未實現損益對上市金融控股公司股價淨值比之實證研究

本文主要在探討臺灣上市15家上市金融控股公司於財報上之未實現損益與公司之股價淨值比(Price-to-Book Ratio)之相關性，並加入其他可能影響股價淨值比之解釋變數。研究樣本為臺灣2011年第1季至2020年第4季15家上市金融控股公司之資料，使用追蹤資料模型(Panel Data Model)中的固定效果模型(Fixed Effect Model)來實證影響公司股價淨值比之因素。本研究之預期假說為:(1)預期市場視未實現損益為非長期獲利，與股價淨值比應呈現負向相關(2)利息收入具一定風險並且無法長期帶來獲利，應與股價淨值比呈負向相關(3)公司之投資性不動產比例越高，其資金流動性較其他投資標的低，與股價淨值比應呈負向相關。(4)大規模公司可運用資源較多，且資訊較為透明，公司規模應與股價淨值比呈正面相關。(5)預期公股金控營運改變彈性低，可能使市場評價下降，應與股價淨值比呈現負向相關。本研究實證結果為:(1)未實現損益與股價淨值比呈顯著負向相關，顯示市場將未實現損益視為短期獲利，未能使公司長期獲利增加。(2)利息收入與股價淨值比呈顯著負向相關，表示市場將利息收入視為風險較大收入，使得利息收入越高，市場評價公司之股價淨值比越低。(3)投資性不動產比例與股價淨值比呈顯著負向相關，投資性不動產比例上升時，公司投資資金流動性可能較差，導致市場會給予公司較低之評價。(4)金控之公司規模與股價淨值比呈現顯著正向相關，顯示公司規模可能影響市場對公司之評價。(5)公民營別與股價淨值比並無顯著關係，顯示股價淨值比並不會因公民營別而有顯著差異。

關鍵字

股價淨值比；未實現損益；追蹤資料；固定效果模型

並列摘要

This paper examines the market-to-book ratios for 15 financial holding companies in Taiwan from January 31, 2011 through December 31, 2020. The article relates the market-to-book ratio to unrealized gain or loss and several fundamental variables. We use panel data model to investigate the determinants of market-to-book ratios for 15 financial holding companies. The resultant hypotheses to be tested in this paper are as follows: (1)A financial holding company’s market-to-book ratio is negatively associated with unrealized gain or loss. (2) A financial holding company’s market-to-book ratio is negatively associated with interest income to total asset. (3) A financial holding company’s market-to-book ratio is negatively associated with investment property to total asset. (4) A financial holding company’s market-to-book ratio is positively associated with company size. (5) A financial holding company’s market-to-book ratio is negatively associated with public or private financial holding company dummy variable. The results of this study show that financial holding companies who got more unrealized gain or loss have lower market-to-book ratio. In addition, higher interest income to total asset, higher investment property to total asset, and lower total asset relate to lower market-to-book ratio, and market-to-book ratio is not significant associated with public or private financial holding company dummy variable.