This thesis provides evidence of size and value premiums in returns in the Central and Eastern European (CEE) region, through its analysis of financial markets in 12 countries. Following the portfolio construction methodology of Fama and French (1996) we use a sample of 1245 stocks and record that small stocks outperform big stocks (size premium) and value stocks outperform growth stocks (value premium). In addition, we create nine portfolios to test the Fama and French three-factor model and show that the factor-mimicking portfolios that have been documented in the developed markets, SMB (small minus big) and HML (high minus low), also capture most of the cross-section variation in average stock returns in the CEE region. We demonstrate a similar pattern in terms of size return as documented in the U.S. market, but with small differences in the value returns found. Although the Gibbons-Ross-Shanken (GRS) test does not reject the null with 95%, we do not agree that the model completely explains the variation in average returns across the portfolios. The GRS rejects the null at 90% and implies that other factors are omitted from the model. Nevertheless, this thesis contributes to the literature applying asset pricing models to the CEE region, and should provide insights to investors active in the CEE...

Segundo a teoria da firma, uma empresa é um nexo de relações contratuais entre os seus diversos participantes. Nessas relações contratuais, que não são perfeitas, surgem os problemas de agência, decorridos da assimetria informacional e dos conflitos de interesses entre o contratado e o contratante, no caso, agente e principal. Neste caso, quando se tem a intenção de alinhar os interesses entre eles, aparece a governança corporativa, atuando como um meio de minimizar os conflitos e diferenças existentes e corrigir as falhas presentes no processo de comunicação e informação das firmas. No Brasil, diante da fraca proteção legal aos acionistas minoritários, da alta concentração de propriedade nas empresas e da separação dos acionistas entre ordinários e preferenciais, algumas medidas institucionais e governamentais têm sido tomadas ao longo dos anos com o objetivo de contribuir com a evolução das práticas de governança corporativa no país. Uma dessas iniciativas foi a criação em 2000 do segmento Novo Mercado pela Bovespa, composto por regras e exigências crescentes em relação às boas práticas de governança. Nesse sentido, é coerente pensar que a política de dividendos, antes influenciada pela necessidade de atuar também como instrumento de redução de conflitos entre os acionistas, passou a ser decidida a partir de um foco preponderantemente gerencial pelas companhias deste segmento, ou seja, tomada do ponto de vista financeiro de maximização da riqueza dos acionistas. Para testar esta suposição, adotou-se o modelo conceitual da Teoria Residual dos Dividendos, estabelecidos pioneiramente por Modigliani e Miller (1961) e revisitado por Jensen (1986) na Teoria Free Cash Flow. Assim, conduziu-se um levantamento do Fluxo de Caixa Livre do Acionista (FCLA) para todas as companhias listadas no Novo Mercado da BM&FBovespa desde a sua criação até o ano de 2011. O objetivo foi investigar o perfil da política de dividendos dessas empresas, a partir da avaliação de como elas administram o FCLA. Além disso, foi testado se as decisões sobre a destinação do saldo de FCLA impactaram na rentabilidade do acionista, expressa pela Taxa de Retorno da Ação (TRA). Como proposta secundária, foram pesquisados também os fluxos de reinvestimento dos lucros destas companhias, buscando verificar se os acionistas são recompensados por maiores ganhos de capital em contrapartida pelo não recebimento de dividendos e, também, onde são alocados os lucros reinvestidos. Como resultado, constatou-se que grande parte das companhias apresentaram elevados níveis de sobreinvestimento no período, provocado pela retenção do FCLA, e que este problema pode ter sido a causa de uma Taxa de Retorno da Ação menor em alguns setores. Adicionalmente, foi observado que as empresas que mais retiveram lucro, ao longo do tempo, foram também as que proporcionaram os maiores retornos de ganhos de capital aos seus acionistas. Por fim, detectou-se que os lucros retidos pelas companhias foram reaplicados, em sua grande maioria, em investimentos relacionados à expansão ou manutenção de suas capacidades produtivas (capital fixo), embora a maior parcela deles acabasse não sendo identificada em nenhum dos ativos expressos pelo balanço patrimonial contábil. / According to the theory of the firm, the firm is a nexus of contractual relationships between its various participants. Such contractual relations, which are not perfect, agency problems arise, elapsed the information asymmetry and conflicts of interest between the engaged and the contractor, where, agent and principal. In this case, when it is intended to align the interests between them, appears to corporate governance, acting as