- 學位論文
保留盈餘、投入資本與淨值對股價有影響能力嗎？
Do retained earnings, contributed capital and book value have an impact on stock prices?
摘要
本研究使用2011年10月至2021年9月之台灣上市櫃公司之普通股股票為研究樣本，探討台灣市場是否存在淨值市價比、保留盈餘市價比、投入資本市價比與股價報酬是否呈顯著相關，及公司規模、毛利潤佔總資產比率、營運獲利能力佔總資產比率、現金基礎之營運獲利能力佔總資產比率、總資產成長率及應計項目佔總資產比率與股票報酬間之關係。本研究依報酬率排序分為十個投資組合，以檢定各組合間之報酬率與淨值市價比、保留盈餘市價比、投入資本市價比間是否存在顯著差異，接續透過Panel Data分析淨值市價比、保留盈餘市價比、投入資本市價比與其他財務指標對股價報酬之影響，並與股價報酬呈顯著相關的變數作為建立投資策略的依據。 結果顯示，傳統以淨值市價比做為投資策略會成功的主因為其包含了保留盈餘市價比，且使用縱橫資料分析後發現淨值市價比、保留盈餘市價比、現金基礎之營運獲利能力佔總資產比率與股價報酬間呈顯著正相關，表示這三個變數為股價報酬率之重要決定變數，利用這三個變數建構投資組合後，其結果發現市值加權之投資組合報酬率優於均等權重之報酬率，且又以持有期為五年之投資報酬率最佳，因此本研究認為投資人可以將淨值市價比、保留盈餘市價比、現金基礎之營運獲利能力佔總資產比率作為投資決策之參考，且相較於短期持有，買進持有五年能獲得更高的報酬。
並列摘要
This study uses Taiwan listed companies from October 1st, 2011 to September 30th, 2021 as the main sample. According to stock returns, it is divided into ten portfolios from small to large to construct the investment strategy, and use panel data as the empirical method to examine the relationship between stock returns and book-to-market ratio, contributed capital-to-market ratio, retained earnings-to-market. The result show that book-to-market strategies work because the retained earnings component of the book value. Moreover, according to panel data, book-to-market, retained earnings-to-market and cash-based operating profitability are positive and significant for the stock returns, that is, these three variables are important determinants of stock returns. The result also shows that, after using these three variables to construct an investment portfolio, the performance of the capitalization-weighted portfolio is better than equal weight portfolio, and the portfolio holding for five years has the best returns.