台灣製造業存貨與股價報酬之關聯性

Inventory Investment and Stock Return：Evidence from the Case of Taiwan’s Manufacturing

陳禮潭(Chen, Lii-Tarn) ； 范芝萍(Fan, Chih-Ping) ； 謝秉儒(Hsieh, Pin-Ju)

《明新學報》 42卷2期 (2016/08) Pp. 13-22

摘要

本文運用Durlauf與Maccini (1995)的最適存貨行為模型將存貨分成計畫性存貨和非計畫性存貨，以台灣總產業和其他七種產業為為資料，利用OLS和GMM兩種計量方法來估計存貨和股價之間的關係。實證結果發現非計畫性存貨與股價具有負向關係符合股市投資者所討論。 理論模型中的計畫性存貨與股價兩者間具正向關係，但實證上計畫性存貨效果並不顯著，其原因可能在於存貨的加總問題。

關鍵字

存貨投資 ； 股價報酬 ； 最適存貨行為模型

並列摘要

In this paper we first separate inventory data into planned and unexpected parts using Durlauf and Maccini (1995) optimal inventory behavior model, then adopting two econometric methods-OLS and GMM-to estimate and to test this proposition, while using Taiwan’s macroeconomic and different classifications of industry stock data. The empirical results, as we expected, show that there is a negative effect of unexpected inventory on stock returns, which is corresponding to the investigation of the market analysts. Nevertheless, the hypothesis of positive the relationship between the planned inventory and stock returns, which I derive from the theoretical model, is empirically insignificant. This insignificant result may be caused by the improper aggregation of inventories.

並列關鍵字

inventory investment ； stock return ； optimal inventory behavior model

參考文獻

黃柏農（1998）。台灣的股價與總體經濟變數之間的關係。證券市場發展季刊，10（4），89-108。

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Braun, P. (1991). Asset Pricing and Capital Investment: Theory and Evidence. Manuscript Evanston, Northwestern Univ.

Cochrance, J. H. (1991). Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations. Journal of Finance, 46(1), 209-237.

Durlauf, S. N., & Maccini, L. J. (1995). Measuring Noise in Inventory Models. Journal of Monetary Economics, 36(1), 65-89.