全額交割股票權益報酬率影響因素之探討

A Study on Factors Affecting The Return on Equity OF Change Trading Method Stocks

陳萃寧(Tsuei-ning Chen)

指導教授 ： 陳禮潭 ； 陳忠榮

國立中央大學/管理學院/產業經濟研究所/碩士(2008年)

摘要

究搜集1995年至2008年間，經主管機關列為全額交割股票之公司作為研究樣本，並以事件時點為基準擷取比較公司，探討樣本公司於被列為全額交割股票時與恢復時點之績效表現與影響因素。因既有研究多傾向自事前觀點建立財務危機預測模型，或討論公司遭遇財務危機後將有的因應行為，故本文期許能以不同觀點切入，觀察全額交割股票度過財務危機後之報酬率狀況，其中本文主要以ROE作為應變數，探討在全額交割股票中影響報酬率之因素。
研究結果顯示，淨利資產比對權益報酬率有顯著正向影響，而負債資產比則為顯著負向影響，顯示當淨利資產比愈高或負債資產比愈低時，公司有較佳之報酬率表現。為避免變數間之相關性影響回歸結果，將變數進行線性組合後重新代入回歸式檢視，結果顯示以流動比率與負債資產比組成之線性組合對回歸結果有顯著影響。因全體樣本與恢復樣本之回歸結果有極大差異，進一步區分變數來源後，發現來自未恢復樣本之淨利資產比與負債資產比對結果有相當顯著之影響，顯示恢復樣本確實可恢復至與比較樣本無異之程度，但未恢復樣本則與比較樣本存在相當差異。

關鍵字

財務危機 ； 權益報酬率 ； 全額交割股

並列摘要

This thesis is about companies that were claimed to be change trading method stocks by Taiwan Stock Exchange Corporation (TSEC) and Gre Tai Securities Market (also known as OTC) of Taiwan. To have an objective benchmark, we select companies whose E/P ratios are the last 10% of the whole security market to be comparable companies. With these benchmarks, we can compare the performances and financial variables between sample companies and comparable companies, and further understand how well sample companies work when/after they experienced financial distress.
In this thesis, we will introduce three empirical results. First, we find out that the ratio of net income to total assets and the ratio of total debt to total assets have influences upon return on equity significantly. The result also indicates that the lower the ratio of net income to total assets is or the higher ratio of total debt to total assets is, the greater the return on equity would be. Second, we use linear combination of some variables to test whether the multicollinearity affects the result or not. In this part, it shows that the residual from the combination of current ratio and the ratio of total debt to total assets will have significant effect. Finally, since there is a lot of difference between the results of total samples and recovery samples, we further separate the resources of variables to see how they affect the outcome. It turns out that the ratio of net income to total assets and the ratio of total debt to total assets coming from un-recovery companies would affect the regression results more significantly than the opposite. With this result, we can infer that the performances and the financial situation of recovery companies are better, so there is no significant difference from recovery companies and comparable companies.

並列關鍵字

return on equity ； change trading method stocks

參考文獻

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