高登股利成長模式適用於台灣證劵市場之探討

Gordon Dividend Growth Model：An Empirical Study on Taiwan Stocks Market

陳柏慈(Po-Tzu Chen)

指導教授 ： 洪全成

長榮大學/管理學院/經營管理研究所/碩士(2011年)

https://doi.org/10.6833/CJCU.2011.00145

摘要

股利固定成長模式，亦稱高登模式（Dividend Constant Growth Model, Gordon Model），為股票評價之重要方法之一。該模型為美國學者Myron J. Gordon於西元1959提出。本模型假設為公司每年皆有發放股利且公司持續成長的情況下，得用以做為普通股股價之檢測。高登模式的研究背景是以美國證劵市場為主，但是否適用於台灣目前之證劵市場規模及型態，是值得探討的問題。其中包括投資人必要報酬率的選擇、本模型之股利成長率之計算方式、樣本區間長短、及對於不同產業間之適用程度等問題皆尚無定論。
本研究以民國89年至98年十年間台灣上市上櫃公司為樣本，首先以台灣積體電路公司為指標性公司，來探討樣本期間長短適用高登模式之差異性，並推論股利成長率及無風險報酬率之最佳計算方式。再以三階段方式探討高登模式適用於台灣證劵市場不同產業間之差異。第一階段的分析，以台積電實證之結果，對完全適合篩選指標的公司依產業別加以檢測，觀察是否適用於各產業，並比較產業間適用之程度。第二階段的分析，使用台積電實證之結果，將樣本期間內上市上櫃且有正常發放股利之公司加入，來檢視擴增樣本量後對結果產生之影響。第三階段的分析，則以各種不同的股利成長率及無風險報酬率交叉分析，嘗試找出不同樣本區間長短下各產業最合適之方法。
本研究實證發現：
1.以台灣積體電路公司為指標公司時，樣本期間越長，越適合以高登模式來評定其公司之合理股價；而股利成長率則以採用逐年平均法來評定其公司之合理股價較為準確；無風險報酬率採用活期郵政儲匯利率較為準確。
2.第一階段測試的結果發現：當股利成長率採逐年平均法、無風險報酬率採活期郵政儲匯利率時，則僅有貿易百貨業呈現顯著正相關。第二階段擴增樣本後發現：在股利成長率採逐年平均法下、無風險報酬率為活期郵政儲匯利率時，則電子、貿易百貨及生技醫療產業呈現顯著正相關；無風險報酬率為5年或10年公債殖利率時，生技醫療產業呈現顯著正相關；無風險報酬率為20年公債殖利率時，貿易百貨業呈現顯著正相關。第三階段以各種不同股利成長率及無風險報酬率交叉分析後發現：當股利成長率採五年平均法時、各種無風險報酬率下，橡膠產業皆呈現顯著正相關；無風險報酬率為活期郵政儲匯利率時，食品產業亦呈現顯著正相關；無風險報酬率為20年公債殖利率時，電機電纜產業亦呈現顯著正相關。當股利成長率採十年平均法、無風險報酬率採活期儲匯利率時，只有電機機械產業呈現顯著正相關。當股利成長率採盈餘保留率乘以股東權益報酬率時、無論何種無風險報酬率，航運業皆呈現顯著正相關；而無風險報酬率為活期郵政儲匯利率或5年公債殖利率時，則油電燃料業呈現顯著正相關。

關鍵字

股利固定成長模式 ； 高登模式 ； 證劵評價

並列摘要

Dividend Constant Growth Model (Gordon Model) is an important stock evaluation method suggested by Myron J. Gordon in 1959. This model disclosed that the cash flow of dividend can be used to determine the value of a common stock when a company pays dividend every year under a constant growth rate. Gordon’s research was based on the information gathered from the New York Stock Market. Whether this model is currently applicable in the Taiwan Stocks Market (TSM) is a crucial subject, which includes the calculation of the dividend growth rate; the length of the sample interval; and the relevant degree of applying the Gordon Model between different industries in the TSM.
Ccompanies included in our sample are the listed companies in TWSE and OTC of TSM between 2000 and 2009. There were two sections in this study. In the first section, Taiwan Semiconductor Manufacturing Company (TSMC) was used as a pilot company to explore a suitable length of study interval and to discover the best calculation method of dividend growth rate which is applicable to the Gordon Model. In the next section, three different kinds of researches have been conducted in order to investigate the relevant degree of utilizing Gordon Model in the different industries of TSM.
The findings of this empirical study were as follows：
1.The longer the sampled period, the more applicable the Gordon Model was in evaluating the stock price when TSMC was used as the pilot company. As to the adoptions of dividend growth rate and risk-free return rate, this study suggested that the annual average dividend growth rate was more appropriate than other calculation methods, and the Taiwan Post Office Saving Interest Rate (TPOSI) was the more suitable than other interest rates to be a risk-free return rate.
2.In the first part of research placed to the different kind of industries in the TSM, the finding indicated that the department store industry reported a significant positive correlation when the annual dividend growth rate and the TPOSI were applied. In the second part, the result suggested that the electronics, the department store, and the biotechnology industries presented significant positive correlations when the annual dividend growth rate and the TPOSI were used to investigate the Gordon Model. The biotechnology industry demonstrated a significant positive correlation when the five- year or ten-year bond interest rates were used. The department store industry presented a significant positive correlation when the ten-year bond interest rate was adopted. In the third part of this study, the rubber industries performed a significant positive correlation when the five-year average growth rate and accompanied with any kind of risk-free return rates were used to investigate Gordon Model. The food presented significant positive correlation when TPOSI was applied. The electricity and cable industries described significant positive correlations when the twenty-year bond interest rate was used. The electricity and machinery industries proved significant positive correlation when the ten-year average growth rate was used and accompanied by any kind of risk-free return rates. When the dividend retain rate times return on investment rate was applied, the transportation industry showed significant positive correlation under any kind of risk-free return rates. Oil and energy industries exhibited a significant positive correlation when five-year bond interest rate and TPOSI were used.

並列關鍵字

Dividend Constant Growth Model ； Stock Evaluation

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