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標題: | 股價低於面額或淨值之特徵與未來股票報酬率之關聯性-
以台灣市場為例 The relationship between characteristics of prices below face value, prices below book value and change of future return:Evidence from Taiwan Market |
作者: | Shang-Fu Fu 傅上福 |
指導教授: | 劉啟群 |
共同指導教授: | 尤琳蕙 |
關鍵字: | 淨值市價比,面額,股票報酬率, book-price ratio,face value,stock return, |
出版年 : | 2016 |
學位: | 碩士 |
摘要: | 本研究主要目的為探討於台灣股票市場中 2004 至 2013 年間之上市上櫃公司,股價低於面額、股價低於淨值、股價低於面額且低於淨值之股票與股票報酬率之關聯性。
本研究實證結果顯示,在台灣股票市場中,股價低於面額股票在未來三年度皆有超額股票報酬率,股價低於淨值公司在未來二年度皆有超額股票報酬率,而同時低於面額與淨值公司則在未來二年度皆有超額股票報酬率。資產報酬率、淨值市價比、財務槓桿比率、現金資產比重及營業利益率與股票報酬率亦有相當程度之關聯性。此外,本研究驗證台灣股票市場中存在規模效應,且與股價低於面額公司具有關聯性。 The main purpose of this study is to explore the Taiwan stock market from 2004 to 2013 of the publicly traded company, the relevance of stocks return between the stock price below face value, the stock price below book value and the stock price below face value and book value. The empirical results of this study show that in the Taiwan stock market, the stock price below face value in the next three years has excess stock returns, the stock price below book value of the company in the next two years has excess stock returns, the stock price below face value and book value of the company in the next two years has excess stock returns. Also return on assets, price-book ratio, leverage ratio, the proportion of cash assets and operating profit margin have a considerable degree of relevance with stock returns. In addition,this study verify the existence of economies of scale in the Taiwan stock market,and the stock price below face value have relevance. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19416 |
DOI: | 10.6342/NTU201600597 |
全文授權: | 未授權 |
顯示於系所單位: | 會計學系 |
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