- 學位論文
利用專利預測提昇中國大陸投資績效
Using Patent Prediction to Improve Investment Performance in China
摘要
專利是科技創新的成果，專利的質量均衡發展，對經濟的穩健成長扮演重要角色。中國大陸是全球第二大經濟體，上市公司總市值全球第二，專利數量全球第一，過去十年來，國內生產總值與專利申請量常年呈現大幅增長的態勢，本研究針對2016年至2018年的中國大陸全市場及其中四個市場板塊的A股上市公司，包括上海主板、深圳主板、創業板與中小板，以中國大陸有效專利指標為基礎，藉由格蘭傑因果檢定及時間序列迴歸，探討對股價、股價淨值比(PB)、本益比(PE)、股東權益報酬率(ROE)、資產報酬率(ROA)、每股淨資產(BPS)、每股盈餘(EPS)等財務指標，具有領先性的專利領先指標、專利預測方程式、以及基於專利選股的股票組合。研究發現，具有持續專利產出的公司相比沒有專利持續產出的公司，具有較佳的股市表現；專利領先指標對於股價、PB、PE、ROE、ROA、BPS、EPS等都具有顯著性；同時，基於PB預測年增率、PB預測年增率、ROE預測值、ROA預測值、BPS預測值、EPS預測值所建構的股票組合，即使在中美貿易衝突造成總體經濟下滑的情況，投資績效仍然優於股市大盤表現。本研究提出的方法，不僅在中國大陸股市的全市場A股適用，同時也適用於上海主板、深圳主板、創業板及中小板等各市場板塊。
並列摘要
Patent, a legal representation of innovation achievement, is strongly meaningful for almost every country’s economy growth and technology development. China, the world No.2 stock market, is the world largest patent application country. In this study, 2,197 China listed companies of RMB common stocks (A-shares) listed in Shanghai main board, Shenzhen main board, GE board , and SME board from 2016 to 2018 were observed. The patent leading indicators and patent prediction equations for predicting the financial indicators including the stock price, the price-to-book ratio (PB), the price-to-earnings ratio (PE), the return-on-equity (ROE), the return-on-assets (ROA), the book-value-per-share (BPS), the earnings-per-share (EPS) were established via Granger causality test and the time series regression. The stock performance of investment portfolios based on the predictive financial indicators were discussed. It was found that the stock portfolios constructed by any one of the the higher predictive stock price growth rate, the higher predictive PE growth rate, the higher predictive PB growth rate, the higher predictive ROE, the higher predictive ROA, the higher predictive BPS, and the higher predictive EPS, had outstanding stock performance than the market trend even when the economic environment fluctuated to decline by the China-US Trade conflict.