會計基值分析與股價報酬預測-以台灣上市公司為例

Abstract

會計記錄與財務報表是企業與投資人溝通的語言，股價即是企業價值的反應。因此，本研究主要目的之一就是探討會計基值與股價之間的關係。本研究以2005年至2012年台灣上市公司為樣本，以季為單位。經定態測試與共整合檢定，發現台灣上市公司的股價與會計基值之間確實有著長期連動之關係存在。本研究並利用此兩者具有長期關係之發現，推論會計基值比率能預測股價報酬，並以Curtis(2012)剩餘利益折現值與市價比為主要變數的報酬預測迴歸模型進行檢驗，實證結果顯示整體迴歸模型皆具有顯著之解釋力，至此，本研究認為會計基值比率能有效地預測股價報酬。

Accounting is the language between corporation and investor, and price is a reflection of corporation's value. As a result, the purpose of my research is to discover the relationship between accounting fundamentals and price. Using seasonal data of listed companies in Taiwan during 2005 and 2012, by means of stationary test and cointegration test, this research provided the evidence that price co-moves with accounting fundamentals in the long-run. In the second half of my research, we take advantage of this long-run association between price and accounting fundamentals and followed Curtis(2012) to exam the predictability of future return. The empirical result showed that all the forecasting regression models are statistically significant. Therefore, this research regards accounting fundamentals as a predictive index for stock return.