本研究主要以臺灣證券交易所,臺灣50指數成分股中公司的營收資訊為研究對象,探討月營收資訊與其股價報酬之間的關聯性程度,藉以了解月營收變化率是否對股價具有預測功能。研究架構上,以2000年1月至2012年9月為樣本資料,資料頻率為月資料,利用向量自我迴歸模式(VAR)進行實證分析,實證結果發現僅14.6%的公司其月營收變化率能對未來股價報酬具有預測的功能。進一步分析樣本特性,發現臺灣50成分股公司規模與股價顯著大於非臺灣50成分股,過去研究顯示公司規模較大與股價較高的公司資訊不對稱情況較不嚴重,投資者對資訊較透明的公司,不須利用營收變化來預測未來股價報酬,這可能是臺灣50指數成分股月營收資訊預測股價報酬能力偏低的主要原因。
In this article, we take the statistical data of industry revenues from Taiwan 50 Index as example in order to analyze the relationship between monthly revenue and stock returns. Data from January, 2000 to September, 2012 is included as sample and vector autoregressive (VAR) method is used to analyze it. We found that only 14.6% samples had their stock revenue can be predicted from monthly revenue. In a further study, these samples showed that the size of corporations in Taiwan 50 Index is much larger than that not in Taiwan 50 Index. In previous research, it is found that the larger the company is (or the higher stock price the company has), the more information the company release to investors. For investors, those companies with more public information do not need utilizing the revenue to predict stock returns. That might be the main reason why it is difficult to predict the stock returns from monthly revenues of Taiwan 50 Index.