a means to minimize conflicts and differences existing and correct the faults present in the process of communication and information firms. In Brazil, due to the weak legal protection for minority shareholders, the high concentration of ownership in firms and the separation between common and preferred shareholders, some institutional and government measures have been taken over the years in order to contribute to the evolution of corporate governance practices in the country. One such initiative was the creation in 2000 of the Novo Mercado segment by the Bovespa, composed of rules and increasing requirements in relation to good governance practices. Therefore, it is coherent to think that the dividend policy before influenced by the need to act as an instrument for reducing conflicts between shareholders, has to be decided from a managerial focus by companies in this segment, that is, the financial point of view of maximizing shareholder wealth. To test this assumption, we adopted the conceptual model of the Residual Theory of Dividends, established pioneered by Modigliani and Miller (1961) and revisited by Jensen (1986) in the Free Cash Flow Theory. Thus, we conducted a survey of Free Cash Flow to Equity (FCFE) for all companies listed on the Novo Mercado of the BM&FBovespa since its inception until the year 2011. The aim was to investigate the profile of the dividend policy of these companies, based on the evaluation of how they manage the FCFE. Furthermore, was tested whether if decisions on the allocation of the balance of FCFE impacted the profitability of the shareholder, expressed by the Rate of Stock Return (RSR). As proposed secondary, were surveyed the flows of reinvestment of profits these companies, seeking first check whether the shareholders are rewarded by higher capital gains in return for non-receipt of dividends, and also where they are allocated reinvested earnings. As a result, it was found that most companies had high levels of overinvestment during the period, caused by retention of FCFE and that this problem may have been the cause of a Rate of Stock Return lower in some sectors. Additionally, it was observed that companies that retained earnings, over time, were also the ones that provided the highest returns of capital gains to its shareholders. Finally, it was found that profits retained by the companies were reapplied mostly in investments related to the expansion or maintenance of their productive capacity (capital assets), while the largest portion of them end up not being identified in any of the assets of the balance sheet accounting.

博士（商学） / 乙第440号 / 113p / Hitotsubashi University(一橋大学)

[pt] A dissertação é composta por três ensaios empíricos que usam dados históricos de ações americanas. O primeiro avalia o desempenho de uma abordagem de otimização de carteiras baseada na otimização de Markowitz. Os resultados mostram valor econômico positivo do portfólio resultante, mesmo na presença de custos de transação. O segundo artigo visa comparar e combinar a técnica desenvolvida no artigo anterior à abordagem paramétrica e avalia o desempenho da combinação das técnicas. Os resultados mostram que o desempenho da técnica paramétrica é inferior à técnica de Markowitz modificada e pouco melhor do que o mercado agregado. Isto sugere que o valor econômico de explorar a estrutura de covariância entre as ações é superior a aumentar pesos em ações cujas características oferecem relações risco-retorno maiores até o período. O terceiro ensaio avalia modelos de previsão da variação de retornos entre ações. As estatísticas utilizadas apontam que os modelos padrão não possuem poder preditivo superior a modelos que supõem que não há variação ou que usam a média histórica. Por meio do uso tanto de combinações de modelos lineares quanto estimação restrita de modelos com muitos fatores, mostro que é possível obter resultados ligeiramente superiores. / [en] The dissertation consists of three empirical essays which use historical data of stocks listed in NYSE. The first essay evaluates a portfolio selection approach based on the Markowitz optimization. Results show the portfolios have positive economic value, even after including transaction costs. The second essay compares the technique proposed in the first essay to the parametric approach. Results show the parametric approach performs worse than the modified Markowitz approach and shlightly better than the aggregated market. This suggests that exploring the covariance structure of stocks provides better results than overweighting stocks with characteristics associated to better riskreturn ratios in the past. The third essay evaluates models that forecast the cross-sectional variation in stock returns. Given the statistics used, benchmark models do not show greater forecasting power than skeptical or naive models. By using linear model combination or lasso technique on a model with several factors, I show it is possible to obtain slightly better results.

