股票波動度、風險與勞動密集度變化之關係

Stock Volatility and Risk Associated with Changes in Labor Intensity

蘇家萱(Chia-Hsuan Su)

指導教授 ： 王衍智

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2012年)

摘要

在過去的研究中，較少論文研究勞動力的投入在公司評價扮演的角色。這些提及勞動力在公司評價扮演角色的論文中討論了公司市場價值與淨勞動雇用、淨勞動雇用成長的關係。由於勞動投入在公司的變動成本中占有很大的部分，勞動投入的變化可能可捕捉公司變動成本改變的過程，勞動投入的變化亦可能捕捉到公司人力資本與智力資本調整的過程的資訊，因此在我們的論文中，我們討論勞動投入的變化與公司市場價值的關係，蘇倩瑩 (2012) 與徐家卉 (2012)的研究發現勞動密集度變化有股票報酬預測能力。這篇論文，我們試圖研究是否勞動密集度變化的股票報酬預測能力因風險所導致。我們的研究發現，勞動密集度變化的股票預測能力不是因總風險或系統性風險所致，我們也研究投資組合的股價波動度與Fama-MacBeth 迴歸中勞動密集度變化係數的追蹤平均值，結果同樣指出勞動密集度變化的股票報酬預測能力並不是因風險所導致。

關鍵字

勞動密集度變化 ； 股價報酬預測能力 ； 股價報酬波動度 ； 風險

並列摘要

There are few papers investigate the role of labor input in firms’ valuation. Most of these papers discuss the relationship between net hiring, net hiring growth and firms’ market value. We study the process of changes in labor input, because the changes in labor input could capture the firms’ variable cost and part of information about human capital contributions and intellectual capital adjusting process. While Hsu (2012) and Su (2012) argue that changes in labor intensity have return predictability, in this paper, we investigate whether the return predictability is driven by risk. We find that there are no relationship between systematic risk and the abnormal returns across the changes in labor intensity quintiles. We also examine the hedge portfolio’s return volatility and trailing average slope coefficient for changes in labor intensity, the results still tell us there are no evidence of the return predictability for changes in labor intensity may driven by risk.

並列關鍵字

Changes in Labor Intensity ； Return Predictability ； Return Volatility ； Risk

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