資產成長對台灣上市櫃股票報酬之影響探討

The effect of asset growth on stock return of Taiwan firms

郭品劭(Pin-Shao Kuo)

指導教授 ： 楊朝成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.00096

摘要

探討資本資產訂價模式(CAPM)所無法解釋的報酬型態的異象一向是財務研究中重要的主題，而許多先前的研究也提供了能解釋股票市場報酬的因子，這類型研究的重要性在於對股票投資以及上市公司的理財於應用面都有實質意涵。本研究的目的即是以實證研究探討「資產成長」這個最得以代表公司整體成長的因子解釋台灣股票報酬的能力。

本研究利用1995年至2008年台灣上市公司的財報及股價資訊來探討「資產成長」對於股票報酬的影響，我們把「資產成長」和過去文獻中提出的因子如「市值」、「淨值市價比」、「動能」和其他與公司成長率相關的變數並列在一起比較，來檢視「資產成長」是否比其他因子更具解釋台灣股票報酬的能力。而「資產成長」進一步依據資產負債表的左邊和右邊分別拆解成多個部份的投資成長和融資成長，以了解這些細部的資產成長因子對於股票報酬的解釋能力與是否具有一致性的影響。

實證結果指出資產成長的公司後續其股票有顯著的負報酬，但是「資產成長」解釋台灣股票報酬的能力卻不如「淨值市價比」和「動能」；把其他與公司成長率相關的變數考量進去後，「資產成長」對股票報酬的負向影響也減弱了。此外，不同的細部資產成長因子對於股票報酬的影響並非一致性的負報酬，顯示為何「資產成長」無法成為解釋台灣股票市場報酬的最佳因子。

關鍵字

股票報酬 ； 資產成長

並列摘要

Numerous past researches have been focused on average stock returns that are not explained by the Capital Asset Pricing Model (CAPM) as they provided what variables explain the cross-section of stock returns. This topic is important in that it has great implication on equity investment and corporate finance. The subject of this study is an empirical investigation of introducing a fairly new measure, asset growth, into explaining the cross-section of stock returns in Taiwan.

This study uses financial data of Taiwan listed firms from 1995 through 2008 to examine asset growth together with the previously documented determinants and growth-rate related variables of the cross-sectional returns. Asset growth is then decomposed in terms of investment and financing components respectively, in order to find out whether growth in the various subcomponents of asset growth uniformly shows a negative return effect and which component exhibits the strongest effect.

The empirical results support asset growth does follow by negative returns, but the ability to explain cross-sectional stock return is weaker than book-to-market equity and momentum. When considering asset growth with other growth-rate related variables, the effect of asset growth on negative return is weakened to accruals. The results for asset decomposition indicate various subcomponents of asset growth don’t uniformly exhibits a negative return effect, thus demonstrating why asset growth is not the best determinant in explaining cross-sectional returns in Taiwan.

並列關鍵字

Stock return ； Asset growth

參考文獻

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