本研究第一部份為確定性的資產訂價模型，探討證券交易所得稅與證券交易稅對股票價格的影響。如同資產價格方程式，其均衡價格為未來各期股利之貼現值的總和。所不同的是一般資產價格方程式之貼現率即為市場利率，但本研究特別引進資產存量動態調整方程式與政府預算限制式，說明除了市場利率以外，強調證券交易所得稅、證券交易稅與代表性個人之週轉率均為影響貼現率的主要因素。由於模型描述代表性個人具有遠瞻(forward-looking)的特性，所以當期暫時性的稅率變動不會影響股票價格，會影響股票價格的只有未來的租稅政策。另外，本研究亦得到與李嘉圖定理相似的中立性假說：只要租稅現值保持固定不變，即使資本利得稅與證券交易稅如何調整與變動，都不會影響其均衡價格。 為了瞭解股票週轉率的函數型態。假設其為下一期股票報酬率與租稅的函數，以台灣地區1982年1月至2001年1月的月資料，使用兩階段的研究方法分別探討租稅對股票報酬率與週轉率的影響，目的是確認：租稅除了會直接的影響股票價格外，是否會透過週轉率而間接的影響股票價格。因此本研究第二部份摒除週轉率與政府政策為外生的假設，另以實證分析租稅對股票報酬率與週轉率的影響，以補基本理論模型之不足，並進行有趣議題之分析。 首先由Ganger因果關係檢定得知：週轉率領先於政府訂定的證券交易稅稅率，亦即週轉率過去的落遲項會影響到當期的證券交易稅稅率；且由相關係數得知二者呈正相關。故政府訂定的證券交易稅稅率視過去的週轉率而定，過去的週轉率愈高，政府當期訂定的證券交易稅稅率愈高，以企圖抑制股市的不健全發展。再者，由於台灣股票報酬率的時間序列資料具有自我迴歸條件非均齊變異數(autoregressive condition heteroskedasticity，簡稱ARCH)的現象，故異於其他相關研究的實證方法，另經由比較各種ARCH族模型的實證結果，選取出一套考慮風險貼水(risk premium)之最佳配適的兩階段ARCH(1)-M模型進行實證分析。 實證結果顯示：任何一個ARCH(1)-M的模型，皆存在顯著的風險貼水效果。而預期未來的與當期的證券交易稅對當期的股票報酬率均為直接的負面影響，但以前者影響較為顯著，後者的影響則視顯著水準而定，因此政府調降或調高當期的證券交易稅稅率，與股市之榮枯並無確定性的直接關係，此結果與一般學者的觀點不謀而合。此外，當期的週轉率租稅彈性為-0.0646，其值顯著為負，且絕對值小於一，表示缺乏彈性，雖然租稅會間接地透過週轉率影響股票價格，但影響並不大，而且政府若鑒於過去的週轉率太高，要以租稅抑制當期的股市投機風氣，其成效亦不彰。至於證券交易所得稅因宣告(或施行)的期間極為短暫，故對當期的股票報酬率影響不顯著。換言之，風險趨避程度、證券交易稅、預期報酬率、週轉率與股票價格之間具有相互連動的關係。是故，證券交易稅對股票價格的影響，視風險趨避程度、證券交易稅稅率、週轉率之租稅彈性與週轉率之預期報酬彈性而定。 除此以外，本研究第三部份亦考慮政策的不確定性與政策的變動以建立不確定性的資產訂價模型，模擬分析結果顯示：若原先政府施行的租稅過程愈具持續性，則一旦政府的租稅政策瞬間改變時，投資人愈無法將股票價格-股利比值對租稅的反應，事先地考慮於股票投資的決策當中，所以租稅政策衝擊的反應較大。簡言之，投資人預期的稅率與實際施行的新稅率愈相近時，租稅政策衝擊的反應最小。因此第三部份的結果亦與第一部份的基本數學模型(認為當期暫時性之稅率變動不會影響當期的股票價格)，以及第二部份的實證結果(發現當期證券交易稅稅率變動與當期股市之榮枯並無確定性之關係)相一致。 第一章 緒論……………………………………………………………………001 1.1 研究動機與目的………………………………………………………001 1.2 研究方法………………………………………………………………004 1.3 研究結構………………………………………………………………011 第二章 我國證券交易課稅制度沿革…………………………………………014 2.1 我國證券交易所得稅制度沿革………………………………………014 2.2 我國證券交易稅制度沿革……………………………………………021 2.3 各國證券交易課稅制度比較…………………………………………024 第三章 證券交易課稅的文獻探討……………………………………………031 3.1 證券交易所得稅的文獻探討…………………………………………031 3.1.1 關於證券市場的文獻探討……………………………………031 3.1.2 關於投資及儲蓄的文獻探討…………………………………040 3.1.3 關於經濟效益的文獻探討……………………………………042 3.1.4 關於稅制及稅收的文獻探討…………………………………046 3.2 證券交易稅的文獻探討………………………………………………050 3.2.1 國外文獻探討…………………………………………………050 3.2.2 國內文獻探討…………………………………………………053 第四章 確定性的資產訂價模型……………………………………………… 058 4.1 基本理論模型…………………………………………………………058 4.2 租稅效果………………………………………………………………064 4.3 中立性的假說…………………………………………………………069 第五章 台灣實證研究—資料處理與分析…………………………………… 073 5.1 資料來源與說明………………………………………………………074 5.2 檢定……………………………………………………………………076 5.2.1 單根檢定—ADF 檢定…………………………………………076 5.2.2 常態分配檢定…………………………………………………080 5.2.3 自我相關檢定—Ljung-Box Q(L-B Q)檢定…………………081 5.2.4 序列相關 LM 檢定……………………………………………082 5.2.5 ARCH LM 檢定…………………………………………………082 5.2.6 Granger 因果關係檢定………………………………………086 5.2.7 當期股票報酬率與未來各期證券交易稅稅率的相關係數…093 第六章 台灣實證研究—兩階段 ARCH 族實證模型………………………… 095 6.1 基本條件平均數方程式的設定與分析………………………………095 6.1.1 傳統自我迴歸模型……………………………………………095 6.1.2 自我迴歸模型的殘差分析……………………………………096 6.2 條件變異數方程式的設定……………………………………………101 6.2.1 ARCH 模型……………………………………………………102 6.2.2 ARCH-M 模型…………………………………………………103 6.3 估計方法與檢定………………………………………………………105 6.4 第一階段之股票報酬率的 ARCH 族模型估計與分析………………106 6.4.1 實證模型………………………………………………………106 6.4.2 實證結果與分析………………………………………………113 6.5 兩階段模型的估計與分析……………………………………………114 6.5.1 