中國大陸上市公司之股價與大盤連動性與盈餘與總體連動性之關係

Abstract

本論文探討中國大陸上市公司之股價與大盤連動性與盈餘與總體連動性之間的關係。更進一步檢視不同的產業別，是否存在股價與大盤連動性與盈餘與總體連動性間有不同的關係。以及各產業間之所以有兩者關係的不同，造成的可能因素為何。本研究提出五大假說，試圖觀察不同的會計beta，如何呈現中國大陸上市公司之股價與大盤連動性與盈餘與總體連動性之間的關係。 實證結果發現，投資性房地產淨額佔資產比例越高的產業，稅前利潤beta、每股盈餘beta、淨利潤率beta、資產報酬率beta與股東權益報酬率beta與市場beta之間的差異越大。但是農林漁牧產業的投資性房地產比例並無特別高，卻在稅前利潤beta、每股盈餘beta、淨利潤率beta項目，與市場beta之間的差異亦明顯。可能因為其持有的房屋或土地並非投資性資產，而是用作生產的不動產，因而造成此現象。此研究結果為中國大陸上市公司之股價與大盤連動性與盈餘與總體連動性之間的差異，提供可能之解釋變數。

This thesis investigates the relationship between capital market Beta and accounting Beta for Chinese public companies. It also illustrates if the relationships among these factors are different in distinct industries. Furthermore, it provides explanations to these differences. Specifically, I compare several accounting beta measures with market betas under five hypotheses to see the relationship between share prices and the market index and company earnings and overall earnings for Chinese public companies. This study documents that the differences is significant between each of income before tax beta, earnings per share beta, net income ratio, return on asset and return on equity and market beta for real estate industry. However, for Agriculture, Forestry, Fishery and Animal Husbandry industries, there are also clear differences between each of income before tax beta, earnings per share beta and net income ratio and market beta. It may be because we did not take real estate for production into account, but only invested property.