本研究將傳統Ohlson(1995)股權評價改寫為縱橫平滑轉換迴歸模型(PSTR)架構,並以負債比率與外資持股比率為轉換變數,以評估股價的時間路徑及其決定因素對股價的非線性影響過程。PSTR模型具有幾項特性:(一)可以描述股價的非線性平滑轉換過程;(二)可以掌握會計因素(每股盈餘、每股帳面價值)對股價的非線性影響過程;(三)可以追踪監理因素(外資持股比率)及財務指標(負債比)對股價影響的門檻效果。換言之,PSTR模型可反映股價的非線性,異質性與依時變動的特性。 實證上,以台灣中型100指數成份股中的81家具代表性的上市公司為對象,實證期間為2008年1Q至2014年3Q,共計有2187個觀察值。研究結果可提供政府決策單位調整外部監理制度、個別公司利用舉債以籌措資金,以及投資者對個股投資時的參考依據。 實證結果統整如下: 1.外資持股比例與負債比對股價產生門檻效果,亦即當兩者位在不同的區間時,將使每股盈餘與每股帳面價值對股價產生不同效果。 2.當外資持股比例變動時,每股盈餘相較於每股帳面價值對股價的影響更為顯著。外部監理力量的提升(反映在外資持股比例增加),有助於每股盈餘與每股帳面價值對股價的正向貢獻,故加強外部監理機制可提升股市的有效性。 3.當負債比率變動時,每股帳面價值比每股盈餘對股價的影響更為顯著。 公司舉債有利於提升每股帳面價值對股價的正向影響,卻不利於每股盈餘對股價的正向影響。換言之,公司在利用舉債以籌措所需資金時,將面臨取捨(trade-off)問題,必須決定最適負債比率。
This study rewrites, the traditional Ohlson (1995) model as a panel smooth transition repression(PSTR) framework to evaluate the time path of stock prices and the nonlinear influence of the determinants on stock price. The PSTR model has several characteristics :(1) it can describe the nonlinear smooth transition process of stock price ; (2) it can grasp the nonlinear influence process of regressors( earnings per share and book value per share ) on stock price ; (3) it can trace the threshold effects of supervision factors ( QFII shareholdings ratio ) and financial indicator ( debt ratio ) on stock prices . In other words ,the PSTR model can respond the characteristics of stock price in nonlinearity, heterogeneity, and time-variant. In empirical ,we seleet81 constituent stocks in the Taiwan medium 100 Index as sample objects .Sample period spans from 2008 1Q to 2014 3Q.This,we have 2187 observations. The empirical results provide crucial information for government to adjust external supervision system ;for individual companies to make finance policy by debt-issuance;and individual investors to make investment strategy for specific stocks. The empirical results can be summaried as follows: 1.The QFII shareholdings and debt ratio have threshold effects on stock price , that is earnings per share and book valus per share have different impacts on stock prices as QFII shareholdings and debt ratio locate in different regimes. 2.With the change of the QFII shareholdings,the impact of earnings per share on stock price is more significant than book value per share . Enhancing external supervision powers ( reflected in the increase of QFII shareholdings) is helpful for increasing the contributions of earnings per share and book value per share on stock price 3.The impact of book value per share on stock prices is more significant than the earnings per share as the mone of the debt ratio. when the company uses a debt-insurrance policy to raise necessary funds ,it would face the trade-off problem.That is,there exists a optimal debt ratio to be found.