本文以Ohlson(1995)股價評價模型為基礎,將模型中的非會計資訊以監理機制因素(包含董監事持股比率、董監事質押比率及外資持股比率)、技術進步因素(包含研發密度及每人配備率)與系統風險因素(包含電子類股股價指數、經濟成長波動及匯率波動)表示之,建構出同時考量企業內、外部風險之股價評價模型。此外,再以傳統的會計指標-資產報酬率、銷貨報酬率及股東權益報酬率取代Ohlson模型中的帳面價值與異常盈餘,再加上前述之非會計資訊,另建構出不同財務指標下之股價評價模型,以比較不同財務指標下評價模型之優勢。 實證上採用混合估計法(pooled setimation)的固定效果(fixed effect model)與SUR(seemingly unrelated regression)模型進行實證分析,分別針對上市上櫃電子產業從1999年第一季至2004年第一季的時間序列資料進行推估。 本文之實證可獲得以下結論: 一、財務指標方面不論是原始Ohlson模型中的帳面價值與異常盈餘,或是傳統會計指標(資產報酬率、銷貨報酬率及股東權益報酬率),對股價均呈現正向顯著的影響,顯示財務指標越佳時,越有利於公司股價的上揚。 二、監理機制中的內部監理因素-董監事持股比率與董監事質押比率,對股價的影響均為負向顯著影響,顯示內部監理制度情況越差,越不利於公司股價的上漲。外部監理機制(外資持股比率)對股價則為正向顯著影響,當外資持股比率越高,對公司股價越有正向的助益。因此,當公司有良好的外部監理機制時,對公司經營績效有加分的效果,投資人亦能透過監理機制評估該公司前景是否看好。 三、技術進步指標對股價多數呈現顯著的影響,顯示公司運用資本支出投資生財工具,會影響公司的經營績效。技術進步指標相對於其他因素對於股價的影響較為微弱,由於電子產業的投資均屬於大金額支出,需要經過時間發酵才能顯現於股價之上,故對股價的影響無法有立即性的效果。 四、系統風險對股價亦呈現顯著影響,尤其是電子類股股價指數,顯示電子產業受到大環境的影響深遠,甚至超越本身公司的基本面狀況。此外,由於台灣電子產業多數仰賴外銷,故匯率波動對於公司產生匯兌損益的可能性增加,進而影響公司股價。
In this thesis, a new valuation model, based on Ohlson valuation model, is constructed by presenting “other information” in Ohlson’s model in several factors, such as “Governance Mechanism”, “Technique Improvement (including R D/Sales ratio)” and “Systematic Ricks(including the volatilities of economic growth and exchange rate)”. This new model evaluates the risks of internal and external environments of a firm. In addition, by including the other information and replacing the “book value” and “abnormal profit” in Ohlson’s model with traditional accounting factors (such as return on assets, return on sales and return on equity), we compare the advantages of valuation models within different financial factors. We analyze and evaluate the stock information between 1999 Q1 to 2004 Q1 of electronic industry by using the fixed effect model of pooled estimation and SUR (seemingly unrelated regression). We have the following conclusions: 1. The relation between financial indexes and stock values appears positive affected, no matter these financial indexes are the book value and abnormal profit in original Ohlson’s model or the traditional accounting factors. It appears that the better the financial index is, the higher the stock value is. 2. The internal factor of governance mechanism appears the negative affection to stock value. It presents the worse the internal governance is, the stock value is harder to get high. In contract, the external governance mechanism appears the positive affection to stock value. When foreign capitals own more percentage stock of a firm, there is more positive affection to stock value. Hence, there will be a plus to the performance of the business management, when there is a good external governance mechanism in the company. Investor can also evaluate the future vision of the firm via governance mechanism. 3. Technique improvement factor appears significant affections to most firms’ stock values in electronic industry. It presents that the performance will be affected if a firm invests its capital expense to fixed assets. Comparing with other factors, technique improvement factor shows less effect to stock value. Due to the investment of electronic industry are huge, it takes time to reveal the investment on stock value and it will not affect the stock value immediately. 4. Systematic risk also has obvious affection to stock values, especially to ones in electronic industry. It shows the global environment has the much effect to this industry, even more than the situation of a firm itself. Besides, most firms in this industry rely on export trade, so the exchange rate volatility will cause higher possibility of exchange gain and loss, moreover, will affect the stock value.