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題 名 | 運用隨機優勢模式探討本益比資訊內容 |
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作 者 | 李佳玲; | 書刊名 | 高苑技術學報 |
卷 期 | 2 1993.02[民82.02] |
頁 次 | 頁133-144 |
分類號 | 563.54 |
關鍵詞 | 本益比效應; 隨機優勢模式; 規模; 盈餘循環; PE effect; Stochastic dominance; Size; Earning cycle; |
語 文 | 中文(Chinese) |
中文摘要 | 國外大量的研究提明,較低本益比所形成的投資組合可獲得較高的報酬,此即所謂的「本益比效應」,台灣亦有許多本益比方面的實證文獻偏向無本益比效應存在,但較少與其他變數結合。且研究方法多以資本資產定價模式為主,然此模式假設投資者為風險規避者,報酬呈常態分配。 本研究嘗試以隨機優勢模式再測試本益比資訊內容,並選出三項影響本益比的重要變數,分別為規模、盈餘循環及高低及股價期等變數,再分別探討這三個變數對本益比資訊內容的影響。 研究結果指出加入其他變數後,其結果比單純本益比效應更顯著。並發現本益效應是否存在,與高低股價期具高度相關。根據研究結果建議,投資人在高股價期及盈餘擴展組、減縮組採高本益比策略,在低股價期及盈餘均衡組內投資低本益比組合。分析造成台灣股市此種現象之可能原因,主要可歸自於股價同時反映基本資訊及雜訊,投資人因而面臨交易風險及未來股票變賣的價格風險(Resale price risk)在高股價期投資人預期未來股 價會更高,因而怕錯失帶來股價更高的套利機會,所以在高股價期偏好高本益比組合。 |
英文摘要 | Lots of foreign literature show that low P/E stocks outperform high P/E stocks, that is so called "P/E effect". However, The empirical evidences on Taiwan stock market show different results. This research tests P/E information content by a method known as stochastic dominance rules. Then. I observed earlier researchs that indicate companies' P/E ratios are highly relative to their sizes, earning cycles and high/low stock price phrase. In this research, I construct portfolios with P/E ratio, and matching P/E with sizes, earning cycles and high-low phrase I analyze the performance of various P/E portfolios with the above five variables within the Stochastic Dominance framework. The results indicate that P/E ratios are highly relative to high/low price of stock market, whether it is significant or not. Considering companies' sizes, earning cycles and growth. P/E effect appears more significant. Fundamental information and noise can explain these events. |
本系統中英文摘要資訊取自各篇刊載內容。