實證模型………………………………………………………114 6.5.2 實證結果與分析………………………………………………119 第七章 不確定性的資產訂價模型…………………………………………… 130 7.1 不確定性的租稅政策與政策變動……………………………………130 7.2 模型的模擬與分析……………………………………………………136 第八章 結論與未來的研究方向………………………………………………151 8.1 結論……………………………………………………………………151 8.2 未來的研究方向………………………………………………………155 附錄A 股票價格函數滿足終極條件的證明…………………………………158 附錄 B 股票價格函數為單一固定點的證明…………………………………160 參考文獻…………………………………………………………………………163 / This paper works out the effect of capital gains tax and stock transaction tax on share prices. In the generality of cases, the equilibrium share price is shown to equal the discounted sum of future dividends. In this paper, we emphasize that tax policy is a driving force in determining the discount rate and market turnover rate also plays an important role in determining the effects of policy. We show that temporary changes in policy have little effect on current stock price; only perceived policy in the future has price effect. We also show that a permanent shift in tax policy exerts only level effect, but no growth effect, on stock price. Using monthly data from Taiwan, our empirical results indicate that changes in stock turnover rate often leads changes in transaction tax, and both are positively correlated. This result implies that government policy often reacts to market volatility instead of the other way around. Since the data exhibit autoregressive conditional heteroskedasticity, we employ a two stage ARCH(1)-M model as our empirical strategy. Our results show that the price effect of transaction tax is significant, with the expected change in future tax especially so. The results also indicate that expected stock returns have positive and important effects on market turnover rate. Overall, the policy effect on stock price depends on the tax rate, the degree of risk aversion, sensitivity of turnover rate to policy and the expected stock return. The analysis so far assumes that the tax policy is certain, when in fact it is hardly the case. The 1989 fiasco and the recent flip-flop of the government are vivid testimonies of the volatile nature of the government policy. The third part extends the model to a stochastic environment and examines the consequences when a long-standing unequivocal tax policy suddenly and unexpectedly shifts to a stochastic regime. This type of regime shift seems to characterize the recent experience in Taiwan. Our results show that the shape of the pricing function under stochastic regimes depend on the persistence of the tax process. For tax rates that are lower than the unconditional mean of the process, the price is lower than the certainty case because the expected tax rate is higher over this interval. As the tax process becomes more persistent, the expected duration of the tax rate lengthens and the pricing function becomes negatively sloped. Notice that the slope of the pricing function (i.e., the tax elasticity of the price-dividend ratio) is flatter than the certainty case because in a stochastic regime consumers always take into account the possibility of tax changes, no matter how small the probability is.

