多空時期下權益評價模式比較分析

A Comparative Study of Equity Valuation Models under the Long and Short Periods

闕淑美(Shu-Mei Chueh)

指導教授 ： 薛敏正

國立臺北大學/商學院/會計學系/碩士(2011年)

摘要

本研究以台灣上市公司為研究對象，參考Francis, Olsson and Oswald（2000）之研究方法，以預測的財務資料進行自由現金流量折現評價模型（FCF）、超常盈餘折現評價模型（AE）、本益比法（PE）及價格淨值比法（PB）此四種模型之比較，藉由選擇股市高點（88年、96年）、低點（91、97年）極端期間，以及依產業受景氣影響程度劃分樣本，來觀察各評價模型所估算之價格精確性與解釋能力如何變化。
實證結果顯示，不論是股市高點或低點期間均以PB模型之精確性最佳，且由於各種評價模型所估算出之價值平均皆高於市場價值，故股市低點期間之絕對誤差幅度遠大於股市高點期間；若依產業受景氣循環影響程度進一步區分，則發現景氣循環股及非景氣循環股以PB模型之精確性較佳，電子股則為PE模型。
解釋能力方面，結果與精確性之發現相似，不論股市高點或低點仍以PB模型之解釋能力最佳；若依產業受景氣循環影響程度進一步區分，不論股市高點或低點期間解釋能力於景氣循環股、非景氣循環股以PB模型最佳；電子股於股市高點期間以PB模型較佳、低點期間則以PE模型較佳。

關鍵字

權益評價,自由現金流量,超常盈餘,本益比,市價淨值比

並列摘要

This research examined listed companies in Taiwan by referring to the research methods suggested by Francis, Olsson and Oswald (2000). It used predicted financial data to compare such four equity valuation models as FCF、AE、 PE and PB. To this end, the extreme periods in the high point (1999, 2007) and low point of the local stock market were chosen for analysis while the sample was divided based on th industrial economic impact. This attempt was intended to observe the price estimation accuracy and related explanatory power by the four compared models and how the results have changed.
Empirical findings showed the PB model as the best in the price estimation accuracy either in the highs or lows of the stock market. Moreover, the absolute error margin in the lows of the stock market was found to be much larger than that in the highs since the average value estimated by the compared different models was found to be higher than the market value. Further analysis by industrial cyclic economic impact also found the PB model to be the best in estimation accuracy for both cyclical and non-cyclical stocks while the PE model was found to be the best for electronics stocks.
In terms of explanatory power, the results were similar to the findings in the accuracy comparison, with the PB model found to be the best either in the highs or lows of the stock market. The analysis of the explanatory power by the industrial cyclic economic impact also showed the PB model as the best for both cyclical or non-cyclical stocks in either the highs or lows of the stock market. For the electronics stocks, however, the PB model was found to be the best in the highs and the PE model the best in the lows.

並列關鍵字

Equity Valuation,FCF,AE,PE,PB

參考文獻

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