財報資訊與股價報酬率關係的實證研究-以美股S&P 500的產業為例

Abstract

過往無論是學界或業界都對股價是否反映基本面財報資訊深感興趣，許多文獻以此為研究議題做探討，但哪些財務變數能完全反映股價或股價報酬率仍有分歧，不同產業對公司股價與股價報酬率也有不同的財務變數。本研究以此為目的希望能為投資人在做基本面分析和產業研究時提供投資決策基礎。 本研究以2010年至2018年S&P500指數成分股的上市公司為樣本，並以GICS (Global Industry Classification Standard)做產業分類，透過建立多元迴歸模型，檢驗全體與不同產業的成份股財報季底結束後一個月與後一季的股價報酬率是否與基本面財務變數具顯著相關性，除了驗證財報資訊何時開始反映在股價報酬率也同時找出各產業具顯著相關性的財務變數。 實證結果發現財報資訊對股價報酬率最具相關性的在季底結束後的一個月，而全體而言每股盈餘、帳面市值比、盈餘殖利率、毛利率與營業收入成長率對季底結束後一個月的股價報酬率有顯著正相關性，每股淨值則為顯著負相關性。各產業公司的股價報酬率具有各自顯著的財務變數，一般認為高股息率的產業類別如電信業務類股與公用事業類股，經實證研究證實股利殖利率確實與季底結束後一個月的股價報酬率有顯著正相關。其中普遍認知的選股標準股東權益報酬率(ROE)則無論哪一個產業皆對季底結束後一個月的股價報酬率均無顯著關係，而金融產業季底結束後一個月的股價報酬率則與資產報酬率(ROA)有顯著正相關。

Investors are interested in using fundamental analysis to predict stock price in order to pursue high stock return. To provide a standard for investors making investing decision, this study uses multiple regression analysis to find significant factors relevant to stock return. This study also classified the sample by industries to find the factors that are relevant to stock return in different industries. Samples are the components of S&P500 index from the Bloomberg database. We start with the constituents from 2010 to 2018. And the study examines the eleven sectors in the Global Industry Classification System (GICS). By conducting empirical research, we find that earning per share, book-to market ratio, earning yield, gross profit margin and sales growth rate are significantly positive relevant to stock return one month after the quarter while book value per share is significantly negative. We also prove that dividend yield is highly relevant to quarterly stock return in telecommunication service and utility sectors.