投資機會、波動度與外資持股對報酬之研究

Volatility and Foreign Investment Impact Stock Returns with Investment Opportunities

林鈺珊(Yu-Shan Lin)

指導教授 ： 邱建良

共同指導教授 ： 李彥賢(Yen-Hsien Lee)

淡江大學/商管學院/財務金融學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00981

摘要

本篇假設投資機會影響波動度(外資持股)對股票報酬的關係等同擁有實質選擇權之公司對波動度(外資持股)的敏感度。先用Fama-MacBeth橫斷面分析法找出波動度及報酬的關係(不含投資機會)，第二步假設公司規模、年齡、R&D及未來銷售成長代表公司的投資機會，加入探討台灣股票市場中這些具投資機會的公司報酬是否受公司波動度(外資持股)影響。資料期間為1990年1月4日至2013年10月31日，股票日報酬資料樣本數約2百多萬筆，外資持股月資料樣本數約14萬筆，投資機會變數與無風險利率為月資料共約17萬筆。
實證結果發現台灣股票市場單一公司波動度與報酬呈正相關。加入投資機會變數發現，公司規模、公司年齡及未來銷售成長會使波動度對報酬的敏感度變化大。另外，結果也指出台灣市場受外資影響程度大且外資持股與報酬同樣呈正相關。公司規模、研發強度、未來銷售成長及盈餘彈性會使外資持股對報酬的敏感度變化大。簡言之，投資機會的確會讓波動度或外資持股對報酬的關係改變。

關鍵字

實質選擇權法 ； 外資持股 ； 波動度 ； 報酬

並列摘要

This study examines that volatility and foreign holding shares affect stock returns with investment opportunities (Book assets, age, R&D expenditures and future sales growth) in Taiwan stock market from 1990/01/04 to 2013/10/31. The results point out the volatility-return relation (foreign holding shares-return relation) in Taiwan stock market is highly positive. Adding proxies for investment opportunities represent the firm value, it shows that the volatility-return (foreign holding shares-return) relation is sensitive to firm size, firm age and future sales growth (firm size, R&D intensity, future sales growth and earnings flexibility). That is, a firm with large investment opportunities is highly sensitive to volatility and foreign holding shares.

並列關鍵字

Real Options Hypothesis ； Foreign Holding Shares ； Volatility ； Return

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