摘要
本篇利用股利折現模型的公式來推測台灣上市櫃公司的稅後淨利除以總資產 (NIA)、自由現金流量除以總資產 (FCFA)、保留盈餘率 (Retained)與報酬率的關係。 本研究選用1991年1月到2012年3月的上市櫃公司為研究樣本，其中為了避免倖存者偏誤，在研究期間內下市下櫃的公司也包含於研究樣本中；利用樣本公司每季所公布的財報資訊，以稅後淨利除以總資產 (NIA)、自由現金流量除以總資產 (FCFA)、保留盈餘率(Retained)當作我們主要研究的訊號。 本篇實證後發現，稅後淨利除以總資產 (NIA)與股票報酬率間有正向且十分顯著的關係；自由現金流量除以總資產 (FCFA)與股票報酬率間也有正向且十分顯著的關係；保留盈餘率 (Retained)與股票報酬率間則有負向且顯著的關係，總言之，本文利用股利折現模型的公式推測出以上三個假設，並以實際資料證實了這樣的說法。
並列摘要
This study uses the dividend discount model formula to examine the relations between the net income divided by total assets, free cash flow divided by total assets, retained earnings ratio and the cross-section of stock returns by using the sample of Taiwanese listed companies from January 1991 to March 2012, empirical results show that the relationship between net income divided by total assets and stock returns is positive and significant, between free cash flow divided by total assets and stock returns is also positive and significant. However the relationship between retained earnings ratio and stock returns is negative and significant. In sum, the results are consistent with the predictions given by the dividend discount model formula. Therefore, this study confirms the application of the dividend discount model formula in Taiwan.