勞動密集度變動與公司報酬之關係-Fama-MacBeth迴歸法

Changes in Labor Intensity and Cross-Sectional Return -Fama-MacBeth Regression Approach

蘇倩瑩(Chien-Ying 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

本篇論文主要在探討勞動密集度的變動是否會影響長期公司的股票報酬?我們根據Fama-MacBeth迴歸法來看勞動密集度變動對於股票報酬的影響。在控制了以往文獻中所提及的定價因子，例如:公司大小、帳面市值比、動能效果、資產成長率、資產週轉率、資本投資、研發密集度、應計基礎、財務限制、勞動密集度和權益報酬率。我們研究發現，勞動密集度的變動對於公司未來長期股價報酬的影響是正向關係而且顯著。我們分別使用了最小平方法、市值加權最小平方法和對數後市值加權最小平方法來探討三種不同權重的效果。我們並且利用實證方法探討勞動密集度變動對於現在和過去的影響有何不同；並把勞動密集度變動的增加或減少分開來看分組後的個別效果。

關鍵字

勞動密集度變動 ； 股價報酬預測能力

並列摘要

We investigate whether changes in labor intensity have predicting power in the long-term future stock return. We find that the predictive ability is statistically significant after controlling for pricing factors mentioned in literatures, such as size, book-to-market ratio, momentum, asset growth, asset turnover, capital investment, R&D intensity, accruals, financial constraint, labor intensity and ROE using Fama-MacBeth regression. The relation between changes in labor intensity and stock return is significantly positive either in ordinary least squares, log-value weighted least squares and value-weighted least squares method. Furthermore, we also examine the impacts of changes in labor intensity before and after 1990, and find that the proposed effect is more pronounced after 1990s.

並列關鍵字

Changes in Labor Intensity ； Return Predictability

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