本益比、市淨率與投資報酬關係之研究

Abstract

一般在衡量企業之基本價值時，投資者常常會使用本益比(Price-Earning Ratio)與市淨率(Market - Price - to - Book Ratio)二個會計比率。但此兩個會計比率係導源於不同之理論假設，故其對價值之衡量可能會產生不一致的結果，Palepu, Bernard and Healy(1996)即依這二個比率之可能關係將公司分成四種類型： 第一類型－成長之星：高本益比，高市淨率。 第二類型－墮落之星：低本益比，高市淨率。 第三類型－復原型公司：高本益比，低市淨率。 第四類型－狗型企業：低本益比，低市淨率。 雖然Palepu, Bernard and Healy(1996)提出了這個有意義之分類，但他們並未說明或解釋這樣分類對企業價值分析的涵意及影響。本研究之目的，一則以台灣之上市公司為樣本，探討其投資報酬與本益比及市淨率之相關性，二則探討如何利用此分類，讓我們更清楚瞭解投資報酬、本益比與市淨率之動態關係，是否某一類型之公司其投資報酬會明顯高於其他類型？三則探討自初始年(民國87年或首次上市年)至民國96年期間，各公司有無循一定的模式演變？ 經實證研究結果發現： 一、民國96年底各所選產業之市淨率較能解釋報酬率的變動，本益比則較不能解釋投資報酬率的變動。 二、四種類型公司中以第二類型公司之投資報酬，顯高於第三類型及第四類型公司。 三、各公司演變模式自初始年至民國96年之演變模式各有不同，整體而言，初始年為成長之星，較有機會於民國96年仍為成長之星或轉變成墮落之星；初始年為墮落之星，於民國96年演變為復原型公司或狗型企業之比重相當高；另初始年為復原型或狗型企業亦有極高機率於民國96年時仍屬於復原型或狗型企業。

In business or firm valuation, investors commonly use price-earning (P/E) ratio and market-price-to--book (P/B) ratio to assess if a firm’s stock price reflects its fundamental value. Since the two ratios are derived based on different theoretical assumptions, both may not be consistent. With the possible relations of P/E and P/B, Palepu, Bernard, and Healy (1996) classify the firms with high P/E and P/B as “rising stars”, the firms with low P/E and high P/B as “falling stars”, the firms with high P/E and low P/B as “recovering firms”, and the firms with low P/E and P/B as “dogs”. Palepu, Bernard, and Healy (1996) provide a framework of classification, but they do not explore further to show the implications of their grouping to the business valuation. The purposes of this research, the first one is to analyze the relationships of P/E, P/B and return using regression model based on samples of listing companies in Taiwan, the second one is to more understand the active relationship of P/E and P/B ratios using above classification way. The third one is to understand the movement of the four typies of the companies. Results indicates that： 1.Using market-price-to--book (P/B) ratio is having obviously explanations ability on stock return rather than price-earning (P/E) ratio in 2007. 2.The type of “falling stars” shows higher return of the investment than “recovering firms” and “dogs”. 3.The companies with low P/B, classified as the “recovering stars” and “Dogs” have higher probability to become worse or to stay in the same status.