總體經濟與財務因素對股票報酬之影響-以台灣上市電子股為例

The Impact of Macroeconomic and Financial Elements on Stock Return - Taiwan Electronic Industry

李佳璜(Chia-Huang Lee)

指導教授 ： 洪玉舜

淡江大學/管理學院/會計學系碩士在職專班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.01105

摘要

本研究主要從基本分析的觀點出發，驗證財務因素、總體經濟指標對於股票報酬是否具有一定程度之解釋能力，且探討總體變數對股票報酬有無結構差異之影響。研究對象為民國90 年至95 年之台灣上市電子公司，研究結果歸納如下：
一、利用因素分析法將18 項財務比率，萃取出五個因素(獲利能力指標、
償債能力指標、經營能力指標、現金流量指標、財務結構指標) 。
二、獲利能力指標、償債能力指標皆達到顯著水準，其中獲利能力指標解釋能力最強，且呈現正相關。
三、總體經濟指標方面，以半導體接單出貨比、貨幣供給額 M1B、工業及服務業每人每月加班工時、製造業存貨量指數這四個總體經濟變數達到顯著水準，且都是景氣領先指標，但經實證結果顯示，半導體接單出貨比之實證結果與預期不符，與股票年報酬率呈現負相關，表示有其他非經濟的因素影響股票報酬。

關鍵字

股票報酬 ； 總體經濟指標 ； 財務比率 ； 因素分析

並列摘要

This research was conducted from the basic analysis to investigate whether finance factors and overall economic indicators exhibit certain explanation ability for stock return. Also it discussed whether overall economic indicators exhibited any influence on the structure differences of the stock return. The subjects of the current study were the IPO electronic companies in Taiwan from 2001 to 2006. The results were as follows:
1.Five factors were categorized from the 18 financial ratios by means of the factor analysis method.
2.The profit ability indicator and the payoff ability indicator exhibited significant relevance. The profit ability indicator showed positive correlation, most explanatory of stock return.
3.Among the overall economic indicators, four variables achieved significance, including the SEMI-conductor book-to-bill ratio, real monetary aggregates M1B, average monthly overtime hours in industry and services, and index of producer's inventory. They were also the leading indicators Yet the findings reported a negative correlation between the SEMI-conductor book-to-bill ratio and the stock return, which was contradictory to the anticipation. This indicated other non-economical factors might have influence on stock return.

並列關鍵字

stock return ； overall economic indicators ； financial ratio ； factor analysis

參考文獻

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