股價淨值比與剩餘盈餘之相關性研究

Abstract

依據剩餘盈餘評價模型認為企業若是具有創造愈高剩餘盈餘的能力，其公司的內涵價值(intrinsic value)會愈高，本研究主要探討台灣股票市場上剩餘盈餘(Residual Earnings)與公司價值之間的關係，以驗證其與剩餘盈餘評價模式的觀點是否一致：高剩餘盈餘的公司其市場會給予較高的評價。本文利用等級排序相關係數法(Rank-order correlation coefficient )來檢定股價淨值比與剩餘盈餘排名之間是否呈現正向關係，並同時採用史比爾曼(Spearman)與肯爾德(Kendall)兩種統計方法進行檢定，結果發現在台灣股票市場上，股價淨值比與剩餘盈餘之間在統計上是呈現顯著的正向關係，同時為了確保我們的研究方法不會受到樣本選擇差異而失去解釋能力，本文亦同時探討成長型與價值型產業是否會對股價淨值比與剩餘盈餘的關係性產生影響，進而使其失去剩餘盈餘模型中所推估的正向關係，本研究結果發現股價淨值比與剩餘盈餘之間的正向關係不會因為其為成長型或是價值型產業而有所不同，也就是在不同產業特性下，股價淨值比與剩餘盈餘皆會呈現正向的關係，剩餘盈餘模型具有可靠性，不因樣本產業選取之差異而影響其解釋力，適用於台灣股票市場。

Based on residual earnings model, those companies could create higher residual earnings, their intrinsic value would be higher, and this study primarily investigates the relationship between residual earnings and company value in Taiwan stock market to proof that our result is consistent with residual earnings model. That is, the market would give companies higher valuation if they have higher residual earnings. Our research use rank-order correlation coefficient to test whether price book ratio and residual earnings are positively correlated, we use two statistics methods: Spearman and Kendall rank-order correlation coefficient to test. The results show us that price book ratio and residual earnings have significant positive correlation in Taiwan stock market. In order to ensure that our research on the relationship between price book ratio and residual earnings would not lose explanatory power by sample selection, our paper also investigate whether the relationship between price book ratio and residual earnings would be influenced by growth or value industry and let the original positive relation change. We find that the positive relation between price book ratio and residual earnings cannot be affected by belonging to growth or value industry. In other words, residual earnings model have reliability and is suitable for Taiwan capital market because its explanatory power would not be affected by different stock characteristics.