成長股之獲利能力溢酬

Great benefit of growth: The profitability premium

田翔宏(Hsiang-Hung Tien)

指導教授 ： 謝文良

國立交通大學/管理學院/財務金融研究所/碩士(2020年)

摘要

本篇以異於傳統的方式檢測變數建立因子的能力。我們設定目標因子為獲利因子，最終得出的結果為稅後淨利/股東權益(股東權益報酬率, ROE)比起營業毛利/總資產(OGPTA)還要有效。ROE不論在橫斷面的預測能力、判斷成長股是否優質的方面以及其建構的因子對其他異常報酬的解釋力都優於OGPTA。再者，以ROE對市場上所有的股票進行排序後買進ROE最高的組別、賣出ROE最低組別所建構之策略，其報酬差比以OGPTA建構之策略還要高。OGPTA已經被Novy-Marx (2013)證實為一優質的獲利能力變數，以OGPTA排序能帶來顯著報酬差，並且進一步對BM(book-to-market)比率進行控制後，能再提升OGPTA策略的報酬。反之亦如是，控制OGPTA後的BM策略相對於Fama and French控制市值的BM策略，報酬也能顯著提升。而ROE也有如出一轍的效果，甚至正為強烈。這兩個變數(ROE、OGPTA)所建構的策略都帶有成長型股票的特徵，其BM偏高，此現象也呼應了為甚麼控制BM能提升這ROE和OGPTA策略的報酬。最後，本篇以調整因子(控制ROE的價值因子、控制BM的ROE因子)建構了調整因子模型，此模型對台灣市場有關獲利能力的異常報酬都有著良好的解釋力。

關鍵字

稅後淨利/股東權益 ； 獲利因子 ； 獲利因子溢酬 ； 獲利因子投資策略 ； 淨值市價比率溢酬

並列摘要

We create a new way determining which variable is better for constructing factors. We test it on profitability variables. Results show that returns on equity, ROE, is a better variable for constructing conditioning profitability factor than OGPTA in Taiwan stocks market. OGPTA, which equals to the ratio of a firm’s gross profits to its total assets, has been shown that its predicting power on cross section of average stocks returns is better than BM in Novy-Marx (2013). ROE, which equals to net income divided by equity, dominate OGPTA on cross-sectional predicting power, ability of finding which growth firms of big firms are good and explanatory power on anomalies. Profitability strategies, which sorts stocks on ROE and longs profitable firms and shorts unprofitable ones, generate higher positive return spread than one constructed by sorting on OGPTA. As in Novy-Marx (2013), further condition on B/M increases returns of ROE strategies, especially in the highest profitable portfolios, and further condition on ROE increase returns of value strategies as well. Value strategy conditioned on ROE earns a higher return than on OGPTA. Both these two profitability strategies carry growth-like characteristic, profitable firms tend to be growth firms and unprofitable firms tend to be value ones. The most important result, adjusted model which replacing HML with HMLROE and added ROE factor explains most profitability anomalies in Taiwan stocks market. But one use OGPTA as profitability variable explains only half of anomalies.

並列關鍵字

ROE ； profitability factor ； profitability premium ； ROE strategy ； B/M ratio premium

參考文獻

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