Fama and French三因子模型與財務指標對股票報酬之影響---以台灣上市電子公司為例

The Impacts of Fama-French Three-Factor Model and Financial Ratio on Stock Returns - an Evidence from Taiwan Electronic Sector

許哲瑋(SYU, JHE-WEI)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2010年)

摘要

本研究旨在探討Fama and French三因子模型及財務比率對台灣上市電子股票報酬率之影響。研究期間為1999年到2008年126家公司10年共計1260筆之年資料。在變數上採三因子與財務指標為變數。研究程序是先對財務比率進行因素分析，萃取出10大因素，再進行逐步迴歸分析，找出逐步迴歸CP值最低之變數組合，再將這些變數組合代入迴歸方程式進行估計。研究結果發現，台灣上市電子股個股報酬存在Fama and French三因子「市場報酬效應」、「淨值市價比效應」、「規模效應」；在財務指標上，「收益力」、「成長率」、「現金流量」、「股東權益成長率」、「稅前淨利成長率」存在正向顯著關係；而「成本力」、「總資產成長率」則呈現負向顯著關係

關鍵字

三因子、規模效果、淨值市價比、財務比率、逐步迴歸

並列摘要

This study is based on Fama-French (1993) three-factor model combine with financial ratio, seeking to evaluate their impacts on stocks return from Taiwan listed stocks in electronic category. 126 electronic companies with annually data ranging from 1999 to 2008 were collected. Factor analysis was used to find major factors from different financial ratio. Stepwise regression analysis was adopted to find the optimal independent variables. The results indicated that in Taiwan stocks market exist Home Market Effect, Book to Market Effect and Size effect. In financial ratio, Earning Power, Growth Rate, Cash Flow, Equity Growth Rate and Pre-Tax Income Growth Rate are positive related to stock returns. However, Cost Power and Total Assets Growth Rate are negative related to stock returns.

並列關鍵字

Three-factor model, size effect, Book to market effect, financial ratio

參考文獻

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