小數化對股票市場的影響

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姓名

林芸帆(Yun-fan Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

小數化對股票市場的影響
(Stock Market Reactions to Decimalization)

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至系統瀏覽論文 ( 永不開放)

摘要(中)

本篇論文中，我們檢驗了小數化後對紐約證券交易所(NYSE)的影響。並測試了投資機會假說以及自由現金流量理論在此事件㆗所扮演的角色。市場微結構(Microstructure)相關文章的實證結果指出，小數化後將會導致買賣價差變小，而較小的價差隱含的含意是較低的資金成本。我們發現，並不是所有公司因為資金成本
降低而受益。
將所有樣本依自由現金流量以及投資機會高低分群之後，我們發現小數化後，低自由現金流量的公司較高自由現金流量的公司的股價有較正面的反應，此結果與
自由現金流量假說的㆒致。但是我們的實證結果並沒有發現足夠的證據顯示支持投資機會假說。
此實證結果說明了將跳動單位縮小至小數後，僅對低自由現金流量的公司有利；對所有公司而言，未必是有利的，因此，小數化可能不是㆒個最佳的決策。

摘要(英)

In this study we exam the market reactions to decimalization on the NYSE and test
the investment opportunities and free cash flow theories. Lower spread caused by
decimalization will decrease cost of capital. We find that not all firms benefit from lower
cost of capital. After stratified the whole NYSE listed firms into different industry group
firms, we document that firms with less free cash flow have significantly positive return,
whereas firms with more free cash flow have unfavorable response to decimalization.
Thus our empirical results are consistent with the free cash flow theory but do not support
the investment opportunity hypothesis. This shows that decimalization may not be an
optimal decision.

關鍵字(中)

★ 小數化

關鍵字(英)

★ NYSE
★ decimalization
★ tick size

論文目次

1. INTRODUCTION……………………………………………………….1
2. LITERATURE REVIEW…………………………………………………3
2.1. DECIMALIZATION ..................................... 3
2.2. INVESTMENT OPPORTUNITY.............................. 5
2.3. FREE CASH FLOW THEORY .............................. 6
3. DATA SELECTION………………………………………………….7
3.1.EVENT DAY SELECTION ................................. 7
3.2. EVENT WINDOWS SELECTION............................. 7
3.3. SAMPLE SELECTION.................................... 7
4. METHODOLOGY……………………………………………………….9
4.1. ABNORMAL RETURN METHOD.............................. 10
4.2. TOBIN’S Q ESTIMATE ................................ 10
4.3. CASH FLOW ESTIMATE ................................. 11
4.4. STUDY HYPOTHESES.................................... 11
5. EMPIRICAL RESULTS………………………………………………13
5.1. OVERALL SAMPLE REACTION AND SUBSAMPLE STRATIFIED ACCORDING TO TOBIN’S Q AND FREE CASH FLOW.......................................13
5.1.1. All Firms ........................................ 13
5.1.2. Mining Industry................................... 14
5.1.2. Manufacturing Industry ........................... 14
5.1.3. Transportation and Communication Industry......... 15
5.1.4. Wholesale Industry.................................15
5.1.5. Retail Trade Industry ............................ 16
5.1.6. Service Industry ................................. 16
5.1.7. Miscellaneous .................................... 17
5.1.8. Food and Tobacco Industry .........................17
5.1.9. Textile and Apparel Industry ..................... 18
5.1.10. Wood and Publishing Industry..................... 18
5.1.11. Chemicals Industry................................19
5.1.12. Metal Industry................................... 19
5.1.13. Electronics and Computer Industry ............... 20
5.1.14. Transportation Equipment Industry................ 20
5.1.15. Misc. Manufacturing Industries................... 21
5.2. SUBSAMPLE STRATIFIED ACCORDING TO TOBIN’S Q AND FREE CASH FLOW
SIMULTANEOUSLY .......................................... 22
5.2.1. All Firms ........................................ 22
5.2.2. Mining Industry................................... 22
5.2.3. Manufacturing Industry ........................... 23
5.2.4. Transportation and Communication Industry......... 23
5.2.5. Wholesale Industry................................ 23
5.2.6. Retail Trade Industry ............................ 24
5.2.7. Service Industry ................................. 24
5.2.8. Miscellaneous .................................... 24
5.2.9. Food and Tobacco Industry ........................ 24
5.2.10. Textile and Apparel Industry .................... 25
5.2.11. Wood and Publishing Industry .................... 25
5.2.12. Chemicals Industry .............................. 26
5.2.13. Metal Industry....................... ........... 26
5.2.14. Electronics and Computer Industry ............... 26
5.2.15. Transportation Equipment Industry................ 26
5.2.16. Misc. Manufacturing Industries................... 27
6. SUMMARY AND CONCLUSION…………………………………….28
7. TABLE PART…………………………………………………………...29
Table 1. Selecting the Event days. ..................................................... 29
Table 2.................................................... 31
Distribution and characteristics of two-digit industry samples in the event 4........ 31
Table 3................................................... 33
Table 4 Cumulative Abnormal Return of all and industry firms for overall sample
and subgroups stratified by Tobin’s Q and cash flow. .................................... .................35
Table 5 Cumulative Abnormal Return manufacturing industry firms for overall
sample and subgroups stratified by Tobin’s Q and cash flow. ........................ .............................40
Table 6 2×2 table according to Tobin’s q and cash flow simultaneously................ .............................45
Table 7 2×2 table according to Tobin’s q and cash flow simultaneously in the
detailed manufacturing industry....................................................53
Table 8 Summary of the empirical results. ...................................................61
REFERENCE………………………………………………………………..62

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62
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指導教授

陳聖賢、周冠男
(Sheng-Syan Chen、Robin K. Chou)

審核日期

2003-7-16

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