公司相對獲利能力與股票報酬對產業層級消息之敏感性－以台灣上市公司為例

Abstract

本研究參考Hao, Jin, and Zhang (2011)之研究設計，以台灣上市公司為研究對象，並以2002至2011年為研究期間，探討公司在所處產業中的相對獲利能力，如何影響股票報酬對於產業層級消息（industry-level news）之敏感性。本研究根據古諾模型（Cournot Model）得出下列二個假說：（1）在某一產業中，與獲利能力較佳之公司相比，獲利能力較差者，其股票報酬對於產業層級消息的敏感性較高；即相對獲利能力與股票報酬敏感性具有反向關係；（2）當產業層級消息為正時，由相對獲利能力所引起的股票報酬敏感性差異較為明顯；即相對獲利能力在產業層級消息為正與產業層級消息為負時，對於股票報酬敏感性具不對稱之影響力。 本研究以股東權益報酬率（ROE）做為獲利能力之衡量指標，並以產業平均股票報酬做為產業層級消息之代理變數。實證結果符合前述預期，即相對獲利能力與股票報酬敏感性具有反向關係；且當產業層級消息為正時，由相對獲利能力所引起的股票報酬敏感性差異較為明顯。為檢驗主要分析結果之穩健性（robustness），本研究進一步將獲利能力之來源拆分為成本效率（cost efficiency）與市佔率（market share）兩個基本要素，進行迴歸分析。除此之外，另以其他替代指標衡量相對獲利能力及產業層級消息，以確認主要迴歸結果並非因特定指標之選用而產生。穩健性測試之結果亦支持相對獲利能力與股票報酬敏感性為反向關係之預期。

Based on the Cournot Model, Hao, Jin, and Zhang (2011) predicted that stock returns of less profitable firms in an industry are more sensitive to industry-level news. In other words, relative firm profitability is inversely related with stock return sensitivity to industry-level news. Further, considering the effect of capacity limit, they suggested that this inverse relation between relative profitability and return sensitivity is more pronounced when there is positive industry news. Using industry returns as the proxy for industry news, they found results consistent with their predictions. This study uses a sample of listed Taiwanese companies that have available data from years 2002-2011 to examine the notions suggested by Hao et al. (2011). Based on the research design of Hao et al. (2011), this study performs regression analyses and finds empirical evidence consistent with their predictions. Using alternative measures of relative profitability and industry news as robustness tests, the result that relative firm profitability is inversely related with stock return sensitivity to industry-level news remains unchanged.