股價下跌成因之分析

The Factors Affecting Stock Prices Declined

高志偉(Chih-Wei Kao)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00075

摘要

本研究以2009到2015年台灣上市公司為研究樣本，探討地雷股變數、股權結構變數、財報變數及控制變數對股價表現之影響。本研究從實證結果得到以下發現：其一、盈餘再投資率、可轉債的發行及董事會規模與股價表現呈反向關係。其二、不論在多元迴歸模型或羅吉斯迴歸模型中，券資比、益本比、資產週轉率及經理人持股與股價表現呈正向關係。其三、獨立董監事及電子業兩虛擬變數於多元迴歸模型中雖都不顯著，但於羅吉斯迴歸模型中則為顯著的負相關。其四、公司規模與股價表現呈正向關係。
此外，以往研究多探討財報變數及公司治理變數對公司績效的影響，或是探討地雷股之公司治理，亦或與金融海嘯有關之研究。本研究試著於台股牛市階段探討股價下跌成因，期讓企業經營者或股市投資人即使在樂觀的環境氛圍下仍需注意風險控管。

關鍵字

股價下跌 ； 股權結構 ； 財務困境 ； 羅吉斯迴歸

並列摘要

This study explores whether stock prices declined would be affected by board structure, financial statements, and other controlling variables over the data period 2009-2015, and we reveal the following important findings as shown below. First, the net income reinvestment ratio, convertible bond dummy, and board size would be negatively related with stock price performance. Second, short selling over margin ratio, earning price ratio, asset turnover ratio, and managers’ holding ratio, and firm scale would have positive impact on stock price performance regardless of either multiple regression or logistic regression models employed.
In addition, investors might take our revealed results into account for screening their investing stocks, which might prevent the stock prices of their stocks from declining in the future.

並列關鍵字

stock prices decline ； board structure ； financial distress ； logistic regression

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