由除權股價行為的預測能力檢驗台灣股票市場的效率性

Abstract

70年代，Fama提出效率市場假說，其重點在強調市場（廣大投資者的組合 ）具有收集、分析、判斷資訊並反映在各自投資決策上的能力。台灣的經 濟發展固然有令世人羡慕之處，但多年來，台灣股市之理性及效率性普遍 被社會大眾所質疑。另外股市在1990年達最高檔而後崩盤，國內投資者及 相關人員普遍認為盤後，不少散戶之退出、專業投資機構的增設及主管機 關的重視，已使得台灣股票市場效率性有了改變。本論文的主要有兩個： 一．檢驗台灣股市的效率性。二．檢驗台灣股市效率性在1990年後是否有 了改變。研究架構基本上是透過分析除權後股價行為是否有預測公司未來 經營績效改變的能力來探討股市的效率性及效率性是否已改變的問題。所 用的資料取自1987年至1992六年期間辦理過除權的公司之股價資料及財務 資料。實證結果顯示除權股價行為的確隱含了投資者對公司當年度經營獲 利改變的預期，股價對於當年公司經營獲利改變的資訊而言是有效率的。 另外，股市在1990年後除權股價對公司經營獲利改變的預期能力並不比 1990年以前的強，表示在1990年後市場情況改變使市場更具備效率性的說 法並不正確。 For the past twenty some years, the economic growth in Taiwan has been really exceptional in the world. However, the rationa- lity and the efficiency of the stock market are seriously ques- tioned and debated in the public. When the market crashed after it reached its highest point 1n 1990,the investors and analysts expected that the efficiency of the stock market would be improved resulting from the withdrawal of many individual inves- tor, the increase of the professional investment institutes,and the closed monitoring by the government. The purposes of this thesis are two-folded: first, it examines the efficiency of the stock market in Taiwan; and second, it investigates to see if the efficiency of the market has changed after 1990. The research is based on the analysis of whether the ex-right stock prices have the ability to forecast a company's performance in the future. Data are taken form the financial statements and stock prices of all the listed companies that have paid stock dividend in the period from 1987 to 1992. The results showed that ex-right stock prices represent investors' expections of the company's profitability, and stock prices are efficient in conveying the information about the variations of profitabilities. Also, the ex-right stock prices after 1990 were less capable in providing accurate forecasts than those did before that year. This means that the belief that the market has become more efficient is not supported by this study.