P/S值是否能預測股價走勢-以台灣產業為例

Abstract

市場評估股票價值的指標有許多種，本論文參考Danielson and Lipton (2012) 的研究，並使用台灣股市的資料來進行實證，如何從一家公司股票的股價每股營收比(price-to-sales，以下簡稱P/S)來量化其預期成長。 本研究結果顯示，擁有高股價每股營收比(P/S)的公司會面對巨大的成長預期：他們必須讓營運規模倍數增加以調整其股價，但理論上只有最小型的公司能達到此要求，多數擁有最高的絕對股價每股營收比(P/S)的公司 (定義：當以P/S排序時，排名在樣本池前5%) 基本上無法實現市場對它們的高度成長預期，所以遭受股價下滑之苦。 由於股價每股營收比(P/S)在不同產業板塊間的差距很大，故本文將選用台灣股市單一產業下的股票來進行檢視與研究。實證結果顯示，投資者可以利用股價每股營收比(P/S)來鑑定哪些公司的股價很有可能會下降，並且避開或是放空這些股票。

There are many valuation metric proposed for stock pricing. Based on Danielson and Lipton (2012), this paper uses Taiwan stock market data to show how to quantify a firm’s growth expectations from its price-to-sales ratio (P/S). This approach reveals that high P/S firms face tremendous growth expectations. However, because typically only the smallest of firms can achieve sales growth of this magnitude, many high P/S firms do not fulfill expectations and suffer stock price declines. Since P/Ss vary greatly from market sector to sector, so they are most useful in comparing similar stocks within a sector or sub-sector. Thus, this paper uses data from only one industry sector of Taiwan stock market. The empirical results confirm that investors can use the P/S to identify firms with stock prices that are likely to fall and either avoid or short these stocks.