透過多元迴歸分析並考量財務比率、ESG與時間因素之股價預測模型

Using multiple linear regression analysis and considering financial ratios, ESG and time factor to establish stock price prediction model

許元榮(YUAN-RONG HSU)

指導教授 ： 邱裕方

中原大學/電機資訊學院/工業與系統工程學系/碩士(2022年)

https://doi.org/10.6840/cycu202201062

摘要

近年來在全球通貨膨脹壓力升高的情形下，以開源為目標的各種金融商品與日俱增，而投資市場上能夠使用的投資管道也越來越多。投資者希望除了以往傳統的MACD、RSI、KD等技術指標之外，能夠找到更有效的方法以預測股價的趨勢。從文獻中可以得知企業對於環境、社會跟治理的責任是否落實會影響到企業的形象跟獲利，進而影響到股價，因此投資者對於企業是否履行企業社會責任與嚴格施行品質管理在近期也漸漸受到關注。
因此，本研究藉由收集ESG數據資料、2022年台灣相似產業前5大權值股的財務報表與個股股價數據，利用多元迴歸分析並結合時間因素的方式進行數據分析與模型建構，以理解使用多元迴歸分析進行股價預測時在何種情況下能夠預測得更準確，並有效證實在使用財務報表，平均股價與時間因素的情況下可有效預測未來股價的長期趨勢。

關鍵字

股價 ； 財務報表 ； ESG ； 多元迴歸分析 ； 時間因素

並列摘要

In the situation of rising global inflationary pressures, there has been an increase in the number of financial instruments aimed at generating income, and the number of investment channels available in the investment market has also increased. Investors hope to find more effective ways to predict the trend of stock prices in addition to the traditional technical indicators such as MACD, RSI and KD. From the literature, we can see that the implementation of corporate environmental, social and governance responsibilities (ESG) will affect the image and profitability of the company, which in turn will affect the stock price. Therefore, investors are increasingly concerned about the fulfillment of corporate social responsibility and the strict implementation of quality management in recent years.
Therefore, in this study, we collected ESG data, financial statements and individual stock price data of the top 5 stocks in Taiwan in 2022, and conducted data analysis and model construction by using multiple linear regression analysis with time factors to see which model can be more accurate. The findings confirmed that the long-term trend of future stock price can be effectively predicted by using financial statements, average stock price and time factors.

並列關鍵字

stock price ； financial statements ； ESG ； multiple linear regression analysis ； time factor

參考文獻

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