異常報酬之主要財務影響要素

Abstract

現有的研究已經探索出部分財務指標與異常報酬存在相關性，但是學界尚未指出個別異常報酬的關鍵財務影響要素為何。故本論文從傳統財務指標與各類異常報酬間的關係出發，參考Avramov(2013)中的方法運用買賣策略交易為各類異常報酬構建投資組合，再將異常報酬代理變數及投資組合報酬與各項財務指標進行回歸分析，以探求出影響異常報酬的主要財務影響要素。研究發現，不同的異常報酬關鍵財務影響要素不盡相同，但這些指標大多能夠反映公司獲利能力、經營效率以及擴張能力。實證結果同時指出財務指標對異常報酬的解釋能力有限，市場依然處在非完全效率的狀態。

The existing researches have confirmed the correlation between traditional financial indicators and return anomalies while academia haven’t found out the key financial determinants of individual anomalies. According to the method from Avramov et al.(2013)，this thesis builds investment portfolios for each anomaly with long short strategy then find out several key financial determinants by regression Analysis. The results show that each anomaly has different key determinants, while these indicators mostly reflect profitability, operating efficiency and development capacity of one firm. Meanwhile, the study also finds that the explanatory capability of these financial determinants is limited, which supports the hypothesis of semi-strong efficiency market.