- 學位論文
股票報酬與盈餘市價比、淨值市價比、營收市價比之關係
Relationships between Stock Returns and Earnings to Price, Book to Price, and Sales to Price
摘要
本論文研討台灣股票市場是否存在股票報酬與盈餘市價比、淨值市價比、營收市價比之間的相關性。利用2002年1月到2021年12月間，在臺灣證券交易所上市或中華民國證券櫃檯買賣中心上櫃之普通股股票為研究樣本，在每月底，分別依照盈餘市價比、淨值市價比、營收市價比等三種變數，由小至大平均分為五個投資組合建構投資策略，進一步檢定組合間的平均報酬是否具有顯著差異，之後使用因子模式及橫斷面分析，檢定是否存在盈餘市價比、淨值市價比與營收市價比等效應。 研究結果呈現台灣股票市場存在顯著之盈餘市價比、淨值市價比和營收市價比等效應，即平均報酬與三個變數皆存在顯著正向的關係，這些效應在控制公司特性和風險因子下，仍持續存在。因此，投資人可透過高盈餘市價比、高淨值市價比及高營收市價比形成適當投資組合，以獲得顯著的超額報酬。
並列摘要
This study explores whether exist there are relationships between stock returns and earnings to price, book to price, and sales to price in the Taiwan stock market. This paper uses common stocks listed on the Taiwan Stock Exchange or listed on the Taipei Stock Exchange from January 2002 to December 2021 as the research sample. According to earnings to price, book to price, and sales to price at end of the month, it is divided into five portfolios from small to large to construct investment strategies. This study tests whether there are significant differences in average returns among portfolio. Then, factor models and cross-sectional analysis are used to test whether there are earnings to price, book to price, and sales to price effects. The results show that there are significant earnings to price, book to price, and sales to price effects in the Taiwan stock market, that is, there are significant positive relationships between average return and earnings to price, book to price, or sales to price. Three effects persist when controlling for firm characteristics and risk factors. Therefore, investors can form an appropriate investment portfolio through high earnings to price, high book to price, and high sales to price to obtain significant excess returns.