公司本益比和產業平均本益比之間的偏離程度與橫斷面股票報酬：風險或行為？

The Difference between Individual Earnings-to-Price Ratio and Industry Average Earnings-to-Price Ratios and the Cross-section of Stock Returns: Risk or Behavior?

陳立文(Li-Wen Chen) ； 余歆儀(Hsin-Yi Yu) ； 紀怡禎(Yi-Jhen Ji)

《證券市場發展季刊》 28卷1期 (2016/03) Pp. 1-38

https://doi.org/10.6529/RSFM.2016.28(1).1

摘要

本益比是投資人常用來評價公司股價是否過高或過低的指標，然而投資人在評價一家公司的未來價值時，其心中所謂財務比率的高低，可能是使用同儕平均本益比來做為一個基準，本研究從此觀點出發，檢視公司本益比和產業平均本益比之間差距的大小是否可用來預測股票橫斷面報酬。實證結果發現，個股本益比的確會朝產業平均本益比趨近；若吾人根據公司本益比偏離產業平均本益比的程度進行排序，建立零投資組合，每年可以得到穩健的異常報酬12.07%，此報酬無法被三因子模型所解釋。異常報酬在盈餘較不穩定的公司中較明顯，可能肇因於投資人對於盈餘資訊的反應不足。

關鍵字

本益比 ； 產業平均本益比 ； 市場異常現象 ； 資產組合 ； 股票報酬

並列摘要

Investors commonly use earnings-to-price ratios to evaluate the value of a firm. This paper examines whether the average earnings-to-price ratios of the corresponding industry is used as a benchmark during the evaluation process. The empirical results present that the earnings-to-price ratio of a firm is indeed adjusted towards the corresponding industry average. Such behavior can be exploited to earn significant risk-adjusted returns by constructing a zero-investment portfolio. The risk-adjusted return is 95.39 basis points per month, approximately 12.07% annually. Furthermore, the risk-adjusted returns are sensitive to the stability of past earnings and possibly attributed to underreaction.

並列關鍵字

Earnings-to-Price Ratios ； Industry Average Earnings-to-Price Ratio ； Anomaly ； Zero-Investment Portfolio ； Sotck Return

參考文獻

Alford, A. W. (1992), “The Effect of the Set of Comparable Firms on the Accuracy of the Price-earnings Valuation Method,” Journal of Accounting Research, Vol. 30, No. 1, 94-108.

Amihud, Y. (2002), “Illiquidity and Stock Returns: Cross-section and Time-series Effects,” Journal of Financial Economics, Vol. 5, No. 1, 31-56.

Anderson, K. and C. Brooks (2006), “The Long-term PE,” Journal of Finance Business and Accounting, Vol. 33, No. 7-8, 1063-1086.

Ball, R. (1978), “Anomalies in Relationships between Securities' Yields and Yield-surrogates,” Journal of Financial Economics, Vol. 6, No. 2-3, 103-126.

Basu, S. (1975), “The Information Content of Price-earnings Ratios,” Financial Management, Vol. 4, No. 2, 53-64.