本研究主要目的是探討台灣股票上市櫃公司資產成長與股票報酬之間的相關性,同時根據資產規模大小,檢測資產成長影響力的強弱。同時也檢測資產成長對股票報酬是否存在長期解釋能力,並比較國內股市之實證結果是否與Cooper, Gulen, & Schill(2009)發現美國企業所存在的資產成長效應相同。本文之實證結果發現: 一、公司年度總資產成長率具有預測橫斷面股票報酬率的顯著能力,兩者為顯著的正向關係。亦即台灣股票市場具有反向資產成長效應,有異於美國股票市場的資產成長效應。 二、在將公司規模大小進行分組後,資產成長對股票報酬影響力在中、大規模公司則有反向資產成長效果,小規模公司則顯示有正向資產成長效果。 三、資產成長效應對股票報酬具有3~5年的長期解釋能力,但加權方式的不同其結果不同。在均等加權方法下,持有未來五年累積報酬率為正向顯著,而在價值加權方法下,則為負向顯著。
This study examines the relationship between the growth of corporate assets and stock returns in the Taiwan stock market. In addition to exploring whether the empirical results from the Taiwan stock market are consistent with the asset growth effect in U.S. stock market documented by Cooper, Gulen, & Schill (2009), this paper further investigates the magnitude of the asset growth effect across different firm sizes and tests whether asset growth has a long-term effect on stock returns. The main results are as follows: 1.Annual growth rate of corporate assets is positively related to cross-sectional stock returns in Taiwan, which suggests that there exists a reverse asset growth effect in the Taiwan stock market. 2.The reverse asset growth effect is present only in the medium and large companies, while small companies have a positive asset growth effect. 3.Asset growth does have a long-term effect on stock returns in the future three to five years, but the direction of the effect depends on the weighting method. Specifically, the effect is positive when the portfolio returns are equally weighted. On the contrary, the effect is negative when they are value-weighted.