| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === ABSTRACT
The study includes firm that are listed on the Taiwan Stock
Exchange from 2002 to 2004, 460 samples were selected from the
listed companies in the Taiwan Stock Exchange Corporation , and
using Generalized Method of Moment(GMM) to estimate it. The
main objective of this study is to investigate the relationship
between market-to-book ratio , leverage ratio , market
capitalization , turnover , corporate governance index , and
skewness of stock return.
The results are as following：(1) Market-to-book ratio be
more, stock return distribution be more right-skewned. (2)
Leverage be more, stock return distribution be more
right-skewned. (3) Turnover be more, stock return distribution be
more left-skewned. (4) Market capitalization be more, stock
return distribution be more left-skewned. (5) About corporate
governance , only related party transaction has negative
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relationship with asymmetry in stock return; in other words ,
degree of related party transaction be stronger , stock return
distribution be more right-skewned.
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