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 the company's stock price will fluctuate when an event occurs in the market and whether it will generate "abnormal returns". Through this information, we can understand whether the fluctuation of the stock price is related to the event.
During the research process, the first thing to do is to decide what the research hypothesis is. After the study hypothesis, we must determine the type of events and their event date, estimate the calculation period of the period and the calculation period of the event period, and estimate the expected return rate based on the stock price day return rate, and then observe the overall dividend distribution event through the difference between the actual return and the expected return rate, whether there is an abnormal return during the declaration period, and finally check whether its statistical value is significant through statistical confirmation.
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 based on economic related topics. The course is conducted by students themselves and select interesting research topics. After discussing research directions and content with the topic guidance teacher, the students will collect, organize and analyze the research data, and regularly discuss research topics with the guidance teacher. In addition, the written report and oral report of the topic research must be completed at the end of the study period.
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 Econometries of Financial Markets, Campbell, Lo, and MacKinlay, 1997.
2. Event Research Method, Shen Zhonghua. 2010.
3. Economic News, Summary of Event Research Methods.
| 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 |
