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    Please use this identifier to cite or link to this item: http://ir.lib.ksu.edu.tw/handle/987654321/28149


    Title: 以公司市值、本益比、股價淨值比與股價營收比解釋台灣股票報酬能力之實證研究
    其他題名: An Empirical Study on the relationship between Firm Size, Price-to-Earnings Ratio, Price-to-Book Ratio, Price Sales Ratio and Taiwan stock returns
    Authors: 張博雅
    Chang, Po-Ya
    指導教授: 許昭民
    Hsu, Chao-Min
    Keywords: 投資報酬率;股價營收比;股價淨值比;本益比;公司市值
    price sales ratio;rate of return on investment;price-to-book ratio;Firm Size;price-to-earnings ratio
    Date: 2017
    Issue Date: 2018-02-01 12:35:31 (UTC+8)
    Abstract: 本研究依公司市值、本益比、股價淨值比、股價營收比,將台灣股市各分為五群投資組合,並採每月換股策略,利用敘述性統計、變異數檢定及Duncan事後檢定,探討台灣股價報酬率與公司市值、本益比、股價淨值比、股價營收比等相關變數間的關係。實證結果發現,第一,若以單一變數建構投資組合,市值前20%投資組合,在三種不同類別股票中,以電子類股票平均報酬率最高且投資風險也最高,而市值80%-100%的投資組合其平均報酬率與風險,無論在那一類股票均顯示為低報酬與低風險。本益比前20%的投資組合,其平均報酬率無論在那一類股票中皆最高,而在全體上市櫃股票、電子類股票中風險則以本益比前20%時最高。股價淨值比前20%投資組合平均報酬率無論在那一類股票中皆為最高。股價營收比前20%投資組合平均報酬率最高,且從報酬風險比來看也較高。第二,若以雙變數建構投資組合,在規模-本益比分群,以市值前20%與本益比前20%之投資組合無論在那一類股票中,其報酬率較高,且為正報酬;市值80%-100%與本益比80%-100%投資組合為負報酬。在規模-股價淨值比分群,市值前20%與股價淨值比前20%投資組合報酬率較高,而市值80%-100%與股價淨值比80%-100%投資組合為負報酬。在規模-股價營收比分群,市值前20%與股價營收比前20%投資組合報酬率較高,而市值80%-100%與股價營收比80%-100%投資組合為負報酬。因此考慮單一變數下,報酬率與風險比均會隨著市值、本益比、股價淨值比與股價營收比越大而越高。若同時考慮兩種變數建構之投資組合,發現市值越大-本益比越大、市值越大-股價淨值比越大及市值越大-股價營收比越大的組合,其報酬率較高。
    This study examines the relationship between the firm size, price-to-earnings ratio, price-to-book ratio, price-to-sales ratio and stock returns in Taiwan market. The main results are as follows:1. In single-variable investment portfolio, the stock return of the electronic technology stock is the highest in top 20% firm size. The stock return of firm size between 80%-100% is the lowest. In addition, the average returns of stocks of portfolio of top 20% price-to-earnings ratio, top 20% price-to-book ratio and top 20% price-to-sales ratio are the highest.2. In two-variable investment portfolio, it is found that the stock return of the top 20% firm size and top 20%price-to-earnings ratio portfolio is positive and the highest. The average return of the firm size between 80%-100% and the price-to-earnings ratio between 80%-100% portfolio is underperforming. In addition, the average return of top 20% firm size and top 20% price-to-book ratio portfolio is positive and the highest. The average returns of firm size between 80%-100% and the price-to-book ratio between 80%-100% portfolio is underperforming. Also, the average return of top 20% firm size and top 20% price sales ratio portfolio is positive and the highest. The average return of firm size between 80%-100% and top 20% price sales ratio portfolio is underperforming.In sum, in one-variable investment portfolio, the bigger the firm size, price-to-earnings ratio, price-to-book ratio and price sales ratio, the higher the average return. On the other hand, in two-variable investment portfolio, the bigger the firm size & price-to-earnings ratio, firm size & price-to-book ratio, and firm size & price sales ratio, the higher the average return.
    Appears in Collections:[全球商務與行銷系暨國際商務與金融研究所] 博碩士論文

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