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

Chih-Yu Lin; 林芝伃

請用此 Handle URI 來引用此文件： http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21714

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.advisor	姜堯民
dc.contributor.author	Chih-Yu Lin	en
dc.contributor.author	林芝伃	zh_TW
dc.date.accessioned	2021-06-08T03:43:41Z	-
dc.date.copyright	2019-06-08
dc.date.issued	2019
dc.date.submitted	2019-06-04
dc.identifier.citation	中文部分 1. 蕭義展，2001，財務報表資訊內涵與股價報酬率的關聯性，國立中山大學經濟學研究所碩士論文。 2. 楊淑如，1992，股票基本分析指標獲利性之研究─公司因素，國立台灣大學財務金融研究所碩士論文。英文部分 [1] Abarbanell, J. S. and B. J. J. A. R. Bushee (1998). 'Abnormal returns to a fundamental analysis strategy.' 19-45. [2] Abarbanell, J. S. and B. J. J. J. o. a. r. Bushee (1997). 'Fundamental analysis, future earnings, and stock prices.' 35(1): 1-24. [3] Agnes Cheng, C., et al. (1993). 'On the usefulness of operating income, net income and comprehensive income in explaining security returns.' 23(91): 195-203. [4] Anwaar, M. J. G. J. o. M. and B. Research (2016). 'Impact of firms performance on stock returns (evidence from listed companies of ftse-100 index london, uk).' [5] Ball, R. and P. J. J. o. a. r. Brown (1968). 'An empirical evaluation of accounting income numbers.' 159-178. [6] Ball, R., et al. (2015). 'Deflating profitability.' 117(2): 225-248. [7] Benjamin Graham and David L. Dodd (1951). Security analysis, McGraw-Hill New York. [8] Bhandari, L.C. (1988). 'Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence.' 43(2): 507-528. [9] Collins, D. W., et al. (1997). 'Changes in the value-relevance of earnings and book values over the past forty years.' 24(1): 39-67. [10] Fama, E. F. and K. French (1988). 'Dividend yields and expected stock returns.' Journal of Financial Economics 22(1): 3-25. [11] Fama, E. F. and K. R. J. t. J. o. F. French (1992). 'The cross‐section of expected stock returns.' 47(2): 427-465. [12] Fama, E. F. and K. R. J. T. j. o. f. French (1995). 'Size and book‐to‐market factors in earnings and returns.' 50(1): 131-155. [13] Goetzmann, W.N. and P. Jorion(1993). 'Testing the Predictive Power of Dividend Yields.' 48(2): 663-679. [14] Lev, B. and S. R. J. J. o. A. r. Thiagarajan (1993). 'Fundamental information analysis.' 31(2): 190-215. [15] Lewellen, J. J. J. o. F. E. (2004). 'Predicting returns with financial ratios.' 74(2): 209-235. [16] Lipe, R. C. (1986). 'The Information Contained in the Components of Earnings.' Journal of Accounting Research 24: 37-64. [17] Novy-Marx, R. (2013). 'The other side of value: The gross profitability premium.' Journal of Financial Economics 108(1): 1-28. [18] Ou, J. A. and S. H. Penman (1989). 'Financial statement analysis and the prediction of stock returns.' Journal of Accounting and Economics 11(4): 295-329. [19] Seng, D., et al. (2012). 'Fundamental analysis and the prediction of earnings.' 7(3): 32. [20] Warren E. Buffett (1996). “An Owner’s Manual.”
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21714	-
dc.description.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。	zh_TW
dc.description.abstract	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.	en
dc.description.provenance	Made available in DSpace on 2021-06-08T03:43:41Z (GMT). No. of bitstreams: 1 ntu-108-R06723017-1.pdf: 2375718 bytes, checksum: db5539b4a77bba8d0df8011d7044e6d3 (MD5) Previous issue date: 2019	en
dc.description.tableofcontents	口試委員會審定書.................i 誌謝............................ii 中文摘要........................iii 英文摘要........................iv 第一章緒論..........................1 第一節研究背景.............1 第二節研究動機與目的......1 第二章文獻探討......................2 第三章研究方法與實證模型.........5 第一節資料與變數說明.........5 第二節實證模型設定...........7 第四章實證結果與綜合分析..........9 第一節實證結果與分析.........9 第二節各產業迴歸結果.........15 第五章結論與建議.................28 第一節結論..................28 第二節建議..................29 參考文獻.............................30
dc.language.iso	zh-TW
dc.title	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	zh_TW
dc.title	Empirical Study on the Relationship between Financial Factors and Stock Return- S&P 500 Sectors	en
dc.type	Thesis
dc.date.schoolyear	107-2
dc.description.degree	碩士
dc.contributor.oralexamcommittee	王錦瑩,黃柏凱
dc.subject.keyword	股價報酬率,多元迴歸模型,財務變數,	zh_TW
dc.subject.keyword	stock return,multiple regression analysis,	en
dc.relation.page	31
dc.identifier.doi	10.6342/NTU201900840
dc.rights.note	未授權
dc.date.accepted	2019-06-04
dc.contributor.author-college	管理學院	zh_TW
dc.contributor.author-dept	財務金融學研究所	zh_TW
顯示於系所單位：	財務金融學系

文件中的檔案：

檔案	大小	格式
ntu-108-1.pdf 未授權公開取用	2.32 MB	Adobe PDF

顯示文件簡單紀錄

系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。