查詢結果分析
來源資料
頁籤選單縮合
題 名 | 臺灣股市財務資訊與證券報酬之關係=The Relationship between Financial Data and Stock Returns in the Taiwan Stock Market |
---|---|
作 者 | 劉聰衡; 徐靖志; 戴儀哲; | 書刊名 | 商學學報 |
卷 期 | 5 1997.06[民86.06] |
頁 次 | 頁251-274 |
分類號 | 563.53 |
關鍵詞 | 股票報酬; 財務資料; 累計會計資料; 分項會計資料; Stock return; Financial data; Aggregated accounting data; Disaggregated accounting data; |
語 文 | 中文(Chinese) |
中文摘要 | 早期臺灣股市投機氣氛濃厚,財務資訊與股票報酬之關係薄弱,因而在之前國內有關盈餘與股票報酬關聯性的研究結果,大部分顯示盈餘與股票報酬之關聯性不高。但近幾年來,國內股市已漸步上正軌,市場更加健全、成熟;此外,根據國外的研究,當累計報酬期間增加,除了盈餘外,帳面價值及損益表和資產負債表所揭露之財務資訊,對股票報酬相當具有解釋能力,由於國內這方面的研究尚未完備,並且目前臺灣證券市場已日臻成熟,故本研究旨在探討在不同累計期間下,臺灣股市財務資訊與股票報酬之關係。 本研究以民國八十年第一季至八十三年第四季為研究期間,採用季資料從事研究,共使用142家第一類、第二類上市股票為樣本,運用迴歸分析方法研究在不同長短期間(一季、四季、八季及十六季等四種期間)下,財務資訊與服票報酬之關聯性,以瞭解迴歸模型的修正後判定係數是否會隨著累計期間增長而增加。此外,亦在探討第一類服及第二類股之市場效率是否存在差異。本文之研究結果顯示: 臺灣股市股票上市公司之財資訊與股票報酬間確實具有關聯性存在,就平均水準而言,累計報酬期間愈長,則盈餘、幅長價值及損益表和資產負債表等財務資訊對股票報酬的解釋能力的確愈高。 以不同報酬期間下之累計盈餘做股票報酬之解釋變數和單純以最末期之盈餘做解釋變數相比較,發短期下二者解釋能力相差不大,但長期下累計盈餘顯然為較佳之解釋變數。 若把第一類股及第二類股分開探討,則可明顯發現第一類股財務資料與股票報酬之關係較密切,而第二類股關聯性則較薄弱,顯示第一類股效率性較高,而第二類股則投機氣氛超越第一類股。 |
英文摘要 | There is a lot of research focuses on the relationship between stock price and accounting return recently in the U.S. Generally, it has been found that there is no close relation between these two factors. In 1992, Easton, Harris, and Ohlson use the concept of aggregated accounting return to explore this relationship. They found that aggregated accounting return could explain stock return quite well. Very few of the same kind studies have been conducted in the Taiwan stock market. The main objective of this study is to explore the relationship between these two factors. A sample of 142 companies is used to test the relationship starting from the first quarter of 1991 and ending at the last quarter of 1994. four different time intervals, namely, one quarter, four quarters, eight quarters, and sixteen quarters, and selected to measure stock returns and financial data. The empirical results are as follows: The explanatory power of financial data for stock returns increases as the interval over which earning and returns are culmulated increase. The explanatory power of aggregated earnings and the earning of the last period for stock return is almost identical. There is a closer relationship between these two factors, as mentioned above, for Category I stocks than Category II stocks in the Taiwan stock market. |
本系統中英文摘要資訊取自各篇刊載內容。