台灣上市公司股票報酬與重要財務資訊關聯性之探討

Abstract

本研究以台灣證券交易所上市之普通股股票為研究對象，探討1973年 7月至1997 年 6月間，股票平均報酬與β、負債權益比、市場價值、成交量、盈餘市價比、淨值 市價比、營收市價比等七個變數之間的關聯性。結果顯示，股票平均報酬與成交量之 間呈現顯著的負向關聯性，以及與營收市價比之間呈現顯著的正向關聯性。此外，如 果將成交量加入模式時，β對平均報酬變異會呈現顯著的解釋能力。至於，平均報酬 與其餘四個變數之間的關聯性並不顯著或穩定。綜言之，β、成交量、營收市價比等 三個變數對解釋平均報酬變異似乎扮演者一個聯合的角色，且該三變數模式的結果是 穩定且具有韌性的，並不會受到改變樣本、分割期間以及不同方法的影響。 本研究發現平均報酬與β之間存在顯著的條件關聯性，即當市場投資組合報酬大 於無風險利率時，平均報酬與β之間呈現顯著的正向關聯性。反之，當市場投資組合 報酬小於無風險利率時，平均報酬與β之間呈現顯著的負向關聯性。此結果支持繼續 使用β衡量市場風險。至於，成交量與營收市價比，由證據顯示這些變數對平均報酬 變異的解釋能力是由於投資人過度反應所致，而非歸因於系統風險。

This study explores the relationships between average stock returns and beta, debt-to-equity, market value, trading volume, earnings-to-price, book-to-price, and sales-to-price, on Taiwan Stock Exchange from July 1973 to June 1997. Our results show that average stock returns are significantly negatively related to trading volume, and significantly positively related to sales-to-price. Moreover, if trading volume is added to the model, beta has the significant explanatory power for the differentials in average returns. However, the relationships between average returns and remaining four variables are insignificant or unstable. Summarily, beta, trading volume, and sales-to-price seem to have a joint role in explaining the differentials in average returns. The results of three variables model are robust and insensitive to sub-sample, sub-period, and another approach. We find a highly significant conditional relationship between average returns and beta. In period when the market return is above the risk-free rate, there is a significant positive relationship between average returns and beta. On the other hand, in period when the market return is below the risk-free rate, there is a significant negative relationship between average returns and beta. The results support the continued use of beta as a measure of market risk. As to trading volume and sales-to-price, the evidence reveals that these variables to explain the differentials in average returns are due to investor overreaction and not due to systematic risk.