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題名 | 淨值市價比、經營效率與股票報酬--股價反應不足現象=Book-to-Market, Operating Efficiency and Stock Returns: Stock Prices Underreaction Phenomenon |
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作者 | 蔡秋田; 蔡玉琴; 黃美珠; 王媛慧; Tsai, Chiu-tien; Tsai, Yu-chin; Huang, Mei-chu; Wang, Yuan-huey; |
期刊 | 商管科技季刊 |
出版日期 | 20060900 |
卷期 | 7:3 民95.09 |
頁次 | 頁435-452 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 淨值市價比; 經營效率; 股票報酬; 動能生命週期; Book-to-market; Operating efficiency; Stock returns; Momentum life cycle; |
中文摘要 | 基於動能生命週期假說(momentum life cycle hypothesis),本文旨在探討台灣電子業淨值市價比、經營效率與股票報酬之關係,藉以驗證投資人是否對於公開新資訊反應不足。根據動能生命週期,我們以淨值市價比與經營效率變動形成投資組合,檢視股票價格是否及時反映公開新資訊。經營效率係以無母數分析法-Malmquist生產力指數來估計。實證結果顯示,財務報表公告後,基於動能生命週期形成之投資組合能獲取可觀的異常報酬,在控制beta風險、淨值市價比、公司規模等因素下,結論依然穩固。此結果隱含投資人對於公開資訊有反應不足的現象。 |
英文摘要 | Based on momentum life cycle hypothesis, this paper examines the relationship between firm's stock returns and both book-to-market and operating efficiency in Taiwan Electronic Industry. We measure operating efficiency by using nonparametric approach-Malmquist index. Our results indicate that even after taking into the account of the effect of beta risk, book-to-market and size, a portfolio strategy developed from momentum life cycle hypothesis generated strong abnormal returns. This suggests that stock prices do not instantaneously and fully reflect the information disclosed in financial statements. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。