事件研究法 (Event Study) 是一種統計方法，目的在研究當市場上某一個事件發生後，公司股價是否會產生波動時，以及是否會產生「異常報酬率」(abnormal returns)，藉由此種資訊，我們可以了解到股價的波動與該事件是否相關。
在研究過程中，首先須決定研究假說為何。決定研究假說以後，須確定事件的種類及其事件日，估計期及事件期之計算期間，並以股價日報酬率估算其預期報酬率，再透過實際報酬與預期報酬之差額，觀察整體股利發放事件，於宣告期間是否具有異常報酬的產生，最後藉由統計檢定來檢視其統計值是否顯著。
Event Study is a statistical method that aims to study whether a company's stock price will fluctuate after a certain event occurs in the market, and whether "abnormal returns" will occur. Through this Information, we can understand whether the stock price fluctuations are related to the event.
In the research process, you must first decide what the research hypothesis is. After deciding on the research hypothesis, it is necessary to determine the type of event and its event date, estimation period and calculation period of the event period, estimate its expected return rate based on the daily return rate of the stock price, and then observe the overall dividend payout through the difference between the actual return and the expected return. Whether the event has abnormal rewards during the announcement period, and finally a statistical test is used to check whether its statistical value is significant.
本課程之研究主題主要是以經濟學相關議題為主。本課程的進行方式由學生自行分組並選擇有興趣之研究主題，透過與專題指導老師討論研究方向與內容後，再由同學分組進行研究資料之蒐集、整理與分析，定期與指導老師進行研究專題之討論，另需於學期末完成專題研究之書面報告與口頭報告。
The research topics of this course are mainly economics-related issues. The way this course is conducted is that students are divided into groups and select research topics of interest. After discussing the research direction and content with the topic instructor, students are then divided into groups to collect, organize and analyze research data, and conduct research topics with the instructor on a regular basis. discussion, and a written report and an oral report on the topic research must be completed at the end of the semester.
1. The Econometries of Financial Markets, Campbell, Lo, and MacKinlay, 1997.
2. 事件研究法, 沈中華.2010.
3. 經濟新報,事件研究法摘要.
1. The Economies of Financial Markets, Campbell, Lo, and MacKinlay, 1997.
2. Event study method, Shen Zhonghua.2010.
3. Economic News, summary of event study method.
| 評分項目 Grading Method | 配分比例 Grading percentage | 說明 Description |
|---|---|---|
| 期末100%期末100% 100% at the end of the period |
100 |
