市場因素與公司獲利能力對股票報酬率影響之研究

Abstract

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.