台灣證券市場上市公司基本面價值之評估-以剩餘所得評價模型為例

The Evaluation for the Listed Firms' Basement Value of Taiwan Stock Exchange Corporation: The Perspective of Residual Income Model

黃道(Tao Hang)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300154

摘要

近年來，隨著證券市場的多元發展，加上市場秩序的紊亂，因此對於廣大的投資大眾來說，公司評價即變成一個不可忽視的議題。文中我們將根據Ohlson所提出之剩餘所得評價模型（Residual Income Model）進行研究，並希望透過分析「台灣五十指數」來了解我國股市的基本面價值，以提供投資者作為參考依據。然而本研究結論如下：
1.在預測能力方面，一般基本面價值市價比（V/P）較適用於預測產業長期報酬率；而淨值市價比（B/P）則於短期時具有較優異之預測能力。
2.就產業適用性而言，基本面價值市價比（V/P）較適用於金融業以及基礎產業以外之長期產業報酬率的預測；淨值市價比（B/P）則對於預測各產業的短期報酬率都具有不錯的參考價值；銷售市價比（S/P）較適用於預測金融業以及基礎產業之長短期報酬率；益本比（E/P）則較適用於預測電子資訊業以及週期及非週期消費品業之短期報酬率。
3.將總經變數名目國民生產毛額成長率（GR）、定存利率（DR）以及貿易成長率（NTR）等變數皆納入同一條迴歸式中，我們發現基本面價值市價比（V/P）的預測能力在短期的確會稍微受到影響（例如迴歸係數正負號的改變）；就長期而言，總經變數對於基本面價值市價比（V/P）的預測能力影響並不大。
4.根據總經變數迴歸結果可知，名目國民生產毛額成長率（GR）對於各種產業報酬率的影響均顯得重要；而定存利率對於金融產業的報酬率不論長期或短期均頗具影響能力，此結果也符合我們一般的經濟直覺；至於貿易成長率（NTR）則較不適合作為預測產業報酬率的變數。

關鍵字

淨值市價比 ； 銷售市價比 ； 台灣五十指數 ； 剩餘所得評價模型 ； 基本面價值市價比 ； 益本比 ； 基本面價值

並列摘要

Recently, with the diversity of stock market and the chaos of market order, valuation is becoming an important issue for investors. In this thesis, we will try to understand the basement value of ”Taiwan Fifty Index” by using Ohlson’s “Residual Income Model”.
According to the thesis, we found that：
1.In the aspect of forecasting ability, basement value to real price（V/P）is more suitable for long-term forecast of industrial rate of return；comparatively speaking, book value to real price（B/P）is more suitable for short-term forecast.
2.In the aspect of industrial application, is suitable for the forecast of long-term rate of return for all industries except financial industry and fundamental industry；B/P is a good reference in short-term for all industry；sales to real price（S/P）is better for financial industry and fundamental industry；equity to price（E/P）is more suitable for the electronic industry and cycle and non-cycle consumptive industry in the short-term.
3.After considering the growth rate of nominal GNP, deposit rate and the growth rate of trade, we found that forecasting ability of V/P is affected slightly in the short-term, and without any influence in the long-term.
4.According to the results of regression analysis, we found that the growth rate of nominal GNP is vital for all kinds of industries；and deposit rate is an important factor for financial industry either in short period or long period；the growth rate of trade is not a good index for the forecast of rate of return.

並列關鍵字

Taiwan Fifty Index ； Residual Income Valuation Model

參考文獻

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Dechow, P.M., A. P. Hutton, and R. G. Sloan., 1999, “An empirical assessment of the residual income valuation model,” Journal of Accounting and Economics 26, 1-34.