經營風險對金融股報酬的非線性衝擊：景氣指標的角色

本文建構一個縱橫平滑轉換迴歸模型 (panel smooth transition regression model PSTR)，以探討在不同的景氣對策訊號分數下，各未預期財務指標 (unexpected financial indices) 對股價報酬的非線性衝擊效果。所選用的未預期財務指標，包括：未預期負債比率、未預期稅後淨值報酬率與未預期稅後淨利率，分別代表償債能力、經營能力與獲利能力的曝險 (exposure) 程度。實證上，針對台灣 29 家上市 (櫃) 金融公司 (含金控公司與一般商業銀行) 在 2008 年第 1 季至 2017 年第 2 季的縱橫資料(panel data) 進行估計。共計有 1102 筆觀察值。經由 PSTR 模型的估計結果，可提供更正確的股價報酬值，以作為公司進行購併、投資者篩選投資標的，以及政府穩定股市的參考依據。本研究的實證結果，歸納如下： 1. 未預期財務指標 (未預期負債比率、未預期稅後淨值報酬率與未預期稅後淨利率) 變動對股價報酬的影響，決定於各期景氣指標值。兩個景氣對策訊號分數之門檻值 (22.4748 與 31.0013)，將非預期財務指標對股價報酬的影響區分為三個區間。換言之，股價的曝險程度，是隨時間而變動的 (time-varying)，亦即各期的景氣指標分數扮演著關鍵角色。 2. 當景氣對策訊號分數在較高水準 (大於門檻值 31.0013) 或較低水準 (低於門檻值 22.4748) 時，未預期負債比率提升，不利於股價報酬上揚，且由兩門檻形成區間之正貢獻值轉為負貢獻值。其理由在於投資者擔心景氣指標低於 22.4748 時而持續惡化，或景氣指標大於 31.0013 時而可能反轉，故未預期負債比率上升，不利於股價；惟其影響不大，可能因為金融業本身屬於高負債比行業，故在本實證結果中為不顯著。 3. 當景氣對策訊號分數為門檻值 ( 22.4748 與 31.0013) 時，未預期稅後淨利率對於股價報酬的貢獻為 -0.0015。當景氣對策訊號分數介於門檻值之間時，未預期稅後淨利率的貢獻由 -0.0030 逐漸降為 -0.0015。當景氣對策訊號分數大於 31.0013 或小於 22.4748 時，未預期稅後淨利率對股價報酬的衝擊接近於零。當景氣位於穩定的「綠燈」 ( 23-32 分) 時，投資人擔心未來景氣是否進入黃紅燈或黃藍燈的階段，故非預期稅後淨 II 利率提升，不利於股價報酬。然而當景氣經較佳或較差的階段移動時，因為景氣逐漸明顯轉往好或壞的方向移動，故該負向衝擊逐步縮減。 4. 當景氣對策訊號分數為 26.7381 時，未預期稅後淨值報酬率對股價報酬的影響為 0.0536。當景氣對策訊號分數為 22.4748 或 31.0013 時，該影響降為 0.02385。此外，當景氣對策訊號分數大於 31.0013 或小於 22.4748 時，該影響轉為負值 (-0.0059)。實務上，當景氣對策訊號分數介於 23-31 分時，代表景氣穩定的「綠燈」，故未預期稅後淨值報酬率增加，可提升股價報酬。然而，隨著景氣移往不佳的黃藍燈 (17-22)，或移往活絡的黃紅燈 (32-37 分) 時，該正向的貢獻逐漸下降，甚且較為負向的。其理由與未預期負債比率對股價報酬的影響類似。本研究的政策建議如下： 1. 投資者、金融業者與政府金管單位在評估各財務指標的曝險程度及進行相關的避險措施時，應隨著各期的景氣變化，作逐期的調整，而非如傳統線性模型所估計的固定曝險係數，並錯估股價報酬與避險措施。 2. 就投資權益與增資舉債的時機而言，在景氣燈號為綠燈 (23-32 分) 時，意外的舉債 (負債比提升) 與意外的股東權益上升 (稅後淨值報酬率)，有利於股價報酬的提昇。反之，當景氣燈號分數大於 32 或小於 23 時，非預期買回庫藏股，有助於提升股價報酬。 3. 當景氣對策訊號分數在較高水準 (大於門檻值 31.0013) 或較低水準 (低於門檻值 22.4748) 時，三種財務指標曝險程度增加，均不利於股價報酬。政府金管當局宜監控並採取因應措施，以防外在總體經濟環境變化帶來景氣可能持續惡化 (低景氣分數) 或反轉 (高景氣分數) 對金融股與金融市場所帶來的衝擊。

