公司基本價值、市場評價與股票報酬

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姓名

陳韋廷(Wei-Ting Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

公司基本價值、市場評價與股票報酬
(Fundamental Values, Market Valuation and Stock Returns)

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摘要(中)

市場中對基本面資料的解讀可能存在偏誤，因而使股票的評價與公司基本價值存在差異。本研究使用符號排序法對上市公司之資產報酬率、營收成長率與股價淨值比進行排序。並以資產報酬率減去股價淨值比的排名、營收成長率減去股價淨值比的排名，代表股票基本價值與市場評價之間的偏誤。研究發現排序之差異可衡量出台灣股票市場對股票價值評價的偏誤，且較一般基本面公開資訊更能預測未來股價表現；此偏誤越高，股價會在未來出現越大幅度修正情況，被低估的股票會出現上漲的情況，而被高估的股票股價會在未來下跌，但因放空限制而使股價向下修正較為緩慢。

摘要(英)

Mispricing may occur when information on fundamentals is not properly processed by investors. In this study, I propose the use of signed-rank to rank the accounting fundamental on return on asset, sale growth rate and price-to-book ratio, and take the difference between return on asset and price-to-book ratio, sale growth rate and price to book ratio. These two variables were used as the measure of the deviation between the stock fundamental value and market price.

I found that these measures are both better than fundamental information in predicting stock returns. It can measure the degree of deviation between fundamental value and market valuation. The higher the deviation are, the stronger the correction of stock price. The price of undervalued stock will increase sharply and the price of overvalued stock will decrease but slowly because of constrain of short.

關鍵字(中)

★ 符號排序
★ 資產報酬率
★ 股價淨值比
★ 股票報酬

關鍵字(英)

★ Signed Rank
★ Return on Asset
★ Price-to-book ratio
★ Stock return

論文目次

摘要 i
ABSTRACT ii
誌謝 iii
目錄 iv
表目錄 v
一、緒　　論 1
1-1　　研究背景 1
1-2　　研究介紹 3
1-3　　研究架構 7
二、研究方法 8
2-1　　樣本資料 8
2-2　　符號排序 10
2-3　　迴歸模型 12
2-3-1　橫斷面迴歸分析 12
2-3-2　四因子模型分析 14
三、實證結果 16
3-1　　分組與報酬排序 16
3-1-1　單變數分組 16
3-1-2　二維分組 17
3-2　　符號排序 19
3-3　　迴歸實證結果 21
3-3-1　橫斷面迴歸分析 21
3-3-2　四因子模型分析 25
3-4　　放空交易與機構投資人資訊優勢 27
3-4-1　放空交易之驗證 27
3-4-2　機構投資人資訊優勢 30
四、結　　論 32
參考文獻 34
英文文獻 34

參考文獻

英文文獻
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13. Carhart, M. M. "On Persistence in Mutual Fund Performance". The Journal of Finance 52: 57–82. (1997).
14. Miller E. M., “Risk, Uncertainty, and Divergence of Opinion”. The Journal of Finance, Vol. 32, No. 4, pp. 1151-1168, (Sep., 1977).
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16. Rajgopal, S., and Venkatachalam M., “The role of institutional investors in corporate governance: an empirical investigation.” Working paper, University of Iowa. (1997).
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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2016-7-6

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