財務多因子交集與股價報酬關聯性實證-追蹤資料迴歸模型

Financial factors interaction with stock returns-Panel data analysis

林建宏(Chien- Hung Lin)

指導教授 ： 李佩璇

國立中正大學/管理學院/財務金融學系/碩士(2015年)

摘要

本研究探討多項財務比率與股價報酬間的關係，並提出以ROE與PBR的交乘項來捕捉一間公司的成長性，以ROE與PBR的相除項來捕捉一間公司的價值性。研究結果顯示，成長性(ROE*PBR)、獲利性(ROE)、安全性(自由現金流量佔股東權益比例及借款依存度)、價值性(ROE/PBR)、與管理性(PBR)，5個面向的財務比率皆與股價報酬呈現顯著正相關。另考量適用國際會計準則(IFRS)可能使股東權益產生變化，經過實證亦發現無形資產佔股東權益與非控制權益佔股東權益此2比率皆與股價報酬存在顯著關係。

關鍵字

股東權益報酬率

並列摘要

This study investigates the relationship between financial factors and stock returns. The ROE (return on equity) multiplied by the PBR (price-to-book ratio) is proposed to capture the growth of company, while the ROE divided by the PBR to capture the value of company. The results indicate that the growth ability (ROE*PBR), the profitability (ROE), the safety measures (free-cash-flow/capital; debt-to-equity ratio), the expected value (ROE/PBR), and the marketability (PBR) are all significantly positively related to stock returns. When considering the impact of the application of international financial accounting standards (IFRS) on shareholders’ equity, another two indicators (the intangible assets/equity; the non-control-interest/equity) are also found significantly related with stock returns.

並列關鍵字

return on equity

參考文獻

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