台灣上市櫃建設公司股票報酬率影響因素之研究

The Equity Factor on Stock Return for Listed Property Companies in Taiwan

林詩榕(Lin, Shih-Rong)

指導教授 ： 游舜德

國立臺北大學/公共事務學院/不動產與城鄉環境學系/碩士(2009年)

摘要

以往營建類股的研究大多著重於總體經濟與不動產市場景氣的影響、營建類股價遞延的問題與調整，以及建設公司的經營績效評估之探討，鮮少以投資人的角度針對營建類股投資考量做分析。本研究認為投資人在進行投資決策時，其所關心的是該投資標的是否能夠帶來獲利，而其持有期間的報酬率為多少。因此，本文針對國內上市櫃建設公司，從公司經營績效的面向探討其對股票報酬率的影響。本研究運用追蹤資料分析法(Panel data analysis method)，以台灣29 家建設公司1999 至2008 年的資料為研究範圍。模型中所納入的變數主要有四類，分別為系統性風險(β)、財務指標、智慧資本價值指標及土地異動變數。在財務指標的選取上， 首先以公司公開財務比率利用因素分析消除變數間的共線性(Multicollinear)問題，萃取出四個新的財務指標加入模型中。文中考量建設公司的經營特性，將公司公開土地異動資訊整理並量化做為模型中的衡量變數之一。實證結果顯示，獲利能力、Tobin’s Q 比率對股票報酬率有顯著且正向的影響，融資能力與負債比率、資本結構與固定資產周轉、銷售能力對股票報酬率的影響並不顯著，而土地有無交易的資訊公布，使股票報酬率有顯著的正向影響，且當建設公司以營建、合建等開發目的而標購土地時，標購的次數愈多，對股票報酬率亦有正向的影響。而土地交易總坪數方面，在當期下，對股票報酬率並無顯著的影響，但當落後1 至2 季時，則當交易坪數愈大，對股票報酬率會有負向的影響；長期則不受影響。此外，各建設公司不隨時間改變的公司特性對股票報酬率的影響並不顯著，即公司本質的差異並不會明顯地影響到股票報酬率。由時間效果係數值可發現股票報酬率亦明顯受到總體經濟與不動產市場景氣的影響，在探討公司經營績效時應加以注意。

關鍵字

股票報酬率因素分析 ； 追蹤資料分析法 ； Tobin’s Q 比率

並列摘要

In the past, most studies of the determinations of real estate industry stocks focus on the effects of macroeconomic factors, the prosperity of real estate market, the problems and adjustments of stock price lag, and the performance of construction companies. Few research papers analyze the investment of the determinations of real
estate industry stocks in terms of investors. In this paper, investors are assumed to be concerned for the return of their investment in the period of holding the stocks when
they make decisions to invest stocks. Therefore, the research uses Panel Data Analysis Method to examine the relations between operating performance of the companies
and return on investment of the stocks. The data of 29 construction companies in Taiwan from 1999 to 2008 are utilized. In the model, the variables include systemic
risks (β), financial indices, intellectual capital value, and land variation variables. When selecting operation variables, factors analysis of public financial ratios in each company is used to eliminate the multicollinear problems existing in these variables. Four main financial indices are created and employed in the model. The operation
characteristics of the construction companies are also taken into account. The public land variation data of each company are processed to employ in the model after
quantification. The empirical results reveal that rofitability and Tobin’s Q ratio significantly and positively influence return on investment. On the other hand, financing and debt-paying abilities, asset structure, and selling capabilities are not significant factors. The information of the land trade has significant and positive
influence on return on investment. Moreover, the characteristic that construction companies do not change as time passes does not significantly influence return on
investment. In other words, the differences in company natures do not significantly affect return on investment. The coefficients of time-effect show that return on
investment is also influenced by macroeconomic factors and the prosperity of real estate market. Thus, investors are suggested to pay more attention to these factors
when exploring the operating performance of companies.

並列關鍵字

Stock Return ； Factor Analysis ； Panel Data Analysis ； Tobin’s Q Ratio

參考文獻

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