實質選擇權應用於股價與盈餘關係之研究

Abstract

股市是經濟發展之櫥窗，在台灣經濟活動佔有重要地位，過去10年，台灣股市市值佔GDP之比率更達100%以上，有關股市、股價方面之研究更是實務界與學術研究熱門探討之議題。然真正影響股價之最重要因素為何？獲利率？每股盈餘或是未來之成長性？獲利就是股價之保證嗎？除了財務會計指標外，是否有其他新的指標可以作為投資者判斷之重要依據？ 現有有關股價的研究多是聚焦在會計指標與股價之間，對於可能會影響公司未來成長的投資決策很少納入與股價關係的評估中。傳統評估投資專案之方式淨現值法(Net Present Value)、內部報酬率法(Internal Rate of Return)及回收期間法(Pay Back Period)等理論之缺點為假設所有條件都是確定的，忽略決策過程中的「不確定性」。因此，本文以Zhang(2000)的實質選擇權評價模式(Valuation Model)為基礎，探討影響公司投資成長因素，及投資成長如何影響股價與盈餘的關係。其認為若獲利率夠高(或夠低)，則公司會選擇擴充營運(或放棄擴充營運)，此選擇機會創造了選擇權的價值，對獲利率高的公司，擴充營運會提升股價與盈餘關係之盈餘係數，但對低獲利公司而言，擴充營運對股價與盈餘之斜率關係不明顯甚至是負影響。本文以台灣民國86年到96年所有上市公司之實證結果顯示，股價是盈餘的正函數，對高獲利公司而言，股價與盈餘關係之盈餘係數較低獲利公司為高；若將投資成長因素納入考量後，高投資成長又是高獲利公司而言，股價與盈餘關係之盈餘係數較低獲利、低成長公司為大，但若是高投資成長、低獲利公司，則盈餘對股價可能有負面影響，既是高獲利又是高成長公司，其股價與盈餘之斜率更陡、更明顯。本研究發現，在探討影響股價之因素時，除傳統之會計變數外，影響公司未來的投資成長也是一判斷指標，而且對高獲利率公司而言，投資成長對股價與盈餘之斜率將更大，亦即對提升股價效果更大，但對低獲利公司而言，不僅沒效果，對股價還有負影響。

Stock market plays a vital role on Taiwan’s economics activity. Specially, the market value of stock accounts for more than 100% of GNP. It is so popular that triggers keen discussion and research on the variables that will affect stock price. But what variables affect stock price most? Profitability? Earning per share or future growth? Is profitability a guarantee of stock price? Or is there still any other key variable that can provide useful information for investors on their investment decision. Many thesis and researches focus on the relation between stock price and accounting variables but seldom to include endogenous investment growth decision that will affect the company’s future value. This thesis adopt Equity Valuation Model of Zhang(2000) which use real option to investigate what’s the main factor that influence the endogenous investment decision and how the factor influence the relation of stock value and earning. It points out that a firm will choose to expand its operations if the profitability is high enough and the expansion will increase the slope of value-earning. But for low profitability firms, expansion will be insensitive or destructive to the slope of value-earning.

The empirical findings show that stock value is an increasing function of earnings. And after taking endogenous investment growth into consideration, my study shows the following results. First, for high profitability firms, investment growth increases the slope of stock value and earnings. But for low profitability firms, investment growth decreases the slope of stock value and earnings. Second, we find that in additional to traditional accounting variables; investment growth provides another benchmark for stock investors on their investing decision. And for high profitability firms, the impact of earnings on stock value is higher. But for low profitability firms, the impact of earnings on stock value is not significant or even decreasing.