從行為財務觀點探討超額股票報酬及經濟附加價值間的關係

Abstract

效率市場假說與行為財務學的觀點對於市場的資訊反應有所不同，前者認為企業經營資訊會充分反映在股價報酬，而後者則認為股價報酬具有先行性之資訊效果。從過去的文獻發現企業的每股盈餘(EPS)在效率市場假說之下的資訊含量比較高， 然而在2002 年行為財務學的崛起，發現企業的獲利行為與市場的表現並不完全一致。文獻上 對於EPS 與經濟附加價值(EVA)何者具有較高的資訊含量一直沒有定論。有鑑於此，本研究以美國市場的製造業為樣本進行實證研究，並以股價報酬與兩種超額股價報酬的代理變數分別利用縱橫資料迴歸(Panel 迴歸)都發現EVA 對這三種股票報酬的資訊內涵較EPS 高，並進一步透過因果關係模型分析，其結果發現EPS、EVA 都與股票報酬間呈現反向因果關係，尤其EVA 相對更為顯著，此符合行為財務學的論點。

Efficient market hypothesis (EMH) and behavioral finance have different point of views on the market’s reaction to information. The former believes that business operating information is fully reflected in stock returns, whereas the latter states that stock returns have price leadership over business information. Previous literature shows that earnings per share (EPS) is more informative under EMH; however, after the blooming of behavioral finance in 2002, recent research has shown that corporate operating profitability is not at all consistent with the market perception. Literature has not been conclusive on relative information content for EPS and EVA. This study explores the empirical data of manufacturing firms within the US market. Total stock returns and two excess stock returns are first used as proxies through panel regression analysis, respectively. Results show that EVA is more informative than EPS for all three stock returns. Furthermore, a causality test in performed, revealing that both EVA and EPS present reverse causalities to the three stock returns, and EVA is relatively more significant. These results are consistent with the perspective of behavioral finance.