台灣股票市場Tobin's q與報酬、公司規模、益本比關係之實證研究

Abstract

半個世紀以來，常有特殊型態的股票異常報酬現象被研究與發表。美國學者Badrinath與Kini(1990)研究發現低Tobin's股票可賺得較高的風險調整後報酬，稱之為q效應。而規模及益本比效應是公司基本特性與股票報酬關係深受注目及研究的主題。故本研究的目的在探討台灣股票市場是否存在異常q效應、公司規模效應、益本比效應及該三個因子的相互關係。 本研究對變數的衡量均採用次級資料，資料來源為AREMOS統計資料庫，研究期間自民國七十七年一月至八十四年底，實證方法則使用資本資產定價模式，以HotellingF檢定顯著性，以Spearman Rank分析三因子間等級相關性及以虛擬變數探討季節性的影響。 實證結果顯示，在整個研究期間中，低q公司存在有異常報酬現象，但統計上並不顯著，然而在控制益本比因子後，q效應已顯著存在。公司規模效應則不論是未控制因子之前、控制Tobin's q、益本比單一因子或同時控制Tobin's q、益本比兩因子等測試情況下，均穩定地存在。而益本比效應不存在，投資人無法藉由益本比這項公開的資訊來獲得異常報酬。另外，小公司規模、低q投資組合，高益本比、小公司規模投資組合及高益本比、低q投資組合均有特別高的異常報酬。除此之外，公司規模及Tobin's q兩因子間其有顯著的正等級相關。最後，驗證各效應季節性現象並不存在。

Over the past decades, financial economists have documented a large number of peculiar patterns in stock returns. In which, Badrinath and Kini (1990) addressed a novel q effect, i.e. low Tobin's q stocks earn a higher risk-adjusted return than high Tobin's q stocks. As for other factors, firm size and earning/price (E/P) ratio both are generally associated with abnormal returns. The purpose of this paper is to examine the q effect in Taiwan Stock Market and to explore the interactions among these three factors. The variables in this paper are computed for each firm in the period of Jan. 1988 to Dec. 1995, using financial data from AREMOS database. Test methodology includes Capital Asset Pricing Model (CAPM), multivariate Hotelling F-statistics, Spearman's rank correlation and dummy-variable analysis. The conclusions appear that the q effect is not insignificant over the study period. However, after controlling E/P factor, the q effect exists significantly. In all test cases, firm size effect persists throughout, while E/P effect does not occur. Besides, firms with low q and small size, high E/P and small size, or high E/P and low q hold the abnormal high returns. Finally, January effect does not arise in all factors.