近年來國際金融局勢詭譎多變，金融危機層出不窮，無論外資或有意投入國外股市的投資人都勢必更加小心。本研究乃針對亞太盆地國家的股票報酬率與國家信用水準變動做分析，並依開發中國家與已開發國家之別，嘗試探究其差異。本文的研究方法採用時間序列的模型(干預模型與衝擊反應分析)，檢定亞太盆地國家股票報酬率的時間序列型態，及國家信用變動對股票報酬率及其波動性的影響。實證結果顯示： 1.無論開發中國家或已開發國家，其股票報酬率並不受自身股票報酬率的波動度影響，此結論恰與Baillie and Degennaro(1990)吻合。 2.國家信用水準變動對股票報酬率的影響未落後達一個月之久。 3.國家信用變動對已開發國家的股票報酬率及其波動度不具顯著的解釋力。 4.國家信用改變對開發中國家股票報酬率及其波動度較具解釋力，但影響方向不一致，原因可能是開發中國家的投資障礙較多。 5.衝擊反應分析受限於開發中國家股市資料較少及國家信用分數型態，而未有一致而明顯的結論。 第一章、 緒論••••••••••••••••••••••••1 第一節 研究背景與動機••••••••••••••••••••1 第二節 研究目的•••••••••••••••••••••••4 第三節 研究限制•••••••••••••••••••••••4 第四節 研究內容與研究架構••••••••••••••••••5 第二章、 文獻探討••••••••••••••••••••••7 第一節 股票波動度的相關文獻•••••••••••••••••7 第二節 國家風險的相關文獻••••••••••••••••••8 第三節 干預分析的相關文獻••••••••••••••••••10 第四節 衝擊反應分析的相關文獻••••••••••••••••12 第三章、 資料來源與說明•••••••••••••••••••13 第一節 太平洋盆地國家的股市資料來源與類型••••••••••13 第二節 敘述統計•••••••••••••••••••••••15 第三節 使用Institutional Investor的國家信用評等指標為解釋變數之因•22 第四節 國家信用風險評比決定因子與過程••••••••••••24 第五節 國家風險指標的有效性•••••••••••••••••25 第四章、 實證結果••••••••••••••••••••••26 第一節 理論架構•••••••••••••••••••••••26 第二節 檢驗各國股價報酬的時間序列型態••••••••••••29 第三節 變異數自身相關檢定(ARCH、GARCH檢定)••••••••38 第四節 波動度解釋力檢定•••••••••••••••••••45 第五節 國家信用評等解釋力檢定••••••••••••••••48 第六節 衝擊反應分析•••••••••••••••••••••59 第五章、 結論與後續研究建議•••••••••••••••••74 第一節 結論•••••••••••••••••••••••••74 第二節 後續研究建議•••••••••••••••••••••76 參考文獻•••••••••••••••••••••••••••77 一、 中文部份••••••••••••••••••••••••77 二、 英文部份••••••••••••••••••••••••77 附錄(外國專業投資機構直接投資國內狀況分析表) •••••••••80 / For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows: 1. The stock return and its volatility do not have statistically significant relation in both developed markets and emerging ones, which coincides with the conclusion by Baillie and Degennaro(1990). 2. The impact of changes in country credit level on stock returns will work within one month; that is to say, changes in country credit level this month will affect stock returns of the current month. 3. Country credit change has no impact on stock returns of the developed markets. 4. Changes in country credit levels of the emerging markets have apparent influence on their stock returns but no identical signs. This may result from the common barriers existed in the emerging markets for foreign investors. 5. The impulse response analysis doesn't have an apparent and agreeable result owing to the constraint of rare data.

