台灣股市股王決定因子之相關研究

THE STUDY ON THE DETERMINANTS OF TAIWAN KING STOCKS

陳昭錦(Chao-chin Chen)

指導教授 ： 王衍智

元智大學/管理學院/管理碩士在職專班/碩士(2012年)

摘要

隨著金融市場逐漸發達，台灣經濟迅速發展，股票市場更是眾所矚目的焦點，然而影響股價波動的因素眾多，投資大眾所能獲得的相關資訊極少，本研究試圖從各項財務報表比率找出股王的財務特徵以探討台股股王之決定因子。
本研究以台灣股票上市上櫃公司為研究對象，研究期間自1991年至2010年，首先以財務報表之傳統衡量指標「財務結構、償債能力、經營能力、獲利能力、研發密度」為研究變數，再以t檢定及皮爾森相關係數分析各項變項間的相關程度，進行資料之整理及分析，其實證結果如下：
一、股王組在資產報酬率、股東權益報酬率表現優於對照組
股王組因營運方面具有較大之優勢，投入資產後所能創造之經營成果較為豐碩，表示其運用資產並使其產生獲利的能力較強，因此股王組在資產報酬率之表現優於對照組；此外由於股王組具有較強之營運優勢，故其在股東權益報酬率之表現亦優於對照組，正因股王所能為股東創造之價值較高，因此增加了投資大眾以較高價格購買其股票之意願。
二、股王之應收帳款品質與對照組無明顯差異
應收帳款收現天數之長短，其影響因素往往受限於行業特性、經濟景氣，甚至供應廠商於該產業地位強勢與否等等所致。本研究結論顯示股王組在應收帳款收現天數方面相較於對照組，並無明顯差異。

關鍵字

股王 ； 資產報酬率 ； 股東權益報酬率 ； 應收帳款收現天數

並列摘要

With the progressive development of financial markets, Taiwan has rapid economic development and the stock market is the focus of public attention. However, there are many factors affecting the volatility of share price and the very little information is available to the investing public. The present study attempts to collate the financial characteristics of the best performing stocks according to the ratios of the various financial statements in order to investigate the deciding factors of the best performing stocks in Taiwan.
The present study aims at investigating the listed and OTC companies in Taiwan and the period determined for the study is from 1991 to 2010. Firstly, the traditional measure indicators in financial statements, including ‘financial structure, solvency, management ability, profitability, R & D intensity’, are taken as the variables of the study. Secondly, t-test and Pearson correlation coefficient are used to analyze the degree of correlation between variables. After the collations and analyses of the data, the empirical results are as follows:
1. The best performing stocks have better performance than the control group with respect to the return on assets and return on equity
Because the enterprises having the best performing stocks have larger advantages in the operational aspects, the results of operation they can produce after their investments in assets can become more abundant. It means they have stronger ability to apply their assets to produce more profits. Therefore, the best performing stocks have better performance than the control group with respect to the return on assets. Besides, because the enterprises having the best performing stocks have stronger operational advantages, they also have better performance than the control group with respect to the return on equity. It’s exactly the enterprises having the best performing stocks can create more profits for their shareholders, the investing public are more willing to buy their shares with higher prices.
2. No significant difference between the best performing stocks and the control group with respect to the performance of accounts receivable
As to the performance of accounts receivable turnover in days, it is usually affected by the industry characteristics, economic situations, and even the status of the suppliers of the industry in question. According to the results of the present study, it shows that these is no significant difference between the best performing stocks and the control group with respect to the performance of accounts receivable.

並列關鍵字

the best performing stocks ； return on assets ； return on equity ； accounts receivable turnover in days

參考文獻

6.黃漢崇(2006)，「台灣股市股王漲勢動能─以行為財務學理論架構分析」，臺灣大學財務金融研究所碩士論文。

4.章惠美(2005)，「股王-基本面時間數列分析」，元智大學會計學系碩士論文。

5.張景翔(2006)，「我國電子產業股王之研究」，國立中央大學，企業管理學系碩士在職專班碩士論文。

8.陳文民(2008)，「運用剩餘淨利模型評估87年~96年台灣股王之價值」，元智大學管理研究所碩士論文。

1.Grinblatt, Mark, and Bing Han. (2005), “Prospect Theory, Mental Accounting, and Momentum.” Journal of Financial Economics 78,pp.311-339.