景氣與匯率對股價的影響-非線性Ohlson模型的應用

The effects of business cycle and foreign exchange rate on stock prices: an application of nonlinear Ohlson valuation model.

黃靖雯(Ching-Wen Huang)

指導教授 ： 吳博欽 ； 劉曉燕

中原大學/商學院/國際經營與貿易研究所/碩士(2015年)

https://doi.org/10.6840/cycu201500648

摘要

近幾年來，股權評價已成為投資者在規避風險及擬定投資決策時的重要參考工具。為了能同時考量個別公司因素及整體經濟環境因素對股權評價的非線性影響，本研究將傳統線性Ohlson模型改寫成加入匯率變動率及景氣領先指標為轉換變數的非線性縱橫平滑轉換迴歸（panel smorth transition regnession）的架構。利用該修正過的模型評估匯率與景氣狀況對股價的門檻效果，以及利用該非線性的項目改善Ohlson對其它非會計資訊未作明確定義的缺失。實證上，本研究以81家臺灣中型100成份股為對象進行估計。樣本期間為2008年1月至2014年9月，總計有2187個觀察值。 根據實證結果，可獲得下列結論： 一. 臺灣中型100成份股股價皆呈現非線性的走勢，且每股帳面價值與每股盈餘對股價亦呈現非線性的貢獻，決定於各期的匯率升貶值程度與景氣對策信號而非如傳統的Ohlson(1995)所主張的固定值效果。 二. 在以景氣對策訊號分數為轉換變數的PSTR模型中，每股盈餘與每股帳面價值對股價隨景氣對策訊號分數的增加，先下降而後上升，顥示政府公布景氣對策訊號分數對投資市場有干擾的作用。此外，在景氣訊號分數提升下，帳面價值的增加，有助於股價的推升，雖然增加的速度緩慢，卻能確實反應出公司的價值。 三. 在以匯率變動率為轉換變數的PSTR模型中，隨著匯率貶值程度增加，每股盈餘對股價的影響先上升而後下降，而每股帳面價值對股價的影響則持續下降，顯示持續性的貶值不利於每股帳面價值對股價的貢獻，且適度的貶值有利於每股盈餘與每股帳面價值對股價的整體貢獻。此外，除了高度貶值的情況下，每股盈餘對股價的貢獻經常是優於每股帳面價值，且高度貶值不利於每股盈餘與每股帳面價值對股價的正向影響。

關鍵字

Ohlson 股權評價模型 ； 縱橫平滑轉換迴歸模型 ； 每股盈餘 ； 每股帳面價值 ； 景氣對策訊號分數 ； 匯率升(貶)值

並列摘要

In recent years, equity valuation has become an important referenced instrument for stock investors to hedge investment risk and market investment decisions. To simultaneously consider the nonlinear influence of firms’ individual factors and macroeconomic factors on stock prices, this study rewrites the Ohlosn(1995) equity valuation model as a panel smooth transition regression (PSTR) framework with foreign exchange rate and the monitoring indicators as the transition variables. The framework can evaluate the threshold effects of exchange rate and monitoring indicators on stock prices,and the nonlinear term in the PSTR model can replace the undefined other information term in the Ohlson model. To perform the empirical study, we select81 component companies of the Taiwan Mid-cap 100 index during January 2008-September 2014 as the sample objects. Thus, there are 2187 observations.
The empirical results can be summarized as follows:
1.The stock prices in the Taiwan Mid-cap Index display a nonlinear process, and the impacts of earnings per share and book value per share on the stock prices are nonlinear, depending on the degree of appreciation (depreciation)in exchange rate and the monitoring indicators. These results are quite different from those obtained from traditional Ohlson model.
2. In the PSTR model with monitoring indicators as the transition variable, the effects of earnings per share and book value per share on stock prices reveal a trend of rise first then fall. Obviously, the announcement of the monitoring indicators will disturb the function of stock markets. In addition the rise in the monitoring indicators can push the contribution of book value per share on stock prices in a slow speed, which farther responds to a firm’s value.
3. In the PSTR model with the change in exchange rate as the transition variable, the influence of earnings per share on stock prices displays a trend of rise first then fall, as the exchange rate depreciates. However, the contribution of book value per share on stock price weakens as the rise in exchange rate. Thus, a proper depreciation policy is beneficial for the while contribution of earnings per share and book value per share on stock prices. Except for the situation of high depreciation in exchange rate, the effect of earnings per share on stock prices is always larger than book value per share.

並列關鍵字

Ohlson equity valationmodel ； panel smooth transition regnession (PSTR) model ； earnings per share ； book value per share ； momitoring indicators ； qpprecation (depreciation) of exchange rate

參考文獻

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