盈餘、股利與股票預期報酬之橫斷面分析

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鄭燕茹(Yen-Ru Cheng) 查詢紙本館藏

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企業管理學系

論文名稱

盈餘、股利與股票預期報酬之橫斷面分析
(The Cross-Sectional Analysis of Earnings, Dividends, and Expected Stock Returns)

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摘要(中)

Fama and French (1992)研究影響美國股票平均報酬率的因素，歸納出公司規模(SIZE)與帳面市值比(BE/ME)兩項因素能有效解釋橫斷面個別公司股票平均報酬率的變異情形，此舉推翻了60年代以來在學術界及實務界蔚為熱潮的資本資產訂價模型(Capital Asset Pricing Model, CAPM)。Lamont (1998)發現股利收益率(dividend yield, D/P ratio)及股利發放率(dividend payout ratio, D/E ratio)有助於預測縱斷面股票平均報酬率的變化情況，但這兩項因素對橫斷面股票平均報酬率的解釋能力為何卻不得而知。本論文即欲利用Fama and French (1992)橫斷面的研究方法，針對1984年至2002年美國股票市場，重新探討公司規模、帳面市值比、益本比、股利收益率及股利發放率等五項解釋變數對橫斷面股票平均報酬率的解釋能力，並藉此對基金經理人提出策略建議。
此外，Fama and French (1988)及Lettau and Ludvigson (2001)提出投資期間長短有可能會影響因子對股票平均報酬率的解釋能力，因此本論文另外一個重點在於探討就橫斷面資料與本文所選取的研究區間而言，解釋變數的解釋能力是否會因投資期間不同而有消長現象。
本論文研究結果顯示，就短期投資期間而言，益本比與帳面市值比分別為最佳與次佳的解釋變數，其餘三項變數於短期並不具解釋能力；投資期間延長對因子解釋能力改善的程度不一，益本比、帳面市值比與股利收益率均隨投資期間延長而解釋能力越佳，而公司規模與股利發放率的效果則不因投資期間長短而有所變化。

摘要(英)

Fama and French (1992) studied the factors that affect the average returns of American stocks. They found that the corporate size and book equity to market equity ratio can effectively account for the cross-sectional variations of the average returns of individual stocks. This outcome basically rejects the capital asset pricing model, which was well accepted by academics and practitioners since 1960s. Lamont (1998) found that the dividend yield and the dividend payout ratio can be used to forecast the time series variations of the average stock returns. However, whether these two factors are able to explain the cross-sectional variations of the average stock returns remains to be unknown. The purpose of this thesis is to adopt the cross-sectional research methods in Fama and French (1992) to reexamine how the following five factors: the corporate size, book equity to market equity ratio, earnings-price ratio, dividend yield, and dividend payout ratio, account for the cross-sectional variations of the average returns of the American stocks from 1984 to 2002.
In addition, Fama and French (1988) and Lettau and Ludvigson (2001) suggest that the length of the investment period is likely to influence how dividend yield can account for the average stock returns. Therefore, the other goal of this thesis is to study whether the explanatory variables will have different cross-sectional effects due to different investment periods.
The outcome of this thesis indicates that the earnings-price ratio and the book equity to market equity ratio are the first best and the second best explanatory variables, respectively. The other three variables lack the explanatory ability in the short-term investment period. When the investment period is lengthened, the explanatory ability of different variables differs. The earnings-price ratio, book equity to market equity ratio, and dividend yield have better explanatory ability as the investment period is lengthened; while the explanatory ability of the corporate size and dividend payout ratio remain the same for different investment periods.

關鍵字(中)

★ 帳面市值比
★ 益本比
★ 股利收益率
★ 股利發放率
★ 公司規模
★ 特徵因子

關鍵字(英)

★ earning yield
★ dividend yield
★ earnings-price ratio
★ dividend payout ratio
★ book equity to market equity ratio
★ character factor
★ market value
★ size

論文目次

摘要 I
ABSTRACT II
誌謝 IV
目錄 V
圖表目錄 VII
第一章緒論 1
第一節研究動機與目的 1
第二節研究方法 2
第三節重要結論 4
第二章文獻回顧 5
第一節傳統CAPM理論 5
第二節異常現象(ANOMALIES)與FAMA-FRENCH三因子模型 5
第三節三因子模型延伸之研究 7
第四節股利之理論基礎 8
第五節股利收益率對報酬的影響 10
第六節益本比對報酬的影響 11
第三章研究方法 13
第一節投資組合平均報酬率分析 13
第二節迴歸分析 13
第三節長期報酬率分析 17
第四章資料來源與處理 19
第一節資料處理 19
第二節 β之估計 20
第三節實證樣本資料概述 21
第五章實證研究 23
第一節 β值 23
第二節不同投資組合之平均每月報酬率 24
第三節迴歸分析 29
第六章結論與建議 36
參考文獻 38
附錄 41

參考文獻

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指導教授

許秉瑜、徐之強
(Ping-Yu Hsu、Chih-Chiang Hsu)

審核日期

2004-7-14

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