財務金融研究

Essays in Finance

邱琦倫(Chyi-Lun Chiou)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/博士(2008年)

https://doi.org/10.6342/NTU.2008.00434

摘要

長久以來，財務經濟學對於股票報酬率是否存在可預測性一直存在爭議。與此同時，近年來股價異常波動的行為也吸引許多學者的關注。相較於報酬率的可預測性，文獻對於資產報酬的波動性具有較高的共識。依據傳統的資產訂價理論，高風險對應高報酬，由股價波動衡量資產報酬也是一種合理的評價方法。本篇研究主要的目的在於利用不同風險的概念，探討資產報酬的行為特性。除了系統性風險之外，本篇著重於非系統性風險（個別風險）的討論。我們將藉由兩個面相進行分析。首先，我們將以公司的獲利性出發，分析獲利性的變動如何影響資產的報酬。其次，我們將由公司的投資決策思考，分析投資的不確定性如何主導資產的價值與行為。前者的經濟直覺源於公司的價值由其獲利性主導。後者則主張公司的價值是由其擁有的資產決定。研究顯示，獲利性的波動與投資的不確定性在資產報酬行為上提供完全相反的訊息。
首先，在本文的第二章中，我們將利用報酬波動的訊息分析股票的預期報酬。依據Pástor and Veronesi (2003)所建立的評價模型之中，ROE（股東權益報酬率）的波動值與帳面市值比具有一個負向關係，同時該波動值也會影響資產的平均報酬與變異數。研究顯示，ROE波動值與未來股票報酬率呈現顯著的負相關。更重要的是，相較於每股盈餘或股利收益率等傳統預測因子，該相關性並不會因加入市值規模與帳面市值比等以價格為基礎的解釋變數而消失。依據Wei and Zhang (2006)的研究顯示，ROE波動值可以真實反映資產報酬波動的特性，尤其是個別風險的部分。因此，透過ROE波動值的訊息將有助於我們瞭解非系統性風險的評價問題。
接著，在本文的第三章中，我們將分析投資的不確定性如何影響報酬的行為。此篇結合投資與流動性風險的概念探討投資不確定性如何主導資產價值。投資不確定性一方面可以提高等候投資的價值，另一方面卻會因融資的限制而降低該價值。兩相權衡之下，公司必須選擇一個次佳點進行投資的動作。相較於其他投資與融資的研究，本篇主張在融資限制之下投資不會被迫放棄，而是可以選擇遞延。研究顯示，當投資不確定性愈高時，股票報酬也會愈高。

關鍵字

股票報酬可預測性 ； 個別風險 ； 獲利性 ； 學習效果 ； 投資不可逆性 ； 股東權益報酬波動值 ； 預期收益波動值

並列摘要

In asset pricing, it is well known that stock return and return volatility vary over time. Literature concerns issues abut whether stock returns are predictable and why stock returns are so volatile. Some literature focuses on the relationship between return and risk to examine how assets are priced. In particular, among these literatures systematic risks and idiosyncratic risks provide different explanations to stock returns. Examining the stock return behavior is critical in that asset allocation and hedge strategy are related to this evolution. The primary objective of this thesis is to investigate the stock return predictability base on firm level analysis. This thesis provides two different schemes in discussing this issue, including profitability base and investment base framework. The former states that the valuation of firm is from it profitability, while that latter asserts that the firm’s value is from assts that it holds. We investigate that return-on-equity and investment uncertainty govern the evolution of stock price in an opposite way. Overall, in addition to systematic risks we confirm that it is critical to analyze idiosyncratic risks in valuation.
The first part of this dissertation is to examine the stock return predictability through means of volatile volatility. Based on the work of Pástor and Veronesi (2003), we find that the book-to-market ratio and the price evolution, including average stock return and return volatility, are governed by the firms’ profitability. It is straightforward to analyze stock returns by discussing firm’s return-on-equity. Evidence shows that in addition to size and value effects, variation in return-on-equity has the predictability in stock returns. We further demonstrate that this connection may contribute to the equity cash flow perspective and the risk argument of book-to-market ratio.
The second part of my dissertation incorporates investment issue in examining stock return behavior. Although recent studies has successfully proved that the value effect results from corporate investment decision, the association between investment uncertainty and stock returns is rarely touched. With irreversibility of investment and learning-by-doing effect, we show that less investment uncertainty follows lower stock returns. If firms face financial constraint in expansion, more investment uncertainty may force them to make suboptimal investment decisions and have more systematic risks.

並列關鍵字

Stock return predictability ； Idiosyncratic risks ； Profitability ； Learning-by-doing ； Irreversibility ； Variation in return-on-equity ； Expected earning volatility

參考文獻

Anderson, Christopher W., and Luis Garcia-Feijóo, 2006, Empirical evidence on capital investment, growth options, and security returns, Journal of Finance 61, 171-194.

Ang, Andrew, and Jun Liu, 2004, How to discount cashflows with time-varying expected returns, Journal of Finance 59, 2745-2783.

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006, The cross-section of volatility and expected returns, Journal of Finance 61, 259-299.

Berk, Jonathan B., 1995, A critique of size-related anomalies, Review of Financial Studies 8, 275-286.

Berk, Jonathan B., Richard C. Green, and Vasant Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54, 1553-1607.