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標題: | 股價報酬率與董監持股、法人持股及經營績效之關係—臺灣資訊科技指數成分股之驗證 The Relationship between Stock Returns and the Shareholding Ratio of Directors, Supervisors, Institutional Investors and Financial Performance—Evidence from FTSE TWSE Taiwan Technology Index |
作者: | Chiu-Hua Lo 羅秋華 |
指導教授: | 謝德宗(Der-Tzon Hsieh) 謝德宗(Der-Tzon Hsieh | dthsieh@ntu.edu.tw | ), |
關鍵字: | 董監持股,法人持股,財務指標,股價報酬,追蹤資料, shareholdings of directors and supervisors,institution investors,financial performance,stock return,panel date model, |
出版年 : | 2022 |
學位: | 碩士 |
摘要: | 本研究以2016~2020五年季資料,臺灣資訊科技指數成分股作為研究標的,將影響股價報酬的因素分為籌碼面,基本面及系統風險三類,選取7項指標,籌碼面包含董監持股比率、外資持股比率及投信持股比率,基本面挑選代表公司經營獲利成效的三項指標,包含資產報酬率ROA、股東權益報酬率ROE及稅後淨利率,以及代表系統風險的加權股價指數報酬率,利用追蹤資料固定效果模型探討指標與股價報酬率的相關性。實證結果顯示外資持股比率、投信持股比率,加權股價指數報酬率、資產報酬率、股東權益報酬率和稅後淨利率對股價報酬率皆呈現顯著正相關,董監持股比率對股價報酬率呈現負相關但非全部顯著。 實證顯示,掌握財報中的獲利指標,即可有效率的掌握股票獲利機會,再者,留意外資與投信持股比率也可作為中長期投資的參考,而投信持股比率的走向,指標性更甚外資持股比率。 This study uses the five-year quarter data from 2016 to 2020, and the constituent stocks of the Taiwan Information Technology Index as the research object, and divides the factors affecting stock price returns into three categories: chip surface, fundamentals and system risk, and selects 7 indicators. The chip surface includes shareholding of directors and supervisors, foreign investors and SITEs, the fundamentals select three indicators that represent the company's operating profitability, including return on assets ROA, return on shareholders' equity ROE and after-tax net interest rate, as well as TWSE_Taiwan Se Weighted Index representing system risk, using panel data fixed effect model to explore the correlation between indicators and stock price returns. The empirical results show that the ratio of foreign investors and SITEs, the TWSE Taiwan Se Weighted Index return, the return on assets, the return on shareholders' equity and the after-tax net interest rate all have a significant positive correlation with the return on stocks, and the shareholding ratio of directors and supervisors has a negatively correlated but not all significant with the return on stocks. Empirical evidence shows that by grasping the profit indicators in the financial report, you can effectively grasp the stock profit opportunities. Furthermore, paying attention to the ratio of foreign investors and SITEs can also be used as a reference for medium and long-term investment. SITEs is more important than foreign shareholding ratio. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84546 |
DOI: | 10.6342/NTU202203537 |
全文授權: | 同意授權(限校園內公開) |
電子全文公開日期: | 2022-09-30 |
顯示於系所單位: | 經濟學系 |
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