產業月營收變化與股價報酬的關聯性之研究

The Relationship between Monthly Sales and Stock Returns

吳幸姬(Hsing-Chi Wu) ； 李顯儀(Hsien-Yi Lee)

《管理科學研究》 3卷2期 (2006/12) Pp. 61-74

https://doi.org/10.6873/MSR.200612_3(2).0004

摘要

本研究主要在於探討台灣股票市場中，產業月營收變化與股價報酬之間的關聯程度，藉以了解台灣上市公司的月營收變化率是否對股價報酬具有預測的功能。本文利用向量自我迴歸（VAR）模式分別去檢測全體產業、製造業、服務業、電子業與金融業等這五種產業，是否有前述的預測之功能。實證結果發現：除了金融業的產業月營收變化率能對其產業的股價報酬具有預測的功能外，其餘產業的月營收變化率皆無法領先該產業的股價報酬。此結果隱含著產業月營收的訊息是容易被投資人所預期的，使得月營收變化率無法對股價報酬產生預測的功能。

關鍵字

月營收 ； 股價報酬 ； 向量自我迴歸模式

並列摘要

The main purpose of this paper is to explore the relationship between industry monthly sales and stock returns in Taiwan stock market, and whether change of monthly sales can be used to forecast the stock return. This paper uses vector autoregressive (VAR) Model to test the forecast power in five industries (total, manufacture, service, electronic and financial industry). The empirical evidence demonstrates that only monthly sales of the financial industry can be used to forecast the stock returns of financial industry, and the other ones can't. The results imply the industry monthly sales are so easily predicted by investors, that the changes of monthly sales unable to forecast the stock returns.

並列關鍵字

monthly sales ； stock return ； vector autoregressive model