好公司是否為好股票？-以天下雜誌「標竿企業」進行研究

Are Good Companies Also Good Investments？

周芳儀(Fang-Yi Chou)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.00183

摘要

本研究採用天下雜誌於1994~2005年所舉辦的11次「標竿企業聲望調查」之結果，分別從短期與長期的角度探究公司表現與股票報酬及成交量間的關係，據以回答「好公司是否為好股票」這個向來頗具爭議的問題。
短期方面，本研究檢驗天下公佈前後10日的股票報酬及成交量，發現公佈前1~3天出現顯著的異常成交量，天下的調查確實對投資人發揮宣告效果，但「標竿企業」股價在事件期僅有零星幾波微幅上漲，投資人藉由天下公佈進行短期投機炒作，獲利空間有限。
長期方面，本研究藉由不同的迴歸設計，發現「標竿企業」有入圍的年報酬低於未入圍的年報酬，在大多數的產業，「標竿企業」的報酬和成交量都比同業來得低;另外，本研究亦觀察「標竿企業」於天下公佈前後20週的超額報酬及成交量，發現公司入圍後股票報酬會變差，表現好的公司在公佈前後20週報酬都不如表現差的公司，成交量則沒有顯著的結果;最後，本研究驗證以「標竿企業」建立各種投資組合買進並持有47週的獲利情形，發現買表現差的公司才能獲利，經由上述的驗證，本研究的結論是「好公司不是好股票」，支持行為財務學者所提出的投資人因為過度樂觀而高估公司股價，公司表現因均數反轉使投資人期待落空，造成買好公司股票報酬不如預期，至於行為財務學者認為的投資人因為代表性偏誤與避免後悔而偏好購買好公司股票，本研究僅能藉好公司成交量不如同業確定「投資人不青睞好公司股票」，其餘部分則礙於無法獲得顯著的實證結果，不便表達意見。

關鍵字

標竿企業聲望調查 ； 宣告效果 ； 過度樂觀 ； 均數反轉 ； 代表性偏誤 ； 避免後悔

並列摘要

This research uses the results of eleven surveys of Taiwan’s most admired firms conducted annually by 天下 magazine during the time period 1994-2005. By analyzing both the short-term and long-term performances of these companies and how they are related with the firms’ stock returns and trading volumes, I hope to answer the controversial question that has left investors wondering, “ Whether a good company’s stock is really worth investing ? ”.
By examining the stock returns and trading volumes ten days before and after the survey is released, this paper finds that, in the short-run, abnormal trading volume can be observed one to three days before the survey is released and that the survey does have an announcement effect on investors. However, the stock prices of these benchmark companies seldom go up before an event, therefore the potential profit from trading using the survey results is limited.
Using different regression designs, this paper finds that, in the long-run, the stock returns and trading volumes of companies nominated for benchmark companies are both lower than those of comparable companies. In addition, by examining the stock returns and trading volumes twenty weeks before and after the release of the survey, this survey finds that the stock return of a company worsens after being nominated. Company performance does not have any significant effects on trading volume. Lastly, this paper looks at different investment portfolios consisting of these benchmark companies and their performances in a 47-week time span and finds that investors can profit from buying stocks of companies that are not performing very well. Based on the above-mentioned analysis, this paper concludes that a good company’s stock may not be worth investing, which supports the views of behavioral finance scholars’ and researchers’ that investors often overestimate the stock price of a company because they are overly optimistic. Due to mean reversion, the stock returns of these companies are often not what the investors were expecting. A possible explanation of this finding is that investors adopt representative bias and regret aversion when making their investment decisions. This paper proves that a good company’s stock is not worth investing by comparing the trading volumes of these companies with other companies in the same sectors. Other parts of this research may need further research due to the fact that the results are not statistically significant.

並列關鍵字

surveys of Taiwan’s most admired firms ； announcement effect ； overly optimistic ； mean reversion ； representative bias ； regret aversion

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