股價報酬與償債能力相關性研究－以建設營造業為例

Abstract

建設營造業發生財務危機的比率相當地高，但在股票市場，往往過於強調企業的獲利而忽略流動性的重要，因償債能力不僅為風險代理變數、財務危機的根源，且直接影響公司的違約風險。 因此本研究探討1999年至2010年間於台灣建設營造產業主要風險代表性變數與股價報酬之關連性，先萃取出較有代表性的評估因子後，進行股價報酬關聯性的實證分析與研究，再加上報酬代表性變數加以比較驗證模型的適合性；另外再建立一個逐步迴歸分析的模型為對照模型。 在實證結果中，因素分析結果，顯著影響應變數的六個自變數中，長期償債能力、資金週轉期、債權結構和收帳期間共四個因素均為風險構面的變數：逐步迴歸分析結果的七個變數中，自有資金比率、淨值週轉率、ln應付帳款天數、ln現金週轉期、ln利息支出率等五個變數為風險性變數。因此可印證本研究的主要目的－營建業的償債能力變數對股票季報酬率具有顯著的影響性。

In the stock market, buyer often overemphasis the profitability and ignore the importance of liquidity. Liquidity is not only the risk variable, the root of financial crisis but also the direct impact on the company's default risk. Therefore, this study discusses the relationship between liquidity and stock return in the real estate industry from 1999 to 2010 in Taiwan. The first model is that we summarize from the original factor of liquidity to common factor, and analyze the correlation with stock return. The second model is that we add more factor about profitability and compare it with the first model. The last model is that we add whole factors into model and we use stepwise regression to analyze it. In the empirical results, using factor analysis, there are six significant independent variables, including long-term solvency, capital turnover, debt structure and debt collection days are the risk factors. Using stepwise regression, the results of the significant variables including five risk variable, are the ratio of own funds, net turnover rate, number of days accounts payable, cash flow, interest expense ratio. So we can prove the main purpose of this study - the liquidity in the real estate industry has significant influence to the stock return.