标题: | 市场因素与公司获利能力对股票报酬率影响之研究 THE IMPACT OF MARKET COMPONENT AND DIFFERENT PROFITABILITY MEASURES ON THE DETERMINATION OF SECURITY |
作者: | 黄家圣 HUANG, CHIA-SHENG 巫永森 WU YEONG-SEN 管理科学系所 |
关键字: | 市场因素;获利性衡量指标;股票报酬率;Market Return;Profitability Measures;Security Returns |
公开日期: | 1995 |
摘要: | The importance of accounting information on security price determination is of interest to both security analysts and accountants. The main purpose of this paper is to investigate the impact of different profitability measures on security rates of return detemination. The model used in this empirical study is a simultaneous equation model developed by Lee and Zumwalt (1981).In this paper, we use multi-factor asset pricing model to explain the rates of returns by including profitability variable,leverage variable,and dividend policy variable as our extra explainable power to examine whether different profitability measures will affect the determination of rates of return of stock. We use the Ordinary Least Squares to estimate the related parameters for individual firms. We use the quarterly financial data of six industries in Taiwan. The sample period starts from 1986 to 1995,giving us 33 observations for each firm in the sample. To get the quarterly data of stock rates of returns and the market rates of returns for the all companies, we use observations available from JES and AREMOS data base.We find that when the return on equity is used as the accounting profitability measure, the income factor performs better than those of other mesurres. The results suggest market component is still an important source of information profitability measures should be used by security analysts or investors to determine the equity of rates of returns for different industries. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#NT840457050 http://hdl.handle.net/11536/60880 |
显示于类别: | Thesis |