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:778 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.
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