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研究生： 莊佩蓉
Pei-Jung Chuang
論文名稱： The Cumulative Abnormal Returns of the Securitization-Related Firms After the Passing of Securitization Acts in Taiwan —An Efficient Market Hypothesis Test and Event Study
The Cumulative Abnormal Returns of the Securitization-Related Firms After the Passing of Securitization Acts in Taiwan—An Efficient Market Hypothesis Test and Event Study
指導教授： 張光第
Guang-Di Chang
口試委員: 黃彥聖
Huang Yen-sheng
張琬喻
Chang Wan-Yu
廖咸興
Liao Hsien-Hsing
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： 2005
畢業學年度： 93
語文別： 英文
論文頁數： 45
中文關鍵詞： 異常報酬 、不動產證券化法案 、資產證券化法案 、日曆異常報酬和事件研究法
外文關鍵詞：  ASA, calendar anomalies, RESA,  event study,  abnormal return
相關次數： 點閱：538  下載：5 
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    • 本研究是在檢驗證券化相關公司的日曆異常報酬和累積異常報
    酬。它整合了台灣資產證券化法案和不動產證券化法案通過後現有四個日曆異常報酬和累積異常報酬的檢定。實證結果指出效率市場假說可經由週末效應驗證；非效率市場假說可經由元月效應、
    turn-of-the-month效應和假日效應來證明，而小公司對這四個日曆異
    常報酬的顯著性均優於大公司。 本研究亦發現，資產證券化法案通
    過後累積異常報酬是呈現遞增狀態；不動產證券化法案通過後卻呈
    遞減狀態。

    This research is to study the calendar anomalies and the cumulative abnormal returns of the securitization related firms. It provides the integrated examination of the existence of four calendar anomalies and cumulative abnormal returns after the passing of Asset Securitization Act (ASA) and Real Estate Securitization Act (RESA) in Taiwan. The empirical results indicate that significance of efficient market hypothesis is shown in the day-of-the-week effect, and insignificance is shown in the January effect, the turn-of-the-month effect, and the pre-holiday effect. The impacts of the four calendar anomalies for small firms are stronger than for large firms. And we also find the results of event study that the cumulative abnormal returns are ascending after the passing of ASA, but they are descending after the passing of RESA.

    Contents CHAPTER 1 INTRODUCTION1 CHAPTER 2 LITERATURE REVIEW4 2.1 THE ANOMALY RETURNS OF THE REITS MARKET4 2.1.1 DAY-OF-THE WEEK EFFECT5 2.1.2 JANUARY EFFECT6 2.1.3 TURN-OF THE MONTH EFFECT7 2.1.4 PRE-HOLIDAY EFFECT7 2.2 EVENT STUDY7 2.3 FIRM SIZE EFFECT8 CHAPTER 3 DATA AND METHODOLOGY9 3.1 REGRESSION METHOD10 3.1.1 DAY-OF-THE WEEK EFFECT10 3.1.2 JANUARY EFFECT11 3.1.3 TURN-OF THE MONTH EFFECT12 3.1.4 PRE-HOLIDAY EFFECT13 3.2 EVENT STUDY13 CHAPTER 4 EMPIRICAL RESULTS16 4.1 REGRESSION METHOD16 4.1.1 DAY-OF-THE WEEK EFFECT16 4.1.2 JANUARY EFFECT18 4.1.3 TURN-OF THE MONTH EFFECT21 4.1.4 PRE-HOLIDAY EFFECT22 4.2 EVENT STUDY24 CHAPTER 5 CONCLUSION27 FOOTNOTE28 REFERENCE29 APPENDIX A31 APPENDIX B34 APPENDIX C35 APPENDIX D36 APPENDIX E40 APPENDIX F42 LIST OF FIGURES FIGURE 1 STANDARDIZED CUMULATIVE ABNORMAL RETURNS (SCAR)-ASA (5 DAYS).25 FIGURE 2 STANDARDIZED CUMULATIVE ABNORMAL RETURNS (SCAR)-RESA (5 DAYS).25 LIST OF TABLES TABLE 1 DAY-OF-THE-WEEK EFFECT-ASA17 TABLE 2 DAY-OF-THE-WEEK EFFECT-RESA17 TABLE 3 JANUARY EFFECT-ASA19 TABLE 4 JANUARY EFFECT-RESA20 TABLE 5 TURN-OF-THE-MONTH EFFECT-ASA21 TABLE 6 TURN-OF-THE-MONTH EFFECT-RESA22 TABLE 7 PRE-HOLIDAY EFFECT-ASA.23 TABLE 8 PRE-HOLIDAY EFFECT-RESA.24 TABLE 9 SCAR STATISTIC ANALYSIS-ASA AND RESA (5 DAYS)26

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