台灣上市公司的淨值市價比現象

The Book-to-Market Phenomenon in Taiwan

方智強(Chih-Chiang Fang) ； 姚明慶(Ming-Ching Yau)

《管理學報》 15卷3期 (1998/09) Pp. 367-391

https://doi.org/10.6504/JOM.1998.15.03.02

摘要

依照公司的淨值市價比的大小組成投資組合，常會發現淨值市價比與報酬率成正向關係，這現象稱為淨值市價比現象。這現象不但挑戰效率市場假說,也是理論(如CAPM)無法說明的謎。本文以台灣上市公司為樣本，探討淨值市價比之現象，結果顯示該現象在台灣也存在：淨值市價比是下依年報酬率的穩定領先指標。本文也發現Lakonishok, Shleifer, and Vishny (1994)的「逆勢操作」說，無法完全解釋台灣的淨值市價比現象。

關鍵字

淨值市價比 ； 報酬率 ； 逆勢操作

並列摘要

The book-to-market phenomenon refers to an empirical regularity that book-to-market ratio is positively associated with subsequent stock return. The phenomenon cont1icts with market etT1ciency and can not be explained by pricing models like the Capita1 Asset Pricing Model. This paper investigates whether the book-to-market phenomenon is present in Taiwan. Empirical results show that book-to-market ratio is a stable leading indicator of subsequent returns, thereby confining the existence of the phenomenon. However, the “contrarian view” of Lakonishok, Shleifer, and Vishny ( 1994) only partially accounts for the book-to-market phenomenon in Taiwan.

並列關鍵字

Book-to-Market Ratio ； Stock Returns ； Contrarian Strategies

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