價值股與成長股之美國實證再檢視：市場錯價與長期成長機會

Revisiting Value and Growth Stocks in the U.S.: Market Mispricing and Long-Term Growth Opportunity

吳瑞萱(Ruei-Shian Wu) ； 林岳祥(Yueh-hsiang Lin) ； 徐福慶(Fu-Ching Hsu)

《證券市場發展季刊》 行為財務學特別專刊 (2019/05) Pp. 293-336

https://doi.org/10.6529/RSFM.201905/SP.0008

摘要

過去文獻發現價值型投資策略長期下可產生較佳的投資報酬率，而風險因子僅能部分解釋此異常報酬，因此價值股長期投資績效優於成長股成為資本市場異常現象（anomaly）之一。本研究檢視價值股與成長股的報酬來源，將報酬來源分為股利收益利得與資本利得，進一步檢視資本利得中，市價淨值比之變動為市場錯價抑或是長期成長機會所造成。本研究參照Rhodes-Kropf, Robinson, and Viswanathan（2005）對企業真實價值的估計方法，將市價淨值比中，屬於市價偏離公司長期真實價值的部分獨立出，此偏誤為市場對公司之總錯價，剩餘的部分為公司長期的成長機會。總錯價又可再細分為公司特性錯價以及產業錯價。前者為市場定價偏離公司短期產業定價之程度，後者為公司短期產業定價偏離公司長期產業定價之程度。實證結果發現，成長股相較於價值股有較高的錯價，且在無發放股利之價值股投資組合中，總錯價程度最低，異常報酬最高；無發放股利之成長股投資組合中，總錯價程度最高，而低股利之成長股投資組合中，異常報酬最低。同時考量規模與市價淨值比時，大公司成長股的總錯價程度最高，而小公司價值股的總錯價程度最低，且錯價越高的投資組合異常報酬越低；大公司價值股的長期成長機會最低，而小公司價值股的長期成長機會最高，且長期成長機會越高的投資組合將會有越高的異常報酬。透過市場錯價與長期成長機會的分析，本研究合理解釋價值股長期投資績效優於成長股之實證結果。

關鍵字

價值股 ； 成長股 ； 市場錯價 ； 公司特性錯價 ； 產業錯價

並列摘要

Prior literature documents the profitability of investing in value stocks relative to growth stocks. However, the superior returns in value stocks are only partially due to providing compensation for higher risks, and thus they become an anomaly in the capital market. This study investigates two sources of returns for value stocks and growth stocks, dividend gains and capital gains, and examines whether the change in market-to-book ratios due to capital gains is driven by market mispricing and/or long-term growth opportunities. We follow Rhodes-Kropf, Robinson, and Viswanathan (2005) to estimate the true value of a firm and decompose market-to-book ratios into firm-specific errors, sector errors, and long-term growth opportunities. Our results show that growth stocks are highly mispriced when compared with value stocks: Value stocks with no dividend gains have minimal or low misprising and generate the highest abnormal returns while growth stocks with no dividend gains are highly mispriced and generate the lowest abnormal returns. When the portfolios are sorted by size and market-to-book ratio, high-growth stocks are mispriced the greatest while small-value stocks are mispriced least. We further find that the greater the stocks are mispriced, the lower their abnormal returns, and that large-value stocks have less long-term growth opportunities and lower abnormal returns than small-value stocks do. Our study reasonably explains the outperformance investments in value stocks relative to growth stocks by analyzing market mispricing and long-term growth opportunities of these two portfolios.

並列關鍵字

Value Stock ； Growth Stock ； Market Mispricing ； Firm-Specific Error ； Sector Error

參考文獻

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