總體經濟指標及財務指標對股價報酬的影響-台灣銀行業與證券業之比較研究

The Economic Indicators and Financial Indicators Affect Stock Returns - the Comparative Study of Banking and Securities Industry in Taiwan

楊姝涵(SHU-HAN YANG)

指導教授 ： 古永嘉

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2011年)

摘要

由於台灣銀行業與證券業所屬之金融環境日趨健全，再加上ECFA之簽訂，未來台灣金融業的發展勢必銳不可檔，然而股票市場是投資人最使用的投資管道，那麼投資人最關心的必定是其股票報酬率，因此本研究欲以總體經濟指標及財務指標，探討銀行業與證券業哪些財務比率會影響股票報酬率，本研究之研究目的：（1）分析哪些總體經濟指標與財務指標會影響台灣銀行業與證券業之股票報酬率（2）台灣銀行業與證券業之財務變數與股票報酬率是否有差異。本研究根據台灣經濟新報資料庫（TEJ）所提供之台灣金融業與證券業公司與其財務指標，所使用的樣本期間為2000年至2009年之季資料，分別有10家證券業與11家銀行業，共21家公司之10年資料，共計796樣本數進行實證研究分析，得到下述結論：（1）對個股報酬率有正向顯著影響：稅後息前折舊前、淨值報酬率─稅後、稅前淨利率、每股淨值 (B)、營業利益成長率、總資產報酬成長率、總負債/總淨值、營業利益/實收資本比、總資產週轉次數、每人配備率，共10項變數。（2）對個股報酬率有負向顯著影響：稅前息前折舊前、稅後息前、淨值報酬率─常續利益、稅後淨利率、稅率(A)、每股淨值(C)、每股現金流量、每股營業利益和淨值成長率，共9項變數。（3）對於證券業和銀行業而言，兩者大部份的財務比率皆不相同。

關鍵字

銀行業,證券業,財務比率

並列摘要

While the ECFA is signed and the financial environment from banking and securities industry of Taiwan is increasingly sounded, the future development of Taiwan's financial sector must be stoppable. Moreover, the stock market is the most used investment channels by investors who are the most concerned about the stock returns. Therefore, this study trying to use financial indicators of banking and securities industry to discuss which financial ratios would affect stock returns. The purpose of this study: (1) analyzing which financial indicators will affect Taiwan's banking and securities industry stock returns (2) The differences from financial variables and stock returns in Taiwan banking and securities industry.
According to the financial indicators of Taiwan's financial industry and the securities industry company provided by Taiwan Economic Journal Database (TEJ), and using a sample period from 2000 to 2009 of the quarterly data, there are 10 securities of 11 banks industry, a total of 21 companies of the 10-year data, a total of 796 samples to do an empirical research, and also get the following conclusions: (1) A significant effect from financial indicators to stock return: After-tax income before depreciation and interest, Return on equity after tax, Pre-tax margin, NAV per share (B), Operating profit growth, Growth rate of return on total assets, Total liabilities / total net worth, Operating profit / paid-in capital ratio, Total Assets Turnover, each with rate. (2) A significant negative effect from financial indicators to stock return: Pre-tax income before interest and before depreciation, After-tax income before interest, Return on equity ─ often continued interest, Net Margin Rate, Tax Rate (A), NAV per share (C), Cash flow per share, Operating profit per share, Net growth rate. (3) Most of the financial ratios between securities and banking industries are different.

並列關鍵字

banking,securities industry,financial ratios

參考文獻

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