2 Research Objectives and Contributions 3 1.3 Research Methods 3 1.4 Research Scope and Limitation 4 1.5 Sample and Variable Selection 5 1.6 The Structure of this Study 5 CHAPTER TWO LITERATURE REVIEW 6 2.1 Predictive Models 6 2.2 Systematic Risk 9 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 12 3.1 Sample Selection 12 3.2 Variable Design 13 3.3 Research Process 19 3.4 Analysis Approach 20 3.4.1 Logistic Model 20 3.4.2 Discriminant Model 21 CHAPTER FOUR EMPIRICAL RESULTS AND ANALYSES 23 4.1 Introduction 23 4.2 Predictive Model Construction 23 4.2.1 Logistic Model 23 4.2.2 LM Upgrading Listings: Two-Year before Change 24 4.2.3 LM Upgrading Listings: One-Year before Change 25 4.2.4 LM Downgrading Listing 27 4.2.5 Discriminant Model 29 4.2.6 Discriminant Model Upgrading Listings: Two-Year before Change 29 4.2.7 Discriminant Model Upgrading Listings: One-Year before Change 31 4.2.8 Discriminant Model Downgrading Listings: Two-Year before Change 32 4.2.9 Discriminant Model Downgrading Listings: One-Year before Change 34 4.3 Relationship between Return and the Likelihoods for Changes in the Listings 35 4.3.1 Association between Returns and Predicted Probabilities and Likelihood 36 4.3.2 Probability Predicted by the Logistic Model 36 4.3.3 Likelihood Predicted by the Discriminant Analysis 38 4.4 Conclusion from the Model Construction 41 4.5 Portfolio Formation 43 4.5.1 Upgrading Changes 43 4.5.2 Downgrading Changes 45 CHAPTER FIVE CONCLUSIONS AND SUGGESTIONS 47 5.1 Research Conclusion 47 5.2 Research Suggestions 49 REFERENCES 50

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