效率與股價報酬關聯-Fama and French多因子模型應用

Abstract

股價超額報酬為投資者所關心之議題，過去Fama and French建構三因子模型，試圖以市場、規模、淨值市價比等效應解釋股價之超額報酬，然而過去文獻顯示，市場仍有超額報酬無法被三因子完全解釋，本研究欲以經營效率為考量出發，另建構一效率因子，假設公司經營越有效率則超額報酬越高，探討效率因子與股價超額報酬之關係，期許此因子能夠更加完善解釋台灣股市超額報酬之現象。 在效率因子指標選擇的部分，本研究觀察到近五年台灣上市櫃公司財報數據顯示每股盈餘成長率有下降趨勢，甚至低於每股保留盈餘成長率，認為此現象象徵著公司未能善用前期盈餘保留以創造未來獲利，存在盈餘資金有所閒置的風險，對股價報酬可能有負面影響，因此本研究令每股盈餘成長率與前一期每股保留盈餘成長率之差為公司經營效率因子，探討該效率因子與股價之關聯，採用Fama and French三因子建構方式，進一步建構四因子模型探討四因子對台灣股市超額報酬整體解釋力，以及其在不同產業個別因子的影響程度。 實證結果發現： 1.超額報酬多由市場因子所解釋，四因子模型仍存在無法被解釋的超額報酬。 2.除了市場效應存在於各產業之外，規模效應存在於生技醫療產業，淨值市價比效應存在於航運、生技醫療、電腦及周邊產業，效率效應則存在於重視研發、固定資產投資比率較高的科技、生技醫療產業，依據實證結果，不同產業應以不同指標選股建構投資組合與分散風險。

Stock excess return is an issue which investors focus most. Fama and French had built three factor model to explain the stock excess return by market, size, and book value to market value ratio effect. However, the model can’t explain all the stock excess return. To explain the stock excess return more completely, this research builds another factor from efficiency aspect, investigating the relationship between company efficiency and stock excess return. During the past 5 years, the growth rate of EPS is decreasing and even below the growth rate of retained earnings per share. It might be a signal that the companies are running inefficiently and could not make more profit consistently. The signal might have negative impact on stock return. As a result, this research uses EPS’s growth rate minus previous growth rate of retained earnings per share as efficiency factor and then add this factor to Fama and French three factor model, aiming to form a better model to explain the individual stock return in different industries of Taiwan stock market. The following are the empirical results： 1.The excess stock return is primarily explained by market factor. However, there are significant excess returns that still can’t be explained by four factor model. 2.Except for market factor, there are other factors could explain the excess return in different industries. Size effect exists in biopharmaceutical industry. B/M ratio effect exists in shipping, biopharmaceutical, and computer industries. Efficiency effect exists in technology and biopharmaceutical industry. According to the empirical results, investors should construct portfolios by different criterion in different industries.