關鍵字

縱橫平滑轉換迴歸模型；景氣對策訊號分數；未預期的財務指標；門檻效果

並列摘要

This paper constructs a panel smooth transition regression model (PSTR) to explore the nonlinear impact of unexpected the financials indices on stock returns under different scores of in monitoring indicator. The unanticipated financial indicators selected include unexpected debt ratio, unanticipated return on equity, and unexpected net profit margin, which represent the degree of exposure of debt-paying ability, operating capacity, and profitability, respectively. Empirically, we estimate the panel data of Taiwan's 29 listed financial companies (including financial holding companies and commercial banks) from 2008:1Q to 2017:2Q, a total of 1102 observation. The PSTR model, can provide a more accurate estimation results of stock returns for the companies to conduct mergers and acquisitions, investors to select investment targets, and the government to stabilize the stock market. The empirical results are summarized as follows: First, the impacts of unanticipated financial indicators (uninformed debt ratio, unanticipated net return on equity, and unanticipated net profit margin) on share return are determined by each period’s monitoring indicators. Two estimated thresholds of the monitoring indicator (22.4748 and 31.0013) divide the impact of unintended financial indicators on stock returns into three regimes. In other words, the degree of exposure to stock prices is time-varying, implying that the monitoring indicators play a key role in the stock returns and risk premiums. Second, when the scores of the monitoring indicator are at a higher level (above the threshold IV of 31.0013) or a lower level (below the threshold of 22.4748), the increase in the unanticipated debt ratio would be harmful to the stock returns. The reason is that investors worry about the continuous deterioration the monitoring indicator below 22.4748, or the possible reversal of the monitoring indicator above 31.0013. Therefore, the increase in the unexpected debt ratio will pall dow stock returns. However, the impact is not much due to the characteristic of high debt ratio in the financial companies. Third, the contribution of the unexpected net profit margin to stock returns is -0.0015.When the monitoring indicator reaches the thresholds (22.4748 and 31.0013).The contribution runs from -0.0030 to -0.0015 when the monitoring indicator is in the interval [22.4748,31.0013].The contribution contribution approaches to gro as the monitoring indicator is above 31.0013 or below 22.4748.When the economy is in a steady “green light” (23-32 points), investors are worried about whether the prospect of the economy will enter into the stage of a yellow light or yellow blue light, so the increase in the net profit margin is harmful to stock returns. However, when the economy moves through a better or worse stage, the negative impact gradually weakens because the business gradually shifts to a good or bad direction. Fourth, when the monitoring indicator 26.7381, the influence of the unexpected on stock returns is 0.0536. When the indicator is 22.4748 or 31.0013, the impact falls down to 0.02385. In addition, when the score of the indicator is greater than 31.0013 or less than 22.4748, the effect turn out to be negative (-0.0059). In practice, when the indicator locates in the interval (23.31),the economy is in a stable stape. Therefore, the indicator in the unexpected return on V equity can pash up stock returns. However, as the economy moves toward the poor yellow-blue lights (17-22,points) or toward the active yellow-red lights (32-37 points), the positive contribution gradually disappears and even becomes negative. The reason is similar to the impact of the unanticipated debt ratio on stock returns. The associated policy suggestions include: First, investors, financial managers and government regulators should assess the exposure of various financial indicators and perform relevant hedging strategies period by period according the change in the monitoring indicator. Conversely, the constant exposure coefficients obtained from the traditional linear model will result in biased hedging strategies. Second, in terms of the timing of equity-issuance and debt-financing, the increases in the unexpected debt ratio and unexpected return on equity are favorable to stock returns. As the monitoring indicator displays the “green light ”(23-32 points). Contrary, the effect is negative as the indicator is the above 32 or below 23. Third, when the monitoring indicator at a higher level (above the threshold 31.0013) or at a lower level (below the threshold 22.4748), the increase in the exposure of the three financial indicators increases, is unfavorable for stock price returns. It is advisable for the financial authority to monitor and adopt corresponding strategies to prevent the negative impact of the external macroeconomic environment on stock returns and stock market through continuously deteriorating the monitoring indicator or reversing the boom.