The medical device industry has seen rapid growth in recent years, and the increasing valuations has caught the attention of investors. Although their growth has outpaced many indices, medical device companies’ reliance on capital to finance research, patents, and clinical testing to reach pre-market approval makes due-diligence and the investment research process especially complex. Investors frequently rely on intuition when making investment decisions and it would therefore be particularly valuable if there was a way to accurately predict future returns. Although stock return prediction and market anomalies are a frequently debated topic among finance researchers, unlike other studies which look at whole markets this study looks at a particular subset of companies. This study looks at 63 recently listed medical device companies in the US market to analyze the predictability of future shareholder returns. The metrics analyzed are some of the most common quantitative metrics used by investors. A multiple linear regression model is used to determine if the metrics can predict future total returns, and abnormal returns. An interview was conducted with an industry investment expert to get more insight in the sector and to evaluate the chosen metrics. This study also examines the same data set during two eras; predictability before and after the financial crisis in 2009, to see if predictability is constant over time. The findings show that free cash flow yield is the only statistically significant variable in the model. This implies that if a recently listed medical device company has a negative free cash flow yield for one year, it will have a positive return the following year. From the analysis on the two eras, before and after 2009, predictability is found to be lower after the financial crisis. / Den medicintekniska industrin har sett snabb tillväxt de senaste åren och de ökande värderingarna har lockat investerarnas intresse. Även om deras tillväxt har överträffat många index, innebär medicintekniska företags beroende av kapital för att finansiera forskning, patent och kliniska tester för att nå godkännande före marknaden en särskilt komplicerad besiktnings- och analyseringsprocess. Investerare förlitar sig ofta på intuition när de fattar investeringsbeslut och det skulle därför vara synnerligen värdefullt om det fanns ett sätt att noggrant förutsäga framtida avkastning. Även om aktieavkastnings förutsägbarhet och marknadsavvikelser är ett ofta diskuterat ämne bland finansforskare, undersöker denna studie en viss undergrupp av företag till skillnad från andra studier som undersöker hela marknader. Denna studie analyserar 63 nyligen börsnoterade medicintekniska företag på den amerikanska marknaden för att analysera förutsägbarheten av framtida aktieägaravkastning. Mätvärdena som analyseras är några av de vanligaste kvantitativa mätvärdena som används av investerare. En multipellinjär regressionsmodell används för att avgöra om måtten kan förutsäga framtida totalavkastning och abnorm avkastning. En intervju genomfördes med en expert på investeringar inom denna sektor för att få mer insikt och för att utvärdera de valda variablerna. Denna studie undersöker också samma datauppsättning under två epoker; förutsägbarhet före och efter finanskrisen 2009, för att se om förutsägbarheten är konstant över tid. Resultaten visar att fri kassaflödesavkastning är den enda statistiskt signifikanta variabeln i modellen. Detta innebär att om ett nyligen börsnoterat medicintekniskt företag har en negativ avkastning på fritt kassaflöde under ett år, kommer det att ha en positiv aktieavkastning året därpå. Från analysen av de två epokerna, före och efter 2009, visar sig förutsägbarheten vara lägre efter finanskrisen.

股票市場的報酬率相對於金融市埸是非常重要的，因為其背後的真實機率分配對各種資產定價及選擇權的評價模型都有決定性的影響。本文考慮台灣股票市埸具有漲跌停板的限制來驗證實證中股票報酬機率分配的「厚尾」的現象，希望透過我們的研究能對財務理論在國內金融市埸的應用有更進一步的了解。我們選定了常態分配、對數常態分配及一般化第二種貝它分配 (GB2)來當作是台灣股票報酬率的真實機率分配，以動差法比較再以概似比檢定法(LR test)選出一表現最好的機率分配。由選取的25支國內股票中發現一般化第二種貝它分配 (GB2)可以解釋偏態和峰態對報酬率的影響並且也是概似比檢定法所選出的最適報酬率分配，由此可知一般化第二種貝它分配 (GB2)較為適合作為台灣股票報酬的真實機率分配。

本研究蒐集經濟日報、聯合報、與聯合晚報的新聞文章，以中研院的中文斷詞性統進 行結構性的處理，參考並延伸Tetlock、Saar-Tsechansky和Macskassy(2008)的研究方法，檢驗 使用一個簡單的語言量化方式是否能夠用來解釋與預測個別公司的會計營收與股票報酬。有 以下發現： 1. 正面詞彙(褒義詞)在新聞報導中的比例能夠預測高的公司營收。 2. 公司的股價對負面詞彙(貶義詞)有過度反應的現象，對正面詞彙(褒義詞)則有效率地充分 反應。 綜合以上發現，本論文得到，新聞媒體的文字內容能夠捕捉到一些關於公司基本面難 以量化的部份，而投資者迅速地將這些資訊併入股價。 / This research collects all of the news stories about China Steel Corporation from Economic Daily News, United Daily News, and United Evening News. These articles I collect are segmented by a Chinese Word Segmentation System of Academia Sinica and used by the methodology of Tetlock, Saar-Tsechansky, and Macskassy(2008). I examine whether a simple quantitative measure fo language can be used to predict individual firms’ accounting sales and stock returns. My two main findings are: 1. the fraction of positive words (commendatory term) in firm-specific news stories forecasts high firm sales; 2. firm’s stock prices briefly overreaction to the information embedded in negative words (Derogatory term); on the other hand, firm’s stock prices efficiently incorporate the information embedded in positive words (commendatory term). All of the above, we conclude this linguistic media content captures otherwise hard-toquantify aspects of firms’ fundamentals, which investors quickly incorporate into stock prices.