- 學位論文
台灣百大優質公司排行榜之存活率分析─比例危機模型的應用
Survival Analysis of the Top 100 Companies in Taiwan’s Stock Market:An Application of the Proportion Hazard Model.
摘要
本研究旨在探討影響台灣優質股劣化的因子，首先根據上市櫃公司的半年報資料篩選出低財務槓桿和高股東權益報酬率的標的，得到研究期間內八期的百大優質公司排行榜，然後進行這些公司在排行榜內的存續狀況分析。本研究採用了營運集中度、成本效率、約當現金、存貨銷售比、短期營運支撐度和速動比率等六個變數來配適比例危機模型(proportion hazard model)，也估計了Logit模型，並做了兩個模型樣本外預測能力的比較。 結果顯示，成本效率、存貨銷售比、短期營運支撐度和速動比率對優質公司能否續存於百大的榜內有顯著地解釋能力，而比例危機模型對優質公司的存活率預測也優於Logit模型。所以，當投資人以百大優質公司來建構投資組合時，可透過本研究找出的四個重要變數的變化來決定是否需要調整其投資組合的內容。
並列摘要
This study tries to discover important factors which can help judge the deterioration of quality stocks. Based on the semi-annual financial reports of companies listed in Taiwan’s exchange and over-the-counter markets, this study chooses the top 100 companies by standards of low financial leverages and high equity returns, and acquires 8 sets of them during the research period. Then, the survival status of each individual company within the sets can be observed and analyzed. Six variables, including operating concentration, cost efficiency, cash, inventories to season sales, short-term operation supporting index and quick ratio, are employed to explain top company’s survival status when estimating proportion hazard models. For comparison purpose, Logit models are also estimated, and the out-of-sample forecast ability of the two models are contrasted. The results shows that explanatory variables of efficiency, inventories to seasonal sales, short-term operation supporting index and quick ratio affect the survival status of individual companies significantly. Moreover, the proportion hazard model is superior to Logit model in terms of its survival forecasting. Therefore, if investors construct their portfolios using stocks of the top companies, they can decide whether components of the portfolio should be adjusted by observing changes of the above variables for corresponding companies.