超額盈餘折現評價模型於台股股票報酬之適用性 -以台灣 0050 ETF 之成分股為例

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姓名

王羿儒(Yi-Ru Wang) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

超額盈餘折現評價模型於台股股票報酬之適用性 -以台灣 0050 ETF 之成分股為例

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至系統瀏覽論文 (2028-7-20以後開放)

摘要(中)

本研究的目的在於檢驗以 Hou et al.(2012)的盈利預測模型，在預測台股股票報酬方面的有效性。本文使用 Hou et al.(2012)的盈利預測模型以及 Frankel and Lee(1998)提出的超額盈餘折現評價模型(Residual income model)，估計公司的基本價值(V)。我們發現公司的基本價值 V 與同期股價有高度的相關，並且 V/P 比率是長期橫斷面報酬的良好
預測指標。
在本研究實證的過程中，採用了 2012 年至 2019 年元大寶來台灣卓越 50 基金（元大台灣 0050）之成分股公司，並使用由 Hou et al.(2012)提出的盈利預測模型對超額盈餘折現評價模型進行操作，檢查其在預測元大台灣 0050 成分股之公司在收益方面的有效性。本篇使用由 Hou et al.(2012)提出之模型計算出盈利預測來代表市場對未來收益的預期，並使用由此產生的公司基本價值(Vf)來調查市場效率和橫斷面股票收益的可預測性等問題。我們使用此模型生成的盈利預測的估計，來預測公司基本價值，並發現其與同期股價有高度相關性。

摘要(英)

The purpose of this study is to examine the effectiveness of the profit prediction model by Hou et al. (2012) in predicting stock returns in the Taiwan stock market. This paper utilizes Hou et al.′s profit prediction model and the residual income model proposed by Frankel and Lee (1998) to estimate the intrinsic value (V) of companies. We found a strong correlation between the intrinsic value V of companies and their contemporaneous stock prices, and the V/P ratio is a good predictor of long-term cross-sectional returns.
In the empirical process of this study, we used the component stocks of Yuanta Taiwan Top 50 ETF (Yuanta Taiwan 50, ticker: 0050) from 2012 to 2019. We applied the profit
prediction model by Hou et al. (2012) to operate the residual income model and examined its effectiveness in predicting the returns of the constituent stocks of Yuanta Taiwan 50. The profit predictions calculated by the model proposed by Hou et al. (2012) were used to represent
the market′s expectations of future earnings, and the resulting intrinsic value (Vf) of the companies was used to investigate market efficiency and the predictability of cross-sectional stock returns. We found a strong correlation between the estimated profit predictions generated by this model and the contemporaneous stock prices in predicting the intrinsic value of companies.

關鍵字(中)

★ 超額盈餘折現評價模型
★ 公司基本價值

關鍵字(英)

★ Residual Income Valuation Model
★ intrinsic value of companies

論文目次

中文摘要 I
Abstract II
誌謝 III
目錄 IV
表目錄 V
圖目錄 V
一、緒論 1
1-1研究背景與動機 1
1-2研究目的 1
二、文獻探討 3
三、研究設計 5
3-1模型建立 5
3-2模型估計程序 9
3-3研究樣本描述與來源 11
3-4選樣過程與敘述性統計 12
四、實證結果與分析 16
4-1與股票價格的相關性 16
4-2與未來報酬的相關性 17
五、結論與建議 23
5-1研究結論 23
5-2研究限制與建議 23
參考文獻 24

參考文獻

一、中文部分
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2. 林佩儒(2018) 剩餘利益評價模型於台股橫斷面股票適用性延伸研究，成功大學財務金融研究所在職專班碩士論文。
3. 郭貞吟(2010) 剩餘所得適用於股票評價嗎?－台股的實證研究。全球商業經營管理學報第二期，頁 55-64。

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指導教授

曹壽民(Shou-Min Tsao)

審核日期

2023-7-20

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