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題名 | 廠商生產效率與股票報酬之關聯--資料包絡分析法的應用=The Association between Technical Efficiency Innovations and Stock Returns: An Application of Data Envelopment Analysis |
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作者 | 蔡秋田; 王媛慧; Tsai, Chiu-tien; Wang, Yuan-huei; |
期刊 | 工業工程學刊 |
出版日期 | 20040300 |
卷期 | 21:2 2004.03[民93.03] |
頁次 | 頁136-145 |
分類號 | 494.73 |
語文 | chi |
關鍵詞 | 技術效率; 資料包絡分析法; 股票報酬; 異常報酬; Technical efficiency; Data envelopment analysis; Stock returns; Abnormal returns; |
中文摘要 | 本文旨在探討台灣電子業生產效率變動與股票報酬之關聯。生產效率係用以評估廠商於生產過程中,善用投入與極大產出之能力;而股票報酬可以反映廠商之價值。生產效率係採用資料包絡分析法 (data envelopment analysis, DEA) 估計,然後,形成避險性投資組合,對於生產效率好轉廠商之股票採買進策略;對於生產效率轉差廠商之股票則採賣空策略。實證結果顯示,當持有投資組合達12個月時,可以獲得正的累積異常報酬;而且在控制beta風險、未預期盈餘、益本比、淨值市價比、以及廠商規模等因素後,生產效率變動對於未來股票異常報酬之解釋能力仍然顯著。 |
英文摘要 | This paper examines the association between two measures of a firm’s performance in Taiwan Electronic Industry: its relative technical efficiency scores and its stock market returns. The first measure evaluates a firm’s competence at combining inputs and outputs in its production process while the second measure reflects firm’s fundamental value. We measure technical efficiency scores by using Data envelopment analysis (DEA). Then a hedge portfolios strategy, of buying firms with the most positive efficiency news and short-selling those with the worst news, is formed in turn. Empirical results indicate that the strategy yields positive buy-and-hold abnormal returns. More importantly, the addition of variables designed to capture beta risk, unexpected earnings, earnings-to-price, book-to-market and size has no impact on the robustness of technical efficiency to predict future returns. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。