總資產成長與股東權益成長對股票報酬投資之非線性影響---以台灣上市公司為例

A Study of Nonlinear Impacts of Asset Growth and Equity Growth on Stock Returns---Evidence from Listed Companies in Taiwan

林美睿(Mei-Ruei Lin)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

本研究旨在探討總資產成長率(TAR)及其資金來源之負債成長率(DR)與股東權益成長率(EQR)對於台灣股票報酬之影響，研究期間為1992年至2007年各年底之共計16年資料172家公司，樣本選取標準: (1)於台灣證券交易所之上市普通股公司、(2)考慮到金融相關類股由於其資本結構與一般產業差異較大，因此本研究之研究對象主要採用非金融類股之上市股票、(3)各公司樣本中若與本研究所使用到之任何變數有任何缺失值者，將導致時間上之不連續性，故無法納入本研究之樣本、(4)刪除偏離值大於3之公司樣本，減低模式產生之誤差。由於樣本資料具balanced panel data之特性故以混合迴歸進行實證。研究結果發現在所有樣本線性模式下TAR與EQR顯著性的負向影響股票報酬，DR則不顯著影響股票報酬；非線性模式下則皆為不顯著影響。然而為使得研究結果之周延本研究針對TAR與EQR進階再以敏感度分析、穩健度測試細探，結果發現TAR及EQR在特定成長率成長分組下具有不同之線性與非線性影響，成長率過高易導致股票報酬之反轉現象；TAR與EQR和淨值市價比率則存在交互效果。

關鍵字

總資產成長率；股東權益成長率；交互效果

並列摘要

The goal of this study is to analyze the impact of total asset growth(TAR), debt growth(DR) and equity growth(EQR) on the stock market in Taiwan. The data sample consists of 172 companies. We used annual data from 1992 to 2007. The following are the criteria of data selection. First, the common stock should trade on Taiwan Stock Exchange. Second, the capital structure of financial stocks is different from the stock of general industry, so we focus on non-financial companies. Third, we excluded the variables with missing value. Forth, we ignored the company with outlier more than three to reduce the error. The data have the characteristic of balanced panel data, so we use pooling regression to analyze the data. We found that on all of linear model TAR and EQR are significant negatively influence the stock return, but DR is insignificant. On the non-linear model all variable are insignificant. We also used sensitivity analysis and robust test to support our result. It suggest that, on the specific class, TAR and EQR have difference linear and non-linear effect. The higher the growth rate, the higher the reversal probability. TAR and EQR did not have interactive effect with book-to-market ratio.

並列關鍵字

Total asset growth； equity growth； interactive effect

參考文獻

林昭芃(2007)，「股市之價值溢酬及多因子模型之探討-以台灣股票市場為例」，中央大學，產業經濟研究所未出版之碩士論文。

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